نظریه فرایند تصادفی

a
h} QW |DavY x=oWv=O
|=} Q swra xOmWv=O
x} Q_v
|iO=YD |=yOv}=Qi
xvovR|Qwy_ uS}@
?r=]t CUQyi
1 |Qw;O=} w xR}ov= pw= pYi

1 : : : : : : : : : : : : : : : : : : : : : : : : : : xm U ? D B = Q V}=tR; 11
4 ::::::::::::::::::::::::::: R O
nQ @ O= a= u v k w= 21
7 ::::::::::::::::::::::: R O nQ @ O= a= h}a[ uwv=k 31
13 |iO=YD |=yQ=OQ@ w |iO=YD |=yQ}eDt swO pYi
22 xDUUo |iO=YD |=yOv};Qi swU pYi

22 : : : : : : : : : : : : : : : : : : : : ::::: h o Q wtrm `}UwD x}[
- k 13
27 : : : : : : : : : : : : : : : : : : : : | Q}o p= QoDv= w Q =_Dv= w

OQ t Q= Okt 23
30 : : : : : : : : : : : : : : : : : : : : : : |iO=YD | y = Q}eDt |}=Qoty 33
31 : : : : : : : : : : : : : : : : : : : : : : : : : C wvm Q P QoD
N= } | } Bp= v= 43
37 : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : qkD p U= 53
41 : : : : : : : : : : : : : : : : : : : : : : : : : R O w w=
nQ @ O= a= | k u v k 63
42 : : : : : : : : : : : : : : : : : : : : : : : : : : Q wtr
h o w= m 01 u v k 73
hr=
=yu=wva ?
50 ::::::::::::::::::::::: | iO =YD | =yDtqa xrU

- t 83
51 : : : : : : : : : : : : : : : (Hewitt-Savage) =
S=w U ' C} wy 01 u v k w= 93
56 |]QW O}t= w p=tDL= sQ=yJ pYi

56 : : : : : : : : : : : : : : : :::::::::::::::: x Okt
% t 14
64 : : : : : : : : : : : : : : : |}=to}U u=O}t l} \ W Q x@ |]QW p=tDL= 24
67 : : : : : : : : : : : : : : : : : : : : : : : : : : | Qot }= y | y = x}[k 34
70 : : : : : : : : : : : : : : : : : : : : : : : : : s_v | Q t ] W p =tDL= 44
75 : : : : : : : : : : : : : : : : : : : : : : (Jensen) uUv H |w =Ut=v 54
77 xDUUo QDt=Q=B =@ pov}DQ=t sHvB pYi

77 : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : : x Ok t t 15
85 : : : : : : : : : : : : : : : : : : : : : : : : : : = pov} = | Qot
y DQ t }= y 25
92 : : : : : : : : : : : : : : : : : : : C wvm Q P QoD = pov} =

N= } | } Bp= v= w y DQ t 35
94 : : : : : : : : : : : : : : : : : : : : : : : : : : pov} = = Q = DQ t | yO @ Q m 45
pw= pYi
|Qw;O=} w xR}ov=
xmU ?=DQB V}=tR; 11
O =@
w 1 O a =Q Q}W =t "\N =} w CU= Q}W =} xmU = Q = Qy Ot;Q@ "s}vm|t
? D B Q @ = Q = C}=yv|@
? D B Q @ =Q xmU l}
V}=tR; umtt G}=Dv s=tD OwW|t Qy=_ 0 =} w 1 =} xmU ?=DQB Q=@ Qy w

QO u J " s}yO}t u=Wv 0 OOa =@ =Q \N
|=[i Qo}O CQ =@a x@ "l} =} w OvDUy QiY =} =yv; C qtH xm |}=yxr=@vO R= OvDQ=@a Q=@ C}=yv|@ xmU A D B =Q
TB "OW Oy=wN f ; gN = f ; g x
0 1 } 0 1 @ N R= `@=wD xt - awtHt
- y x |= v x wtv
= f ; gN
0 1
OW=@ |= vx wtv | =[i QO |awv x]k

- v l} !2 Qo = p=L
! = (!1 ; !2; . . . )
" !i 2 f ; g x
0 1 m
1
=
|Qw;O } w x R}ov= pw= pYi 2
s}vm|t h} QaD Q} R CQ Y w x@ |wQ =Q Sn Xn ` =

w @ D wO %h} QaD 111
Xn : !R
Xn (!) = !n
Sn : !R
X
n
Sn (!) = !k
k=1
" s}t=v|t A D B=Q n u} rw= QO =yQ}W O=OaD `@=D =Q Sn w s= n xi w
- r -t |wQ Vvmi= `@=D =Q Xn
" OvDUy R3 QO xv=wDU= x}@W |awv x@ xm s}vm|t h} QaD =Q |}=yxawtHt p=L
'Bx awtHt w N QO | nQ w |t xO}t=v |y=vDt Oa@ =@ xawtHt l}

o= O W A %h} QaD 211
xm OvW=@ OwHwt B f ; gn
0 1
A = f! : (!1 ; !2; . . . ; !n ) 2 B g
`k=w QO
A = B f ; g f ; g ...
0 1 0 1
" s}yO|t u=Wv F0 = A pF

@ =Q t |y=vDt Oa@ =@ | y a - }=OQo
- y x
= x wtHt xt
`@=D p=L
P : F0 ! [ ; ] 0 1
% s}vm|t h} QaD Q} R w
CQ Y x@ =Q
8A 2 F0 : P (A) = #B
n 2
" CU= xD}r=v}OQ=m Ctqa # w OvOw@ xOt; q=@ h} QaD QO xm OvDUy |}=yv=ty B nx w m
h} QaD =yA |wQ xm O |rw CU}v xv=o} OwW|t Ci=}

|=xR= v= A |= @Q xm |}B "CU= h} QaDWwN `@=D u}=
Qo = ,qFt "CU= xv=o} OwW|t
B1 = B f ; g 0 1
3 =
|Qw;O } w x R}ov= pw= pYi
x =ov;
P (A) = #nB+11 = # B = #B :
n+1 2
n
2
2 2
"O Q}o Q=Qk Ax-a wtHt QO =t Ot;Q@ xm OyO|t CUO x@ =Q u}= p=tDL= q=@ `@=D
"P (f! : Xn (!) = g) C 1 U= ? wr]t %p=Ft 311
s} Q=O =Hv}= QO %pL
B = f! = (!1; !2; . . . ; !n = )g 1
TB
#B = 2
n 1
w A 2 F0 x =ov; A = f! : Xn (!) = g Q 1 o= xH}Dv QO
n 1
P (A) = 2
2
n = : 1
"CiQ|t Q=_Dv= xm
" P (f! : X1(!) = X2(!) = X3 (!) = g) C 0 U= ? wr]t %p=Ft 411
s} Q=O =Hv}= QO %pL
A = f! : X1(!) = X2 (!) = X3 (!) = g 0
B = f( ; ; )g 0 0 0
P (A) = 18
" P
= r w #B = 1 xH}Dv QO
" P (f! : Sn(!) = kg) x@ - U =Lt CU= ? wr]t %p=Ft 511

=
s} Q=O =Hv}= QO %pL

X
n
B = f(!1; !2; . . . ; !n)j !i = kg
i=1
xH}Dv
! QO
#B = nk
x =ov; A = f! : Sn(!) = kg Q o= TB
n
k
P (A) = 2
n :
x =ov; A \ B = A; B 2 F0 Q w o= xm OwW xHwD
P (A [ B ) = P (A) + P (B );
x=ov; B1 f ; gm A1 f ; gn
0 1 w 0 1 w OW=@ B= @ Q_=vDt B1 h Qa A = Q =vD A1 Q Q
w } D QO @ _ t o= = }R
Q = x@
"O @ Q m =Q h} QaD w |t
u= D w k = maxfn; mg x A1 [ B1 f ; gk m 0 1
nQR@ O=Oa= uwv=k 21
xm CU= u}= R O
nQ @ O= a= u v k w = j}kO=v CQ Y w
Sn =
nlim
1
!1 n 2
xrU
- t =Hv}= QO " Ovm|t p}t 12 CtU x@ CQ Y w xJ x@ Sn =n w CU}J OL u}= |vat xm CU= u}= pmWt =t=
s}vm C@=F xm CU= u}= uO m Q j}kO `wv l} "O wtv j}kO =Q ?r]t O}=@ u}=Q@=v@ "O};|t V}B =y|}=Qoty `= v=w
x- awtHt
C = f! : Snn(!) ! g 1
u; u= wD@ xm O=O xaUwD w

|Q ] =Q P O}=@ u}=Q@=v@ O |vat
"OQ= v P (C ) T C 62 F0 =
B t= " CU= 1 p =tDL= |=Q=O
CWwv Q} R w x w|
CQ Y C
@ u= D t =Q "O mQ h} QaD sy C |wQ =Q
C = f! : 8k ; 9N ; 8n N : Sn(!)=n
1 1
1
2
< kg
1
5 |Qw;O } w x = R}ov= pw= pYi
l= QDW= w `=tDH= u=@ R x@ =}
1 \
1 [
\ 1
C= f! : Snn(!) 1
< kg 1
k=1 N =1 n=N 2
|rw "P (C c) = 0 s}yO u=Wv CU= |i=m
1 [
1 \
[ 1
Cc = f! : Snn(!) 1
kg
1
k=1 N =1 n=N 2
s}vm Z iQ CU= |i=m =Q} R Cn;k 2 F0 x=ov; :Cn;k = f! : Snn(!) 1

2 1k g O}v m Z i p L Q =
Qy ptmt R}v w |y=vDt=v l= QDW= w ` =tDH= O}=@ OW @ = Q P h Qa P (C c ) xmv

} B } D }= |= @ " Q B= n = f ; gn 0 1
x_Lqt F0 w
OQ t QO " s}vm xQwO =Q |k}kL R}r=v; R= h} QaD OvJ CU= sRq TB "OW=@ F0 R= | w[a ' 0 QYva F
xm s}vm|t
" = f!j!1 2 f ; gg B = f ; g C
0 1 w 0 1 w
W v u= D w |t =Q} R 2 F0 %,qw=
x =ov; A; B 2 F0 Q o= xm s}O}O ,q@k %,=}v=F
A [ B 2 F0
" Ac 2 F0 x =ov; A 2 F0 Q o= %,=Fr=F
j i w C}Y=N xU Qo = s}} wo u= O}t l}=Q P( ) F x R= -a wtHtQ} R ' x- awtHt Qy |= @Q %h} QaD 121
Q} R |oS} w =
QO q @ X= N w Q@ xw qa x=oQy s}t=v|t ( filed) |}=to}U u=O}t l } =Q u; xw qa@ 'Ovm O
j Y
% Ovm j Y O R}v
"
S
1
Ai 2 F x=ov; OvW=@ F QO ' . . . A2 A1 Q
' ' o=
i=1
xOQ u; pt=W |}=to}U u= O}t l} w u= O}t l} w |t =yxawtHt
u= D R= xOQ Qy R= xm CU= |m =L Q} R R
xQ= o
-
" CN=U
|}=to}U u= O}t u} QDmJwm w FG u= O}t u} QDmJwm 'OW=@ =yxawtHt R= xOQ l} GQ o= %xQ=Ro 221
w
` HQ measure theory =
- @ QO ?
xQ =Dm l} x@ O}v=wD|t u=yQ@ uO}O |= @ Q " OvDUy OwHwt G p = (G )
t W
w w =
O H t q @ xQ=
- o R Q@ =v@ xm |}=to}U u= O}t l} x@ =Q u; `}UwD O}=@ xm CU= u= O}t l} F0 = t p =Ft QO " O}vm
O = `}UwD
" @ } (F0) |wQ O}=@ P TB "s}}=tv h} QaD u; |wQ =Q p =tDL= w s}vm =O}B CU=
=
w n = f ; gn s Q}
0 1 } o %Q=_Dv= OQwt Q=Okt h} QaD 321
X: n !R
R= CU= CQ =@a X `= @ D Q =_Dv= OQwt Q=Okt 'OW=@ x=wNrO |a@=D
X
E (X ) = 1
n X (! )
!2 n 2
|va} 'CU= uO @w |]N syt |oS} w |=Q=O Q =_Dv= w
OQ t Q= Okt =} O}t=
b a |k}k
w O
L O a wO Qy |=R= @ xx =ov; OW=@ R x@ n R= `@=D wO Y XQ w o= %xQ=Ro 421
E (aX + bY ) = aE (X ) + bE (Y ):
x=ov; 'fx1; x2; . . . ; xk g | y =vDt x- awtHt R= OW=@ CQ =@a X Q Qo =

O @ %p=Ft 521
X
k
E (X ) = pi xi
i=1
xm
pi = P f! : X (!) = xig
"OO o Q |t pY=L C qtH | Ov@xwQo =@ w q @ = h} QaD R= xm
" s}vR|t ?} QkD Q} R CQ Y w x@ =Q P (Cn;k ) = t C t = Okt u}= =@ p=L
X
P (Cn;k ) = n f!:j Snn(!)
1
1
j k1 g
!2 n 2 2
w |t h} QaD
O W CQ Y w u}= x@ w CU= Ax -a wtHt xYNW
- t `@=D n u; QO xm
8
>
< 1 x2A
A(x) = >
: 0 x 62 A
% CWwv Q} R w
CQ Y x@ u= D w |t =Q Q}N= xH}D
- v
X X !2
P (Cn;k ) = 1
n f!:kj Snn(!) 1
j1g
1
kj Snn(!) 1
j
!2 n 2 !
2
!2 n 2 2
= k E ( Snn
2 1
2
) :
2
7 |Qw;O } w x= R}ov= pw= pYi
O} wo|t xm CU= hW|@J* Q Q=

| @= @ v R= |Y=N Cr=L ?r]t u}=
P (jX j k ) k2E (X 2 )
1

s} Q=O TB
P (Cn;k ) nk 2 E [(Sn n )2 ]
2
s}yO|t Q=Qk p=L
Zi(!) = Xi(!) 1
x =ov;
0n 1
k2 E (S n )2 = k2 E @X X A
n2 i=1 Zi + i6=j ZiZj
2
n
n2 2
2 Xn 2 X
= nk 2 E (Zi2) + nk 2 E (ZiZj );
i=1 i6=j
Q@=Q@ xrtH TB
pw= - "O Q} | 12 =tD = 12 Q =k Zi Q} | 12 =tD =
o t p L= @ =Q }O t 'O o t p L= @ =Q 1 w 0 Q}O=kt Xi w = u J t=
|va Q} | 12 =tD = 41 Q =k Zi Zj i 6= j Q k n
n :4 = C
2
} O o t p L= @ =Q }O t ' o= p L "= 2 @ U=
2
= P (ZiZj = ) = P (ZiZj =4
1 1
4
)
u}=Q@=v@ " E (ZiZj ) = 0 xH}Dv QO
P (Cn;k ) kn :
2
nQR@ O=Oa= h}a[ uwv=k 31
kQ y |=R= @x |va} 'OQw; CUO x@ Q}N= Q Q=

| @= @ v R= u= D w |t ,=Qwi R
=Q nQ @ O= a= O h}a[ uwv=k
!1 P (Cn;k ) = 0:
nlim
s
" } Q=O G =}DL= Q} R sr x@ Q=m x-t=O= |= @ Q
Q =}
%O m u @ u= D w |t R}v | Qo}O CQ Y w x@ =Q Cx -awtHt %sr 131
C = f! : nlim Sn (!)
!1 n2 = g
2 1
2
=
" u} QtD u= wva x@ %u=yQ@
CWwv CQ Y w u}= x@ =Q Cc u= D w |t sr u}= x@ xHwD =@

1 [
1 \
[ 1
Cc = Cm ;k 2
K =1 N =1 m=N
w
p @ | @= @ v Q Q = Q@=v@ xm s}vm|t x_Lqt =OD@= P (C c) x@ - U =Lt |= @ Q
[ [
N
0 X
N 0
P( Cm ;k ) = Nlim
2
!1
P( Cm ;k ) Nlim
2
!1
P (Cm ;k ) 2
mN 0
m=N 0
m=N
XN k2 k2 X1 0
lim= 1
m=N m N !1 m=N m
2 0
2 4 4
P (Ak ) O = Ak = T AN;k Q u Q =v AN;k = S Cm ;k s} |

1 1
=t= "s} Qw; CUO x@ =Q } @ ' o= }= @ @ " 2 yO Q
t Q= k p L =
N =1 m=N
=tD ` = |oD w} | S Q =v T AN;k # Ak x s}v |
p L= @ D U B o }w @ @ B ' m m t x_Lqt
P (Ak ) = Nlim P ( A ) lim k2 X1

= ; 1
0
!1 N;k N !1 m=N m2
0
4
TB
P (Ak ) = : 0
QiY x@ aN = P1 1
n=N n 2 |va} u; | yx v = O =t}k=@ x- r=@vO TB CU= =Qoty
P1
n=1 n2
1 | U Q %Qm PD 231
" Ovm|t p}t
" CU}v |y=vDt Oa@ =@ = x wtHt

| y a u= O}t |va} F0 Ak QO %Qm PD 331
s}y=wN R=}v =yv; x@ | Oa@ | =yFL@ QO xm O x Q_v

xR= v= - } R= |@r=]t CtUk u}= QO - } Q_v |Qw;O=}
%xR=Ov= x
" s}vm|t |Qw;O } = CW=O
s}} wo =wvm} xOQ

- l} =Q = x wtHtQ} R
| y a R= G xOQ
- O =
" W @ x= wNrO x- awtHt l} s} Q}o %h} QaD 431
% OvW=@ Q=QkQ@ Q} R |oS} w =Q

wO x o y
A = S An C =
1
r L u}= QO " A2G x=ov; An " A An 2 G Q (i) w o=
n=1
A= T A C=
1
n r L u}= QO " A2G x=ov; An # A An 2 G Q (ii) w o=
n=1
9 =
|Qw;O } w x R}ov= pw= pYi
xm OW=@ =wvm} xOQ

- l} G w = x wtHtQ} R
| y a R= u= O}t l} F0 Q o= =wvm} |=yxOQ %x}[k 531
" G (F0) = F0 = @ x WO O}rwD |}=to}U u= O}t x=ov; 'CU= F0 p = t W
" Chung = Ash }' ? =Dm %u=yQ@
CW=ov l} O `@=D
xR= v= %h} QaD 631
: F0 ! [ ; 1] 0
=ov;
SB
1
2 F0 OW=@ F0 RHt wO@ wO QY=va w= fBng1n=1 Q xm w x@ CU=
x n w |= R= |=xO= v N o= |Q ]
n=1
X
1
([1n=1 Bn) = (Bn )
n=1
" s}} wo =Q=tW Q PBatH
| } =Q |oS} w u}=
" s}t=v|t p=tDL= -xR=Ov= =Q ( ) =

' 1 Qo =
" } s Q}o|t |}=to}U u= O}t =Q F w u= O}t l} =Q F0 T B u}= R= %O=OQ=Qk
s} Q=O An "AQ o= x =ov; 'n 2NQ An 2 F O =[ l ( ; F ; ) Q

y |= @Q w xR= v= | i } o= %x}[k 731
Q}PBatH ( ; F) |wQ Q o= " (An) # (A) =o (A1 ) < 1 An # A Q

x v; ' w o= w (An) " (A)
C O l =o O = Q Q =
" U= xR= v= } x v; ' W @ Q= k @ q @ \ W w Q OW=@ |y=vDt
x=ov; OW=@ ( ; F0 ) |wQ |}=to}U |y=vDt xR=

- O l}
v= Q o= %|QwOwD=Q=m `}UwD x}[k 831
Q =}U@ =Q x}rw= O
xR=
- O
v= 'x W xO=O `}UwD xR=
- O
v= " CU= ( ; (F0)) |wQ xR=
- O l} x@
v= |= v x =o} `}UwD |=Q=O
|va} 'OvR|t ?} QkD ? N w
8" > 0w 8A 2 (F0) (A) < 1 =) 9B 2 F0 s:t:(AB ) < "

w
" jF = 0
w
O W w |t h} QaD Q} R CQ Y w x@ w CU= B A uQ=kDt p[=iD AB

w %Qm PD 931
AB = (A B ) [ (B A);
=
( ; F ; ) O pt=m xm (
- W
x ; F ; ) O O } H xR=
- O
v= | =[i l} u=wD|t OW=@ xR= v= |O =[i l} ( ; F ; ) Q o=
% CN=U Q} R CQ Y w x@ OwW|t xO}t=v
F = fA ; 9A1 A2 2 F (A2 A1) =

w w 0 w A1 A2 s:t A1 A A2g
=@ : F ! [ ; 1] 0 CQ Y w x@ =Q : F ! [ ; 1] C 0 W =ov u= Dw |t w CU= |}=to}U u= O}t l} F
h} QaD
(A) = (A1)
" CU= h} QaDWwN |= @ Q h} QaD u}= "Owtv `}UwD
w F= 2 ' =f ; ; ; ; ; g s
1 2 3 4 5 6 } Q=O %T=D A=DQB p=Ft 1031
P (A) = #A ; 6
" CU= Tv=W sy p=tDL= | =[i l} ( ; F; P )
w = [ ; ) s Q}
0 1 } o %p=Ft 1131
[n
:F0 = f [ai; bi) : ai < bi < ai + g 1
i=1
CQ Y w x@ F0 |wQ h Qa } D =@ "CU= u= O}t l} F0
[n X
n
( [ai; bi)) = (bi ai)
i=1 i=1
|=Q=O P
= r w CU= =Q=tW Q}PBatH F0 |wQ x m O=O u =Wv u= D w |t "O W w |t |y=vDt Q}PBatH F0 |wQ
| =[i l} ( ; (F0); ) ?} Q D D u}= x@ "CU= B([ ; )) =Hv (F0) C (F0)
0 1 }= QO " U= |wQ xv=o} `}UwD
C n@ O O u O p =
" U= r xR=
- v= 'xR= v= }= x W t m w CU= O
xR= v=
xt
- y F0 u= O}t " = f ; gN | w Q V =
0 1 x sO r v @ } tR; QO m } }O , q@k %|rwvQ@ V}=tR; p=Ft 1231
OW h} QaD w u x P : F0 ! [ ; ] P C
CQ Y }= @ 0 1 ' W =ov w O @ w |y=vDt Oa@ =@ = x wtHtQ} R
| y a
P (A) = P (f! : (!1; !2 ; . . . ; !n ) 2 B g) = #B

n : 2
x =} CUy =Q=tW Q}PBatH

" v F0 |wQ P =}; xm s}vm |UQQ@ O}=@ |QwO wD=Q=m x}[
- k R= xO =iDU= Q
|= @
% CU= =Q=m Q} R sr Qw_vt u}= Q

|= @
11 |Qw;O } w x = R}ov= pw= pYi
s} Q}o "OW=@ u= O}t l} F0 2 O}vm Q O = xawtHt l}

Z i " W @ s} Q}o %sr 1331
P : F0 ! [ ; ] 0 1
% OvrO=at Q} R R
xQ=
- o wO x =ov; 'OW=@ |y=vDt Q}PBatH
' CU= F0 |wQ =Q =tW Q}PBatH P (i)

x =ov; An # 8n 2 N An 2 F0 Q
w ' o= |va} 'CU= xDUw}B QO P (ii)
P (An) ! : 0
"xR= v= O x} Q_v | =y@=Dm QO %u=yQ@
u =Wv O}=@ |va} &O W w C@=F u; uO @ =Q w =tW Q}PBatH =D 's}vm C@=F P w

OQ t QO =Q q @ = sr (ii) CtU k O}=@ TB
xm s}yO
=ov; "Ovm|t p}t

x x @ xm OW=@ F0 Q Y =va R= |rwRvx- r=@vO l} fAng1n=1 F0 s Q} } o %xQ=Ro 1431
xm CUy | N
AN = :
|va} "An 6= n 2 N Q ' Q TB &OW=@v Q=QkQ@

y |= @ xQ= oR smL O}vm Z i Q %u=yQ@
An = f! : (!1 ; !2; . . . ; !mn ) 2 Bmn g 6=
Z i u= DQ w |t An wO u}@ pY=wi QO =yAn Q

uO m Q= QmD =@ C}rm uDiQ CUO O
R= uw @ " Bmn f ; gmn x 0 1 m
u Q =v mn = n x wt
}= @ @ " m O v
8n 2 N; An = f! : (!1 ; !2; . . . ; !n ) 2 Bng ; Bn f ; gn 0 1
w
O Hw u =vJ QO f!ng x =@ -r vO u}=Q@=v@ OvDUy wD QO wD =yAn w
u J " nQ y |= @ Q An 6= s } Q=O Z i Q j@] w
xm OQ=O
8m n : !n 2 Am
=
(!1n ; !2n; . . . ; !mn ) 2 Bm ; 8m n =}
p}t B1 !1 QYv R= a l} x@ xm s = |
}R U w
t |Q ] =Q !1nk (1) x =@ Q !1n 2 B1 n 2 N Q
-r vO } R " ' y |= @ Q u}=Q@=v@
Cr=L u}= QO " Ovm
8k 2 N (!1nk (1); !2nk (1)) 2 B2

= u}= "Ovm p}t
=Q Q m B2 (!1; !2) x
R= @ xm (!1nk (2); !2nk (2)) pF t s} R=U|t | Qo}Ox- r=@vOQ} R R}v xr=@vO u}= R=
x- r=@vOQ} R s= i xr Q
- L t QO =D s}yO|t xt=O=
(!1nk (i); . . . ; !ink (i))
x]k
- v p=L w
"O W = Qoty Bi (!1; . . . ; !i) x
QO @
! = (!1 ; !2; . . . )
! 2 T Ai |va
1
" } & CU= Ai QO 'iQ y |= @ Q
i=1
h v w wN}D x}[
- k j@] %swO u=yQ@
= f ; gN
0 1
= \11 An '|y=vDt l= QDW= |oS} w j@] TB "CU= xO QWi 'CU= xDU@ uwJ An Q y u}=Q@=v@ "CU= xOQWi
xm OyO|t xH}Dv
9N : n > N =) An = :
Q R
|= @ nQ @ O= a= - O x}[k u=yQ@ u}=Q@=v@ "CU= (F0) |wQ p =tDL= xR=
- O l} x@ xv=o} `}UwD
v= |=Q=O P u}=Q@=v@
"O W w |t pt=m xmU ? D B=Q

swO pYi
|iO=YD |=yQ=OQ@ w |iO=YD |=yQ}eDt
h} QaD |y=vDt = = \UwD xOW O}rwD |}=to}U

| yxR @ u= O}t CQ Y w x@ B1 Q
=Q p*)@ u=O}t 'R |k}kL \N QO
Oa@ =@ | - y \UwD xOW O}rwD |}=to}U

=yr}]DUt xt u=O}t CQ Y w x@ =Q Bk Q p @ u=O}t 'Rk QO , @ =y =Wt "s}OQm
x-}=OQo |va} |y=vDt
Gk = fki=1Ii : RQO xR=@Ii g Rk

" Bk = (Gk ) |va } ' s}vm|t h} QaD
`@=D x=ov; 'OvW=@ O

xR= v= | =[i wO ( 0 ; F 0) ( ; F ) Q
w o= %h} QaD 12
X: ! 0
Qo = |va} 'OW=@ Q}PB O

xR= v= F XQ ' o= O Ww |t xO}t=v |iO=YD Q l}
Q=O @
8A 2 F 0 =) X 1 (A) 2 F :
13
|iO=YD = Q
| yQ=O @ w |iO=YD | y = Q}eDt swO pYi 14
CWwv s}y=wN 'OW=@ Q=QkQ@ Q

\ W u}= Qo =
X : ( ; F ) ! ( 0 ; F 0 ):
O}vm Q s}} wo|t |iO=YD Q}eDt

Z i " =Q X x=ov; ' ( 0; F 0) = (R; B1) = h} QaD QO Qo =
q @ %h} QaD 22
w OvW=@ O
xR= v= | =[i wO ( 0 ; F 0) ( ; F )
w
X : ( ; F ) ! ( 0 ; F 0)
| y a= x wtHt =
| yxO= v N w=
F (X ) = fX 1 (A) : A 2 F 0g
% }s Q}o|t Q_v QO =Q
xm CU= F QO |}=to}U u= O}t u} QDmJwm w CU= |}=to}U u= O}t l} F (X ) %x}[k 32
X : ( ; F (X )) ! ( 0; F 0)
%u=yQ@
' 2 F (X ) T X 1 ( 0) = B ' w '

0 2 F0 %,qw=
xH}Dv QO " A 2 F 0 x A~ = X 1 (A)

m x=ov; ' A~ 2 F (X ) Q o= %,=}v=F
A~c = X 1 (Ac) =) A~c 2 F (X ):
' A1 = x wtHt x=ov; 'OvW=@

| y a F (X ) |=RHt wO x@ wO QY=va. . . A~2 A~1 O}v
x Q
R= |= }=O o ' ' Q
m Z i %,=Fr=F
CU= |}=to}U
' u= O}t F0 w
u J TB (i = ; ; . . . ) A~i = X 1 (Ai) x O w w F 0
1 2 " m vO H t QO . . . A2 '
s} Q=O w [1i=1 Ai 2 F 0
[
1 [
1
A~i = X 1 ( Ai) 2 F (X ):
i=1 i=1
15 |iO=YD =
| yQ=O @ w Q |iO=YD = Q}eDt
| y swO pYi
xm OW=@ F QO |}=to}U u= O}t l} GQ =

o= p L " CU= |}=to}U u= O}t F (X ) |va }
X : ( ; G ) ! ( 0 ; F 0)
"F (X ) G |va X 1 (A) 2 G A 2 F 0 Q

} ' ' y |= @ Q |iO=YD Q h} QaD j@] x=ov;
Q=O @
s} Q}o %x}[k 42
X: ! 0
xawtHtQ} R l} e s}v Q
m Z i " F0 2
0
w F 2 xm OvW=@ |}=to}U u= O}t wO F0 F w w CW=ov l}
x =ov; (e) = F 0 Q o= xm |Q ] w x@ 'OW=@ F0

8c 2 e : X 1 (c) 2 F
" X : ( ; F ) ! ( 0 ; F 0) x=ov;
x- awtHt 'Z i Q j@] %u=yQ@
F~ 0 = fA 2 F 0 : X 1 (A) 2 Fg;
P CU= |}=to}U
= r " u= O}t l} xD@r= w ' CU= ep = t W
F~ 0 (e) = F 0:
" CU= |iO=YD Q
Q=O @ XT CU=
B " F X 1 (A) A 2 F 0 Q
QO ' Q |va}
y |= @
s}vm Q O
Z i "xR= v= | =[i l} ( 0 ; F 0) w OW=@ p=tDL= | =[i l} ( ; F ; P ) s Q} } o %h} QaD 52
X : ( ; F ; P ) ! ( 0 ; F 0)
CQ Y w x@ xm =Q ( 0; F 0) |wQ PX O
xR=
- v= x =ov;
8A 2 F 0 : PX (A) = P (X 1 (A))
" s}t=v|t X `} RwD 'O W w |t h} QaD
|iO=YD = Q
| yQ=O @ w |iO=YD = Q}eDt
| y swO pYi 16
s P |t u} QtD
" } Q= o u= wva x@ =Q ?r]t u}= C =@F= "CU= ( 0; F 0 ) |wQ p =tDL= xR=
- O
v= PX %Qm PD 62
Q_v QO V}=tR; l} x-OW xO=O C a = q]= u=wva x@ u=wD|t =Q |}=to}U u= O}t p=tDL= x=oO}O R= %Qm PD 72
" CiQo
Q = x wtHt
p @ | y a R= CU= CQ =@a xm F = (F0) w = f ; gN s Q}
0 1 } o %xmU ?=DQB p=Ft 82
Qo = %s}vm|t h} QaD CQ Y w u}= x@ =Q CU= xmU =Q

? D B xR=
- v= O xm P w |wQ
Sn : !R
X
n
S n (! ) = !i
i=1
x =ov; 'CU= |iO=YD Q}eDt l} xm

n
k
PSn (fkg) = P (Sn = k) = 2
n ;k = ; ;...;n 0 1
x =ov; 'A \ f ; ; . . . ; ng = Q
0 1 o= w
PSn (A) = : 0
" CU= QwyWt |= - Ov= l} Psn

xrtH wO `} RwD s=v x@ xm CU= p=tDL=xR=
Qy "CU= n@r O =Hv}=

xR= v=
- QO =Q m s Q}o|t Q_v
" } QO =Q ([ ; ); B; m)
0 1 p=tDL= | =[i %p=Ft 92
|va} 's}U} wv|t swDNt V}=tv h L P =@ |} wOwO \U@ CQ Y w x@=Q x2[ ; ) 0 1
X
1 xi
x= i ; xi 2 f ; g 0 1
i=1 2
Xi : [ ; ) ! f ; g
0 1 0 1 CQ Yw x@ =Q Xi =
p L
Xi(x) = xi
X : [ ; ) ! f ; gN
0 1 0 1 CQ Y w x@ =Q XC W =ov w
X (x) = (x1; x2; . . .) = (X1(x); X2 (x); . . .)

