Let (An) and (Bn) be (Fn)-martingales on (2, F, P) and let Cn = A - Bn. Show that E [(Am - An) |Fn] = E[Cm – Cn|Fn], 0

Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
Publisher:David Poole
Chapter7: Distance And Approximation
Section7.1: Inner Product Spaces
Problem 12EQ
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Let (An) and (Bn) be (Fn)-martingales on (2, F, P) and let Cn = A – Bn.
Show that
E [(Am - An) |Fn] = E [Cm – Cn|Fn], 0<n< m.
Transcribed Image Text:Let (An) and (Bn) be (Fn)-martingales on (2, F, P) and let Cn = A – Bn. Show that E [(Am - An) |Fn] = E [Cm – Cn|Fn], 0<n< m.
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