Universal and complete sets in martingale theory

摘要

The Doob convergence theorem implies that the set of divergence of any martingale has measure zero.We prove that, conversely, any G_(δσ) subset of the Cantor space with Lebesgue-measure zero can be represented as the set of divergence of some martingale. In fact, this is effective and uniform. A consequence of this is that the set of everywhere converging martingales is ∏_1~1-complete, in a uniform way. We derive from this some universal and complete sets for the whole projective hierarchy, via a general method. We provide some other complete sets for the classes ∏_1~1 and ∑_2~1 in the theory of martingales.