Solution-Martingale with finite expectation

Martingale with finite expectation

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Reference no: EM13974415

Let M_t be an F_t martingale with finite expectation. Let T be a stopping time such that T<infinity with probability 1. Show that N_t=M_{min{t,T}} is a F_{min{t,T}} martingale. Give an example or application of the result.

Reference no: EM13974415

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Martingale with finite expectation

Reference no: EM13974415

Reference no: EM13974415

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