Probability For Finance

Probability for Finance
Patrick Roger
Download free books at

Patrick Roger
Strasbourg University, EM Strasbourg Business School
May 2010
Download free eBooks at bookboon.com

2

2010 Patrick Roger & Ventus Publishing ApS
ISBN 978-87-7681-589-9

3
Contents
Contents

Introduction
1.
1.1
1.1.1
1.1.2
1.1.3
1.2
1.2.1
1.2.2
1.2.3
1.3
1.3.1
1.3.2
1.3.3
1.3.4
1.3.5
Probability spaces and random variables

Measurable spaces and probability measures
algebra (or tribe) on a set
Sub-tribes of A
Probability measures
Conditional probability and Bayes theorem
Independant events and independant tribes
Conditional probability measures
Bayes theorem
Random variables and probability distributions
Random variables and generated tribes
Independant random variables
Probability distributions and cumulative distributions
Discrete and continuous random variables
Transformations of random variables
10
10
11
13
16
18
19
21
24
25
25
29
30
34
35
2.
2.1
Moments of a random variable

Mathematical expectation
37
37
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Contents
2.1.1
2.1.2
2.1.3
2.2
2.2.1
2.2.2
2.3
2.3.1
2.3.2
2.3.3
2.3.4
2.4
2.4.1
2.4.2
2.5
2.5.1
2.5.2
Expectations of discrete and continous random variables

Expectation: the general case
Illustration: Jensens inequality and Saint-Peterburg paradox
Variance and higher moments
Second-order moments
Skewness and kurtosis
The vector space of random variables
Almost surely equal random variables
The space L1 (, A, P)
The space L2 (, A, P)
Covariance and correlation
Equivalent probabilities and Radon-Nikodym derivatives
Intuition
Radon Nikodym derivatives
Random vectors
Definitions
Application to portfolio choice
3.
3.1
3.1.1
3.1.2
3.1.3
Usual probability distributions in financial models

Discrete distributions
Bernoulli distribution
Binomial distribution
Poisson distribution
39
40
43
46
46
48
50
51
53
54
59
63
63
67
69
69
71
360
thinking
360
thinking
73
73
73
76
78
360
thinking
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Contents
3.2
3.2.1
3.2.2
3.2.3
3.3
3.3.1
3.3.2
3.3.3
Continuous distributions
Uniform distribution
Gaussian (normal) distribution
Log-normal distribution
Some other useful distributions
2
The X distribution
The Student-t distribution
The Fisher-Snedecor distribution
81
81
82
86
91
91
92
93
4.
4.1
4.1.1
4.1.2
4.1.3
4.1.4
4.1.5
4.2
4.2.1
4.2.2
4.3
4.3.1
4.4
4.4.1
Conditional expectations and Limit theorems

Conditional expectations
Introductive example
Conditional distributions
Conditional expectation with respect to an event
Conditional expectation with respect to a random variable
Conditional expectation with respect to a substribe
Geometric interpretation in L2 (, A, P)
Introductive example
Conditional expectation as a projection in L2
Properties of conditional expectations
The Gaussian vector case
The law of large numbers and the central limit theorem
Stochastic Covergences
94
94
94
96
97
98
100
101
101
102
104
105
108
108
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Contents
4.4.2
4.4.3
Law of large numbers

Central limit theorem
109
112
Bibliography
114
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Introduction

8

Introduction
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9

t = 0 T = 1.

.

T

P

10
P()
A P()
A
B A, B c A B c B B c =
{ /
/ B} . A
(Bn , n N) A, +
n=1 Bn A.
A
(, A) A

T = 1
A A A
/ A.
, .
= {1 , 2 , 3 , 4 } ,
A = {, } A =
{, { 1 , 2 } , { 3 , 4 } , } A = P(),

A
(Bn , n N) A, +
n=1 Bn
A A
A.

11

= {B1 , ..., BK }
Bi Bj = i = j
K
i=1 Bi = .

A
A.
A
,
, .
Bj
Bj )
Bj Bj

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12

= {B1 , ..., BK }
, B ,
.
B
B , ,
.

B 2K
T > 1
T
P) t < T,
P).
A P) A A
A A
A .
, A ) A
= { 1 , 2 , 3 , 4 } ,
A = {, { 1 , 2 } , { 3 , 4 } , } P).

A B A B c A { 1 , 2 } =
{ 3 , 4 }c . A A
{ 1 , 2 } { 3 , 4 } = .

A
A A A
Card( Card(
Card( < Card(P(.
P(


13

.
.
A A A
A .

2K
K K
A A;

u
d),
= {uu; ud; du; dd}
A = {; {uu; ud} ; {du; dd} ; }
P). {du; dd}
= {uu; ud}c
{uu; ud} {du; dd} = A.

uu = u2
ud
du
dd = d2
{uu; ud}
.

{uu; ud} .

ud du
ud

14

du.

R,
BR .
R R. BR


15

(, A)
A A [0; 1]
P () = 1
(Bn , n N) A
+ +
P
Bn =
P (Bn )
n=1
n=1
(, A, P )

B B c ,
P (B) + P (B c ) = P () = 1
P (B c ) = 1P (B).
B B c


16

(, A, P )
P () = 0
(B1 , B2 ) A A, B1 B2 P (B1 ) P (B2 )
(Bn , n N) Bn Bn+1
A
lim P (Bn ) = P
Bn
n+
nN
(Bn , n N) Bn Bn+1
A
Bn
lim P (Bn ) = P
n+
nN
B A, P (B c ) = 1 P (B)
P ( ) = P () + P () =
P () = 1. P () = 0
B1 B2 P (B2 ) = P (B1 (B2 B1c )) = P (B1 ) + P (B2 B1c )

P (B1 )
n
(Bn , n N) un = P

p=1 Bp
P () = 1

(Bn , n N)
P
nN Bn .
n
(Bn , n N) vn = P
B

p
p=1
P () = 0

(Bn , n N)
P
nN Bn .
P (B B c ) = P (B)
+ P (B c ) B
B c B B c = , P (B B c ) = P () = 1
P (B c ) = 1 P (B)

17
Card() = N A = P() ;
A

1
, P () =
N

[0; 1] [0; 1]
R2 ;

A
, P (A) A P P () = 1;
P
[0; 1] [0; 1]

B = [a; b] [c; d] (d c)(b a) 1.

