We became familiar with martingales X=(Xn)n∈N0 as fair games and found that under certain transformations (optional stopping, discrete stochastic integral) martingales turn into martingales. In this chapter, we will see that under weak conditions (non-negativity or uniform integrability) martingales converge almost surely. Furthermore, the martingale structure implies Lp-convergence under assumptions that are (formally) weaker than those of Chapter 7. The basic ideas of this chapter are Doob’s inequality (Theorem 11.4) and the upcrossing inequality (Lemma 11.3).
CITATION STYLE
Klenke, A. (2014). Martingale Convergence Theorems and Their Applications (pp. 217–230). https://doi.org/10.1007/978-1-4471-5361-0_11
Mendeley helps you to discover research relevant for your work.