Analytic martingale convergence

Polya’s Urn and the Martingale Convergence Theorem

This paper is about Polya’s Urn and the Martingale Convergence Theorem. I will start with the formal definition, followed by a simple example of martingale and the basic properties of martingale. Then I will explain the Polya’s Urn model and how it contributes to proving the Martingale Convergence Theorem. Finally, I will give a full proof of the Martingale Convergence Theorem.

ON THE RADON-NiKODYM-PROPERTY AND MARTINGALE CONVERGENCE

It is well-known that there is an intimate connection between the RadonNikodym property and martingale convergence in a Banach space. This connection can be "localized" to a closed bounded convex subset of a Banach space. In this paper we are interested primarily in this connection for a bounded convex set which is not closed. If C is a bounded convex set in a locally convex space, C is said to...

Complete Convergence for Moving Average Process of Martingale Differences

On the Convergence in Mean of Martingale Difference Sequences

In [6] Freniche proved that any weakly null martingale difference sequence in L1[0, 1] has arithmetic means that converge in norm to 0. We show any weakly null martingale difference sequence in an Orlicz space whose N-function belongs to ∇3 has arithmetic means that converge in norm to 0. Then based on a theorem in Stout [13][Theorem 3.3.9 (i) and (iii)], we give necessary and sufficient condit...

Algorithmic randomness for Doob's martingale convergence theorem in continuous time

We study Doob’s martingale convergence theorem for computable continuous time martingales on Brownian motion, in the context of algorithmic randomness. A characterization of the class of sample points for which the theorem holds is given. Such points are given the name of Doob random points. It is shown that a point is Doob random if its tail is computably random in a certain sense. Moreover, D...