Let (X_{1}, X_{2}, ldots) be independent and identically distributed random variables with (Eleft[X_{i}ight]=0), and let [S_{n}=sum_{i=1}^{n} X_{i}]

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Let $X_{1}, X_{2}, \ldots$ be independent and identically distributed random variables with $E\left[X_{i}ight]=0$, and let

\[S_{n}=\sum_{i=1}^{n} X_{i}\]

Show that $S_{1}, S_{2}, \ldots$ form a martingale

\[E\left[S_{n+1} \mid S_{1}, S_{2}, \ldots, S_{n}ight]=S_{n}\]

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Mathematical Techniques In Finance An Introduction Wiley Finance

ISBN: 9781119838401

1st Edition

Authors: Amir Sadr

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Question Posted: Feb 27, 2024 03:11 AM

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Let (X_{1}, X_{2}, ldots) be independent and identically distributed random variables with (Eleft[X_{i}ight]=0), and let [S_{n}=sum_{i=1}^{n} X_{i}]

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Mathematical Techniques In Finance An Introduction Wiley Finance

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