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You are on page 1of 6

S.R.S.Varadhan

Courant Institute of Mathematical Sciences

New York University

August 31, 2000

2

Contents

1 Measure Theory 7

1.1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . 7

1.2 Construction of Measures . . . . . . . . . . . . . . . . . . . . 11

1.3 Integration . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14

1.4 Transformations . . . . . . . . . . . . . . . . . . . . . . . . . . 22

1.5 Product Spaces . . . . . . . . . . . . . . . . . . . . . . . . . . 24

1.6 Distributions and Expectations . . . . . . . . . . . . . . . . . 28

2 Weak Convergence 31

2.1 Characteristic Functions . . . . . . . . . . . . . . . . . . . . . 31

2.2 Moment Generating Functions . . . . . . . . . . . . . . . . . . 36

2.3 Weak Convergence . . . . . . . . . . . . . . . . . . . . . . . . 38

3 Independent Sums 51

3.1 Independence and Convolution . . . . . . . . . . . . . . . . . . 51

3.2 Weak Law of Large Numbers . . . . . . . . . . . . . . . . . . . 54

3.3 Strong Limit Theorems . . . . . . . . . . . . . . . . . . . . . . 58

3.4 Series of Independent Random variables . . . . . . . . . . . . 61

3.5 Strong Law of Large Numbers . . . . . . . . . . . . . . . . . . 68

3.6 Central Limit Theorem. . . . . . . . . . . . . . . . . . . . . . 70

3.7 Accompanying Laws. . . . . . . . . . . . . . . . . . . . . . . . 76

3.8 Innitely Divisible Distributions. . . . . . . . . . . . . . . . . 83

3.9 Laws of the iterated logarithm. . . . . . . . . . . . . . . . . . 92

4 Dependent Random Variables 101

4.1 Conditioning . . . . . . . . . . . . . . . . . . . . . . . . . . . 101

4.2 Conditional Expectation . . . . . . . . . . . . . . . . . . . . . 108

4.3 Conditional Probability . . . . . . . . . . . . . . . . . . . . . . 112

3

4 CONTENTS

4.4 Markov Chains . . . . . . . . . . . . . . . . . . . . . . . . . . 116

4.5 Stopping Times and Renewal Times . . . . . . . . . . . . . . . 122

4.6 Countable State Space . . . . . . . . . . . . . . . . . . . . . . 123

5 Martingales. 149

5.1 Denitions and properties . . . . . . . . . . . . . . . . . . . . 149

5.2 Martingale Convergence Theorems. . . . . . . . . . . . . . . . 154

5.3 Doob Decomposition Theorem. . . . . . . . . . . . . . . . . . 157

5.4 Stopping Times. . . . . . . . . . . . . . . . . . . . . . . . . . . 160

5.5 Upcrossing Inequality. . . . . . . . . . . . . . . . . . . . . . . 164

5.6 Martingale Transforms, Option Pricing. . . . . . . . . . . . . . 165

5.7 Martingales and Markov Chains. . . . . . . . . . . . . . . . . 169

6 Stationary Stochastic Processes. 179

6.1 Ergodic Theorems. . . . . . . . . . . . . . . . . . . . . . . . . 179

6.2 Structure of Stationary Measures. . . . . . . . . . . . . . . . . 184

6.3 Stationary Markov Processes. . . . . . . . . . . . . . . . . . . 187

6.4 Mixing properties of Markov Processes. . . . . . . . . . . . . . 192

6.5 Central Limit Theorem for Martingales. . . . . . . . . . . . . 195

6.6 Stationary Gaussian Processes. . . . . . . . . . . . . . . . . . 199

7 Dynamic Programming and Filtering. 213

7.1 Optimal Control. . . . . . . . . . . . . . . . . . . . . . . . . . 213

7.2 Optimal Stopping. . . . . . . . . . . . . . . . . . . . . . . . . 215

7.3 Filtering. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 218

Preface

These notes are based on a rst year graduate course on Probability and Limit

theorems given at Courant Institute of Mathematical Sciences. Originally

written during 1997-98, they have been revised during academic year 1998-

99 as well as in the Fall of 1999. I want to express my appreciation to those

who pointed out to me several typos as well as suggestions for improvement.

I want to mention in particular the detailed comments from Professor Charles

Newman and Mr Enrique Loubet. Chuck used it while teaching the course

in 98-99 and Enrique helped me as TA when I taught out of these notes

again in the Fall of 99. These notes cover about three fourths of the course,

essentially discrete time processes. Hopefully there will appear a companion

volume some time in the near future that will cover continuos time processes.

A small amount measure theory that is included. While it is not meant to

be complete, it is my hope that it will be useful.

5

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