Past exam of the mathematics course of the University of Cambridge / 2007 / ii / Paper 1 / 28J / i / Solution

Relative to a filtration $({\mathcal{F}}_t)$, a martingale is an adapted integrable process satisfying $\mathbb{E}[M_t\mid {\mathcal{F}}_s]=M_s$ for $s\le t$. The martingale convergence theorem gives an almost-sure finite limit for a nonnegative martingale, with $\mathbb{E}[M_{\infty }]\le \mathbb{E}[M_0]$ by Fatou's lemma. In continuous time take the usual right-continuous version and filtration hypotheses. Convergence in $L^1$, and preservation of expectation at infinity, additionally require uniform integrability.