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2011•Unpublished venueOpen access

On The Central Limit Theorems For Forward And Backward Martingales

Yilun Shang

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Abstract

Let {Xi}i≥1 be a martingale difference sequence with Xi = Si - Si-1. Under some regularity conditions, we show that (X2 1+· · ·+X2N n)-1/2SNn is asymptotically normal, where {Ni}i≥1 is a sequence of positive integer-valued random variables tending to infinity. In a similar manner, a backward (or reverse) martingale central limit theorem with random indices is provided.

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What this paper is about

Let {Xi}i≥1 be a martingale difference sequence with Xi = Si - Si-1. Under some regularity conditions, we show that (X2 1+· · ·+X2N n)-1/2SNn is asymptotically normal, where {Ni}i≥1 is a sequence of positive integer-valued random variables tending to infinity. In a similar manner, a backward (or reverse) martingale central limit theorem with random indices is provided.

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Available abstract

Let {Xi}i≥1 be a martingale difference sequence with Xi = Si - Si-1. Under some regularity conditions, we show that (X2 1+· · ·+X2N n)-1/2SNn is asymptotically normal, where {Ni}i≥1 is a sequence of positive integer-valued random variables tending to infinity. In a similar manner, a backward (or reverse) martingale central limit theorem with random indices is provided.

Key concepts: Martingale difference sequence, Martingale (probability theory), Mathematics, Central limit theorem, Doob's martingale inequality, Limit (mathematics), Local martingale, Sequence (biology)

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