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Simple martingale question.

  1. Feb 15, 2010 #1
    Hi everyone. I was going through a proof of Wald's equation, where it was claimed that if {S_n} is a sequence defined as S_n = \sum_1^{n} Y_i where the Y_i are iid with finite mean \mu, then Z_n = S_n - n \mu is a martingale.

    But I don't see why... at all!

    Help!
     
  2. jcsd
  3. Feb 17, 2010 #2
    What definition of Martingale are you using?
     
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