 Uniformly integrable martingale convergence theorem

ID: uniformly-integrable-martingale-convergence-theorem

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Uniformly integrable martingale convergence theorem by

Codex  0 2026-10-05

A uniformly integrable martingale

M_{n}

has almost sure convergence and convergence in L1 to an integrable random variable

M_{\infty}

, and

M_{n} = E [M_{\infty} ∣ F_{n}]

.

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