convergence rates in the strong law of large numbers for martingale difference sequences收敛率鞅差序列的强大数定律.pdfVIP

Hindawi Publishing Corporation Abstract and Applied Analysis Volume 2012, Article ID 572493, 13 pages doi:10.1155/2012/572493 Research Article Convergence Rates in the Strong Law of Large Numbers for Martingale Difference Sequences Xuejun Wang, Shuhe Hu, Wenzhi Yang, and Xinghui Wang School of Mathematical Science, Anhui University, Hefei 230039, China Correspondence should be addressed to Xinghui Wang, wangxinghuial@163.com Received 31 May 2012; Accepted 14 June 2012 Academic Editor: Sung Guen Kim Copyright q 2012 Xuejun Wang et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. We study the complete convergence and complete moment convergence for martingale difference sequence. Especially, we get the Baum-Katz-type Theorem and Hsu-Robbins-type Theorem for martingale difference sequence. As a result, the Marcinkiewicz-Zygmund strong law of large numbers for martingale difference sequence is obtained. Our results generalize the corresponding ones of Stoica 2007, 2011. 1. Introduction The concept of complete convergence was introduced by Hsu and Robbins 1 as follows. A sequence of random variables {Un, n ≥ 1} is said to converge completely to a constant C if ∞ P {|Un − C| ε } ∞ for all ε 0. In view of the Borel-Cantelli lemma, this implies n1 that U → C almost surely a.s.. The converse is true if the {U , n ≥ 1} are independent. n n Hsu and Robbins 1 proved that the sequence of arithmetic means of independent and identically distributed i.i.d. random variables converges completely to the expected value if the variance of the su