SCHWEITZER 2011 Problem 10

Let $X_0, \xi_{i, j}, \epsilon_k$ (i, j, k ∈ N) be independent, non-negative integer random variables. Suppose that $\xi_{i, j}$ (i, j ∈ N) have the same distribution, $\epsilon_k$ (k ∈ N) also have the same distribution. $\mathbb{E}(\xi_{1,1})=1$ , $\mathbb{E}(X_0^l)<\infty$ , $\mathbb{E}(\xi_{1,1}^l)<\infty$ , $\mathbb{E}(\epsilon_1^l)<\infty$ for some $l\in\mathbb{N}$ Consider the random variable $X_n := \epsilon_n + \sum_{j=1}^{X_{n-1}} \xi_{n,j}$ (n ∈ N) , where $\sum_{j=1}^0 \xi_{n,j} :=0$ Introduce the sequence $M_n := X_n-X_{n-1}-\mathbb{E}(\epsilon_n)$ (n ∈ N) Prove that there is a polynomial P of degree $\leq l/2$ such that $\mathbb{E}(M_n^l) = P_l(n)$ (n ∈ N).