The Convergence of Double-Indexed Weighted Sums of Martingale Differences and Its Application

Abstract EN

We investigate the complete moment convergence of double-indexed weighted sums of martingale differences.

Then it is easy to obtain the Marcinkiewicz-Zygmund-type strong law of large numbers of double-indexed weighted sums of martingale differences.

Moreover, the convergence of double-indexed weighted sums of martingale differences is presented in mean square.

On the other hand, we give the application to study the convergence of the state observers of linear-time-invariant systems and present the convergence with probability one and in mean square.