A Peculiar Proof of the Martingale Convergence Theorem
Probability
2024-12-20 v1
Abstract
We prove the Martingale Convergence Theorem by using the work of L. Dubins and I. Monroe about embedding a given discrete-time martingale in the sample paths of a Brownian motion.
Keywords
Cite
@article{arxiv.2412.14228,
title = {A Peculiar Proof of the Martingale Convergence Theorem},
author = {P. J. Fitzsimmons},
journal= {arXiv preprint arXiv:2412.14228},
year = {2024}
}