The martingale convergence theorem, with tears

DOI10.1016/0167-6911(87)90051-XMaRDI QIDQ579752zbMATH OpenFDO

Authors John M. Morrison, Gary L. Wise

Publication date 1987

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6911(87)90051-X

zbMATH Keywords

conditional expectationsrate of convergence in the martingale convergence theorem

Mathematics Subject Classification ID

Strong limit theorems (60F15) Martingales with discrete parameter (60G42)

Review text

This paper explores the rate of convergence in the martingale convergence theorem for regular martingales and shows that it may be arbitrarily slow. These convergence results are then extended to a family of operators which generalize conditional expectations.

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Cites work

• An asymptotic property of nonlinear estimators arising as solutions to a certain class of convex programming problems
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• scientific article; zbMATH DE number 3577802 (Why is no real title available?)
• scientific article; zbMATH DE number 6846220 (Why is no real title available?)
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Cited in

(5)

• On estimation of random variables via the martingale convergence theorem
• scientific article; zbMATH DE number 3905568 (Why is no real title available?)
• scientific article; zbMATH DE number 3992550 (Why is no real title available?)
• Martingale convergence theorems for tensor splines
• An application of martingale convergence theorem to analyse company data

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