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551 551 1 PB
551 551 1 PB
David Nualart
Arbor CLXXVIII, 704 (Agosto 2004), 607-619 pp.
1 Foundations of Probability
There is no doubt that the most famous and influential work by Andrei
Nikolaevitch Kolmogorov (1903-1987) is a monograph of around 60 pages
published in 1933 by Springer in a collection of texts devoted to the modern
theory of probability [16]. This monograph changed the character of the
calculus of probability, moving it from a collection of calculations into a
mathematical theory.
The basic elements of Kolmogorov^s formulation are the notion of prob-
ability space associated with a given random experience and the notion of
random variable. These notions were formulated in the context of measure
theory. More precisely, a probability space is a measure space with total mass
equal to one and a random variable is a real-valued measurable function:
Px{B) = P{X-HB))
for any Borei subet B of the real line. The probability Px is called the
law or distribution of the random variable X.
P{C\D) = ^ ^ ~ ^ . (1)
fA{X) = E{1A\X).
Q=f]Gn.
n>l
Theorem 2 (0-1 Law) Any event in the asymptotic a-field G has proba-
bility zero or one.
Therefore, the probabilities P{'\A) and P coincide on the cr-field a{Xi,..., Xn)
for each n > 1, and this implies that they coincide on the a-field gener-
ated by all the random variables X^. So, F(A|A) = P(A), which implies
P{Ay = P{A) and P{A) = 1.
EVar(F„).
n>l
The convergence of the series Yln>i P{Xn 7^ Yn)^ implies, by the Borel-
Cantelli lemma, that
P ( l i m s u p { X , ^ K } ) = 0,
that is, P(liminf {Xn = Yn}) — 1, which means that the sequences {X^} and
{Yn} coincide except for a finite number of terms. So, they are equivalent
and the series J2n>i -^n converges if and only if Yl,n>i -^ do^s.
As a consequence of the above theorem, the almost sure convergence
is equivalent to the convergence in probability for a series of independent
random variables.
The Law of Large Numbers says that the arithmetic mean of a sequence
of independent and indentically distributed random variables converges to
the expectation. It is a fundamental result in probability theory. In the
particular case of Bernoulli random variables, that is, indicator functions
of events, the Law of Large Numbers asserts the convergence of the relative
frequence to the probability of an event in the case of a series of independent
repetitions of the experience.
The first contribution by Kolmogorov to the law of large numbers is the
following result published in 1930 ([14]):
Theorem 5 Let {Xn-^n > 1} be a sequence of centered independent random
variables. Set Sn = Xi-\ h Xn- then,
E(X'^) S
—I—IL- <^ oc ==> —^ —> 0 almost surely,
n^ n
n>l
n
almost surely. On the other hand, if E{Xl) < 00, the Central Limit Theorem
asserts that % converges in distribution to the normal law Ar(0,cr^), where
cr^ = E{Xl), that is, for any real numbers a <b
Taking into account these results, one may wonder about the asymptotic
behaviour of Sn as n tends to infinity. The Law of Iterated Logarithm,
established by Khintchine in 1924 ([9]), precises this behavior:
limsup—^ — = a
n->oo V 2n log log n
almost surely. In 1929 Kolmogorov proved in [12] the following version of the
law of iterated logarithm for non identically distributed random variables.
k=l
and \Xn\ <Mn = 0 ( V 5 , log log 5 , ) .
The proof of this result given by Kolmogorov makes possible its extension
to unbounded random variables through a truncation argument. This proof
can be considered as modern in the sense that it introduces new techniques
like the large deviations, which have become fundamental.
3 Stochastic processes
In 1906-1907, Markov [17, 18] discovered that limit theorems for independent
random variables could be extended to variables "connected in a chain".
About the same time, Einstein [7] published his work on Brownian motion.
In this context, the celebrated work by Kolmogorov ([15]) sinthesized these
researches and was the starting point of the theory of Markov processes. The
modern definition of a Markov process is as follows:
called the transition probabilities of the process. They satisfy the so-called
Chapman-Kolmogorov equation:
for any s < u < t^ and they allow to describe all probabilistic properties
of the process. Chapman has mentioned this equation in the work [4] on
Brownian motion in 1928.
