Question
(a) Show that Mn = ((1 – p)/p)Sn is a Martingale. (c) Show that M, = Sn – (1 – 2p)n is a Martingale. (d) Let Tn = min{n,T} and
show that M = MT, is a Martingale. (e) Use optional sampling to estimate E(T).
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show that M = MT, is a Martingale. (e) Use optional sampling to estimate E(T).
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