PDF-CONTINUOUSTIMEMARTINGALESDenitionAcollectionofrandomvariables(Mt)t0,
abwhichisexactlywhatwefoundearlierusingStrongMarkovpropertyExampleGamblersruinproblemcontinuedNowconsiderthemartingaleMtB2ttLetabbeexactlyasbeforeThenXtMtisagainauimartingaleandhence
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