Some structure results for martingales in the limit and pramarts

DOI10.1214/AOP/1176992804MaRDI QIDQ1068446zbMATH OpenOpenAlexFDO

Authors Michel Talagrand

Publication date 1985

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1176992804

zbMATH Keywords

martingales in the limitRadon-Nikodym propertyRiesz-decomposition

Mathematics Subject Classification ID

Probability theory on linear topological spaces (60B11) Generalizations of martingales (60G48)

Review text

A new, more general definition of martingales in the limit (mils) is given. Some characterization results and a Riesz-decomposition type theorem are proved. A typical result in this field is Corollary 9 All F- valued \(L^ 1\)-bounded mils converge iff F has the Radon-Nikodym property. Finally some related results are proved for pramarts.

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Cited in

(13)

• Convergence and lattice properties of a class of martingale-like sequences
• Applications of the method of compactness and decomposition: minimization, convergence of martingales, multivalued Fatou lemma
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