Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2018/iii/paper-211/2/b/solution

Under the standard local martingale definition, is integrable. For a nonnegative , the Fatou lemma and a localizing sequence give
Hence every is integrable, and part (a) applies. Therefore a nonnegative discrete-time local martingale is a true martingale. This is stronger than the continuous-time supermartingale conclusion.

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