Show that this produces a martingale of product

Reference no: EM131830334

Another non-regular martingale. Let Y, Y₁, Y₂, ... be independent random variables with common distribution given by

686_variables with common distribution.png

and set X_n = Y₁· Y₂ ··· Y_n, n ≥ 1. Show that this produces a martingale of product type with mean one that converges almost surely to 0.

Reference no: EM131830334

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