, boris.demeshev@gmail.

com
23 2014 .

1
1.1 . . . . .
1.2 . .
1.3 . . . . . .
1.4 . . . . . . . . . . . . . . . .

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4
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7
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8

2 -
2.1 . . . . . . . . . . . . . . . . . . . . . . .
2.2 - . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2.3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

8
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10
11

3
3.1 . . .
3.2 -
3.3 . . . .
3.4 . . . . . . . . . . . . . . . .

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12
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15
15

4
4.1 . . . . . . . . . . . . . . . . . . . . .
4.2 . . . . . . . . . . . . . . . . . . . . . . .
4.3 . . . . . . . . . . . . . .
4.4 !
4.5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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15
15
16
17
20
20

5 !
5.1 -
5.2 . . . . . . . . . . . . . . .
5.3 - . . . . . . . . . . .
5.4 .
5.5 . . . . . . . . . . . . . . . . . . . .

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20
20
21
21
21
21

6 -
6.1 . . . . . . . . . . . . . . . . . .
6.2 MCT, DCT, Fatous lemma . . . . . . . . . . . .
6.3 , . . . . .
6.4 - . . . . . . . . .

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22
22
23
24
25

: demeshev.wordpress.com/materials

6.5
6.6
6.7

L2 . . . . . . . . . . . . . . . . . . . . . . . . . . . .
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25
26
26

7
26
7.1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26
7.2 ? ! . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
7.3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
8
28
8.1 . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
8.2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
8.3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29
9
9.1 . . . . . . . . . . . . . . . . . .
9.2 . .
9.3 . . . .
9.4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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29
30
30
31
34

10
10.1 . . . . . . . . . . . . . . . . . . . . . . .
10.2 . . . . . . . . . . . . . . . .
10.3 . . . . . . . . . . . . . . . . . . . . . . .
10.4 . . . . . . . . . . . . . .
10.5 . . . . . . . . . . . . . . . . . . . . . . . .
10.6
10.7 ... . .
10.8 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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34
35
35
36
37
38
38
38
38

11
11.1 . . . . . . . . . . . . . . .
11.2 -. .
11.3 . . . . . . . . . . . . . . .
11.4 . . . . . . . . . . . . . . . . . . .
11.4.1 . . . . . .
11.5 . . . . . . . . . . . . . .
11.6 . . . . . . . . . . . . . . . . .
11.7 . . . . . . . . . . . . . . . . . . . . . . .

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38
38
40
40
42
43
44
51
51

12
12.1 , . . . . . .
12.2 . . . . . . . . . . .
12.3 -
12.4 . . . . . . . . . . . . . . . . .

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51
51
51
62
64

13
13.1 . . . . . . . . . . . . . . .
13.2 . . . . . . . . . . .
13.3 . . . . . . . . . . . .
13.4
13.5 . . . . . . . . . . . . . . . .

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64
64
64
64
64
64

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13.6 . . . . . . . . . . . . . . . . . . . . . . .
13.7 . . . . .
13.8
13.9 -? . . . . . . . . . . . . . . . . . .
13.10 . . . . . . . . . . . . .
13.11 . . . . . . . . . . . . . . . . . . . . . .
14
14.1
14.2 2 . . . . . . . . . . . . . . .
14.3 . . . . . . . . . . . . .
14.4 Itos lemma . . . . . . . . . . . . . . . . . . . . . .
14.5
14.6 . . . . . . . . . . . . . . . . . . . . . .

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15
15.1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
15.2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
15.3 Martinale representation theorem . . . . . . . . . . . . . . . . . . . . . . . . . . .
15.4 Feynman-Kac . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
15.5 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
16
16.1 . . . . .
16.2
16.3 . . .
16.4 . . .
17
17.1 Binomial model . . . . . .
17.2
17.3 - .
17.4 . .
17.5 . . . . . . . .

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64
64
65
65
65
65

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66
66
68
70
70
70
70

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71
71
71
71
71
72

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72
72
73
73
73

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73
73
73
74
74
74

18
74
18.1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 74
18.2 . . . . . . . . . . . . . . . . . . . . . . . . . 74
18.3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80
19 !

80

20
89
: ,
. SDE .
.
: subsection
(5?) , . .
section ( ?)
:
-
-
3

 -
-
, - boris.demeshev@gmail.com
- , ..., ...
- .
, :
.
1. - .
. .
- .
, , Crack
17. Path-Dependent Euro Option.
:

, . .

1.1

!
4.1. A B ,
- .
4.2. {1, 2, 3, 4} {5, 11, 12, 17} , :
15
2 11
3 12
4 17
4.3. N :
12
24
36
48
...
, - . , , -
. 4.3 ,
:
1 ?
22
34
46
...
, , :
?2
14
26
4

38
...
5.1. {1, 2, 3, 4} N . - .
, ?
S 0 1. ,
S 1010101010...
5.2. S , N.
. , S N .
- .
: 1 000000... 2 011000... 3 101011... 4 101001...
... , ,
!
a :
, , ..
a = 0110...: 1 000000... 2 011000... 3 101011... 4 101001...
b ,
a. b = 1001...
, ( , )
b !
1, .
2, ..
, S b.
S N .
5.3. , A ,
S 0 1.
5.4. A ,
N .
:
, .
, -
N .
(...) -, ,
, : ,
.
5.5. A B, ,
:
1. A B .
2. A B , A - B.
3. A B , B - A.
. (...). ,
, ? . -,
2) 3) . -,
, A B , A B, B
A.
:
5.6. A B, A  B, .. A
B, A B .
5

 !
:
N2 . :
,
1 .
Z. :
Zn . , Z1 .
, Zn1 . : Zn ' Zn1 Z1 '
N N ' N.
Q. f (q) ( ), , f (2/3) = 5. f (q) < 2,
f (q) < 3, f (q) < 4 ..
.
:
(0; 1).
R
Rn
[0; 1]
,
.
1. N
S. , .
A, B, ,
A! :
6.1. A , B, A, 2A , A.
. (...)
, , .
..
2. :
? !
, , , .

. .
. ,
, http://www.mccme.ru/free-books/

: 40 Set theory http://math.uga.edu/~pete/

expositions.html.
1

,
. R (, Williams,
Weighting the odds)


1.1.
-, -! S ?

1.2

. .

ai , , , .
7.1. an = (1)n + n1 :
()
an , x = 1 x = 1.
.
7.2. x R an , - x
an .
, x ,
an .
:
7.3. x R
an , an bk , x.
. , - .
lim sup lim inf, . ,
:
lim sup an = +, an

lim inf an = , an

- ( 10, 100 10100 ),
. x
,
x .
. :
7.4. , lim supn an := limn supk>n ak .
, lim inf n an := limn inf k>n ak .
.
7.5. an = (1)n + n1 , lim sup an = 1, lim inf an = 1
7.6. an = n(1)n , lim sup an = +, lim inf an =
7.7. an = n(1 + (1)n ), lim sup an = +, lim inf an = 0

1.3

.
f : R R x0 .
f (x) f (x0 ), x
x0 . :
7

 7.8. f : R R x0 ,
- x0 , x (x0 ; x0 + )
|f (x) f (x0 )| < .
x0 :
8.1. f (t) = t2 R. f (x) f (2) = 4
, 5, = 1. , |x 2| < 1, |f (x) 4| < 5.
, f (x) f (10) = 100 , 5,

x0 = 10 = 1. = 105 10 0.25.
x0 .
8.2. f (t) = 2t + 7 R. , f (x) f (x0 )
, 5, = 2.5, x0 .
.
8.3. f : R R
A R, , x y, |x y| <
|f (x) f (y)| < .
8.4. f (t) = cos(t) R.
8.5. f (t) = t2 R.

1.4

1.2.
S1 0 1,
1 ? , 1010101010... ( )
/ S1 ,
010000000000... S1 ( , ).
1.3.
. ?
1.4.
. ?
1.5.
An enemy submarine is somewhere on the number line (consider only integers for this problem).
It is moving at some rate (again, integral units per minute). You know neither its position nor its
velocity.
You can launch a torpedo each minute at any integer on the number line. If the the submarine
is there, you hit it and it sinks. You have all the time and torpedoes you want. You must sink this
enemy sub - devise a strategy that is guaranteed to eventually hit the enemy sub.
1.6.
A . , 2A (
A) , A.
1.7.
: an
lim sup an = lim inf an

2
2.1

: .
36 .
8

, Z -
.
, :
A - ,
B - ,
C - ?
A B :
Z , - , Z 5.
, , C: , Z
, (6,1) C , (2, 3)
C .
, , Z, , . F.
-
.
() 3 , F, 3-
F.
F , ,
:
1) F - , , .
2) F - , , .
3) A B F, A B A B F.
, A B ,
, A B A B.
-
(-).
9.1. -1 ,
:
SA1. F
SA2. A F, Ac F
SA3. A1 F, A2 F, A3 F, ..,
i=1 Ai F.
9.2.
9.3.
- , (...)?
, SA1-SA3.
9.4. SA1, SA2 , -
.
9.5. ,

c c

i=1 Ai = (i=1 Ai ) . SA2, SA3 , :

A1 F, A2 F, A3 F, ..,
i=1 Ai F.
(...)
, - -
(, , ()c , ) .
, - F
( , Ai F):
lim supn An - w , An .
F? , Bn = k>n Ak - w,
1

-algebra. -field.
, - , F = {, }.
: - ?

 Ak k > n. w
An , w Bn . , lim supn An =
n k>n Ak .
lim inf n An - w , An , .
, Cn = k>n Ak - w, Ak k > n. ,
, lim inf n An = n k>n Ak
10.1.
- - 2 , ; - -
{, }. , SA1-SA3 !
10.2. - - -.
-, .
10.3. H - , -. F - H, : F
H, - F 0 , H, F.
- : (H).
, -, ,
-, , .
, - -!
10.4. F1 = {R, , (; 1), [1; +)}, F2 = {R, , (; 2), [2; +)} - -.
, F1 F2 = {R, , (; 1), [1; +), (; 2), [2; +)} - -.
: -,
. .. , (
) , .
, -
. - F ,
0 1. - F .

2.2

1 . ()
- -!!!
10.5. - - - .
-: B(R) B(Rn ).
, -. ,
A = (; 2) , R\A .
10.6. -
10.7. = R :
, (2; 100) - ..
, [2; 100] - .. R\((; 2) (100; +))
, {7} - .. R\((; 7)
(7; +))
, [2; 100) - ..
[2; 3] (3; 100)
(...), ,
- .
1

http://liveuser.livejournal.com/62878.html

10

 ? , !
. , .
: , ,
- . :
11.1. - B(R) - .
. ? (...)
, , 2continuum (...)
(...) .
- .
:
11.2. H = {(; t]|t R}, (H) = B.
. 1. , H B (H) B. ,
, ,
(H).
2. (a; b] (H), .. -
, (a; b] = (; b]\(; a].
3. A - . ,
A1 , A2 , ..., , Ai (H) A = Ai . ,
A (H):
A1 (n; n + 1], n - , (n; n + 1]
k1
k1
A. A2 ... (0.5n;
0.5(n + 1)] ... Ak ... (0.5 n; 0.5 (n + 1)].
A = (0; 3) = (0; 1.73...): A1 = (0; 1], A2 = (0; 1.5], A3 = (0; 1.5], A4 =
(0; 1.625] ..
? a A.
A -, A. ,
Ak 0. , ,
Ak - a. ,
A Ak . , , A = i Ai .
...
, , , :
....

2.1.
, R: a)
Z b) cos(2x) + x = 0 c)
x5 5x4 + x3 x + 8 > 0

2.3

2.2.
. ,
. , ,
. . Ai -
i- . , A1 = {1}, A2 = {2, 3}, A3 = {4, 5, 6, 7}
.
lim Ai ? , ?
2.3.
11

 N - -
, N : R {, }. N .
limk+ (N < k)
2.4.
. ,
. ,
. ,
. - .

.
, ! ,
, .
, , , , ,
P(X < 0), E(X) .

3.1

12.1. X - ,
, X : R.

X, ,

X < 0, X [2; 3], X = 3 . ,

X - (X) ,
X. . ,
X? , X , ..
t {X < t}. :
12.2. - X, (X),
-, {X < t}, .. (X) := ({X < t|t
R}).
(...) (; t)
-, :
12.3. - X, (X),
-, {X A}, A
R, .. (X) := ({X A|A B(R)}).
...
(X) :
12.4. X : R, (pullback) A
{w |X(w) A}, X 1 (A).

12.5. f (t) = t2 . : f 1 (5) = { 5, 5}, f 1 (0) = {0},

f 1 (1) = .
, (X)
. ,
(X) (...). , ..
12.6. X. {X 1 (B)|B B} -.
. -.
= X 1 ((; +))
A = X 1 (B), Ac = X 1 (B c )
12


(X) - ,
, X.
:
13.1. X : R F, (X) F.
13.2. , 3- , - F = {, , a, {b, c}}
X Y : (...)
X F - , Y - F.
F -,
, F-. X F,
, X F- . F
, . A - , A F
: A F. X - , X F
X F- . -
, - !
13.3. X : R
- 2 ( ).
. - ,
, - (X), .
X : R, - F, R- - B. ,
X F- ...
, ( F) -
( ).
13.4. X. , F, D := {D|X 1 (D) F} -.
. -. 1) X 1 (R) = , R D
2) X 1 (Dc ) = (X 1 (D))c , D D X 1 (D) F (X 1 (D))c F
1
X (Dc ) F Dc F.
3) . , .
, (X) - , , , X. ,
(X), X.
- - ,
. ,
X - F?

