Darling-Erdős theorems for martingales (Q1823537)

Consider a martingale difference sequence \(\{X_ n\), \({\mathcal F}_ n:\) \(n\geq 0\}\) and set \[ s^ 2_ n=\sum^{n}_{1}E(X^ 2_ j| {\mathcal F}_{j-1}),\quad S(t)=X_ 1+...+X_ n\quad for\quad s^ 2_ n\leq t<s^ 2_{n+1}, \] where \(s^ 2_ 0:=0\). The authors present an interesting extension of the Darling-Erdős extreme value limiting theorem for partial sums as follows: Whenever \(s^ 2_ n\to \infty\) a.s. and there exists a positive sequence \(\epsilon_ n\in {\mathcal F}_{n-1}\) with \(\epsilon_ n\searrow 0\) a.s. such that \[ | X_ n| \leq \epsilon_ ns_ n/(\log \log s_ n)^{3/2}\quad a.s., \] then as \(T\to \infty\) \[ a(T)\sup_{1\leq t\leq T}S(t)/t^{1/2}-b(T)\to^{{\mathcal D}}E\quad and\quad a(T)\sup_{1\leq t\leq T}| S(t)| /t^{1/2}-b(T)\to^{{\mathcal D}}E\vee E', \] where \(a(t)=(2\) log log T)\({}^{1/2}\), \(b(T)=2\) log log T\(+2^{-1}\log \log \log T-2^{-1}\log (4\pi)\), E and \(E'\) are independent r.v.s. with common Gumbel extreme value distribution. It is demonstrated by an example that the boundedness condition on the \(X_ n's\) is close to being optimal in the sense that the exponent 3/2 in general cannot be replaced by any \(1\leq p<3/2\). Moreover, sufficient conditions are presented for the Darling-Erdős theorem to hold in the case of unbounded and/or independent random variables.