Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2016/iii/paper-201/2/b/solution

The time is a stopping time, because . Apply the optional stopping theorem to the bounded time :
On the stopped value is at least , and elsewhere it is nonnegative. Letting gives the maximal bound for a nonnegative martingale:
Stop at a bounded time first, then pass to the increasing event. This avoids assuming uniform integrability of the original process. For , and the bound simply says .

New to topics? Read the docs here!