Waiting for answer This question has not been answered yet. You can hire a professional tutor to get the answer.
QUESTION
Let M_t be an F_t martingale with finite expectation. Let T be a stopping time such that Tinfinity with probability 1. Show that N_t=M_{min{t,T}} is...
Let M_t be an F_t martingale with finite expectation. Let T be a stopping time such that T<infinity with probability 1. Show that N_t=M_{min{t,T}} is a F_{min{t,T}} martingale. Give an example or application of the result.
MartingaleLet Mnt be a Fnt Martingale with finite expectationWhere, T is the stopping time and T<infinity with P(T)=1ProblemNnt=Mn{min(t,T)} is a Fn{min(t,T)}martingaleProve that Nnt has...