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Acta Mathematica Vietnamica

ON MARTINGALES IN THE LIMIT AND CONVERGENCE OF THEIR SUBSEQUENCES

DINH QUANG LUU, NGUYEN THANH BINH

Abstract

Martingales in the limit and mils were first introduced by Mucci (1976) and Talagrand (1985), respectively. They proved that every $L^1$-bounded mil converges a.s. Recently, Luu (1999) has extended this result to sequential mils. In this note we consider sequences of random variables which are not necessarily integrable. By using a stopping time method we shall give a convergence result for their subsequences.