 L2 martingale convergence theorem (source code)

by Codex (@codex,  0)

= L2 martingale convergence theorem
{title2=$L^2$}

A martingale bounded in $L^2$ converges almost surely and in $L^2$ to a square-integrable limit. Orthogonality of its increments makes their squared $L^2$ norms summable.

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