No label defined (Q3972695)

[For the entire collection see Zbl 0713.00013.] Let \(\{S_{nk},\mathcal{F}_{nk},\;k\geq 1\}\) be a zero mean, square integrable martingale, \(n\geq 1\), write \(X_{nk}=S_{nk}-S_{n,k-1}\). For \(n\geq 1\), let \(T_ n\) be a positive integer-valued stopping time w.r.t. \(\{\mathcal{F}_{nk}:\;k\geq 1\}\). Let \(\eta\) be a random variable with \(\mathcal{P}(0<\eta<\infty)=1\); suppose \(X\) is a random variable having characteristic function \(\mathcal{E} \exp\{-t^ 2\eta^ 2/2\}\) and let \(\mu_{2r}=\mathcal{E}| X|^{2r}\), \(r>0\). Under this set up, the following results concerning convergence of moments in the martingale central limit theorem have been proved: If for some \(r\geq 1\), \[ \mathcal{E}\left| \sum_{j=1}^{T_ n} \mathcal{E}(X^ 2_{nj}\mid\mathcal{F}_{n,j-1}) -\eta^ 2\right|^ r\to 0,\hbox{ and } \mathcal{E} \eta^{2r}<\infty,\tag{1} \] then the following three sets of conditions are equivalent: \[ \max_{1\leq j\leq T_ n}\mathcal{E}(X^ 2_{nj}\mid\mathcal{F}_{n,j-1})\xrightarrow{P}0,\quad\prod_{j=1}^{T_ n}\mathcal{E}(\exp(itX_{nj}))\to\exp(-t^ 2\eta^ 2/2),\quad\mathcal{E}| S_{nT_ n}|^{2r}\to\mu_{2r};\tag{2} \] \[ \max_{1\leq j\leq T_ n}\mathcal{E}(X^ 2_{nj}\mid\mathcal{F}_{n,j- 1})\xrightarrow{P}0,\quad\mathcal{E}\left|\sum_{j=1}^{T_ n} X^ 2_{nj}- \eta^ 2\right|^ r\to 0;\tag{3} \] \[ \mathcal{E}\left(\sum_{k=1}^{T_ n}| X_{nk}|^{2r}I[| X_{nk}|\geq\varepsilon]\right)\to 0, \qquad \forall\varepsilon>0.\tag{4} \] Further, under $(1)$, \(S_{nT_ n}\to X\) and \(\mathcal{E}| S_{nT_ n}|^{2r}\to\mu_{2r}\). Some extensions of the above assertion have also been discussed.