Martingale transform
= Martingale transform
{title2=$(A\mathbin\cdot M)_n$}
{wiki}
If $M$ is a martingale and $A$ is predictable, then, subject to integrability,
$$
X_n=X_0+\sum_{k=1}^nA_k(M_k-M_{k-1})
$$
is a martingale.
= Martingale transform
{title2=$(A\mathbin\cdot M)_n$}
{wiki}
If $M$ is a martingale and $A$ is predictable, then, subject to integrability,
$$
X_n=X_0+\sum_{k=1}^nA_k(M_k-M_{k-1})
$$
is a martingale.