Problem where a stick of length

Reference no: EM131830335

This is an addendum to Problem where a stick of length 1 was repeatedly randomly broken in the sense that the remaining piece each time was U(0, Y )-distributed, where Y was the (random) previous length. Let Y_n denote the remaining piece after the stick has been broken n times, and set F_n = σ{Y_k, k ≤ n}.

(a) Compute E(Y_n|F_n-1).

(b) Adjust Y_n in order for (a suitable) {(X_n, F_n), n ≥ 0} to become a martingale.

Reference no: EM131830335

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