Typical martingale diverges at a typical point
Abstract
We investigate convergence of martingales adapted to a given filtration of finite -algebras. To any such filtration we associate a canonical metrizable compact space such that martingales adapted to the filtration can be canonically represented on . We further show that (except for trivial cases) typical martingale diverges at a comeager subset of . `Typical martingale' means a martingale from a comeager set in any of the standard spaces of martingales. In particular we show that a typical -bounded martingale of norm at most one converges almost surely to zero and has maximal possible oscillation on a comeager set.
Keywords
Cite
@article{arxiv.1311.0194,
title = {Typical martingale diverges at a typical point},
author = {Ondřej Kalenda and Jiří Spurný},
journal= {arXiv preprint arXiv:1311.0194},
year = {2016}
}
Comments
22 pages. We expanded the introductory section, added the last section on possible generalizations and adapted few proofs to work in a more general setting