Martingale Transform and Random Abel-Dini Series
Chen, Louis H. Y.
Ann. Probab., Tome 8 (1980) no. 6, p. 475-482 / Harvested from Project Euclid
Let $X_1, X_2, \cdots$ be identically distributed random variables defined on a probability space $(\Omega, \mathscr{F}, P)$ such that $E|X_1| < \infty$ and let $\mathscr{F}_0 \subset \mathscr{F}_1 \subset \cdots$ be nondecreasing sub-$\sigma$-algebras of $\mathscr{F}$ such that $X_n$ is $\mathscr{F}_n$-measurable for $n \geqslant 1$. Define $S_n = X_1 + \cdots + X_n$ and $\xi_n = E(X_n \mid \mathscr{F}_{n-1})$. The convergence and divergence of the series $\Sigma^\infty_{n=1} \operatorname{sgn}(S_{n+k})|S_{n+k}|^{-\alpha}(X_n - \xi_n)$, where $\alpha$ is a real number and $k$ a nonnegative integer, is considered and related to that of martingale transforms. This paper answers a question raised by Kai Lai Chung.
Publié le : 1980-06-14
Classification:  Martingale transform,  random Abel-Dini series,  conditional strong law,  Burkholder's strong law,  60F15,  60G45
@article{1176994722,
     author = {Chen, Louis H. Y.},
     title = {Martingale Transform and Random Abel-Dini Series},
     journal = {Ann. Probab.},
     volume = {8},
     number = {6},
     year = {1980},
     pages = { 475-482},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176994722}
}
Chen, Louis H. Y. Martingale Transform and Random Abel-Dini Series. Ann. Probab., Tome 8 (1980) no. 6, pp.  475-482. http://gdmltest.u-ga.fr/item/1176994722/