Possible Duplicate:
Sum and product of Martingale processes
Given two discrete-time martingales $X_t$ and $Y_t$. Are their sum $Z_t$ = $X_t$ + $Y_t$ also martingale? Will there be a different result if martingales is independent?
Possible Duplicate:
Sum and product of Martingale processes
Given two discrete-time martingales $X_t$ and $Y_t$. Are their sum $Z_t$ = $X_t$ + $Y_t$ also martingale? Will there be a different result if martingales is independent?