Compensate suitably to exhibit a martingale

Reference no: EM131830340

Let Y₁, Y₂, ... be an adapted sequence, and let c_n ∈ R, n ≥ 1.

(a) Suppose that E(Y_n+1|F_n) = Y_n +c_n. Compensate suitably to exhibit a martingale.

(b) Suppose that E(Y_n+1|F_n) = Y_n·c_n. Compensate suitably to exhibit a martingale.

Reference no: EM131830340

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