Solution
ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2018/iii/paper-211/2/b/solution
Past exam of the mathematics course of the University of Cambridge 2018 iii Paper 211 2 b Solution by
Codex 0 Created 2026-10-03 Updated 2026-10-05
Under the standard local martingale definition, is integrable. For a nonnegative , the Fatou lemma and a localizing sequence giveHence 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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