B (d c)(b a).
(, A, P )

B
A
P ()
P ({})

18
B1 , B2 A P (B1
P (B1 ) P (B2 ).
B2 ) =
B2 A P (B2 ) = 0 B1
B2 P (B1 |B2 ),
P (B1 B2 )
P (B1 |B2 ) =
P (B2 )

B2
B2 . B1
B2 ,
. B1 B2 = , B1
B1
B1 B2
B2 B1 .
B1 B2

P (B1 B2 )
P (B1 ) P (B2 )
P (B1 |B2 ) =
=
= P (B1 )
P (B2 )
P (B2 )

= [0; 1] [0; 1]
(x, y) B1 = 0; 12
1
; 1 B2 = 0; 13 0; 12 ;
3
1 2
1
=
2 3
3
1 1
1
P (B2 ) =
=
3 2
6
P (B1 ) =

19

B2 (x, y) B1 x 0; 13 y
1/3 13 ; 12 . (x, y) B2
y 12 . (x, y)
B1 y 13,
1/3
y 13 ; 12 .
y 0; 12
P (B1 |B2 ) = 13 B1 B2 = 0; 13 13 ; 12 ,
1
1 1
1
P (B1 B2 ) =
0
=
3
2 3
18

P (B1 |B2 ) =
1
18
1
6
1
= P (B1 )
3
B1 B2 .
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20

B1 B2

B1 ,
B2 B1

G G A
B G, B G , P (B B ) = P (B) P (B )
G G
P()

(, A).
.

B A AB

AB = A B A A ;
AB B. (B, AB )

21
B AB
B = B (Cn , n N)
Cn = An B
Cn =
An
An B =
B
nN
nN
nN
B AB
An A
nN An
C = A B AB CBc C B.

c
B = Ac B
Bc B
CBc = A B
= Ac B AB
A
nN
B P (B) = 0
P (. |B ), P (B1 |B ) B1 ,
(B, AB ) .
P (B |B ) = 1. (Cn , n N)
AB
P
P
B
B)
nN Cn
nN (Cn
P
Cn |B =
=
P (B)
P (B)
nN
n, Cn B,

P
C
B)
n
nN
nN P (Cn )
nN P (Cn
=
=
=
P (Cn |B )
P (B)
P (B)
P (B)
nN

t B.


22

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23
(B1 , B2 , ..., Bn ) C A,

P (C |Bj )P (Bj )
P (Bj |C ) = n
i=1 P (C |Bi )P (Bi )
Bj
n
C=
C
Bi
i=1

P (C) =
i=1
n

P C
Bi =
P (C |Bi )P (Bi )
i=1

P C
Bj = P (C |Bj )P (Bj ) = P (Bj |C )P (C)

24

P (C)

C
B1 B2 = B1c
P (B1 |C ) =
P (C |B1 )P (B1 )
P (C |B1 )P (B1 ) + P (C |B2 )P (B2 )

P (B1 ) = 104
P (C |B1 ) = 0.99
P (C |B2 ) = 0.01

P (B1 |C ) =
0.99 104
0.01
0.99 104 + 0.01 (1 104 )

T = 1

R+
R

(S S )/S ,
ln(S /S ), .

25

[2%; 2%]

(, A) (E, B)
E X E
B B, X 1 (B) A
X 1 (B) X 1 (B) = { / X() B} . X

A
X E = R

A.
A) PX BR
PX (B) = P (X 1 (B)) .

X
B PX (B)
E
R Rn
R+ N E R
E = Rn

A . X
X B = [2%; +2%] ,
X 1 (B)
A

X (, A)
(E, B) . X BX A

BX = A A / B B , A = X 1 (B)

26

BX A,
A
A
X

t Ft
s > t.
Ft Fs

uu ud

A = P,
R
A.

27

Card() =
4 X, Y

X
X()
Y () = 2.
2 4 Y
X.
1
2
3
4
X Y

BX = P()
BY = {, , { 1 } , { 2 , 4 } , { 3 } , { 1 , 3 } , { 1 , 2 , 4 } , { 3 , 2 , 4 }}
BY Y

St t
uSt1 p
St =
dSt1 1 p
= {uu; ud; du; dd}

S0
B0 = {, } .
.
1, S1
{du; dd} {uu; ud}
B1
B1 = {, , {du; dd} , {uu; ud}}

28

B0 B0 B1 .
B1

S2 = udS0 . S1
.

B2
(S1 , S2 ) S2 . BS
S1 S2 .
A B P (A B) = P (A) P (B)

X Y (, A, P )
(E, B) (A, B) B 2 ,
X 1 (A) Y 1 (B)
= { 1 , 2 , 3 , 4 } A = P()
X Y
1
1
1 2
(X, Y ) =
1
2
1 1

Y = 1, X
1 4 Y = 2,
X 2 3 .
Y BX

X Y
X Y

X Y aX bY a

29

b

X Y
BX BY .
X
(, A) (R, BR ) X
BR
P A
X (, A)
(E, B) ;
X PX B,

B B, PX (B) = P X 1 (B) = P ({ / X() B})

(E, B) = (R, BR ) , X
FX , R [0; 1]
FX (x) = P ({ / X() x}) = PX ((; x])

30
()
=
()
X()
35
120
3()
3()
()
63
120
()
21
120
1
120

A

PX
P

X

n!
k
nk = k!(nk)!

10!
n 10
= 3!(103)!
= 120 .
3
1
A = P() P () = 120 .
PX X

{X = k} k = 0, ..., 3
P (X = 3) =
{X = 2} ,
1
.
120

P (X = 2) = 37
. {X = 1}
120
72 = 21
63
7
10 P (X = 1) = 120 . P (X = 0) =
/ 3 = 35/120.
3
63 + 35 + 21 + 1 = 120
{X = k} { X() = k}.

31
(, A, P )
PX BX
A BX A.

