[Math] Law of Large Numbers for Martingales

law-of-large-numbersmartingalesprobability theoryprobability-limit-theorems

The following question has me stumped: Let $X_n$ be a square integrable martingale with $E((X_n)^2)\leq n$ for all $n$. Prove that $X_n/n$ tends to $0$ almost surely. (this is in a sense a law of large numbers, generalizing the case where $X_n$ is a sum of $n$ iid zero mean random variables.)

Any ideas?

Best Answer

The claim in question is a corollary of a standard SLLN for martingale difference sequences (MDS).

SLLN for MDS

The statement of SLLN for MDS is as follows. Let $N_t$ be a martingale difference sequence (MDS) such that $\sum\limits_{t=1}^{\infty} \frac{E[N_t^2]}{t^2} < \infty$, then

$$ \frac{1}{n} \sum_{t=1}^n N_t \rightarrow 0 \;\;a.s. $$

(In this case, the martingale difference sequence $N_t$ is given by differencing the martingale $X_t$: $N_t = X_t - X_{t-1}$. Then summation by parts gives \begin{align*} \sum_{t=1}^n \frac{E[N_t^2]}{t^2} &= \sum_{t=1}^n \frac{E[X_t^2] - E[X_{t-1}^2]}{t^2} \\ &= \frac{E[X_n^2]}{n^2} - \sum_{t = 1}^{n} E[X_{t-1}^2] \left( \frac{1}{t^2} - \frac{1}{(t-1)^2} \right). \end{align*}

The assumption that $E[X_{t}^2] = O(t)$ implies that $$ E[X_{t-1}^2] ( \frac{1}{(t-1)^2} - \frac{1}{t^2} ) = O(\frac{1}{t^2}). $$ Therefore $\sum\limits_{t=1}^{\infty} \frac{E[N_t^2]}{t^2} < \infty$. )

In turn, the SLLN for MDS can be shown via two arguments. Both are standard devices for results of this type, one via the martingale convergence theorem and another via Kolmogorov's martingale maximal inequality.

Via Martingale Convergence Theorem

(The previous answer is a variation of this argument.)

If $\sum\limits_{t=1}^{\infty} \frac{E[N_t^2]}{t^2} < \infty$, the martingale $Y_n = \sum\limits_{t = 1}^n \frac{N_t}{t}$, $n \geq 1$, is bounded in $L^2$, therefore converges almost surely (and in $L^2$). Therefore, by Kronecker's lemma, $$ \frac{1}{n}\sum_{t = 1}^n N_t \stackrel{a.s.}{\rightarrow} 0 $$ as $n \rightarrow \infty$.

Via Maximal Inequality

Consider again the $L^2$-martingale $Y_n = \sum\limits_{t = 1}^n \frac{X_t}{t}$, $n \geq 1$. Let $\sigma^2_t = \frac{E[ X_t^2 ]}{t^2}$.

By the maximal inequality, for all $n > 0$ and for all $\epsilon > 0$, $$ P( \sup_{m \geq n} | S_m - S_n | \geq \epsilon ) \leq \frac{K}{\epsilon^2} \sum_{t \geq n} \sigma^2_t $$ for some constant $K$ independent of $n$. Therefore $$ P( \inf_n \sup_{m \geq n} | S_m - S_n | \geq \epsilon ) = 0 $$ for all $\epsilon > 0$. In other words, the sequence $S_n$, $n \geq 1$, is Cauchy, therefore converges, with probability $1$. Again by Kronecker's lemma, $$ \frac{1}{n}\sum_{t = 1}^n N_t $$ converges to zero as $n \rightarrow \infty$ with probability $1$.

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