17 |iO=YD =
| yQ=O @ w Q |iO=YD | y = Q}eDt swO pYi
s}yO Q=Qk =Q F 0 = (F0) | =to} } U u= O}t f ; gN

0 1 |wQ Qo = xm CU= u}= =aO= "s}vm|t h} QaD
X : ([ ; ); B; m) ! (f ; gN; (F0));
0 1 0 1
x =ov;A 2 F0 s}v m Z i Q TB " X 1 (A) 2 B A 2 F0 Q ' y |= @ Q s}yO u=Wv CU= |i=m '42 - x}[k j@]
A = f! : (!1; !2 ; . . . ; !n ) = (x1; x2; . . . ; xn)g

xH}Dv QO
X 1 (A) = fx : Xi(x) = xi ; i = ; ; . . . ; ng 1 2
= [ :x1x2 . . . xn
0 000 . . . ; :x1x2 . . . xn
0 000 + n ) 2 B:
2
1
s} Q=O w CU= (f ; gN; (F0))

0 1 |wQ p =tDL= O l}
xR= v=
- ' PX |va} ' X x Q =vD O O} w O =
@ _ t -
x W r D xR=
- v= p L
"CU= A QO xmU =Q
? D B xR=
- O =k}kO
v= , PX (A) F0 A Q' QO y |= @ Q u}=Q@=v@ " PX (A) = m(X 1(A)) = 21n
Q R
|= @ nQ @ O= a= u v k O w = ?}DQD u}O@ "CU= xmU @=DQB -xR=Ov= u=ty PX '|QwO wD=Q=m \U@ x}[
- k QO |ov=o} j@]
|va} 'xmU =Q
? D B
X
n
PX (f! : nlim
!1 n !i = g) =
1 1
1
i=1 2
% CWwv CQ Y w u}= x@ u= D w |t =Q
Xn
m(fx : n xi ! g) = :
1 1
1
i=1 2
Qo = xm s}O}O
X : ( ; F ; P ) ! ( 0 ; F 0)
`@=D 'OW=@ |iO=YD Q=O @Q l}
P^ (B ) = PX (B ) = P (X 1 (B )) = P (X 2 B )
Z i Q Tma x@ p=L "s}O}t=v |iO=YD P^ Ov | h Qa ( 0; F 0)
Q=O @Q `} RwD =Q w m t } D |wQ p =tDL= xR=
- O l}
v=
QO xawtHt Qy "OW=@ ( 0; F 0; P 0) =tD =[ x ( ; F ) O =[ | =Y

p L= | i @ xR=
- v= | i R= iO D Q=O @Q l} X s}vm
xm OQm h} QaD |Q ] w F (X ) P w | = C B 2 F 0 Q X 1 (B )
|wQ =Q u= D t }; " U= |= @ CQ Yw x@ F (X )
P (X 2 B ) = P (X 1 (B )) = P 0(B )?
|iO=YD =
| yQ=O @ w Q |iO=YD | y = Q}eDt swO pYi 18
|=Q=O CU= umtt F (X ) A Ov =

QO v t xawtHt l} xm CU= u}= pmWt "CU= |ivt |rm Cr=L QO ?= H w
xm O
OQ= v O Hw w |v}t[D I}y w OW=@ X 1 (B2) X 1 (B1) w Cw =iDt V}=tv wO
P 0(B1) = P 0(B2):
"P 0(C ) > 0 xm OQ=O OwHw u=vJ C 2 F0 x a wtHt l} u}=Q@=v@ "Ov=WwBv =Q 0 |=[i s=tD X ( )x m O}vm QwYD
s} Q=O X ( ) B Ov = F 0 x
R= v t -a wtHtQ} R Qy |= @ xQ =ov;
X 1 (B ) = X 1(B [ C )
CQ Y w u}= QO =t=
P 0(B ) < P 0(B ) + P 0(C ) = P 0(B [ C )

O =@v h} QaDWwN Ov=wD|t
" W P CW=ov u}=Q@=v@
u}= x@ 'Ov=WwB@ =Q 0 s=tD 'X ( ) x s}v m m Z i "Q X : ( ; F ) ! ( 0; F 0; P 0) s Q} %x}[k 102 } o
CQ Yw x@ xm P CW=ov x=ov; "P 0 (C ) = 0 x =o O = X ( )c x wtH Q l C 2 F 0 = Q x |va

v; ' W @ -a t }R } ' x o y m t
P (X 1 (A)) = P 0(A)
" CU= ( ; F (X )) |wQ h} QaDWwN p=tDL= xR=
- O l}
v= w |t h} QaD
'O W F (X ) |wQ
" ut}=Q@ ? =Dm 21 - xLiY %u=yQ@
x@ R R= FX (x) `} RwD `@=D O =

' W @ ( ; F; P ) |wQ (r:v:) | iO =YD Q}eDt l} XQ o= %h} QaD 112
w |t h} QaD Q} R
%O W CQ Y w x@ [; ]0 1
FX (x) = P (f! : X (!) xg) = PX (( 1; x])
% CU= Q} R X= N |=Q=O w FX ` w `@=D

}R D % FX `} RwD `@=D X=wN x}[k 122
' x y =) FX (x) FX (y) |va} CU= |rwRv=v FX 1
' lim F (x) = 0 w xlim

x# 1 X
F (x) = 1
"+1 X
2
"lim F (y) = FX (x) |va

y#x X
} CU= xDUw}B CU=Q R= F 3
19 |iO=YD =
| yQ=O @ w Q |iO=YD | y = Q}eDt swO pYi
( ; F; P ) p=tDL= |=[i x=ov;'Ovm jOY jwi 3 =D 1 \}=QW QO xm OW=@ OwHwt F `@=D Qo = %x}[k 132
" F = FX x m OvOwHwt u=vJ X| iO =YD | y= Q}eDt w
" Homework(I) %u=yQ@
w |t h} QaD Q} R
%O W CQ Y w x@ FX (x) ` = @ D %p=Ft 142
8
>
> x<
>
<
0 0
FX (x) = >x 0 x 1
>
>
: 1 x> 1
u}= x@ w Q
\ @ t PX "s}t=v|t [; ]
0 1 |wQ CN=wvm} `} RwD =@ |iO=YD Q}eDt =Q `} RwD `@=D u}= =@ |iO=YD Q}eDt
"CU= [; ]
0 1 |wQ n@r xR=
- O
v= u =ty '`} RwD `@=D
`} RwD `@=D %p=Ft 152

Zx
FX (x) = p 1
e z
1 2
2 dz
2 1
"Ov} wo p=tQ)v `} RwD `@=D =Q
R x f (z)dz Q
" s}t=v|t X| iO =YD Q}eDt |r=oJ =Q fX ` = @ D x =ov; 'FX (x) = 1 X o= %h} QaD 162
F = (G ) x m OW=@ |Qw] GF w OvW=@ ( ; F) |wQ p =tDL= =

| yxR= v= O Q PQ w o= %x}[k 172
x =ov; 'OW=@ xDU@ |y=vDt l= QDW= CLD G w
G |wQ P = Q =) F |wQ P = Q:
h} QaD f( 1; x] : x 2 Rg Q Q G C @= @ =Q U= |i=m " PX = PY x =ov; 'FX = FY Qo = %xH}Dv 182
s Q@@ Q=m x@
" } = x}[k
=Q q @ - w s}vm
|iO=YD =
| yQ=O @ w Q |iO=YD = Q}eDt
| y swO pYi 20
|i=m |QwO wD=Q=m x}[

- k j@] "CU= xOW O}rwD G xr}- Uw x@ xm OW=@ |v=O}t F0(G ) s Q} } o %x}[k u=yQ@
|=Q=O xm OW=@ = x wtHtQ} R

| y a R= |=xOQ u} QDmJwm D s Q} F0(G )
} o " |wQ P =Qx m s}vm C@=F CU=
% CU= Q} R w
X= N
' G D 1
' 2D 2
" A B 2 D A B =) B A 2 D
w w 3
s}vm Z i " Q D |wQ P =Qx m CU= u}= =aO=
D0 = fA 2 F : P (A) = Q(A)g
" 2 D0 T = P ( ) = Q( ) =
B 1 w
1 u J w " G D0 T G P = Q Q j@ w
B |wQ Z i ] u J
x =ov; P (B ) = Q(B ) P (A) = Q(A) Q u}vJt w o= y
P (B A) = P (B ) P (A) = Q(B ) Q(A) = Q(B A)
CLD D D = F0(G ) s}v | C = = P = Q s D

" m t @ F p L " } Q=O |wQ |va} ' D D0 P
= r ' B A 2 D0 T B
|y =vD QD CL D s}v C = O = D w O}
t l= W= D =@m @ F } @ uO @ u= t C Q =
F= |= @ "q @ QO 3 w 2 j@] CU= xDU@ ptmt
s}yO|t Q=Qk =OD@= "CU= xDU@
E1 = fA 2 D : A \ B 2 D ; 8B 2 Gg
TB CU= xDU@ |y=vDt l= QDW= CLD w CU= u=O}t G Q
= }R " Ovm|t O
j Y j i 3 w =D 1 X= N QO w E1
R}v " G E1
8B 2 G =) \ B = B 2 G D
s} Q=O C2GQ y |= @ xQ =ov; 'AB w 'A; B 2 E1 Q Q
o = x Nq @ " = 2 E1 T B
(B A) \ C = (C \ B ) (C \ A) 2 D:
|va} D E1 u Q =v }= @ @
8A 2 D ; 8B 2 G =) A \ B 2 D
21 |iO=YD = Q
| yQ=O @ w |iO=YD | y = Q}eDt swO pYi
s}vm|t h} QaD p=L
E2 = fA 2 D : A \ B 2 D ; 8B 2 Dg
P
= r &B A 2 E2 x =ov; A B A; B 2 E2 Q
w w u}ty
o= Q ] w 2 E2 R} G E2 w ?r] j@
v w ' j i t ]
D = F0(G ) T
" B "CU= xDU@ | =vD
y QD CL D |va D E2
t l= W= D } "
swU pYi
xDUUo |iO=YD |=yOv};Qi
hQowtrm `}UwD x-}[k 13
s Q |t 'Ovvm|t Q}}eD xDUUo u=tR =@ xm |}=yOv};Qi |va} xDUUo |iO=YD |=yOv};Qi |UQQ@ x@ pYi u}= QO
" } R=O B
CQ =@a ( ; F; P ) p=tDL= |=[i |wQ xDUUo u=tR =@ Q}PB VQ =tW |iO=YD Ov};Qi %h} QaD 113
"=[i u}= |wQ (Xn )n2N | iO=YD | y = Q}eDt x =@vO

R= |= r R= CU=
R= `@=wDxt - awtHt |va} '|k}kL

- y x O
O= a= | y r = x =@vO xt - awtHt |va} R
- y x
1 R= Qw_vt TB u}= R= %O=O Q=Qk
" R x@ N
=} |y=vDt = n 2 N Q s} w | |y=vDt Oa@ =@ xR=@ l

=
| yxR @ w o= } o t } =Q R1 QO Ax -a wtHt %h} QaD 213
xOQ
- " A = fy 2 R1 : yi 2 Ii ; i = ; ; . . . ; ng x 1 2 m OvW=@ OwHwt In ' . . . I2 I1 |
' ' y =vDt=v
22
23 xDUUo |iO=YD | y = Ov};Qi w
s U pYi
" s}yO|t u=Wv G1 = @ =Q |y=vDt Oa@ =@ |}=yxR=@ s=tD
C 2 Bn w | n2NQ o= s}} wo|t |y=vDt Oa@ =@ xv=wDU= l} =Q R1 QO Bx -a wtHt %h} QaD 313
xm OvW=@ OwHwt
B = fy 2 R1 : (y1; y2; . . . ; yn) 2 C g:

"s}yO|t u=Wv e1 = @ =Q |y=vDt Oa@ =@ = x wDU= s=tD
| y v= xOQ
-
:B1 = (G1) = (e1) w CU= u= O}t l} e1 %xQ=Ro 413
Qo = \ki w Qo = CU= ( ; F; P ) |wQ |iO=YD Ov};Qi l} fXn : n 2 Ng x =@ -r vO %x}[k 513
X (!) := (Xn (!))n2N
O =
" W @ (R1; B1) x ( ; F ; P ) @ R= |iO=YD Q=O @Q l}
Oy=wN |iO=YD Q}eDt l} Xn Qy xm CU= K[=w x=ov; 'OW=@ |iO=YD Q=OQ@ l} X O}vm ZQi =OD@= %u=yQ@
O Q}o@ w OW=@ |iO=YD Q}eDt l}

% } Xn Q y O}vm Q TmaQ@ p=L
Z i % w
"O @
A = fy 2 R1 : yj 2 Ij ; j = ; ; . . . ; ng 2 G1 1 2
u}=Q@=v@
\n
X 1 (A) = f! : Xj (!) 2 Ij g = f! : Xj (!) 2 Ij g;
j =1
s} Q=O A 2 B1 Q y |= @ Q TB B1 = (G1) w
u J " X 1 (A) 2 F P CU=
= r " FQ Y =va R= |m =QDW= xm
" CU= |iO=YD Q l}

Q=O @ X u Q =v X 1 (A) 2 F
}= @ @ "
|iO=YD Q l}
Q=O @ ' fXn gn2N | iO =YD Ov};Qi xm s}O}O %Qm PD 613
X : ( ; F ; P ) ! (R1; B1)
xDUUo |iO=YD = Ov};Qi
| y w
s U pYi 24
% s}vm h} QaD CQ Y w u}= x@ =Q PX xR=

- v=O (R1; B1) |wQ s}v=wD|t Q u}= ltm x@
Q=O @ "O=O CUO x@ =Q
8B 2 B1 : PX (B ) = P (X 1 (B ))
% s}vm|t h} QaD Q} R CQ Y w x@ =Q X^n : (R1; B1; PX ) ! (R; B) | iO =YD | y = Q}eDt p=L
8y = (y1; y2; . . .) 2 R1 : X^n (y) = yn

"CU= X^ = (X^n )n2N | =Y iO D Q=O @ Q Orwt xm CW=O s}y=wN fX^n gn2N | iO=YD Ov};Qi l} xH}Dv QO
PX = PX^ =
# }; xm CU= u}= w
p= -U " Ovm|t O}rwD =Q PX^ p =tDL= xR=
- O
v= ,=O OHt Q=O @Q u}=
|va} "OvDUy u=Um} `} RwD |=Q=O |iO=YD = Q

| yQ=O @ u= wva x@ (Xn )n2N w (X^n )n2N %x}[k 713
PX = PX^
PX^ h Qa} D j@] x=ov; " B 2 B1 s Q} } o %u=yQ@
PX^ (B ) = PX (X^ 1 (B )) = PX (X^ 2 B ) =

PX (fy 2 R1 : y 2 B g) = P (X 2 B ) = PX (B ):
= Q}Ut |=[i |wQ =Q
' y fX^n gn2N |va fXn gn2N } |= xirw-t V}=tv u=wD|t C}rm uO=O CUO R= uwO@ u}=Q@=v@
Q = x@ (R1;
"O @ Q m B1; PX ) |va }
x@ =Q Fn | Oa@n `} RwD `@=D "OW=@ ( ; F; P ) |wQ |iO=YD Ov};Qi l} fXn gn2N Q o= %h} QaD 813
% s}vm|t h} QaD CQ Y w u}=
Fn (y1; . . . ; yn) = P (X1 y1; X2 y2; . . . ; Xn yn):

% CU= Q} R w
X= N |=Q=O `} RwD `@=D
'0 Fn(y1; y2; . . . ; yn)jba jba . . . jbann 1

1
2
2
hr=
' Fn (x(jk)) ! Fn(xj ) x =ov; xj

(k ) ! x+j x m OW=@ C}Y=N u}= |=Q=O (xj(k))1j=1 x =@ -r vO Qo = ?
' lim F (x ; . . . ; xn) = 0

xj ! 1 n 1
G
" lim F (x ; . . . ; xn) = 1 |rw CU= OwHwt xjlim

x1 ;...;xn !+1 n 1
x
!+1 Fn ( 1 ; . . . ; xn ) O
25 xDUUo |iO=YD | y = Ov};Qi s U w pYi
QO (Rn; B) |wQ Pn =tD p L= xR=

- v= O l} n2NQ Q y |= @ O}vm Z i Q %hQowtrm `}UwD x- }[k 913
Pn u =ty Bn x @ P O OL x
} D m s} R=U@ |Q w (R1; B1 )
] |wQ P p =tDL= xR=
- v=O l} s}y=wN|t "CU= CUO
|va} 'O W w
8B 2 Bn; P (fy 2 R1 : (y1; . . . ; yn) 2 B g) = Pn (B ):

s} Q}o Q=m u}= s=Hv= |= @ Q
Xn : (R1; B1) ! (R; B)

h} QaDWwN Q s}vm|t h} QaD
|= @ " w
j i CQ Y w x@ (R1; B1) |wQ =Q P `@=D " Xn (y) = yn R= OW=@ CQ =@a
"Pn+1 (B R) = Pn (B ) x C |va u O u s |Q=oR=U pY= = x |@r] x =}D P w

m U= t } @ }= w } Q=O s v @ t @ G L= ' uO @
Pn Q Q C | =vD |at e1 P w | p = P |i QaD w p u uD Q Qi =

y = }R ' U= y t H |wQ "O W t Y L } W N ' Y= }= i o Zw t @
"C QPU= =t |at e1

} B VQ P s} =W C | = (e1 ) x P `} w Q C | =vD |at
W H |wQ yO u v U= i m @ U D |= @ " U= y t H
Q =vY x =@ An Q s} | =W |va s}v |

a R= |= r vO o= =iD = |oD w} | S
yO t u= u =H v Q } " m t xO U= q @ R= U B o } w R= Q m }= s v= |= @
xO=iD p = Q P O l QD
U= t m = =[ | S l Q}U u
} B= H } P (An) # =o An # x O = e1
t | y i o }w } R= t }= QO " 0 x v; ' m W @
QW K x C u s}v | xO i m U= }= u; w m t
8" > ; 8A 2 Bn ; 9K A : P (A K ) < ":

0
h} QaD j@] "Ovm pw vR Ct U x@ An 2 e1 x =@ -r vO s}vm Z i Q u}=Q@=v@
An = fy 2 R1 : (y1; . . . ; yn) 2 Bmn g ; Bmn 2 Bmn

|va} ' mn = n x Q
m O m Z i u= D Q w |t C}rm uO=O CUO R= uw @ O
An = fy 2 R1 : (y1; . . . ; yn ) 2 Bn g ; Bn 2 Bn
"P (An) 6 ! 0 O}vm Z i " Q s}vm|t xO=iDU= hrN u=yQ@ =@
R= C F= |= @ " Q P (An ) # 0 s}vm C@=F O}=@ p=L
u= Dw |t uO @ w s_vt j i w C}Y=N Q@=v@ " P (An) " > n 2 N Q 0 ' y |= @ Q xm CU= OwHwt 0 <" x =ov;
xm OQm =O}B |Q ] w Kn Bn xO
- QWi | y a= x wtHtQ} R
Pn (Bn Kn ) < n"+1 2
u}=Q@=v@
A0n = fy 2 R1 : (y1; . . . ; yn) 2 Kn g An

xDUUo |iO=YD | y= Ov};Qi w
s U pYi 26
s}vm|t h} QaD w
CQ Y u}= x@ =Q Dn = A0n u
' y }= ltm x@ p=L
\n
Dn = A0i
i=1
xm CU= u}= =t =
| aO= " Dn An xm C}Y=N u}= =@ CU= =yxawtHt R= |rwRv x- r=@vO l} (Dn)n2N
Q
= }R " n2NQ y |= @ 'Q Dn 6=
[n X n
P (An Dn ) = P (An \ ( Ajc)) P (An \ Ajc) 0 0
j =1 j =1
Xn Xn Xn
P (Aj \ Ajc ) = Pj (Bj Kj ) < j"+1 < " 0
j =1 j =1 j =1 2 2
w P (Dn ) = 0 x =ov; 'Dn = n '| |= @ Q Qo = =Pr
0 < " P (An) < P (Dn ) + " = " 2 2
"s}vm|t ?=NDv= Dn R= =Q y(n) x =@ n 2 N Q Q

T
1
An 6= x s} | =W = C Z =v x
-r vO ' y |= @ " m yO t u v p L " U= k D m
n=1
s}yO|t Q y (n) 2 A0j ; j = ; ; . . . ; n Q =o
Q= k 1 2 |= @ x v;
8j n; (y1(n); y2(n); . . . ; yj(n)) 2 Kj
"
n (1)
CU= y1 k ! y1 2 K1 x =@ Q u}=Q@=v@ "OQ}o|t Q=Qk K1 (y1(n))n2N x =@ = C =
-r vO } R |=Q=O QO -r vO X N r L QO
(y1nk (2) ; y2nk (2)) x =@ -r Q

vO } R ' nk ( )
1 2 xm |]QW x@ "O Q} | Q K2
o t Q= k (y1nk (1); y2nk (1)) x =@ TB
QO -r vO U
x =@ -r j xr
vO s= Q
- L t QO Ov};Qi u}= x- t=O= =@ " K2 QO (y1nk (2) ; y2nk (2)) ! (y1; y2) x w m OQ=O O Hw
(y1nk (j); . . . ; yin+k1(j))k2N
xm CU= xr=@vOQ} R l} |=Q=O nk (j ) j + 1 xmv}= \ W Q x@ w O Q}o|t Q=Qk Kj+1 QO
(y1nk (j+1); . . . ; yjn+k (1j+1)) ! (y1; y2; . . . ; yj+1 ) 2 Kj+1
j2NQ y |= @ Q xm OwW|t pY=L y = (y1; y2; . . . ) 2 R1 QYv a l} VwQ u}= =@
(y1; y2; . . . ; yj ) 2 Kj :
CU= Zk=vD An # xmv =@ ?r]t u}=

TA
1
6= |va y 2 T=1 A0j T=1 Aj T
1 1
" QO }= w j } B
j =1 j j
27 xDUUo |iO=YD | y = Ov};Qi s Uw pYi
X}YND P (s1; s2; . . . ; sn) Q O = Q}PB

o= " W @ VQ =tW x- awtHt l} F R s Q} } o %p=Ft 1013
Ovm|t O
j Y Q} R \}=QW QO xm OW=@ F Q =v |
Y a R= y =vDt x- r=@vO x@ p=tDL=
(i) P (:) ; 0
X
(ii) P (s1; s2; . . . ; sn+1 ) = P (s1; s2; . . . ; sn );
sn 2F
X+1
(iii) P (s1 ) = ; 1
s1 2F
xm CU= OwHwt u=vJ fXn gn2N | iO=YD Ov};Qi x=ov;
P (X1 = s1; . . . ; Xn = sn ) = P (s1; s2; . . . ; sn):
w
CQ Y x@ =Q Pn (B ) p=tDL= B 2 Bn Q y |= @ " W @Q O = F QO C =YDNt =@ |}=Dn l} S s Q}} o %u=yQ@
X
Pn (B ) = P (S )
s2B
|wQ CU= |y=vvDt |atH C}Y=N Pn x O l}
=W w | | = x s}v | h Qa
|=Q=O xR= v= m O=O u v u= D t oO U @ " m t } D
`}UwD x}[ k j@] " OvDU R} = = = Pn R} lim Pn (Bk ) = Pn (B ) =o Bk " B Q

y v Q oR U y v " qa Bn x v; ' o = xw @ "
-
k!1
mx fXn gn2N | =Y Ov Q l C iO w w FN D P =tD O Q wtr
}; i } w U= O H t |wQ p L= xR=
- v= h o m
P (X1 = s1; X2 = s2; . . . ; Xn = sn ) = P (s1; s2; . . . ; sn):
|Q}o p=QoDv= w Q=_Dv= OQwt Q=Okt 23
|va} 'OW=@ = `@=D l}

xO U : !RQ O = O
o = ' W @ xR= v= | =[i l} ( ; F ; ) s Q} } o
X
n
(!) = i IAi (! )
i=1
s}vm|t h} QaD Q} R
% CQ Y w x@ =Q p= QoDv= x=ov; '|ivt=v w Ov=C@=F =y i w Ai 2 F u; QO xm
Z X
n
(!)d(!) = i (Ai )
i=1
C@Ft Q}PBxR=Ov= `@=D l} |= @Q
: ( ; F ; ) ! ([ ; 1]; B) 0
xDUUo |iO=YD | y= Ov};Qi s Uw pYi 28
pmW x@ =Q Ai(n) = x wtHt

| y a
A(in) = f! : in (!) i +n g i = ; ; . . . ; n
2 2
1
0 1 2
n
- U
xO = `@=wD x=ov; s}vm|t h} QaD =Q
nX
2n
i I n (! ) + I
n(!) = n Ai ( ) fn ng
i=0 2
x@ C@Uv p=QoDv= w CU= =Qoty |O waY Qw] x@ R}v xO U= `@=wD u}= |=yr=QoDv= "Ovvm|t OwaY (:) CtU x@
CU= =@a
Z Z
%R= CQ
!1 n d
d = nlim
w
R +d p= QoDv= wO Qy w
uO @ O H t w w = C =a
@
R d w w
U= pO t uO @ O H t w OW=@ |rm Q}PBxR=Ov= `@=D Q o=
x O |iv
@ w v= t w C@Ft | =yDtUk ?} Q x
D D + O =@ 1 1
@ w " W v CQ Yw x@ xm |]QW x@
R d
O w |t h} QaD Q} R
% v W CQ Y w
8
>
<(!) (!) 0
+
(! ) = >
: 0 (!) < 0
8
>
< (!) (!) < 0
(! ) = >
: (!) 0 0
R d = R +d R d s}v | m t h} QaD w

CQ Y u}= QO w
CQ =@a ( ; F; P ) p=tDL= | =[i |wQ X |iO=YD Q}eDt O}t= =} Q=_Dv= OQ t Q=w Okt %h} QaD 123
CU=
Z
R=
E (X ) = XdP
w |iO=YD Q=O @ Q l} X : ( ; F ; P ) ! ( 0; F 0) s Q} } o %x}[k 223
: ( 0; F 0) ! (R; B)
R
|va} CU= ( 0; F 0) |wQ x W O =kr= p =tDL= xR=
- O
v= ' PX xm E ((X )) = (!0)dPX (!0) =o
' 0 x v;
" B 2 F 0 Q Q PX (B ) = P (X 1 (B ))
y |= @
p=tDL= |=[i wO QO OvW=@ |iO=YD Q

Q=O @ wO Xi : ( i; Fi; Pi) ! ( 0; F 0) Q o= %xH}Dv 323
% OvrO=at Q} R =
| yxQ= o x R =ov; 'Cw =iDt
8 : ( 0; F 0) ! (R; B) 'EP ((X1 )) = EP ((X2 ))

1 2
hr=
" OvDUy u=Um} `} RwD |Q=O X2 X1 w ?
s} Q=O = IA Z i Q =@ x=ov; OW=@ Q=QkQ@ hr= w A 2 F 0 s Q} } o %xH}Dv u=yQ@
P1 (X1 2 A) = P2 (X2 2 A)
O} Q}o@ w OW=@ Q=QkQ@ ? O}vm Z iQ TmaQ@ "OvQ@=Q@ sy =@ =y`} RwD |va} PX = PX
1 2 =
r P
: ( 0; F 0) ! (R; B)
x =ov;
Z Z
EP ((X1)) =
1
0
(!0)dPX (!0) =1
0
(!0)dPX (!0) = EP ((X2 )):
2 2
w OW=@ ( ; F; P ) |wQ |iO=YD Q}eDt XQ o= hW|@J |Q@=Q@=v %x}[k 423
: [ ; 1) ! [ ; 1)
0 0
k 0 Qy Q =ov; 'OW=@ |rwRv Q}e |a@=D

|= @ x
P (X k) (k) E ((X )) 1
"(x) = xp O Q}o } @ CU= |i=m ' P (X k) k pE (X p) S

x }w x@
s} Q=O O}t= h} QaD j@] %u=yQ@
Z
P (X k) = IfX kgdP
Z
IfX kg ((Xk)) dP
Z
( (X )dP ) (k) = (k) E ((X )):1 1
| y s Uw pYi 30
x =ov; OW=@ |iO=YD Q}eDt l} X 0 w 0 p<qQ o= %x}[k 523
E (X q ) < 1 =) E (X p) < 1:
R= CU= CQ=@a s}yO|t u=Wv X

2 =} var X = @ =Q u; xm X| iO=YD Q}eDt Tv=} Q=w %h} QaD 623
X2 = E ((X )2 ) ; = E (X )
" X2 = E (X 2 ) 2 %xQ=Ro 723
s} Q=O %u=yQ@
X2 = E ((X )2) = E (X 2 2 X + 2) = E (X 2) 2 E (X ) + 2

= E (X 2) 2 :
|iO=YD |=yQ}eDt |}=Qoty 33
|}=Qoty `wv xU "OW=@ ( ; F; P ) p=tDL= | =[i |wQ |iO=YD = Q}eDt

| y R= |= rx =@vO (Xn )n2N s}v Q
m Z i
" s}vm|t h} QaD xr=@vO u}= Q

|= @
Qo = Xn a:s:
! X s}U w | "a:s: |}=Qoty 1
} v t
!1 Xn (! ) = X (! )g) = :
P (f! : nlim 1
"> 0 Qy Q Qo =
|= @ Xn p! X s}U w | } v t "p=tDL= QO |}=Qoty 2
!1 P f!
nlim : jXn (!) X (!)j "g = : 0
r
Qo = Xn ! X s}U w | "Lr QO |}=Qoty 3
} v t
!1 E (jXn
nlim X jr ) = : 0
" OvyO|t xH}Dv =Q p =tDL= QO |}=Qoty wO Qy Lr QO |}=Qoty w a:s: | Qot }= y %x}[k 133
` v w u} QD@ wr]t "CU= `wv xU u}= u}@ |}=Qoty `wv u} QDi}a[ p=tDL= QO |}=Qoty xm OyO|t u=Wv x}[k u}=
u} QDrmWt p=L u}a QO umr 'CU= =yv; `wv u} QD |OwyW =Q} R CU= C}a]k =@ ,=@} QkD a:s |}=Qoty '|}=Qoty
" yOO |t xH}Dv =Q Lr QO |}=Qoty QP QoDv=

'| } B p= \ W Q =@ x=Qty ' a:s: | Qot }= y " CU= =}=[k C =@F= Q_v w
R= ` v
% s}vm|t =
|Qw;O } =Q | Q}op=QoDv= x- } Q_v QO syt x}[
- k xU | Oa@ = Q =
| yO @ Q m w ?r]t u}= C =@F= CyH
|ivt=v 1 |iO=YD = Q}eDt

| y R= |= r x =@vO =yXn s}vm Z i Q %(MCT) =wvm} |}=Qoty x- }[k 233
R X d " R Xd =ov; Xn " X x OvW=@
" n x ' m
x =ov; OvW=@ |ivt=v |iO=YD = Q}eDt

| y Xn Q o= wD=i sr %x}[k 333
Z Z
n inf Xn d lim
lim n inf Xn d:
Y Qo = " 8n 2 N; jXn j Y Xn ! X O}v w m Z i Q %(DCT) |]rUD |}=Qoty x- }[k 433

R
x =ov; OW=@ |y=vDt Y d |va O = Q}PBp=QoDv= `@=D l}
} ' W @
Z Z
lim
n!1 Xn d = Xd:
'DCT Q =v @ @ x =ov; Xn a:s:
! X jXn j Y w w OW=@ Q}PBp=QoDv= Y |iO=YD Q}eDt Qo = xm O}vm x_Lqt p=L
" Lr=1 QO |va} ' Xn !

1
X
CN=wvm} |Q}PBp=QoDv= 43
O =
" W @ E (jX j) < 1 = @ |iO=YD Q}eDt l} X s}v Q
m Z i w p =tDL= | =[i l} ( ; F ; P ) s Q} } o
Q}PBp=QoDv= CN=wvm} Qw] x@ x- awtHtQ} R l} K s}} wo "K L1( ; F ; P ) O}v m Z i Q %h} QaD 143
Qo = CU= L1( ; F ; P ) R=
Z
8X 2 K fjX jcg
jX (!)jdP (!)
" Ovm p}t QiY x@ ' c ! +1 = @ CN=wvm} Qw] x@
s} Q=O Q=m w QU |iO=YD |=yQ}eDt =@ EL@t u}= QO uwJ |rw OvkO=Y |rm Qw] x@ Q}PBxR=Ov= `@=wD R= |=xr=@vO |=Q@ =}=[k u}= 1
"s}OQw; q=@ CQwY x@ =Q =yv;

xDUUo |iO=YD | y= Ov};Qi s U w pYi 32
'E (Y ) < 1 R} jXnj Y n 2 N Q

v w ' y |= @Q xm OW=@ u=vJ Y C@Ft |iO=YD Q}eDt Qo = %Qm PD 243
=ov;
Z Z
x
fjXn jyg
jXn jdP fY yg
Y dP ! 0
" CU= Q}PBp=QoDv= CN=wvm} Qw] x@ K = fXn : n 2 Ng |va }
s}vm|t h} QaD CQwY u}= x@ =Q X c |iO=YD Q}eDt "c > 0 w |iO=YD Q}eDt l} X s}vm ZQi %|Q=PoO=tv
8
>
<X (!) jX (!)j c
c
X (! ) = >
: 0 jX (!)j > c
" s}vm|t h} QaD Xc = X X c = Xc R} @ =Q v w s}t=v|t X O Q
- } @ =Q
x Xc | iO =YD Q}eDt
Q |U} wvR=@
%O m w
CQ Y u}= x@ u= Dw |t =Q CN=wvm} Q P QoDv= h} QaD
| } Bp= O=OQ= kQ u}=Q@=v@
8" > 0 9c > 8X 2 K ; E (jXc j) < ";

0
" c ! 1 |D E (jXcj) !
kw 0 |va}
j}kLD w |UQQ@ xm s} Qw; CUO x@ CN=wvm} |Q}PBp=QoDv= |=Q@ |rO=at \}=QW s}vm|t V qD Q} R |=yx}[k QO
"OR =U@ QDxO=U =Q u;
Qo = \ki w Qo = CU= CN=wvm} Q}PBp=QoDv= L x=ov; "K L1( ; F ; P ) s}v m Z i Q %x}[k 343
' 8X 2 K : E (jX j) < A x m OW=@ OwHwt u=vJ A<1 O

O a (i)
xDW=O P (F ) = F 2 F @ ' s =tD |= @Q xm OW=@ OwHwt u=vJ > 0 l} 'Zw Qit "> 0 Qy |= @ Q (ii)
s}W=@
Z
8X 2 K : F
jX (!)jdP ( ) < ":
x =ov; "s} Q}o|t Zw Qit =Q F 2F " CU= CN=wvm} Q}PBp=QoDv= K s Q}

} o "sRq \QW %u=yQ@
Z Z Z
jX (!)jdP (!) = IF jX (!)jdP (!) = fjX jcg IF jX (!)jdP (!) +
FZ Z
+ IF jX (!)jdP (!) cP (F ) + jXc (!)jdP = cP (F ) + E (jXcj)
fjX j>cg
s U pYi
"E (jXcj) < "= X 2 K Q 2 ' y |= @ c > T O = Qi " > O}v Q

Q xm CU= OwHwt 0 B " W @ Zw t 0 m Z i p L =
"C C wvm O Q E (jX j) |va X 2 K Q

U= N= } Q= v= m Q E (jX j) < c + "=
} ' y |= @ 2 = r P
=o P (F ) < = 2"c s Q}o Q

x v; = c > u}t Q } @ o = 'q @ 0 y |= @ p L =
Z Z Z
F
j X (!)jdP (!) jX c (!)jdP + jXc(!)jdP
F F
"
cP (F ) + < ": 2
CU= OwHwt | > 0 x =ov; 'OW=@ Zw Qit "> 0 s} Q}o "OvW=@ Q=QkQ@ (ii) (i) s}v
w m Z i Q %|i=m \QW
% s}vm|t h} QaD w
CQ Y u x c =
}= @ =Q p L " CU= Q=QkQ@ (ii) x m
c = 1:M ; M = sup E (jX j)

X 2K
s}vm|t h} QaD CQ Y w u}= x@ sy =Q AX
AX = f! : jX (!)j cg
hW|@J Q Q = Q@=v@
| @= @ v :P (AX ) = P f! : jX (!)j cg c 1 E (jX j) u Q =v }= @ @
(ii) j =] = @ t p L
Z Z
8X 2 K : fjX jcg
jX (!)jdP (!) = jX (!)jdP (!) < ": AX
O |t CUO x@ CN=wvm}
" yO Q P QoDv=
| } Bp= |= @ Q |@r=H |i=m Q Q} R x}[
\ W - k
[ ; 1)
0 |wQ xm (t) C@F wa ` = O}v
t w |O Q K L1 ( ; F ; P ) s Q}
Y @ D m Z i " } o %x}[k 443
w x K
Q ] @ x =ov; "supX 2K E ( jX j) < 1 tlim (t) = 1 x O = w w
!1 t
w m W @ O H t CU= xOW h} QaD
" CU= Q}PBp=QoDv= CN=wvm}
s}vm|t Q
Z i w ' s}vm|t h} QaD A = supX 2K E ( jX j) < 1 w x A x CQ Y @ =Q -a wtHt %u=yQ@
=D s}vm|t Q =}D R | = O x c a = " 1 A s Q} | O =

N= nQ @ i m Q k @ =Q " } o t w W @ Zw Qit "> 0
t c =) t 1(t) a
| y s U w pYi 34
s} Q=O fjX j cg x -a wtHt |wQ p L =
jX j 1 (jX j) a =) jX j a 1 (jX j)
= r P
Z Z
fjX jcg
jX (!)jdP a 1
fjX jcg
(jX j)dP a 1E ( jX j) a 1 A = ":
" CU= Q}PBp=QoDv= CN=wvm} Qw] x@ K u Q =v }= @ @
Q ] w x@ K = fXngn2N x =ov;supn E (jXn jp) < 1 x O = w w p > Q %p=Ft 543

' m W @ O H t | 1 o=
' p> 1 u J w w CU= C@Ft w |Owa (t) =o (t) = tp s Q}o Q Q C Q P QoD C wvm
Y x v; ' } @ o= = }R " U= } Bp= v= N= }
C C wvm Q P QoD fXn gn2N p@ x}[ Q =v P tlim

" U= N= }
!1 t
tp = 1
} Bp= v= k - k @ @ = r "
X Xn a:s:
! X x w x O = | =Y = Q}eD
x=ov; " x =@ Xn s}v
m |Q ] Q @ W @ iO D | y t R= |= r vO m Z i %x}[k 643
C wvm w x fXn gn2N Q \k Q C Qot X x L1 ( ; F ; P ) Q

N= } Q ] @ Xn o= i w o= U= y @ s v QO w CU= Q}PBp=QoDv=
a:s:
limn E (Xn ) = E (X ) < 1 x C | =
" Xn n Q Q Q =vt m U= i m w sRq 0 ' y |= @ o= , [ " W @O = Q}PBp=QoDv=
X 2 L1 ( ; F ; P ) T O = Qoty
B " W @ = X x L1( ; F ; P )
@ Q
s v QO Xn s}v m Z i Q %sRq \QW %u=yQ@
s} Q=O A2F Q y |= @ w Q
Z Z
A
jXn (!)jdP (!) A jX (!)jdP (!) + jjXn X jj1 ()
" E (jXn j) x s}v | x_ q A = s Q}o Q
CU= O Q CN=wvm} Qw] x@
Q= v= m m m t L t } @ o=
=
p L " jjXn X jj1 < "= n > N Q x C w w N s Q} | Qi " > =
2 ' o= m U= O H t | " } o t Zw t =Q 0 p L
w
O H t | w > s Q} | Q_ = fX1; X2 ; . . . ; XN ; X g | =Y = Q}eD | =vD x wtH
0 " } o t v QO =Q iO D | y t R= y t- a t
=o Y 2 P (A) A 2 F Q x C x v; w w o= m U=
Z
jY jdP " : A 2
x =ov; P (A) A 2 F Q () w o= ' R= xO =iDU= =@ xH}Dv QO
Z
A
jXnjdP ":
Q}PBp=QoDv= xH}Dv QO "Ovm|t jOY CN=wvm} |Q}PBp=QoDv= x}[
- k (ii) w (i) |=y]QW QO fXn g x -awtHt u}=Q@=v@
" CU= CN=wvm}

Q=_Dv= w =
OQ t | yQ= Okt xawtHt x=ov; "OW=@ CN=wvm} Q}PBp=QoDv= fXn gn2N s}v m Z i Q %|i=m \QW
s} Q=O wD=i sr j@] u}=Q@=v@ "CU= CN=wvm} Q=Ov=Qm fE (jXn j)g

E (jX j) = E (lim n inf E (jXn j) < 1
n jXn j) lim
=t= " X 2 L1 ( ; F ; P ) |va }
jjXn X jj1 jjXnc X c jj1 + jjXnc jj1 + jjXc jj1:

u =vJ c> 0 C@Ft OOa 'CU= CN=wvm} Q}PBp=QoDv= fXn g w
u J " } O Q}o@ Q_v O
QO =Q x W xO=O "> 0 p L =
jjXcjj1 < 3" jjXnc jj1 < 3" x

" w w m OQ=O O Hw
s} Q=O n@r |]rUD |}=Qoty x}[ j@ u Q =v jXnc X c j c C Qot X c x a:s: w x Xnc

- k ] }= @ @ " 2 w U= = y @ Q ] @
n > N Q x C w w =v N T nlim !1 jjXn X jj1 =

|= @ m U= O H t u
c
J |
c B " 0
jjXnc X c jj1 < " 3
s} Q=O 'OW=@ n>N Q o= xH}Dv QO
jjXn X jj1 < "

u J w u}vJty w |t xH}Dv
"O W L1 ( ; F ; P ) X x Xn | QotQO @ }= y w
jjjXn jj1 jjX jj1j jjXn X jj1

w ' Xn 0 ' nQ Q
y |= @ ' O}vm Q Q
Z i 'x Nq @ "OO o = Q |t xH}Dv R}v E (jX j) x E (jXn j) | Q o t
@ }= y
w
u J " limn E (Xn ) = E (X ) < 1
Xn + X = (Xn _ X ) + (Xn ^ X )
jXn X j = (X _ Xn ) (X ^ Xn )
n@r |]rUD |}=Qoty x}[
- k j@] =Pr
!1 E (X
nlim ^ Xn ) = E (X ):
w
!1 E (X _ Xn ) = E (X ) xH}Dv QO "limn E (X + Xn ) = 2E (X ) ZQi j@] w
nlim
n E (jXn X j) = lim
lim n jjXn X jj1 = : 0
xDUUo |iO=YD | y = Ov};Qi s Uw pYi 36
:If!:jXnjcg a:s:
! If!:jX jcg c > ' 0 O a O Qy Q O}vm C@=F
|= @ ' Xn a:s:
!X Q o= %u} QtD 743
Qo = CU= Q}PBp=QoDv= CN=wvm} Qw] x@ |iO=YD | y = Q}eDt R= fXn gn2N x =@ -r vO l} %h} QaD 843
Z
ylim
!1 sup
n fjXnjyg
jXn jdP = 0
" y ! 1 |D kw Ovm p}t QiY x@ nx @ C@Uv CN=wvm} Qw] x@ jXn jy

