Supermartingale convergence with summable adapted drift

ID: supermartingale-convergence-with-summable-adapted-drift

Suppose is integrable and adapted, and is finite and adapted. Use the stopped predictable budget for adapted increments with an integer budget . The process is an integrable nonnegative supermartingale, because its budget decrement cancels the localized drift. It has a finite almost-sure limit. On the event that the total drift is smaller than , the stopping time is infinite, so itself converges. Taking the countable union over integer budgets proves finite almost sure convergence. No expectation of the total drift is needed.

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