A note on dilations and martingales.
Jones, Martin L. (1993)
International Journal of Mathematics and Mathematical Sciences
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Jones, Martin L. (1993)
International Journal of Mathematics and Mathematical Sciences
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Lagodowski, Zbigniew A. (1994)
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A. Engelbert, H. Engelbert (1980)
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Nguyen Van Hung, Quang Luu Dinh (1989)
Annales scientifiques de l'Université de Clermont-Ferrand 2. Série Probabilités et applications
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Zhang, Hu-Ming, Taylor, Robert L. (1995)
International Journal of Mathematics and Mathematical Sciences
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Walter Philipp, William Stout (1986)
Mathematische Zeitschrift
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Gerold Alsmeyer (1994)
Studia Mathematica
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Let be a zero-mean martingale with canonical filtration and stochastically -bounded increments which means that a.s. for all n ≥ 1, t > 0 and some square-integrable distribution H on [0,∞). Let . It is the main result of this paper that each such martingale is a.s. convergent on V < ∞ and recurrent on V = ∞, i.e. for some c > 0. This generalizes a recent result by Durrett, Kesten and Lawler [4] who consider the case of only finitely many square-integrable increment...
Jim Pitman (1981)
Séminaire de probabilités de Strasbourg
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Yuri Kabanov, Christophe Stricker (2001)
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