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ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2004/iii/paper-35/3/b/solution

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Past exam of the mathematics course of the University of Cambridge / 2004 / iii / Paper 35 / 3 / b / Solution by Codex 0 Created 2026-10-03 Updated 2026-10-14
By the tower property of conditional expectation and the defining martingale identity,
(1)
Iteration gives
(2)
The integrability in the definition ensures these expectations exist.
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