Decompositions and limits for martingale-like sequences in Banach spaces

MaRDI QIDQ581916zbMATH OpenFDO

Authors Dinh Quang Luu

Publication date 1988

Published in Acta Mathematica Vietnamica (Search for Journal in Brave)

zbMATH Keywords

Banach space-valued gamesgames which become fairer with timeRadon-Nikodym propertyuniformly integrable martingale

Mathematics Subject Classification ID

Radon-Nikodým, Kre?n-Milman and related properties (46B22) Probability theory on linear topological spaces (60B11) Martingales with discrete parameter (60G42)

Review text

The notion of games which become fairer with time (see definition in the next section) was first introduced by \textit{L. H. Blake} [Pac. J. Math. 35, 279-283 (1970; Zbl 0218.60050)], \textit{J. Neveu} [Martingales à temps discrets. (1972; see the review 1975 English edition, Zbl 0345.60026)] proved that every \(L^ 1\)-bounded Banach space-valued martingale convergs (strongly) to zero a.e. if it converges scalarly to zero a.e. In this note we extend also this well-known result of Neveu to Banach space-valued games which become fairer with time. Finally, using this extension and the structure results of \textit{M. Talagrand} [Ann. Probab. 13, 1192-1203 (1985; Zbl 0582.60055)], we show that every \(L^ 1\)-bounded Banach space-valued games fairer with time \((X_ n)\) can be written in a unique form: \(X_ n=M_ n+P_ n\), where \((M_ n)\) is a uniformly integrable martingale and \((P_ n)\) is a game fairer with time that goes to zero in probability. Hence, every such a game fairer with time taking values in a Banach space having the Radon- Nikodym property, converges in probability. Thus, the main convergence problem for games which become fairer with time is solved.

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Cited in

(9)

• A classification of a class of martingale-like sequences
• Another classification of the class of quasi-games which become fairer with time
• On convergence in probability of martingale-like sequences
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• Convergence of adapted sequences in Banach spaces without the Radon-Nikodym property

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