. , , ...
13.5. H - R
- B, (H) = B. X - F
H H {X H} F.
. :
X F.
F. H B, H F.
13

:
, D := {D|X 1 (D) F} - -.
, H D, D - - (H) = B. B D
..
: F- , , !
14.1. X, Y - F- , : X + Y , X Y , X Y F- . Y 6= 0, X
Y
F- .
. X + Y , ..
. (...)
, !
14.2. Xi - F- , :
a) A = {w| lim Xi (w)} F.
b) w lim Xn (w), lim Xn
F-.
.
F- , F- . ,
:
14.3. f : R R
(f 1 (B) B B B).
14.4. f (t) = t2 , f (t) = cos(t), f (t) = |t| - .
, - , :
14.5. f , - (...)
(...) ,
(.)
, , F- :
14.6. X : R - F- , f : R R -
, f (X) : R - F- .
.
, F = (X) :
14.7. Y (X)- Y = f (X),
f - .
. X (X)-. (...) f - ,
f (X) (X)-.
. : X , Y , Y -
X. :

3.2

- .
:
-, , (X).
-, T , FT .
() -.
...
14

3.3

-.
. X : S, S - ( ) .
-: F, H, S. S
H -, .. -,
.
(....)
:
.
Rn . -
Rn , .. -, . , :
15.1. (X1 , X2 , ..., Xn ) - F
Xi - F.
, R2 :
15.2. R2 , ,
R.
. ... ...
.
.
,
, .
.
? R
S = {}R{+}. - H
-. [; a], a S. , [; 0)
, (; 0) , {} .
, X : C.
, C
R2 , C .

. , - .

.
. , 12.3.

3.4

4
4.1

- ! :
15.3. F - -. : F [0; +] ,
:
M1. () = 0

PM2. Ai F (Ai Aj = i 6= j), (i=1 Ai ) =

i=1 (Ai )
15

 , ,
: +( )= , + = .
16.0. , = R, F = 2R , (A) - A.
, , .
, = R, F = 2R ,
16.1.

(A) - , A
3, , A 3.
16.2. = R, F = 2R . (A) = sup(A) - , .. ([0; 1]) 6=
([0; 0.5)) + ([0.5; 1]).
16.3. . = R, - B
. , ([0; 100]) = 100.
(?), - 2R .
. -, B ,
2. -, 2R ,
. .
16.4. P P() = 1.
16.5. ( )
,
R, - .
16.6. , () <
16.7. -, i , i : = i , (i ) < .
- ,
[n; n + 1).

4.1.
1 2 - a > 0. , :
) := a1 - ? ) := 1 + 2 - ?
4.2.
- . , (A) := (A)
-
()
4.3.
- F R : F [0; 1] , :
1. R() = 1, R() = 0
2. A F, B F A B = , R(A B) = R(A) + R(B)
3. A1 A2 A3 . . . , R(An ) 6=
lim R(An )

4.2

:
16.8. P - , :
P
PP1. P(Ai ) 6 P(Ai ).
PP2. P(Ai ) = 0, P(Ai ) = 0.
PP3. P(Ai ) = 1, P(Ai ) = 1.
PP4. :
PP4a. A1 A2 A3 ..., P(Ai ) = lim P(Ai )
PP4b. A1 A2 A3 ..., P(Ai ) = lim P(Ai )
PP4. limAi , P(lim Ai ) = lim P(Ai )
16

. PP1: , An
A0n . A0n - ,
An , n1
Ai . , A0i = Ai \(n1
Ai ). A0n
i
i
.
P
P
, P(A0n ) 6 P(An ) P(An ) = P(A0n ) = P(A0n ) 6 P(An ).
PP2: PP1.
PP3: , Bn = Acn . P(Bn ) = 0 PP2,
P(Bn ) = 0 P((Bn )c ) = 1. : (Bn )c = (Acn )c = An .
, lim sup Ai ( Ai ):
: Ai p,
, Ai p.
17.1. P(lim sup Ai ) > lim sup P(Ai ).
. 1. Ai Bk , lim P(Bk ) =
lim sup P(Ai ). , lim sup Bi lim sup Ai ( Bi ,
Ai , ), P(lim sup Ai ) >
P(lim sup Bi ).
2. P(lim sup Bi ) = P(
n=1 k>n Bk ) = limn P(k>n Bk ) > limn P(Bn ).
-: Ai ,
, Ai . ,
-
P :
17.2.
P(Ai ) < , P(lim sup Ai ) = 0.
P
. 1. P(limP
sup Ai ) = P(
P(
A
)
6
lim
n
k>n
k
n
n=1 k>n Ak ) = lim
k>n P(Ak ).
P
n
2. i=1 P(Ai ) P
i=1 P(Ai ) < , ,
, limn k>n P(Ak ) = 0.

4.3

,
!!!
!
!
17.3. [0; 1).
, ! F
! !
2 .
. ?
A A0 , , , P(A) = P(A0 ).
. .
:
17.4. A r - A r.
[0; 1), [0; 1)
. : [0; 0, 5] 0, 1 = [0, 1; 0, 6], (0, 5; 0, 8) 0, 3 = (0, 8; 1) [0; 0, 1).
A.
[0; 1) :
x [0; 1) y [0; 1) , r Q,
x r = y.
17

 , x,

. , ,
, 2/2. , ,
0.
A :
. , , , 2/2 2/2 + 0, 1
.. , .
? r [0; 1), A r A,
.. .
r1 [0; 1), r2 [0; 1), A r1 A r2 :
.
, rQ[0;1) (Ar) = [0; 1),
.
! , , P(A) = P(A r):
, P(rQ[0;1) (A r)) = P([0; 1)) = 1
P
P
, P(rQ[0;1) (A r)) = rQ[0;1) P(A r) = rQ[0;1) P(A).
!
, , , .
,
[0; 1).
- , ,
R.
? A! ..
M1, M2,
. P(A r) P(A)
.
: [0; 1)
, ?
?
!
- B([0; 1])!
. -
[0; 1] .
,
.
. .
-. ,
, .
, [a; b):
H = {[a; b)|0 6 a < b < 1}.
, , - = [0; 1) : [0.1; 0.2) H, [0.1; 0.2)c
/ H.
:
([a; b)) := b a
(18.1)
, -, .. (H) = B([0; 1)).
H -:
18.2.
:
18

 18.3 (). - H (), , - (H),

H.
. . ...
-, .. !
, , ,
-! ,
H,
. .

, -
B([0; 1)) = (H). ,
. , .
19.1. http://math.stackexchange.com/questions/2949/which-one-result-in-maths-has-s
2953 ,
..
?
? ,
!
...
X - [0; 1).
X X1 , X2 , X3 ...
:
[ai ] = [1, 1, 2, 1, 2, 3, 1, 2, 3, 4, 1, 2, 3, 4, 5, 1, 2, 3, 4, 5, 6...]

(19.2)

1, 1 2, 1 3, 1 4 ..
Xi
X.
, X(w) = 0, 583601935.... X1 , X1 , - X2 , - X1 , - X2 , - X3 ... :
X1 = 0, 5869...
X2 = 0, 303...
X3 = 0, 15...
:
X(w) = 0, 583601935...
ai = 1121331234...
X1 = 0, 58 6 9...
X2 = 0, 3 0 3...
X3 = 0,
1 5...
ai k
. Xk X .
X ,
Xk . X
19

 0 9, Xk
0 9. , Xk [0; 1).
Xk
Yk .
,
.
. , X -, ... - , ... - .

4.4

- B. (, , , ) - B.

4.5

4.4.
- F1 , F2 , F3 , ..., ,
: 1) i: Fi Fi+1 ; 2) Fi - -.

5
5.1

!
-

- .
...
C0 = [0; 1]:
(...)
, C1 = [0; 1/3] [2/3; 1].
(...)
, C2 = [0; 1/9][2/9; 3/9][6/9; 7/9]
[8/9; 1].
(...)

C0 C1 C2 C3 ....
20.1. - C = i=1 Ci .
, , .
20.2. () 1/4 , Ci ,
, C.
Ci -, , -. ,
( (...) 1/3
). : 1/3+2/9+4/27+... = 12/3
= 1.
0.
! , .
0 1 .
: I1 , (0
1); , I2 ,
(0 1) .. , 0 1, -,
20

 . R ,
.
!
. , : , , (...) ( ) . ,
(...).
. .
.
21.1. A R , (...)
?
-, ,
( , ).
, .
-, . ( 1)
, , ,
, , .
.

5.2

5.3

5.4

:
, ! -
, .

! ( ) 2, ,
( ) !
:
x = a0 + a1 + 1 1 , a0 - , ai - .
1
a2 + ...

( - ,
, ).
A - , :
ai ,
.
21.2. A - , A - .
. Lusin (...)

5.5

5.1.
.
.
, .
. . 21

: , , .
?
5.2.
, 1/4 ? , 1/4
?

6
6.1

- . ,
,
- .
,
. .
. , .
, , .
, : - F - - P - , F X - ,
F ,
F.
22.1. X ,
.
P
, : X = ni xi 1Ai , Ai
. ( A1 , X ,
5, ).
1. .

22.2. X - , .. X =
Pn
i=1 xi 1Ai . P ( )
Z
E(X) :=

XdP :=

n
X

xi P(Ai )

(22.3)

i=1

. P
- F, P(Ai ) ,
X - F. ,
, .. .
, .
X, Y - a > 0 - , :
1. E(X + Y ) = E(X) + E(Y ).
2. E(aX) = aE(X).
3. X > Y , E(X) > E(Y ).
2. .
22.4. X - .
P ( )
Z
E(X) := XdP :=
sup
E(Z)
(22.5)
Z6X,Zsimple

.. Z, X
. ,
22

 , . ,
, .. X - , Z := X
,
(...).
:
3. .
X X = X + X ,
+
X = max{X, 0} - X, X = min{X, 0} - X,
(-1). X + X ,
. .
[...]
23.1. X - .
P ( )
Z
E(X) := XdP := E(X + ) E(X )
(23.2)
,

PE1.
PE2.
PE3. X > 0, E(X) > 0.
PE4. X > 0 E(X) = 0, P(X = 0) = 1. ( )
PE5. X > 0 E(X) < , P(X = ) = 0.
!

6.2

MCT, DCT, Fatous lemma

23.3. :
1. Xn -
F, X1 6 X2 6 X3 6 ...
2. lim Xn = X
:
1. X - F
2. lim E(Xn ) = E(X)
, .
. -, , E(Xn ) 6 E(Xn+1 ). ..
, .
1. Xn Xk , E(Xk ) = .
E(Xk ) = , M S,
S 6 Xk , E(S) > M . , X > Xk > S, , E(X) > E(S) > M . M
, E(X) = .
2. E(Xn ) , E(Xn ) .
3. E(Xn ) , E(Xn ) const.
23.4. :
1. Xn Y , . |Xn | 6 Y
E(Y ).
2. lim Xn = X
:
lim E(Xn ) = E(X)
23

.
, .
(?) Vitali convergence theorem

6.3

-.
-: Ai , ,
Ai .
. N - Ai , N
+.
N , , N = .
P
24.1.
P(Ai ) < , P(lim sup Ai ) = 0.
P
P
.
E(N ) = E( i 1Ai ). MCT , E(N ) =
E(1Ai ) =
P
P(Ai ) < . ( PE5) P(N = ) = 0.
-: Ai ( )
Ai ( ), ,
Ai 1.
[ross:scp ]
( . Cov(1A , 1B ) = 0 <> )
24.2.
P Ai (Cov(1Ai , 1Aj ) 6
0 i, j)
P(Ai ) = , P(lim sup Ai ) = 1.
. Nk - k , Nk =
1A1 + 1A2 + ... + 1Ak .
P
1. V ar(N
)
6
E(N
):
V
ar(N
)
6
V ar(1A
) (.. ,
k
k
k
i
P
P
P
),
V ar(1Ai ) = P(Ai )(1 P(Ai )) 6 P(Ai ) = E(Nk ).
2. x < E(Nk ). x: P(Nk < x) = P(E(Nk )Nk >
V ar(Nk )
E(Nk )
E(Nk ) x) 6 P(|E(Nk ) Nk | > E(Nk ) x) 6 (E(N
2 6 (E(N )x)2 .
k )x)
k
3. x. , E(Nk ) E(N ) = ,
, 2 . limk P(Nk < x) = 0. ,
P(N < x) 6 P(Nk < x), x, P(N < x) = 0.
4. lim(N < k) = N < , ,
P(N < ) = 0.
(). P(|X| > a) 6

E(|X|)
.
a

.
. f : R R - (, , ,
, f (t) = t2 ), E(f (X)) > f (E(X)).
.
. !
--! X Y , E(|X Y | <
2) < 3P(|X Y | < 1).
Noga Alon, The 123 theorem and its extensions. (,
)?
24

6.4

, !
24.3. X- E(X) > 0, Q :
A X)
.
F [0; 1], : Q(A) = E(1
E(X)
E(0)
. , Q() = E(X)
= 0 Q() = E(X)
= 1.
E(X)
( M2 ).
Pn
Ai - .
Y
=
n
i=1 1Ai X. P
X.
Xn

Y
=
1

MCT (...)
i=1 Ai
P
P
E(Y ) = lim E(Xn )P= lim i=1 nE(1Ai X) =
i=1 E(1Ai X). E(X) Q(Ai ) = Q(Ai ).

25.1. (), Q(A) =

E(1A X)
E(X)

25.2. Q(A) =
EQ (Y ) =

... Q(Y > 0), EQ (Y )

E(1A X)
E(X)

E(XY )
.
E(X)

. .
Y .
Y .
Y .
25.3. .
25.4. Q
P , P(A) = 0 , Q(A) = 0.
P >> Q.
25.5. = [0; 1], F = B[0; 1], - [0; 1]. ...
, .
, :
25.6. P Q - , P >> Q,
- X, EP (X) = 1 Q(A) = EP (X1A ).
. - (?) ,
EP (X) = EP (X 1 ) = Q() = 1. : X Y ,
, Q(X > Y ) = EP (X 1X>Y ) = EP (Y 1X>Y ). , EP ((X
Y )1XY >0 ) = 0. , (X Y )1XY >0 - , P((X
Y )1XY >0 > 0) = 0 P(X Y > 0) = 0. P(Y X > 0) = 0 , ,
P(X = Y ) = 1.
25.7. ( .) - -
25.8. = [0; 1], (.?) - - .

6.5

L2

25.9. X - p > 1. ||X||p := (E(|X|p ))1/p .

, ||X||p +.
. X, ||X||1 < , ||X||2 = .
25.10. Lp (, F, P ) F-
, , ||X||p < +.
F P Lp (, F, P )
Lp () Lp .
25.11. Lp R. X Lp ,
Y Lp a R, X + Y Lp aX Lp .
25

.
26.1. 1 6 p 6 q, Lq Lp
.
Holder, Minkowski
(...) Lp .
Lp L2 . -,
, L2 . -, ,
L2 , !
( )

6.6

, - - .
, .
, , .

