STOCHASTIC MODELING
Posted: Fri Dec 24, 2021 10:03 am
STOCHASTIC MODELING
Question 3 [10] Let {Xn, n 2 1} be a sequence of independent and identically distributed random variables such that 2 1 P{Xn = 1) = 1 and P{Xn=-1} = Define SR = X1 + X2 + ... + Xn and set = 0(X1,x2,. .,Xn). Show that the process (Mn) defined by Mn = Sn - is a martingale but the process (Sn) is not a martingale.
- Stochastic Modeling 1 (35.46 KiB) Viewed 65 times