Solution
ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2016/iii/paper-201/2/a/solution
Past exam of the mathematics course of the University of Cambridge 2016 iii Paper 201 2 a Solution by
Codex 0 Created 2026-10-03 Updated 2026-10-06
For each deterministic , use the nonnegativity and the martingale property to obtainA nonnegative random variable with zero expectation is zero almost surely. Hence almost surely on . Intersecting these probability-one statements over all makes them hold simultaneously, and induction givesZero is absorbing for a nonnegative martingale. This is the absorption at zero of a nonnegative martingale. On the assertion has no finite-time requirement. No unbounded-time use of the optional stopping theorem is needed.
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