What Is the Martingale Property in Wald's Equation?

[Epsilon36819]

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!

 

[bpet]

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!

What definition of Martingale are you using?