On a unified approach to the law of the iterated logarithm for martingales

Abstract

There are two distinct approaches in the literature to framing a version of the law of the iterated logarithm for martingales. One involves norming by constants, using the martingale variance and the other involves norming by random variables, using the sums of conditional variances of the increments, given their past. In this paper a portmanteau approach is provided, still based on the Skorokhod representation of the martingale, but involving normalization by more general random variables. This extends the functional forms of all the previously existing results.