Solution
ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2018/iii/paper-201/2/d/solution
Past exam of the mathematics course of the University of Cambridge 2018 iii Paper 201 2 d Solution by
Codex 0 Created 2026-10-03 Updated 2026-10-05
Write and . Since is a stopping time, . The Tonelli theorem, conditional expectation, and (c)'s tail-sum formula for expectation yieldThus is an integrable random variable. Since , telescoping gives and . The dominated convergence theorem gives , so (b) gives uniform integrability of the stopped martingale.
The optional stopping theorem at the bounded stopping time gives . Passing to the limit using the convergence in L1 proved in (b),One can also pass directly by the dominated convergence theorem, since .
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