Some Structure Results for Martingales in the Limit and Pramarts
Talagrand, Michel
Ann. Probab., Tome 13 (1985) no. 4, p. 1192-1203 / Harvested from Project Euclid
We show that an $L^1$-bounded Banach-space-valued martingale in the limit $(X_n)$ can be written $X_n = Y_n + Z_n$, where $(Y_n)$ is an $L^1$-bounded martingale and where $(Z_n)$ is a martingale in the limit that goes to zero a.s. in norm. This theorem still holds for a new class that generalizes martingales in the limit. We show that a real-valued $L^1$-bounded pramart $(X_n)$ can be written $X_n = Y_n + Z_n$, where $Y_n$ is an $L^1$-bounded martingale, and $Z_n$ has the following property: For each $\varepsilon > 0$, there is an $m$, an $\Sigma_m$-measurable subset $A$ of $\Omega$, and a supermartingale $(T_n)_{n \geq m}$ on $A$ such that $\int_A T_n dP \leq \varepsilon$ and $|Z_n| \leq T_n$ on $A$ for $n \geq m$.
Publié le : 1985-11-14
Classification:  Banach space,  decomposition of martingales,  generalization of martingales,  60G48,  60B11
@article{1176992804,
     author = {Talagrand, Michel},
     title = {Some Structure Results for Martingales in the Limit and Pramarts},
     journal = {Ann. Probab.},
     volume = {13},
     number = {4},
     year = {1985},
     pages = { 1192-1203},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176992804}
}
Talagrand, Michel. Some Structure Results for Martingales in the Limit and Pramarts. Ann. Probab., Tome 13 (1985) no. 4, pp.  1192-1203. http://gdmltest.u-ga.fr/item/1176992804/