Letting (X_n) be a sequence of independent and identically distributed random variables with mean zero and finite variance sigma^2, prove that the following process is a martingale: Y_n=S_n^2-sigma^2*n where S_n= X_1+X_2+X_3+…+X_n.
Letting (X_n) be a sequence of independent and identically distributed random variables with mean zero and finite variance sigma^2, prove that the following process is a martingale: Y_n=S_n^2-sigma^2*n where S_n= X_1+X_2+X_3+…+X_n.
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