Kolmogorov's approach to Markov process developed in [15] is purely
analytic and the main goal is to find regularity conditions on the transi-
tion probabilities F(s, x, i, dy) in order to handle the Chapman-Kolmogorov
equation (4). The central ideal of Kolmogorov's paper is the introduction of
local characteristics at time t and the construction of transition probabilities
by solving certain differential equations involving these characteristics. In
the case of real-valued processes (that is, E = R), Kolmogorov considers the
class of transition functions for which the following limits exist
A{t,x) = l i m - / ( y - x ) F ( i , x , t + 5,dy),
B{t,x) = l i m ¿ / ( y - x f P ( í , x , í + á,dy).
dio Zó J^
Feller suggested the names drift and diffusion coefficients for these limits.
A property on the third moments is also needed to exclude the possibility
of jumps. Assuming, in addition, that the density function of the measure
P(s, X, Í, •), denoted by
./ , N P{s,x,t,dy)
/ ( 5 , X, ¿, y) = '- ,
dy
is sufficiently smooth, Kolmogorov proved that it satisfies the forward differ-
ential equation:
df _ d[A{t,y)f] d'[B\t,y)f]
dt dy dy^ ^'
and the backward differential equation:
Equation (5) arises if the study of the time evolution of the probability dis-
tribution of the process and a special form of this equation appeared earlier
in papers of Fokker [8] and Planck [20]. Kolmogorov called Equation (5)
the Fokker-Planck equation since 1934. When the coefl&cients depend only
on time (processes homogeneous in space), these equations appeared first in
1900 in a paper of Bachelier [1].
The construction of transition functions from the drift and diffusion co-
efficients motivated the works on fundamental solutions to parabolic partial
differential equations and were the starting point on the fruitful relationship
between Markov processes and parabolic equations.
Although his point of view on the theory of stochastic processes was
mainly analytical, Kolmogorov also developed a certain number of tools for
the study of the properties of the paths of stochastic processes. Among these
tools, the most famous and most used is the criterion that guarantees the
continuity of the trajectories of a given stochastic process from conditions
on the moments of its increments. This criterion was proved by Kolmogorov
in 1934 and presented in the Seminar of Moscow University. However, Kol-
mogorov never published this result, and it was Slutsky who stated and give
the first proof in [21] in 1934, attributing it to Kolmogorov.
Definition 9 We say that two stochastic processes {Xt^O < í < 1} and
{^,0 < Í < 1} are equivalent (or that X is a version ofY) if for any t,
P{Xt ^ Yt) = 0.
One can also show under the same hypotheses that there exists a version
of the process X with Holder continuous trajectories of order a < ^ , that
is,
\Xt-Xs\<G\t-s\^
for all 5, Í G [0,1], and for some random variable G.
and there is a version of the Brownian motion with Holder continuous tra-
jectories of order a, for any a < | .
4 Conclusions
A) Kolmogorov may be considered as the founder of probability theory. The
monograph by Kolmogorov published in 1933 transformed the calculus
of probability into a mathematical discipline. Some authors compare
this role of Kolmogorov with the role played by Euclides in geometry.
References
[1] L. Bachelier. Théorie de la spéculation. Ann. Sci. Ecole Norm. Sup. 17,
21-86 (1900).
[2] P. Billingsley. Probability and Measure^ John Wiley 1979.
[7] A. Einstein. Zur Théorie des Brownschen Bewegung. Ann. Physik 19,
371-381 (1906).
[11] A. N. Kolmogorov. Uber dir Summen durch den Zufall bestimmter un-
abhángiger Grõssen. Math. Ann. 99, 309-319 (1928).
[14] A. N. Kolmogorov. Sur la loi forte des grands nombres. CRAS Paris
191, 910-912 (1930).
[20] M. Plank. Uber einen Satz der statistischen Dynamik und seine Er-
weiterung in der Quantentheorie. Sitzungsber. Preuss. Akad. Wiss.
Phys.-Math. Kl. 324-341 (1917).
[22] N. Wiener. Differential space. Jour. Math, and Phys. 58, 131-174 (1923).