Recitation_6.pdf - Cornell University Fall 2019 ORIE 5600 Financial Engineering with Stochastic Calculus I Recitation 6 Martingales Problem 1

Recitation_6.pdf - Cornell University Fall 2019 ORIE 5600...

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Cornell University, Fall 2019 ORIE 5600 Financial Engineering with Stochastic Calculus I Recitation 6: Martingales Problem 1. Let ( X n ) n 1 be a sequence of iid mean-zero random variables with finite variance σ 2 . Let S n = X 1 + · · · X n , and let M n = S 2 n - 2 . Show that
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  • Fall '09
  • J.WISSEL

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