Martingale convergence and uniform integrability
Research context
postgraduate concept · established · As of 2026-10-10
A discrete nonnegative supermartingale converges almost surely to a finite integrable limit. Its expectations also converge, but their limit can differ from the expectation of the almost-sure limit.
Key knowledge
A discrete nonnegative supermartingale converges almost surely to a finite integrable limit. Its expectations also converge, but their limit can differ from the expectation of the almost-sure limit. A uniformly integrable martingale converges both almost surely and in L1 and can be represented by conditional expectations of its limit. L1 boundedness alone does not imply uniform integrability; mass may escape into rare large values.
Values and equations
lim_K→infinity sup_n E[|M_n| 1{|M_n|>K}]=0
- M_n
- Family tested for uniform integrability
- K
- Tail cutoff
Conditions and scope
- The discrete-time processes and filtration satisfy the usual integrability/adaptedness definitions.
- Almost-sure, probability and L1 convergence are distinct; uniform integrability allows the expectations to converge to the expectation of the limit.
Sources · 2
References
Sources retain their recorded scope. A source link alone does not establish verification of every statement.
Evidence and review
Author checked this English statement, displayed equation where present and stated hypotheses against these source locations: Theorem 5.3, Corollary 5.4 and failure of L1 convergence Example 5.6; Definition 10.2 and Theorem 10.3. The check is bounded to the recorded claims; no complete proof reconstruction, software proof replay or universal literature completeness is claimed.
2026-10-10 · Author source-body/statement/equation/domain check, with graph associations scoped individually. Separate independent content/source/inventory review is required before branch closure.
Entry details
Permanent link to this entry ↗- Record identity
- research-math-martingale-convergence-modes
- Revision
- research.1
- Structured reference record
- Postgraduate & research reference