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Consider the discrete-time random walk X, =", Y, where Y,, i= 1, 2, ... are independent and identically distributed (i.i.d.) N(1, 2) random variables. Which of the following process M, is a martingale? Select one: O a. M, X - 2n X, + n(n + 2) D b. M, = X, + 2nX, + n(n + 2) Oc. M, = X; + 2n X, + n(n – 2) O d. M, X- 2n X n(n + 2) e. M= X+ 2nX п(п - 2) f. M, = X- 2n X,+n(n - 2)

Consider the discrete-time random walk X, =", Y, where Y,, i= 1, 2, ... are independent and identically distributed (i.i.d.) N(1, 2) random variables. Which of the following process M, is a martingale? Select one: O a. M, X - 2n X, + n(n + 2) D b. M, = X, + 2nX, + n(n + 2) Oc. M, = X; + 2n X, + n(n – 2) O d. M, X- 2n X n(n + 2) e. M= X+ 2nX п(п - 2) f. M, = X- 2n X,+n(n - 2)

Algebra & Trigonometry with Analytic Geometry
Algebra & Trigonometry with Analytic Geometry
13th Edition
ISBN:9781133382119
Author:Swokowski
Publisher:Swokowski
Chapter10: Sequences, Series, And Probability
Section10.8: Probability
Problem 32E
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Discrete Time Martingale Consider the discrete-time random walk X, = "_, Y; where Yi, i = 1, 2, . .. are independent and identically distributed (i.i.d.) N(1, 2) random variables. Which of the following process Mn is a martingale? Select one: O a. 2n X, + n(n + 2) O b. Mn = X, + 2nX, + n(n + 2) O c. M, = X, + 2n X, + n(n – 2) O d. M, = X; – 2n X, – n(n + 2) %3D O e. M, = X, + 2nX, n(n – 2) O f. M, = X; – 2nX, + n(n – 2) Report question is
Transcribed Image Text:Discrete Time Martingale Consider the discrete-time random walk X, = "_, Y; where Yi, i = 1, 2, . .. are independent and identically distributed (i.i.d.) N(1, 2) random variables. Which of the following process Mn is a martingale? Select one: O a. 2n X, + n(n + 2) O b. Mn = X, + 2nX, + n(n + 2) O c. M, = X, + 2n X, + n(n – 2) O d. M, = X; – 2n X, – n(n + 2) %3D O e. M, = X, + 2nX, n(n – 2) O f. M, = X; – 2nX, + n(n – 2) Report question is
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