FX
X
lim FX (x) = 0
lim FX (x) = 1
x+
FX B1 B2
P (B1 ) P (B2 )) x y, (; x] (; y] PX ((; x])
PX ((; y]) .
FX (x)
(; x] , (xn , n N)
x Bn = (; xn ]
B = (; x] .

+ n

x
P (X x) = 1 FX (x) = 0.99
X
X
V aR(99%) = FX1 (0.01)

|x| .

32
x X Y.


X
Y,

x R, FX (x) FY (x)
FX FY X Y.
X Y
X Y,

P ({X x}) P ({Y x})
x,
x X Y.

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33
X
(xn , n N)
P ({ / X() = xn }) =
P (X = xn ) = 1
nN
nN
(xn , n N) X.
Y
fY

x
FY (x) =
fY (y)dy
FY Y. fY Y
.

+
fY (y)dy = 1
X
X.

B A B,
B
B () = 1 B
= 0

B.

K = 1000 XT
T. 100
{XT 1000} {XT 1000} = { / XT () 1000} .

34

X {x1 , ..., xn } ,
xi = xj i = j = {B1 , ..., Bn }
xi Bi
X=
i=1
Bi = { / X() = xi } , i =
1, 2, ..., n.
Card() = N X( i ) = xi
X=
i=1
xi { }
i
Card() < +
{ }
i

X,
Y = g(X) g

g

K T,
YT = g(XT ) = max(XT K; 0) XT
T

35

Xt t.
[0; t]

Xt
= ln(Xt )
Yt = ln
1

fX
fY

X fX g
R R fY
Y = g(X)
fX (g 1 (x))
x Y ()
|g (g 1 (x))|
= 0
fY (x) =
Y () = {y R / y = Y () } .

36

37

40

21
40

63

$40
1
40
21
40
63
+$
+$
= $1
120
21 120
63 120

38
X
{x1 , ..., xn } , xi R i. pi = P (X = xi ) i = 1, ..., n;
X P
E(X),
E(X) =
xi pi
i=1
X fX FX
X P
E(X),
+
+
xfX (x)dt =
xdFX (x)
E(X) =
n xi
X =
B E(X) = E(B ) = P (B).
X ni=1 xi Bi Bi = {X = xi } ,
n
n
n
E(X) = E
xi Bi =
xi E (Bi ) =
xi pi
i=1
i=1
i=1
EP E
P. E

P,
Q.
EP EQ .

X Y X + Y


39
V
(, A, P ) X

X E(X) XdP,

E(X) =
XdP = sup {E(Y ), Y X}
Y V
E(Y ) Y V Y

X
X.

XdP, E(X)
x
FX X
P. .
X
X
X = X+ X
X + = max(X; 0) X = max(X; 0). E(X)

V
f sup f (x)
f(x) x A.

40
X X
E(X),
E(X) = E(X + ) E(X )
X + X
E(X)
X P,
P E(X)
E (|X|) |X| = X + + X

X, Z A, B
A
X = A E(X) = P (A)
0 X Z 0 E(X) E(Z)
{X 0 A B} E (XA ) E (XB )
c R, E(cX) = cE(X)
E(X + Z) = E(X) + E(Z)

|E(X)| E (|X|)
X = A P (A)
1 P (A)
E(X) = P (A)
Y = 0 V
E(X) E(Y ) = 0.
Z X,
sup {E(Y ), Y X} sup {E(Y ), Y Z}
Y V
Y V
E(Z) E(X).
A B X 0, XA XB


41
X V X
c > 0. X cX X + X (cX)+ (cX) .
c (cX) = cX + (cX)+ = cX
E(cX) = E (cX)+ E (cX)

= cE X + cE X +
= c (E(X)) = cE(X)

X X + X
|X| = X + +X E (|X|) = E(X + )+E(X ) |E(X + ) E(X )|
x y x + y > x y
x + y > y x.
(x1 , x2 , ..., xn ) X
n
E(X) x = n1
xi .
i=1
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42

X E [u(X)]
u

50 = 12 (0 + 100)
E(X)
X.

E [u(X)] u [E(X)]
X u(X)

X u
R R u(X)
E [u(X)] u [E(X)]

x1 x2 p 1 p.
pu(x1 ) + (1 p)u(x2 ) u(px1 + (1 p)x2 )
u(x)
(x1 , u(x1 )) (x2 , u(x2 )).
f (x, y) [0; 1] , f(x + (1 )y)

f (x) + (1 )f(y)

43
u
u X
X

u > 0
u < 0

2n
n

N

1/2. P (N = n) = 21n
n 1
2n.
X
E(X) =
n=1
2 P (N = n) =
n=1
2n
1
= +
2n

44

E(ln(X)) =
n=1
ln(2n )
1
n
=
ln(2)
n
2
2n
n=1
+
+
+
n
1
=
=2
n
2
2k
n=1
n=1 k=n
E(ln(X)) = 2 ln(2) = ln(4)

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X.

X,
2 (X)
2 (X) = E(X 2 )
2 (X) X
X
X, V (X) 2 (X)
V (X) = 2 (X) = E (X E(X))2
V (X) Y =
X E(X), V (X) = 2 (Y ). Y
E(Y ) = 0
X
V (X) = E (X E(X))2 = E(X 2 ) E(X)2
E (X E(X))2 =
=
=
=
E X 2 2XE(X) + E(X)2

E X 2 2E [XE(X)] + E(X)2
E(X 2 ) 2E(X)2 + E(X)2
E(X 2 ) E(X)2

46
card() = P () = 0.25 , X
2
3
X=
1
0
E(X) = 1 Y = X E(X)

1
2
Y =
2
1
X Y
V (X) = V (Y ) = 0, 25 12 + 22 + (2)2 + (1)2 = 2.5

V (X) = V (X + c)
c.
(x1 , x2 , ...., xn) X

n
1
2
s =
(xi x)2
n 1 i=1
n 1 n
X x.
X
X, (X) V (X)
(X) = V (X)

47

48
n X,
n (X)
n (X) = E(X n )
X
3. X, Sk(X)
Sk(X) =
3 (X E(X))
(X)3
(x1 , x2 , ...., xn )
X, Sk(X)
=
Sk
xi x 3
n
(n 1)(n 2)
s

= 0.73
Sk


49
X
4 (X E(X))
4
X
(X) =
e(X) = (X) 3
= 3.
(X)
(X) =
8.93

L0 (, A) (, A).

