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March 15th, 2010, 12:35 AM  #1 
Newbie Joined: Feb 2010 Posts: 8 Thanks: 0  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(n1)]^2  F(n1) } = E { [M(n)]^2  F(n1) }  [M(n1)]^2 and deduce that [M(n)]^2 for n = 1,2.... is a submartingale. Thanks in advance 

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