 Multi-period dividend pricing identity

For an integrable discrete trading strategy under an equivalent martingale measure, discounted portfolio wealth plus accumulated discounted strategy payments is a martingale. Conditioning its terminal value gives the displayed identity. A formula involving future payments alone requires terminal liquidation, $V_n=0$, or inclusion of that terminal value in the final payment. For an attainable claim paid only at maturity, liquidation yields its usual conditional discounted expected value.