What does it mean to say that (Yn,Fn)n⩾0 is a supermartingale?
State and prove Doob's Upcrossing Inequality for a supermartingale.
Let (Mn,Fn)n⩽0 be a martingale indexed by negative time, that is, for each n⩽0, Fn−1⊆Fn,Mn∈L1(Fn) and E[Mn∣Fn−1]=Mn−1. Using Doob's Upcrossing Inequality, prove that the limit limn→−∞Mn exists almost surely.