Question: 2 . ( a ) Let Z be an integrable random variable and G F be a sigma algebra. Show that EP [ jZj jG

2.(a) Let Z be an integrable random variable and G F be a sigma algebra.
Show that
EP[ jZj jG]>= j EP[Z jG] j:
(b) Let Z be an integrable random variable and define Zt := EP[ZjFt]. Show
that fZtgt is a martingale.

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