English

Typical martingale diverges at a typical point

Probability 2016-04-04 v2

Abstract

We investigate convergence of martingales adapted to a given filtration of finite σ\sigma-algebras. To any such filtration we associate a canonical metrizable compact space KK such that martingales adapted to the filtration can be canonically represented on KK. We further show that (except for trivial cases) typical martingale diverges at a comeager subset of KK. `Typical martingale' means a martingale from a comeager set in any of the standard spaces of martingales. In particular we show that a typical L1L^1-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

R2 v1 2026-06-22T01:59:09.561Z