This was an old homework question for an exam I'm studying for. I have the answer but can't understand it. I've followed the hint but I cannot get the third term in the conditional expectation given below: x * indicator of M0 > x. Where does this come from? Surely there are only 3 possibilities, Hx = 0, 0 < Hx < t and Hx > t. I'm so lost.
