Question: Wald's identity : Lets Ins be rid rus, C= El VileDo and 7 a stopping time for the seg , Ers , then E SIX

Wald's identity : Lets Ins be rid rus, C= El VileDo and 7 a stopping time for the seg , Ers , then E SIX j = EVEY s. (E( 5 X ) = nELY.)) Proof : we show Xn= zy ( Yj - a) , a= Els , is an MG. We can verify 2 . E ( 1 X n - Xn-1 1 fu-s ) = E ( 1 Yn - all Ina) fu = [ ( Yo . ... . In ) = Elyn - a)

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