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A THEOREM ON GAMBLING SYSTEMS FOR ARBITRARY SEQUENCES OF RANDOM VARIABLES
Published online by Cambridge University Press: 01 September 1999
Abstract
A theorem on gambling systems for Bernoulli sequences is extended to arbitrary sequences of random variables by using the notion of the likelihood ratio, and the martingale technique together with the tool of moment generating functions for the study of a.e. convergence is presented.
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- © The London Mathematical Society 1999