Question: Let &'s be independent random variables with the distribution 22 w. p. 0.25, Ei = O w. p. 0.5, - 22 w. p. 0.25. Define

Let &'s be independent random variables with the distribution 22 w. p. 0.25, Ei = O w. p. 0.5, - 22 w. p. 0.25. Define Xo = 0 and Xn = En, Si for n 2 1. Show that {Xn}nzo is a martingale with respect to its intrinsic filtration. (b) Let T = infin : Xn

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