PROBABILITY AND STOCHASTIC PROCESS (MTL106)

ANANTA KUMAR MAJEE

1. Modes of Convergence
1.1. Some important inequalities. We start this section by proving a result known as Markov
inequality.
Lemma 1.1 (Markov inequality). If X is a non-negative random variable whose expected
value exists, then for all a > 0,
E(X)
P(X ≥ a) ≤ .
a
Proof. Observe that, since X is non-negative
h i
E[X] = E X1{X≥a} + X1{X<a} ≥ E[X1{X≥a} ] ≥ aP(X ≥ a).
Hence the result follows. 
Corollary 1.2. If X is a random variable such that E[|X|] < +∞, then for all a > 0
E(|X|)
P(|X| ≥ a) ≤ .
a
Example 1.1. A coin is weighted so that its probability of landing on heads is 20%. Suppose
the coin is flipped 20 times. We want to find a bound for the probability it lands on heads at
least 16 times. Let X be the number of times the coin lands on heads. Then X ∼ B(20, 15 ). We
use Markov inequality to find the required bound:
E(X) 4 1
P(X ≥ 16) ≤ = = .
16 16 4
The actual probability that this happen is
20  
X 20
P(X ≥ 16) = (0.2)k (0.8)20−k ≈ 1.38 × 10−8 .
k
k=16

Lemma 1.3 (Chebyschev’s inequality). Let Y be an integrable random variable such that
Var(Y ) < +∞. Then for any ε > 0
Var(Y )
P(|Y − E(Y )| ≥ ε) ≤ .
ε2
Proof. To get the result, take X = |Y − E(Y )|2 and a = ε2 in Markov inequality. 
Example 1.2. Is there any random variable X for which

1
P µ − 3σ ≤ X ≤ µ + 3σ = ,
2
where µ = E(X) and σ 2 = Var(X).
Solution: Observe that




P µ − 3σ ≤ X ≤ µ + 3σ = P |X − µ| ≤ 3σ = 1 − P |X − E(X)| > 3σ .
By Chebyschev’s inequality, we get that
1
2 A. K. MAJEE

σ2
P |X − E(X)| > 3σ ≤ P |X − E(X)| ≥ 3σ ≤ 2 ,
9σ
and hence

1 8
P µ − 3σ ≤ X ≤ µ + 3σ ≥ 1 − = .
9 9
1 8
Since 2 < 9 , there exists NO random variable X satisfying the given condition.
In principle Chebyshev’s inequality asks about distance from the mean in either direction, it
can still be used to give a bound on how often a random variable can take large values, and will
usually give much better bounds than Markov’s inequality. For example consider Example 1.1.
Markov’s inequality gives a bound of 14 . Using Chebyshev’s inequality, we see that
Var(X) 1
P(X ≥ 16) = P(X − 4 ≥ 12) ≤ P(|X − 4| ≥ 12) ≤ = .
144 45
Lemma 1.4 (One-sided Chebyschev inequality). Let X be a random variable with mean 0 and
variance σ 2 < +∞. Then for any a > 0,
σ2
P(X ≥ a) ≤ .
σ 2 + a2
Proof. For any b ≥ 0, we see that X ≥ a is equivalent to X + b ≥ a + b. Hence by Markov’s
inequality, we have
E[(X + b)2 ] σ 2 + b2
P(X ≥ a) = P(X + b ≥ a + b) ≤ P((X + b)2 ≥ (a + b)2 ) ≤ =
(a + b)2 (a + b)2
σ 2 + b2 σ2
=⇒ P(X ≥ a) ≤ min = .
b≥0 (a + b)2 σ 2 + a2


