Strong convergence of two-parameter vector-valued martingales and martingales in the limit

The author defines a two-parameter analogue of discrete Banach space valued mils [martingales in the limit in the sense of \textit{M. Talagrand}, Ann. Probab. 13, 1192-1203 (1985; Zbl 0582.60055)], and investigates the almost sure convergence of these processes. More precisely, let B be a Banach space satisfying the Radon-Nikodym property, and let \(X=(X_{m,n}\); m,n\(\in {\mathbb{N}})\) be a B-valued mil. The author shows (a) convergence a.s. of \((X_{m,n}\); \(m\in {\mathbb{N}})\) for all \(n\leq \infty\) if X is \(L^ 1\)-bounded, and (b) convergence a.s. of X if X is L log L- bounded and if the underlying two-parameter filtration satisfies the hypothesis of conditional independence, usually called (F4). The proof of (b) is by means of a decomposition of X into the sum of a B-valued martingale and a process which converges to zero a.s. The proof of the a.s. convergence of the martingale part generalizes the classical results by \textit{R. Cairoli} [Semin. Probab. IV, Univ. Strasbourg 1968/69, Lect. Notes Math. 124, 1-27 (1970; Zbl 0218.60045)], \textit{S. D. Chatterji} [Proc. 1st int. Conf. Probab. Banach Spaces, Oberwolfach 1975, Lect. Notes Math. 526, 33-51 (1976; Zbl 0336.60049)], and \textit{A. Millet} and \textit{L. Sucheston} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 56, 21-45 (1981; Zbl 0438.60042)].

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