Almost Sure Equiconvergence of Conditional Expectations
Mukerjee, H. G.
Ann. Probab., Tome 12 (1984) no. 4, p. 733-741 / Harvested from Project Euclid
If $(X, \mathscr{F}, P)$ is a probability space then a pseudo-metric $\delta$ can be defined on the sub-$\sigma$-fields of $\mathscr{F}$ by $\delta(\mathscr{A, B}) = \sup_{A \in \mathscr{A}}\inf_{B \in \mathscr{B}}P(A \Delta B) \vee \sup_{B \in \mathscr{B}}\inf_{A \in \mathscr{A}}P(A \Delta B).$ Boylan, Neveu, and Rogge, among others, have considered equiconvergence of conditional expectations of uniformly bounded measurable functions given sub-$\sigma$-fields $\{\mathscr{F}_n:1 \leq n \leq \infty\}$ in probability and in $L_p, 1 \leq p < \infty$, as $\delta(\mathscr{F}_n, \mathscr{F}_\infty) \rightarrow 0$. This paper proves the corresponding almost sure equiconvergence results when $\mathscr{F}_n \uparrow \mathscr{F}_\infty$ or $\mathscr{F}_n \downarrow \mathscr{F}_\infty$. A sharp uniform bound for the rate of convergence is given. A consequence is that if $\mathscr{F}_n \uparrow \mathscr{F}_\infty$ or $\mathscr{F}_n \downarrow \mathscr{F}_\infty$ then the sequence of conditional expectations given $\mathscr{F}_n$ converges uniformly for all uniformly bounded measurable functions to the conditional expectation given $\mathscr{F}_\infty$ if and only if $\delta(\mathscr{F}_n, \mathscr{F}_\infty) \rightarrow 0$.
Publié le : 1984-08-14
Classification:  Conditional expectation,  a.s. equiconvergence,  metric for $\sigma$-fields,  28A20,  60645
@article{1176993224,
     author = {Mukerjee, H. G.},
     title = {Almost Sure Equiconvergence of Conditional Expectations},
     journal = {Ann. Probab.},
     volume = {12},
     number = {4},
     year = {1984},
     pages = { 733-741},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993224}
}
Mukerjee, H. G. Almost Sure Equiconvergence of Conditional Expectations. Ann. Probab., Tome 12 (1984) no. 4, pp.  733-741. http://gdmltest.u-ga.fr/item/1176993224/