R jXn jdP |va }
x =ov; 8n 2 N; jXn j Y E (Y ) < 1 x w m OW=@ OwHwt Y |iO=YD Q}eDt Qo = %Qm PD 943
Z Z
jXn jdP Y dP y!1
! 0
fjX jyg
n fY yg
Ow
QO ' v W h} QaD uwo =vwo =
| yxR= v= O =@ Cw =iDt p=tDL= | y = =[i |wQ Ovv=wD|t Xn | iO =YD | y = Q}eDt ,=vt[
" CU= |vat =@ CN=wvm} Q P QoDv= sy R=@ Cr=L u}=

| } Bp=
% OvrO=at Q} R =
| yxQ= o x R =ov; "Xn a:s:
! X s Q} } o %x}[k 1043
' CU= Q}PBp=QoDv= CN=wvm} Qw] x@ fXn gn2N (i)

Xn L! X (ii)
1
'
" CUq=@ \}=QW u} QDxO=U \ W Q u}= "

!1 E (jXn j) = E (jX j)
nlim (iii)
xm OyO|t xL}Dv q=@ \}=QW O Qy
R= s= m
!1 E (Xn ) = E (X )
nlim
"chung qF , t O}vm `wHQ p=tDL= x- } Q_v ?Dm x@ %u=yQ@
p
" Xn L! X x=ov; OW=@ CN=wvm} Q}PBp=QoDv= fjXn jpg Xn a:s:! X Q w o= %xH}Dv 1143
O |t xH}Dv
" yO =Q jX jp Q P QoDv=
| } Bp= 'jXn jp C N= wvm} Q P QoDv=
| } Bp= %u=yQ@
s U pYi
p qkDU= 53
= Q s}} wo pkDUt
x o y =Q B A Ot=W}B
w wO %h} QaD 153
P (A \ B ) = P (A):P (B );
=}
P (B jA) = P (PA(\A)B ) = P (B );
"OQ= vO A w
` kw =@ |]=@DQ= B w
` kw |va}
O
|wQ x t; O= a= ` O wtHt xm OW=@ u}= Ot=W}B A s}v | m t Z i wQ s}vm|t =Q
A D B =Q T D wO = %p=Ft 253
x=ov; "O}=}@ 4 pw= T D = xmv}= Ot=W}B B w OW=@ 7 Q@=Q@ =yU=D
A = f( ; ); ( ; ); ( ; ); ( ; ); ( ; ); ( ; )g
1 6 2 5 3 4 4 3 5 2 6 1
B = f( ; ); ( ; ); ( ; ); ( ; ); ( ; ); ( ; )g
4 1 4 2 4 3 4 4 4 5 4 6 w
Qo = xm}r=L QO " v= O pkDUt B A |va P (A) = P (B ) = 16 P (A \ B ) = P ( ; ) = 361 xH}D

w } w 4 3 v QO
QO u J w `k=w QO "O @w Ovy= wN pkDU B A Qo s}v

v t ww QQ O O }OwtH O =W} =
m Z a '6 A @= @ x t; O= a= ` t t B @ =Q
pkDUt B Ax
w m CU= |a}@] =Pr CW=O s}y=wN =Q 7 ` wtHt xQNq=@ 'O}=}@ |O a O Qy pw= T D pw= = Cr=L
A D B= Q Qo = ,qFt CU= xDU@=w O}=}@ |O a O xJ pw= A D B QO =Q xmv}= x@ 6 ` wtHt uOt; swO Cr=L QO =t= 'OvW=@
=
p U p =tDL= w Q@H ? =Dm Qo}O
'u= w xvovR x@ O}vm `wHQ "CW=O s}y=wNv =Q 6 ` wtHt Qo}O OW=@ O
6 O a pw=
x]UwDt O}OH s=_v swU
Fn; . . . ; F2; F1 | =to} } U | =yv=O}t "OW=@ p =tDL= | =[i l} ( ; F; P ) s} Q}o %h} QaD 153
Qo = s}} wo pkDUt =Q Fx -a wtHtQ} R |oty
P (\ni=1 Ai) = ni=1P (Ai) 8Ai 2 Fi

F (Xn) . . . ; F (X2); F (X1 ) = Q x o y s}} wo pkDUt =Q ( ; F ; P ) Xn ; . . . ; X2 ; X1 | =Y
|wQ iO =
D | yQ=O @ Q
Qo = O pkDU X2 X1 qF Ov = pkDU | =to}

v= t w , t " W @ t } U | =yv=O}t
P fX1 2 A1; X2 2 A2g = P (X1 2 A1)P (X2 2 A2):

xDUUo |iO=YD | y = Ov};Qi w
s U pYi 38
x- r= @ vOQ } R Q y Q Q o = s } }w o p k D Ut
|= @ An; . . . ; A2; A1 = O = W } x = @ %h } Q a D 453
=Q | y t B -r vO
|va} 'OvW=@ pkDUt Aim ; . . . ; Ai ; Ai = O =W} f ; ; . . . ; ng i1 < i2 < < im

2 1 |
y t B ' 1 2 R=
P (Ai \ Ai \ . . . \ Aim ) = mk=1P (Aik )

1 2
"OvW=@ pkDUt q=@ Q}@aD =@ =yv; R= |y=vDt O= OaD Qy x=oQy CU= pkDUt =yOt=W}B R= xr=@vO l} wLv u}ty x@
R= |= rx =@vO . . . ; J2; J1 pkDU | =Y = Q}eD

w t x =@ . . . X2 X1 s Q}
iO D | y t R= |= r vO ' ' } o %x}[k 553
R= |= rx =@vO = Yi =o Yi := fXj : j 2 Ji g; 8i 2 N s} | Q Ov = N
y x v; yO t Q= k " W @ QO = RHt = x wtHt
| y a
" CU= pkDUt |=yQ=OQ@
%?Q[rY=L xR=Ov= x
- }[k 653
(R1; B1) |wQ P p - Ov= l} x=ov; 'OvW=@ (R;

=tDL= xR= B) |wQ p =tDL= |=yxR=Ov= . . . 'P2 P1 Q
' o= hr=
(z1; z2; . . . ; zn) 2 Rn n 2 N Q w y |= @ Q xm OQ=O O Hw u w =vJ
P (fy 2 R1 : yk zk ; k = ; ; . . . ; ng) = ni=1Pi ( 1; zi] 1 2
" s}yO|t u=Wv P = 1i=1Pi = @ w s}t=v|t ? - Ov=

Q[rY=L xR= =Q P
% OvrO=at sy=@ Q} R xQ=

- R
o wO ?
' Pi = PXi = @ Ov=pkDUt |iO=YD = Q}eDt

| y . . . X2 X1 (i)
' '
" X = (X1 ; X2; . . . ) | iO=YD Ov};Qi |= @ Q PX = 1i=1 Pi (ii)

OvDUy pkDUt |iO=YD = Q}eDt
| y . . . X2 X1
' ' x =ov; '(R1; B1) |wQ Xi(y) = yi Q = C = o= X N r L QO
PXi = Pi | S " o }w =@
%u=yQ@
39 xDUUo |iO=YD = Ov};Qi
| y w
s U pYi
%s}vm|t h} QaD CQ Yw u}= x@ <=QkDU= x@ =Q Qn x =@ -r vO hr=
Q1 = P1
Z
Qn+1 (A) = Pn+1 (A(y1; . . . ; yn+1))dQn
A(y1; . . . ; yn+1) = fyn+1 : (y1; . . . ; yn+1 ) 2 Ag u; QO xm
Q
|= @ p L = :Qn+1(A1 A2 . . . An+1 ) = P1 (A1) . . . Pn+1 (An+1) x w | m O W t x }O O |DL=Q x@
=o B = A R s}v x v; ' m Z i Q A 2 Bn
8
>
< (y1; . . . ; yn) 62 A
B (y1; . . . ; yn) = >
:R (y1; . . . ; yn) 2 A
TB Pn+1 (B (y1; . . . ; yn)) = IA(y1; . . . ; yn) u Q =v
" }= @ @
Z
Qn+1 (B ) = IA(y1; . . . ; yn) = Qn(A)
Qy Q xm CU= OwHwt (R1;
|= @ B1) |wQ P u}=Q@=v@ "Ovm|t u}t-=D =Q h o Q wtrm x}[k = =
QO |Q oR U \ W Q u}=
B 2 Bn
P (y : (y1; . . . ; yn) 2 B ) = Qn(B )
X N = Cr=L QO w
P (y : (y1; . . . ; yn) 2 ni=1( 1; zi]) = ni=1Pi( 1; zi] = ni=1Fi(zi)

=
| yxOQ |wQ P0 P
w x=ov; OW=@ |Qo}O ?Q[rY=L xR= 0
- Ov= P Qo = xm O}vm xHwD CU= xv=o} P xmv}= uO}O |=Q@
O Q Q Q} R
% v @= @
G = fy 2 R1 : yi zi ; i = ; . . . ; n ; zi 2 R; n 2 Ng1
"B1 |wQ P = P 0 u Q =v }= @ @ " Ovm|t O}rwD =Q B1 w sDU}U ' CU= xDU@ |y=vDt QD
l = W= CLD xOQ u}=
w |t xH}Dv
"O W h o Q wtrm `}UwD x}[
- k hr=
w R= xrY=iq@ ?
= Q OvDUy pkDUt
x o y . . . X2 X1 |
' ' iO=YD = Q}eDt
| y %Qm PD 753
Fn(z1; z2; . . . ; zn) = FX (z1) . . . FXn (zn)

1 8n 2 N
s U pYi 40
s}vm Q
Z i " OvW=@ ( ; F; P ) |wQ pkDUt |iO=YD Q}eDt wO Y X s Q}w } o %x}[k 853
; : (R; B) ! (R; B)
x =ov; E (j(X )j) < 1; E (j (Y )j) < 1 w
E ((X ) (Y )) = E ((X ))E ( (Y ))
x =ov; " = IB = IA |vaw } 'OvW=@ B A w = x wtHt Qov=Wv `@=wD

| y a w O}v m Z i = Q OD@= %u=yQ@
E (IA(X )IB (Y )) = P (X 2 A; Y 2 B ) = P (X 2 A):P (Y 2 B )

= E (IA(X ))E (IB (Y )):
x=ov; OvW=@ C@Ft Q}PBxR=Ov= `@=wD w Q o= "CU= Q=QkQ@ smL R=@ OvW=@ xO U= `@=wD w Q o= ?}DQD u}ty x@
n2NQ y |= @ wQ n " w n " x m OvOwHwt xO U = `@=wD R= n w n x =@

-r vO wO
E (n(X ) n (Y )) = E (n (X ))E ( n(Y )):

x@ =Q =yv; x=ov; OvW=@ |rm Q}PBxR=Ov= `@=wD w Q w |t C@=F smL =wvm} |}=Qoty x}[
o = "O W - k Q = x@ =@
uO @ Q m
=x
Q m @ '
+ w +' Q
|= @ =Q j i w ?r=]t w s}U} wv|t = + w = + CQ Y w
s Q |t
" } @
x =ov; " Sn = Pni=1 Xi w OvW=@ pkDUt |iO=YD = Q}eDt

| y Xn ; . . . ; X2 ; X1 Q o= %xH}Dv 953
X
n
Sn =
2
X2 i
i=1
" X2 = E (X 2 ) 2 X2 = var X w u; QO xm
E (Yi) = 0 x =ov; "s} Q}o|t Q_v QO =Q Yi = Xi i | iO =YD | y = Q}eDt w i = E (Xi) s Q} } o %u=yQ@
s} Q=O w
Xn Xn
S2n = E ((Sn E (Sn ))2) = E (( (Xi i))2) = E (( Yi)2)
i=1 i=1
Xn X Xn
= E (Yi2) + E (YiYj ) = E (Yi2)
i=1 i6=j i=1
"O W w |t C@=F smL TB "Ov=pkDUt Yj w Yi Q
= }R
nQR@ O=Oa= |wk uwv=k 63
"OvW=@ u=Um} `} RwD |=Q=O w pkDUt x=o Qy s}} wo|t i:i:d =Q Xn | iO =YD | y = Q}eDt %h} QaD 163
w O v W= @ i:i:d . . . X2 X1
' ' ' s}Q}o nQR @ O=O a= h } a [ | r } N uw v= k %x } [ k 263
x =ov; " = E (Xi) < 1

X1 + X2 + + Xn P! :
n
"Sn = Pni=1 Xi s} yO |t Q=Qk u}=Q@=v@ " = 0 xm OQm Q
Z i u= D w |t C}rm uO=O CUO R= uw @ O %u=yQ@
Zw Qit "> 0 Qy Q
|= @
Sn
P n " n2"2 E (Sn2) = nn2"2 = n"
2 ! ; n ! 1:
21
0
2

x P Snn
u; QO m ' "; i:o: = s}v C = O = R O w w = 0 m @ F } @ nQ @ O= a= | k u v k C =@F= Q
|= @
\
1 [
1
fBn ; i:o:g = Bn :
m=1 n=m
x =ov; 'OW=@ =yOt=W}B R= xr=@vO l} Bn 2 F s Q} } o |rDv=mpQ@ sr 363
'P fBn ; i:o:g = 0 x =ov;

P
1
P (Bn ) < 1 Q o= hr=
n=1
"P fBn ; i:o:g = 1 x =ov; '
P
1
P (Bn ) = 1 ut [ QO w OvW=@ pkDUt =yBn Qo = ?
n=1
%s}vm|t C@=F =Q Q} R x}[
- k xvwtv u=wva x@ &OQ=O |iO=YD |=yOv};Qi w p =tDL= x- } Q_v QO |O=} R |=yOQ@=m sr u}=
w OW=@ ( ; F ; P ) =tD =[
p L= | i |wQ |iO=YD | y = Q}eDt R= |= r x =@vO (Xn )n2N Q o= %x}[k 463
p
Xnk a:s:
" !X x w x@ CU= OwHwt |rY= x- r=@vO
m |Q ] R= (Xnk ) x =@ Q -r vO } R x =ov; &Xn ! X
xm CU= OwHwt fnk g x =@-r vO s}yO u=Wv CU= |i=m %u=yQ@
P fjXnk X j k ; i:o:g = 1
0
| y w
s U pYi 42
p
xm w
OQ=O O Hw N QO | nk P
= r "
!1 P (fjXn
nlim X j k1 g) = 0 C@=F k Q TB
|= @ ' Xn ! X w
u J
P (fjXnk X j k g) 1
2
k;
|rDv=m pQ@ sr j@] xH}Dv

P
1
P (fjX X j k1 g) u}=Q@=v@
QO w nk 1
k=1
P (fjXnk X j k ; i:o:g) = :
1
0
hQowtrm 01 uwv=k 73
|]}=QW xJ CLD Ovm|t u}}aD xm OW Oy=wN C=@F= xO=O hQowtrm 01 uwv=k x@ swUwt |=x}[k CtUk u}= QO
s
" } Q=O R=}v |D=tOkt x@ u}= R= V}B "OW=@ 1 =} 0 Ov=wD|t Ot=W}B l} p=tDL=
|}=to}U u= O}t "OW=@ |iO=YD Ov};Qi l} X = (X1 ; X2; . . .) s Q} } o %h} QaD 173
\
1
FX = F (Xn; Xn+1 ; . . .)
n=1
" s}t=v|t F | =to} } U u= O}t sO =Q
n2NQ Q Q
y |= @ = } R " C = fBn; i:o:g 2 F X x =ov; Bn = fXn 2 Ang Q o= %p=Ft 273
1 [
\ 1 1 [
\ 1
Bk = Bk 2 F (Xn ; Xn+1 . . .);
m=1 k=m m=n k=m
C 2 FX
" P
= r
x =ov; "Sn = Pni=1 Xi s Q} } o %p=Ft 373
B = f!j nlim Sn ( ! ) w g
!1 n OQ=O O Hw
C FX
" U= QO
( ; F; P ) |wQ pkDUt |iO=YD |=yQ}eDt R= |=xr=@vO (Xn )n2N s} Q}o hQowtrm 10 x}[k 473
" P (A) 2 f ; g 0 1 x=ov; A 2 FX Q O =
o= " W @
x =ov; A 2 F X s}v m Z i Q %u=yQ@
A 2 F (X1; X2 ; . . .) = (F0)
F = S F (X1; . . . ; Xn ) x
1
w w
O H t F0 Q Y=va R= fAn g1n=1 x =@ -r vO |QwO wD=Q=m `}UwD x}[
- k j@] p=L " 0 m
n=1
xm CU= OwHwt | mn n Q ' Q
y |= @ p L " = n ! 1 |D kw P (AnA) ! x w x C 0 m |Q ] @ U=
An 2 F (X1; . . . ; Xmn )
x_Lqt Qo}O Q
h ] R= =t= "P (A An) ! 0 TB ' A An AnA P (AnA) ! w 0 u J w
xm s}vm|t
P (A) P (A \ An) = P (A (A \ An)) = P (A An)

|rw OQ=O |oDU@ u; pw= xi
- rw
-t mn x@ =yvD An P (An \ A) ! P (A) n ! 1 |D P
" ' kw = r
u}=Q@=v@ O pkDU s
" v= An A u Q =v A 2 F (Xmn ; . . .)
t y R= w }= @ @ "
+1
!1 P (An )P (A) = P (A)P (A) =) P (A) 2 f ; g:

P (A) = nlim 0 1
" P (A) 2 f ; g A 2 G Q Q x
0 1 ' y |= @ m |Q ]w x@ OW=@ F | =to} O} Q l G s Q} %x}[k 573
} U u= t }R } } o
P (X = y) = " 1 xm CU= w w y 2 R l X : ( ; G ) ! (R; B ) Q =o

O H t } ' o= x v;
s}vm|t h} QaD %u=yQ@
y = inf fx : P (X x) = g 1
x =ov; 'z<yQ o= =t= " P (X yk ) = 1 Qy Q =ov;

|= @ x ' yn ! y Q o= p L =
P (X z) < 1
P (X z) = T f! : X (!) zg 2 G
u}=Q@=v@ " 0 B ' w
u J
[ X
1
P (X < y) = P ( fX zk g) P (X zk ) = 0
zk "y k=1
"P (X = y) = P (X y) P (X < y) = P
1 = r
X1 s}v
' Q
m Z i " Ovm|t ltm R O
nQ @ O= a= | k u v k - w w = x}[k C =@F= x@ xm CU= |@r=H G}=Dv |=Q=O x}[k u}=
| y w
s U pYi 44
xm s}O}O "Sn = Pni=1 Xi s} Q

yO Q= k w OvW=@ pkDUt |iO=YD = Q}eDt
| y . . . X2
'
B = f! : nlim Sn(!) w g 2 FX
!1 n OQ=O O Hw
O}OH |iO=YD Q}eDt s}v=wD|t x=ov; P (B ) = 1 Qo = p=L " P (B ) 2 f ; g u Q =v

0 1 }= @ @
8
>
<limn!1 Snn(!) OW=@ OwHwt OL Qo =
X (!) := >
: 0 xv Qo =w
kQ y |= @ Q u}=Q@=v@ "s}vm h} QaD =Q
X (!) = nlim Xk (!) + + Xn (!)

!1 n
nlim
Sn ( ! )
!1 n Qo = |va} &CU= C@=F a:s: 'X =Pr "X 2 FX T B" CU= Q}PBxR=Ov= F (Xk ; Xk+1 ; . . . ) x C@U @ v
" CU= C@=F 'l} O =@

xR= v=
- x wtHt
|= a |wQ u; |O a Q= O Okt x=ov; 'OW=@ OwHwt l} O =@ xawtHt l}
xR= v=
- |wQ
'OvW=@ i:i:d |iO=YD |=yQ}eDt . . . 'X2 X1 s Q}

' } o %SLLN nQR@ O=Oa= |wk uwv=k x
- }[k 673
x =ov;
Sn a:s:
&
n ! = E (X1 ) x=ov; E (jX1 j) < 1 Qo = hr=
w |t =Qo =w a:s: Sn x=ov; 'E (jX j) = 1 Qo = ?

"O W '
n 1
xm s}vm|t x_Lqt =OD@= %? u=yQ@
E (jX1 j) < 1 () P (jXn j > n; i:o:) = 0
Q wtrm
h o w = j@] TB
01 u v k P (jXn j > n; i:o:) >
" 0 u}=Q@=v@ ' E (jX1 j) = 1 w
u J p L =
!
j Xnj
P n > ; i:o: = 1 1
CWwv w u}= x@ Xn w |t
CQ Y =Q
n u= D
!
Xn = Sn Sn 1 = Sn n 1 Sn 1
n n n n n 1
u}=Q@=v@ " Xnn ! 0 x=ov; w

'O W = Qoty Snn Qo =
9N : n > N () Xnn 1
xH}Dv QO
1 \
[ 1
f! : Snn(!) CU=Qoty g f! : Xnn(!) g 1
N =1 n=N
s} Qw;|t CUO x@ | Q}o ptmt =@
f Xnn > ; i:o:g f! : Snn(!)

1 CU=Qo =w g;
= P (f! : Snn(!)
1 Q
= o =w g) |va }
p@k x}[
- k 'x}[k Qy C =@F= w
CQ YQO xm CU= xOW xDW=Po =yx}[k R= xDWQ l} = Q
T U= @ %hr= u=yQ@
xm s}vm|t =aO= w s}vm|t `w W Q Q} R x}[

- k =@ =OD@= "O}UQ s}y=wN |rY= x}[
- k x@ s=Hv=QU w OUQ|t C =@F= x@
"OO oQ |t xH}Dv x}[k u}= R= SLLN
=@ u =Um} `} RwD |=Q=O ,=twRr xv =t= OvW=@ pkDUt |iO=YD | y . . . Y2 Y1 s Q} %x}[k 773
= Q}eDt ' ' } o
xm OW=@ |O waY x- r=@vO l} bn s}vm Q

Z i " i2NQ Q
y |= @ ' E (Yi) = E (Yi2) < 1 x C} = u
0 w m Y N }=
s
P
1 E (Yk )
< 1 Q =o b " 1
2
n
k=0 bk
} Q=O ' 2 o= x v; "
Y1 + Y2 + + Yn a:s:
!
bn 0
s}yO|t Q=Qk C =@F= |= @Q "OwW|t xH}Dv x}[k u}= R= nQR@ O=Oa= uwv=k xm s}vm|t =aO=
8
>
<Xn jXn j n
~
Xn = >
: 0 jXn j > n
CU= OwHwt N pF t QiY xR=
- O =@
v= x wtHt TB
|= a " P (X~n 6= Xn ; i:o:) = P (jXn j > n; i:o:) u Q =v }= @ @
xm
8! 2 N 9n0(!) s:t: n > n0 (!) =) Xn (!) = X~n (!)

xH}Dv QO ' v=
~n 'OvW=@ pkDUt =yXn Qo =
O pkDUt R}v =yX
Pn X Pn X~
i=1 i ! () i=1 i !
n n
| y w
s U pYi 46
w E (Yi ) = 0 x =ov; "Yi = X~i E (X~i ) s Q} } o p L=
E (Yi2) = X2~i = E (X~i2) (E (X~i ))2 E (X~i2 ) i2 < 1;

|iQ]
Z Z
R=
E (X~i) = dP = X1IfX igdP

fXi ig 1
n@r |]rUD x}[

- k j@] w
E (X~i) ! E (X1 )
|va} 'CU=Qoty sy R
u; |wQ= J u}ov=}t 'CU=Qoty |k}kL O
O= a= R= xr=@vO u}= uwJ
X
n
~
n i=1 E (Xi ) ! E (X1)
1
P x
a:s:
=o n1 ni=1 Yi ! s}
v; =W =yv Q = 0 yO u v D o= t=
Xn X n
~ Xn
~i a:s:
1
n i=1 Yi + n i=1 E
1
( X i ) =
n i=1 X !1
1 Pn a:s:
=@ O=O u=Wv u= wD@ xm |DQwY QO C Q xH}D
i o x}[
v 773 - w| n i=1 Yi ! | Qot =
k R= u= D t =Q 0 }= y t=
bn = n %
X E (Yk )
1 2
k=1 k2 < 1:
O=O u=Wv O}=@ R}v Q=m u}= |=Q@ |rw "
P
1
E (X~k2 )
< 1 s}yO u=Wv CU= |i=m TB "E (Yk2) E (X~k2 ) |rw
k=1 K
2
1 1R
P
s}U} wv|t CQwY u}= x@ =Q Q}N= `wtHt w p=QoDv= : 2 fjX1 jk g X1 dP < 1 xm
2
k=1 k
X1 1 X k Z X
1 1 X 1
X12 dP j 2P fj jX1j j g
k=1 k j =1 k 1
2 fj 1jX1 jj g 2
k=1 2 j =1 3
X1 X 1
= 4 k2 5 j 2P fj 1
jX1j j g 1
j =1 k=j
X1
c jP fj jX1j j g 1
j =1
X1 Z
c (jX1j + ) 1
j =1 fj 1jX1 jj g
= cE (jX1j + ) < 1 1
O
" yO |t xH}Dv R O w
=Q nQ @ O= a= | k u v k '773 - w= x}[k u}=Q@=v@
| y s U w pYi
P
1 1 cj 1 j Q Q xm CU= OwHwt c C= O O}vm C@=F %u} QtD 873
k=j k
" 2 ' y |= @ @ F O a
QO |@ wN u} QtD OwN xm s}vm|t xO =iDU= QmvwQm sr R= C F= =@ OvwQ QO "773 - x}[k C =@F= x@ s} R=OQB|t p=L
" CU= R}r=v;
Pn xk Qo = ak " 1 s Q} OW=@ |k}kL O x =@vO (xk )11 O}v Q %QmvwQm sr 973

k=1 ak
" } o w O= a= R= |= r m Z i
" n ! 1 |D kw &
x1 ++xn
an ! 0 x =ov; 'OW=@ =Qoty
" xn = an(bn bn 1 ) x=ov; "bn = Pnj=1 xajj a0 = b0 = w 0 s} Q}o %u=yQ@
xH}Dv QO
X
n X
n nX1
1
an j=1 xj = a 1
aj (bj bj 1) = bn a bj (aj+1 aj ) 1
n j =1 n j =1
ut[ QO w ' aj+1 aj O wa = an w bn ! b1 qF C

v= |O Y y u J " , t Qoty
U= fbn g1n=1
nX1
an j=0 (aj+1 aj ) =
1
1
x ++xn ! T C b x Qot s 1 nP1 b (a aj ) xH}D

"
1
an 0 B " U= 1 @ = y y
an j =1 j j +1 v QO
a:s: P
n Yk s}yO u=Wv CU= |i=m %QmvwQm sr ltm x@ 773 x- }[k u=yQ@
|Dkw 'CU= =Qoty
k=1 bk
'
Q xm CU=
Y (!)++Yn (!) ! 0 'C@=F ! 2 |=Q@ CQwY u; QO =Q} R &n ! 1
u}= =t |=aO= " 1
Z i
bn
"CU= =Qoty fL QO
2 Pn Yk g1 xr=@vO OyO|t xH}Dv 7"7"3 x}[k
n=1 -
k=1 bk
-
=P
n Yk s} Q}o
CU= |W)m L2 xr=@vO u}= "CU= |iO=YD = Q}eDt x}=OQo l} u}= "Tn %=aO= u=yQ@
k=1 bk
QO | y R=
Q
= }R
Y nX
+p Y nX
+p
k 2
E ((Tn+p Tn) ) = E ( ( b )) = E ( 2
( b k )2) =
k=n+1 k k=n+1 k
nX
k X E (yk ) u:f
+p E (y 2) 1 2
= !
k=n+1 bk k=n+1 bk
0
2 2
"Tn a:s:
! T s}v m C = O = | C Qot L2 T | =Y Q}eD x xH}D
@ F } @ rw " U= = y |W L2 Tn u Q =v
QO iO D t @ v QO w m QO }= @ @
p
|}=Qoty 'p =tDL= QO | Qot ` w x O O = = Tn ! T x w | xH}D L2
}= y k t J }O Tn | Qot
} @ p L " m O W t v QO }= y R=
O | xH}D a:s: " yO t v =Q

s U pYi 48
s} Q=O '
Pn Z !p
ZQ =ov; "OvW=@ pkDUt |iO=YD |=yQ}eDt . . . Z2 Z1 s Q} %x}[k 1073
k o= x ' ' } o
k=1
X
n
Sn = Zk a:s:
!Z
k=1
" TmaQ@ w
j@] =} :P (lim Sn w w
O H t )= 1 s}yO u=Wv O}=@ TmaQ@ Q CU= K[=w AJ x@ CU=Q
|= @ " R= %u=yQ@
P ( T S n=TmfjSn Sm j < 1k g) =
1 1 1
=} 1 |Wm lLt
k=1 m=1
1 \
[ 1
8k 2 N P ( fjSn Sm j < k g) = 1
1
m=1 n=m
| Q}o ptmt =@ =}
\
1 [
1
8k 2 N P ( fjSn Smj k g) = 1
0
m=1 n=m
Q
x Nq @ = =}
[
1
8k 2 N !1 P (
mlim fjSn Smj k g) = 1
0
n=m
s}vm C@=F CU= |i=m R}v Q=m u}= Q
|= @ w
8k 2 N mlim
!1 Nlim P ( sup jS
!1 mnN n
Smj k ) = 1
0
w |t xH}Dv CU=
"O W hw Qat OwNQmU= sr x@ xm Q} R sr R= R}v ?r]t u}=
Sj = P Zk
j
" w OvW=@ pkDUt|iO=YD | y = Q}eDt . . . Z2 Z1 s Q} %(Skrokhod) sr 1173
' ' } o
k=1
x=o c := sup P fjSN Sj j g < O}v
v; " Q 1 m Z i
j N
P (sup jSj j > 2 ) 1
c P (jSN j > ):
j N 1
s}yO|t Q=Qk %u=yQ@
J (!) = minfn : jSn(!)j > 2 g

Q
= }R ' CU= |iO=YD Q}eDt l} J min = 1 s}v
" m Z i wQ
f! : J (!) = mg = f! : jS1(!)j ; . . . ; jSm 1(!)j 2 2 ; jSm(!)j > g 2

s} Q=O p=L "CU= Q}PBxR=Ov= xawtHt l} xm
P (sup jSj j > 2 ) = P (sup jSj j > 2 ; jSN j ) +

j k j N
P (sup jSj j > ; jSN j < )
2
j N
[N
P
= r wfsup jSj j > g = fJ = j g
2 |iQ] R=
j N j =1
X
N
P (sup jSj j > 2 ) P (J = j )P (jSN Sj j > ) + P (jSN j > ):
j N j =1
X
N
c P (J = j ) + P (jSN j > ) %c h Qa } D Q@=v@
j =1
[
N
= cP ( fJ = j g) + P (jSN j > )
j =1
= cP (sup jSj j > 2 ) + P (jSN j > )
j N
Q
x Nq @ =
( 1 c)P (sup jSj j > 2 ) P (jSN j > ):

s}yO u=Wv O}=@ "s} Q}o|t C@=F =Q m<N '1073 - x}[k =@
C F= uO m Q pt=m Q
|= @ p L =
8k 2 N; !1 Nlim
mlim P ( sup jS
!1 mnN n
Smj k ) =
1
0
2 = 1k s} yO|t Q=Qk "s}vR|t ?} QkD =Q P ( sup jSn Sj j k1 ) Q=Okt OwNQmU= sr R= xO =iDU= =@

mj N
s} Q=O " = 21k =}
Cm;N := sup P (jSN Sj j > k ) < 1

1
mj N 2
' N > m > n0 Q o= xm C w w n0 2 N l |va Cm;N ! xH}D

U= O H t } } ' 0 v QO SN p! Z w = u J t=
w QmU=
O N s j@ Cm;N < 12
r ] "
P ( sup jSn Smj > k ) P (jSN Smj > k ) m;N!

