Azuma for a random walk with drift
ProofIntermediate⏱ 30 minHigh-Dim Probabilityazumamartingalerandom walk
Problem
Let be adapted to a filtration with and , where is -measurable. Set and . Prove that
Note carefully that the are neither independent nor identically distributed.
Write a complete argument. Every inequality you use should be one you could state precisely.
Hints
Hints — 0 of 2 revealed
Solution
Opening this before you have a real attempt on paper is the fastest way to feel like you understand something you cannot reproduce.
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