One can use one-sided Chebyschev inequality to arrive at the following corollary.
Corollary 1.5. If E[X] = µ and Var(X) = σ 2 , then for any a > 0,
σ2
P(X ≥ µ + a) ≤
+ a2σ2
σ2
P(X ≤ µ − a) ≤ 2 .
σ + a2
Example 1.3. Let X be a Poisson random variable with mean 20. Show that one-sided Cheby-
shev inequality gives better upper bound on P(X ≥ 26) compare to Markov and Chebyschev
inequalities. Indeed, by Markov inequality, we have
E[X] 10
p = P(X ≥ 26) ≤ = .
26 13
By Chebyschev inequality, we get
Var(X) 10
p = P(X − 20 ≥ 6) ≤ P(|X − 20| ≥ 6) ≤ = .
36 18
One-sided Chebyschev inequality gives
Var(X) 10
p = P(X − 20 ≥ 6) ≤ = .
Var(X) + 36 28
 PROBABILITY AND STOCHASTIC PROCESS 3

Theorem 1.6 (Weak Law of Large Number). Let {Xi } be a sequence of iid random variables
with finite mean µ and variance σ 2 . Then for any ε > 0
Sn
σ2
P | − µ| > ε ≤ 2 ,
n nε
Pn
where Sn = i=1 Xi . In particular,
Sn

lim P |
− µ| > ε = 0 .
n→∞ n
Proof. First inequality follows from Chebyschev’s inequality. Sending limit as n tends to infinity
in the first inequality, we arrive at the second result. 
We shall discuss various modes of convergence for a given sequence of random variables {Xn }
defined on a given probability space (Ω, F, P).
Definition 1.1 (Convergence in probability). We say that {Xn } converges to a random
variable X, defined on the same probability space (Ω, F, P), in probability if for every ε > 0,
lim P(|Xn − X| > ε) = 0.
n→∞
P
We denote it by Xn → X.
1
Example 1.4. Let {Xn } be a sequence of random variables such that P(Xn = 0) = 1 − n and
1 P
P(Xn = n) = n. Then Xn → 0. Indeed for any ε > 0,
(
1
if ε < n,
P(|Xn | > ε) = n
0 if ε ≥ n .
Hence, limn→∞ P(|Xn | > ε) = 0.
Example 1.5. Let {Xn } be a sequence of i.i.d. random variables with P(Xn = 1) = 21 and
P(Xn = −1) = 12 . Then n1 ni=1 Xi converges to 0 in probability. Indeed for any ε > 0, thanks
P
to weak law of large number, we have
1 Var(X1 )
P(| Sn − µ| > ε) ≤
n nε2
where µ = E(X1 ). Observe that µ = 0 and Var(X1 ) = 1. Hence
n
1X 1
P(| Xi | > ε) ≤ 2 → 0 as n → ∞.
n nε
i=1
P |Xn −X|

Theorem 1.7. Xn → X if and only if lim E 1+|Xn −X| = 0.
n→∞
P
Proof. With out loss of generality, take X = 0. Thus, we want to show that Xn → 0 if and only
|Xn |

if lim E 1+|X n|
= 0.
n→∞
P
Suppose Xn → 0. Then given ε > 0, we have limn→∞ P(|Xn | > ε) = 0. Now,
|Xn | |Xn | |Xn |
= 1|Xn |>ε + 1 ≤ 1|Xn |>ε + ε
1 + |Xn | 1 + |Xn | 1 + |Xn | |Xn |≤ε
|Xn |
|Xn |

=⇒ E ≤ P(|Xn | > ε) + ε =⇒ lim E ≤ ε.
1 + |Xn | n→∞ 1 + |Xn |
|Xn |

Since ε > 0 is arbitrary, we have limn→∞ E 1+|X n|
= 0.
4 A. K. MAJEE

|Xn |
x
Conversely, let limn→∞ E 1+|Xn | = 0. Observe that the function f (x) = 1+x is strictly
increasing on [0, ∞). Thus,
ε |Xn | |Xn |
1|Xn |>ε ≤ 1|Xn |>ε ≤
1+ε 1 + |Xn | 1 + |Xn |
ε |Xn |

=⇒ P(|Xn | > ε) ≤ E
1+ε 1 + |Xn |
1+ε |Xn |
P
=⇒ lim P(|Xn | > ε) ≤ lim E = 0 =⇒ Xn → 0.
n→∞ ε n→∞ 1 + |Xn |

P

Exercise 1.1. Show that Xn → X if and only if limn→∞ E 1 ∧ |Xn − X| = 0.