?

R + p(x) () :
E(f (X)) = f (x)p(x)dx
:
26.2. p(x) X,
...
( ? ?)
26.3. ...
, :

6.7

- , ,
.

7.1

26.4. Xn
X w Xn (w) X(w).
, , :
26.5. Xn
X P(w|Xn (w) X(w)) = 1.
, , ..
P() = 1.
26.6.
, Lp .
26.7. Xn
X Lp (p > 1), ||Xn X||p 0 , , E (|Xn X|p ) 0.
26

 , Lp
.
27.0.
27.1.
27.2.
Lp ,

27.3. Xn
X , P(|Xn X| > ) 0.
, :
27.4. Xn X , Xn X .
.
27.5. Xn X L1 , Xn X .
.
, , Lp ,
Xn , X (, F, P ).
Xn X.
.
(?) :
27.6. Xn ( ) X,
f : R R E(f (Xn )) E(f (X)).
27.7.
:
27.8. Xn [0; n1 ]. X - . , Xn X n . f (t) = 1t=0 . ,
E(f (X)) = E(1) = 1, E(f (Xn )) = 0. f ,
n , f (Xn ) f (0) . ,
E(f (Xn )) E(f (X)). , Xn 0. , Xn
.
27.9.
:
27.10. Xn (
Fn (t)) ( ) X (c F (t)), Fn (t) F (t) t, F (t)
.
, FX (t)
27.8:
27.11. Xn [0; n1 ]. X - .
, Fn (t) F (t) , t = 0.
0 . Xn .
()
:
, .
27.12. Xn X , Xn X.
.
27

 :
.
( ) , . , ,
.
( ) ! .. , lim Xn = Y lim Xn = Z
X = Y .
, ( )
: lim Xn = Y lim Xn = Z Y = Z .
:
lim Xn + lim Yn = lim(Xn + Yn )
: ()

P N , n > N P(|Xn X| < ) > 1

P(|Xn X| > ) < .

P(lim sup |Xn X| > ) = 0 .
, , , ..
.
.
, BC1 BC2 .
: X Lp X Lp1 p > 1.

7.2

? !

.
28.1. Xn X , Xn
Yk , X .
28.2. () Xn X, 0
Xn , X 0 , n Xn
0
Xn X X 0
28.3. Xn ...
:
0
Xn X, Xn ,
0
X 0 , n Xn Xn ,
X 0 X.

Xi - N (0; 1). Yn = nX.

?
, .. Yn N (0; 1). ().

7.3

, .

8.1

28.4. - F1 F2 ,
F1 F1 F2 F2 , .. P(F1 F2 ) = P(F1 )P(F2 ).
- : F1
,
F2 .
28

 X - (X) ,
-, ...
29.1. X Y ,
- (X) (Y ).
29.2. X - H ,
- (X) H.
, :
X, Y .
:
29.3. X Y , f (X) g(Y ) .
. , (f (X)) (X) (g(Y )) (Y ). - (X)
(Y ) , - (f ((X)) (g(Y )).
29.4. X Y , E(XY ) = E(X)E(Y )
. .

.
?? , .
:
29.5. X Y ,
Corr(f (X), g(Y )) = 0 f g.
. : X Y , f (X) g(Y ),
Corr(f (X), g(Y )) = 0. : f
A, g
B. {X A}
{Y B}. (X) {X A}, (Y )
{Y B}.

8.2

:
?
?

8.3

:
E(Y |A), Y - A - . E(Y |A) - .
E(Y |H), Y - H - -. E(Y |H) -
.
29

9.1

E(Y |A) ,
. E(Y |A) , E(Y ),
P() P(|A). A -
, C P(C)
P (C) := P(C|A). . (...) , P - - F.
() :
30.1. Y A, P(A) > 0
:
Z
E(Y |A) := EP (Y ) =
Y dP ,
(30.2)

P () := P(|A).
:
30.3. Y A, P(A) > 0
:
E(1A Y )
(30.4)
E(Y |A) :=
P(A)
30.5. 30.1 30.3 .
. C .
:
Z

Y dP =

n
X

Yi P(Y = yi |A) =

i=1

n
X

yi

i=1

P(Y = yi A)
P(A)

X
 E(1 Y )
1 X
1
A
E
(30.6)
=
yi E(1A 1Y =yi ) =
yi 1Y =yi 1A =
P(A) i=1
P(A)
P(A)
MCT...

9.2

. .

-!
- -.
. (...)
30.7. A1 , ..., An , P(Ai ) > 0 H = ({Ai }),
X
E(Y |H) :=
E(Y |Ai )1Ai
(30.8)
i

, A1 , E(Y |H) E(Y |A1 ),

A2 , E(Y |H) E(Y |A2 ) ..
, Ai , E(Y |H) .
Y := E(Y |H).
E(Y |H)?
-, E(Y |H) , , Y .
Ai Y .
E(Y |H) Ai E(Y |Ai ),
, Y Ai .
()
30

 Y H- . H , E(Y |H)
Y . , ||Y E(Y |H)||L2 -
.
()
Y . .
Y Y ! , Y -
:

E(Y ) = E(Y )

Cov(X1 , Y ) = Cov(X1 , Y )
(31.1)
Cov(X2 , Y ) = Cov(X2 , Y )

...

Cov(X , Y ) = Cov(X , Y )
n
n
Xi - 1 H- .
31.2. .

H.
-.
. :
.
Ai . - -.
- - (
-).
. , ,
.. L2 . L2 L1 .
. , . , .. ,
. .
. -.
- H, -, X, H = (X). E(Y |(X))
E(Y |X). X , (X)
-, E(Y |X) 30.8.
E(Y |X) Y X. E(Y |X)
X, X , E(Y |X)
.

9.3

. .

31.3. H - - Y - E(Y ) < .

E(Y |H) Y
:
Y H-
A H : E(Y 1A ) = E(Y 1A )
, H , E(Y ) = E(Y ).
1

: , n.
- Ai

31

 , E(Y ) < ? , .
: ( )
,
32.1. H - -, ... ... .
.
:
32.2. E(Y ) < H - -, Y = E(Y |H).
Y 0 = E(Y |H), P(Y = Y 0 ) = 1.
.
. Y > 0, - H
(A) := E(Y 1A ). H
P . - H
Y , (A) = E(Y 1A ). Y
Y = Y + Y .
. Y Y 0 H-, A = {Y Y 0 >
} H. E((Y Y 0 )1A ) = E(Y 1A ) E(Y 0 1A ) = E(Y 1A ) E(Y 1A ) = 0. ,
E((Y Y 0 )1A ) > E(1A ) = P(A). P(A) = 0 . (Y > Y 0 ) =
=1/n A(). , P(Y > Y 0 ) = 0. ,
P(Y 0 > Y ) = 0.
:
?
H :
E(Y |X), X Y
, :
32.3. X, Y p(x, y),
E(Y |X) :
Z +
E(Y |X) =
y p(y|X)dy
(32.4)

p(y|x) - , p(y|x) =

p(x,y)
.
p(x)

.
. .
,
Y .
, E(Y 1A ) = E(Y 1A )
A H:
32.5. M - (
A, B M, A B M), H = (M), E(Y ) = E(Y ) < .
E(Y 1A ) = E(Y 1A ) A M, E(Y 1A ) = E(Y 1A ) A H.
32

. N , E(Y 1A ) = E(Y 1A ).
, N - -. N M . N -, - H
M. .
N . A N , Ac N , .. E(Y 1Ac ) = E(Y ) E(Y 1A ) =
E(Y ) E(Y 1A ) = E(Y 1Ac ).
Ai N , Ai N . Ai DCT.
.
M.
, , E(Y |X), .. H = (X),
X, X 6 t.
11.2.
...
-
, :
33.1. E(Y |X) E(Y |X) = f (X), f .
.
, E(Y |X) X. E(Y |X) ,
X!
:
, f ! , f1 f2
, f1 (X) = f2 (X) .
E(Y |X = x) ( Y , X = x).
P(X = x) > 0, . P(X = x) = 0,
E(Y |X) = f (X). , , E(Y |X = x) := f (x).
, X Y :
Z +
E(Y |X = x) =
yf (y|x)dy
(33.2)

, ! , f
, . ,
x f (x)!
.
33.3. -. X Y
:

1, 0 < y < 1, y < x < 1 y
pX,Y (x, y) =
(33.4)
0, otherwise
+ 1. :
U = X
Y
) pY |X (y|x)
) pU,Y (u, v) pY |U (y, u)
) , X = 0 U = 1?
) , pY |X (t|0) = pY |U (t, 1)?
) ?
33


?
X - H , E(X|H) = E(X). ,
:
34.1. X N (0; 1). X X 2 ? E(X|X 2 ).
. , E(X|X 2 ) = 0 = E(X)
, :
34.2. X Y E(f (X)|Y ) =
E(f (X)) f .
. X Y , f (X) Y . E(f (X)|Y ) =
E(f (X)).
...
, X Y , , E(X|H) E(Y |H) ?
.
X Y . (???)
. -
? , ! ,
(???) X Y
(??? )
! ,
20 , X - 10 , Y 10 , Z - 6- 15-. ,
X Y , E(X|Z) = E(Y |Z) = Z2 + 52 .
X Y E(XY |H) = E(Y |H) E(Y |H),
?
,
X Y ,
  .


Z(Z+8)
1
5 2
Z
+ 4 6= 2 + 2 .
, E(XY |Z) = 25
90

9.1.
Y = E(Y |H), H - -. X - H-
, . , Cov(X, Y ) = Cov(X, Y )
9.2.
, Y1 , Y2 H, E(Y1 |H) E(Y2 |H) , Y1 Y2 .

9.4

10

http://www.stats.uwaterloo.ca/~dlmcleis/s901/s901_2005.pdf http://www.mathematik.
uni-muenchen.de/~lerdos/WS04/FA/compl.pdf
X, ?
! ,
, p(t). p(t) := P(X = t).
,
, F (t) := P(X 6 t). : ,
n X - .
34

 ,
.
:
, gX (t) := E(tX )
, mX (t) := E(etX )
, X (t) := E(eitX )

10.1

X ,
35.1. gX (t) := E(tX )
X.
. (...)
.
gX (t) = E(tX ) =
...
. ....
:
35.2. gX (t) gY (t),
X Y .
:
35.3. gX (t) gY (t), :
gX+Y (t) = gX (t) gY (t)

:
35.4. gX (t) E(X), :
0
E(X) = gX
(1)

00
E(X(X 1)) = gX
(1)

000
E(X(X 1)(X 2)) = gX
(1)

...
.
. X Bin(n, p). gX (t).
. X =
X1 + X2 + ... + Xn . , gXi (t) =
pt + 1 p. gX (t) = (pt + 1 p)n
:
.

, .

10.2

.
35

 35.5. Z

z := E(Re(Z)) + iE(Im(Z))
(35.6)
, E(|Z|) < .
- :
E(cZ) = cE(Z), c C
E(Z1 + Z2 ) = E(Z1 ) + E(Z2 ), .

10.3

, - / . :
, g(t) = E(tX )
, m(t) = E(etX )
, (t) = E(eitX ).
?
(, ...)
!
-, .
X Y , .
X Y - ,
: gX+Y (t) = gX (t)gY (t). :
!
E(X k ),
.
, .
?
. ...
.
21 1 .
, !
36.1. X 1, 2 4 0.1, 0.4 0.5 .
1.
2.
3.
:
1. gX (t) = 0.1t1 + 0.4t2 + 0.5t4 ,
2. mX (t) = 0.1et + 0.4e2t + 0.5e4t ,
3. X (t) = 0.1eit +0.4e2it +0.5e4it .
: X (t) = 0.1 cos(t)+0.4 cos(2t)+0.5 cos(4t)+i(0.1 sin(t)+0.4 sin(2t)+
0.5 sin(4t)).
, , - ! :
36.2. X :
1. gX (t) = 0.6t5 + 0.4t7
2. mX (t) = 0.7e3t + 0.3e27t
3. (t) = 0.5(1 + cos(t)) + i 0.5 sin(t).
1

, ,

36

, , :
1. X 5 7 0.6 0.4 .
2. X 3 27 0.7 0.3 .
3. , 1 = cos(0 t) 0 = sin(0 t), phiX (t) =
0.5ei0t + 0.5ei1t . X 0 1.
:
, , .
37.1. , g(t)
,
.
. Z = X + iY - , ( ),
E(Z) = E(X) + iE(Y ). , eitX = cos(tX) + i sin(tX). ,
E(eitX ) E(cos(tX)) + iE(sin(tX)). ,
. , ,
.
37.2. X [0; 1]. : (t) =
R1
R1
E(eitX ) = E(cos(tX)+i sin(tX)) = 0 cos(tx)dx+i 0 sin(tx)dx = sin(t)
+i cos(t)1
. t = 0, ,
t
t
, (0) = 1.
, ,
: (...)
? :
3- ()
: Re((t)) Im((t)):
: |(t)| arg((t)) (
, [0; 2)
)
, , , X (.. P(X 6 t) = P(X > t)
t), , Im((t)) = 0 . ,
.
37.3. X 1 (1).
? (t) = E(eitX ) = 0.5eit + 0.5eit = 0.5(cos(t)
i sin(t)) + 0.5(cos(t) + i sin(t)) = cos(t). , .

10.4

(0) = 1
, (0) = E(cos(0 X)) + iE(sin(0 X)) = 1
|(t)| 6 1 t
|(t)| = |E(cos(t X) + i sin(t X))| 6 E(| cos(t X) + i sin(t X)|) = 1
X (t) = (X (t))- !
aX+b (t) = eiat (bt)
X Y , X+Y (t) = X (t)Y (t)




X+Y (t) = E eit(X+Y ) = E eitX eitY




= E eitX E eitY = X (t)Y (t), (37.4)
37

 eitX eitY
X , Im(X (t)) = 0

10.5

10.6

.
, ,
.
. .
. .
.
. , . T - . E(1/T ).
R1
, 1/T = 0 xT 1 dx.
R1
... E(1/T ) = 0 E(xT 1 )dx.
E(xT ) - , !
: / !
?

10.7

...

A unified method to sum a variety of infinite series with applications

10.8

11
11.1

- , .

