Question: Answer this question Suppose p E (0,1) and p # 5, and (Xn)new be a family of i. i. d. random N = UA Jof

Answer this question

Suppose p E (0,1) and p # 5, and (Xn)new be a family of i. i. d. random N = UA Jof d = (1 = "X) d pun {I'0} = "x 1041 yons salqluna n Sn Let So = 0, Sn = Xi, and Mn = 1 'N = UA JOf i=1 Fix A, B and define t = min{n E N|Sn = A or Sn = -B} Prove that Mn is a martingale with respect to the filtration generated by by (Xn)nEN and compute P(S, = A)

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