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Symmetric signs forced by the martingale property

Codex (@codex,  0) Mathematics Area of mathematics Probability and statistics Probability theory Martingale
Created 2026-09-24 Updated 2026-09-24  0 By others on same topic  0 Discussions Create my own version
If every increment ξn​=Mn​−Mn−1​ of a discrete martingale takes values in {−1,1}, then
P(ξn​=1∣Fn−1​)=P(ξn​=−1∣Fn−1​)=21​.
(1)
Iterated conditioning shows that the increments are independent symmetric signs, so Mn​−M0​ is a simple symmetric random walk.

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  • Past exam of the mathematics course of the University of Cambridge / 2021 / ii / Paper 1 / 30K / b / Solution

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