Solution-Non-negative martingale calculation

Non-negative martingale calculation

Reference no: EM13830271

Problem:

Let (X_n) be a martingale with sup_nE|X_n| < ∞. Show that there is a representation X_n = Y_n - Z_n where (Y_n) and (Z_n) are non-negative martingales such that supn EY_n < ∞ and sup_n EZ_n < ∞

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This problem is basically from Mathematics as well as it is about non-negative martingale calculation

Reference no: EM13830271

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Non-negative martingale calculation

Reference no: EM13830271

Reference no: EM13830271

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