Universal and complete sets in martingale theory

Abstract

The Doob convergence theorem implies that the set of divergence of any martingale has measure zero. We prove that, conversely, any $G\_{\delta\sigma}$ 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 ${\bf\Pi}^1\_1$-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 ${\bf\Pi}^1\_1$ and ${\bf\Sigma}^1\_2$ in the theory of martingales.