1
!1
: 2
1
0
mnN 2
'OvW=@ u =Um} `} RwD =@ pkDUt |iO=YD | y = Q}eDt . . . X2 X1 Q

' ' o= %773 x}[k xH}Dv 1273
=ov;
P1 1
<1x Ovm p}t `} QU |i=m O x bn " 1 Q E (X12) < 1 E (X1) =
x '
n=1 b2n m xR=
- v= @ o= w w 0
Sn a:s:
bn ! 0
xDUUo |iO=YD | y = Ov};Qi s Uw pYi 50
" CU= |y}O@ %u=yQ@
w bn " 1 x=ov; '"> 0 w bn = pn(log n)1=2+" s Q}o } @ Qo = %p=Ft 1373
X
1 X
1
= 1
<1 1
n=1 bn n=1 n(log n)

2 1+2"
w xH}Dv j@] TB "CU= QDW}@ ,=O}m =

j i - 1 R= log n w Q
u= D = } R
8" > ; 0 pn(logSnn)1=2+" a:s:! 0
|iO=YD |=yDtqa x-rUt 83
xm |Q ] w x@ OvW=@ ' i.i.d | iO =YD | y = Q}eDt . . . X2 X1 s Q}

' ' } o
P (X1 = ) = P (X1 = 1 1 )= : 1
a:s: P Xk Ck
1
# CU= =Qoty | U Q Ckw xJ "CU= xOW xO=O (Ck )k2N |k}k x =@vO
L -r
k=1
P
1
( )k Ck Q =ov; Ck # Qo = CU= =Qoty w Q =ov;
P
1
jC j < 1 Q xm CU= K[=w
1 | U x ' 0 w j i | U x ' k o=
k=1 k=1
#O=O u= D w |t xQ @= u}= QO |rm smL l} =}; =t= "CU= =Qoty
O = Qoty
P1 C 2 Q Qo = \ki Qo = 'CU= =Qoty
P1 X C Q %x}[k 183
" W @ = k=1 k | U w k=1 k k | U
x =ov; "Sn = Pnk=1 Xk Ck s Q} } o (=))%u=yQ@

nX
+p nX
+p
p = ; ; . . . E ((Sn+p Sn) ) = E ((
1 2
2
Xk Ck ) ) = 2
Ck2E (Xk2 )
k=n+1 k=n+1
xH}DvQO " E (Xk2 ) = 1 =t=
nX
+p
E ((Sn+p Sn)2) !
Ck2 n!1 0
k=n+1
Qoty
= S| iO=YD Q}eDt x@ p=tDL= QO xH}Dv QO w L2 QO TB "CU= L2 QO |Wm x- r=@vO l} (Sn )n2N P = r
" Sn a:s:
!S '1073 - x}[k j@] Ov=pkDUt =y Xi w C
u J " U=
" O}vm `wHQ ut}=Q@ =D

? m 47 - xLiY x@ x}[k u}= QO ((=) h ] CQ =@F= |= @ Q
(Hewitt-Savage) S=w=U 'C} wy 01 uwv=k 93
" fSn = ; i:o:g = f pSnn > L; i:o:g qF

0 } , t " OvDU}v FX QO xm s} Q=O Q=mwQU |}=yOt=W}B =@ ?re=
x =ov; OvW=@ ' i:i:d . . . ; X2 ; X1 Q o=,qFt
X
n
fSn = ; i:o:g = fX1 =
0 Xk ; i:o:g 62 F (X2 ; . . .)
k=2
|va} 'FS QO =yOt=W}B u}= "O}vm pt=m =Q C =}RH fSn = ; i:o:g 62 F X u Q =v
0 }= @ @
\
1
FS = F (Sn; Sn+1 ; . . .)
n=1
s}y=wN|t p=L "s}OQm C@=F FX |wQ =Q h o Q wtrm 01 uwv=k ,q@k w FX FS x w |t x_Lqt "OvQ=O Q=Qk
m O W
s
" } Q=O R =}v |D=tOkt x@ OwYkt u}= x@ p}v Q s
|= @ " } Qw; CUO x@ FS |wQ 01 u v k w = l}
| n0 2 N Q o= s}} wo CWo}=H l} =Q :N !N |} wU wO =WwB w 11 `@=D l} %h} QaD 193
xm OW=@ OwHwt
n n0 =) (n) = n:
s}vm|t h} QaD CQ Y w u}= x@ =Q T : (R1; B1) ! (R1; B1) C W =ov 'OW=@ CWo}=H l} Q o=
T ((xn)n2N) = (x(n))n2N
s}U} wv|t w s}} wo uQ=kDt Ot=W}B l} =Q A "OW=@ |iO=YD Ov};Qi l} . . . 'X2 X1 s Q}

' } o %h} QaD 293
xm OW=@ OwHwt B 2 B1 l | } ' y =vDt CWo}=H Qy |= @Q Qo = 'A 2 SX
A = f(X1 ; X2; . . . ) 2 B g = fX ; X ; . . .) 2 B g = fT X 2 B g

1 2
A 62 F X | A 2 S X
" rw ' x =ov; "A = fSn = ; i:o:g s Q} 0 } o %p=Ft 393
u} QtD "CU= |}=to}U u= O}t l} S X %xQ=Ro 493
"F X SX x =ov; 'Sn = Pni=1 Xi Q o= %xQ=Ro 593

s U pYi 52
xm OW=@ w
|Q ] N 2 N s Q}
} o " } s Q}o|t C@=F =Q | y=vDt CWo}=H w A 2 F S s Q} } o %u=yQ@
n N =) (n) = n
xm w x@ CU= OwHwt
|Q ] B 0 2 B1 l A 2 F S } ' u J w
A = f(SN ; SN +1; . . .) 2 B 0g
Qo =
X
N NX
+1
B = fx 2 R1 : ( xi; xi; . . .) 2 B 0g 2 B1
i=1 i=1
x =ov;
A = f(X1; X2 ; . . .) 2 B g = fT X 2 B g;
" A 2 S X |va x 2 B () T (x) 2 B
} & u J w
:A = fXn > L n '| |= @ Q g 2 SX F S %p=Ft 693
x =ov; 'OvW=@ i:i:d . . . ; X2 ; X1 Q o= %x}[k 793
A 2 S X =) P (A) 2 f ; g: 0 1
xm CU= OwHwt An x-a wtHt ' n2NQ Q

y |= @ |QwO wD=Q=m h} QaD j@] %u=yQ@
An 2 F (X1; X2; . . . ; Xn )
CWwv w |t
u= D "n ! 1 |D P (AAn) ! kw 0 w
An = f(X1 ; . . . ; Xn ) 2 Bn g; Bn 2 Bn
(R1; B1) |wQ (X ; X ; . . .) (X1 ; X2; . . . ) =o s Q} | C = |

1 2
w x v; " } o t @ F =Q y =vDt CWo}=H p=L
CU= OwHwt x xDU B 2 B1 l A 2 S X w OvDU i:i:d = Xn Q OvDU

@ @=w } ' u J " y y = }R y u =Um} `} RwD |=Q=O
xm
A = fX 2 B g = fT X 2 B g
| y w
s U pYi
P (AAn) = P (fX 2 B gf(X1; . . . ; Xn ) 2 Bn g) s} Q=O p=L
= P (fT X 2 B gf(X ; X ; . . .) 2 Bng) 1 2
= P (fX 2 B gfX ; X ; . . .) 2 Bng)

1 2
= P (Af(X ; X ; . . . ) 2 Bng)
1 2
|y=vDt CWo}=H "CU= Q=QkQ@ nQ Q

y |= @ w | y=vDt CWo}=H Qy |= @ Q u}=Q@=v@ CU}v Bp= t W |w =UD u}=
s}v | =ND Q} R
8 m t ? v= =Q
>
< n i+2 i n 1 2
(i) = >
:i i> n 2
|r@k =
| y|w =UD Q@=v@ xH}D A~n = fT X 2 Bng = f(X2n ; . . . ; Xn+1 ) 2 Bn g
v QO x =ov;
P (AAn) = P (AA~n)
s} Q=O p=L " n ! 1 |D P (AA~n) !

kw 0 TB ' n ! 1 |D P (AAn) !
kw 0 u J w =t=
A(An \ A~n) (AAn) [ (AA~n)
=Hv; R= w ' P (A(An \ A~n)) ! 0 TB
P (An \ A~n) ! P (A)
Q OvDUy pkDUt
= }R ' A~ An =
w t=
An = f(X1; X2 ; . . . ; Xn ) 2 Bng
A~n = f(X2n ; X2n 1 ; . . . ; Xn+1 ) 2 Bng
u}=Q@=v@
~ ~
!1 P (An \ An ) = nlim
P (A) = nlim !1 P (An )P (An ) = P (A)
2
" P (A) 2 f ; g |va

0 1 }
| y s U w pYi 54
|rDv=mpQ@ sr u=yQ@ %3 -t}t[

pYi x "8"9"3
x=ov; "OW=@ =yOt=W}B R= xr=@vO l} fBng1n=1 F s Q} } o |rDv=mpQ@ sr 1893
P (Bn ; i:o:) = O = | =vD P1n=1 P (Bn ) Q

" 0 ' W @ y t o= hr=
" P (Bn ; i:o:) = =o P1n=1 P (Bn ) = 1 Ov = pkDU = Bn Q

1 x v; ' w W @ t y o= ?
%u=yQ@
xm CU= OwHwt N n0 CU= =Qoty

P1 P (B ) w s Q}o|t Qit " > hr=
QO | '
n=1 n u J " } Zw =Q 0
s} Q=O p=L
P1 P (Bn ) < "
" n=n0
\
1 [
1
P (Bn ; i:o:) = P ( Bk )
n=1 k=n
[1
P ( Bk )
k=n0
X
1
P (Bk ) < "
k=n0
P (Bn ; i:o:) = 0 TB Ow@ x=wNrO "> 0 u J w
" f (x) = e x `@=D |=Q@ u}ov=}t Q=Okt x}[k Q@=v@

- ?
9c : x > c > ; e x
x
0
1
= e c < =) e x > x:1 1
s}v | C = P (
T 1S B ) =
1
xmv}= =@F= Q
m t k @ F 1 C |= @
n=1 k=n
1 \
[ 1
P( Bkc ) = > 0
n=1 k=n
P ( T Bkc ) =
1
P O pkDUt R}v =yBnc 'Ov=piDUt =yBn
= r ' v= u J w =t= " 0 s}vm C@=F CU= |i=m Qw_vt u}O@
k=n
\
1
P( Bkc ) = 1k=n P (Bkc ) = 1k=n ( P (Bk )) 1
k=n
X
1
1k=n e P (Bk ) = exp( P (Bk )) = 0
k=n
O
" UQ |t C =@F= x@ smL ?}DQD u}= x@ w
P
1
P (Bn ) = 1 Q = }R
n=1
x}[k l} u=yQ@ %3 -t}t[

pYi x "9"9"3
x =ov; OvW=@ i:i:d . . . ; X2 ; X1 | iO =YD = Q}eDt Qo =

| y %x}[k 1993
E (jX1j) < 1 () P fjXn j > n; i:o:g = : 0
" CU= O}it OwN w

|O N x@ xm s}vm|t C@=F =Q |tr =OD@= C =@F= Q
|= @
X |iv = t v |iO=YD Q}eDt Qy |=R= x@ %sr 2993
X
E (X ) P (X > n) E (X ) + 1
n0
k = ; ; ; . . . A(k) = Ak = fk < X k + g O}v Q

x =ov; 0 1 2 ' 1 m Z i %u=yQ@
X XX XX X
P (X > n) = P (An ) = P (Ak ) = (k + )P (Ak ) 1
n0 n0 kn k0 nk k0

=ov; U= P kI O}v Q = s Q =iD =to} =yD q = Z wa = \@=wQ
x " k0 A(k) m Z i p L " }=xO m xO U= U | t a | H } D R= q @ QO
xH}Dv QO " U XU+ 1 xm OwW|t xO}O Kw[w x@
E (U ) E (X ) E (U ) + E (X ) + 1 1
P P (A ) Q + E ([) = + P kE (I ) = P (k + )P (A ) =
" k = }R 1 k0 A(k) k 1 1 t=
k0 k0
h} QaD j@] %x}[k u=yQ@
1 [
\
fjXn j > n; i:o:g = fjXn j > ng
m=1 nm
TB
[
!1 nmfjXn j > ng)
P fjXn j > n; i:o:g = mlim P (
X1
mlim
!1 P fjXn j > ng
n=m
O ` w sy =yXi
' v= } R D w
u J =t=
P (jXn j > n) = P (jX1j > n)

E (jX1j) < 1 w s j@ = mlim P
1
Qo = =yvD w Qo =
!1 n=m P fjX1 j > ng O O w Q} O P
j i r ] p L " W y= N N= L = r
P1 P1 P (jX j > n)
"0
!1 n=m P fjX1 j > ng Q \k Q = w Qot
= mlim n=0 1 o= i w o= } O W = y
sQ=yJ pYi
|]QW O}t= w p=tDL=
%xtOkt 14
P |tv
"OQ= o | F=Q I}y |Qo}O `wkw Tv=W Q@ =yv; R= |m} `wkw sOa =} `wkw 'OvW=@ pkDUt B w A O =W}
t B wO Qo =
O
" yO |t CUO x@ =Q Q}}eD |tm xR=
- O |]QW p=tDL= swyit w Ovvm|t Q}}eD `wkw |=yTv=W
v= ' p qkDU= ? =}e QO
w
Q ] x@ =
w O }R C =aiO x@ =Q V}=tR; Qo = "CU= 0 1 ' A\B p =tDL= w 0 4 ' A p=tDL= xm O}vm Z i ,Q qFt
25 QO |rm Qw] x@ B ' s}vm |UQ=w CU= xO=O MQ B =y v; QO xm =Q |}=yW}=tR; u; =yvD w s}vm Q=QmD pkDUt
xm Q u}= CLD B =tDL= O CU= =@a

P (A\B ) C@Uv '|rm Qw] x@ "OyO|t =aiO OYQO
Z i p xR=
- v= R= CQ
P (A) MQ C
CQ Y w A Q x B |]QW p=tDL= u Q =v C
x@ =Q \ W @ }= @ @ " U= xO=O MQ A
\ B)
P (B jA) = P (PA(A )
|a}@] | =yDi=}yQ umr CU}v Ot;Q=m Qo h Qa u P (A) = Q xD@ P (A) > Q s}v |
}O } D }= 0 o= r= " 0 o= m t h} QaD
p=tDL= h} QaD QO xD@r= xm s} Qw;|t w h} QaD G}=Dv

=Q j i R= =D wO =Hv}= QO " Cio s}y=wN xm OvQ=O OwHw |Qo}O
56
57 |]QW O}t= w p =tDL= sQ =yJ pYi
" OvDUy C}ty= |=Q=O hmQ=t | y = Q}HvR QO R}v w |rm |]QW O}t= w
%x}[k 114
"TmaQ@ w P (B jA) = P (B ) x=ov; 'OvW=@ pkDUt B A P (A) >

w w 0 Qo = hr=
x =ov; 'P (A1 \ . . . \ An 1 ) > 0 Qo = ?
P (A1 \ . . . \ An) = P (A1)P (A2jA1) . . . P (AnjA1 \ . . . \ An 1)
x y O =Wt ? C =@F= |= @ Q Q |t xH}Dv |]QW

"OO o p =tDL= w p qkDU= h} Q=aD R= hr= smL %u=yQ@
. . . P (A1 \ A2) >

' ' 0 ' P (A1) > 0 xm OyO|t xH}Dv P (A1 \ . . . \ An 1 ) > x O}v 0 m m
p =tDL= h} QaD Q@=v@ uwvm = "OvDUy h} QaDWwN |]QW | =yr=tDL= xt P P (A1 \ . . . \ An 2 ) >
- y = r w 0
s} Q=O '|]QW
P (A1 \ . . . \ An ) = P (A1 \ . . . \ An 1)P (An jA1 \ . . . \ An 1 )

Q |t pt=m <=QkDU= ltm x@ u=yQ@
"OO o w
| y t= O =W}B R= =Q=tW |y=vDt=v =} |y=vDt |=xr=@vO . . . ; B2 ; B1 Qo = pt=m p=tDL= x

- }[k %x}[k 214
s} Q=O 'OW=@ x=wNrO | tA Q Ovv Q

O =W}B o= w ' m R= i= =Q w OvW=@ |yD=v w sy O
R= = H wO @ wO x
X
P (A) = P (Bi )P (AjBi)
i
" P (Bi) > 0 xm OwW|t xDiQo |}=yBi |wQ ` wtHt xm
" OvDUy =OH sy A \ Bi A = S(A \ Bi) P A = A \ x s}v | x_ q

R= wO @ wO y x = w = r ' m m t L t %u=yQ@
i
P =t Q PBat | S | Q =tD h Qa |=Q W | } H o }w w ] W p L= } D Q@=v@ =Pr
X X
P (A) = P (A \ Bi) = P (AjBi)P (Bi) ; P (Bi) > : 0
i i
IQ o= " s}vm|t ? =NDv= P (I = n) = ( 12 )n (n = ; ; . . . ) x I K}L 1 2 m =Q Y O a O %p=Ft 314
Q}W ? D B = Q xmv; p=tDL= s}v |

" =Q = l C e n
m t ? D B Q @ O Q}
} =Q=tD x U= u; u t; W p L= m |= xmU OQ}o@ =Q n Q=Okt
# CU}J OyO xH}Dv

|]QW O}t= w p =tDL= sQ =yJ pYi 58
xmU ?=DQB QO P (Bn) = ( 21 )n x s} | Bn = fI = ng Q %pL

Q}W uOt; Ot=W}B A O}vm Z i " Q m v=O t ' o=
pmWDt =Hv x O}v x w s} =} P (A) s} w | P (AjBn ) = e n

}= QO m m H D " @ Q j@ =o O =
@ =Q y= N t " Z i ] x v; ' W @
p =tDL= (n; ) x]k x n = Q} = n = \ m = ; ; . . . x | = (m; n) xt C

1 - v @ w 1 W } 0 N w 1 2 m } y - y R= U=
w x}[ j@ T s
j i - C@U ( 12 )n (
k e n ) =tD (n; ) x]k x ( 12 )n e n
] B " }=xO=O v =Q 1 p L= 0 - v @ w
X1 !n
e n = e(e =1 = ) :
1
P (A) = 1 2
n=1 2 1 2
QO =yr=tDL= xvwo u}= "xv #CU= |vat |@ 'QiY p =tDL= |=Q=O Ot=W}B l} \ W Q x@ |]QW p =tDL= =}; p L =
X| iO =YD Q}eDt "O} Q}o@ Q_v QO =Q |= xrLQt wO V}=tR; u}= ,qFt "OvyO|t MQ |vwo =vwo p=Ut w =yW}=tR;
O =Wt
x y =Q Y |iO=YD Q}eDt x=ov; 'O Q}o@ =Q x Q= Okt X Qo = "s}vm|t x=ov CU= F `} RwD `@=D |=Q=O xm =Q
n x =Q O
u t; Q}W p=tDL= =@ |= xmU 0 x 1 Qo = ,qFt "CU= xDU@=w xx @ u; `} RwD xD@r= xm 's}vm|t
s}y=wN|t xrUt u=}@ QO wQ u}= R= " } s Q}o|t xOt; | y = Q}W O= OaD =Q Y s}v | = Q pkDU w x =
w m t ? D B t Q ] @ Q @
O = QiY p=tDL=
" W @ |=Q=O fX = xg C U= umtt OvJ Qy s}@=}@ =Q P (x; B ) = P (Y 2 B jX = x)
w X (x; y) = x F = B2 = R2 O}v Q s =U w C = Q | O s}v | q =
' w m Z i " }R @ j i r L |= @ r t m t V D p L
xH}D s}v | XNW

v QO w X ` w ` = Y X ` w w ` w Q XNW = x Y (x; y) = y
m t t =Q }R D @ D ' w @= D s-= D } R D uO m t | H @ "
C B
UO QO P (x; ) =tD O C = x Q Q u}vJt s | C x PX =tD O
|wQ =Q 0 p L= xR=
- v= ' @ F y |= @ y " } Qw; t UO @ =Q p L= xR=
- v=
O =W} =tD x s}v | =

| t B p = s}v | Q}@a P (Y 2 B jX = x)
L= m m t w x P (x; B ) s
aO= p L " m t D CQ Y @ =Q " } Q=O
xr =
- Y i QOX xmv =tD C x w u ?r] wy OD C u}a f(X; Y ) 2 C g pm x
}= p L= % U= v o }= t |O W pq U= " U= t W @
(X; Y ) =o X = x Q |va O =
x v; ' O =W} u Q dF (x) = C Q Q w ` (x; x + dx)
o= } ' W @ xO=O MQ t B }= o= " @ U= @= @ O W k=w
O =W} u =tD
t B Q} Q C (x) = fy : (x; y ) 2 C g `]kt
}= p L= "O Y Q \k Q Q | ` C
o Q= k QO o= i w o = OO o t k=w QO
R
C= P (C ) = +11 P (x; C (x))dF (x) = C Q Q p =tD P C P (x; C (x)) Q Q R}
r L QO " @ U= @= @ m p L= = r " U= @= @ v
u Q =v x 62 A Q C (x) = x 2 A Q C (x) = B =o C = A B Q
}= @ @ " o= = w o= x v; o= X N
Z
P (C ) = P (A B ) = P (x; B )dF (x) ()
A
xR=
- O l}
v= '? Q[rY=L xR=
- O x}[k Q@=v@ x=ov; OW=@ Q}PBxR=Ov=pQ@ 'C@=F
v= - B2B P (x; B ) Q
|= @ Q o= u wvm =
| Ov@rwtQi QO u}=Q@=v@ "Ovm|t () A; B 2 B Q Q

j Y O QO ' y |= @ xm CU= OwHwt B2 P =Dm |wQ | } p =tDL=
h} QaD O};|t OwHw x@ P (x; :) PX \ w x | =Dm =tD

w U D m } } p L= xR=
- v= =Q O B2 |wQ P =tD O p L= xR=
- v= ' r x =Ut
" s}vm|t
p =tDL= |=Q@ u=wD|t B 2F w : ( ; F ) ! ( 0; F 0) Q Q |r w x

OW=@ |iO=YD Q=OQ@ l} X o= D m Q ] @
QiY Q@=Q@ fX = xg =tD p L= C umt Ov Q

U= Q x | wta h Qa P (B jX = x) = P (x; B )
t J y 'O m =Q= r t } D
A 2 F0 Q y |= @ Q s =_D w x =W O = w w P (x; B ) Q | wta

} Q=O Q v= j i @ t =va Q O =
W @ O H t |= @ r t | t o= " W @
Z
P (fX 2 Ag \ B ) = P (x; B )dPX (x)
A
|va} 'CU= X\ w O
U D x W < =kr= p=tDL= xR=
- Ov= PX x m
PX (A) = P f! : X (!) 2 Ag ; A 2 F 0
s}Owm}vuO=Q x}[
- k OvtR=}v u; j}kO u=}@ |= @Q umr "Ovm|t swrat =Q P (x; B ) x m CU= |oS} w u}ty ,=k}kO w
" s}DUy
u= O}t |wQ Q=ODtqa -xR=Ov= l} w |y=vDt xR= v=

- O l} O}vm ZQi s}Owm}vuO=Q x
- }[k 414
(A) = 0 - Uw}B x@ C@Uv O}vm

Qo = |va} 'CU= jr]t xD Q O =
Z i " W @ = x wtHtQ} R
| y a R= F | =to} } U
A2F Q Q xm CU= OwHwt

y |= @ g: !RQP O
} BxR= v=p @ Q `@=D l} x=ov; " (A) = 0 x =ov;
Z
(A) = gd
A
" x@ C@Uv a:e: h = g

' x =ov; 'OW=@ |oS} w u}= =@ | Qo}O `@=D hQ o= w
s
% } Q=O h Yw= = u}= =@
Z i wQ OW=@ ( ; F; P ) |wQ |iO=YD Q=O @ Q l} X : ( ; F ) ! ( 0; F 0) s Q} } o %x}[k 514
A 2 F0 Q y |= @ Q xm CU= OwHwt ( 0 ; F 0) |wQ |k}kL Q}PBxR=Ov=pQ@ `@=D =} x=ov; "CU= C@=F B 2 F O}vm
Z
P (fX 2 Ag \ B ) = g(x)dPX (x)
A
P (B jX = x) u =ty g u PX x
}= " @ C@Uv a:e: 'g =h x =ov; OW=@ |oS} w u}= =@ |Qo}O `@=D h Qo = xwqa x@
" CU=
|wQ p =tDL= xR=

- O l}
v= =o (A) = P (fX 2 Ag \ B ) s} |
x v; " yO t Q= kQA 2 F 0 Q Q %u=yQ@ y |= @
x=ov; 'A 2 F0 |= @ Q PX (A) = Q Q C jr] xD w} PX x

0 o= = }R ' U= t - U B @ C@U R} C ( 0 ; F 0)
v v " U=
xQ= wty p=tDL= xR=

- O w
v= u J p L " = (A) = 0 |va} 'P ( fX 2 Ag \ B ) = 0 xH}Dv QO "P (X 2 A) = 0
Q |t xH}Dv ,=Qwi s}Owm}vuO=Q x}[k ltm x@ smL TB CU= |y=vDt `k=w

"OO o QO CU= |y=vDt
"OQ=O j@=]D xO U | = =yDr=L QO =t |O wyW lQO =@ |]QW p=tDL= Q h} QaD u}= xm s}yO|t u=Wv p=L
|= @
=yr=tDL= =@ ?}DQD x@ =Q . . . x2 x1' ' Q= Okt |}=Q=tW O= OaD \ki X O}v m Z i Q %p=Ft 614
X
1
pi = P fX = xig > 0 w pi = 1
i=1
xt
- y =Q F0 w
0 = fx1; x2; . . . g s}yO|t Q
Q= k " } s Q}o|t xDUUo |iO=YD Q}eDt =Q X |va} "OQ}o@
Cr=L u}= QO xm s}vm|t =aO= "s}vm|t Q=}DN= 0 |=yxawtHtQ} R
g(xi) = P (B jX = xi) = P (PB(f\XfX= =x gx)ig)

i
s} Q=O "s}vm h} QaD =yxi hr=Nt Q}O=kt |wQ =Q g OQ= v O |twRr CU= xOW RmQtDt =yxi |wQ PX u J w
Z Z
g(x)dPX (x) = g(x)IA(x)dPX (x)
A
X
0
= P (PB(f\XfX= =x gx)ig) :IA(xi)P (fX = xig)

xi i
X
= P (B \ fX = xig) = P (B \ fX 2 Ag)
xi 2A
"CU= w x]@=Q u=ty ,=U=U=

j i - g(xi) T A 2 F 0 Q B " y |= @ Q
' = R2 |va O = f (x; y) w | =o ` = = | =Y = Q}eD Y X O}v Q %p=Ft 714

} & W @ s-= D r J @ D @ iO D | y t w m Z i
K [ww @ "
RR
x P (A) = A f (x; y )dxdy A 2 F Q Q Y (x; y ) = y X (x; y ) = x F = B2 ' y |= @ w ' '
w | wka Q}@a P fY 2 C jX = xg Q um P fX = xg = C = u
"OQ=O O Hw r t D x w | O |= @ r ' 0 r L }= QO m O W t x }O
=o h > O}v Q x v; ' 0 m Z i
P fY 2 C jx h < X < x + hg = P fxP fxh <hX<<Xx<+ xh;+Yh2g C g

R x+h R f (u; y)dydu
= x Rh x+ch
x h f1 (u)du
=@ Qk Ok u O = l w h Q C X |=x}W=L |r=oJ `@=D f1 (x) = +1

, } D Q= t }= W @ J m
R 1 f (x; y)dy
o= " U= u; QO xm
h(yjx) = f (x;y) |va X Q x Y |]QW |r=oJ `@=D h Qa Ct x P R f (x;y) dy = C

f1 (x) } \ W @ } D U @ = r "
c f1 (x) @ U= Q@=Q@
S = f(x; y) : f1(x) = g Q 0 o= =t= 'f1(x) 6= 0 xm OwW|t h} QaD |v=tR h(yjx) s w | " } W t C}=Oy
Q
= }R P f(X; Y ) 2 S g = 0 x =ov;
ZZ Z Z +1
P f(X; Y ) 2 S g = f (x; y)dxdy = f (x; y)dydx
S Z +1 f (x)=0 1

Z 1
= f (x; y)dy dx
Zf (x)=0 1 1
= f (x)=0 f1(x)dx = 0
1
O m Q h} QaD u= D w |t u}=Q@=v@ Q Q_viQY CU= xOWv h} QaD

"O m h(yjx) x m |]=kv x- awtHt R= u= D w |t u}=Q@=v@
Z
P fY 2 C jX = xg = C
h(yjx)dy:
'OvW=@( ; F; P ) | =Y = Q}eD Y
|wQ X O}v Q s Q} | Q_
iO D | y |]QW O}t= wv
t w m Z i " } o t v QO =Q u m=
x s} w |
@ " y= NE (Y jX = x) |va s}DU X = x Q x Y O} Q | wka h Qa =@ x
t =Q } ' y \ W @ t= |= @ r t } D p vO @
C pkDU
U= =yW = t | x =@ O | w
} tR; R= |= r Y \ wD Ok E (Y jX = x) wy w
vO QO C t vq ] QO U t Q= t |O W Q ]
w Ov = xDUU Y
W @ X Q s}v | =o C
o w o= " fX = xg x | =yW = x =yv =y x
m t x v U= xO=O MQ m } } tR; @ D v; QO m
xH}D C p(y jx) = P fY = y jX = xg Q Q Y = y xmv =tD

v QO U= =o O = O X =x @= @ ' }= p L= x v; W @ x W xO=O
J w W @ t U
P
| =o h = h(y jx) O = jr] xD w} (X; Y ) Q wL u}t x E (Y jX = x) = y yp(y jx)
r B o= v y @ "
s Q| =
R +1 yh(yjx)dy = O = Q Q E (Y jX = x) x s =_D X = x Q x Y | Q
} R=O B
1
t p L " @ W @ @= @ m } Q=O Q v= \ W @ ] W
" ?r]t |rm Q=DN=U x@
O = |iO=YD
" W @ Q=O @Q l} X : ( ; F ) ! ( 0; F 0) ( ; F ; P ) | =Y Q}eD l Y O}v w |wQ iO D t } m Z i Q
u =ty Y \UwDt Q=Okt 'OW @ = ZwQi X = x Q dPX (x) = C Q Q O = x l R X xmv

t o= " @ U= @= @ W @ }O v }= p =tDL=
` wtHt Q@=Q@ Y |rm O}t= xm O | Q_ x wka E (Y jX = x) |va s Q |

UQ t v @ p =@ x x C
t " } ' }O o t u; p vO @ m U= | R}J
|va} OW=@ |RH | y = O}t= u}=
Z
E (Y ) = 0
E (Y jX = x)dPX (x)
x =ov; ' x 2 A Q Y IfX 2Ag O} o= " yO Q= k Q Y =

| H x@ w A 2 F 0 O}v m Z i Q
E (Y IfX 2AgjX = x) = E (Y jX = x)
"E (Y IfX 2AgjX = x) = 0 x =ov; 'x 62 A Q IfX 2Ag(!) =

o= " 1 OyO|t xH}Dv X (!) = x 2 A Q = }R
s} Qw;|t CUO x@ x=ov; s}yO Q=Qk j i w |rm O}t= QO =Q Y IfX 2Ag Y = x Q u Q =v

' | H @ o= }= @ @
Z
E (Y IfX 2Ag) = 0
E (Y IfX 2AgjX = x)dPX (x):
=}
Z Z
Y dP = E (Y jX = x)dPX (x):
fX 2Ag A
" Ovm|t u}at ,=k}kO =Q E (Y jX = x) x m CU= |oS} w u}ty `k=w QO
X : ( ; F ) ! ( 0; F 0) ( ; F ; P ) | =Y w |wQ iO D Q}eDt l} Y O}v m Z i Q %x}[k 814
Q Q x C
y |= @ w w g : ( 0 ; F 0) ! (R
m U= O H t
; B) ` = O @ D ' W @ O H t = w w E (Y ) Q O = |iO=YD
o= " W @ Q l}
Q=O @
A 2 F0
Z Z
Y dP = g(x)dPX (x):
fX 2Ag A
" CU= E (Y jX = x) u=ty g(x) u }= " CU= =Dm} PX x @ C@Uv a:e: g '
( 0 ; F 0) OD q
|wQ Q= t
R
O l =o (A) = fX 2Ag Y dP s} | Q A 2 F 0 Q
a xR= v= } x v; " yO t Q= k y |= @ Q %u=yQ@
-
PX x C@U |va (A) = xH}D

@ v P fX 2 Ag = =o PX (A) = Q
} ' 0 v QO w 0 x v; 0 o = xw qa x@ "CU=
"O Ww |t xH}Dv s}Owm}vuO=Q x}[

- k R= smL "CU= jr]t x- DUw}B
x =ov; B 2 F ( ; F; P ) w |wQ |iO=YD Q}eDt l} XQ o= %xH}Dv 914
E (IB jX = x) = P (B jX = x) a:e:[PX ]
s} Q=O Y = IB s} yO Q= k Q Qo = =Q} R
Z Z
A
E (IB jX = x) = fX 2Ag
IB dP = P (B \ fX 2 Ag)
Z
= P (B jX = x)dPX :
A
"s}yO|t Q=Qk |UQQ@ w

OQ t =Q xO U = Cr=L OvJ p=L
O N w x@ P (X = xi) > 0 =@ . . . ; x2; x1 Q=Okt |}=Q=tW O= OaD \ki XQ o= xm s}O}O %p=Ft 1014
'O Q}o@
P (B jX = xi) = P (PB(f\XfX= =x gx)ig) ; B 2 F:

i
R
Qo = xm s}vm|t x_Lqt C =@F= Q
|= @ " E (Y jX = xi) = P fX =xi g fX =xi g Y dP s}yO|t u=Wv p=L
1
A 2 F0
Z X Z
Y dP = P (X = xi) P (X = x ) Y dP 1
fX 2Ag xi 2A i fX =xi g
X Z
= P (X = xi)g(xi) = g(x)dPX (x)
xi 2A A
w CU= xDUUo Y xm X N = Cr=L QO " F= 2

0
w
0 = fx1; x2; . . . g x m s}=xOQm Z i ,=OQ OHt xD@r=
Cr=L u}= QO " s}@=}|t CUO Q =

| DxO U p t i w Q x@ OQ}o|t =Q . . . y2 y1 Q
' ' }O =kt
X P fX = xi; Y = yig
E (Y jX = xi) = yi P fX = x g
i i
X
= yiP fY = yijX = xig:
i
B \ W Q x@ Y | Q O} O = w w E (Y ) Q P (B ) > B 2 F O}v
] W t= W @ O H t o= " 0 w m Z i Q %p=Ft 1114
Cr=L u}= " E (Y jB ) = E (Y jX = ) O} Q X = IB O}v Q s}v |

1 yO Q= k w m Z i " m t h} QaD CQwY u}= x@ =Q
s} Qw;|t CUO x@ u}=Q@=v@ "CU= pw= p =Ft R= |Y=N
Z
E (Y jB ) = P (B ) 1
Y dP
B
E (Y jB ) = EP(Y(BIB) ) Qo
" }O CQ =@a x@
|]QW |r=oJ `@=D f (x; y) w | =o ` = = |

w s-= D r J @ D @ iO =YD = Q}eDt
| y Y X O}v Q
w m Z i %p=Ft 1214
=@
C F= |= @ " Q E (Y jX = x) = R +11 yh(yjx)dy w CU= OwHwt E (Y ) x s}v |m m t =aO= "OW=@ h(yjx)
xm O}vm xHwD
Z ZZ Z Z +1
Y dP = yf (x; y)dxdy = f1(x) yh(yjx)dy dx
fX 2Ag Z fZ
(x;y):x2Ag x 2 A 1
+1
= yh(yjx)dy dPX (x): (dF (x) = f1(x)dx)
A 1
|}=to}U u=O}t l} \QW x@ |]QW p=tDL= 24
xH}D
- v u} QDtyt =OD@= "CU= QD?U=vt |= v x wtv | =[i |wQ |a@=wD u= wva x@ |]QW | y = O}t= uDiQo Q_v QO
w CU= OwHwt u; ( ; F; P )
O}t= xm OW=@ |wQ |iO=YD Q}eDt l} Y Qo = "s}vm|t |Qw;O } =Q= p@k Ov@
PX x @ C@Uv a:e: g(x) = E (Y jX = x)

' x =ov; 'OW=@ |iO=YD X : ( ; F ) ! ( 0 ; F 0)
Q=O @ Q l}
xm (R ; B) x ( 0; F 0) C |a = g Q | u}a
@ R= U= @ D "OO o t t
Z Z
Y dP = E (Y jX = x)dPX (x); A 2 F0
fX 2Ag A
Y |]QW O}t= h(!) wQ u}= R= "h : ( ; F ) ! (R ; B) x=ov; 'h(!) = g(X (!)) O}v m Z i u Q wvm =
xm s}vm|t =aO= "OOQo|t h} QaD |wQ xmr@ CU= xOWv h} QaD 0 |wQ | fX = X (! )g
rw ' \ W Q x@ CU=
Z Z
Y dP = hdP A 2 F0
fX 2Ag fX 2Ag
xm O}vm xHwD C =@F= |= @ Q
Z Z
hdP = g(X (!))IA(X (!))dP (!)
fX 2Ag Z
= g(x)IA(x)dPX (x)
Z 0
Z
= g(x)dPX (x) = Y dP:
A fX 2Ag
CWwv Q} R CQ Y w x@ =Q Q}N= xH}D

- v u= D w |t ' fX 2 Ag = X 1 (A) w
u J
Z Z
C
hdP = C
Y dP ; C 2 X 1 (F 0) = F (X )
"Ovm|t swrat =Q X=x \ W Q x@ Y |]QW O}t= xm CU= |oS} w u}ty
|}=to}U u= O}tQ} R l} G w ( ; F ; P ) | =Y Q}eD l Y

OW=@ |wQ iO D t } O}vm Z i Q %x}[k 124
xm w x CU= OwHwt
|Q ] @ ' E (Y jG ) : ( ; F ) ! (R ; B) ` = =o C @ D x v; " U= O H t w w E (Y ) O}v m Z i "Q F
Z Z
Y dP = E (Y jG )dP
C C
"OQ=O s v = G \ W Q x@ Y |]QW O}t= CU==Dm} P x@ C@Uv a:e: x m `@=D u}= "C2GQ y |= @ Q

R 2GQ
CU=Q=tW Q}PBatH |=xawtHt `@=D l} x=ov; "(C ) = C Y dP s}yO|t Q=Qk C y |= @Q %u=yQ@
" };O |t CUO x@ s}Owm}vuO=Q x}[

- kP x C@U R= - Uw}B
smL =Pr "CU= jr]t xD @ v w
"s}t=v|t X x C@U Y | Q O}
@ v E (Y jX ) s}U w | E (Y jG ) = x wta G = F (X ) Q
] W t= =Q u; w } v t | H @ ,q t o=
PX - O = = x wtH x C@U x =o | =Y Q}eD X x C@U A | Q

xR= v= @ | y a t @ =tD A 2 F Q
v v } iO D t ' @ v ] W p L= o=
a:e: P (AjG ) = E (IAjG ) ?} Q u}t x C P (AjX ) = E (IAjX ) Qi

" D D y @ " U= Y
s}vm|t h} QaD Q} R CQ Y w x@ =Q !2 Q x wtHt

R= D - a %h} QaD 224
L! = f!0 : X (!0) = X (!)g:
x- awtHt "E (Y jX (!)) = C @ U= Q@=Q@ L! R=QD x-awtHt |wQ Y u}ov=}t Q=Okt %xm s}vm|t x_Lqt h} QaD u}= =@
w CU= R=QD = x wtHt

| y a R= |= }=O o x Q A 2 F (X )
Z Z Z
E (Y jX )dP = (L! |wQ \UwDt)dP (! ) = Y dP:
A A A
!p= t W xm Gs !2 D= ' Qy Q
|= @ "O=O s}taD u=wD|t R}v F G |r R= m |}=to}U u= O}tQ} R Q
|= @ =Q ?r]t u}=
R= CU= CQ =@a 'CU=
[!] = \fG : G 2 G ; ! 2 Gg:

" CU= |RQ= y - s x]@=Q 'uO @ w sD= l} QO `k=w QO " CU= |RQ= y T s qm l} u}=
w F = B2 w = [ ; ] [ ; ] s Q}
0 1 0 1 } o %p=Ft 324
G = B f; [ ; ]g = fB [ ; ]; B 2 Bg
0 1 0 1
% (x; y) 2 Qy Q =ov;
|= @ x
[(x; y)] = \fA [ ; ] : x 2 A ; y 2 [ ; ] ; A 2 Bg 0 1 0 1
= fxg [ ; ]: 0 1
"O m Q |krD [!] |wQ Y \UwDt Q=Okt =Q E (Y jG )(!) u= Dw |t u}=Q@=v@
s
" }=xO m u Q =}@ =Q |}=to}U u= O}t l} Q
\ W x@ |]QW O}t= | =y}oS} w u} QDtyt Oa@ x}[
- k QO
|wQ Q}PBp=QoDv= |iO=YD = Q}eDt

| y Y2 Y1 Y
w ' O}vm Z i Q %|]QW O}t= X=wN x}[k 424
% CU= Q=QkQ@ Q} R s=mL= x=ov; "OvW=@ F R= |}=to}U O}tQ} R

u= wO D E ( ; F; P ) w
& w |k}kL O
O= a= |= @ ' Q E ( Y1 + Y2jD) a:e:
= E (Y1 jD) + E (Y2jD) (i)
' Y1 Y2 a:e: =) E (Y1 jD) E (Y2jD)a:e: (ii)
' E (Y jD) = Y a:e: x=ov; 'OW=@ Q}PBxR=Ov= DY ' Qo = (iii)
' E (Y jD) = E (Y )a:e: x =ov; 'OvW=@ pkDUt D F (Y ) Q (iv)
w o=
" E (E (Y jE )jD) = E (Y jD) a:e: (v)
s} Q=O |]QW O}t= h} QaD j@] (i) %u=yQ@
Z Z
8A 2 D : A
E ( Y1 + Y2jD)dP = ( Y1 + Y2)dP
AZ Z
= Y1dP + Y2dP
Z A A Z
= E (Y1 jD)dP + E (Y2jD)dP
ZA A
= [ E (Y1 jD) + E (Y2jD)] dP
A
a:e:
x =ov; "CU= |iO=YD Q}eDt l}Z xm D = f! : E (Z jD) < g 2 D Z 0 w 0 s} Q}o (ii)
Z Z
0 > E (Z jD)dP = ZdP 0
D D
" Z = Y1 Y2 O Q}o } E (Z jD) a:e: |va P (D) = u Q =v

=
@ p L " 0 } 0 }= @ @
C Q P O D Y w (iii)w U= } BxR= v= ' u J
Z Z
8A 2 D ; E (Y jD)dP = Y dP
A A
"Y = E (Y jD)a:e: P = r
O pkDUt
' v= F (Y ) D w w
u J u}=Q@=v@ "CU= Q}PBxR=Ov= D E (Y ) C =
' @ F ` = x s}v | x w (iv )
@ D m m t H D
Z Z
Y dP = E (ID Y ) = E (ID)E (Y ) = P (D)E (Y ) = E (Y )dP
D Z D
a:e:
= E (Y jD)dP =) E (Y ) = E (Y jD)
D
D2DQ y |= @ w Q OvQ}PBxR=Ov= D E (Y jD) E (E (Y jE )jD)

