Recurrence property and pointwise convergence of martingales

Ricardo Bórquez ()

Statistics & Probability Letters, 2018, vol. 135, issue C, 51-53

Abstract: This paper proves a necessary and sufficient condition for martingale convergence to hold with positive probability to a finite limit. Our results apply to vector-valued martingale sequences not necessarily L1-bounded.

Keywords: Recurrence; Martingale convergence; Martingales with sufficient statistics (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:135:y:2018:i:c:p:51-53

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DOI: 10.1016/j.spl.2017.11.019

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