.
.
38.1. Xi -
, P
+1 (1). Sn = ni=1 Xi
.
Sn - ,
.

:
1. a b - . ,
a, b? , Sn
a , b?
2. , 1?
3. , a b?
38

4.
5.
6.
7.

, a?
, 0?
a?
a
0?
, , . .
. !
1. a b - . ,
a, b? , Sn
a , b?
, , x {b, b + 1, ..., a}.
px . , pa = 1 pb = 0.
x :
px = 0.5px1 + 0.5px+1
px px = 0.5px + 0.5px ,
px px1 = px+1 px
, px pb = 0 pa = 1.
b
, p0 = a+b
.
2. , 1?
m - . . , 1 ,
-, , .
1 ( ),
1 m , 0
m , 1. :
m = 0.5 1 + 0.5(1 + 2m)

(39.1)

, . , , m = +.
3. , a b?
ek - , , k.
: ea = 0 eb = 0. :
ek = 1 + 0.5ek1 + 0.5ek+1

(39.2)

, , , ,
. , - , a b.
, - ek = (k a)(k + b). , . , e0 = ab.
4. , a?
- 1. p.
1 0.5, .
, - 1 -
0, - 1. :
p = 0.5 1 + 0.5p2

(39.3)

p = 1. -, ,
- 1 - , ,
.
39

 a. 1 -
0 1. - 1 1 2 ..
1 - a.
5. , 0?
( ).
1 0.
6. a?
C 1 a .
. 1 a. a
.
7. a
0?
...
.

11.2

-. .

- . ,
. Xi , 1, i-
0, . X1 , X2 , ... - .
, ( ) .
. Xi
T .
- , ,
?
. Xi ,
. 10 X1 , ..., X9 . 1000
X1 , ..., X999 .
! , ,

.
!
40.1. Fn0 = (Xn , Xn+1 , ...) - - ,
n. - - n Fn0 .
() , , .
- -
. , ( )!
40.2 ( 0-1 ). Xi -
, H - -, H H
P(H) = 0 P(H) = 1.
.
40.3. A - -- . -,
0, 1. ... 1.

11.3

40.4. (, F, P ) - . {Ft } , Fn Fn+1 Fn F n.

40

 , Fn - , n.
( ), .
41.1. Xn Fn
n Xn Fn -.
, n, , - Fn
, , Xn .
, : F1 := (X1 ), F2 := (X1 , X2 ), F3 := (X1 , X2 , X3 )
..
41.2. Xn {Fn }, :
M1. n E(Xn ) .
M2. Xn Fn .
M3. E(Xn+1 |Fn ) = Xn a.s.
M3 :
- .
, .
:
41.3. Xn , :
M1. n E(Xn ) .
M3. E(Xn+1 |Xn , Xn1 , ..., X1 ) = Xn a.s.
, .
.
41.4. . - :
E(Xn+1 |Fn ) = E(Xn + In+1 |Fn ) = Xn + E(In+1 |Fn ) = Xn + E(In ) = Xn , (41.5)
, Fn = (X1 , X2 , ..., Xn ) = (I1 , I2 , ..., In ). In+1
Fn , Xn Fn .
.
. , , E(X
Pn+1
Xn |Fn ) = 0. , In - , E(In ) = 0, Xn = ni=1 Ii
- .
41.6. .
. X1 = 1, In -
Qn
E(In ) = 1. Xn = i=1 Ii .
:
E(Xn+1 |Fn )

E(Xn In+1 |Fn )

Xn E(In+1 |Fn )

Xn E(In )

Xn , (41.7)

! , , ,
!
? .. , ?
iid...
Ii - E(Ii ) 6= 0.
P
1. ! Xn := ni=1 Ii nE(Ii ).
2.
. a > 0, E(aIi ) = 1.
Pn
Xn := a i=1 Ii .
... [ ?]
3. Xn - , f , Mn = f (Xn ) .
41

 41.8. X1 = 1, ,
. n pnn+1 = n+1
pnn1 = n1
.
2n
2n
f , f (Xn ) - .
. f (Xn ) - , af (Xn ) + b -
.. f (Xn ) - , :
f (n) = pnn1 f (n 1) + pnn+1 f (n + 1)

(42.1)

n+1
n1
f (n 1) +
f (n + 1)
(42.2)
2n
2n
? n g(n) =
nf (n). , g(n) = c1 +c2 n. .. f (n) = cn1 +c2 .
, , f (n) = n1 . .. Mn =
1/Xn - . , Mn := 0 ,
Xn .
! !!!
42.3. 4. . X
E(X) < Fn . Xn
Xn := E(X|Fn ).
, . ...
:
-, .
-, . (...)

.
f (n) =

11.4

42.4. , {1, 2, ...}

{+} , { = n} Fn n.
, , n
n. , ( ,
{ = n} - Fn , ).
42.5. , -, , . ,
, n, .
- -.
, , - .
42.6. (first hitting time). - ,
- 1000, = min{n|Xn > 1000}. ,
1000, = +.
:
. , , { = n} { 6 n}
{ > n}
. - , { < n}, { 6 n}, { = n}, { > n}
{ > n} Fn .
.
, = a - ?
1 2 - , 1 2 , 1 2 , 1 + a 1 + 2 -
?
42

11.4.1

-, ,
.
43.0. - .
F := {A F|A { = n} Fn , n}

(43.1)

43.2. - ,
A = { } F .
Fn .
B = { } F .
F , ,
.
,
N , A , - , A F
.
F - -.
Fn , n, - F
, ( ).
.
, = n 6 n.
.
- , F - - F .
.
N n FN = Fn N + FN = F
.
< + - Yn Fn , Y F .
Pn
P
, ,
i=1 Yi maxn6
i=1 Yi F .
.
M N - , FM FN = FM N
"": F :)
. N - , FN n Fn
.
M 6 N - . - FM FN ?
.
T - , A FT m 6 n. A {T = m} FT n
.
T1 , T2 , T3 , ... - T = limn+ Tn . T -
.
.
T1 > T2 > T3 > ... - T . ,
FT = n FTn .
T1 6 T2 6 T3 6 ... - T .
, FT = (n FTn ).
,
T.
:
43

[[

(Tl = T = n)

n L=1 l=L

11.5

[stirzaker:prp ], [chang:sp ], [ross:scp ]

Xt - t .
, , ,
. , T .
- , .
XT - . ,
, E(XT )?
: ,
, E(XT ) = E(X1 ).
:
. E(XT ) = E(X1 ) :
( ),
. ? , ,
E(T ) = +.
, , XT (
) , P(T < ) = 1.
:
Xt - , T - , P(T < ) = 1,
:
TD1. T , M , T < M .
TD2. XtT , M , t
|XtT | < M .
TD3. E(T ) < + M , t E(|Xt+1
Xt ||Fn ) < M .
TD4. E(|XT |) < limt E(Xt 1T >t ) = 0.
TD5. Xt .
: E(XT ) = E(X1 ).
.
(?).
... , ...
( - ?
- ) .
. Walds identity.
( , ),
. , ,
, .
Xi - P T - E(T ) < , E( Ti=1 Xi ) = E(Xi )E(T ).
:
P
Mt = ti=1 Xi t E(Xi ) - .
P
P
, E(MT ) = E(M1 ). E(M1 ) = 0, MT = Ti=1 Xi T E(Xi , E( Ti=1 Xi ) =
E(Xi )E(T ).
44

 . ,
. ,
. , - . ,
: .
. !
. .
0
1 . a
, b - .
, ?
?
: Xt - T - . T
- (a b), |XtT | 6 max{a, b}. T
.
(a + b) . (b; a)
. , .

(b; a) (1/2)a+b ( , (a + b)
).
M
p = (1/2)a+b . , P(T = ) 6 P(M = ) = 0 E(T ) 6 (a + b)E(M ) = (a + b)2a+b .
(ii) , E(XT ) = E(X1 ). E(X1 ) = 0.
XT a b. a
b
p. pa + (1 p)(b) = 0 p = a+b
.
2
, Mt = Xt t - : E(Mt+1 Mt |Ft ) = E(2Xt Xt+1 +
(Xt+1 )2 1|Ft ) = 2Xt E(Xt+1 |Ft ) + E((Xt+1 )2 ) 1 = 0 + 1 1 = 0.
??? (iii) , E(MT ) = E(M1 ). E(M1 ) = 0,
MT = XT2 T , E(XT2 ) = E(T ). XT2 : a2 b2 ,
a
b
E(T ) = a2 a+b
+ ba a+b
= ab.
.
0
. ,
p > 1/2, - (1 p). a
, b - .
, ?
?
: Xt - T - , ..
.
? :
Xt Mt = uXt , u , Mt
. u u =
6 1, . u = 1 Mt
1.
u . , Mt : E(Mt+1 |Ft ) = Mt .
E(uXt+1 ) = 1 p u1 + (1 p) u1 = 1. ,
u = 1 u = 1p
, .
p
P(T = ) = 0, E(T ) <
T . MtT
.
1

4 , .

45

 (ii) , E(MT ) = E(M1 ). MT

: ua ub , E(M1 ) = 1. p - a
( ). pua + (1 p)ub = 1 p = ...
.
...
E(T ) Yt = Xt t E(Xt ) ,
, .
E(YT )
: E(T ) = E(X
= ...
t)

. ABRACADABRA [ross:scp ][williams:pwm ]

,
.
-:
? ?
. !
1 .
: (
, , .. ,
). ,
, 33 , - .
Xt - , t.
Xt
Xt = Y1t + ... + Ytt . Yit - i-
t. , Yit - , .. -
, 1/33 33 .
, E(Yit ) = 1.
t, Mt = Xt t : E(Mt+1 Mt |Ft ) = E(Y1,t+1 Y1,t |Ft ) + ... +
E(Yt,t+1 Yt,t |Ft ) + E(Yt+1,t+1 1|Ft ) = 0.
, , . 3311 , 334
33 . MT = 3311 + 334 + 33 T . ,
Mt 1T >t 6 (3311 + 334 + 33)1T >t .
T .
11 ,
. , .
L p = 33111 E(L) = 3311 .
T < 11L E(T ) < E(11 L) = 11 3311 .
P(L > t) t .
E(Mt 1T >t 6 (3311 + 334 + 33)E(1T >t ) 6 (3311 + 334 + 33)P(L < t/11) .
(iv) , E(MT ) = E(M1 ). E(MT =
11
(33 + 334 + 33) E(T ), E(M1 ) = 0, E(T ) = 3311 + 334 + 33.
. :
, - .. Xt ,
t , Mt =
Xt (1 + 2 + ... + t) = Xt t(t+1)
.
2

MT = (T 10) 3311 + (T 3) 334 + T 33 T (T2+1) .
E(T ) < E(Mt 1T >t ) 0 ...
(iv) , E(MT ) = E(M1 ). E(MT ) = 0.
E(T 2 ), V ar(T ) = E(T 2 ) E(T )2
V ar(T ) = (3311 + 334 + 33)2 (11 3311 + 4 334 + 33).
. - [morters:m ], [winkler:gpdp ]
46

 36 , .
.
. ,
.
:
, ?
? ?
. Xt -
t . t (36 t) ,
(36 t)Xt . Xt ( )
.
t +Xt (1)
E(Xt+1 |Ft ) = E(Xt+1 |Xt ) = (36t)X
= Xt .
36t1
, Xt - . T 36 , 4
, (i) E(XT ) = E(X0 ) = 36

.
. ,
, : , .
4
, 36
.
4/36
. ...
n .
n . , . ,
. , ,
. , .
:
) ,
)
. N1 -
. N : N1 = X1 + ... + Xn ,
Xi - 0 1 , i- .
E(Xi ) = P(Xi = 1) = 1/n E(N1 ) = n n1 = 1. ,
.
. Yt = N1 + ... + Nt
- t. , E(Yt ) = t.
Mt = Yt t - , E(Mt+1 |Ft ) = E(Mt+1 |Mt ) = E(Mt +
Nt+1 1|Mt ) = Mt . Mt+1 Mt = Nt+1 1 n.
T , , E(T ) < . ,
, ,
1/n.
() 1/n, 1 1/n
, ( ,
).
n
, n2 . , E(T ) < n2 .
(iii) , E(MT ) = E(M1 ). MT = YT T =
n T E(M1 ) = E(N1 1) = 0, , E(T ) = n.
[aops:keys ]
Ballot problem [ross:scp ]
. [li:ma ].
. ? ,
47

 ?
. ???
. ???
. - [winkler:gpdp ]
- . 100
1,2,..., 100. 59 72,73,..., 130.

. a b,
a
b
a+b
, - a+b
.
( a + b), ( 0).
.
, :
.
? ?
. Xt - t
b
a
b + a+b
(a) = 0.
. Xt - : E(Xt+1 Xt |Ft ) = a+b
T , .. , T < 100 + 59.
(i) , E(XT ) = E(X0 ).
, X0 = 50 101. XT
: 0, , 50 101 + 59 101. p -
50
, (1 p) 0 + p (109 101) = 50 101. p = 109
.
, .. !
[stirzaker:prp ], [stirzaker:otep ], [zastawniak:bsp ], [blom:pspt ]
.
Xt - .
E(T ST ),
. [wilmott:chap ]
. 10 .
.
, .
.
5 . T - ,
, Xt t.
, E(T ) = E(ln XT )
. , Xt+1 = Xt Ut+1 , Ut t
[0; 1]. : ,
- . : Mt = ln(Xt ) + t.
: E(ln XT ) + E(T ) = 0 .
. .
,
. T , . 1
E(T 2 ) E(T ).
.
.
:
1 , , 365 , ,
( ,
1

E(T ) ,
. , E(T ) 23,

48

 ). Xt -
t . , Xt - .
T , T 6 365. (i) ,
E(XT ) = E(X1 ). E(X1 ) = 0, XT = 365 (1 + 2 + ... + (T 1)) = 365 T (T21) .
E(T 2 T ) = 2 365.
. ( ), [blom:pspt ]
0
. ( )
p, - (1 2p).
a , b .
, ?
?
. ( ), [blom:pspt ]
0
. pl ,
- pr , - (1 pl pr ).
a , b .
, ?
?
. 1 .
E(T )
. [stirzaker:otep ], 12-13
.
. T - ,
. E( T T+2 )
. ( Kingman, Martingales in the OK Corral)
d , - .
, .
.
. .
S - . , Xt Yt -
t. E(S 4 ) d . :
f , f (Xt , Yt ) - ?
.
, f (Xt , Yt ) - :
f (m, n) =

n
m
f (m 1, n) +
f (m, n 1)
n+m
n+m

(49.1)

, - ...
... , f (m, n) = (m + 0.5)2 (n + 0.5)2 , f (m, n) = (m + n + 1)(m + n +
2)(m + n + 3(m n)2 ), ...
0 = 0, ...
,
Mt = (Xt +Yt +1)(Xt +Yt +2)(Xt +Yt +3(Xt Yt )2 ) = (2dt+1)(2dt+2)(2dt+3(Xt Yt )2 ) (49.2)
:
(2d + 1)(2d + 2)2d = M0 = E(M ) = E((S + 1)(S + 2)(S + 3S 2 ))
49

(49.3)

 , E(S 4 ) 83 d3 .
. . [stirzaker:prp ], 12.5
( )
. r > 0, 0 < r <

1/cos( a+b
) 1.
?
. . [stirzaker:prp ], 12.7
x x . ?
. . [stirzaker:otep ], 12-17
50.1. X1 = 1, ,
2
n2
. n pnn+1 = n2(n+1)
pnn1 = n2 +(n+1)
2 .
+(n+1)2
, . - f ,
f (Xn ) . , -
.
. . ..
, Xn 0, .
f (0) - . f (1)
. f (0) = 0
f (1) = 1. . f (0) = f (1) = 0,
, , Mn := 0.
.. f (Xn ) - , :
(50.2)

f (n) = pnn1 f (n 1) + pnn+1 f (n + 1)

, f (k) =

1
i=1 i2 .

