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QUESTION
Let (X n , F n ) n=1,2,. be a martingale in discrete time and 1 2 be an increasing sequence of stopping times. Define Y n = X n , n = 1, 2, . Show...
Let (Xn, Fn)n=1,2,... be a martingale in discrete time and τ1 ≤ τ2 ≤ · · · be an increasing sequence of stopping times. Define Yn = Xτn , n = 1, 2, . . .. Show that (Yn, Fτn )n=1,2,... is a martingale.
