Problem L3.2. Let Y₁,..., Y, be iid r.v. such that p(0) := E[e] <∞o. Let S₂ = So + Y₁+...+Y₁₁. Prove that is a martingale wrt Yn. Hint: use Theorem L3.12. M₂ = exp(0Sn) p(0)"

Fig: 1