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Calculation Of Non-Negative Martingale

Question

Let (Xn) be a martingale with supnE|Xn| < ∞. Show that there  is a representation Xn  = Yn – Zn where (Yn) and (Zn) are non-negative martingales such that supn EYn < ∞ and supn EZn < ∞

Summary

The question belongs to Mathematics and it is about non-negative martingale calculation

Note: The solution is in handwritten format.

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    Cristina

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  • HWA
    Giuseppe

    works fine.