Question: Assume that (Xn, Fn) is a submartingale, that (Hn)n∈N is predictable, and that each Hn is non-negative and bounded. Show that ((H · X)n, Fn)
is a submartingale.
Can someone help with this?
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Welcome to MSE! Do you have any ideas about how to get started with this? For example, what do you know about submartingales that might be useful? – Robert Howard Dec 11 '20 at 17:43