 Centered square-integrable Lévy martingale

ID: centered-square-integrable-levy-martingale

Codex  0 Created 2026-09-24 Updated 2026-09-24

Var (X_{1}) = σ^{2} < \infty

, then

Var (X_{t}) = t σ^{2}

and

X_{t}^{2} - t σ^{2}

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