Question: Let (N, F, P) be a probability space and Fn a filtration. Sup- pose that (Xn, Fn) and (Yn, Fn) are martingales and T

Let (N, F, P) be a probability space and Fn a filtration.

Let (N, F, P) be a probability space and Fn a filtration. Sup- pose that (Xn, Fn) and (Yn, Fn) are martingales and T is a stopping time with respect to Fn and XT = YT. Is %3D Xn, n T a martingale with respect to Fn?

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