Bounded increments of a martingale converges proof.

martingalesrandom walkuniform-convergence

Prove or disprove:

There exists a martingale $\left(M_{n}\right)_{n}$ with $\mathbb{P}\left(M_{0}=1\right)=\mathbb{P}\left(M_{0}=-1\right)=1 / 2$ and $\left|M_{n}-M_{n-1}\right| \leq n^{-3}$ for all $n \geq 1$, such that $\lim _{n \rightarrow \infty} M_{n}=0$ (almost surely)

My attempt:

Hey everyone, I am not sure of my thought process is right hence I wanted to check if I am heading down the correct path:

To prove the above statement:

Since $\left(M_{n}\right)$ is a martingale then it is also a super martingale. Hence using Doob's martingale convergence theorem and since $\sup _{n \in \mathbb{N}_{0}} \mathbb{E}\left[\left|M_{n}\right|\right] = 1 <\infty$ then $M_n$ converges almost surely to $M_\infty$. I feel like I might be wrong because its too simple and I am not sure how to show that $\lim _{n \rightarrow \infty} M_{n}=0$. One way I thought of was using Monotone convergence theorem simply take the $\lim _{n \rightarrow \infty} |M_{n}-M_{n-1} \mid \leq n^{-3} = 0$. Sorry if I'm heading down the wrong path.

Best Answer

Since $$ \mathsf{E}[M_1\mid M_0]=M_0, $$ $$ \delta:= \mathsf{P}(M_1\ge 1\mid M_0=1)>0. $$ Now, for $n\ge 2$, \begin{align} \mathsf{P}(|M_n| > 0.1)&\ge \mathsf{P}(M_n>0.1) \\ &\ge \mathsf{P}(M_n>0.1, M_0=1,M_1\ge 1) \\ &=\mathsf{P}(M_n>0.1 \mid M_0=1,M_1\ge 1) \\ &\quad \times\mathsf{P}(M_0=1,M_1\ge 1) \\ &=1\times \delta/2 \not\to 0 \end{align} as $n\to\infty$.

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