Risk and Portfolio OptimizationProbability and Risk ModelsFuzzy Systems and Optimization

Luisa F. Estrada, Michael A. Högele, Alexander Steinicke

2026.1.1ALEA-Latin American Journal of Probability and Mathematical Statistics

DOI: 10.30757/alea.v23-06

Abstract

In this article we quantify almost sure martingale convergence theorems in terms of the tradeoff between asymptotic almost sure rates of convergence (error tolerance) and the respective modulus of convergence.For this purpose we generalize an elementary quantitative version of the first Borel-Cantelli lemma on the statistics of the deviation frequencies, which was recently established by the authors.First we study martingale convergence in L2, and in the setting of the Azuma-Hoeffding inequality.In a second step we study the strong law of large numbers for martingale differences.Applications are the tradeoff for the multicolor generalized Plya urn processes, the generalized Chinese restaurant process, statistical M-estimators, as well as excursion frequencies of the Galton-Watson branching process.

Citation format

ESTRADA, Luisa F.; HÖGELE, Michael A.; STEINICKE, Alexander. On the tradeoff between almost sure error tolerance and its mean deviation frequency in martingale convergence. ALEA-Latin American Journal of Probability and Mathematical Statistics, 2026, 23(1): 105.