The speed of convergence of a martingale

LetX _n, n≧0, be a martingale with respect to the σ-fieldsF _n and letB _n ² =Σ_1≧n E{(X ₁−X ₁₋₁)²|F ₁₋₁} It is known that ifB ₁ ² <∞ on some set Ω₀ thenX _∞=limX _n exists and is finite a.e. on Ω₀ We show that under suitable conditions there exists a constant ν<∞ for which lim supB _n ⁻¹ {log logB _n ² }^−1/2|X _∞−X _n−1 | ≦ √2(η+1). If “the fluctuations ofB _n are small” (in the sense of the Corollary) then ν=0 and the usual upper bound of a law of the iterated logrithm results. This upper bound is not necessarily achieved, though. Research supported in part by the NSF under Grant No. MCS 72-04534A04.