Strong supermartingales and limits of nonnegative martingales

Christoph Czichowsky, Walter Schachermayer

Given a sequence $(M^n{)}_{n=1}^{\infty }$ of nonnegative martingales starting at $M_0^n=1$, we find a sequence of convex combinations $({\tilde{M}}^n{)}_{n=1}^{\infty }$ and a limitin…