Why is $\frac{Z_n}{\mu^n}$ a martingale? (Galton-Watson Process.)

conditional probabilitymartingalesmeasure-theoryprobability theory

The following images taken from Durrett Pg 200 explain what a Galton Watson Process is and its corresponding martingale $\frac{Z_n}{\mu^n}$.

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However, I don't see why $\frac{Z_n}{\mu^n}$ is a martingale based on the proof given. I know we need to show that $E[\frac{Z_{n+1}}{\mu^{n+1}}|F_n]=\frac{Z_n}{\mu^n}$ but why does it suffice to only consider the event $\{Z_n=k\}$. Don't we have to consider all events in $F_n$ to show equality? Can someone explain why the proof is valid?

Best Answer

We note that

$\begin{eqnarray} \mathbb{E}(\frac{Z_{n+1}}{\mu^{n+1}}|\mathcal{F}_n) &=& \frac{1}{\mu^{n+1}}\mathbb{E}(\xi_1^{n+1}+...+\xi_{Z_n}^{n+1}|\mathcal{F}_n)\\ &=& \frac{1}{\mu^{n+1}}\sum_{k=1}^{\infty}\mathbb{E}((\xi_1^{n+1}+...+\xi_{k}^{n+1})\mathbf{1}_{\{Z_n = k\}}|\mathcal{F}_n)\\ &=& \frac{1}{\mu^{n+1}}\sum_{k=1}^{\infty}\mathbf{1}_{\{Z_n = k\}}\mathbb{E}((\xi_1^{n+1}+...+\xi_{k}^{n+1})|\mathcal{F}_n); \ \text{because } \{Z_n = k\} \text{ is } \mathcal{F}_n\text{-measurable}\\ &=& \frac{1}{\mu^{n+1}}\sum_{k=1}^{\infty}\mathbf{1}_{\{Z_n = k\}}(\mathbb{E}(\xi_1^{n+1})+...+\mathbb{E}(\xi_{k}^{n+1})); \ \text{because } \xi_j^{n+1} \text{ is independent of } \mathcal{F}_n\\ &=& \frac{1}{\mu^{n+1}}\sum_{k=1}^{\infty}\mathbf{1}_{\{Z_n = k\}}k\mu = \frac{1}{\mu^n}\sum_{k=1}^{\infty}k\mathbf{1}_{\{Z_n = k\}} = \frac{1}{\mu^n}Z_n \end{eqnarray}$ And we have proved that $\frac{Z_n}{\mu^n}$ is a martingale.

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