A strong invariance principle for reverse martingales (Q1077076)
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scientific article; zbMATH DE number 3956116
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| English | A strong invariance principle for reverse martingales |
scientific article; zbMATH DE number 3956116 |
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A strong invariance principle for reverse martingales (English)
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1985
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A Skorokhod embedding of reverse martingales \(\{S_ n\}\) in Brownian motion given previously by \textit{D. J. Scott} and the author [Bull. Aust. Math. Soc. 27, 443-459 (1983; Zbl 0508.60043)] is sharpened. This theorem is then used to provide integral tests for upper and lower functions of \(S_ n\) and \(M_ n=\max_{1\leq i\leq n}| S_ i|.\) The results of the paper complement the corresponding results for martingales obtained by \textit{N. C. Jain}, \textit{K. Jogdeo} and \textit{W. F. Stout} [Ann. Probab. 3, 119-145 (1975; Zbl 0301.60026)].
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Skorokhod embedding
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reverse martingales
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upper and lower functions
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0.7772135138511658
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0.7616412043571472
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0.7548303604125977
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0.7488574385643005
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