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Question 3 Let {X, n 2 1} be a sequence of independent and identically dis- 60 tributed random variables such that P{X, = 1} = = and P{X, = -1} = Define Sn = Xi + X2+ ... + Xn and set $, = o(X1, X2, .... X,). Show that the process (M, ) defined by Mn = S, + " is a martingale, but the process (S, ) is not a martingale