' w |wO Qy (v)
Z Z Z
D
E (E (Y jE )jD)dP = D
E (Y jE )dP = D
Y dP
" DE Q
= }R
Y ( ; F ) ! (R; B) O = X : ( ; F ) ! ( 0; F 0) | =Y Q l X Q %x}[k 524

w W @ iO D Q=O @ } o=
x C
m w w h : ( 0; F 0 ) ! (R; B ) w | a = = o Q P O F | = Y Q } e D l
U= O H t u J @ D x v; ' } BxR= v= iO D t }
C QP O F Y =o a:e:Y = h(X ) Q Tm Q a:e:Y = h(X )

" U= } BxR= v= ' x v; ' o= a @ w '
Qo = CQ Yw u}= QO E (Y ) O}v
OW=@ OwHwt m Z i Q TmaQ@ "CU= K[=w smL Y = h(X ) Q %u=yQ@ o=
CQ Y w u}= x@ =Q hn (x) s Q | Y x
w } @ t =Q sO ' v Qo = w " Y = h(X ) =o h(x) = E (Y jX = x) s} Q
x v; ' yO Q= k
hn (x) := E (Y IfjY jnjgjX = x) s}v | h Qa m t } D
s}yO|t Q=Qk Qo = p=L

8
>
<limn!1 hn (x) OW=@ OwHwt OL Qo =
h(x) = >
: 0 xv Qo = w
hn (X ) = E (Y IfjY jngjX ) a:e: w CU= Q}PBxR=Ov= F0 h ' x=ov;
`k=w QO u}=Q@=v@ w CU= Q}PBxR=Ov= F (X ) Y IfjY jng =

' t=
= Y IfjY jng a:s:

hn(X ) a:e: !Y
" h(X ) a:e:
= nlim a:e:
!1 hn (X ) = Y u}=Q@=v@
|}=Qoty |=yx}[k 34
CQ Y w u}= O =
QO ' W @ F | =to} } U u= O}tQ} R l} D F s Q} } o
%x}[k 134
' E (Yn jD) " E (Y jD) x=ov; 'a:s: Yn " Y Yn w 0 Qo = (i)

' E (lim n inf E (Yn jD)

n inf Yn jD) lim x =ov; a:s: Yn 0 Qo = (ii)
a:s:
!1 E (Yn jD) = E (Y jD)
: nlim x =ov; 'E (Z ) < 1 jYn j Z Yn a:s:
w !Y w Qo = (iii)
%u=yQ@
s}yO|t Q=Qk "Ov=|OwaY R}v =yE (Yn jD) O

' v=|O waY =yYn u J w (i)
8
>
<limn!1 E (YnjD)(!) OW=@ OwHwt OL Qo =
u(!) = >
: 0 xv Qo = w
D 2D Q = C QP O D ` w
o= p L " x =@ O Q C Q P
U= } BxR= v= @= D R= |= r vO L = }R ' U= } BxR= v= O Du ' x=ov;
Z Z Z Z
udP = nlim E (Yn jD)dP = nlim
!1 D Yn dP = D Y dP
D Z!1 D
= E (Y jD)dP
D
" u a:s:
= E (Y jD) P
= r
(i) j@ =
] p L " Yn0 " nlim
!1 inf Yn x =ov; " Yn0 = kinf Y s Q} (ii)
n k
} o
n inf Yn jD) = nlim n inf E (Yn jD)

!1 E (Yn jD) lim
E (lim 0
a:s:
u}=Q@=v@ Z Yn 0 w Z Yn a:s:
!Z Y xm s}v=O|t (iii)
n inf Z Yn jD)
E (Z jD) E (Y jD) = E (Z Y jD) = E (lim
n inf E (Z Yn jD) = E (Z jD) limsup
lim n
E (Yn jD)
pqODU= =@ E (Y jD) limsup

n
E (Yn jD) a:s: xH}D v QO " s}vm|t P
h L =Q E (Z jD) u} Q i ] R= p L =
OW Oy=wN xH}Dv s}yO Q=Qk Yn = x Yn Q

| H @ =Q o= x@=Wt
E ( Y jD) limsup
n
E ( Yn jD)
" limsup
n
E (Yn jD) E (Y jD) liminf
n E (Yn jD) Q
x Nq @ = =}
" CU= Q=QkQ@ |y@=Wt x}[

- k s}vm u} Ro}=H X=x= DQ @ =Q o= %Qm PD 234
xH}Dv Yn a:s:
!Y w OW=@ CN=wvm} Q}PBp=QoDv= (Yn)n2N | iO=YD | y = Q}eDt x- r=@vO Qo = %Qm PD 334
" E (YnjD) a:s:

! E (Y jD) x m O Ww |tv
w ( ; F ; P ) = ([ ; ]; B; m) s Q} 0 1 } o %p=Ft 434
D = f[ ; ) ; [ ; ) ; [ ; )g
0
1
3
1
3
2
3
2
3
1
s} Q=O 'Y Q}PBp=QoDv= |iO=YD Q}eDt Qy |= @Q

8 R
> 0 0 1
! 2 [ ; 13 )
> 0 Y (! )dm(! )
3
>
< R
3 0
E (Y jD)(!) = > Y (!0)dm(!0) ! 2 [ 13 ; 23 )

2
3
3 1
>
: R 1 Y (!0)dm(!0)
>
3
3 2
3
! 2 [ 23 ; ) 1
s} Q=O p=Ft u= wva x@ w CU= Q}PBxR=Ov= D E (Y jD) x

' m CU= K[=w
Z Z " Z 1
#
E (Y jD)dm = 3
3
Y (!0)dm(!0) dm
[0; 13 ) [0; 31 ) 0
Z 1
= 3
Y (!0); dm(!0):
0
w ( ; F ; P ) = ([ ; ] [ ; ] ; B2; m m) s Q}
0 1 0 1 } o %p=Ft 534
D = B f ; [ ; ]g = fA [ ; ] : A 2 Bg
0 1 0 1
|iO=YD Q}eDt Q xm s}yO|t

|= @ u=Wv [(!1; !2)] = f!1 g [ ; ] s Q x_ q q@ x w] =t 0 1 }O m L t , k m Q v y
`@=D xm s}vm|t x_Lqt TOL u}= C=@F= |= @ "

R1
Q E (Y jD)(!1 ; !2 ) = 0 Y (!1 ; Y )dm(y ) Y Q P QoD ' } Bp= v=
A[ ; ] 2 D Q
0 1 Q
y |= @ p L " = CU= } BxR= v=
R1
Q P O B |v} w x}[ j@ !1 ! 0 Y (!1 ; y )dm(y )
@ i - k ]
s} Q=O
ZZ Z "Z 1 #
A[0;1]
E (Y jD)(!1 ; !2)dm(!1 ; !2) = Y (!1; y)dm(y) dm(!1)
ZZA 0
=
A[0;1]
Y dP:
' fYn g xH}D v QO xm Yn a:s:

! 0 xm O}vm =O}B w
|Q ] =Q Yn | =Y = Q}eD
0 iO D | y t %u} QtD 634
O = Q
" W @ = o =w a:s: E (Yn jD) | C rw U= CN=wvm} Q}PBp=QoDv=
s_vt |]QW p=tDL= 44
RHt
= = x wtHt
| y a Q O =
|= @ " W @ F R= |}=to}U u= O}tQ} R l} DF w p =tDL= | =[i l} ( ; F ; P ) s Q} } o
s} Q=O An 2 F s
' y R=
[
1
P( AnjD) = E (IS A jD) = Nlim
!1
E (ISN jD)
1
n=1 n An
1 1
X
N X
N
= Nlim
!1
E (IAn jD) = Nlim
!1
P (AnjD) a:s:
n=1 n=1
'C =@U=Lt u}= QO =t= "CU= ( ; F; P ) |wQ p - Ov= l} =H xty =@} QkD P (:
=tDL= xR= , jD) 'C@=F ! Qy |=Q@ u}=Q@=v@
P
QO = r w "OQ=O O Hw w =yv; QP=
R= | } B v VQ =tW O= OaD w CU= xDU@=w fAng x =@ -r vO x@ QiY xR=
- O =@
v= | y a= x wtHt
s}W=@ xDW=O =y! xt

- y =@} QkD
, |= @ O @Q w s}y=wNv =
QO k X N = Cr=L
[
1 X
1
P( AnjD) = P (AnjD):
n=1 n=1
s Q |t
" }O o u; p =@vO x@ =t xm CU= | R}J u}= =t= "F An QO |= RHt x- r=@vO |= @ Q
Qo = s}t=v|t D \ W Q x@ F |wQ s_vt |]QW p=tDL= -xR=Ov= l} P (:jD)%h} QaD 144

& P (AjD) = P (AjD) a:s: A 2 F Q ' y |= @ Q (i)
O =
" W @ F |wQ p =tDL= O l}
xR= v=
- P (:jD)(!) ! 2 ' Qy |= @Q (ii)
OW=@ |iO=YD Q=O @ Q l} Y w OW=@ D \ W Q x@ F |wQ s_vt |]QW p=tDL= l} P Qo = %x}[k 244
x =ov; 'CU= OwHwt E (Y ) x m |Q ] w x@
Z
() E (Y jD)(!) = Y (!0)P (d!0jD)(!) a:s:
'p= QoDv= uOw@ |]N |oS} w Q@=v@ TB "CU= Q=QkQ@ h} QaD (i) CtUk j@] x =ov; Y = IA Q o= %u=yQ@
=Q Yn " Y xm =QfYn g1n=1 = `@=wD x- r=@vO 'OW=@ Q}PBxR=Ov=

- U
xO Y 0 Qo = p=L "CU= Q=QkQ@ sy = `@=wD
xO U |= @ Q
s} Q=O CU=Q QO p= QoDv= w AJ QO |]QW O}t= |= @ Q MCT j@ ] xH}DvQ s Q}o|t Q_v

O " } QO
Z
!1 Yn (! )P (d! jD)(! )
!1 E (Yn jD)(! ) = nlim
E (Y jD)(!) = nlim 0 0
Z
= Y (!0)P (d!0jD)(!)
CWwv w |t
u= D ' Y |Q =}DN= `@=D x@ u; `}UwD Q
|= @ " CU= Q=QkQ@ C@Ft Q}PBxR=Ov= `@=wD s=tD Q
|= @ TB
"O wtv xO =iDU= uO @ w |]N C}Y=N R= w Y =Y+ Y

( ; F; P ) |wQ |i=[= |]QW Qx=
uO m i [= uw @ O s_vt |]QW p=tDL= `} RwD xm CU}v sRq |rm Cr=L QO
O = w w
" W @ O H t
O =
" W @ F R= |}=to}U u=O}tQ} R l} DF w Y : ( ; F ) ! ( 0; F 0) s Q} } o %h} QaD 344
Qo = CU= D Q x Y Q | Q =tD
\ W @ |= @ ] W p L= -
xR= v=O l} P^ (:jD)
' B 2 F0 Qy |= @ Q P^ (B jD) = P (Y 2 B jD) a:s: (i)
O =
" W @ F0 |wQ p =tDL= O l}
xR= v=
- !2 Qy |= @ Q P^ (:jD)(!) (ii)
" CU= P u =ty ,=k}kO P^ Y = id ( 0; F 0) = ( ; F )
' w Qo = xm OwW xHwD
x@ Y |= @Q s_vt |]QW p=tDL= xR=

- v=P^ (:jD) ' : ( 0; F 0) ! (R; B) Q
O l} w o= %x}[k 444
=o O = w w E ('(Y )) x | w
x v; W @ O H t m DQ Y QO ' W @ O = D Q
\ W
Z
E ('(Y )jD) = '(!0)P^ (d!0jD)(!) a:s:
" CU= p@k x}[

- k u=yQ@ x@=Wt pq ODU= %u=yQ@
F R= |}=to}U u= O}tQ} R l} D F ( ; F; P ) w |wQ |iO=YD Q}eDt l} Y Qo = %x}[k 544
" CU= OwHwt D \ W Q x@ Y |= @ Q s_vt |]QW p=tDL= x=ov; 'OW=@

" CU= ! R= |a@=D u}= "O}vm ? =NDv= =Q P (Y rjD) R= u=O o @ Q Q l} r2QQ Q

y |= @ %u=yQ@
(r < s) s}v | m t h} QaD Q} R CQ Y w x@ =Q Nr;s x -a wtHt r; s 2 Q |= @ Q
Nr;s = f! : P (Y rjD)(!) > P (Y sjD)(!)g

QO " P (Nr;s) = T a:s: E (IfY rgjD) E (IfY sg jD) u Q =v IfY rg IfY sg x s} |
0 B ' }= @ @ m v=O t
Qy Q N1 2 D x O}v x w C Qi
|= @ w m O = x wtH l (r; s 2 Q) N1 = [r<s Nr;s xH}D
m H D " U= xR= v=
Y - @ a t } v
' |] Q W p=tD Q wvm | Qot x}[ j@ C r

L= |= @ = } }= wa ` = l P (Y rjD)(! ) ! 62 N1
y - k ] " U= R= |O Y @ D } '
s} Q=O
P (Y njD)(!) " 1 a:s: X
P (Y njD)(!) # 0 a:s: u
N = N1 [ N2 s Q} P (N2 ) = } o " 0 w N2 2 D x =ov; N2 = f! : O W =@v Q=QkQ@ =

u } X gQ o= u}=Q@=v@
s}vm|t h} QaD =Q Q} R `@=D w
8
>
<lim r#x P (Y rjD)(!) ! 62 N
F (xjD)(!) = > r2Q
:g(x) !2N
" CU= R |wQ x=wNrO `} RwD `@=D l} g(x) x m
=@ Q@=Q@ u; `} RwD `@=D xm O

|=xR= v= u; =Q P^ (:jD)(!) x =o -v } p =tDL= O
xR= v= '
- !2 Qy Q
|= @ p L =
x ! F (xjD)(!)
" s}vm |UQQ@ O}=@ =Q R}J wO " s}vm|t h} QaD 'CU=
" CU= R |wQ `} RwD `@=D l} F (:jD)(!) ! 2 ' Qy Q

|= @ %sr 644
O Q}o@ C@=F
" } =Q ! 62 N T w |t C@=F hrN u=yQ@ =@
B "O W w ?r]t
j i ' !2N Q o= %u=yQ@
x =ov; "s}vm|t ? =NDv= =Q r 2 (x; y) \ Q:x < y s Q} } w wvm}

o %uO @ = 1
F (xjD)(!) = s#lim
xs2Q
P (Y sjD)(!) P (Y rjD)(!)
s #lim
ys 2Q
0
P (Y s0jD)(!) = F (yjD)(!):
0
|UQQ@ =yxr=@vO |=Q@ =yvD =Q CU=Q |oDUw}B CU= |i=m CU= =wvm} F (: jD)(!) w
u J % CU=Q R= |oDUw}B 2
rn > xn > x = (rn )n2N @ = w x =@vO

| } o -r 'xn # x x (xn)n2N x =@
m -r O
vO w x W xO=O xQ y |= @ " Q s}vm
u}=Q@=v@ "rn # x x m OQ=O O Hw w
F (xjD)(!) nlim !1 F (Y rn jD)(! ) = F (xjD)(! ):

!1 F (xnjD)(! ) nlim
"O W w |t C@=F CU=Q Q
h ] R= |oDUw}B w
!1 F (xnjD)(! ) xH}D
F (xjD)(!) = nlim v QO
CU= =wvm} F (:jD)(!) w

u J %uO @ p t v w = Q 3
F (njD)(!) P (Y njD)(!) " 1
xm OyO|t xH}Dv n ! 1 |D F ( njD)(!) !

' kw 0 , @=y =Wt w
n! 1
lim F (xjD)(!) = : 0
p =tDL= l} `k=w QO CU= F (:jD)(!) u; `} RwD `@=D xm P^ (:jD)(!) x =o -v } p =tDL= xR=

- v= O %sr 744
" Ovm|t h} QaD =Q D \ W Q x@ Y s_vt |]QW
|va} 's}vm C@=F =Q (i) O =} @ " CU= Q=QkQ@ hrN u=yQ@ =@ s_vt |]QW p=tDL= h} QaD QO (ii) CtU k %u=yQ@
P^ (B jD)(!) = P (Y j 2 B jD)(!) a:s: B 2 B Q

" ' y |= @ Q s}vm C@=F O}=@
B = S (xn; yn] Q C Q Q B = ( 1; x] Q x] u | Q =tD

k
x]
- @=Q ' o= " U= Q= k @ |= @ @=Q }= ' ] W p L= |= @ Q MCT j@ ]
n=1
l} M =o :M = fB 2 B : C Q Q (i)g s Q} C Q Q wv w |]
x v; U= Q= k @ } o " U= Q= k @ R y uO @ N C}Y=N Q@=v@ jwi
C =@F= =Pr &O W w |t pt=m sr C =@F= w " M B xH}D v QO " Ovm|t O}rwD =Q Bx m |v=O}t pt=W CU= =wvm} xOQ
-
"O Ww |t s=tD R}v x}[k
w E 2 B Q x wtH l Q C u} Rwr |=[i l ( 0; F 0) O =[ l %h} QaD 844

p @ -a t } o= ' U= } xR=
- v= | i }
"B(E ) = fA 2 B : A E g xD@ O = w w : ( 0; F 0) ! (E; B(E )) |=xR=Ov= sU}iQtwR}=

r= " W @ O H t
" CU= Q}PBxR=Ov= R}v u; uwQ=w xm CU= Q}PBxR=Ov= |} wUwO `@=D l} |va}
|}=to}U u= O}t F0 w |v=DUyr | =[i Q}PB|}=OH pt=m l} QDt | =[i l} 0 Qo = %x}[k 944
x =ov; =
R @ | y a= x wtHt \UwD xOW O}rwD |}=to}U u= O}t ' F 0 = ( ) |va } OW=@ 0 |wQ pQ@ |=yxawtHt
" CU= u} Rwr | =[i l} ( 0 ; F 0)

"OvDUy u} Rwr = =[i

| y C [ ; ] (R1; B1) (Rn; Bn)
0 1 w ' = =[i
| y %xH}Dv 1044
s}vm|t h} QaD =Q Q} R l} QDt R1 |wQ %xH}Dv u=yQ@
jxn ynj X
1
d((xn ); (yn)) = 1
n=1 2 1 + jxn yn j
n
w Qo = CU= =Qoty R
1 QO =yQ=OQ@ R= |=xr=@vO "Ovm|t h} QaD R1 |wQ ?Q[rY=L |SwrwB wD l} l} QDt u}=
xm |}=yxr=@vO "O};|t CUO x@ |oO=U x@ R}v R1 Q P |}=OH "OW=@ =Qoty V}=yxirw-t

| } B R= s= m O Qy Qo = \ki
"B1 = ( ) x s} =W C | = =yv

m yO u v U= i m D " OvDUy p=oJ R1 QO OvQ=O =} wo QiY Q}e QY=va |y=vDt O=OaD
Q B1
Q= k = x wtH Q x Q | Q O =
QO R @ - a t y m O m UQ @ } @ =yvD ( ) B1 C =@F= Q
|= @ " B1 ( ) x m CU= K[=w
(r1; s1) (r2 ; s2) . . . (rn ; sn) pm W x@ |=yxawtHt R= |}=Q=tW `=tDH= R=@ x- awtHt Qy uwJ "OQ}o|t
" CU= C@=F smL 'OvQ=O Q=Qk B1 QO =yxawtHt u}= w CU= ri ; si 2Qx m
Q}e QO " ! !0 2

w Qy Q
|= @ ' d(!; !0) 1 s}vm|t Z i Q C}rm uO=O CUO R= uw @ O %x}[k u=yQ@
O} Q}o@ w O}vm ? =NDv= 0 f!n g

QO =Q p =oJ x- r=@vO O} Q}o@ Q_v QO =Q = 1+d d l QD } w
t CQ Y u}=
': 0 ! [ ; ]N 0 1
'(!) := (d(!; !n ))n2N

xm CU= |i=m u}=Q@=v@ "CU= [ ; ]N
0 1 Q
p @ | y a = x wtHt |wQ x@ 0 R= sU}iQtwty l} ' xm O=O u=Wv u=wD|t
|=xR= v= O sU}iQtwR}=
: ([ ; ]N; B([ ; ]N)) ! (E; B(E ))

0 1 0 1
| =[i =@([ ; ]; B[ ; ]) x m v
0 1 =W = w |
0 1 = u s}v h Qa E 2 B x
}= uO=O u v @ u= D t =Q Q m }= " m } D m =Q
([ ; ]N; B([ ; ]N)) =o Q

0 1 0 1 =H C x O sU} Q R (f ; gN; B (f ; gN) | w Q
v; = } R "O=O s v= U= |=xR= v= i tw }= 0 1 0 1 r v @
s Q u C (f ; gN; B (f ; gN)) = (f ; gNN; B (f ; gNN)) =

y | N; }= w U= 0 1 O sU} Q R
0 1 0 1 0 1 @ |=xR= v= i tw }=
Ash x O}v w
195 X 'C O sU} Q R ([ ; ] B ([ ; ])) =
@ m ` HQ " U= |=xR= v= i tw }= 0 1 0 1 @
w F | =to}} U u= O}tQ} R l} D ' u} Rwr | =[i l} ( 0; F 0) s Q} } o %x}[k 1144
Y : ( ; F ) ! ( 0 ; F 0)
" CU= OwHwt D \ W Q x@ Y Q
|= @ P^ (:jD) s_v t |]QW p=tDL= l} x=ov;
w
CQ Y u; QO " W @ O = |}=to}U u= O}tQ} R l} DF w u} Rwr |=[i l} ( ; F) Q o= %xH}Dv 1244
Y = id O Q}o } w
@ "OQ=O O Hw D Q x@
\ W F |= @Q s_vt |]QW p=tDL= l}
|=xR= v= O sU}iQtwR}= l} w E2Bl } %x}[k u=yQ@
: ( 0; F 0) ! (E; B(E ))
l} P~ (:jD) s Q}
} O = |t
o " W @ ( ; F; P ) |wQ |iO=YD Q}eDt l} (Y ) X N = Cr=L QO " CU= xOW xO=O
s}vm|t h} QaD Q} R CQ Y w x P^ s_v @=Q t |]QW p=tDL= u}=Q@=v@ "OW=@ (y) |= @ Q s_vt |]QW p=tDL=
8A 2 F 0 : P^ (AjD)(!) = P~ ( (A)jD)(!)
P^ (:jD)(!) =
p L " CU= h} QaDWwN P^ TB "CU= Q}PBxR=Ov= B(E ) '
1 =Q} R ' (A) 2 B x m O Ww xHwD
xm s}vm C@=F s} Q=O R=}v =yvD "CU= !2 Qy |= @ Q ( 0 ; F 0) |wQ p =tDL= xR=

- O l}
v=
P^ (AjD)(!) = P~ ( (A)jD)(!)
= P ( (Y ) 2 (A)jD)(!) a:s:
= P (Y 2 AjD)(!) a:s:
O
" W C@=F smL w
(Jensen) uUvH |w=Ut=v 54
" CU= Q}PBxR=Ov= u}=Q@=v@ 'CU= xDUw}B =yxR=@ |wQ ? OLt `@=D %x}[k 154
x s < t < u O = OL
=ov; ' w W @ ? t s}vm Z i Q %xQ=Ro 254
'(t) '(s) '(u) '(t) :

t s u t
l} X O}v m Z i Q (b = +1 = a = 1) O } =
" W @ ? OLt ' : (a; b) ! R s Q} } o %x}[k 354
O = Q P O X Q =o
W @ } BxR= v= o= x v; "OQ}o|t Q= kQ (a; b) Ok x
QO u; Q= t m OW=@ |iO=YD Q}eDt
'(E (X )) E ('(X )):

L(x) '(x) x m CU= OwHwt L(x) \ N ' CU= ? ' w = E (X ) 2 (a; b) s Q} %u=yQ@
OLt u J } o
P
= r " '(E (X )) = L(E (X )) = L() = '() p L " w
'(E (X )) = E (L(X )) E ('(X )):
" E (X 2 ) (E (X ))2 %p=Ft 454
OW=@ ? OLt ' : (a; b) ! R ` = @ D s}vm Z i Q %|]QW O}t= |=Q@ uUvH |Q@=Q@=v x}[k 554
x =ov; OW=@ F | =to} } U u= O}tQ} R l} D F s Q} } o OW=@ Q}PBp=QoDv= |iO=YD Q}eDt ' a<X <b w
E ('(X )jD) '(E (X jD)) a:s:
x=ov; "OW=@ D \ W Q x@ X |= @ Q s_vt |]QW p=tDL= l} P^ (:jD)(!) s Q} } o %u=yQ@
Z
E ('(X )jD)(!) = '(x)P^ (dxjD)(!) a:s:
RZ
'( RxP^ (dxjD)(!)) a:s:
= '(E (X jD)(!)) a:s:
Q}eDt Y w Q}PBxR=Ov= F| iO=YD Q}eDt l} X '|}=to}U u= O}tQ} R l} D F s Q} } o %x}[k 654
x =ov; OW=@ Q}PBp=QoDv= |iO=YD | y = Q}eDt XY X s}v w Q

m Z i " W @ O = Q}PBxR=Ov= D| iO=YD
E (XY jD) = Y E (X jD) a:s:
Qo = " X = X+ X s}yO|t Q=Qk xvQo = w X 0 s}vm|t Z i Q C}rm uO=O CUO R= uw @ O %u=yQ@
CUO x@ xH}Dv ,=Qwi uO @ w |]N |oS} w =@ 'R}v xO U= `@=wD Q CU= Q=QkQ@

|= @ " A 2 D x Y = IA
|w =UD ' m '
Q m XYn " XY =o Yn " Y x O

= x@ =@ w x v; ' m =
W @ xO U = `@=wD x =@ (Yn ) Y Q
R= |= r vO = O |
w 0 o = p L " }; t
Y = Y + Y s} | Q =o O = |r yO t Q= k x v; ' W @ m |iO=YD Q}eDt Y Q O | C x sm MCT Q

o = " }; t UO @ L ' uO @
s Q| = x Y
" } @ Y + Q sm
t Q m @ w |= @ =Q L w
sHvB pYi
xDUUo QDt=Q=B =@ pov}DQ=t
xtOkt 15
=Hv}= QO CU}v O@ 'OW=@|t Q=tk |R @ = l} Q Q

QO uO @ |= @ | D= S QDU= uO m = Q O}B p=@vO x@ p=tDL= x- } Q_v xm =Hv; R=
"s}yO Q=Qk |UQQ@ w

OQ t =Q |r=Ft w s}OQoR=@ |N} Q=D = xv}tR x@
| y
|va} OvW=@ xmU ? D B= Q x@ w Q pkDUt |iO=YD

\ @ t | y = Q}eDt . . . Z2 Z1 O}v Q %p=Ft 115
' ' m Z i
Q
\ W QqO b Q=Okt 'xmU ?=DQB u}t= n QO s}vm Q
Z i "1 p =tD = Zi =
p L= @ p =tD = Zi = 1 w p L= @ 1
| D= S QDU= l} "s} R=@|t QqO b Zn =

' 1 Qo = w s} Q@|t QqO b Zn = Q x |va u x s}v | Ov
' 1 o= m t }= @ ' m t | @
u}= xm CU= ?r=H "s}vm | Ov@ Q

\ W O}=@ QOkJ 'xmU = Q u}
? D B t n+ x O w | = x =t
1 QO = m } o t t @ Q k |R @
s= n+ =Q
1 ? D B QO | Ov@ Q
\ W Q= Okt |va} "CU= xDU@=w xm = Q n xH}D x} O Q n x w =
U pw= ? D B - v rw= t; @ @ u v k
Q=tk =
|R @ | D S QDU= l} |rm Cr=L QO " s}vm|t u}}aD |r@k | =yW}=tR; R= pY=L C a = q]= w G}=Dv |wQ R= =Q
QO xm CU= |rwB Q= Okt bn (Z1 ; . . . ; Zn ) xm CU= bn : f ; + gn ! [ ; +1) ` w

1 1 0 @= D R= |= r x =@vO
77
xDUUo QDt=Q=B =@ pov}DQ=t sHvB pYi 78
|R @ = n R= Oa@ =t x- }=tQU 's}vm Q

`w W S0 x} x= Q
- rw= - } t U =@ =Q |R @ = Qo = "s}vm|t | Ov@ Q
\ W s= n+ xr Q
1 - L t
- Uw x@ xm CU= |iO=YD Q}eDt l} Sn |va}

x- rO=at xr}
Sn+1 = Sn + Zn bn(Z1 ; . . . ; Zn ) ()
Qo = w O W w |t sm Sn x = Q
- } t U R= QqO bn (Zn = ' 1 )s }R =@@ Qo = s= n+ =
1 |R @ QO |va} w |t h} QaD
"O W
QO w s} Q@@ s= n + xr Q
1 - L t QO s}Ovtxkqa xm CU= swrat "OOQo|t R
xOw i= Sn x @ QqO bn (Zn = ) s Q@
' 1 } @
s=n xr Q =D xOt; CUO x@ x- }=tQU

- L t R= O}=@ s= n + xr Q Ov Q
1 - L t QO | w Ok @ \ W p B Q= t xm CU= uWwQ ut[
bn (Z1; Z2 ; . . . ; Zn ) Sn |va
" } OW=@v QDW}@ Sn |va}
CQ a =@ x@ "OUQ|t QiY x@ x= Q
V= } t U R @ Q = =tk xm |v=tR |va} "CU= |oDUmWQw u=tR 'Qo}O ?r]t
xm CU= u}= ?r=H Q=}U@ w

p-= U l} "Sn = 0 xm CU= |Q @ = u}rw= '|oDUmWQw u tR = |va}n Qo ' }O
# CU}J OwW CUmWQw xQNq=@ R=@ Q=tk xmv}= p=tDL= =} "CU= QOkJ P (n < 1)
"OQw; Q} R x}[
- k QO u= D w |t =Q x =at =@ xOW h} QaD x- r=@vO |oS} w l}
- rO
%x}[k 215
E (Sn+1 jSn; Sn 1 ; . . . ; S1) = Sn a:s: x =ov; ' p = 12 Q o=
E (Sn+1 jSn; Sn 1 ; . . . ; S1) Xn a:s: x=ov; 'p 12 Q o=
xm s}vm}t x_Lqt %u=yQ@
E (Sn+1 jZn; . . . ; Z1) = E (Sn + Zn+1 bn (Z1; . . . ; Zn)jZn ; . . . ; Z1 )

= E (Zn+1 bn(Z1 ; . . . ; Zn )jZn; . . . ; Z1) + Sn
= bn(Z1; . . . ; Zn)E (Zn+1 jZn; . . . ; Z1) + Sn
= bn(Z1; . . . ; Zn)E (Zn+1 ) + Sn
p = 12 |= @ Q u}=Q@=v@ bn 0 =t= E (Zn+1 ) < =o p < 12 Q | E (Zn+1 ) = =o p = 12 Q

0 x v; ' o= rw 0 x v; ' o=
s p 21 Q E (Sn+1 jZn ; . . . ; Z1 ) = Sn a:s: s

} Q=O |= @ w } Q=O
E (Sn+1 jZn ; . . . ; Z1 ) Zn a:s:

w |t C@=F smL
"O W F (S1; . . . ; Sn ) = F (Z1 ; . . . ; Zn ) u Jw =t=
xDUv=O |=yOt=W}B |}=to}U u=O}t x-OvyO u=Wv Fn O}v m Z i ' Q OvDU}v pkDUt =yOt=W}B |Dkw QD}rm Cr=L QO
Oa@ R=@ Q=tk x- }=tQU Sn x Fn = F (S1; . . . ; Sn) |va

m } OW=@ 's= n = xa
|R @ - iO - Uw x@ xOW
=D R=@ Q=tk xr}
Qo = s}} wo hYvt =
=Q |R @ CQ Y w u}= QO " CU= |R @= n R=
Sn = E (Sn+1 jFn)
Qo = s}} wo hYvtQ}e
Sn > E (Sn+1 jFn)

Qo = s}} wo ? wr]t w
Sn < E (Sn+1 jFn):
Xn s}v Q O = |}=to}U
m Z i " W @ |=yv=O}t R= |rwRv Q}e x- r=@vO l} Fn s Q} } o pov}DQ=t h} QaD 315
Qo = s}} wo pov}DQ=t l} =Q fXn; Fn g x =@ -r vO x =ov; "OW=@ Q}PBxR=Ov= Fn | iO =YD Q}eDt l}
' E (jXn j) < 1 |va } OW=@ Q}PBp=QoDv= 'Xn hr=
" Xn = E (Xn+1 jFn) a:s: ?
"CU= Q=oR=U Fn = Xn s} w |
@ } o t w s}t=v|t QDr}i l} =Q Fn | R = x =@vO
rw v v - r CQ Y w u}= QO
w |t ,qFt
R= u= D "OO o Q |t pY=L | QDtyt G}=Dv =D OwW|t Q Q
xO=OQ= k | D| k \ W ' w Q hr= Q
\ W | H = x@ ,qwtat
Q |t pY=L R}v
"OO o sup
n
E (jXn j) < 1 Q
\ W u; R= xm Owtv xO =iDU= CN=wvm} Q P QoDv=
| } Bp=
" sup
n
E (jXn j) < 1 Q o= s}} wo Q=Ov=Qm L1 Xn | =Y =Q iO D | y = Q}eDt x- r=@vO %h} QaD 415
x =ov; 'm>nQ C Q o= " i o u= D w |t R}v | Qo}O xH}D

- v ? \ W R= Q
E (Xm jFn) = E (E (XmjFm 1 )jFn) a:s:
w pov}DQ=t |oS} w Q@=v@ =Pr

uO @ w Fm 1 Fn Z i Q j@] xH}DvQ O w m 1 n Q = }R
E (Xm jFn) = E (Xm 1 jFn) a:s:

CWwv u= D E (Xm jFn) = E (Xn+1 jFn) = Xn a:s: s

w |t ,qO=at =} " } Q=O <= QkDU= x@
Z Z Z
8 A 2 Fn; m n : Xn dP = E (Xm jFn)dP = Xm dP:
A A A
x - @=Q R= QDy@ OQ@ Q=m QO x]@=Q u}=

=@DW= Q=JO |]QW O}t= =@ Q=m u}L CU= umtt =Q} R 'CU= |]QW O}t= pt=W x]
s Q |t Q=m x@ pov}DQ=t h} QaD

" } @ u= wva x@ |y=o Q P QoDv=
=Q | } Bp= \ W Q =@ x=Qty pO =at pmW wO u}= "s} wW
s}U} wv|t O = QiY u}ov=}t =@

w " W @ i:i:d | iO =YD Ov};Qi l} (Xn )n2N s Q} } o %p=Ft 515
X
n
Xn = xj
j =1
s} Q=O x=ov;
E (Xn+1 jx1; . . . ; xn) = E (Xn + xn+1 jx1; . . . ; xn)

= Xn + E (xn+1 jx1; . . . ; xn)
= Xn + E (xn+1 ) = Xn
`tH u}=Q@=v@ "CU= pov}DQ=t l} fXn ; Fng T F (x1; . . . ; xn) = F (X1 ; . . . ; Xn )

B ' w
u J |rw
C pov} = =kD pkDU | =Y

" U= DQ t uQ t w t iO D | y = Q}eDt
Xn E (Yi) = i
" 1 ' 1 Qy Q
|= @ w OvW=@ pkDUt |iO=YD = Q}eDt
| y . . . Y2 Y1 s Q} %p=Ft 615
' ' } o
xH}Dv QO " s}vm|t h Qa Xn = nj=1 Yi

} D w x CQ Y @ =Q
E (Xn+1 jX1 ; . . . ; Xn ) = E (Xn Yn+1 jX1; . . . ; Xn)

= Xn E (Yn+1 jX1; . . . ; Xn)
= Xn E (Yn+1 ) = Xn
s}yO Q=Qk Qo = p=Ft u= wva x@ "CU= pov}DQ=t '1 u}ov=}t =@ pkDUt |i=YD | y = Q}eDt ? Q[rY=L u}=Q@=v@
8
>
< 1
2
2 p=tDL= =@
Yi = >
: 0
1
2 p=tDL= =@
h} QaD =@ =yXn w E (Yi) = 1 x =ov; 'CU= I}y =} Q@=Q@ wO | D= S QDU= =@ Q_=vDt xm

8
>
< n 1
2
2n p=tDL= =@
Xn = >
: 0 1
1
2n p=tDL= =@
"OvyO|t p}mWD pov}DQ=t l}
s} Q}o w ( ; F ; P ) = ([ ; ); B; m) O}v 0 1 m Z i Q %p=Ft 715
Fn = f[ in ; i +n ) : i <
2 2
1
0 2
n 1 g
Ri
Fn Fn+1 x
+1
Q}eDt l} Y xm Xn(!) = n inn Y (x)dm(x) s} |
2
2
2
yO t Q= k " Q w |t x_Lqt
m O W
QO , q@k =Q ?r]t u Xn = E (Y jFn ) =o ! 2 [ 2in ; i2+n1 )

