A proof of the continuous martingale convergence theorem
Probability
2021-11-25 v4
Abstract
A proof of the continuous martingale convergence theorem is provided. It relies on a classical martingale inequality and the almost sure convergence of a uniformly bounded non-negative super-martingale, after a truncation argument.
Cite
@article{arxiv.2107.00006,
title = {A proof of the continuous martingale convergence theorem},
author = {Joe Ghafari},
journal= {arXiv preprint arXiv:2107.00006},
year = {2021}
}
Comments
6 pages