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The recursion makes $U$ a supermartingale and gives $U_t\ge Z_t$ at every date. The optional sampling theorem for a supermartingale for the bounded stopping time $\tau$ therefore gives

For a nonnegative supermartingale, $X_n^{-}=0$, so the hypothesis of part (i) holds. Its almost-sure limit is finite.

Let $(B_t)$ be Brownian motion in ${\mathbb{R}}^3$ started at a nonzero point. The function $h(x)=|x{|}^{-1}$ is a positive harmonic function on ${\mathbb{R}}^3\setminus \{0\}$ because its Laplacian vanishes there. Stopping on annuli and applying Itô formula shows that $h(B_t)$ is a local martingale. Letting the inner boundary shrink to zero also shows that three-dimensional Brownian motion does not hit the origin.

A positive local martingale is a supermartingale, so $h(B_t)$ is $L^1$-bounded by $h(B_0)$. The upcrossing proof from part (c), which applies verbatim to a positive supermartingale, therefore gives a finite almost-sure limit

Factor the square root of the stochastic exponential asThe stochastic exponential in this expression is a positive local martingale and hence a supermartingale, so its expectation is at most one. If $[M{]}_T\ge a$ almost surely, then

For an Ornstein-Uhlenbeck process $dX=\sigma dB-\lambda Xdt$ under a reference measure, this is a positive supermartingale when $\alpha a\ge {\sigma }^2/2$. Its short rate is $[\alpha a-{\sigma }^2/2+(\lambda +\alpha /2)X^2]/(a+X^2/2)$. Conditional zero-coupon bond prices are ratios of the OU second moments of the quadratic factor. The money-market density has diffusion coefficient $\sigma X/(a+X^2/2)$, bounded by $\sigma /\sqrt{2a}$, so the Novikov condition validates the pricing measure. The reference OU dynamics must not be silently treated as the risk-neutral dynamics.

For the reverse ${\mathrm{SLE}}_{\kappa }$ flow, write $X_s+i{Y}_s=h_s(z)-(U_{T-s}-U_T)$. Thenis a nonnegative local martingale and hence a supermartingale.

For a positive stock satisfying $dS=S\sigma dW$, the Itô formula gives $d\sqrt{S}=\frac{1}{2}\sqrt{S}\sigma dW-\frac{1}{8}\sqrt{S}{\sigma }^{2}dt$. Localization and the conditional Fatou lemma make this nonnegative local supermartingale a true supermartingale.

A state-price density converts terminal wealth and consumption into initial cost. For a nonnegative admissible self-financing portfolio with consumption, the deflated wealth plus cumulative deflated consumption is a supermartingale, giving $\mathbb{E}[{\zeta }_{T}X]+\mathbb{E}{\int }_0^T{\zeta }_t{c}_{t}dt\le w$. In a complete market, an integrable nonnegative terminal claim with full budget equality is replicable.

If wealth and consumption are nonnegative, this local martingale is bounded below by minus the finite initial deflated capital. Adding that capital gives a nonnegative local martingale, hence a supermartingale by the Conditional Fatou lemma. Consequently expected discounted consumption cannot exceed initial deflated wealth. The consumption sign and predictable stochastic integrability are part of the hypotheses.

A nonnegative local martingale is a supermartingale. If its integrable terminal limit has the same expectation as its initial value, conditional Fatou lemma gives $\mathbb{E}[Z_{\infty }\mid {\mathcal{F}}_t]\le Z_t$, and equality of expectations makes this an equality. It is therefore a uniformly integrable martingale.

For a self-financing portfolio whose product with a strictly positive local deflator is a local martingale, nonnegative wealth makes that product a supermartingale. Starting from zero forces it to vanish almost surely at each time. Continuous paths then give simultaneous vanishing at every time on one probability-one event.

If a nonnegative supermartingale reaches zero at a discrete stopping time, its later nonnegative values have conditional expectation at most zero and must also be zero almost surely.