}= " x v; " w ' CU= [; )0 1 |wQ Q}PBp=QoDv= |iO=YD
s w O
" }O @ x }O |]QW O}t= pYi
Y w OW=@ ( ; F; P ) |=[i |wQ |}=to}U | =yv=O}t R= |rwRv Q}e |= r x =@vO fFng O}v m Z i Q |rm Qw] x@
Q
= }R CU= pov}DQ=t l} fXn ; Fng x=ov; Xn = E (Y jFn) s} yO Q= k Q Qo = "Q}PBp=QoDv= |iO=YD Q}eDt l}
s} Q=O w CU= Q}PBp=QoDv= Kw[w x@ Xn Q y
E (Xn+1 jFn) = E (E (Y jFn+1 )jFn) = E (Y jFn) = Xn :
= Q y s } t= v| t p o v } DQ= tQ } R l }
x o =Q x D WP o O v v= t fXn ; Fng x - r = @ vO %h } Q aD 815
Q o = ,=vt [ "Xn E (Xn+1 jFn)a:s: Q o= s} t= v| t pov} DQ= t jw i =Q u; w Xn E (Xn+1 jFn)a:s:

Z i Q = @ x= oQ y s } t= v| t p o v } DQ= t Q } R j i w l} =Q (Xn )n2N O = | ' W @ iO = Y O v Q l (Xn )n2N
D }; i }
O = pov}DQ=t Q} R
" W @ j iw l fXn ; Fn g x =@
} -r vO 'Fn = F (X1; . . . ; Xn)
Q
}R w
j i l} (Xn )n2N x =ov; "OW=@ pov}DQ=t Q} R w
j i l} fXn ; Fng s Q} } o %x}[k 915
" CU= pov}DQ=t
P
= r "X1 ; X2; . . . ; Xn 2 Fn T Xn 2 Fn B ' w CU= |O waY (Fn) s} v=O |t %u=yQ@
F (X1; . . . ; Xn ) Fn
TB Xn [< = >] = E (Xn+1 jFn )a:s: h Qa } D j@] =t=
E (Xn jXn ; . . . ; X1)[< = >] = E (E (Xn+1 jFn)jXn ; . . . ; X1 )

= E (Xn+1 jXn ; . . . ; X1 )
xH}Dv QO ' E (Xn jXn; . . . ; X1) = Xn | rw
Xn [< = >] = E (Xn+1 jXn ; . . . ; X1)
P O = pov}DQ=t Q} R l}
QO = r ' W @ ( Xn)n2N Q o= \ki w Qo = CU= pov}DQ=t j iw l} (Xn )n2N Q o= u J w
Ctqa Q}}eD =@ "s}vm C@=F =yv; R= |m} Q

|= @ =Q smL CU= |i=m pov}DQ=tQ} R w j iw x@ w Q
\ @ t | y = x}[k C =@F=
Q} R R= QD pmWt pov}DQ=t x@ w Q
\ @ t | y = x}[k C =@F= ,qwtat xD@r= "O wtv C@=F sy | Qo}O Q
|= @ =Q smL w |t
u= D
" CU= po}vDQ=t w =}

j i
? OLt |O waY `@=D l} ' s Q} } o w OW=@ po}vDQ=tQ} R l} fXn ; Fng O}v m Z i Q %x}[k 1015
l} f'(Xn ); Fng x=ov; 'OW=@ Q}PBp=QoDv= n 1 Qy |= @Q '(Xn ) Q o= " CU= xOW h} QaD R |wQ xm OW=@
" CU= pov}DQ=tQ} R
TB CU= |O waY ' Xn E (Xn+1 jFn)

w w
u J %u=yQ@
'(Xn ) '(E (Xn+1 jFn)) a:s:
P CU=
= r " E ('(Xn+1 )jFn) R= QDW}@=v w Q Q = CU=Q
j i | @= @ v h ]Q uUvH Q Q = j@] p=L
| @= @ v
'(Xn ) E ((Xn+1 )jFn) a:s:
Q} R l} f'(Xn ); Fng T B " CU= Q}PBxR=Ov= |O waY `@=D Qy =Q} R '(Xn ) 2 Fn n ' 1 Qy|=Q@ ,=vt[
" CU= pov}DQ=t
"s}vm|t P
h L =Q a:s: O} k 's}U} wv|t xm |}=y} Q@=Q@ w =y} Q@=Q@=v QO Oa@ x@ u}= R= %O=OQ=Qk
'CU= pov}DQ=tQ} R l} R}v fXn+ ; Fng x=ov; 'OW=@ pov}DQ=tQ} R l} fXn ; Fng Q o= %xH}Dv 1115
`k=w QO "CU= ?OLt w |O x2RQ

waY ' y |= @ Q '(x) = x+ h Qa = '(x) ` = } D @ Q
@ D = }R
8
>
<x x 0
'(x) = >
: x< 0 0
O
" v=|O waY ' n ?U L @ Q E (Xn+ ) E (Xn ) u Q =v
w }= @ @
Q
= }R " CU= pov}DQ=tQ} R l} fjXnj; Fg x =ov; 'OW=@ pov}DQ=t l} fXn ; Fng Q
' o= %xH}Dv 1215
|= @ Q Qo = u}vJty "CU}v |R =}v ' uO @ |O w '(x) = jxj ` =

waY x@ =Hv}=QO "CU= ? OL x 2 R
t ' |= @ Q @ D
`@=D Q C pov} = Q l fjXn jp ; Fn g =o O = Lp

= }R ' U= DQ t } R Xn < p < 1 n Q
} x v; ' W @ QO '1 w ' 1 y
" CU= pov} = Q l fjXn j log+ jXn j; Fn g u}vJt C

DQ t } R } OL < p < 1 Q '(x) = jxjp y " U= ? t '1 |= @
x Q log+ x = (log x) _
" 0 |= @x '(x) = jxj log+ jxj s Q} | = u 0 m ' } o t Q @ }=
l} 'C@=F A Qy |=Q@ R}v fXn _ A; Fn g x=ov; 'OW=@ pov}DQ=tQ} R l} fXn ; Fng Q o= %xH}Dv 1315
" CU= pov}DQ=tQ} R
xO =iDU= Q}N= x}[k R= ,=O OHt w |t

u= D w CU= |O waY w ? OLt ' '(x) = x _ A s}
' yO Q= k Q Qo = %u=yQ@
Q
%O m C =@F= w |t R}v pov}DQ=tQ} R h} QaD ltm x@ 's}kDUt j} Q] x@
u= D =Q xH}Dv u}= =t= "O wtv
E (Xn+1 _ AjFn) E (Xn+1 jFn) _ E (AjFn) Xn _ A:
"OO o Q |t îL uO @ w pov}DQ=t w s}vm p}O@D

j i ' xÂx ' Q @ =Q o=
"O wtv x} RHD X=N |iO=YD Ov};Qi l} w pov}DQ=t l} `wtHt CQ Y w x@ u=wD|t =Q pov}DQ=t Q} R j iw l}
s
" } Q=O |D=tOkt x@ R=}v x} RHD u}= x@ w Q x}[k
\ @ t - C =@F= |= @ Q
% Ovm j YO Q} R \ W QOQ Qo = s}} wo|t |O waY Ov};Qi =Q (Zn )n2N | iO=YD Ov};Qi %h} QaD 1415
' Zn Zn+1 n ' 1 |= @ w Q Z1 = 0 hr=
" E (Zn ) < +1 : n 0 Qy |= @Q ?

|iO=YD Q}eDt "OW=@ R}v +1 O w | um C v= D t r w w

U= O H t
!1 " Zn x O | xH}D \ Q u
Z1 = nlim m yO t v }= W }=
u}= xD@r= xm 'OW=@ |y =vD sup E (jZn j) |va

t O = O Q L1 : (Zn )n2N Q s} w Q P QoD
} ' W @ Q= v= m Z1 o= } o } Bp= v= =Q
n
CN=wvm} Q P QoDv=
| } Bp= pO =at R}v u}= "OW=@ |y=vDt
!1 " E (jZn j) xmv = C
nlim =a =Hv Q }= @ U= pO t }= QO \ W
C Q Q h Q C (Zn )n2N
" U= Q= k @ r= = } R U=
u; QO xm CWwv X = Yn + Zn CQ Y w x@ u= D w |t =Q fXn; Fn g pov} = Q

DQ t } R Qy %x}[k 1515
" CU= |O waY Ov};Qi l} (Zn)n2N w pov}DQ=t l} fYn; Fn g
s = |t Q} R
% }R U CQ Y w x@ (Xn )n2N Ov Q xr}Uw x@
}; i - =Q (xn) |r [ =iD x- r=@vO %u=yQ@
x1 = X1 ; x2 = X2 X1 ; . . . ; xn = Xn Xn 1 ; . . .
P C pov} = Q l fX ; F g w X = n x n
P Qo = u}=Q@=v@
= r ' U= DQ t } R } n n u J " n j =1 j ' 1
E (xnjFn 1 ) 0
s}yO|t Q=Qk xw qa x@ "CU= pov}DQ=t Cr=L x@ w Q

\ @ t |w =UD
y1 = x1 ; yn = xn E (xnjFn 1 ); n 2
P
u}vJt Yn = nj=1 yj : n y 1 s}vm|t h} QaD w
X n
z1 = ; zn = E (xnjFn 1 ) ; Zn = zj ;
0
j =1
Qw_vt u}= |=Q@ "CU= pov}DQ=t l} fYn ; Fng s} yO|t u=Wv p=L n Q xn = yn + zn w
" 1 |= @ K [w x@
s} Q=O n Q w
CQ Y u; QO = } R ' Q 1 |= @ E (ynjFn 1) = s}v C = C 0 m @ F U= |i=m
X
n nX1
E (YnjFn 1 ) = E (yj jFn 1) = E (yj jFn 1 ) + E (ynjFn 1 )
j =1 j =1
nX1
= E (yj jFn 1) = E (Yn 1 jFn 1 ) = Yn 1 :
j =1
s} Q=O yn h} QaD x@ xHwD =@ xm O}vm CkO
E (ynjFn 1 ) = E (xn jFn 1) E (E (xnjFn 1 )jFn 1) = 0
" CU= K[=w (Zn )n2N x =@ -r vO uO @ |Ow waY TB ' zn n 0 ' 1 Qy Q w

|= @ u J p L =
'n 2 Qy Q Q
|= @ = } R " Zn 2 Fn 1 ' n 2 Qy Q
|= @ 'O W w |t x_Lqt xm Qw]v=ty %Qm PD 1615
" CU= |O waY (Fn)n2N zn 2 Fn w 1
=Q Ctqa CU= |i=m =Q} R 'CU= jO Y = R}v pov}DQ=t jwi |= @ w Q CU= swUwt ?wO x- } RHD x}[
- k x@ 'x}[k u}=
? =UL x@ j i -w x}[k Q |rtmt Q} R x}[

|= @ - k "CU= pov}DQ=t l} f Yn; Fng x m s}vm xHwD w s}vm Z a w
O |t
% };
(Yn )n2N x =ov; 'OW=@ CN=wvm} Q}PBp=QoDv= =} Q=Ov=Qm L1 (Xn )n2N
' j i - w x}[k QO Qo = %xH}Dv 1715
" OvDUy CN=wvm} Q}PBp=QoDv= =} Q=Ov=Qm L1 CQ Y w u}ty x@ R}v (Zn )n2N w
' Zn w
0 u J " E (Zn ) = E (Xn) E (Yn ) T Zn = Xn Yn B " xm s}O}O %u=yQ@
E (jZn j) = E (Zn ) E (jXn j) E (Y1)
TB " E (Yn ) = E (Y1) s } Q=O fYn ; Fng uO @ w pov}DQ=t Q@=v@ =Q} R
sup
n
E (jZn j) sup
n
E (jXn j) E (Y1)
w
u J R}v w ' CU= Q=Ov=Qm L1 R} (Zn )n2N
v O = OQ
' W @ Q= v= m L1 (Xn )n2N Q
' o= TB
E (jYn j) E (jXn j) + E (Zn )
" CU= OQ
Q= v= m L1 O = CN=wvm} Q}PBp=QoDv=
' W @ (Xn )n2N Q =
o= p L " W O Oy=wN OQ
Q= v= m L1 R}v (Yn)n2N
(Yn )n2N C N=wvm} |Q}PBp=QoDv= "OyO|t xH}Dv =Q u; CN=wvm} |Q}PBp=QoDv= 'Zn w OQ
uO @ Q= v= m L1 wa w |O Y
"O Ww |t pY=L jYn j jXn j + Zn R=
=ypov}DQ=t |}=Qoty 25
=ypov}DQ=t |}=Qoty x}[

- k VN@ u}= xH}D
- v u} QDtyt "s}vm|t |UQQ@ =Q =y pov}DQ=t |}=Qoty xrU
- t VN@ u}= QO
pov}DQ=t OvJ x@ |y=ov u; R= V}B "OO o Q |t xO =iDU= (Upcrossing) P =

Q o q @ sr R= u; C =@F= QO xm CU=
s
" } R= v= O |t OW |iQat ,q@k xm
O
" W C@=F |]QW O}t= pYi QO ?r]t u}= " Xn a:s:
!Y s} Q=O ### p =Ft QO %p=Ft 125
a:s:
" OvW=@ I}y =} Q@=Q@ wO |SDQDU= =@ Q_=vDt =yYi xm |DQwY QO 'Xn ! 0 s} Q=O ### p=Ft QO %p=Ft 225

P
1
E (x2) < 1 Q =t= w Qoty (Xn )n2N x O |twRr Xn = Pnj=1 xj Q %p=Ft 325
i o= "O W = m OQ= v ' o=
i=1
w
"O Nw QmU= sr Q@=v@ "CU= =Qoty a:s: Xn ' x =ov;
pov}DQ=tQ} R l} fXk ; Fk ; k = ; ; . . . ; ng O}v 1 2 m Z i Q %(Upcrossing) QPo q=@ sr 425
\UwD (a; b) Uab O}v Q Ov = a < b = |k}k O b a Q O = | =vD

= P
| yQ o q @ O= = OaD m Z i ' W @ @ L O= a= w o= " W @ y t
QO K}L O u} T1 = T1 (! ) O}v
Y O a Q Q | h Qa
rw= w u x x O = Xn . . . X1 m Z i %OO o t } D CQ Y }= @ m W @ ' '
u} T3 XT b x O = T1 Oa K}L
rw= '
2
O u} T2 XT a x
m w x O = f ; ; . . . ; ng
W @ R= @ Y O a rw= '
1
m |Q ] @ ' W @ 1 2
Q . . . T4 b x O = T3 Oa K}L
o = w O u} T4 T3 a x O = T2 Oa K}L
m W @ R= O @ Y O a rw= w ' m W @ R= @ Y O a
s}v | h Qa C | =vD x O = = Ti u Oa N Q Ti = 1 s} | Q
m t } D ' U= y t Qo Q Q Q u
m W @ y }= O= D o= yO t Q= k 'OO v Q= k @ \ W }=
E (Uab) b 1a E (Xn a)+ =o O = Q N Q N2 1 O = N Q Uab = N2

" x v; " W @ O i o= w W @ GwR o=
=Hv}= QO " Xj j Q Q a = O}v Q OD %u=yQ@

s}vm|t h} QaD w
j i CQ Y w x@ =Q =yTi " 0 ' y |= @ w 0 m Z i = @=
s} | Q j < T1 Q s}v | h Qa
yO t Q= k ' w u x ("j ) x =@ XTi = = C =a XTi a
o= % m t } D CQ Y }= @ =Q -r vO " 0 @ U= pO t '
T3 j < T4 Q "j = T2 j < T3 Q "j = s} | Q T1 j < T2 Q "j =

' o= ' 0 ' o= " 1 yO t Q= k o= " 0
T3 = T2 = T1 = n = s pm u Q pm j =] ?} Q u}t x "j =
' 10 ' 8 ' 4 ' 15 } Q=O W }= QO } R W @ t " D D y @ w " 1
Ov =@
R= w ("j ) x =@
DQ qt =vt
a j i Uab = P Tn = 1 n > Q T5 = T4 =
-r vO C H , [ " 2 = r ' ' 5 |= @ w 14 ' 11
"1 = "2 = "3 = ; "4 = "5 = "6 = "7 = ; "8 = "9 =

0 1 0
"10 = ; "11 = "12 = "13 = ; "14 =

1 0 1
w |t ZQi xm
P15 " (X X ) = X + X X + X X + X X u}vJt
O W
j =1 j 1 j j 1 1 8 4 11 10 15 14 y
P = w p =yW R Ok Yn =
P " (X X ) x w x w = " X =
n
Q o q @ p ] QO m | j 1 j
}= i= Q= j 1 t 0 0 m O W H D "1 w 0
j =1
|ivt=v Kw[w x@ xm OQ=O ` wtHt u}= QO X1 x |ty x =

m U - i [= x@ =yDv= QO |RH QPo q=@ l} x- i=[= x@ 'CU=
Xj . . . X1
w ' ' R= CU= |a@=D "j " Yn b Uab wQ u}= R= " CU=
F (X1 ; . . . ; Xj ) Fj
s} Q=O 'CU= pov}DQ=tQ} R fXn ; Fng w
u J |iQ] R= " CU= Q}PBxR=Ov= Fj "j T
' B
E (Yn+1 jFn) = E (Yn + "n(Xn+1 Xn )jFn)

= Yn + "nE ((Xn+1 Xn )jFn)
Yn + "n(Xn Xn ) = Yn
s}vm Q
Z i p L = E (Y1) = E (X1 ) s } Q=O Y1 = X1 w
u J " CU= |y=vDt pov}DQ=tQ} R l} fYn ; Fng P
= r
x =ov; 'E (Xk Yk ) 0 xm
Xk+1 Yk+1 = Xk+1 Yk "k (Xk+1 Xk ) = ( 1 "k )(Xk+1 Xk ) + Xk Yk :
wQ u}= R=
E (Xk+1 Yk+1 jFk ) = ( 1 "k ) E (Xk+1 Xk jFk ) + E (Xk Yk jFk )

E (Xk Yk jFk ) = Xk Yk
?}DQD u}= x@ "E (Xk+1 Yk+1 ) 0 s} Qw;|t CUO x@ Q
h ] wO R= O}t= uDiQo =@
E (Uab) b E (Yn ) b E (Xn ):

1 1
\UwD (a; b) |=yQPo q=@ O=OaD w CU= pov}DQ=tQ} R l} f(Xk a)+; Fk ; k = ; . . . ; ng |r 1 m Cr=L QO
' Xj a x O}v x w C ((Xk a)+) \ w ( ; b a) = P = Oa = C Q Q (Xk )

m m H D " U= U D 0 | yQ o q @ O= D @ U= @= @
w Xj a b a Xj b w u}t Ov =a |ot Xj a)+ =

' Q ] Xj a
y " rO t y 0 w 0
w | xH}D w ?r] w sm u Q =v ((Xj a)+ b a

"O W t v j i t R= ,=Q i L }= @ @
O Q L1 pov} =
Q= v= m Q x O |
DQ t |= @ q X | =Y = Q}eD w
m yO t ` = pov} = | Qot x}[
]= iO D | y t O Hw R= y DQ t }= y - k
Xn a:s:
! X : Xn "
R= =yQPo q=@ pm O= OaD Uab O =

w ' W @ Q= v= m OQ L1 pov}DQ=tQ} R l} . . . X2 X1
' ' Qo = %xH}Dv 525
= Cr=L E (Uab) jjX jj1+a = w Pt X =@ x=ov; OW=@ xr=@vO u}= \UwD (a; b)
X N QO
b a q @ QO Q m
" P (Uab = 1) = 0
x =ov; 'OW=@ . . . X2 X1 \
' ' w
U D (a; b) R= =yQPo q=@ pm OaD
O= Uabn Qo = %u=yQ@
Uab = nlim n
!1 Uab
= wvm} |}=Qoty x}[

- k j@] u}=Q@=v@
E (Uab) = nlim n
!1 E (Uab )
nlim E ((Xn a)+)
!1 b a
nlim E (jXn j + jaj)
!1 b a
jj
b a X jj1 + jaj
s} Q=O xS} w x@
\
1
0 P (Uab = 1) = P ( fUab > ng) = nlim
!1 P fUab > ng
n=1
nlim E (Uab)
!1 n = 0
" P (Uab = 1) = 0 TB
pov}DQ=tQ} R l} fXn ; Fng O}v m Z i Q %(Doob 1940) pov}DQ=t |}=Qoty x- }[k 625
wQ u}= R= w Xn a:s:
!X x C m w w
U= O H t u =vJ X QP } Bp= QoDv= |iO=YD Q}eDt l} x=ov; "OW=@ Q=Ov=Qm L1
jjX jj1 = sup

n
E (jXn j)
x- awtHt x@ s}vm|t x=ov %u=yQ@
A = f! : CU}v =Qoty |y=vDt=v =} |y=vDt OL l} x@Xn (! ) g

x =ov;
A = f! : 1 lim Xn (!) < lim Xn (!) +1g

[
= f! : 1 lim Xn (!) < a Q Q =o x = lim inf Xn

O= D w v= R= oQ @ r vO C H R=
n!1 y t v O= D 0 y |= @ x v; '
" = a nlim!1
Xn (!) s} | Q a > nlim
!1
Xn (!) Q = OvDU X + " QDm w =y | =vD =
yO t Q= k o= p L " y R= J m v; R= y t v
= b < lim Xn Q R} Xn (! ) < " + lim Xn (! ) = a

@
n!1 o=
n!1
v w s n | =vD = Oa Q =o } Q=O 1 y t v O= D |= @ x v;
s n Q =k | =vD = Oa x " = nlim

} Q=O
!1Xn (! ) b
1 }O t R= Q y t v O= D |=R= @ ' uO=O Q= k
!1Xn (! ) " = b
Xn (!) > nlim
P
Q oq @ = sr j@] u}=Q@=v@
X
P f 1 lim Xn < lim Xn +1g P fUab = +1g = 0
a<b
a;b2Q
s}vm|t h} QaD Q} R CQ Y w x@=Q X (!) =
p L " CU= OwHwt
!1 Xn T
a:s: nlim
' B
!1 Xn (! ) 2 [ 1; +1]
X (!) := nlim
u}=Q@=v@ "E (Xn ) E (X1) uO @w pov}DQ=t Q} R |oS} w Q@=v@ w jXn j = Xn+ Xn s

2 } Q=O u wvm =
E (jXnj) sup
n
E (Xn+ ) E (X1) < +1
2
E (jX j) lim E (jXn j) < +1 wD=i sr Q@=v@
" CU= |y=vDt a:s: P

= r w CU= Q}PBp=QoDv= XT B
OW=@ pov}DQ=t jwi (Xn )n2N Qo = =Q} R 'OvDUy =Qoty a:s: Q=Ov=Qm L1 = pov}DQ=t jwi
| y %xH}Dv 725
" CU= pov}DQ=t Q} R l} ( Xn )n2N x =ov;

uO @w pov}DQ=t w |oS} w Q@=v@ =Q} R 'OvDUy =Qoty

j i a:s: '|ivt=v | y = pov}DQ=t w
j i %xH}Dv 825
: (Xn)n2N
E (jXnj) = E (Xn ) E (X1 )
" CU= Q=Ov=Qm L1 (Xn )n2N P
' = r w
w OW=@ |}=to}U | =yv=O}t R= (Fn Fn 1 ) |O waYQ}e x- r=@vO l} (Fn) s Q} %h} QaD 925
} o
T wmat pov}DQ=tjwi T wmat pov}DQ=tQ} R T wmat pov}DQ=t l} fXn ; Fng x =@ Xn 2 Fn

=Q -r vO "
= Q s}t=v|t
x o y
O = Q}PBp=QoDv=
' W @ Xn Q y |va} " E (jXnj) < 1 n ' 1 Qy Q
|= @ hr=
.
"(Xn+1 Xn+1 )E (Xn jFn+1) = Xn+1 ?
Z Q i = @ Q o = C U= T w m a t p o v } DQ= t Q } R l } (Xn )n2N s } w %h } Q a D 1025 } o
O =
" W @ T wmat pov}DQ=t Q} R l fXn ; Fn g Fn = F (Xn ; Xn+1 ; . . .)
} '
"E (jX j) < 1 Xn a:s:

!X w x=ov; OW=@ T wmat pov}DQ=t l} (Xn )n2N Q o= %x}[k 1125
|y=vDt pov}DQ=t l} (Xn ; Xn 1 ; . . . ; X2 ; X1) x m s}vm|t =aO= "s}vm|t Z i Q C@=F =Q n %u=yQ@
k Q CU=
1 |= @ ' T wma pov} = l (Xn ) w
t DQ t } u J xm s}vm|t x_Lqt '?r]t u}= |UQQ@ Q CU=
|= @ "
s} Q=O
Xk+1 = E (Xk jXk+1 ; Xk+2 ; . . .)

Xk+1 = E (Xk+1 jXk+1 ; . . . ; Xn) & Xk+1 2 Fk+1 w
u J =t=
= E (E (Xk jXk+1 ; . . .)jXk+1 ; . . . ; Xn)

= E (Xk jXk+1 ; . . . ; Xn )
= E (Xk jXn; . . . ; Xk+1 )
P
Q oq @= sr j@] "OW=@ (a; b) (Xn ; . . . ; X1 ) | =vD pov}
R= y t = = P
DQ t | yQ o q @ O= = OaD Uabn s Q}} o
E (Uabn ) E ((Xb 1 aa) ) =: Kab

+
X1 . . . Xn
Ovv=t "CU= (a; b) R= ' ' ' T crossing) = P u} = Oa Uabn `
wmat pov}DQ=t (down | yQ o } B O= D k=w QO
a:s:
= C
p L " | =vD a:s: xD = xa w
U= y t i } U D | =Y Q}eD l X x Xn ! X = pov} = | Qot x}[
iO D t } m y DQ t }= y - k
"E (jXn j) E (jX1j) u Q =v C }= @ @ " U= pov} = Q l jXn j jXn 1 j . . . jX1 j uUv

DQ t } R } Q Q = j@
' ' ' H | @= @ v ]
wD=i sr j@] TB
E (jX j) = E (lim jXn j) lim E (jXn j) E (jX1 j) < 1
" CU= |y=vDt a:s: w Q}PBp=QoDv= 'XT B
CLY smL Xn = n Q o= , qFt "CU}v Q=QkQ@ T wmat pov}DQ=tQ} R Q

|= @ j i - w x}[k %Qm PD 1225
"O mQ u}t[D =Q u; |}=Qoty u= D w |t 1 < inf E (Xn ) O} k uO m Q xi=[= =@ =t= "OQ= v O
n E (Xn ) > 1 x
inf m |Q ] w x@ 'OW=@ T wmat pov}DQ=tQ} R l} fXn ; Fng Q o= %x}[k 1325
" Xn a:s:
! X E (jX j) < 1 x
w m CU= OwHwt X| iO =YD Q}eDt x=ov;
p@k x}[
- k Ovv=t 'CU= pov}DQ=tQ} R l} (Xn ; Xn 1 ; . . . ; X1) C = n Q @ F y |= @ Q %u=yQ@
E (Uabn ) E ((X1 a)+)

b a
u J w |iQ] Xn a:s:
R= " !Xx C m w w
U= O H t X |iO=YD Q}eDt =ypov}DQ=t |}=Qoty x}[
- k j@] TB
pov}DQ=tQ} R l R} (Xn+ ; . . . ; X1+ ) xD

} v P
W o | } = =[k R= |m} j@] 'CU= pov}DQ=tQ} R l} (Xn ; . . . ; X1)
TB jXn j = Xn+ Xn 2 w
u J " E (Xn+ ) E (X1+ ) P C = r w U=
E (jXn j) = E (Xn+ ) E (Xn ) E (X1+ ) inf E (Xn ) < 1:

2 2
Q = x@
"O @ Q m =Q wD=i sr u= Dw |t ,=OOHt =Pr w lim E (jXn j) < 1 u Q =v }= @ @
CN=wvm} |Q}PBp=QoDv= w =ypov}DQ=t 35
|iO=YD Q}eDt l} X O}v m Z i w Q OW=@ QDr}i l} |}=to}U | =yv=O}t R= |rwRv Q}e x- r=@vO l} (Fn) s Q} } o
w CU= pov}DQ=t l} fXn ; Fng x=ov; ' Xn = E (X jFn) Q o= xm s}v=O|t "CU= Q}PBp=QoDv=
E (jXn j) = E (jE (X jFn )j)

(E (jX jjFn)) = E (jX j) < 1
OQ
Q= v= m L1 pov} = l fXn; Fng Q x C Q] w
DQ t } o= m U= K t p-= U u}= p=L "CU= Q=Ov=Qm L1 (Xn )n2N u Q =v
' }= @ @
CU=
' O Q L1 fXn ; Fn g w Xn = E (X jFn ) x
Q= v= m u J # m |Q ]w x@ OQ=O O Hw w X| iO =YD Q}eDt =}; 'OW=@
|]QW O}t= pN=O OL uO @ Q umr 'OW=@ =ypov}DQ=t |}=Qoty x}[

- k QO Xn a:s: O ' L u =ty Xu }= s} Q=wO}t=
" CU= CN=wvm} Q P QoDv= OvtR=}v

| } Bp=
|iO=YD Q}eDt x=ov; 'OvW=@ Q}PBp=QoDv= CN=wvm} Qw] x@ pov}DQ=t Q} R l} fXn; Fng Q o= %x}[k 135
Xn =< E (X1 jFn) Xn a:s:;L

! X1 x X1 Q P
1
" xwqax@ m CU= OwHwt } Bp= QoDv=
|}=Qoty x}[
- k j@] TB "CU= L1 (Xn )
OQ
Q= v= m ' 'CU= CN=wvm} Q}PBp=QoDv= (Xn ) w
u J %u=yQ@
CN=wvm} Q P QoDv= j@]

| } Bp= " Xn a:s:
!Xx C m U= O H t w w X1 Q}PBp=QoDv= |iO=YD Q}eDt '=ypov}DQ=t
Xn L! X1
1
" x}[k swO CtUk C =@F= x@ s} R=OQB|t p=L "
s} Q=O m > n A 2 Fn Q w Q s}vm|t

y |= @ " Z i Q C@=F =Q n2N s Q}o|t pov}DQ=tQ} R
" } =QfXn; Fn g
Z Z
Xn dP Xm dP
A A
A 2 Fn Q u}=Q@=v@ "Ovm|t p}t A X1 dP x@

|= @
R w Q Q = CU=Q
j i | @= @ v h ] 'Q Xn L! X1
1
u J w
Z Z Z
E (X1 jFn)dP = X1 dP Xn dP
A A A
|va} &s} Q=O =Q |w =UD Q}N= x]

- @=Q O = pov}DQ=t l}
QO ' W @ fXn ; Fn) Q a:s: Xn E (X1 jFn) T
o= " B
Xn = E (X1jFn) "
x = E (X jFn) s Q} O = Q P QoD | =Y Q}eD l X

=ov; "Xn } o " W @ } Bp= v= iO D t } w QDr}i l} n s} Q}o F %x}[k 235
X1 = E (X jF1 ) x Xn a:s::L
! X1 u Q =v C Q P QoD C fXn ; Fn g
1
m }= @ @" U= } Bp= v= N= wvm} Qw] x@ pov}DQ=t l}
F1 = _n Fn = ( S Fn)
1
" w
n=1
" CN=wvm} |Q}PBp=QoDv= C =@F= x@ s} R=OQB|t "CU= pov}DQ=t l} fXn ; Fng s O } }O , q@k xm Qw]v=ty %u=yQ@
x =ov; s} Q}o|t Zw Qit =Q x 0
Z Z
fjXnj>xg
jXn jdP = fjX j>xg jE (X jFn)jdP
Z n Z
fjX j>xg E (jX jjFn)dP = fjX j>xg jX jdP
n n
s}vm C@=F CU= |i=m p=QoDv= jr]t |oDUw}B j@] p=L " fjXn j > xg 2 Fn x m O}vm xHwD
!1 sup
xlim n
P fjXn j > xg = 0
s} Q=O hW|@J Q Q = j@]
| @= @ v
P fjXn j > xg x E (jXnj) 1
= E (jE (X jFn)j)
1
x
x E (E (jX jjFn)) = x E (jX j):
1 1
Xn a:s:;L
! X1 x X1 | (Xn ) T
1
|i=m " m CU= OwHwt iO =YD Q}eDt =Pr "CU= CN=wvm} Q}PBp=QoDv= ,=ak=w B
Q}PBxR= O F1 s X1
v= y P CU= Q}PBxR=Ov=
= r ' F1 Xn Q a:s: X1 = E (X jF1) x
' y m s}yO u=Wv CU=
x =ov; m > n s}v | m t Z i w Q s} Q}o|t C@=F =Q A 2 Fn " CU=

Z Z Z
XdP = E (X jFm)dP = Xm dP
A A A
SF
1
AQ Q xm CU= |vat
R R L
u O u A Xm dP ! A X1 dP u Q =v Xm ! X1 =
1
' n QO y |= @ } @ }= " }= @ @ t=
n=1
1 R R
A 2 S Fn Q Q S x A XdP = A X1 dP s y |= @ x } w @ " } Q=O
n=1
R XdP R
RA XdP = RA X 1 dP
X1dP
T s
SF
1
=tD O =U w
B } Q=O =Q n |wQ p L= xR=
- v= wO |w D u J
n=1
Z Z
XdP = X1dP
A A
A 2 F1 Q Q P w = `}
y |= @ = r |QwO D=Q m w x}[k j@]
U D - "A 2 F1 Q y |= @ Q
Z Z
E (X jF1 )dP = X1dP
A A
" a:s: X1 = E (X jF1) |va }
w |}=to}U | =yv=O}t R= |O waY Q}e x- r=@vO l} (Gn) s Q} %|]QW O}t= |oDUw}B x}[k 335
} o
T wmat pov}DQ=t l} fXn; Gng =o x Xn = E (X jGn) s Q} O = Q P QoD | =Y Q}eD l X

v; " } o " W @ } Bp= v= iO D t }
G1 = T Gn x
1
Xn a:s:L
! X1 = E (X jG1 ) u Q =v C C wvm Q P QoD
1
" m }= @ @ & U= N= } } Bp= v=
n=1
w x@
Q ] w T wmat pov}DQ=t l} fXn ; Gng s}v | m t C@=F "CU= p@k Ovv=ty ,=v}a Q=m pL=Qt %u=yQ@ KQ]
u= D w |t "Ovm|t p}t X1 Q}PBp=QoDv= |iO=YD Q}eDt x@ a:s: w L1 QO Xn xH}D v QO " CU= Q}PBp=QoDv= CN=wvm}
A 2 G1 Q Q Q
y |= @ x Nq @ " = X1 2 Gn n ' 1 Qy Q s}yO u=Wv CU= |i=m
|= @ " X1 2 G1 x =W m O=O u v
n2NQ y w
Z Z Z Z
XdP = E (X jGn )dP = Xn dP ! X1 dP
A A A A
" a:s: X1 = E (X jG1) xH}D v QO
pov}DQ=t |=yOQ@ Q=m 45
s}y=it ltm x@ 's}OQm C@=F s}kDUt | =yWwQ x@ ,q@k xm =Q |}=yx}[k R= x}[k OvJ s}vm|t |aU Ov@ u}= QO
" s}vm|t C@=F ,=OOHt =Q h o Q wtrm 10 u v k = w = OD@= "s}vm C@=F pov}DQ=t x@ w Q
\ @ t
O } = x@ "OvW=@ pkDUt |iO=YD = Q}eDt

| y . . . X2 X1 s Q}
' ' } o %hQowtrm 10 uwv=k x}[k 145
F = T F (Xn ; Xn+1 ; . . .) x O =}
1
s O}t=v
" } Fn = F (Xn ; Xn+1 ; . . .) | =to} } U | =yv=O}t sO =Q m } Qw @
n=1
P (A) 2 f ; g =o A 2 F Q
" 0 1 x v; o=
x@ =Q Yn | iO=YD | y = Q}eDt x-r=@vO "s} Q}o|t C@=F A 2 F Fn = F (X1; . . . ; Xn) s Q}

=Q " } o %u=yQ@
s}OQm C@=F xJv; j@] " Yn = P (AjFn) = E (IAjFn ) s}v | h Qa Q m t } D } R CQ Y w
Yn a:s:L
! E (IAjF1) = P (AjF1)
1
"A 2 F (Xn+1 ; Xn+2 ; . . .) Qo Q

}O h ] R= " E (IAjF1) = IAa:s: | Q
] W p =tDL= w O}t= h} QaD j@] =t=
xH}Dv QO " CU= pkDUt Fn A TR= B
Yn = E (IAjFn) = E (IA) = P (A)
w P (A) = 0 x =ov; IA = a:s: Q

0 o= |va} ' P (A) = IAa:s: s | C x } Qw; t UO @ Q}N= ?r]t wO ?}mQD =@
P (A) 2 f ; g P P (A) =
" 0 1 = r " 1 x =ov; 'IA = a:s: Q
1 o=
x@=Q xOQ u}= '(joint) |k=Lr= O = |}=to}U

" W @ | =yv=O}t R= |=xOQ fF ; 2 I g s Q} } o %h} QaD 245
s}vm|t h} QaD Q} R CQ Yw
[
_ 2I F = ( F ):
2I
Q} R wO G D s}v
w Q O =
m Z i " W @ ( ; F; P ) |wQ Q}PBp=QoDv= |iO=YD Q}eDt l} X s} Q}o %xQ=Ro 345
x =ov; "OW=@ pkDUt G _ F (X ) D x R= m |Q ] w x@ OvW=@ F | =to}} U u= O}t
E (X jD _ G ) = E (X jG )
" CU= xO}=i|@ ,qta D C a = q]= |va}
|oS} w CU= |i=m "CU= Q}PBxR=Ov= D_G j i - w x]@=Q CU=Q CtU |iO=YD Q}eDt xm CU= K[=w %u=yQ@
x =ov; ' G 2 G D 2 D O}vw m Z i " Q s}vm C@=F =Q p= QoDv= x@ w Q

\ @ t
Z Z Z
D\G
E (X jG )dP = ID IGE (X jG )dP = P (D) IGE (X jG )dP
Z Z
= P (D) E (X jG )dP = P (D) XdP
Z G Z G
= IGID XdP = XdP
G\D
s} Q=O E = fD \ G : D 2 D; G 2 Gg x C 2 E Q m y |= @ Q u}=Q@=v@
Z Z
E (X jG )dP = XdP;
C C
R= w X = X+ X s}U} wv|t CQ Y w u}= Q}e QO " X 0 s}vm|t Z i 'Q C}rm uDiQ CUO R= uw @ O
|QwO wD=Q=m x}[

