Nonnegative discrete-time local martingale is a martingale

ID: nonnegative-discrete-time-local-martingale-is-a-martingale

The Fatou lemma makes every time value of a nonnegative discrete-time local martingale integrable, assuming the usual integrable initial value. The integrable discrete-time result then makes it a true martingale.

New to topics? Read the docs here!