, (X + Y ) () = X() + Y ()
, c R, (cX)() = cX()
L0 (, A)

P .
P


50
n Rn x y,
d(x, y) x y
d Rn
Rn ,
n
x=y
(xi yi )2 = 0
i=1
xi = yi i = 1, ..., n.

[a; b] .
d(f, g) =
b
a
|f(x) g(x)| dx
d(f, g) = 0
f = g f(x) = 0 [a; b] g(x) = 0 [a; b[ g(b) = 1.
d(f, g) = 0 f g

f g

R
f Rg f g
R f Rf f Rg
gRf) f Rg gRh f Rh)
d
R
[a; b] . f g
f g, d(f, g)
(f, g) f g.

d S S S R d(x, y) = 0
x = y d(x, y) = d(y, x) d(x, z) d(x, y) + d(y, z)

51

L1 (, A, P )
(, A, P ).
X Y (, A, P )
P
P
L1 (, A, P )
R
P (XRY
/X()
X ==
Y YP())
= 1

X = Y a.s P (X = Y ) = 1

(, A, P ) A A P
P (A) = 0.

L1 (, A, P ) P
(, A, P ).
R L1 (, A, P )
XRY X = Y P

P P

P P


52
L1 (, A, P )
L1 (, A, P ) R
L1 (, A, P ). L0 (, A, P ) R
L0 (, A).
L1 (, A, P ) L0 (, A, P ).
L1 (, A, P ) R+ , X X1
X X1 = E(|X|)
L1 R X E(X), X
E(X),
L1 (, A, P ) L0 (, A, P )

X X1 X1 = 0 X = 0 P

X + Y 1 X1 + Y 1
, |X() + Y ()| |X()| + |Y ()| ,
E(|X + Y |) E(|X|) + E(|Y |)
X1 = || X1

L
S S R , .
x = 0 x = 0
x S, c R, cx = |c| x
(x, y) S S, x + y x + y

53

L1 (, A, P ))
d1 (X, Y ) = X Y 1 , L1 (, A, P )
d1 L1

(Xn , n N )
L1 X L1
lim E (|Xn X|) = 0
n+
L
Xn X.
L1
Rn
L1 .

L2(, A, P )
L2 (, A, P )
L2 (, A, P )
L2 (, A, P )
L2 (, A, P ) L1 (, A, P )
X Y L2 (, A, P ) XY
L1 (, A, P ).

54

E(XY )2 E(X 2 )E(Y 2 )
Z = X + tY t R

E Z 2 = E X 2 + 2tXY + t2 Y 2 0

= E X 2 + 2tE (XY ) + t2 E Y 2
t.

= E (XY )2 E X 2 E Y 2
X
Y L2 . XY
L2 .

55
L2 L2 R ., .
(X, Y ) X, Y = E(XY )
L2 .

X2 = X, X = E(X 2 )
d2 d2 (X, Y ) = X Y 2 .
., . X, X = E(X 2 ) > 0 X
P

L1 , L2
L2
(Xn , n N ) L2 X L2

lim E (Xn X)2 = 0

n+
L2

L2 Rn ,
L2 .

R2 , f : R2 R
x R2 , f (x) = a1 x1 + a2 x2
a1 a2 x = (x1 , x2 ).
(a1 , a2 ) f. a = (a1 , a2 )
x R2 f(x)
H
H
H

56
a x. f
R2 R a R2 .

L2 (, A, P ).
f L2 R
Yf L2 X L2
f (X) = X, Yf = E(XYf )
X f (X)
X f (X)
Card() = N
Yf
f (X) = X, Yf = E(XYf ) =
X( i )Yf ( i )P ( i )
i=1
X = ei = {i } ,
i .
f (ei ) = ei , Yf = P ( i )Yf ( i )
f (ei )
i .
P ( i ) Yf ( i ). Yf ( i )
f(ei )
Yf ( i )
Yf ( i )

Yf ( i )
i X,

X=
xi ei
i=1
X( i ) = xi .
f (X) = X, Yf =
i=1
xi f (ei ) =
xi Yf ( i )P ( i )
i=1
R , x y
< x, y >=
x y .

57

C C
z)

L2
x R2 C
R2 . C z C
x. z x C.
y y.
x z y z 90 270 .

< x z, y z > 0

C C
z)
A
[0; 1] , (x, y) A A, x + (1 )y A.
R , x y < x, y > / x . y .
Challenge the way we run
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58
R2

C L2 X L2 .
Z C
X Z, Y Z 0 Y C
Z X C.


59

X Y L2 (, A, P )
X Y, Cov(X, Y ) XY )

cov(X, Y ) = E [(X E(X)) (Y E(Y ))]
X Y
X() Y ()
1
X Y
E(X) = E(Y ) = 2.

X() E(X) Y () E(Y )
1

cov(X, Y ) =
1
(1 1 + (2) (1) + 1 (1) + 2 1) = 0.5
4

P
X Y.
a, b, c, d
X, Y, Z, W
Cov(aX +bY, cZ +dW ) = ac XZ +ad XW +bc Y Z +bd Y W
Cov(aX, Y ) = aCov(X, Y ).

60

V (X + Y ) = V (X) + V (Y ) + 2Cov (X, Y )
Cov (X, X) = V (X).
Cov (X, Y )
X Y.

X Y L2 ;
X Y XY ,
XY =
Cov(X, Y )
(X)(Y )
(X) (Y ) X Y.
X
Y
XY Cov( (X)
, (Y
),
)

X Y
X, Y
XY =
X2 Y 2
XY
X Y.

