Question: 3) Suppose { } are martingale differences. Suppose we integrate { } to obtain a series (y }. Specifically, define y 1 = $1, 12=&]

3) Suppose { } are martingale differences. Suppose we "integrate" { } to obtain a series (y }. Specifically, define y 1 = $1, 12=&] + 82, etcetera. a) Show that yt =Vt-1 + &. b) Use the results of a) to show that {y, } is a martingale. (Thus, integrating a martingale difference yields a martingale.)

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