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March 15th, 2010, 12:35 AM   #1
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Martingale Problem

Hi all,
I am presented with a tough question for which I cannot start -

If M(n) for n = 1,2..... is F(n)-adapted martingale, show that
E{ [M(n) - M(n-1)]^2 | F(n-1) } = E { [M(n)]^2 | F(n-1) } - [M(n-1)]^2

and deduce that [M(n)]^2 for n = 1,2.... is a submartingale.

Thanks in advance
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