A Peculiar Proof of the Martingale Convergence Theorem

P. J. Fitzsimmons

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arXiv · 2412.14228

A Peculiar Proof of the Martingale Convergence Theorem

P. J. Fitzsimmons

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Abstract

We prove the Martingale Convergence Theorem by using the work of L. Dubins and I. Monroe about embedding a given discrete-time martingale in the sample paths of a Brownian motion.

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P. J. Fitzsimmons. 2024-12-18. A Peculiar Proof of the Martingale Convergence Theorem. https://arxiv.org/abs/2412.14228

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