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PDF-CONTINUOUSTIMEMARTINGALESDenitionAcollectionofrandomvariables(Mt)t0, PDF document

abwhichisexactlywhatwefoundearlierusingStrongMarkovpropertyExampleGamblersruinproblemcontinuedNowconsiderthemartingaleMtB2ttLetabbeexactlyasbeforeThenXtMtisagainauimartingaleandhence

a+b whichisexactlywhatwefoundearlierusingStrongMarkovproperty.Example:Gambler'sruinproblemcontinuedNowconsiderthemartingaleMt=B2tt.Leta;b;beexactlyasbefore.Then Xt=M^tisagainau.i.martingaleandhence

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