A strong invariance principle for reverse martingales
type: Item
instance of: scholarly article
title: A strong invariance principle for reverse martingales
zbMATH Open document ID: 0594.60038
DOI: 10.1007/BF01961011
published in: Acta Mathematica Hungarica
publication date: 1985-01-01T00:00:00Z
review text: A Skorokhod embedding of reverse martingales \(\{S_ n\}\) in Brownian motion given previously by \textit{D. J. Scott} and the author [Bull. Aust. Math. Soc. 27, 443-459 (1983; Zbl 0508.60043)] is sharpened. This theorem is then used to provide integral tests for upper and lower functions of \(S_ n\) and \(M_ n=\max_{1\leq i\leq n}| S_ i|.\) The results of the paper complement the corresponding results for martingales obtained by \textit{N. C. Jain}, \textit{K. Jogdeo} and \textit{W. F. Stout} [Ann. Probab. 3, 119-145 (1975; Zbl 0301.60026)].
Mathematics Subject Classification ID: 60F15
Mathematics Subject Classification ID: 60F17
Mathematics Subject Classification ID: 60G42
zbMATH DE Number: 3956116
zbMATH Keywords: Skorokhod embedding
zbMATH Keywords: reverse martingales
zbMATH Keywords: upper and lower functions
author: Richard Huggins
reviewed by: T. Inglot
MaRDI profile type: Publication
cites work: On central limit and iterated logarithm supplements to the martingale convergence theorem
cites work: Upper and lower functions for martingales and mixing processes
cites work: Local asymptotic laws for Brownian motion
cites work: On the embedding of processes in Brownian motion and the law of the iterated logarithm for reverse martingales
cites work: Q4084474
full work available at URL: https://doi.org/10.1007/bf01961011
OpenAlex ID: W2078533538
description: scientific article; zbMATH DE number 3956116