1
(X) =
((1)2 + (2)2 + (1)2 + (2)2 ) = 2.5 = 1.58
4
1
(Y ) =
((1)2 + (1)2 + (1)2 + (1)2 ) = 1
4
0.5
XY =
= 0.316
1.58

61

X Y

X Z L2 a, b, c, d

Cov(aX + b, cZ + d) = ac Cov(X, Z)
aX+b,cZ+d = sign(ac) XZ
Y
W
(aX + b) = |a| (X) (cY + d) = |c| (Y )


62
X Y L2

X1
X1
X0 = 90

E (X1 ) =
1
[0 + 200] = 100
2

X0 =
E (X1 )
= 90
1 + Riskpremium

X0


63

Q P
X0 = EQ (X1 )

= { 1 , 2 } , X1 ( 1 ) = 200 X1 ( 2 ) = 0.
Q
Q( 1 ) = q1 = 0.45
Q( 2 ) = q2 = 1 q1 = 0.55
EQ (X1 ) = 90 = X0 .
Q

q1 200 + q2 0 = 90
q1 + q2 = 1
X1 ( 1 ) = 200
Y1 ( 1 ) = 150
X1 ( 2 ) = 100 X0 = 130
Y1 ( 2 ) = 110 Y0 = 120
Q X0 = EQ (X1 ).
130 = 200Q(1 ) + 100 (1 Q (1 ))
Q( 1 ) = 0.3.
Q Y0 = EQ (Y1 ).

150Q ( 1 ) + 110 (1 Q ( 1 )) = 120

64
Q ( 1 ) = 0.25.
Q Q

Q Q
(X0 , Y0 )

200
150
1
0
X
+ Y
+ Z
=
100
110
1
0
Z

X = 2; Y = 5; Z = 350

200
150
1
0
2
+5
350
=
100
110
1
0
2 130 + 5 120 350 = 10

(X0 , Y0 )
X1
Y1 , X0 Y0
2X0 + 5Y0 = 350.

Y1
Y0 = 122.

65
Q
122 = 150Q( 1 ) + 110 (1 Q( 1 ))
Q( 1 ) =
12
40
= 0.3.
Q
Q

Q

r
1
1+r
, X1
1
X0 =
EQ (X1 )
1+r
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66

{}
1
P ( 1 ) > 0
A10 P ( 1 ),
A10 = EQ (A11 ) ,
EQ (A11 ) = Q( 1 ).

P Q.

A11 ,

Q
P
B A, P (B) = 0 Q(B) = 0
Q << P.
P Q
B A, P (B) = 0 Q(B) = 0
Q << P P << Q.


67
Q << P A

B A, Q(B) =
dP
B
P (B) = 0 Q(B) = 0
,
Q(B) = B dP, = dQ

dP
Q
dP
P. P Q dQ
dQ

dP
dQ
dP
= 1/
dP
dQ
P Q (, A)
= dQ
.
dP
EQ (X1 ) = E (X1 )

X1 EQ (X1 ) X1 .
P X1 E (X1 ) = , X1
L2 (, A, P ) .

Card() = N A = P () P () > 0

dP = ()P ()
Q({}) =
{}

() =
Q()
P ()

68


n
(, A, P ) (Rn , BRn ) . X =
(X1 , ...., Xn ) Xi

360
thinking
360
thinking
360
thinking
Discover the truth69at www.deloitte.ca/careers
X = (X1 , ...., Xn )
FX Rn [0; 1]
FX (x) = P (ni=1 {Xi xi })
x Rn (x1 , x2 .., xn ) .
Xi X
fX Rn R
x x xn
FX (x) =
...
fX (x)dx1 ...dxn

E(X)
Xi X
V (X1 )
... Cov(X1 , Xj ) Cov(X1 , Xn )
X =
Cov(Xj , X1 )
V (Xj )
Cov(Xn , X1 )
V (Xn )
X
2
1 ... 1j 1n
X =
2
j1
j
2
n1
n

X n
U, W n Rn .
E(U X) = U E(X)
E (U X, W X) = U E(XX )W
V (U X) = U X U
CoV (U X, W X) = U X W

70
U X =
n
i=1 Ui Xi V (U X) X (n, n)
XX n n E(XX ) n n
E(Xi Xj )

n X
U Rn n
U, R,
R=UX=
Ui Xi
i=1

E(R) = U E(X)
V (R) = U X U
E(X)

U
n
Ui = 1
i=1
U =1 Rn

e.
X

(n, n) M x R , x = 0 x Mx > 0.

71

1
min U X U
2

U E(X) = e
U =1
12

1
L (U, , ) = U X U + (e U E(X)) + (1 U )
2
X = E(X) =

L
= U =
U
L
= e U =
L
= 1 U =

U = 1 +1

e = 1 + 1
1 = 1 + 1

1
U=
(eC A)1 +(b eA)1
D
A
B
C
D
=
=
=
=
1
1
1
BC A2
x x 1 x
Rn x, y = x 1 y.
D

72

2 , t

X
p X p 1 p.

73

B A P (B) = p, B
p.
B B(p)

X a b (a > b)
1
p 1 p, Y = ab
(X b)
p 1 p. Y B(p).

ln(u)
ln(d) u up d down).
S0 , S1 , uS0 dS0 .

ln(S1 ) = ln(S0 ) + X
X ln(u) ln(d).

B = {SPT K}
SPT T
K

P (B).

X B(p), E(X) = p 2 (X) = p(1 p)
X
p, E(X)
E(X) = p 1 + (1 p) 0 = p
X, 2 (X)

2 (X) = E(X 2 ) E(X)2 = p p2 = p(1 p)
X = X .

74
Y y1 y2
p (1 p).
2 (Y ) = p(1 p)(y1 y2 )2
1
X = y y
(Y y2 ) B(p)
Y = (y1 y2 )X + y2
E(Y ) = (y1 y2 )E(X) + y2 = py1 + (1 p)y2

2 (Y ) = (y1 y2 )2 2 (X) = p(1 p)(y1 y2 )2

Y
y1 = ln(u) y2 = ln(d).

u 2
2 (Y ) = p(1 p) ln
d
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75

u d

X
n p X n
Xi , i = 1, ..., n, B(p).

n k
P (X = k) =
p (1 p)nk
k

n!
nk = k!(nk)!
k n.
X B(n, p).

S
St t , (t + 1)
St+1 = St Xt+1
Xt+1 u d p 1 p.
Xt St
St = S0

ln
St
S0
Xs
s=1
ln(Xs )
s=1
s = 0 s = t
t
ln(u) ln(d) p 1 p.

