On the law of large numbers for martingales

DOI10.1134/S0081543814080173MaRDI QIDQ492191zbMATH OpenFDO

Authors P. A. Yas'kov

Publication date 20 August 2015

Published in Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/S0081543814080173

zbMATH Keywords

convergence in probability law of large numbers Lenglart-Rebolledo inequality martingales stochastic array

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Martingales with discrete parameter (60G42)

Review text

The author establishes certain constraints under which sufficient conditions in the law of large numbers for a scheme of series of martingales are necessary. In particular, for an array of martingale differences \({\{\xi_{in},\mathcal{F}_{in}\}_{1\leq i\leq k_n, n\geq 1}}\) with \({|\xi_{in}|\leq K}\) for some \(K>0\) and each \(i\) and \(n\), it is obtained that the following conditions (convergence in probability \(\operatorname{P}\)) are equivalent: {\parindent=6mm \begin{itemize} \item[(1)] \({\sum_{i=1}^{k_n}\xi^2_{in}\to 0}\) as \({n\to\infty};\) \item [(2)] \({\sum_{i=1}^{k_n}\operatorname{E}(\xi^2_{in}|\mathcal{F}_{(i-1)n})\to 0}\) as \({n\to\infty};\) \item [(3)] \({\sum_{i=1}^{k_n}\xi_{in}\to0}\) as \({n\to\infty}\) and \({\sqrt{a}\varlimsup_{n\to\infty}\operatorname{P}(\sum_{i=1}^{k_n}\operatorname{E}(\xi^2_{in}|\mathcal{F}_{(i-1)n})>a)=o(1)}\) as \({a\to\infty}.\) \end{itemize}} The author points out in an example that the constraint of the form \[ \sqrt{a}\varlimsup_{n\to\infty}\operatorname{P}(\sum_{i=1}^{k_n}\operatorname{E}(\xi^2_{in}|\mathcal{F}_{(i-1)n})>a)=o(1)\;\;\text{as} \;\;{a\to\infty} \] cannot be omitted.

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