Pk

- 0?
0 , n, P(0 < n ). i - ,
i, 0 i , ,
i = .
. , i:
(50.3)

f (1) = M1 = E(M1 ) = E(Mi ) = P(i < 0 )f (n) + P(i > 0 )f (0)

, ...
, P(n < 0 ) =

f (1)f (0)
f (n)f (0)

f (0) = 0 f (1) = 1 : P(n < 0 ) =

Pn 1

1
i=1 i2

, -
. B = { - }
B =
n=1 {n < 0 }. ,
(...) : P(B) = limn P(n < 0 ) = P1 1 .
i=1 i2

, i=1 i12 = 6 , - http://en.wikipedia.

org/wiki/Basel_problem. , P(B) = 62 .
50.4.
50

11.6

11.7

12

-
. ? , Xt (
t) , X(t),
, Xn (t).

12.1

12.2

,
...

- - :

X1

~ = X2
X
...
Xn

(51.1)

- ,
-.
X - E(X) V ar(X).
:

E(X1 )

~ = E(X2 )
E(X)
(51.2)
...
E(Xn )
:

V ar(X1 )
Cov(X1 , X2 ) ... Cov(X1 , Xn )

V ar(X2 )
... Cov(X2 , Xn )
~ = Cov(X2 , X1 )

V ar(X)

...
Cov(Xn , X1 ) Cov(Xn , X1 ) ...
V ar(Xn )

(51.3)

i- j- Cov(Xi , Xj ).
i- , Cov(Xi , Xi ) = V ar(Xi ). - ,
.
, : A0 .
.
, :
V ar(X)0 = V ar(X).
, : V ar(X) = E[(X
E(X))2 ] = E(X 2 ) E(X)2
51

 :
~ = E[(X E(X)) (X E(X))0 ] = E(XX 0 ) E(X) E(X)0
V ar(X)

(51.4)

. .
:
A - b - , :
~ + b) = AE(X)
~ +b
1. E(AX
~ + b) = E(X)A
~
2. E(XA
+b
3. V ar(AX + b) = AV ar(X)A0 .
4. V ar(X) - , n (
), n X.
- .

.
~ ,
X
:
~ + , Z
~ X
~ = AZ
~
1. X

2. c1 X1 + c2 X2 + ... + cn Xn

~ :
3. X


1 0
0
(~u) = exp i u u V u
(52.1)
2
det(V ) 6= 0 :
~ ,
X
~ :
1. X


1
1
0
n/2
1/2
p(~x) = (2)
(det(V ))
exp (~x )V (~x )
(52.2)
2
, .


. .
! N (, 2 ), > 0,
c


1
(x )2
p(x) =
exp
(52.3)
2 2
2 2
, N (, 0) .
.. .
,
, .
...
a b - .
52

 52.4. X X = aZ+b, Z N (0, 1),

, X N (b, a2 ). , , a 6= 0,
, X .
, .
A - , b - . .
53.1. X = AZ + b, Z Zi N (0; 1),
, X N (b, AA0 ). , , A
, det(A) 6= 0, , X
.
, ,
. ,
, .
53.2. X ,
:

 
 
 

X1
0 1
Z1
Z1
=

=
(53.3)
X2
0 1
Z2
Z1
...
53.4. X N (b, AA0 ),



1
n/2
0 1/2
0 1
0
p(~x) = (2)
(det(AA ))
exp (~x b)(AA ) (~x b)
(53.5)
2
,
, :


1
0 1
0
p(~x) exp (~x b)(AA ) (~x b)
(53.6)
2
.

, , : , !
.
.
, W (u) =
exp(iu)1
, : , [0; 1]!. iu
(u) = (p cos(u) + ip sin(u) + 1 p)n ,
Bin(n, p).
:
53.7. W : R C:
W (u) := E(cos(uW )) + iE(sin(uW ))
(53.8)
:
W (u) := E(exp(iuW ))

(53.9)

- , W E(sin(uW )) E(cos(uW )). .

,
:
53

 53.10. X1 X2 . F1 (t)
F2 (t) 1 (u) 2 (u)

, . ,
, .

54.1. X N (b, AA0 ), ,



1 0
0
(~u) = exp i u u V u
(54.2)
2
.
54.3. X = (X1 , ..., Xn ) ( ) Y = c1 X1 +c2 X2 +...+cn Xn
( ).
. X - , X = AZ + b. , Y =
c1 X1 + c2 X2 + ... + cn Xn = ~cX = ~cAZ + ~cb. Y 53.1
.
...

, V ar(X) 6= 0, X , .. :
X E(X)
Z := p
V ar(X)

(54.4)

Z: E(Z) = 0, V ar(Z) = 1.
~
, V ar(X) , X
, ..
.
~ := (V ar(X))1/2 (X
~ E(X))
~
Z
1

(54.5)

, A 2 .
. A , A = P DP 1
D - ,
1
1
A. , , A 2 = P D 2 P 1 .
- , ,
.
N (0; 1) .
54.6. N (165, 25).
. ,
( ), - ?
:
>165X2 >165)
X1 - , X2 - . P(X2 > 165|X1 > 165) = P(X1P(X
=
1 >165)
2P(X1 > 165 X2 > 165).
54

 , . ,
...
Z1 Z2 ...

54.3 , :
~ ,
55.1. X
~
Xi . , X
, Xi .
. , X1 X2
, .
55.2. X1 N (0; 1), K
1 1, K X1 .
X2 = K |X1 |

(55.3)

, X2 . x:
P(X2 6 x) = P(K = 1) + P(K = 1) P(|X1 | 6 x) =
= 0.5 + 0.5P(|X1 | 6 x) = 0.5 + P(X1 [0; x]) = P(X1 6 x) = F (x) (55.4)
x !
, X1 + X2 .
, X1 + X2 . ,
P(X1 + X2 = 0) = P(X1 + K|X1 | = 0) = P(K 6= sign(X1 )) = 0.5

(55.5)

(X1 , X2 ) , X1 + X2
. , X1 X2 :
Cov(X1 , X2 ) = E(X1 X2 ) E(X1 )E(X2 ) = E(X1 X2 ) = E(X1 K |X1 |) =
= E(K)E(X1 |X1 |) = 0 (55.6)
X1 X2 , .
. , , .. |X1 | = |X2 |.

.
...

, (X, Y ) . Y , X
.
! X Y
:
X E(X)
Y E(Y )
Z1 =
, Z2 =
(55.7)
X
Y
55

, Z1 N (0; 1) Z2 N (0; 1) Corr(Z1 , Z2 ) = Corr(X, Y ).

Z2 Z1 :
p(z2 |z1 ) =

p(z1 , z2 )
p(z1 )

(56.1)

z2 , p(z1 ) .
z2 :
1  !
1
1
z1
=
p(z2 |z1 ) p(z1 , z2 ) exp (z1 , z2 )

1
z2
2


  
1
1
z1
= exp
(z1 , z2 )
=
2

1
z2
2(1 )






1
1
2
2
2
(56.2)
= exp
z 2z1 z2 + z1
exp
(z2 z1 )
2(1 2 ) 2
2(1 2 )


:


(x )2
p(x) exp
(56.3)
2 2
, 2 = 1 2 = z2 . :
56.4. Z1 Z2 , E(Zi ) = 0,
V ar(Zi ) = 1 Corr(Z1 , Z2 ) = , Z1 Z2
:
E(Z2 |Z1 = z) = z
(56.5)
V ar(Z2 |Z1 = z) = 1 2

(56.6)

:
1.
.
2. Z2 Z1 . ,
.
X Y , X = x ,
x
Z1 = x
, , Y = y + y Z2 .
x
, :
56.7. X Y , X N (x , x2 ),
Y N (y , y2 ) Corr(X, Y ) = , Y X
:
x x
E(Y |X = x) = y + y
(56.8)
x
V ar(Y |X = x) = (1 2 )y2

(56.9)

: X Y ,
Y
X .

56.10. R : R0 R = I det(R) = 1
?
56

 RR0 = I :
1. R~x , ~x:
|~x|2 = ~x0~x = ~x0 R0 R~x = (R~x)0 (R~x) = |R~x|2

(57.1)

2. ~x ~y R~x R~y
cos(~x, ~y ) =

~x0 R0 R~y
(R~x)0 (R~y )
~x0 ~y
=
=
= cos(R~x, R~y )
|~x||~y |
|R~x||R~y |
|R~x||R~y |

(57.2)

R0 R = I det(A) = 1.
det(R) = 1 .
. , R0 R = I . ,
.
. ek = (0, 0, . . . , 0, 1, 0, . . . , 0)0 .
:
57.3. Ann -
,
1. A n
2. A
A = RDR1 = RDR0
(57.4)
, D A, R
A.
:
57.5. ,

(~x ~x0 )0 A(~x ~x0 ) = 1

(57.6)
, A . ~x0 .
.
?
A A = R0 DR, R , D
A. ,
:
(R(~x ~x0 ))0 D(R(~x ~x0 )) = 1
(57.7)
~z = R(~x ~x0 ), :
n
X

dii zi2 = 1

(57.8)

i=1

:
57.9. (~x ~x0 )0 A(~x ~x0 ) = 1 A

. i A,

1/ i .
!
57.10. .
. .
. :
57

 57.11. E ~a V , ~a
V 1 1/.
. ~a V , :
V 1 (V ~a) = V 1 (~a) = V 1~a

(58.1)

(V 1 V ) ~a = ~a

(58.2)

1
V 1~a = ~a

(58.3)

p(~x) = const

(58.4)

:
.. V 1~a = ~a. :

, X N (~; V ).

, :
(~x
~ ) V 1 (~x
~ )0 = const

(58.5)

1
V 1 .
.. A = const
A, V .
A,
V .

58.6. X N (0; V )

V =

5 1
1 9

(58.7)

p(x1 , x2 )
.
. . . R Sage!

( ).
:
~ N (~0, I)
58.8. R Z
~ N (~0, I)
RZ
-
,
P
58.9. W W = ki=1 Zi2 , Zi
, , W c k .
, , - -
.
58.10. , Xi N (; 2 ) ,
n
1 X
n )2 2n1
(Xi X
(58.11)
2
i=1
58

 , Xi .
...
:
~
59.1. Z
A , ,

~ 0 AZ
~ 2
Z
(59.2)
r
r A .
. A A = R0 DR. :
(59.3)

~ 0 AZ
~ =Z
~ 0 R0 DRZ
~ = (RZ)
~ 0 D(RZ)
~
Z

~
, RZ
~ = RZ,
~
58.8. W
~ 0 AZ
~ =W
~ 0 DW
~ =
Z

n
X

(59.4)

dii Wi2

i=1

D A, .. dii ,
~ 0 AZ
~ r
. , Z
.
59.5. A , ,
A2 = A
. :
A2 = (R0 DR)(R0 DR) = R0 D(RR0 )DR = R0 DDR = R0 D2 R

(59.6)

A = R0 DR. A2 = A D2 = D. D
, D2 = D , ,
.
59.7. ... ...

.
59.8. Z N (0; 1), :
1 exp(x2 /2)
1 exp(x2 /2)

6
P(Z
>
x)
6
,
x
2 x + x1
2

x>0

(59.9)

. , exp(t2 /2)0 = t exp(t2 /2). :

Z
P(Z > x) =
x

1
exp(t2 /2)dt 6
2
Z
6
x

 
t
1
1 exp(x2 /2)
exp(t2 /2)dt =
(59.10)
x
x
2
2
59

, (t1 exp(t2 /2))0 = (1 + t2 ) exp(t2 /2). :

Z
P(Z > x) =
x

1
exp(t2 /2)dt >
2


1 + t2
1
exp(t2 /2)dt =
2
1+x
2
x
1
exp(x2 /2)
1 exp(x2 /2)
1

=
=
(59.11)
x
2 1 + x2
2 x + x1

60.1. Z N (0; 1), :

2x
2x

6 P(|Z| 6 x) 6 ,
2e
2

0<x61

(60.2)

. |t| 6 1,

1
1
1
6 exp(t2 /2) 6
2e
2
2

(60.3)

x x .
... (?) ...
?
, . ,
.
X Y .
:


1 2
2
p(x, y) = c exp (x + y )
(60.4)
2



1 2
2
f (x, y) = exp (x + y )
2

(60.5)

f (x, y) (x, y) .
.
( ):
...
,
R b . ,
V ol = a r2 (t)dt.
: a = 0, b = f (0, 0) = 1, r(t) :


1 2
exp r (t) = t
(60.6)
2
r2 (t) :

r2 (t) = 2 ln(t)
60

(60.7)

 :
Z
Z 1
2
r (t)dt =
V ol =

Z
(2 ln(t))dt = 2

ln(t)dt = 2

(60.8)

ln(t) , , :
Z 1
Z
ln(t)dt =
exp(t)dt
0

(61.1)

:
R
0 exp(t)dt
[apostol:visual_calculus ] :
:
exp(x) .
.
.
, . .
, f (x, y) 2. ,
p(x, y) :


1
1 2
2
p(x, y) =
exp (x + y )
(61.2)
2
2
p(x, y) = p(x)p(y), :


1
1 2
p(x) = exp x
2
2

(61.3)

61.4. Xn
n (u). , X
(u). Xn X
n (u) (u).
.
61.5. Xt ,
(Xt1 , Xt2 , ..., Xtk ) ( ).
,
, (t) = E(Xt ), , (s, t) = Cov(Xt , Xs ). ,
, , .. Yt = Xt E(Xt )
, .