76
ln(St ) B(n, p)

n k
P (ln(St ) = ln(S0 ) + k u) =
p (1 p)tk
k

nk
k t k

X B(n, p) E(X) = np 2 (X) = np(1 p)
B(n, p) n
B(p)).
X B(n, p)
E(X) = np 2 (X) = np(1 p)
n

t

St
E ln
= t (p ln (u) + (1 p) ln(d))
S0

u 2
St
2
ln
= tp(1 p) ln
S0
d

StStSt .

77

X
X
k
k N, P (X = k)= exp()
k!
X P().
P(2).

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78
P(2)

X P() E(X) = 2 (X) =

xk
x
e = +
k=0 k! .
+
k
k
E(X) =
kP (X = k) =
k exp() = exp()
k
k!
k!
k=0
k=0
k=1
+
+ k
k1
= exp()
= exp()
= exp() exp() =
(k 1)!
k!
k=1
k=0

2 (X) = E(X 2 ) E(X)2 = exp()

79
k=0
k2
k
2
k!
k=0
k
2
k!
k
2
k1
=
k
=
k
k!
(k 1)!
k=1
k=1
+
+
k1
k1
=
+
(k 1)
(k 1)!
(k 1)!
k=1
k=1
2
+ k
+ k
+
k!
k!
k=0
= + exp()
k=0
2
2 (X) = .
P()

B(n, p) n p

n
p
np np(1 p)
np(1 p) np
p

= np.

P(),


80
X [a; b] ,
a < b, fX
1
x [a; b]
ba
fX (x) =
0
X U([a; b]).
FX ) X
xa
ba x [a; b]
FX (x) =
0 x < a
1 x > b

[0; 1] .
[c; d]
[a; b]
dc
= FX (d) FX (c)
PX ([c; d]) = PX (]c; d]) =
ba

[a; b]

a b.

X U([a; b]) E(X) =
b+a
2
2 (X) =
(ba)
12
X [a; b] , X

1
E(X) =
xfX (x)dx =
ba
2
2
1 (b a )
b+a
=
=
2 ba
2
b
a

81
2 b
1
x
xdx =
ba 2 a
[0; 1]

2
(X) =
x fX (x)dx
b+a
2
3 b
2
1
x
b+a
=
ba 3 a
2
1 (b a3 ) 1 2
(a + 2ab + b2 )
3 ba
4
1 2
1
=
(a + ab + b2 ) (a2 + 2ab + b2 )
3
4
(b a)2
=
12

82

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ree wo
work
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e Graduate Programme
for Engineers and Geoscientists
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ina cons
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advising and the No
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helping
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ssolve
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Real work
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helping
f
International
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al opportunities
ree wo
work
or placements
ssolve p

83
e
for Engin
X m
X N (m, )) fX
2
1
1 xm
fX (x) = exp
2
2
fX
x = m
2/3
[m ; m + ]
[m 2; m + 2] .
N (0, 1)

N (0, 1)

2 ,


84

X N (m, 2 ), E(X) = m 2 (X) = 2

2
+
1
1 xm
E(X) =
dx
x exp
2
2
y =
xm
,
+
1
1 2
E(X) =
(y + m) exp y dy
2
2
+
+
m
1 2
1 2
=
y exp y dy +
exp y dy
2
2
2
2
1
= exp y 2
+m=m
2
2
E(X) = m. exp 12 y 2

y = xm

+
1
1 2
2
2
(X) =
(y + m) exp y dy m2
2
2
2 +
1 2
2m +
1 2
2
=
y exp y dx +
y exp y dx
2
2
2
2
0
2m) ;
+
2
1 2
y y exp y dx
2
2

+
+
1 2
2
1 2
=
y exp y
exp y dx
2
2
2
+
1
1
1
1
= 2 y exp y 2
+
exp y 2 dx
2
2
2
2

1. 2 (X) = 2 .

85

0 t
r = ln SSt St t (t > 0).

St = S0 er

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86
X m
2 ln(X) N (m, 2 ). X

2

1
1 ln(x)m
exp 2
x > 0
x 2
fX (x) =
0
X LN (m, 2 ).

m = 0 = 1

87
X LN (m, 2 ), E(X) = exp m +

exp (2m + 2 ) (exp( 2 ) 1))
2 (X) =
1
E(X) =
2
1
exp
2
ln(x) m
dx
y = ln(x),
1
E(X) =
2
1
exp(y) exp
2
ym
dy
+
1 (y (m + 2 ))2
2
1
dy
exp
exp m +
E(X) =
2
2
2
2
2
= exp m +
2

(m + 2 ) 2 .
V (X) E(X 2 ) =
exp (2(m + 2 )) V (X) = exp (2m + 2 ) (exp( 2 ) 1))
Y N (0, 1) X
2
X = exp
m
+ Y
2
m > 0. X 1
m

X K 1
max(X K; 0)


88
E (X K)+ (x)+ = x x > 0 (x)+ = 0

fX X, :
E (X K)+ =
+
+
fX (x) max(x K; 0)dx =
fX (x)(x K)dx
0
+
+
xfX (x)dx K fX (x)dx
=
xfX (x)dx KP (X K)
K
+
K
+
xfX (x)dx KP (ln(X) ln(K))
2
P (ln(X) ln(K)) = P
m
+ Y ln(K)
2
ln(K) m 2
= P Y
N (x)
ln(K) m 2
P (X K) = 1 N
ln(K) + m 2
= N
+
ln(K) + m + 2
xfX (x)dx = em N

89

m = 3% = 20%.

[900; 1000] .
[1000; 1100]?

90

2 t
Y 2 n
Y
Y =
Xi2
i=1
Xi i,
Xi N (0, 1).

