Past exam of the mathematics course of the University of Cambridge / 2017 / iii / Paper 201 / 3

The martingale convergence theorem in its $L^1$-bounded form says that a martingale with ${\sup }_n\mathbb{E}|M_n|<\infty$ has an integrable limit $M_{\infty }$ andThe norm bound on the limit follows from Fatou lemma. Boundedness in $L^1$ by itself does not imply convergence in L1. The uniformly integrable martingale convergence theorem gives the stronger conclusion: if $(M_n)$ is uniformly integrable, then $M_n\to M_{\infty }$ both almost surely and in L1 norm, and $M_n=\mathbb{E}[M_{\infty }\mid {\mathcal{F}}_n]$. Conversely, convergence in L1 implies uniform integrability.

For the distinction, the fair-coin doubling martingale $M_n=2^n{1}_{\{\text{first }n\text{ tosses are heads}\}}$ has expectation one for every $n$ but converges almost surely to zero. Its L1 norm remains one, so its convergence is not in L1 norm. These two formulations specify exactly which hypothesis is needed in part (d).

For $1<p<\infty$, the Lp martingale convergence theorem states that a martingale with ${\sup }_n\mathbb{E}|M_n{|}^p<\infty$ has a limit $M_{\infty }\in L^p$ such thatMoreover, $M_n=\mathbb{E}[M_{\infty }\mid {\mathcal{F}}_n]$ and $\mathbb{E}|M_{\infty }{|}^p\le {\sup }_n\mathbb{E}|M_n{|}^p$. To see why $p>1$ matters, the Doob Lp maximal inequality gives an integrable dominating variable $({\sup }_n|M_n|{)}^p$. The martingale convergence theorem first supplies the almost-sure limit, then the dominated convergence theorem supplies convergence in the Lp norm. This maximal estimate is unavailable at $p=1$ in the required form.

Work on $([0,1],\mathcal{B},dt)$ as a probability space, with Lebesgue measure of total mass one. Let ${\mathcal{F}}_n$ be the filtration generated by the level-$n$ half-open dyadic cells together with the separate null cell $\{1\}$. Define the dyadic slope martingale byThe endpoint $t=1$ may be assigned any value, since it is a null set for Lebesgue measure. The two child slopes average to their parent slope, by telescoping the two increments. Therefore $\mathbb{E}[G_{n+1}\mid {\mathcal{F}}_n]=G_n$ almost everywhere, so this is a martingale. The Lipschitz condition gives $|G_n|\le K$ everywhere except possibly at the freely chosen endpoint, where we take zero.

Apply the Lp martingale convergence theorem with $p=2$. Its limit $g$ has $|g|\le K$ almost everywhere and $G_n\to g$ in L1 norm as well, by Cauchy-Schwarz inequality. Choose a measurable representative of $g$ and set it to zero on any exceptional null set; it is then a bounded measurable function on the entire interval.

Set $f_n(x)=f(0)+{\int }_0^x{G}_n(t)dt$. Telescoping at the grid points shows that $f_n$ is the linear interpolation of $f$ on the dyadic grid. The Lipschitz condition gives $\Vert f_n-f{\Vert }_{\infty }\le K{2}^{-n}\to 0$. AlsoThe two uniform limits coincide, giving the absolutely continuous function representationThe chosen bound holds for every $t$ after the null-set modification; the integral identity holds for every $x$ simultaneously.

Use the same dyadic slope martingale $G_n$ and dyadic filtration as in (c). Each $G_n$ is integrable, since it takes finitely many finite values. On each dyadic cell, the absolute slope is $2^n$ times the absolute endpoint increment. Consequently the hypothesis in the PDF is exactlyThus $(G_n)$ is uniformly integrable. It is also bounded in L1 norm: choose a finite ${\lambda }_0>0$ at which the supremum of the tails is finite, and use $\Vert G_n{\Vert }_1\le {\lambda }_0+{\sup }_j{V}_j(f,{\lambda }_0)$. The uniformly integrable martingale convergence theorem supplies $g\in L^1([0,1])$ with $G_n\to g$ in L1 norm.

The functions $f_n(x)=f(0)+{\int }_0^x{G}_n(t)dt$ are again the dyadic linear interpolations of $f$. Since $f$ is continuous on a compact interval, it is uniformly continuous, and $\Vert f_n-f{\Vert }_{\infty }\le {\omega }_f(2^{-n})\to 0$, where ${\omega }_f$ is its modulus of continuity. On the other hand, the integral of $G_n-g$ is uniformly bounded in absolute value by $\Vert G_n-g{\Vert }_1\to 0$. Hence the dyadic slope-tail criterion for absolute continuity givesNo boundedness of $g$ is asserted here; the tail condition permits integrable densities that are unbounded.