12.1.
X Y ,
.
a) Y Y = aX +bZ, , Z N (0; 1), Z X .
) X > 0 Y > 0 (X, Z)?
) P(XY > 0)?
) P(XY > 0)
12.2.
61

 X, Y , Z - ,
0 B.
B P(XY Z > 0)?

12.3

, - .
,
. :
t [0; 1]. , () t. ,
Xt X!
Xt . , X
0 = [0; 1]. P 0 = P , , .
R
, , P 0 (X < 0.2) 0 XdP 0 = E 0 (X).
:
10 ?
! w0 = (w, t) 10 (w0 ) = 1,
Xt 1 ( ).
Y [0; 1], Xt = Y t,
t [0; 1]. Xt .
, P 0 (X < 0, 2) E 0 (X).
y [0; 1]
[0; 1]. y ,
[0; 1] 0,2? y 6 0.2, 1;
y > 0.2, (y 0, 2). :
P 0 (X < 0, 2) = P(Y < 0.2) + P(Y > 0.2)E(Y 0.2|Y > 0.2) = 0.2 + 0.8 0.4 = 0.52 (62.1)
E 0 (X). y [0; 1]
y y 1, y
y+y1
= y 0.5. y , E 0 (X) = E(Y 0.5) = 0.
2
, E 0 (X)
.
[0; T ] ( [0; )), P 0 := P
(.. ([0; T ]) = T ). !
P 0 (X < 0.2).
, X < 0.2.
( w) {t|Xt (w) < 0.2},
P , :
Z
Z Z
0
0
P (X < 0.2) =
1X<0.2 dP =
1X<0.2 ddP = E((X < 0.2)),
(62.2)
0

[0;T ]

0 ()dP .
E 0 (X) R( , P 0 R). 0 XdP 0 . : 0 XdP 0 :
Z
Z Z
Z
0
XdP =
XddP = E(
Xd)
(62.3)
0

[0;T ]

[0;T ]

62

 : .
, - .
- F 0 , X . ?
Xt (, F, P ) Xt F
. Ft Xt
, . , 0 := [0; T ] -
, .. (w, x), w , x [0; T ].
- - F , -
- F B, F B := ((F, B)|F F, B B). - F [0; T ]
P 0 = P .
63.1. Xt (, F, P ) t [0; T ] ( t [0; ))
, X - F B.
X F B?
:
63.2. X F , t [0; T ]

Z
t

Yt =

Xt d
0

F- .
.
(...)
R t t [0; ) (.)
, Yt = 0 Xt d F-,
Ft -. Xt :
63.3. Xt (, {Ft }, F, P ) t [0; T ] ( t
[0; )) , t [0; T ] (, ,
t [0; )) X - Ft B.
63.4. Xt (, {Ft }, F, P ),
Z t
Yt =
Xt d
0

Ft - .
. t, F Ft
(...)
, Xt Ft X
F . :
63.5. Xt Ft , X F B.
63.6. Xt Ft , X F B.
:
Xt , X :
63.7. Xt ( ), Xt .
.
, :
63

12.4

13
13.1

Wiener process -
Wiener dog -
.
C -.
64.1. Wt - Ft :
1. W0 = 0
2. Wt Ws N (0; t s) t > s
3. Wt Ws Fs t > s
4. Wt 1.
5. Wt Ft
64.2. Wt - :
1. W0 = 0
2. Wt Ws N (0; t s) t > s
3. Wt1 Wt2 , Wt2 Wt3 , ..., Wtn1 Wtn
4. Wt 1.
.
. , Ft = (Ws , s [0; t])

13.2

13.3

13.4

. , 1 .
. , : ! , : t0
t . , (W (t0 ) W (t0 t))
(W (t0 + t) W (t0 )), .
t!

13.5

13.6

, ...

13.7

4t > 0.
4W , (4W )2 , (4W )3 ... 4t.
E(4W ) = 0, V ar(4W ) = 4t
64

E((4W )2 ) = 4t, V ar((4W )2 ) = o(4t)

k > 2:
E((4W )k ) = o(4t), V ar((4W )k ) = o(4t)

? (
), - [ 2; + 2]? ...
, ...
: 4t 4t 0, 4W -
, (4W )2 - 4t. - ...
?: ,
.
- . X.
, (...)
X.
, d = 3, P(X [ 3; + 3]) > 8/9.
-
.
p

E(4W ) = 0, V ar() = t.... -

13.8

, - - (, F, P), Wt ?
- , - ...
, F, P, Wt .
[0; 1], - B[0; 1] , , P .
. Xn . (...).
Xn - Zn .
Zn . !
, F, Wt , P.
, ,
[0; ) . C[0; ).
- . ,
d(f, g) = supx>0 |f (x) g(x)|.
. , - f
g, , d(f, g) < .
- - - .
Xt (w)? w - , Xt (w) := w(t).
P . . ,
, P(w(10) < 0) = 0.5.
. (...), , .

13.9

-?

13.10

13.11

13.1.
65

 Wt - t [0; 1]. t [0; )

:


tW1
t
Xt = (1 + t) W( 1+t
(66.1)
)
1+t
, Xt - ?
13.2.
Wt - = min{t|Wt = 1}.
E(exp())
13.3.
Two questions on Brownian Motion:
1) A standard Brownian motion Zt starting at positon a > 0. There is an absorbing boundary at
0 - i.e. after Zt first hits zero at time T0 , Zt stays at zero for t > T0 . What is the probability that Zt
is at zero at any arbitrary time t?
2) Two independent standard Brownian motions Zt and Zt0 . Zt starts at position a > 0, zt0 starts
at position 0. Zt and Zt0 are mutually absorbing - i.e. when Zt = Zt0 for the first time at T0 , they
both stay at ZT0 = ZT0 0 for t > T0 . What is the probability that Zt = Zt0 at any arbitrary time t?

14
14.1

Rt
0 f (x)dx -
fR (x) [0; t]. ,
t
f (x)dx - [0; t],
0
f (x).
Rt
0 q(x)dp(x)?
R1
. - 0 cos(x2 )d(x2 ).
RT
! : 0 q(t)dp(t) - , :
t p(t)
t q(t)
RT
-. 0 s(t)dW (t) -
[0; T ], t s(t) ,
Wt .
...
(p(t), q(t)) - W (t) ,

, .
: s .
: t, s(t)
() (t + ) ,
s(t + ). () Wt .
s(t) - , ..
, (...)
.
66.2. , : t = 0 , t = 1 ,
5 . T = 3.
s(t, Wt ) = {. W3
R 3W0 W3 W1 (
, .. W1 < 5), 0 s(t, Wt )dW (t) = (W3 W0 ) + 1W1 <5 (W3 W 1).
66

 - , 2
.
R T L .
67.1. 0 W dW , t
, .
[0; T ] n , , n
. : Wi = W (i Tn ) Wi = Wi Wi1 .
(i 1) Tn Wi1 ,
i Tn Wi . t = i Tn , Wi
, Wi Wi1 .
Wi .
Wn Wn .
2
Pn : Wn
i=1 Wi Wi
Pn
Pn
Pn
2
2
2
2
2
, P
i=1 (Wi ) =
i=1 (Wi +Wi1 Wi Wi1 Wi Wi1 ) =
i=1 (Wi +Wi Wi Wi1
Wi Wi1 ) Wn2 = 2 ni=1 Wi Wi Wn2
Pn
Wn2
1
2
..

i=1 (Wi )
2
2
Pn
(...) , i=1 (Wi )2 t L2 n
RT
)2
, 0 W dW = W (T
2t
2
- , .
. . ,
, .. , .
() .
- .
. ,
.
- :
67.2. Wt Ft - .
T - . H2 [0; T ] ,
:
H1. Xt Ft
H2.
R T 2 Xt
H3. E( 0 Xt dt) <
, :
67.3. Wt Ft - .
T - . H02 [0; T ]
, :
H01. Xt H2 [0; T ]
P
H02. Xt Xt = n1
Ai 1t(ti ;ti+1 ] , ti - , 0
0 = t0 < t1 < ... < tn = T , Ai - Fti - .
67.4.
: H02 H1, H2(?).
67.5. ,

P:
RT
n1
X
dW
:=
t
t
i=0 Ai (W (ti ) W (ti )).
0
, , , ,
,
. (...)
R67.6.
R T :
T
PH01. 0 aXt dWt = a 0 Xt dWt .
RT
RT
RT
PH02. 0 (Xt + Yt )dWt = 0 Xt dWt + 0 Yt dWt .
67


R
RT
T
2
PH03. . E ( 0 Xt dWt ) = E 0 Xt2 dt
I(X(t))
RT
X(t)dW (t).
0
.
PH01.P
, :
RT
: 0 aXt dWt = n1
i=0 aAi (W (ti+1 ) W (ti )).
RT
P
: a 0 Xt dWt = a n1
i=0 Ai (W (ti+1 ) W (ti )).
PH02. - . 0 = t0 < t1 < ... < tn = T ,
Pn1
. , Xt Xt = i=0 Ai 1t(ti ;ti+1 ] ,
P
Pn1
Yt Yt = n1
i=0 Bi 1t(ti ;ti+1 ] , Xt + Yt :
i=0 (Ai +
Bi )1t(ti ;ti+1 ] . :
Pn1
: P
))
i=0 (Ai + Bi )(W (ti+1 ) W (tiP
n1
: i=0 Ai (W (ti+1 ) W (ti )) + n1
i=0 Bi (W (ti+1 ) W (ti ))
PH03.
:
RT
P
. 1. ( 0 Xt dWt )2 = i,j Ai Aj (W (ti+1 ) W (ti ))(W (tj+1 ) W (tj )). i 6= j,
, i < j, (W (tj+1 ) W (tj )) .
Ftj - , (W (tj+1 ) W (tj )) -
Ftj . i 6= j E(Ai Aj (W (ti+1 ) W (ti ))(W (tj+1 ) W (tj ))) = E(...)E(W (tj+1 )
W (tj )) = (...) 0 = 0.
P
2. 1 : i A2i (W (ti+1 ) W (ti ))2 . ,
A2i (W (ti+1 ) W (ti ))2 , .. A2i - Fti - .
RT
P
P
,
E(( 0 Xt dWt )2 ) = E( i A2i (W (ti+1 ) W (ti ))2 ) = i E(A2i )E(W (ti+1 ) W (ti ))2 ) =
P ,
2
i E(Ai )(ti+1 ti ).
Pn1 2
. . , Xt2 =
6 j
i=0 Ai 1t(ti ;ti+1 ] ( i =
RT 2
Pn1
2
), , E( 0 Xt dt) = i=0 E(Ai )(ti+1 ti ).

14.2

, H0 [0; T ].
H[0; T ]?
, , :
X(t) H[0; T ]
H0 [0; T ]. Xn (t)
, In . ,
In L2 () I. I
Xn (t), X(t).
I Xt .
, L2 (),
. H2 [0; T ]
.
.
.
:
68.1. X(t) H2 [0; T ] Xn (t)
, X(t) L2 (R).
I(Xn (t)) L2 () I. X(t)
RT
I, 0 X(t)dW (t).
3 :
68.2. H02 [0; T ] H2 [0; T ]. X(t) H2 Xn (t) H02 [0; T ], ||Xn (t) X(t)||L2 (R) 0.
68

. (...)
69.1. Xn (t) H02 [0; T ]
R T (n)
Xt , .. ||Xn (t) X(t)||L2 (R) 0, In = 0 Xt dWt
I L2 ().
. 1. (Xn (t)X(t)) L2 (R),
Xn (t) - . , ||Xi (t) Xj (t)|| = ||Xi (t) X(t) + X(t)
Xj (t)|| 6 ||Xi (t) X(t)|| + ||X(t) Xj (t)||. > 0, N ,
, .. i > N j > N /2.
2. Xn (t) - L2 ( R).
RT
In = 0 Xn (t)dW (t)
L2 (). . Z(t) = Xi (t) Xj (t) , ||Z(t)||L2 (R) =
RT
RT
RT
RT
|| 0 Z(t)dW (t)||L2 () . , 0 Z(t)dW (t) = 0 Xi (t)dW (t) 0 Xj (t)dW (t) = Ii Ij .
||Xi (t) Xj (t)||L2 (R) = ||Ii Ij ||L2 () .
3. L2 () , In
I.
69.2. Xn (t) Yn (t)
L2 ( R) X(t), , I(Xn (t)) I(Yn (t))
L2 ().
. 1. , ||Xn (t) Yn (t)|| c : ||Xn (t)Yn (t)|| = ||Xn (t)X(t)+X(t)Yn (t)|| 6 ||Xn (t)X(t)||+||X(t)Yn (t)||.
n.
2. , ||Xn (t) Yn (t)|| = ||I(Xn (t) I(Yn (t))||L2 () . ||I(Xn ) I(Yn )|| .
3. (...) I(Xn (t))
I. , ||I(Yn (t))I|| = ||I(Yn (t))I(Xn (t))+
I(Xn (t)) I|| 6 ||I(Yn (t)) I(Xn (t))|| + ||I(Xn (t)) I||. ,
2, I(Xn (t)). I(Yn (t))
I.
H2 [0; T ]!
, , ..
X(t)
X(t), X(t), X(t),...
H2 [0; T ] H02 [0; T ]
:
69.3. H2 [0; T ] :
RT
RT
PH1. 0 aX(t)dW (t) = a 0 X(t)dW (t) ( ).
RT
RT
RT
PH2. 0 (Xt + Yt )dWt = 0 Xt dWt + 0 Yt dWt ( ).
RT
RT
PH3. . E ( 0 Xt dWt )2 = E 0 Xt2 dt
PH4. .
. PH1. Xn (t), X(t),
, aXn (t) aX(t), , , L2 ( R).
PH01 , I(aXn (t)) = aI(Xn (t)). I(aXn (t))
I(aX(t)), aI(Xn (t)) aI(X(t)),
L2 (). I(aX(t)) aI(X(t)) .
PH2. Xn (t), L2 ( R) X(t) Yn (t), L2 ( R) Y (t). Xn (t) + Yn (t)
69

 X(t)+Y (t). PH02 , I(Xn (t)+Yn (t)) =

I(Xn (t)) + I(Yn (t)). , I(Xn (t)) I(X(t)),
I(Yn (t)) I(Y (t)), I(Xn (t) + Yn (t))
I(X(t) + Y (t)). I(X(t) + Y (t)) = I(X(t)) + I(Y (t)).
PH3. Xn (t), X(t). ( : ||Xn (t)||L2 (R) =
||I(Xn (t))||L2 () . Xn (t) L2 ( R) X(t),
||Xn (t)|| ||X(t)||. I(Xn (t)) L2 () I(X(t)),
||I(Xn (t))|| ||I(X(t))||. , , ||I(X(t))|| = ||X(t)||.

