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Symmetric signs forced by the martingale property
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Probability and statistics
Probability theory
Martingale
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Words: 35
If every increment
ξ
n
=
M
n
−
M
n
−
1
of a discrete martingale takes values in
{
−
1
,
1
}
, then
P
(
ξ
n
=
1
∣
F
n
−
1
)
=
P
(
ξ
n
=
−
1
∣
F
n
−
1
)
=
2
1
.
(17)
Iterated conditioning shows that the increments are independent symmetric signs, so
M
n
−
M
0
is a
simple symmetric random walk
.
Ancestors
(6)
Martingale
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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