2 (X1 , ....Xn )
(m, 20 ), Y
Y =
2
n
Xi m
j=1
2 n
n
20 Y
1
=
(Xi m)2
n
n j=1
1
m X = n
Xi ,
i=1
Y , m X 2
n
2
1
n 1 n1
Xi X
j=1

91

2 2

Y t
n Y
Z
Y =
X
n
Z X 2
n


92
n) n/(n 2)
3(n2)/(n4). n > 4.
n = 6,

F

Y

Y =
X
n
X
n
X1 (X2 ) 2 n1 (n2 )
F (n1 , n2 ) F (n2 , n1 )
F

n1 n2

F


93

t t + 1,
t.

(, A, P ) = { 1 , 2 , 3 , 4 } , A = P() P ( i ) = 0.25
i = 1, .., 4. X Y


94
1
2
3
4
X
1
2
3
4
Y
1
1
2
2
X Y

1
(1 + 2 + 3 + 4) = 2.5
4
1
E(Y ) =
(1 + 1 + 2 + 2) = 1.5
4
E(X) =
Y X .
Y () = 1, 1 2 .
{ 1 , 2 } {Y = 1}
{Y = 1} .

(P ( i |{Y = 1}), i = 1, ..., 4) =
1 1
; ; 0; 0
2 2
X
E (X |{Y = 1})
E (X |{Y = 1}) =
X( i )P ( i |{Y = 1}) =
1
(1 + 2) = 1.5
2
E(X) {Y = 1}

Y
Y. Y,

X 1.5.


95

X Y
(xi , i = 1, ..., n) (yj , j = 1, ..., p) .
X
{Y = yi } PX|Y (. |yi )
PX|Y (x |yi ) = P (X = x |Y = yi ) =
P ({X = x} {Y = yi })
P ({Y = yi })
P ({Y = yi }) = 0
Y. PX|Y (. |yi )
X.
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96
fXY ,
fX fY X Y.
y fY (y) > 0,
X {Y = y} fX|Y (. |y )
fX|Y (x |y ) =
fXY (x, y)
fY (y)
X fX B
P (B) = 0 X B
fX (x |B ) =
fX (x)
P (B)
x X(B)
0

A.
X
x1 , ..., xN , B A, E(X |B )

N
E(X |B ) =
xi P ({X = xi } |B )
i=1
X
fX B A, E(X |B )
1
E(X |B ) =
P (B)
X(B)
xfX (x)dx =

97
xfX (x |B )dx
{Y = 2}

E(X |{Y = 2}) =
i=1
xi P ({ i } |{Y = 2})
= 3 P ( 3 |{Y = 2}) + 4 P ( 4 |{Y = 2})

1
(3 + 4) = 3.5
=
2
P ( 1 |{Y = 2}) = P ( 2 |{Y = 2}) = 0.

X Y.
Y,

X,
x1 , ..., xN , Y,
y1 , ..., yM , E(X |Y ),
{Y = yj } , E(X |Y )() =
i=1
xi P ({X = xi } |{Y = yj })
X Y

1
2
3
4
E(X |Y )
1.5
1.5
3.5
3.5
X Y

98
X Y fX fY
fX|Y (x |y ) .
X {Y = y}
+
xfX|Y (x |y )dx
E (X |Y = y ) =
X Y

+
{Y = y} , E(X |Y )() =
xfX|Y (x |y )dx
Y {Y = yj }
. E(X |Y )
Y,
Y
E(X |Y ). E(X |Y )
BY .
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99

( X L1 (, A, P )), B A, B
Z,
B B, E (ZB ) = E (XB )

Z Z Z

E(X |B ).
X
E(X |B ) B.

X B, E(X |B ) = X.
Card() = , P ( i ) = pi i B
B = {, {1 , 2 } , { 3 , 4 } , }
B1 = { 1 , 2 } B2 = { 3 , 4 } X X = (x1 ; x2 ; x3 ; x4 ) .

p1 x1 + p2 x2 = p1 z1 + p2 z2
p3 x3 + p4 x4 = p3 z3 + p4 z4
Card , X

100
Z (z1 ; z2 ; z3 ; z4 ) .
B1 B2 . Z B
B1 B2 .
z1 = z2
z3 = z4

1
[p1 x1 + p2 x2 ] = E (X |B1 )
p1 + p2
1
= z4 =
[p3 x3 + p4 x4 ] = E (X |B2 )
p3 + p4
z1 = z2 =
z3
B1 (B2 )
X
B1 (B2 ).
X B, E (X |B )
X.
L2 , A, P )

L2 (, A, P ) .

R2 ,
d(x, y) = (x1 y1 )2 + (x2 y2 )2

x = (x1 , x2 ) y = (y1 , y2 ) .
x R2 , z =
(z1 , z1 ) x.

minz (x1 z1 )2 + (x2 z1 )2
z1 = z2 .

101
L2 (, A, P )
z1 = x +x
. z
2
2
x R
z x z.
< z x, z >= (z1 x1 )z1 + (z1 x2 )z1
x2 x1
x1 x2
=
z1 +
z1 = 0
2
2
R2
d (x, y) = p(x1 y1 )2 + q (x2 y2 )2
p + q = 1, p > 0, q > 0.

z1 = px1 + qx2
z1
x
L2

X
L2 (, A, P ) , E(X |B ) B
B L2 (, B, P ) .
L2 (, A, P ) R4 L2 (, B, P )
R2
E(X |B ) X
L2 (, B, P ) . E (X |B )
minZL ,B,P ) E (X Z)2 = minZL ,B,P ) d(X, Z)2 = E (X E (X |B ))2

E (X |B ) B
z1 = z2
z3 = z4

P
PB B L , B, P ).
P B.