- k \}=QW QO w OvQ@=Q@ sy =@ E |wQ xm s} Q=O O
xR= v= wO p L " = s}vm|t xO =iDU= uO @w |]N |oS} w
|]QW O}t= h} QaD j@] =Pr "Ov} w=Ut sy =@ (E ) = D _ G |wQ u}=Q@=v@ "Ovvm|t j Y O
E (X jG ) = E (X jD _ G ) :
"s}vm|t C@=F pov}DQ=t ltm x@ R O

=Q nQ @ O= a= | ku v k w w w= s}vm|t xO =iDU= xQ= oR u}= R= p L =
x@ 'OvW=@ i:i:d | iO=YD = Q}eDt

| y . . . X2 X1 s Q}
' ' } o nQR@ O=Oa= |wk uwv=k %x}[k 445
x =ov; "s}vm|t h} QaD Sn = Pn Xi w x Sn O O

CQ Y @ =Q } H |iO=YD Q}eDt "OW=@ OwHwt E (X1) x m |Q ] w
i=1
E (jX1j) < 1 =) n1 Sn a:s:;L
! E (X1 )
1
hr=
E (jX1j) = +1 =) n1 Sn a:s:
! E (X1) = +1 ?
=Q |}=to}U | =yv=O}t R= |O waY=v x- r=@vO l} u}= "Gn = F (Sn; Sn+1 ; . . .) O}v Q hr= %u=yQ@ m Z i
sy =yXi n Sn = E (X1 jSn ) x s}v | =

1
u J w xm O}vm xHwD =aO= u}= C =@F= Q
|= @ " Ov | h Qa m m t aO= " m t } D
A 2 B1 Q Q O ` w y |= @ ' v= } R D
Z Z
Xi dP = X1 dP
fSn 2Ag fSn 2Ag
u}=Q@=v@
Z n Z
1 X
Z
fSn 2Ag
X1dP = n fSn 2Ag
XidP = fSn 2Ag n
1
SndP
i=1
% s}vm|t C@=F =Q xO U = sr l} u=yQ@ x- t=O= R= V}B " E (X1jSn ) = n1 Sn P
= r
x =ov; 'Sn = Pnk=1 Xk w OvW=@ |iO=YD | y = Q}eDt . . . X2 X1 Q

' ' o= %u=yQ@ uwQO sr 545
F (Sn; Xn+1 ; Xn+2 ; . . .) = F (Sn; Sn+1 ; Sn+2 ; . . .)
. . . Xn+1 Sn | =Y = Q}eD P Xn+k = Sn+k Sn+k 1 s k Q %s r u= yQ @

' ' iO D | y t = r } Q=O ' 1 |= @
"F (Sn; Xn+1 ; Xn+2 ; . . .) F (Sn; Sn+1 ; . . . ) xH}D O Q P O F (Sn; Sn+1 ; . . .) |ot v QO " v } BxR= v= y
xH}D O Q P O
v QO ' F (Sn; Xn+1 ; . . .) | o t . . . Sn+1 Sn | = Y = Q } e D R }
v } BxR= v y ' ' iO D | y t v
F (Sn; Sn+1 ; . . .) F (Sn; Xn+1 ; . . .) "

= t= "Gn = F (Sn) _ F (Xn+1 ; Xn+2 ; . . . ) 's r u }= Q @= v @ "s } yO| t x t=O= =Q x}[k = Q

u y @ p L =
p@k xQ=
- oR j@] TB "CU= F (Sn) _ F (X1) R= pkDUt F (Xn+1 ; Xn+2 ; . . .)
E (X1 jGn) = E (X1 jF (Sn)) = E (X1jSn ) = n Sn a:s: 1
T wmat | =yrov}DQ=tQ} R |}=Qoty x}[

- k Q = x@ =@
uO @ Q m
a:s:;L
n Sn = E (X1jGn) ! E (X1jG1)
1 1
G1 = T F (Sn; Sn+1 ; . . .) x
1
|oS} w |=Q=O ' G1 QO A O =W} t B Qy Q
|= @ 'S=w U = C} wy w = j@]
u v k " m
n=1
TB "CU= C@=F Q}PBxR=Ov= G1 | iO =YD Q}eDt E (X1jG1) P C P (A) 2 f ; g
= r w U= 0 1
E (X1jG1) = E (X1) a:s:
s } v m| t Z i Q C}rm uO=O C UO R= uw O@ '? CtUk C = @ F= Q

|= @ "OO o Q | t p t= m h r= = Q
u y @ w
Q@=v@ "O} Q}o@ Q_v QO =Q Yi = Xi ^ m O

- W x } @
x O Q |iO=YD |=yQ}eDt 'C@=F m 2N |= @"Q E (X1) = +1
s} Q=O hr= CtUk
m a:s:
1 + + Yn ) ! E (X1 ^ m)
1
( Y m
n
|rw
1 + + Xn ) (Y1 + + Yn )
1
( X m m 1
n n
CW=O s}y=wN +1 x m @ uO=O p}t =@ " a:s: lim inf( n1 Sn ) E (X1 ^ m) m 2 N Q
n!1 ' y |= @ Q TB
!1 inf n Sn = +1
nlim a:s:
1
=yxawtHt R= Q}PBVQ=tW |=xOQ Qo = s}} wo xOWO}rwD =Q=tW Qw] x@ F | =to} =Q } U u= O}t %h} QaD 645
"F = fA1; A2; . . . g x O = m w w

W @ O H t . . . A2 A1 Ov =
' ' v t
u; =} wo |}=yDv= \ =kv =@ =
| yxR @ " = CU= xOW O}rwD =Q=tW Qw] x@ R QO B | =to} } U u= O}t %p=Ft 745
- Uw x@
xr} B1 "Ovvm|t O}rwD =Q Bn | =to} } U u= O}t =} wo C =YDNt =@ | yx = QHL Rn QO " Ovvm|t O}rwD =Q
" CU= xOW O}rwD =} wo |y=vDt Oa@ =@ = x wDU=

| y v=
xR=
- O l}
v= Q s Q} } O =
o w " W @ . . . A2 A1 \
' ' w
U D x W O O}rwD =Q=tW Qw] x@ |}=to}U u= O}t l} F s Q}
} o
|= @ " } Fn = F (A1; A2; . . . ; An) QDr} Q P x O = ( ; F ) | =vD

Q s Q}o|t Q_v QO =Q i " m W @ |wQ y t
u; QO m '
n gx C
x Fn = f; ; C1n ; C2n; . . . ; Cm n w w mn C@F K}L O n Q m U= O H t t Y O a ' 1 y
Fn =yt k mn = Ckn u O = | Acp = Ap Q Q Bp Q Ckn = B1 \ B2 \ . . . \ Bk

| D= =Q 1 y }= " W @ t } @= @ y w
s}vm|t h} QaD Q} R CQ Y w x@ =Q |iO=YD | y = Q}eDt R= |= rx =@vO p=L "s}t=v|t

8 Q(C n)
>
 w 0
Xn (!) := > i
: 0 ! 62 Cin = P (Cin ) = } 0
OQ
Q= v= m L1 pov} = DQ t l} fXn ; Fng x C u = Xn 2 Fn T
m U= }= aO= " B "CU= C@=F Fn s D= Qy |wQ Xn uwJ
O =
' W @ P (Cin) = 0 |S ! 2 Cin x Fn Cin s Q
o } w |=Q=O ' m R= D= u; O =
o = " W @ Zw Qit !2 s} Q}o "CU=
|]QW O}t= xmv}= w |]QW O}t= h} QaD j@] " P (Cin) > 0 s}vm|t Q P
Z i = r w Ov=t|tv C =@F= Q
|= @ | R}J
s
% } Q=O CU= =ytD= |wQ u}ov=}t
Z
E (Xn+1 jFn)(!) = P (C n ) 1
Xn+1 dP
i Cin
X Z Q(Cjn+1)
= P (C n ) 1
dP
i fj :C n+1 Cin g Cjn+1
j
P (Cjn+1)
P (Cin+1 )>0
X Q(Cjn+1)
=
fj :Cjn+1 cni g P (Ci )
n
P (Cjn+1 )>0
X
= P (C n ) 1
Q(Cjn+1)
i fj :C n+1 cn g
j i
P (Cjn+1 )>0
= P (C n ) Q(Cin) = Xn (!)
1
i
'n 1 |= @ w Q Xn 0 xQ= wty uwJ "CU= pov}DQ=t l} fXn ; Fng |va E (Xn+1 jFn) = Xn T
} ' B
Z Z
E (jXn j) = Xn dP = X1 dP = Q( ) < 1
O}vm Q
Z i p L " = Xn a:s:
! X1 =yrov} DQ t L1 fXn ; Fng T
= |}=Qoty x}[
- k j@] u}=Q@=v@ "CU= Q=Ov=Qm ' B
R
sD= Q
|= @ " s}v C = Fn =yt
m @ F Q |sm C | = A Xn dP = Q(A) s} | =W A 2 Fn
D= |= @ =Q L U= i m " yO t u v '
x=o P (Cin ) > Q | Q(Cin ) = s

v; 0 o= Q P w =o P (Cin) = Q Cin
rw " 0 } Q=O ' u J x v; 0 o=
Z Z Q(C n)
Xn dP = n P (Cin ) dP = Q(Cin):
Cin Ci i
O a O "> 0 Qy |=Q@ 'Q P w

u J " CU= Q}PBp=QoDv= CN=wvm} Qw]x@ fXn ; Fng x m CU= u}= |Oa@ |=aO=
xm s}vm|t x_Lqt p=L Q(A) < " =o P (A) < Q x C

" x v; o= m w w
U= O H t | > 0
Z Z
fjXnj>xg
jXnjdP = Xn dP = Q(Xn > x)
fXn >xg
=Q " > P (Xn > x) x1 E (Xn ) = 1x Q( ) s

0 " } Q=O hW |@J |Q@=Q@=v j@] " fXn > xg 2 Fn Q = }R
" Q(Xn > x) < " P 1x Q( ) < x s Q} |

= r " m } o t nQ @ R |i=m xR=
- O x@ =Q
v= x Q P w s Q} | C =
' u J " } o t @ F
s} Q=O xu Q TB
Z
}= |= @
8n : 1
fjXn j>xg
Xn dP < ":
" CU= CN=wvm} Q}PBp=QoDv= ' fXn g x =@ -r vO ' h} QaD j@] TB
Xn a:s:;L
! X1 s}U wv
1
" } @ =yrov}DQ=t |}=Qoty x}[
- k j@] xm OQ=O |t R=Ht =Q =t CN=wvm} Q P QoDv= p=L
| } Bp=
CW=O s}y=wN A 2 Fn Q y |= @ Q
Z Z
Q(A) = A
Xm dP ! A
X1 dP 8m > n
`}UwD x}[ k j@]
R
Q(A) = A X1 dP A 2 S Fn Q
1
Q P
R
Q(A) = A X1 dP
- " ' y |= @ = r w " u}=Q@=v@
n=1
u; p =@vO x@ xm =Q | =Y Q}eD P
iO D
R
Q(A) = A X1 dP
t = r w " 'A 2 ( S Fn) Q Q
1
y |= @ |QwO wD=Q=m
n=1
Ck}k X1 = dQ
dP |va s}D L QO " } N U = s}vm h} QaD dQ
dP u= wva x@ =Q u; =D s}Ow@
Q(Cinn(!))
X1 (!) = nlim
!1 P (Cin (!) )
n
" ! 2 Cinn(!) xm CU= xOW ? =NDv= |Q ] w in(!) T O } v= xm
| > ">0 ' 0 Qy |= @ x Q =ov; 'Q P Q o= xm OW xO =iDU= ?r]t u}= R= x}[k u=yQ@ QO %Qm PD 845
% CU= w
CQ Y P (A) < =) Q(A) < " x C w w
u}= x@ xDmv u}= u=yQ@ " m U= O H t
P (An) < 21n x m |Q ] w x@ 'CU= w w fAn g1

O H t
n=1 " > =o O = xD O CL sm O}v Q
w | 0 x v; " W @ W= v Y L m Z i
s} | Q Q(An ) " | yO t Q= k " rw
A = fAn; i:o:g
P (A) = |rD = Q s j@ P P P (A ) = < 1 w
1
l} u}= xm " Q(A) " |rw ' 0 v mp @ r ] = r ' n 1 u J
n=1
" CU= Zk=vD
pw= pYi
hkwD u=tR '=y} Q@=Q@=v Lp ' pov}DQ=t QO |QDW}@ EL=@t
|wk w h}a[ 11
w QmU= sr
O N QO xrtH s w Q
R= " }O @ xO m OQ N @ w Q |iO=YD = Q}eDt x@ \w@ Qt
| y | =y} Q@=Q@=v R= |O= OaD =@ u}= R= V}B
p=tDL= 'sr u}= QO "OQm|t uwtvyQ R O
nQ @ O= a= | k u v k C w w= =@F= x@ s}kDUt Qw] x@ =Q=t xm OW C@=F |Q@=Q@=v l}
pov}DQ=t EL@ x- t=O= QO xm =Q pYi u}= "s}OQm Q=Ov=Qm P (jSN j > ) xr} - Uw x@ =Q P (sup jSj j > 2 )
j N
s
" }=xO=O X =YDN= =yro}vDQ=t x@ w Q
\ @ t | =y} Q@=Q@=v |UQQ@ x@ O};|t
. . . X2 X1 s Q}
' ' } o "s}vm |iQat OQ=O Q Qmt xO
- =iDU= OQ t w xm P =tv l} CU=
=Q |Q= oO sRq EL@ `wQW R= V}B
% s}vm|t h} QaD CQ Y w u}= x@ =Q (n ) X Xn |
1 w ' iO=YD | y = Q}eDt "OW=@ |iO=YD Ov};Qi l}
Xn = max jX j ; X = max

kn k
jX j:
k1 k
Q =ov; "OW=@ |ivtQ}e pov}DQ=tQ} R l} . . .

|= @ x 'X2 X1 s Q}
' } o h}a[ |Q@=Q@=v L1 x}[k 116
Z > 0 Qy
P (Xn > ) 1
Xn dP E (Xn ):
1
fXn >g
100
101 hkwD u=tR '=y} Q@=Q@=v Lp ' pov}DQ=t QO | QDW}@ EL=@t pw= pYi
s}yO|t Q=Qk "s}vm|t C@=F =Q pw= | @= @ v Q Q = \ki TB "CU= K[=w swO | @= @ vQ Q= %u=yQ@
Ak = fXk > w Xi w i = ; ;...;k

1 2 1g
s} Q=O w OvDUy sy R= =RHt An . . . A2 A1
' ' ' | y a= x wtHt
[n
fXn > g = Ak
k=1
u}=Q@=v@
X
n n Z
X
P (Xn > ) = P (Ak ) Xk dP;
k=1 k=1 Ak
Ak 2 Fk O |t p}mWD pov}DQ=tQ} R l}
w ' yO fXn ; Fng w
u J p L " = Xk > s } Q=O ' Ak |wQ u J w
n Z
X n Z
X
P (Xn > ) E (Xn jFk )dP = Xn dP =
Zk=1 Ak k=1 Ak
= Xn dP E (Xn ):
fXn >g
p> 0 Qy w > 0 Qy Q =ov; "OW=@ |ivt Q}e po}vDQ=tQ} R

|= @ x . . . X2 X1 s Q}
' ' } o %xH}Dv 216
P (Xn > ) p E (Xnp): 1
pov}DQ=tQ} R l} Xnp = '(Xn ) u Q =v }= @ @ " CU= |rwRvQ}e w ? OLt `@=D l} ''(x) = (x+)p ` = @ D %u=yQ@
= x}[k j@] "CU= |ivtQ}e

q @ -
P ((Xnp) > p ) p E (Xnp ) 1
" P ((Xnp) > p) = P (Xn > ) = t=
x@ =Q jjX jjp X = (X1 ; X2 ; . . .) p

' w ' 1 w . . . X2 X1 |
' ' iO =YD Ov};Qi |= @ Q %h} QaD 316
s}vm|t h} QaD CQ Yw u}=
jjX jjp = sup

n
jjX jjp = sup
n
(E (jXn jp))1=p:
" p> 1 w OW=@ |ivtQ}e pov}DQ=tQ} R l} . . . X2 X1 s Q}

' ' } o |wk |Q@=Q@=v Lp x}[k 416
x =ov;
'
1
p + 1q = 1 xm ' jjXnjjp qjjXnjjp hr=
"jjX jjp qjjX jjp ?

hkwD u=tR '=y} Q@=Q@=v Lp ' pov}DQ=t QO | QDW}@ EL=@t pw= pYi 102
s} Q=O =wvm} |}=Qoty x}[

- k Q = x@ =@
uO @ Q m w
CQ Y u; QO = } R & Q s}vm C@=F =Q hr= CU= |i=m %u=yQ@
n ! 1 : Xn " X a:s: =) jjXnjjp " jjX jjp =) jjXnjjp ! jjX jjp:
" s}vm C@=F =Q Q} R sr CU= |i=m hr= C =@F= |= @ Q
% Ovvm O
j Y Q} R Q
\ W QO xm OvW=@ |iO=YD Y; Z s Q} u y @ uwQO r 516
| y = Q}eDt 0 } o = Q s
'
R
P (Y > ) 1 fY >g ZdP > Q Q % 0 y |= @
"
1
p +q=1
1 x jjY jjp q jjZ jjp
m ' C s} w p > Q Q =o W=O y= N 1 y |= @ x v;
u}= Q sr \}=QW h}a[

|= @ Q Q=
| @= @ v L1 w Z = Xn Y = Xn s}
QO u J ' Q ww C= s u Q yO Q= k w O W @ F r }= o=
O O w xH}D h C QQ Z Y
" W y= N v r= ' U= Q= k @ w
ut[ QO w X2 2 Lq X1 2 Lp x X2 X1 | =Y Q}eD Q Q x O =} = x % r u y @
w m w iO D t wO y |= @ m } Qw @ O } @ s = Q
s}U w | = E (jX1 X2 j) jjX1 jjp jjX2 jjq s

} v t p L " Or =U = Q =v 1p + 1q = } Q=O Q y |w t v @ @ ' 1
Z Z ZY
Y dP = ( pp 1 d)dP
p = =U | = x}[ u @ L U U= - k
Z10 Z
= pp 1 ( If<Y gdP )d |v} w x}[ Q =v @ i - k @ @
Z01 Z1 Z
= p P ( < Y )d p (
p 1 p 2
ZdP )d
fY >g
Z0 Z Y 0
Z
= Z ( pp 2 d)dP = p p ZY p 1dP
0
p p jjZ jjpjjY p 1jjq = qjjZ jjpjjY jjp=q
1
p Or =U = Q =v Q y |w t v @ @
1
"OO o Q |t C@=F smL ' qp =p 1 jjY jjpp qjjZ jjp jjY jjp=q
w
u J p |va }
"CU}v CN=wvm} Q}PBp=QoDv= Xn xm OQm =O}B 'OW=@ Q=Ov=Qm L1 x Xn pov} = l w | p = Q

m ' 0 DQ t } u= D t 1 o=
jjX jj1 = +1 | jjX jj1 < 1 u Q =v

" rw }= @ @
" O}vm =O}B =Q j i p w =Ft %u} QtD 616
Q Q = x@ O}=@v C=@F= OvwQ QO 'OwW xO=O |tmL Qy "O=O

| @= @ v u= D w |t |tmL xJ p = 1 Cr=L OQwt QO s}v}@@ p=L
" s}vm w Q Ory
OQ N @ Q
x =ov; "OW=@ |ivtQ}e pov}DQ=tQ} R l}s . . . X2 X1 s Q}

' ' } o %x}[k 716
jjX jj1 + sup

n
E (Xn log+ Xn )
2 2
" log+ x := log x _ 0 xm

C@=F n 1 Qy |= @ Q xm s}vm C@=F CU= |i=m %u=yQ@
jjXnjj1 + E (Xn log+ Xn )

2 2 (y)
|}=Qoty x}[
- k R= smL n ! 1 |D E (Xn log+ Xn) "
kw wXn " X w w
u J CQ Y u; QO = } R Q
Q Q = x@ xm s}vm|t CkO |yDvt s}vm|t O}rkD p@k x}[
| @= @ v - k u=yQ@ R= (y) =@ QC F= |= @ " }; O |t CUO x@ =wvm}
s}vm|t h} QaD
% CQ Y w u}= x@ =Q Mk | iO=YD | y = Q}eDt x- r=@vO w s} Q}o|t C@=F =Q > 0 " s}UQv QOry
Mk = E (Xn IfXn>gjFk ) k = ; ;...;n 1 2
CU= n u; pw] CU= |y=vDt pw] =@ pov}DQ=t l} fMk ; Fk g Fk = F (X1 ; . . . ; Xk ) =Hv

" }= QO xm
kn1 Q Q C |iv Q} =vt 1 |= @ = } R ' U= t e , [ w
E (Mk+1 jFk ) = E (E (Xn IfXn>gjFk+1 )jFk ) = E (Xn IfXn>gjFk ) = Mk :

kn Q =
|= @ p L " s}vm pQDvm =Q X | =yDv= xm OyO|t =Q u =mt= u}= =t x@ Mk uO @ w pov}DQ=t C}Y=N
Xk E (Xn jFk ) = Mk + E (IfXngXn jFk ) Mk + ;

fMk ; Fk g pov} =
DQ t |= @ Q h}a[ Q Q=
| @= @ v L1 j@ ] TB "P (Xn > ) P (Mn > )
2 u}=Q@=v@
P (Xn > ) E (Mn ) = E (Xn IfXn>g);

2
1 1
s}vm|t O}rkD p@k x}[

- k u=yQ@ R= p L =
Z1
E (Xn ) =2 0 P (Xn > 2)d

Z1 Z1
0 2 > )d + 1 P (Xn > )d
P (Xn 2 2 2
Z1
+ 1 P (Xn > )d
2 2 2
Z1
+ 1 E (Xn IfXn>g)d
2 2
1
Z1 Z
= +2
( fX g Xn dP )d
2
1
Z Z Xnn_>1 1
= +2 Xn ( 2
d)dP
1
|v}@ wix}[kQ@=v@
1
= + E (Xn log+ Xn ):
2 2
|y=vDt x- r=@vO x=ov; 'OW=@ T wmat pov}DQ=t l} . . . X2 X1 Q

' ' o= %Qm PD 816
jX1j; jX2 j; . . . ; jXnj

R= O @ w Oy=wN CQ =@a =yrov}DQ=tQ} R |= @ Q x@=Wt xH}D
- v u}=Q@=v@ "CU= pov}DQ=tQ} R l}
jjXnjj1 + E (jX1 j log+ jX1j)

2 2
s} Qw;|t CUO x@ xH}Dv QO xm
jjX jj1 + E (jX1 j log+ jX1j):

2 2
l} Snn x=ov; 'E (jZ1 j) < 1 w ' OvW=@ i:i:d | =Y = Q}eD . . . Z2 Z1 Q

iO D | y t ' ' o= %OQ@ Q=m 916
sup jSnnj 2 L1
" x =ov; E (jZ1 j log+ jZ1 j) < 1 Q xH}D C
' o= v QO & U= T wmat pov}DQ=t
n
% WO C@=F (Burkholder) Or w \ w = Q NQ @ U D 1962 p U QO ?r]t u}= Tma
" E (jZ1j log+ jZ1j) < 1 x=ov; ' sup jSnnj 2 L1 Q} N= \}=QW =@ Qo = C=@F= uwO@ x}[k 1016
n
hkwD |=yv=tR 21
" s}vm u=}@ =Q |Q=}DN= |Q}oxvwtv x}[

- k |va} |iO=YD |=yOv};Qi syt |=}=[k R= |m} s}y=wN| t VN@ u}= QO
O}vm ZQi "CU= xOt; Q=tk | =y} R=@ R= hkwD u=tR Cer "s}DUy hkwD u=tR swyit OvtR=}v x}[k u}= u=}@ |=Q@
Z i Q xmU | =y@=DQB R= |y=vDt=v x-r=@vO QO , qFt "OW=@ s=Hv= p=L QO ' CU= =
u tR R= QF-=Dt xm Tv=W |R @ = l}
CU= |vwv=k 'hkwD uwv=k l} "CU= xOW xDUv=O xm OW=@ s= n x_L =
- r D um} R=@ C=aq]= x-OvyO u=Wv n O}vm F
xaiO x_L
- r QO xm OQ}o|t s}tYD s= n x_L- r =D xOt; CUO x@ C a = q]= T U= = Q@ um} R=@ 'u; j@] Q@ xm
s= n+ xa
1 - iO QO |R @ = Ot=}B 'Ovm Q
l D =Q |R @ s= = n x_L- r QO um} R=@ Qo = "xv =} Ovm Q
l D =Q |R @ s= = n+ 1
=} = Q u}}aD xm OUQ|t Q_v x@ pwkat TB Owtv u}at

|R @ l D =Q |R @ = xH}Dv V}B R= u= Dw |tv umr "Ov=O|t =Q
"s}yO|t u=Wv O =tv =@ =Q hkwD u=tR QP

"O } B CQ Y s= w n x_L- r =D xOW s=Hv= | =y} R=@ T U= = Q@ x
u; - t=O=
CU= |a}@] h=Yw= u}= =@ "OwWv hkwDt ,qY= |R=@ xm}v=tR |=Q@ "Ovm pw@k R}v =Q + 1 Q= Okt xm s} Q}PB|t
s}vm|t j}kO Q} R h} QaD
% QO =Q hkwD u=tR swyit p=L "f = ng 2 Fn xm OW=@ |iO=YD Q}eDt x m
|iO=YD Q}eDt 'OW=@ xOW xO=O fFngn2N QDr} i s} Q}o %h} QaD
: ! N [ f+1g
"f ng 2 Fn n Q Q Q s} = | ' 1 y |= @ o= t v t hkwD u=tR Fn l } =Q
=
u tR " f = ng 2 Fn ' n Q Q x u = C =a h Qa u x
1 y |= @ m }= @ U= pO t } D }= m O=O u =Wv u=wD|t |oO=U x@
h} QaD w
QO uO @ pO =at 'Ov=|O wa = Fn w Ov = | R} (Optional)
Y y u J " =}D t v t v |Q N= |iO=YD Q}eDt =Q hkwD
w | xH}D f = ig 2 Fi Q
O W t v =W R= = } R "O=O u v u= Dw |t |DL=Q x@ w
=Q j i
[n
f = ig = f ng 2 Fn
i=1
"f = ng 2 Fn f n w ' 1 g 2 Fn 1 Fn x =ov; 'f ng 2 Fn Q o= R}v w
|iO=YD Q}eDt B 2B Q x wtHt Qy |=Q@ "OW=@ |iO=YD Ov};Qi l} . . .

p @ -a 'X2 X1 s Q} ' } o %p=Ft2 26
= inf fn : Xn 2 B g
Q
= }R ' CU= swUwt w Q
OQ N @ u tR = x@ w CU= hkwD u=tR l} " } s Q}o|t Q_v QO =Q
f = ng = fX1 62 B ; X2 62 B; . . . ; Xn 1 26 B ; Xn 2 B g 2 Fn
Fn = F (X1; . . . ; Xn )
" xD@r= xm
= O = xDU@=w xOv}; x@ |iO=YD u=tR l} Qo = "OW=@ xDU@=w xDWPo x@ O}=@ hkwD u=tR
u tR ' W @ %p=Ft 326
" CU}v hkwD

|iO=YD u=tR ,qFt
= inf fn : Xn = min Xk ; k 1000 g
- y Q}O=kt O}=@
xt ' uDU Q Q
v=O |= @ = } R f g 62 F10 10 w |t x_Lqt xm Qw]v=ty "O} Q}o@ Q_v
O W QO =Q
" s}v=O@ =Q |iO=YD Q}eDt Q=Ry
w Q =
OQ N @ u tR ' (E; G ) | =[i QO Q= Okt =@ fXn ; Fng | iO=YD Ov};Qi Qy |= @ Q |rm Qw] x@ %p=Ft 426
% s}vm|t h} QaD Q} R CQ Y w x@ =Q u; w s}yO|t u=Wv G =@ =Q Ov};Qi u}= \UwD G2Gx -awtHt x@

8
! 2 S fXn 2 Gg
> 1
<inf fn : Xn (!) 2 Gg
G (!) = > n=1
:+1 CQ Y w u}= Q}e QO
Q
= }R CU= hkwD u=tR l} R}v |iO=YD Q}eDt u}=
\
fG = ng = fXm 62 Gg \ fXn 2 Gg 2 Fn:
m<n
xm OQm smL w |tv |rm Cr=L

u= D QO =t= f > ng 2 Fn n Q ' y |= @ Q OvJ Qy xm O}vm xHwD
8B 2 F1 ; 8n 1 B \ f > ng 2 Fn:
|y=vDt k h w = = st} Rm =t
W h w = = st}v}t
V =Wv w |t |oO=U x@
k k
k k
' k D | yu tR ' w k D | yu tR ' O=O u u= D
k
Q
= } R & v=O hkwD | =yv=tR OwN '|y=vDt=v =}
^ [
f k ng = fk ng 2 Fn
_k \k
f k ng = fk ng 2 Fn:
k k
?r]t u}= R= x Ov}; QO " CU= hkwD u=tR l} OwN 'hkwD | =yv=tR R= |O waY x- r=@vO l} OL X N = Cr=L QO
"O mQ s}y=wN xO =iDU=
s}vm|t h} QaD Q} R CQ Y w x@ =Q F
Fn l O}v Q % }
xO=
- w=
v N " W @ O = hkwD u=tR } ' m Z i h QaD 526
_
F = fA 2 F1 : 8n ; A \ f ng 2 Fn g (F1 = Fn ) 1
n
O
" v=xO=O MQ =
u tR R= p@k F | y t = O =W}B s}} wo
'CU= |}=to}U u= O}t l} F hr= %xQ=Ro 626
Q}eDt "OW=@ |y=vDt Q}O=kt =@ hkwD u=tR Fn l } w OW=@ Q=oR=U fFng x @ C@Uv fXn g O}v m Z iQ ?
" CU= F X QO x =ov; "s}vm|t h} QaD X (!) = X (!)(!) CQ Y w x@ =Q X | iO =YD
n Q =ov;
1 |= @ x (i = ; ; . . . ) Ai 2 F Q
1 2 2 F x C ' o= " m U= K[=w hr= %u=yQ@
[
1 [
1
( Ai) \ f ng = (Ai \ f ng) 2 Fn
i=1 i=1
n Q Q =o A 2 F Q = S Ai 2 F
1
1 y |= @ x v; ' o= p L " ' h} QaD j@] TB
i=1
A \ f ng = f ng (A \ f ng) 2 Fn:
c
F |va Ac 2 F T " CU= |}=to}U u= O}t l} } " B
s B 2 B Q Q s Q} | C = n0 2 N ? } Q=O y |= @ " } o t @ F =Q
fX 2 B g \ f n0 g = f! : X (!)(!) 2 B ; n0 g
[
n0
= f! : X (!)(!) 2 B ; = ng
n=1
[
n0
= f! : Xn (!) 2 B g \ f = ng 2 Fn Fn 0
n=1
Q x wtHt Qy
p @ -a |= @ ' Q fX 2 B g 2 I |va fX 2B g \ f n0 g 2 Fn n0
} "
0
' 1 Qy |= @ Q u}=Q@=v@
" CU= Q}PBxR=Ov= F X T B ' B "
u= O}tQ} R l} w CU= xOW p}mWD Ov=xO=O MQ =

u tR R= p@k xm |}=yOt=W}B R= F | =to} } U u= O}t s}Dio
" (pre field) "Ov} wo R= p@k |}=to}U u= O}t =Q u; p}rO u}ty x@ "CU= F1 | =to} } U
u= O}t xH}Dv QO " CU= hkwD u=tR l} N [ f1g = N1 x C= @ R= @ F CW=ov Qy %xH}Dv 726
" nx m CU= |Q ] w n =Hv }= QO xD@ x O = | Fn | =to}

r= m " W @ t } U u= O}t u=ty ' n R= p@k |}=to}U
|}=to}U u= O}t x@ C@Uv ' f: ! R | =Y Q}eD O = h w = l s Q} %xQ= o 826

iO D t " W @ k D u tR } } o R
Qy Q O = Q}PBxR=Ov=
|= @ " W @ Fn f = ng x f O OL n 2 N Q Q Q \k Q C Q P O F
' @ } D ' y |= @ o= i w o= U= } BxR= v=
O}t= 'CU= xOW h} QaD ( ; F ; P ) =tD =[ x Y |k}k Q P QoD = C@F | =Y Q}eD

p L= | i |wQ m L } Bp= v= } t iO D t
C Q w x E (Y jF ) | Q U= } R CQ Y @ ] W
8n 2 N1 : E (Y jF ) = E (Y jFn ) &f = ng |wQ"
QQ
Q= k @ F h Qa j@ } D ] pw= CtUk x=ov; 'B 2 F1 Q
|= @ ' f = IB Q o= s}} wo pw= CtUk C=@F= |=Q@ %u=yQ@
C@=F smL Q}PBxR=Ov= F1 | =ya@=D TBU w |ivt=v |iO=YD |=yQ}eDt 'xO U = C@Ft |=ya@=D x@ `}UwD =@ "CU=
xwqa x@ 'CU= Q}PBxR=Ov= F Y ' 'pw= CtUk j@] "OW=@ C@Ft Y s Q} } o swO CtUk =@
C F= |= @ "O W Q w |t
=@ CU= Q Q B 2 F
@= @ |wQ |iO=YD Q}eDt u}= p= QoDv=
XZ XZ
E (Y jFn)dP = Y dP
N1Z B \f =ng Z N1 B \f =ng
= Y dP = E (Y jF )dP
B B
`@=wD x@ `}UwD "CU= E (Y jF ) |w =Ut `@=D u}= =Pr ' n 2 N1 Qy |= @ Q B \ f = ng 2 Fn w
u J
" CU= xO U = |rm Q}PBp=QoDv=
X |iO=YD Q}eDt ' hkwD u=tR Qy Q

|= @ w (Xn )n2N = =
Q oR U |iO=YD Ov};Qi Qy |= @ Q %xH}Dv 926
CQ Y w x@ xm f < 1g |wQ
X (!) = X (!)(!)
,qO =at =}
X (!) = Xn (!); n 2 N; f = ng |wQ
Cr=L u}= QO xm ' (Xn )n2N1 | iO=YD Ov};Qi Q xH}Dv u}= x@=Wt "CU= Q}PBxR=Ov=
|= @ F w |t h} QaD
'O W
w |t h} QaD
"O W | =[i s=tD |wQ X C = r L u}= QO " CU= Q=QkQ@ O } Q PB@ R}v =Q +1 Q= Okt Ov=wD|t n
( ; F; P ) |wQ Q}PBxR=Ov= F h w
' =
k D u tR O N w xm s}v}@|t 'Xn = n s Q}o } @ Qo = X=N Cr=L QO
" CU=
sy f 0g f = 0g f < 0g O =W}
w ' t B ' hkwD | =yv=tR R= 0
w GwR Qy |= @ Q %xQ=Ro 1026
xQ=
- R
o R= Qo}O Q
h ] R= " F 0 s y w OvDUy F x @ jraDt
B 2 F =) B \ f 0g 2 F 0
" F F 0 x =ov; ' 0 Q 0 Q o= ' w y |= @ Q xm OwW|t xH}Dv
"OvDUy F1 QO |UQQ@ w
OQ t | y t = O =W}B xm CU= K[=w 'OvQ}PBxR=Ov= F1 0 ' w |wO Qy uwJ %u=yQ@
n 1 Qy |= @Q Qo}O Q
h ] R=
f < 0g \ f = ng = f 0 > ng \ f = ng 2 Fn
f = 0g \ f = ng = f 0 = ng \ f = ng 2 Fn
" CU= Fn QO f 0g |va =y =tD OvDU Fn f = 0g f < 0g
R}v } v; ` H= ' y QO w w
u J p L =
w Vk Q
v = }R & OvDUy F 0 Q f 0g f < 0 g = O =W} x s}v | x_ q ptm
QO wO y w | y t B m m t L t t uDiQo =@
n Q Q =o B 2 F Q w | 1 y |= @ x v; ' o = "O W t Z a w 0
B \ f 0g \ f 0 = ng = B \ f ng \ f 0 = ng 2 Fn
Q
= }R ' CU= F 0 B \ f 0g xH}D
QO v QO
[n
B \ f 0g \ f 0 ng = B \ f 0g \ f 0 = kg 2 Fn
k=1
xH}Dv f < 0g = f = 0g} = O =W}B =@
| y t B \ f 0g QD uD Q = O wa = Fn l = W= i o @ " v=|O Y y Q
= }R
" OvDUy F 0 R} B \ f < 0g B \ f = 0g x w

QO v w m O W |t
|Q=}DN= |Q}oxvwtv x
- }[k 31
hkwD u=tR xm CU= u}= u; w 'OvDUy R}J l} p=@vO |Q =}DN= | Q}oxvwtv =