14.3

14.4

Itos lemma

, ?
RT
0 cos(3x + 7)dx,
. -,
. .
,
.
:
70.1.
:
70.2.

14.5

[lones:dtc ]
Yt ,
dY = f (t, Y )dt.
,
1/n. O(1/n) ,
Yt (1 + O(1/n))Yt .
, Yt .
.
(lones)
(steele, exam)
70.3. :

14.6

dX = udt + vdW , u v - . Yt =
dYt . : Xt dt.
70

Rt
0

Xa da.

15
15.1

.
, ...
, ,
. ,
E(dW ) = 0. , dW - ! ,
. ,
,
R T R:
T
dX = a(t, X)dt + b(t, X)dW XT = X0 + 0 a(t, X)dt + 0 b(t, X)dW
RT
E(b(t, X)dW ) = 0 E( 0 b(t, X)dW ) = 0, ...
E(dW ) = 0 E(W ) = 0
RT
RT
V ar(b(t, X)dW ) = b2 (t, X)dt V ar( 0 b(t, X)dW ) = 0 E(b2 (t, X))dt
V ar(dW ) = dt V ar(W ) = t
dW dW = dt, dt d( ) = 0
, - , , - .
.. . .
, . ()
, , , ,
. , , ...
... (, --)

15.2

t = t + Wt ,
71.1. Wt P W
W
t .
P,

15.3

Martinale representation theorem

15.4

Feynman-Kac

. , .
71.2. q : R R, f : R R .
2 u(t,x)
u(t,x)
= 12 x
+ q(x)u(t, x) u(0, x) = f (x)
2
t
Rt
u(t, x) = E(f (x + Wt ) exp( 0 q(x + Ws )ds)).
. (...)
. 1. f (s, y) := u(t s, x + y):
df (s, Ws ) = (u1 (t s, x + Ws ) + 21 u22 (t s, x + Ws ))ds + u2 (t s, x + Ws )dWs .
2. u
, :
df (s, Ws ) = q(x + Ws )u(t s, x + Ws )ds + u2 (t s, x + Ws )dWs .
Rs
3. Ms := u(ts, x+Ws ) exp( 0 q(x+Wv )dv):
Ms , (...),
, d(XY ) = (dX)Y + (dY )X + dXdY .
71

Z s
Z s
Z s
dMs = df exp(
q(x + Wv )dv) + f d(exp(
q(x + Wv )dv)) + df d(exp(
q(x + Wv )dv)) =
0
0
0
Z s
Z s
= q(x+Ws )u(ts, x+Ws ) exp(
q(x+Wv )dv)ds+u2 (ts, x+Ws ) exp(
q(x+Wv )dv)dWs +f q(x+Ws ) exp
0
0
Z s
= u2 (t s, x + Ws ) exp(
q(x + Wv )dv)dWs (71.3)
0

Rv

Rs

4. Mv = M0 + 0 u2 (t s, x + Ws ) exp( 0 q(x + Wv )dv)dWs , Mv

.
5. , M0 = u(t, x) - , M0 = E(M0 ). ,
Mv - , E(M0 ) = E(M
R tt ). :
u(t, x) = E(f (x + Wt ) exp( 0 q(x + Ws )ds)).
( ?)
Steele!!!!
Bjork!
http://galton.uchicago.edu/~lalley/Courses/391/Lecture12.pdf

15.5

16

:
?
?
? ?
?
, .

16.1

72.1. dXt = (t, Xt )dt + (t, Xt )dWt .

,
:
Rt
Rt
72.2. Xt = x0 + 0 (s, Xs )ds + 0 (s, Xs )dWs .
, . (...)
, Xt ,
( ..)
, . (...)
Xt
(...), .
72.3. Xt ...
72.4. Xt ...

72.5. , .
, , - .
72

 72.6. ...

16.2

, .
. Y = f (t, W ) X. ,
dX = (aX + ...)dt + (...)dW , Y = eat X.
. Y = f (t)g(W ).
Y 0 = f (Y ).
73.1. f ...
73.2. f , dW .
. dY = (...)dt.
.

16.3

16.4

17

r, : St t
Bt t.

17.1

Binomial model

, t {0, 1, 2, ...}.
...
,
, .
- .
.
T , n .

17.2

, ,
. V ,
X Y . ..
Vt = Xt St + Bt Yt . , ,
, , .. Xt Yt
. ,
73.3. (X, Y ) - , Xt Yt .
: , ,
.
!
73.4. (X, Y ) self-financing, dV = Xt dSt + Yt dBt
73

17.3

:
1.
2. ,
3.
2
4. , St = S0 exp(( 2 )t + Wt )
5. , Bt = exp(rt)
6.
1.
dSt = St dt + St dWt
2. At , Xt
, (Xt At St )/Bt .
dXt = At dSt + (Xt At St )/Bt dBt
3. , .


r
rt
d(e Xt ) = . . . = (. . .)
t + Wt

,
.
t = r dt + dWt .
t = r t + Wt . dW
W

.
W
t = at + Wt
P,
.
t = r t + Wt
W

.
? pde...

17.4

. , (
):
( ), Bt = 1.
, St = S0 + Wt .

17.5

18
18.1

...

18.2

74.1. P,
P , - U, A. .
74

, - U (A).
, , .
1. A P (A).
.
2. , P ( ,
) - U.
3. U P .
.
, . .
x (0; 1]. x? , , ,
- . .
.
A R. x R A, a A x 6 a
- x A.
A , ( ) .
. - .
P .
A . A .
{Ai }, A ,
(A).
P
A P (A) = inf{Ai }(A) ( i P(Ai )).
(external measure) P :
EM1. A B, P (A) 6 P (B) 6 1.
S
P
EM2. Ai A , P ( i Ai ) = i P(Ai ).
S
P
EM3. P ( i Ai ) 6 i P (Ai )
EM1 .
S
EM2. , A = i Ai , Ai
.
P
-, , P (A) > i P(Ai ).
{Ci }, A.
S
T
, {Ci } A, , m (Ai Cm ) = Ai .
:
X

P(Ai ) =

[
\
P( (Ai Cm ))
m

, Cm :
X [
\
XX
\
P( (Ai Cm )) =
P(Ai Cm )
m

P :
XX
\
XX
\
P(Ai Cm ) =
P(Ai Cm )
i

n i=1 (Ai Cm ) Cm ,
Pn
T
, n
P(A
Cm ) 6 P(Cm ). i
i=1
n,
Sn

75

i=1

P(Ai

Cm ) 6 P(Cm ). :
XX
\
X
P(Ai Cm ) 6
P(Cm )
m

, {Cm } A :
X
X
P(Ai ) 6
P(Cm )
m

P (A) =

inf

{Ci }(A)

P(Cm )) >

P(Ai )

P
-, , P (A) > i P(Ai ). , ..P
{Ai } - P

A, P (A) = inf{Ci }(A) ( i P(Ci )) 6 i P(Ai ).

EM2 , A
P P.
EM3:
EM3 Ai , A:
! Ai , ,
fi , .
A
[
[
fi )
P ( Ai ) = P ( A
i

:
[
X
fi ) =
fi )
P ( A
P(A
i

fi ) 6
P(A

EM2:

P(Ai )

P(Ai ) =

P (Ai )

, Ai A :
[
X
P ( A i ) 6
P (Ai )
i

(general case).
,
general case. , General Case !
... General Case, a graduate of West Point. The General gave long ... service to the U.S. Army
P (D) ,
P {Di }, D . .. i P(Di )
P (D), .
, Ai .
P .

k
k
A1 A1 2 , ..
k P(A1 ) 6

P (A1 ) + 2 .
Ak2 A2 4 .
Ak3 A3 8 .
76

 ..
, {Aki } A.
EM1
[
[
P ( Ai ) 6 P ( Aki )
i

i,k

.. A EM3 ,
[
X
P ( Aki ) 6
P (Aki )
i,k

i,k

,
X
XX
P (Aki ) =
P(Aki )
i

i,k

Aki :
XX
X

P(Aki ) 6
(P (Ai ) + i )
2
i
i
k
, :
X
X

P (Ai ) +
(P (Ai ) + i ) 6
2
i
i
. .
- .
, .
- , . ,
.
- , -
.
77.1. (x, y) - :
R1: (x, y) = (y, x) > 0
R2: (x, y) = 0 x = y
R3: . (x, y) 6 (x, z) + (z, y)

p - :
((x1 , x2 ), (y1 , y2 )) = (x1 y1 )2 + (x2 y2 )2
, : ((x1 , x2 ), (y1 , y2 )) = |x1 y1 |+|x2 y2 |
,
R1-R3.
: (A, B) = P (A4B)
, , A4B,
S :
A4B , A B. A4B = (A \ B) (B \ A).

:
S
S1. A4B = B4A = A4B A B
S2. A4A =
S3. A4 = A
S4. (A4B)4C
S
S = A4(B4C)
S
S5. ( Ai )4( Bi ) (Ai 4Bi )
S1-S4 - .
77

 S5:
S
S
Sx ( Ai )4( SBi ).
x ( Ai ), x
/ ( Bi ), i, x Ai x
/ Bi .
, x
S Ai 4Bi , x .
x ( Bi ) .
, A4B4C , A, B C.
,
:
D1. (A, B) = (B, A) = (A, B) > 0
D2. (A, A) = 0
, (A, B) ,
(A, B) = 0 , A = B. .
D3. (A,
6 (A, C)
S B) S
P+ (C, B)
D4. ( Ai , Bi ) 6
(Ai , Bi )

D5. |P (A) P (B)| 6 (A, B)

D1-D4 - .
D5:
[
A B (A4B)
[
P (A) 6 P (B (A4B)) 6 P (B) + P (A4B)
P (A) P (B) 6 P (A4B) = (A, B)
,
P (B) P (A) 6 (A, B)
D5 , (Ai , A) 0 , P (Ai ) P (A).
78.1. A (),
Ai A, (A, Ai ) 0.
,
A.
78.2. -.
.
U.
, U -:
A1. U
A2. A U AS U
A3. Ai U Ai U
1 2 .
A3:
S
: Ai A Ai U
: Ai
f

S f Ai .
, A = Ai .
k
+
+
[
[
X
fi ) = P (
fi ) =
fi )
(A, A
A
P(A
i=1

,
0.

P+
i=1

i=k+1

i=k+1

fi ) = P (A) 6 1 limk+
P(A
78

P+

i=k+1

fi ) =
P(A

 , , A U.
Ai U.
> 0. .. A1 "", C1 A ,
(A1 , C1 ) < 21 . , Ai Ci A
(Ai , Ci ) < 2i .
S
S
P
P
D4 : ( Ai , Ci ) 6 (Ai , Ci ) <
= .
2i
S
S , , Ai
Ci S
.
Ci S , .. Ci A. ,
C A , S
( Ci , C) <S
.
S
,

C
,

Ci C. i
i
S
S
S
S
, ( Ai , S
C) 6 ( Ai , Ci ) + ( Ci , C) < 2.
..
Ai C. S
, Ai U.
79.1. - U P .
:
P1. A U P (A) > 0
S
P
P2. Ai , P ( Ai ) = P (Ai )
P3. P () = 1
P1 P3 - .
P2:
T
A B U A B = .
Ai Bi , A B.
P (Ai

Bi ) = P(Ai

Bi ) = P(Ai ) + P(Bi ) P(Ai

Bi ) = P (Ai ) + P (Bi ) P (Ai

Bi )

S
T
P (Ai ) + P (Bi ) P (Ai Bi ) = P (Ai Bi )
i + .

Ai S
Bi
P (Bi ) P (B).
S P (Ai ) PS(A) S

D5: |P (A
S B)
S P (Ai Bi )| 6 (A B, Ai Bi )
D4: (A B, Ai Bi ) 6 (Ai , A) + (Bi , B).
S
S

0,

P
(A
B
)

P
(A
B).
i
i
T

P
(A
B
)

0:
i
T
Si
, Ai Bi (A4Ai ) (B4Bi ). x . x Ai
x Bi . A B , x ,

.
T

EM3, P (Ai Bi ) 6 P (Ai 4A) + P (Bi 4B). ,

.
S
, , P (A) + P (B) = P (A B) A B.

S
P . Ai
, P ( ni=1 Ai ) = ni=1 P (Ai ).

S
Sn .
Pn

P ( +
A
)
>
P
(
i
i=1
i=1 Ai ) =
i=1 P (Ai ).
S+
P+

n +

P
(
A
)
>
i
i=1
i=1 P (Ai ).
S+
P+

P ( i=1 Ai ) 6 i=1 P (Ai ) - EM3.