102
E (X Z)2 = p1 (x1 z1 )2 +p2 (x2 z1 )2 +p3 (x3 z3 )2 +p4 (x4 z3 )2
z1 z3

E (X Z)2
= 2 [p1 (x1 z1 ) + p2 (x2 z1 )] = 0
z1
E (X Z)2
= 2 [p3 (x3 z3 ) + p4 (x4 z3 )] = 0
z3

1
(p1 x1 + p2 x2 ) = E (X |B ) ( 1 ) = E (X |B ) (2
)
p1 + p2
1
= z4 =
(p3 x3 + p4 x4 ) = E (X |B ) ( 3 ) = E (X |B ) (4
)
p3 + p4
z1 = z2 =
z3

103
(X, Y ) L2 (, A, P )
B, B A B B
X c R, E (X |B ) = c
(a, b) R2 , E (aX + bY |B ) = aE (X |B ) + bE (Y |B )
X Y, E (X |B ) E (Y |B )
E (E (X |B ) |B ) = E (X |B )
X B E (XY |B ) = X E (Y |B )
X B, E (X |B ) = E(X)

c c .
B
c L2 (, B, P ) .
L2 (, B, P ) L2 (, A, P ) ,

E (X |B ) X L2 (, B , P ) . E (E (X |B ) |B )
L2 (, B, P ) E (X |B )
L2 (, B , P )
L (, B, P )
L2 (, B, P ) .
B = {, } E (X |B ) = E(X)
E (E (X |B )) = E (X) B
E (X E(X) |B ) = 0 E(X)
2
X E(X) Y
L2 (, B, P )
E((X E(X)) Y ) = E (X E(X)) E(Y ) = 0

104

X E(X) Y.

X = (X1 , ...., Xn )
n

ai Xi
i=1
m = (E(X1 ), ..., E(Xn )) X

X. fX X
1
1
1
n
1
x R , f(x) =
exp (x m) X (x m)
2
2
Det(X )
Det(X )

X = (X1 , ...., Xn )
m X ; p < n Y1 = (X1 , ...., Xp ) Y2 = (Xp+1 , ...., Xn ) .
X
11 12
X =
21 22
ii Yi ij
Yi Yj i, j = 1, 2, i = j.
Y1 Y2 = y2 Rnp

E (Y1 |Y2 = y2 ) = E(Y1 ) + 12 1
22 (y2 E(Y2 ))
Y |Y =y = 11 12 1
22 21

105
p = 1 n = 2
p = 1 n = 2
12
(y2 m2 )
22
2
= 21 12
22
E (X1 |X2 = x2 ) = m1 +
X |X =x
12
X |X =x = 21 (1 212 )

x = (x1 , x2 ))
1
1
exp 12 (x m) X
(x m)
(2) |Det(X )|
fX (x1 , x2 )

fX |X (x1 |x2 ) =
=
2
fX (x2 )
1
1
x
m
exp
2
1
exp 12 (x m) X
(x m)
2

= 2 2
2
2 1 2 212
1 x m
exp 2
2
2
m
1
x
2
2
1
= 2 2
exp
(x m) X
(x m)
2
2
2 1 2 12
2

1
X
1
= 2 2
1 2 212
12
22
12 21
1
(x m),
A = (x m) X
A =
22 x21 2 22 x1 m1 2x1 12 x2 + 2x1 12 m2

+
21 22 212
22 m21 + 2m1 12 x2 2m1 12 m2 + 21 x22 2 21 x2 m2 + 21 m22
21 22 212
2
fX (x1 , x2 )
2
1 ( 22 x1 + 22 m1 + 12 x2 12 m2 )
= 2 2
exp
fX (x2 )
2
22 ( 21 22 212 )
2 ( 1 2 212 )

106
Probability
for Finance
expectations and Limit theorems

Conditional

12
(x2 m2 )
22
212
2
= 1 2
2
E (X1 |X2 = x2 ) = m1 +
X |X =x
g
2

x
(x
m
)
1
1
2
2
1
1

g(x1 ) =
exp
2
2
1
2
2
1
1 ( 22 x1 + 22 m1 + 12 x2 12 m2 )
2
exp
= 2 2
2
22 ( 21 22 212 )
2 ( 1 2 212 )
g(x1 ) = fX |X (x1 |x2 ).
X |X =x = 21 (1 212 ) X2 = x2
X1

X1
12

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107

L1 L2 .

(Xn , n N) X
(, A, P ) ;
P
(Xn , n N) X Xn X
> 0
lim P (|Xn X| > ) = 0
n+

108

a.s
(Xn , n N) X Xn X
0 P (0 ) = 1
0 , lim Xn () = X()
n+
PXn PX Xn X (Xn , n N)
L
X Xn X)
f
f(x).dPXn (x) =
f(x).dPX (x)
lim
n+

X
E(X) = A > 0
P (X A)
1
A
A > 1
X.

X


109

X L2 (, A, P ) E(X) = m V (X) = 2 ;
B > 0
2
P (|X | B) 2
B

P (|X | A)
1
A2
A X
1
2A2
1
A = 20.01
= 7.0711.
A = 2.32,

P (X A)

110

(Xn , n N)

),
1
Zn = n ni=1 Xi (Zn , n N)
> 0
P (|Zn | )
2
n2

(Xn , n N)
Xn X X L2 )

limn+ E(Xn ) = E(X)
limn+ V (Xn X) = 0

(Xn ,
n N)
Zn = n1 ni=1 Xi
(Zn , n N)
E(|Xn |) = +, Zn
ri = E(ri ) +
ik Fk + i
k=1

111
ri i, F1 , ..., FK
ik i
k i
i. Cov(Fk , Fj ) = 0
j = k) Cov(Fk , i ) = 0).
Cov(i , m ) = 0 i = m).

N

N
N
N
N
K
1
1
1
1
ri =
E(ri ) +
ik Fk +
i
N i=1
N i=1
N i=1 k=1
N i=1
N
K
N
N
1
1
1
=
E(ri ) +
Fk +
i
N i=1
N i=1 ik
N i=1
k=1
1
N
i

i=1

(Xn , n N)
p; Tn
n
Xi np
Tn = i=1
np(1 p)


112
n u d

up

n
, n 1
Y = Y1n , ..., Yk(n)
k(n) n
2
n, sn = V
. Y
i=1 Yi
n
,n 1
> 0, U = U1n , ..., Uk(n)

Uin = Yin |Yin | sn
= 0

V
lim
n+
k(n)
i=1
s2n
Yin
=1
n
Y = Y1n , ..., Yk(n)
, n 1
n
n
n
n
Y1 E (Y1 ) , ...., Yk(n) E Yk(n) , n 1
k(n) n
n 1, Zn = i=1
Yi
E (Zn ) V (Zn ) 2 = 0 Zn
Z

u d
u d


113
Bibliography

114
Bibliography
115

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