 Solution

The supermartingale property and linearity of conditional expectation give, for $n\ge 1$,Each $G_n$ is integrable and ${\mathcal{F}}_{n-1}$-measurable, while $G_0=0$. Thus $Z_n$ is integrable andMoreover, all terms $G_j$, $j\le n+1$, are ${\mathcal{F}}_n$-measurable, so $Z_{n+1}\in m{\mathcal{F}}_n$. This is predictability of the decreasing component in the Doob decomposition theorem.