79.2. , P U
P
.
0
, P 6= P .
0
0
-, , A U, P (A) > P (A) P (A) P (A) = d > 0.
79

, A . P (A) S

A Bi , A Bi P (A) <
P
d
P(Bi ) + 2 . P , P .
, P (A) 6 P(Bi ) < P (A) + d2 .
[
d
d
d X 0
0
=
P (Bi ) + = P ( Bi ) +
2
2
2
0
0 S
0
d
,
P (A) > P ( Bi ) + 2 , , P S
, A Bi .
0
-, , A U, P (A) < P (A).
A. "-"
0
0
0
"-": P (A) > P (A) 1 P (A) > 1 P (A) P (A) 6 P (A)
0

P (A) = P (A) + d >

18.3

19

P(Bi ) +

2. -, .
(E) -, E
80.1. = R, E = { }. - B
B = (E)
- .
80.2. A = { (; t)}, E = { }.
(A) = (E).
A E , (A) (E)
A. , A (A)
:
T
-, [a; b) (A) , [a; b) = (; b) (\(; a))
-, Ai .
A1 1 [n; n + 1), A.
), A.
A2 1/2 [ n2 ; n+1
2
Ai
(A)
S+
-, A = i=1 Ai
80.3. (E) = B, , f , , A E f 1 (A) F
80.4. X - , f - , f X() = f (X())
- .
. X - , X 2 - .
, f F-. -
,
- -. ,
, - , .
replicating portfolio.
( 75 > 1 - . Crack)
. - .
-. . X Y
f (X) g(Y ).
:
S
Ai A - Ai " " A. , A1 A2 A3 ... TAi = A.
Ai A - Ai " " A. , A1 A2 A3 ... Ai = A.
80

 P1-P3 ,
.
A F, B F, Ai F, , , :
1. P(A) = 1 P(A)
2. SB A, P(B) 6 P(A) T
3. P(A
P(A B)
S+B) = P(A) + P(B)S
4. P( i=1 Ai ) = limn+ P( ni=1 Ai )
5. Ai A P(A) = limi+ P(Ai )
6. Ai A P(A) = limi+ P(Ai )
81.1. - (, F)
81.2. - (, F, P)
.
(, F, P) - , P(A) = 0.
C, C , C A. ,
(completion) .
N = {C
/ F|A C, P(A) = 0}.
N . , S

/ N.
S
F = {F N |F F, N N }.
F = F N P(A) = P(F ).
, F - -:
S
-, F , = , F N .
-,
-,
!
!
[
[ [
[ [ 
Fi Ni =
Fi
Ni
i

i Fi i Ni N .
, P - .
, .
S
F C = F1 N1 =
S
F2 N2 , N1 , N2 N , SF1 , F
S2 F, P(F1 ) 6= P(F2 ).
S
S
,
S SF1 F2 N1 N2 , , F1 \ F2 (F2 N1 N2 ) \ F2 .
(F2 N1 N2 ) \ F2 N , ,
1 \ F2 ) = 0.
T P(FS
T
, F1 = (F1 F2 ) (F1 \ F2 ) ,

P(F
)
=
P(F
F2 ).
1
1
T
, P(F2 ) = P(F1 F2 ), .
S
S
S
SS

-.
P(
(F
N
))
=
P((
F
)
( i Ni )) =
i
i
i
i
i
S
P( i Fi )
!
, - .
, (almost surely, a.s.), , .
, X = Y a.s. , P(X 6= Y ) = 0.
,
.
, . , (
, ) , V ar(X) = 0 ,
X = const .
- !
(, A, P), A - , P - , .
, P -. :
S

81

P1. P(A) > 0

S
P
P2. Ai , P( Ai ) = P(Ai )
P3. P() = 1
S
.. A - , P2 i Ai A. -
.
S
S
P
P2: Ai i Ai A, P( Ai ) = P(Ai )
6. .

.
.
.
.
FL. Fatous Lemma.
Xn > 0,


E lim inf Xn
n+

6 lim inf E(Xn )

n+

MCT. Monotone Convergence Theorem.

Xn+1 > Xn > 0,

lim E(Xn ) = E

n+


lim Xn

n+

DCT. Dominated Convergence Theorem.

Xn X .. |Xn | < Y , E(Y ) < +, E(|X|) < +
lim E(Xn ) = E(X)

n+

lim E(|Xn X|) = 0

n+

MCT FL +.
BCT. Bounded Convergence Theorem.
Xn X (in P) |Xn | < M , limn+ E(Xn ) = E(X).
:
R
. = dP R
= d
:
=
:
R
R
.. X P r . f (X)dP = f dP r
-:
. .
:
R
R
.. X , f dP r = f pd
-:
:
MCT, DCT
FL
: X Y , E(XY ) = E(X)E(Y )
-:
: Jensen, Cauchy-Schwarz, Holder.
Jensen - , - ?
(4 , 1 )
82

 .
8. .
. . .

!
- ( -?).
:
1. . Y1 = E(X|H) Y2 = E(X|H) Y1 = Y2 ae
X, Xn Y - ( L1 ) .
2. E(E(X|H)) = E(X)
3. H = {, } E(X|H) = E(X)
4. X H E(X|H) = X (as)
5. E(aX + bY |H) = aE(X|H) + bE(Y |H)
6. X > 0(as) E(X|H) > 0 (as)
7. X > Y (as) E(X|H) > E(Y |H) (as)
8. |E(X|H)| 6 E(|X||H) (as)
9. X H, XY L1 E(XY |H) = XE(Y |H) (as)
10. Xn X E(Xn |H) E(X|H)(as) (MCT)
11. H F, E(X|H) = E(E(X|F)|H) (as) (Tower property, )
12.
13. X H , E(X|H) = E(X) ae
14. -
E((X Y )2 ) Y H Y = E(X|H)
15. . E(X 2 ) = E(E(X|H)2 ) + E((X E(X|H))2 )
- 9.
1. X - . Y - , Y - , Y - .
2. X Y - .
:
9. .
. .
:
1. A , (-B)
2. (-B)
3. 1 .
4. 1 .
5. - (
)
6. -
7. -
8. ,
.
( )
?
10. .
. . .
Upcrossing inequality.

(, F, P).
83

. -:
F0 F1 ... Fn ... F
Fn - , n.
F - () -. F.
F0 .
. - ,
.
. {Xt } {Ft } Xt Ft
( "Xt Ft - ").
. (natural filtration). Fn = (X0 , X1 , ...Xn ).
. X [ Ft ]:
(martingale): E(Xt+1 |Ft ) = Xt ..
: E(Xt+1 |Ft ) > Xt ..
: E(Xt+1 |Ft ) 6 Xt ..
, n
.
.
, "":)
. {Xn }n=0,1,2... Xn X.
1.
, X - ,
1. E(Xn |Fm ) = Xm .. m 6 n
2. E(Xn+1 ) = E(Xn )
-
2.
, X - {Fn },
(X0 , X1 , ...Xn ).
, X - (X) - .
,

X-
X-
X-
3.
3.1. , X - , - (Xn ) -
(X) - .
3.2. , X - , -

1.
S0 = 0, E(Xi ) = 0 /,
Pn, , , E(|Xi |) < + - /, Xi - , Sn = i=1 Xi
S - , Xi .
2.
Xi - , E(Xi ) = 0, V ar(Xi ) = 2 , Mn = Sn2 n 2
Mn - Xi
3. .
Y - , Fn - .
Xn = E(Y |Fn ) - .
84

 4.
- .
5.
Xn > 0, Xi - , E(Xn ) = 1, M0 = 1, Mn = X1 X2 ... Xn
Mn - Xn
6.
Yi - iid, () = E(exp(Yi )) < +, Xi = exp(Yi )/()
, ( ):
!
n
X
Mn = exp
Yi /()n
i=1

,
0 , (0 ) = 1.
7.
.
P1. 0 = t0 < t1 < t2 < ... < tn N (tk ) N (tk1 ) .
P2. N (t) N (s) (t s)
n
: P(X = n) = e n!
ti - Xi = N (ti ) ti .
(Xi , Fi = (N (t), t 6 ti )) - .
.

1, p
6 iid Yi =
1, 1 p
, () = 1 !
.

1, p
Yi =
0, 1 p
.
, ( ) -

, .
.
. C (, F, {Fn }, P) (predictable,
nonanticipating) Cn Fn1
Cn - .
:
. (martingale transform) X
:
n
X
(C X)n =
Ci (Xi Xi1 ),
i=1

(C X)0 = 0
, Xi Xi1 - i- , Ci - , ..
.
- .
. X - , Cn > 0 - Ci
(.. ia : |Ci | < a), C X - .
.
Ci , (C X)n .
85

E((C X)n+1 |Fn ) = (C X)n + E(Cn+1 (Xn+1 Xn )|Fn ) =

= (C X)n + Cn+1 E(Xn+1 Xn |Fn ) 6 (C X)n
.
, ,
Cn > 0.
. : . . "System theorem".
,
:)
,
. .
, :)
?
. XN n
Xn N XN .
.
N - X - . XN n
.

Cn = 1N >n . . ,
C , .. {N > n} = {N 6 n 1}c Fn1 . , (C X)n = XN n X0 - .
. .
Xn - . , , - .
Xn .
, .
a < b. , ,
: n (a; b) -?
- (upcrossing) ... .
Ni . , N
, N - .
:
N2k1 = inf{m > N2k2 |Xm 6 a}
N2k = inf{m > N2k1 |Xm > b}
N0 = 1
, Ni ( , Ni = k,
X1 , ..., Xk ).
{ m k- }
{N2k1 < m 6 N2k }= {N2k1 6 m 1} {N2k 6 m 1}c Fm1
1, N2k1 < m 6 N2k -k
Hm =
0,
Hm - .
Un = sup{k|N2k 6 n} - - n.
. The upcrossing inequality (Doob)
(b a)E(Un ) 6 E(Xn a)+ E(X0 a)+
.
86

 Xn Yn , Xn , Xn > a,
a, Xn 6 a.
, Yn = a + (Xn a)+ , Yn - .
Xn Yn .
Y H. ..
a b 1 .
a b > (b a), (b a)Un 6 (H Y )n .
, Y , ,
, X , .
Km = 1 Hm . , (K Y ) , , E(K Y )n > E(K Y )0 = 0.
, Yn Y0 = (H Y )n + (K Y )n (
, 1 ?).
:
(b a)E(Un ) 6 E(H Y )n = E(Yn Y0 ) E(K Y )n 6 E(Yn ) E(Y0 ) =
= E(Xn a)+ E(X0 a)+
, K
. :)
. ? .
. {X | A} ( )
, :


lim sup E |X |1|X |>M = 0
M + A

1. .
DCT.
2. |X | < Y E(Y ) < +, {X } .
3. Lp , p > 1,
.
Lp : sup E (|X |p ) < +.
1.
L1 .
2.
L1 .
3.
{X } {Y } . .
. X ,
Ai , P(Ai ) 0, E(X 1Ai ) 0.
. {X } :
UI1. sup E(|X |) < +

UI2.

lim sup P(|X | > M ) = 0

M +

UI3. Ai P(Ai ) 0 lim sup E(|X | 1Ai ) = 0

i+

UI3 X
.
87

 UI1 UI3, {X } .
UI2 UI3, {X } .
.
Xn X , UE1, UE2 UE3
.
X L1 , {E(X|Y)|Y F} .
, ,
E(XT ) = E(X1 ). :
. T - ,
E(XT ) = XT = 1 6= X0 = 0 ,
: E(T ) = +.
:
Xt - , T - :
(i) T , M , T < M .
(ii) P(T < +) = 1 XtT , M ,
t |XtT | < M .
(iii) E(T ) < + M , t E(|Xt+1
Xt ||Fn ) < M .
(iv) P(T < +) = 1, E(|XT |) < limt E(Xt 1T >t ) = 0.
(v) P(T < +) = 1 Xt .
.
(?).
... , ...
( - ?
- ) .
:
. Walds identity.
, T = min{t|St = a St = b} - P(ST = a) (
St ) E(T ) ( St2 t)
- P(ST = a) ( (p/q)St )
ABRACADABRA - E(T ), V ar(T ) - . Ross, Second course
- ( P
)
(
Xi n)

Ballot problem
Second heart problem
:
E(T ST ) - ?
.
Yk - 0 k. , k,
0, Yk
. , Yk 2k - ?
:
14. -.
.
St
ert St
ert Xt
88

. .
- 1. E(XT |F0 )
( .. 75 > 1 - . Crack)
- .
- 2. .
( 75 > 1 - . Crack)
15. - .
.
.

Crack
16. .
.
. , -.
.
- .
17. Path-Dependent Euro Option.
Knock-out options. , ...
Look-back options. .
Asian options. .
Source: Shreve-II

20

1.1. ! , S . s S
As . A = s As .
. B = 2A . As !
S.
1.2.
1.3. .
1.4. . 0 1 -
Ai , Ai = {0, 1}
1.5. ,
1.6. 2A A, .. ,
A. , 2A A .
b B, b A B 2A . C A :
b, B.
C c. c C,
- . .
1.7.

2.1. , ,
.
2.2. lim Ai =
2.3. N < +
2.4. = {1, 2, 3, 4, 5, 6}...
89


4.1. ) , )
4.2. , () > 0
4.3. = [0; 1] Q, F
. R 0
. [0; 1]: ri i-
. An = {r1 , r2 , ..., rn }. R(An ) = 0 .. An , An = R() = 1.
4.4.
5.1. ! . - -
. .
5.2. , ; ,

P
9.1. X X =
xi 1Ai .
. : Cov(1Ai , Y ) = E(Y 1Ai ) E(Y )E(1Ai ) =
E(Y 1Ai ) E(Y )E(1Ai ) = Cov(1Ai , Y ).
9.2. , Y1 - Z, Y1 ,
+1 1. Y2 := ZY1 H := (Y1 ). , Y1 = |Y2 |,
E(Y2 |H) = 0, E(Y1 |H) E(Y2 |H) .

p
12.1. a) Y = X + 1 2 Z
) = /2 + arcsin()
) P(XY > 0) = /
12.2. . X, Y , Z,
. P(XY Z > 0) = P((X)(Y )(Z) > 0).
1, 0.5.
13.1.
13.2.
13.3. (check!)
Let Ta = mint > 0 : Wt = a. Using simple properties of B.M. you can easily show that P(Ta <
T ) = 2P(WT > a). Thats all you need to solve both problems.
1. 2N (a/sqrt(T ))
2. 2N (a/sqrt(2T ))
Rt
dX = udt + vdW , u v - . Yt = 0 Xa da.
dYt . : Xt dt.

90