- @ QO
xQ |rm =
| yxQ= o s R =tD Ck}kL QO
Q
|= @ "O m Q C@=F u=tR u} Ro}=H =Q |Q =}DN= u=tR w |t xmv}= =} Ovm|t pta C@=F u=tR Ovv=t
u= D |Q =}DN= u=tR
l} =@ O}}=}@ "OOQo|t `[w |}=yD}OwOLt =} \}=QW fXn g pov} = =
DQ t } w |Q =}DN= u=tR |wQ |y=o Qw_vt u}=
R= |=xOQ 'Y |iO=YD Q}eDt Qy Q CU= syt Q=}U@

|= @ " xO U = Cr=L u}= xm O}O s}y=wN "s}vm Q
`w W xO U = Cr=L
s} Q=O mnQ
' o= u Jw s}vm|t h} QaD CQ Yw u}= x@ =Q =yrov}DQ=t
Xn = E (Y jFn) n 2 N1 ()
Xn = E (E (Y jFm)jFn) = E (Xm jFn)

u}= Q} R x}[
- k "CU= Q=QkQ@ x]@=Q u}= N1 |wQ xmr@ 'N |wQ =yvD xv "CU= pov}DQ=t l} ,=ak=w fXn; Fn g
O
" yO |t s}taD |Q =}DN= u=tR hkwD u=tR Q
|= @ =Q \@=wQ
s} Q=O |Q =}DN= u=tR hkwD u=tR Qy Q

|= @ %x}[k 136
X = E (Y jF )
CUO x@ |=xrtHwO pov}DQ=t l} fX ; F ; X ; F g x=ov; 'CU= hkwD u=tR l} u; QO xm ' Qo =
O
" yO |t
() w uUvH Q Q = Q@=v@ "CU= Q}PBp=QoDv=

| @= @ v X xm s}yO|t u=Wv =OD@= %u=yQ@
jXn j E (jY jjFn)

CiQo xH}Dv =D OQ@ Q=m x@ =Q ?r]t u}= w |t
u= D f = ng 2 Fn w
u J
Z XZ XZ Z
jX jdP = f =ng
jXnjdP jY jdP = jY jdP
n n f =ng
s} Q=O '2F Qo = p=L
Z XZ
X dP = Xn dP
n Zn
X Z
= Y dP = Y dP
n n
"X = E (Y jF ) xH}D v QO " CU= Q=QkQ@ jwi |=y} w=UD 'n 2 Fn u Jw'w n = \f = ng =Hv }= QO xm
|]QW O}t= C}Y=N j@] w ' F F x =ov; ' Qo = p=L
X = E (E (Y jF )jF )
= E (X jF )
" Ovm|t C@=F =Q x}[k swO CtUk xm

CQ Y w x@ hkwDf ng x =@
| =yv=tR R= -r vO Qo = w xH}Dv l}
'|Q i - u=wva x@
1 2 ... n ...
s}taD =y pov}DQ=tQ} R Q
|= @ =Q q @ - = x}[k s}vm|t |aU =
p L " CU= pov}DQ=t l} fX n ; F n g x=ov; 'OW=@
" s}yO
QDr}i x@ C@Uv pov}DQ=t pov}DQ=tQ} R l} . . . X2 X1 s Q} %|Q

' ' } o =}DN= |Q}oxvwtv x}[k 236
"Yk 2 Fk x m s}v=O|t "s}vm|t h} QaD Yk = Xk w x Yk O O CQ Y @=Q } H |iO=YD | y = Q}eDt "OW=@ fFn g
% mx O}vm Z i Q
' E jYk j < 1 k ' 1 Qy |= @Q 1 h
lim Rfk >N g jXN jdP = k 0 ' 1 Qy |= @Q 2 h

N !1
" CU= pov}DQ=t pov}DQ=tQ} R l} fYk ; Fk g x=ov;
CQ Yw x@ =Q di |rov} DQ t = |r[=iD x- r=@vO %u=yQ@
di = Xi Xi 1 (X0 := ) 0
x m v }= C= @ F= Q
|= @ " E (di jFi 1) 0 C U= p o v } DQ= t p o v } DQ= tQ } R fXn g w
u J " O} Q}o@ Q_v QO
xm s}vm C@=F O}=@ 'CU= pov}DQ=t pov}DQ=tQ} R fYk = Xk g1k=1

E (Xk +1
Xk jFk ) 0 k 1 Qy Q
|= @"
O Q}o@ Q_v
% } QO =Q Q} R |t=eO= `wtHt
X
k+1 X
1
Xk +1
Xk = (Xi Xi 1 ) = Ifk<ik gdi +1
i=k +1 i=1
Q}O=kt =@ |iO=YD = Q}eDt
| y R= |O waY x- r=@vO Qy fk g x =@-r vO | H = x@ `wtHt u}= QO u= D w |t xm CU= K[=w
P
= r "O=O Q= k =Q Q K}LY
X
N X
1
Xk +1 ^N Xk ^N = Ifk^N<I k +1 ^N gdi = Ifk<I k gdi +1
i=1 i=1
xm OwW|t xH}Dv 'Fk A x QO -a wtHt Qy |= @Q
Z N Z
X
(Xk ^N Xk ^N )dP = Ifk<ik gdi dP
A +1
i=1 A +1
XN Z
=
A\fk <ig\fik+1 g
didP
i=1
's}U} wv|t '?r]t u}= uO}O |=Q@ "A \ fk < ig \ fi k+1 g 2 Fi 1 xm CU= u}= =aO= xrLQt u}= QO
% Fk h Qa } D Q@=v@
A \ fk < ig = A \ fk i 1 g 2 Fi 1
hkwD u=tR h} QaD Q@=v@ w
fi k+1 g = fk+1 i 1 gc 2 Fi 1
s}U} wv@ s}v=wD|t u}=Q@=v@
Z N Z
X
(Xk ^N Xk ^N )dP = E (dijFi 1 )dP (= ) 0 0
A +1
i=1 A\fk <ig\fik+1 g
pq ODU= 2 h ' s}yO|t p}t 1x N @ =Q = Q

'u y @ uO m Q pt=m |=Q@ "CU= Q=QkQ@ A 2 Fk Q Q
y |= @ | @= @ v Q Q = u}=
xm s}vm|t =aO= =OD@= "Ovm|t pt=m =Q
Z
N !1
lim j(Xk +1
Xk ) (Xk +1 ^N Xk ^N )jdP = 0
|= @Q xm OyO|t xH}Dv q=@ Q Q = =@ =aO= u}= ?}mQD =Q} R &OUQ|t

| @= @ v C =@F= x@ x}[k 's}vm C@=F =Q =aO= u}= Qo =
C@=F =aO= = CU= wr]t xH}D =ty xm
R (X Xk )dP (= ) A 2 Fk Q
=Q p L " ? - v u '
A k +1
0 0 ' y
=@ CU= Q@=Q@ s}=xO=O Q=Qk |UQQ@ OQ t w N !1 Q u} = O x | QoD s}v |

|= @ =Q u; } B L m r= v= " m t
Z
fkZ+1 >N g
j(Xk Xk ) (Xk ^N Xk ^N )jdP
+1 +1
h i
j Xk j + jXk j + jXN j + (jXk j + jXN j) dP
Zfk >N g +1
+1
Z
= (jXk j + jXk j)dP + 2 jXN jdP: 2
fk+1 >N g +1
f >N g k+1
swO p= QoDv= '2 h xH}Dv QO w " Ovm|t p}t QiY x@ CU=Q CtU pw= p= QoDv= N ! 1 |D kw '1 h Q@=v@
O
" UQ |t C =@F= x@ =aO= w ' Ovm|t p}t QiY x@ R}v
" Fk Fk +1

xm O}vm j}kLD %Qm PD 336
"k 1 Qy |= @ Q E (Xk ) E (X1)(=) x m CiQo xH}Dv w |t

u= D %xH}Dv 436
s}vm|t h} QaD w
CQ Y u}= x@ =Q k0 h w k D | =yv=tR O}OH x- r=@vO %u=yQ@
10 = ; 20 = 1 ; . . . i0+1 = i

1
pov}DQ=tQ} R l} Xi0 xm s}@=}|t QO ' } s Q@@ Q=m x@ hkwD | =yv=tR O}OH x- r=@vO u}= |= @ =Q Q x}[k Qo = p L =
" E (Xk ) = E (Xk0 ) E (X 0 ) = E (X1)
+1 1
x }wS x@ 'CU= pov}DQ=t
QDxO=U =yv; |UQQ@ xm |}=y[Qi =@ =Q 2 h w 1 h | =y[Qi |va} 'x}[k \}=QW s}y=wN|t =
p L
" s}}=tv u} Ro}=H 'CU=
O Qy Qo = x=ov; "OW=@
R= s= m |Q =}DN= | Q}oxvwtv x}[
- k Ovv=ty fk g fXn ; Fng s Q}
w } o %x}[k 536
% CiQo xH}Dv w |t
u= D =Q 2 h w 1 h ' OvW=@ Q=QkQ@ Q} R | =y[Qi
' k (!) Mk k ' 1 Qy Q xm CU= OwHwt
|= @ Mk | =yD@=F x-r=@vO hr=
Q}eDt x@ L1 QO w a:s: Xn s}
' v=O |t w u}= QO xD@r= xm CU= Q}PBp=QoDv= CN=wvm} Qw] x@
OQ t fXn ; Fng ?
k 1 Qy |= @ Q `k=w QO =} 'Xn E (X1 jFn) x m |Q ] 'w CU= =Qoty X1 Q P } Bp= QoDv= |iO=YD
Xk E (X1 jFk )

s} Q=O R}v Cr=L u}= QO " CU= Q=QkQ@ 2 h Z i w Q sup
n
E (jXnj) < 1 G
E (jXk j) Nlim
!1
( E (XN+ ) E (X1 )) 2
E (Xk ) Nlim
!1
E (Xn ):
Xk ' CU= Q}PBp=QoDv= Xj Qy w

u J " jXk j PMj=k1 jXj j x=ov; 'k Mk Qo = hr= %u=yQ@
N Mk Q | Q o= i ] R= w " CU= Q=QkQ@ 1 h TB "CU= Q}PBp=QoDv=

Z
fk >N g
jXN jdP = 0
" CU= K[=w R}v 2 h TB

'P (A) < Q x C w o= m U= O H t w > "> 0 ' 0 Qy |=Q@ 'CU= Q}PBp=QoDv= CN=wvm} Qw] x@ ' fXn g w u J ?
R Ok
nQ @ Q N C= k
v; =Q ' @ F Q O Q}o@ C@=F
|= @ " } =Q "> 0 p L "= n 1 Qy
R
Q A jXn jdP < "
|= @ x=ov;
s} Q=O nN Q =ov;
|= @ x P (k > N ) < x O}v m m Q =}DN=
Z
fk >ng
jXn jdP < "
A 2 Fk ' C@=F k |=Q@ p=L "OyO|t xH}Dv =Q 1 h ' fXn g w

uO @ Q= v= mOQ L1 " Ovm|t C@=F =Q 2 h u}= xm
s} Q=O "O}vm ? =NDv= =Q
Z N Z
X
Xk dP = Nlim
!1
Xj dP
A j =1 A\fk =j g
X N Z
Nlim
!1
E (X1 jFj )dP ; A \ fk = j g 2 Fj
j =1 A\fk =j g
XN Z
= Nlim X dP
!1 j =1 A\fk =j g 1
Z
= X1 dP:
A
xm O}vm x_Lqt G
Z N Z
X Z
X+k ^N dP = X + dP +
j XN
+ dP
j =1 fk =j g fk >N g
XN Z Z
f =jg XN+ dP + f >N g XN+ dP
Zj=1 k k
= XN+ dP
s}U} wv|t uwvm = " E (Xk ^N ) E (X1) s } Q=O |Q =}DN= | Q}oxvwtv x}[
- k Q = x@ =@ u}vJty
uO @ Q m
jXk ^N j = X+k ^N Xk ^N

2
x =ov;
E (jXk ^N j) = E (X+k ^N ) E (Xk ^N ) E (XN+ ) E (X1 )
2 2
wD=i sr Q@=v@
E (jXk j) = E ( lim jXk ^N j) lim E (XN+ ) E (X1)

2
N !1 N !1
=Q pw= |mtm xH}D

- v Q Q = u}=
'| @= @ v "O wtv u} Ro}=H lim
N !1
=@ =Q lim u= D w |t 'CU= |O waY E (XN+ ) w
u J
N !1
%swO - xH}Dv C =@F= x@ s} R=OQB|t "Ovm|t C@=F
Z X N Z
E (Xk ) = Xk dP = Nlim X dP
!1 j =1 fk =j g k
XN Z
= Nlim X dP
!1 j =1 fk =j g j
XN Z
Nlim X dP
!1 j =1 fk =j g N
Z
= Nlim
!1
( E ( X N ) XN dP )
fk >N g
= Nlim
!1
E (XN )
R
" lim
N !1 fk >N g XN dP = 0 2 h Z i Q Q@=v@ =Q} R
l} w ' pov}DQ=t po}vDQ=tQ} R l} fXn ; Fng s Q} } o %|Q=}DN= |Q}oxvwtv x}[k x

- H}Dv 636
" CU= pov}DQ=t pov}DQ=tQ} R l} fX ^n; F ^ng x =ov; "OW=@ |y=vDt hkwD u=tR
O Q@@ Q=m x@
" } =Q p@k x}[
- k hr= CtUk p=L "k 1 Qy Q
|= @ ' k = ^ k k O}v Q
m Z i %u=yQ@
R= xH}Dv u}= "CU= Fn QD R QDr} x C@U pov} = pov} = Q l fX ^ng `

oQ @ i @ v DQ t DQ t } R } k=w QO %Qm PD 736
pov}DQ t = Q l fXn; Fn g Fn Gn F (X1 ; X2 ; . . . ) Q |r w x Q

}R } w o= m Q ] @ = } R ' CU= QD} wk jwi xH}D
- v
|i=m "O}v | Q m ?r] u C

UQ @ =Q pov} = pov} = Q l fXn ; Gn g
t }= " U= DQ t DQ t } R } x=ov; 'OW=@ pov}DQ=t
P Xn 1 2 Gn 1 =o Xn 1 2 F (X1 ; X2 ; . . . ) w
= r ' x v; ' u J xm O}vm x_Lqt CU=
Xn 1 = E (Xn 1 jGn 1)
E (E (Xn jFn 1 )(Gn 1)
= E (E (Xn jGn 1 )jFn 1)
= E (Xn jGn 1 )
" Gn 1 Fn 1 =Q} R
u=Qm|@ |=yrov}DQ=t 41
# Cio u= D w |t xJ u= m Q |@ | =yrov}DQ=t xQ
- =@ QO "OvDUy =Qoty a:s: OQ
'Q= v= m L1 | =yrov}DQ=t xm s}v=O|t
E (sup
n
(Xn+1 Xn )) < 1 | S o } w QO xm OW=@ pov}DQ=tQ} R l} fXn; Fn g s Q} } o %x}[k 146
- Ov= =@ xawtHt l} GQ=N ! Qy |=Q@ |va} '=y! xt

Cr=L wO R= |m} 'QiY xR= - y =@} QkD |=Q@ x=ov; "Ovm|t O
, j Y
O
% yO |t MQ Q} R
' CU= |y=vDt w O H t w w

!1 Xn (! )
nlim hr=
" sup
n
Xn (!) = +1 ?
s}vm|t h} QaD CQ Y w u}= x@ =Q | iO =YD Q}eDt "s} Q}o|t C@=F =Q nQ @ w R > 0%u=yQ@
:= minfn : Xn > g 2 [ ; +1] 0
" CU= |Q=}DN= |Q}oxvwtv x}[

- k xH}Dv uOw@ pov}DQ=tQ} R "s} Q}o|t Q_v QO =Q fXn^ ; Fn^ g pov} = Q
DQ t } R
xm O}vm xHwD "Ov} wo|t x W O hkwDt =Q pov}DQ=tQ} R u}=
Xn+^ = X+ n Q o=
n < Q o=
x =ov; 'n Q o= =t=
X+ = X+ 1 + (X+ X+ 1 )

+ sup
n
(Xn+1 Xn )
u}=Q@=v@
Xn+^ + j sup
n
(Xn+1 Xn )j:
(n ) dn = Xn+1 Xn s}v
' 1 ' m Z i Q Qo =
E (Xn+^ ) + E (j sup
n
dn j) =: K
xH}Dv 'E (sup dn )
n
< 1 u Q =v O = 1 O w |t E (sup
}= @ @ " W @
n
dn ) v= D v Q= Okt d1 sup n
dn w x O}v x w u J m m H D
s
% } Qw; |t CUO x@ jZ j = Z Z Z | =Y Q}eD Q Q w
+2 ' iO D t y |= @ u J x Nq @ " Q = E (j sup
n
dn j) < 1 O | yO t
E (jXn^ j) K E (X1 ) < 1

2 ;n Q
1 y |= @ Q
xO=O k " 1 x =@ -r vO s} Q}o "CU= =Qoty a:s: u Q =v C O Q L1

}= @ @ " U= Q= v= m ' xDi=} hkwD pov}DQ=tQ} R xH}Dv QO
l} =
QO =Q X N | =yDr=L s=tD "CU= w w a:s: lim Xn^k (! )
O H t ' s}v=O|t ' k Qy|=Q@ "OW=@ xOW
% O}vm `tH QiY O =@ xawtHt
xR= v=
-
N = f! : nlim
!1 Xn^k (! ) CU}v OwHwt |}k |= @ Q g
Xn (!) = C | =vD w w lim s Q}o C = ! 62 N Q

sup
n
} ' U=
n Xn (! ) = C w w C =
y t w O H t } % U= O H t r L wO } @ @ F =Q o=
x=o +1 > sup Xn (! ) Q C

v; ' Q Q x}[ C = +1 = sup Xn (! ) Q C | =vD =
o= " U= Q= k @ k ? r L o= " U= y t v
n n
k (!) = +1 u Q =v sup Xn (!) k
w Q x C
}= @ @ " w w kl
n
= C= u; |= @ m U= O H t } 'X N r L QO
Xn (!) = Xn^k (!)

" ! 62 N w
u J 'O W w |t =Qoty |y=vDt OL l} x@
Q
\ W QO xm OW=@ pov}DQ=t l} fXn ; Fng s Q} } o %xH}Dv 246
E (sup
n
jXn+1 Xn j) < 1
O |t
% yO MQ Q} R Cr=L wO R= |m} '=y! s=tD ,=@} QkD Q =ov; "Ovm|t
|= @ x j Y O
'CU= |y=vDt w w
w O H t lim Xn (!) hr=
" lim Xn (!) = +1 lim Xn (!) = 1 w ?
Q o = "O v m | t jO Y p @ k x- } [ k Q
\ W QO w C U= p o v } DQ= tQ } R l } ` k=w QO p o v } DQ= t u }= %u= yQ @
Qo = "CU= OwHwt q=@ x}[

- k j@ ]
!1 Xn (! ) u}=Q@=v@ w sup
nlim n
Xn (!) < 1 x=ov; +1 > lim Xn (!)
w Ow Hw t q= @ x}[
-
n!1 Xn (! )) u }=Q @=v@ w sup
k j@ ] lim (
n
( Xn (!)) < 1 x=ov; 1 < lim Xn (!)
" CU= |y=vDt
|O waY x- r=@vO l} |va} OW=@ QDr}i l} fFn g s Q} } o % 1964 xDi=} s}taD |rDv=mpQ@ x}[k 346
' |}=to}U | =yv=O}tQ} R R=
x =ov; "OW=@ xOW xO=O 0 Zn 1 |oS} w =@ Zn 2 Fn | iO =YD = Q}eDt

| y R= xr=@vO l} s}vm Z i Q hr=
X
1 X
1
f! : Zn (!) < +1g a:s:
= f! : E (Zn jFn 1)(!) < +1g
n=1 n=1
x=ov; 'OW=@ xOW xO=O =yxawtHt R= An 2 Fn x =@ -r vO Qo = ?
X
1
f! : ! 2 An; i:o:g a:s:
= f! : P (AnjFn 1)(!) = +1g
n=1
=Q hr= 'CU= |i=m TB "OO o Q |t xH}Dv hr= R= ? ' } s Q}o@ ptmt w Zn = IAn s} Q Q yO Q= k o= %u=yQ@
CQ Y w x@ =Q |iO=YD = Q}eD
| y fdn g x =@
t R= -r vO " s}vm C@=F
dn = Zn E (Zn jFn 1) ; d1 = Z1 E (Z1 )

l} fdn ; Fng ` w O w dn 2 Fn
k=w QO "O @ Zn 2 Fn C
y= N ' w U= QDr}i fFng w
u J " s}vm|t h} QaD
xH}D E (dn jFn 1 ) = E (Zn E (Zn jFn 1)jFn 1 ) =
v QO " 0 Q
= }R CU= pov}DQ=t p[=iD
Xn := P dk |
n
Q Ov | =H fFn g x C@U pov} =
= }R ' m t O }= @ v DQ t l} ' iO =YD Q}eDt
k=1
X
n nX1
E (Xn jFn 1 ) = E ( dk jFn 1 ) = dk + E (dn jFn 1 ) = Xn 1 :
k=1 k=1
u}=Q@=v@ "jdn j 1 |va} '0 E (Zn jFn 1 ) : a:s: s 1 } Q=O '0 Zn w
1 u J xw qax@
=H xty ,=@} QkD x=ov;
P
"
1
Zn (!) < 1 x O = w ! O}v m W @ |Q ] Q
m Z i p L " = E (sup jdn j) 1
n=1 n
Xn X
n X
n
Xn (!) = Zk (!) E (Zk jFk 1)(!) Zk (!)
k=1 k=1 k=1
X1
Zk (!) = M < +1
k=1
v j@] =Pr 'sup Xn (! ) < 1 xH}Dv QO
w
u J |iQ] R= "
!1 Xn (! ) p@k xLi
nlim
CU= OwHwt - Y xH}D
-
n
TmaQ@ "CU= |y=vDt w OwHwt lim
P
n
E ( Z jF )( ! ) 'CU= OwHwt ZQi j@] lim
Pn Z (!)
n!1 k=1 k k 1 n!1 k=1 k
1 xH}Dv QO xm uwJ x=ov; " P E (Zk jFk 1)(!) < 1 '! |=Q@ O}vm ZQi
1
lim Xn (! ) >
k=1
8n 1 : Xn (!) = nk=1 Zk (!) Pnk=1 E (Zk jFk 1)(!)
P
> P1k=1 E (Zk jFk 1 )(!)
"OwW =Qoty O}=@
Pn Z (!) w CU= OwHwt lim X (!) u}=Q@=v@
k n!1 n
k=1
s} Q}o w OvW=@ pkDUt = O =W}B

| y t . . . A2 A1 O}v
' ' m Z i Q |rwtat |rDv=mpQ@ xH}Dv 446
Fn = (A1; A2; . . . ; An)

x =ov;
X
1
fAn; i:o:g a:s:
= f P (AnjFn 1 ) = +1g
n=1
X
1
=f P (An) = +1g p qkDU= j@]
n=1
= f ; g
x =o v; '
P
1
P (An) < +1 Q o= w P (fAn; i:o:g) = 1 x =o v; '
P
1
P (An) = +1 Q o=
n=1 n=1
P (fAn; i:o:g) =
" 0
51
1
|R=@ Q=tk
s= n xa = =tk x- }=tQU
- iO QO R @ Q Xn s}v | m t Z i w Q s} Q}o|t Q_v QO =Q |iO=YD | y = Q}eDt R= fXng x =@ 1 -r vO
CQ =@a x@ =} w |t sm x}=tQU V}=Ri= O}t= |va} 'CU= pov}DQ=t

"O W w l}
j i fXn ; Fng |r w
m Q ] x@ "OW=@
u} QN; u=tR u; -xr}Uw x@ xm OW=@ hkwD u=tR l} s Q} } o "O Ww |t s=tD R=@ Q=tk QQ[ x@ ,qwtat = Qo}O
|R @
w= `k=w QO # CU= xU}=kt p@=k E (X1 ) = E (X ) x wo

@ v J Ovm|t w
p= -U R @ Q = =tk "OO o Q |t u}at | Ov@ \ W Q
| Q}oxvwtv x}[ k "O} Qw; CUO x@ pt=m T qi= R= | Q}owrH =
w |R @ l D - Q x_Lr |= @ Q |v}tND =OD@= R= Oy=wN|t
R
-
x=ov; lim
n!1 f>ng
jXn jdP = 0 w E (jX j) Q O
OW=@ |y=vDt o = " yO |t =Q ?= H R=w |DtUk |Q =}DN=
O Q = x@
" } @ Q m 2 = 3 = = 1 = ' 1 =@ =Q x}[k "E (X ) E (X1)
n 2 Qy w | K> 0 |= @ Q s}vm Q O = pov}DQ=t

Z i " W @ w l}
j i fXn ; Fng s Q} } o %x}[k 156
E (jXn Xn 1 jjFn 1 ) K
" E (X ) E (X1 ) x =ov; 'E ( ) < 1 w
" O}vm `wHQ (5.33) xQ=

- oR ut}=Q@ ? =Dm x@ %u=yQ@
CU= OwHwt > 0 O}vm Z i w Q OW=@ |ivtQ}e pov}DQ=t j iw l} fXn ; Fng s Q} % k 256 } o x}[
s} Q}o jdnj = dn = Xn Xn 1 = = x
" } 0 } m
= maxfn : jdnj g 2 [ ; +1] 0
x =ov;
' P f < +1g = 1 hr=
" E (X ) E (X1) ?
=
|R @ QO x}=tQU Q=Okt =@ s=n |R=@ QO x}=tQU =} xm Ovm|t | Ov@ \QW |v=tR =D R=@ Q=tk xm Ov} wo|t x}[k \}=QW
w
w O W ? =ULQU R=@ Q=tk |R @ = l} QO Qo = "OR =@@ R= QDW}@ =} OQ@@ R= QDW}@ R=@ Q=tk =} OW=@ Q@=Q@ s= n 1
1) Dubins and Savage , How to gamble if you must do?

= Q = = =tk '1 p=tDL= =@ \}=QW u}= CLD p=L "Ovm|tv |Ov@ \QW Qo}O 'CU= xO=Di}v j=iD= u}= Ov}@@
|R @ x Nq @ R @ Q
w Oy=wNv QDW}@
"O @ = x= Q
pw= |R @ QO V= } t U Q= Okt =
R= |R @ l D s Q =ovy x= Q
QO w= - } t U Q= Okt w O m Q Oy=wN Q
l D =Q
"CiQ Oy=wN xqm V U ' Q Ovm |R @ = Qo = | D= S QDU= u}= =@ `k=w QO
umr "CU= Q=Ov=Qm L1 Q

= }R ' CU= =Qoty a:s: '|ivtQ}e pov}DQ=t j i w hr= %u=yQ@
f = +1g fjdn j ; i:o:g fnlim

!1 Xn CU} w w
v O H t g
" P f = +1g P
= r
u}=Q@=v@ "CU= pov}DQ=t j i w l} R}v Xn^ |Q =}DN= | Q}oxvwtv x}[

- k j@] ?
E (Xn^ ) E (X1^ ) = E (X1 )

wD=i sr j@]
E (X ) = E (lim Xn^ ) lim E (Xn^ ) E (X1):
w (n ) 0 O = pov}DQ=t
' W @ j iw l}fXn; Fn g s Q} %Halmos '|Q N= V B k 356
} o =}D Q x}[
0 En M C}Y=N =@ En 2 Fn 1 fEn g | =Y = Q}eD x =@ s}v Q F0 = f; g

' iO D | y t -r vO m Z i "
w x fYn g | =Y = Q}eD
CQ Y @ =Q OO x =@ O = w w
iO D | y t R= } H |= r vO " W @ O H t
X
n
Yn := Ek dk ; dk = Xk Xk 1
k=1
x =ov; "s}vm|t h} QaD
xw qa x@ w CU= pov}DQ=t j iw l} fYn ; Fng hr=
QO " Ovm|t O
j Y P f < 1g = 1 |w =UD QO := maxfn : jEn dn j g |Q =}DN= =
u tR ?
% OvW=@ Q=QkQ@ Q} R Q
\ W wO Qo = ut[
" Ovm hkwD O}=@ OwW |ivt R=@ Q=tk x- }=tQU Qo = n E = Yn 1 |D (i)0 ' 0 kw
w
CQ Y u; QO ' jdnEn j M~ xm OW=@ OwHwt | > 0 =} dn En = n Q Q (ii) 0 ' 1 y |= @
E (Y ) E (Y1 )
"
u J w |iQ] R= " CU= Q}PBp=QoDv= R}v Yn 'CU= Q}PBp=QoDv= 'Xn Q w

y u J ,qw= hr= %u=yQ@
En dn = Yn Yn 1
u}=Q@=v@ ' En 2 Fn 1 w
E (Yn Yn 1 jFn 1 ) = E (En dn jFn 1) = En E (dn jFn 1) 0

" CU= pov}DQ=t j i w fYn; Fng T B
~
|ivt=v pov}DQ=t jwi l} Yn + M w
CQ Y u; QO xm Yn M~ n Q ' y |= @ Q xm O}vm |UQQ@ CU= |i=m ?
u} QtD Q = x@
"O @ Q m =Q p@k x}[
- k u= D w |t w OW Oy=wN
O =
w ' W @ i:i:d | iO =YD | y = Q}eDt R= |= r x =@vO . . . Y2 Y1 s Q}
' ' } Wald r=w |w D xQ= o 456
o O =U R
s}yO Q=Qk Qo = "OW=@ hkwD u=tR Fn = F (Y1; . . . ; Yn) l x s}v Q } ' m m Z i
X
n
Sn = Yk
k=1
" OvW=@ Q}PBp=QoDv= s Y1 s
y w y xmv}= \ W Q x@ ' E (S ) = E (Y1)E ( ) x=ov;
s Q}o|t Q_v
% } QO =Q Yi i Q Q x s}v
Q} R x-OW hkwDt x-r=@vO " 0 ' 1 y |= @ m m Z i = Q OD@= %u=yQ@
Xn Xn
E (S ^n) = E ( YiIfi g) = E ( E (YijFi 1)Ifi g)
i=1 i=1
Xn
= E (E (YijFi 1)Ifi g)
i=1
E (Yi jFi 1) = E (Yi ) = E (Y1 ) T C Fi 1 pkDU Yi
u}=Q@=v@ " B U= R= t u J w
X
n X
n
E (S ^n) = E (E (Y1 )Ifi g) = E (Y1)E ( Ifi g) = E (Y1)E ( ^ n)
i=1 i=1
= wvm} |}=Qoty x}[
- k j@] u}=Q@=v@ 'OvDUy |O waY ^n | iO =YD | y = Q}eDt
!1 E ( ^ n) = E (Y1 )E ( ):
!1 E (S ^n ) = E (Y1 ) nlim
E (S ) = nlim
Yi = Yi+ Yi CQ Y w x@ =Q Yi |r m Cr=LQO w
"O @ R =}v E (Y1 ) E ( ) w uO @ w |y=vDt 'Yi 0 |= @ Q
Q P QoDv=
wO '| } Bp= R= xO =iDU= =@ w O} Q@@ Q=m x@ fYi g fYi+ g w | y r= x =@vO Q
|= @ =Q |r@k pq ODU= w O}U} wv@
O
" } Qw; CUO x@ =Q ? wr]t xH}Dv w O}vm ?}mQD sy =@ =Q |w =UD
|iO=YD = Q}eDt
| y . . . Y2 Y1 s Q}
' ' } o |iO=YD uOR sOk |=Q@ OQwNQ@ u=tR ?} QkD p=Ft 556
s= n xr Q
- L t QO |iO=YD uOR s k " O 1
2 = P (Yi = + ) = P (Yi = 1 1 ) xm |oS} w u}= =@ OvW=@ i:i:d
CU= =@a
X
R= CQ
n
Sn = Yi
i=1
x- awtHt x@ w Q =
OQ N @ u tR =Hv}= QO " s}vm |UQQ@ =Q s} w | a < < b x a; b 2 Z Q Q
y= N t 0 m ' y |= @
" = minfn : Sn 2 fa; bgg |va C fa; bg } & U=

=@ "CU= pov}DQ=t l} Sn2 n xm O}vm xHwD Q=m u}= |= @ "Q E ( ) < +1 s} yO |t u=Wv - rLQt
%1 x
|va} ' E (Sn2^ n ^ ) = 0 - U=Lt

s} Q=O u}=Q@=v@ s}kDUt x@
E (n ^ ) = E (Sn2^ ) maxfa2; b2g < +1:

" E ( ) < +1 xm O} wo|t =wvm} |}=Qoty x}[
- k u}=Q@=v@
x]k
- v wO |wQ S = x}mD =t=
x o "E (S ) = E (Y1)E ( ) = s O x}[ Q 0 } Q=O r=w - k uO @ Q m = x@ =@ - rLQt
%2 x
=o P (S = b) =
x v; ' p P (S = a) = p Q 1 w o= " CU= fa; bg
0 = E (S ) = ap + b( 1 p) =) p = b b a = 1 a=b :
1
" ptHt u}= R= u= wN@ pYit E}OL OwN w
hQowtrm |QU xU x
- }[k 61
|iO=YD | y= Q}eDt Qo = xm CU= u}= s}yO MU=B u; x@ s}y=wN|t OOaDt = x}[k |] Ov@ u}=
| y QO xm |WUQB
Q} R =
- U -
xO x}[k =@ =
=Q Q m # CU= =Qoty a:s: Sn = Pnk=1 Yk x =@
' -r vO Ckw xJ 'OvW=@ pkDUt . . . Y2 Y1
' '
% s}vm|t R=e;
Sn O = |y=vDt
P1 E (Y 2) Q =ov; E (Yk ) = k Qy Q O}vm Q
' ' W @ k=1 k o= x " 0 ' 1 |= @ Z i %x}[k 166
" CU= =Qoty a:s:
s} Q=O uUvH Q Q = x}[k Q@=v@

| @= @ v - w CU= pov}DQ=t l} ' Sn = Pnk=1 Yk x m s}v=O|t %u=yQ@
q X
n
E (jSnj) E (Sn2) = ( E (Yk2))1=2
k=1
C =@F= =yrov}DQ=t |}=Qoty x}[

- k R= xO =iDU= =@ "CU= Q=Ov=Qm L1 Sn ' O
' yO |t u=Wv x}[k Z iQ =@ x=Qty xm
"OO o Q |t pt=m x}[k
" k 1 |= @ Q E (Yk ) = 0 |oS} w =@ OvW=@ pkDUt |iO=YD |=yQ}eDt . . . Y2 Y1 s Q} % k 266

' ' } o x}[
x =ov; 'OW=@ =Qoty a:s: Sn Q ' o= " E (sup

n n
Y 2) < +1 O}v Q m Z i
X
1
E (Yk2) < +1:
k=1
O}vm Q
Z i w E (Xn2) < 1 | S o }w =@ OW=@ pov}DQ=t l} fXn ; Fng Q o= xm O}vm xHwD =OD@= %u=yQ@
i<j Q =ov;
|= @ x "dn = Xn Xn 1 ' n Q
2 |= @ w d1 = X1
E (didj ) = E (di E (dj jFj 1 )) = 0
u}=Q@=v@
X
n X
n X
E (Xn2) = E ( dk )2 = E ( d2k + 2 di dj )
k=1 k=1 i<j
Xn Xn
= E( d2k ) = E (d2k )
k=1 k=1
| =yawtHt x-r=@vO xm s}vm|t =aO= := minfn : jSnj > g s} yO |t Q=Qk w s} Q}o|t ZwQit =Q > 0
xLi
- Y Ovv=ty xm O}vm xHwD =aO= u=yQ@ Q CU= Q=Ov=Qm
|= @ " L2 Sn^ |
' iO=YD
8
>
<jSnj n <
jSn^ j = >
:jS j jS 1 j + jd j n
'nQ Q u}=Q@=v@ "dn
y |= @ = Sn Sn 1 =Hv}= QO xD@r= xm ' jSn^ j + sup
n
jdnj n Q ' o= xH}Dv QO
jSn^ j + sup
n
jdn j
u J w |iQ] R=
E (sup
n
jdn j2) = E (sup
n
jYn Yn 1 j2)
E (sup
n
( Yn2 + Yn2 1 )) 2 2
E (supn n
4Y 2 ) < +1
n 1 Qy Q xm
|= @ w
OQ=O O Hw n R= pkDUt K C = @ F Q= Okt xH}Dv QO
E (Sn^ ) K
xm O}vm xHwD p=L "Ovm|t C@=F =Q =aO= u}= xm
Sn^ S(n 1)^ = Yn Ifng

OQw;QO Q} R CQ Y w x@ =Q q @ = ?} QkD u= Dw |t u}=Q@=v@
X
n
K E (Sn2^ ) = E ( Yk Ifkg)2
k=1
Xn
= E( Yk2Ifkg)
k=1
=yYk ,=}v=F E (Yk Ifkg) = xH}D Yk Ifkg Yk w

w 0 v QO ' u J ,qw= xm CU= u}= Q}N= |w =UD Cra
p}mWD pov} = l fZn ; Fn g
DQ t }=o Zn = Yn Ifn g s} | x v; ' yO t Q= k Q Qo = ,=Fr=F 'Ov= pkDUt ZQi j@]
s} Q=O f kg = f k gc 2 Fk 1 w = C 1 u J p L " U= Q= v= m OQ L2 pov} DQ t= u}= w OyO|t
Xn
K E ( Yk2Ifkg)
"k=1 Xn #
= E E ( Yk IfkgjFk 1)
2
"X n
k=1 #
=E E (Yk2jFk 1 )Ifkg
k=1
Xn
= E ( E (Yk2)Ifkg) C Fk ' U= 1 R= pkDUt Yk u J w
k=1
nX
^
= E ( E (Yk2))
k=1
s} Q=O =wvm} |}=Qoty x}[

- k R= xO =iDU= =@ u}=Q@=v@ w CU= n R= pkDUt K C = @ F Q= Okt
nX
^ X

K nlim
!1 E ( E (Yk2)) = E ( E (Yk2))
k=1 k=1
a:s: P Yk < 1 |va P

1
" } CU= =Qoty a:s: Sn O}v
' Q
m Z i p L " = E (Yk2) < +1 a:s: u Q =v }= @ @
k=1 k=1
xm s}vm|t Q=}DN= nQ @ R |i=m xR=
- v= O x@ =Q a:s: sup
n
" jSn j < +1 xH}D v QO
P (sup
n
jSnj < ) 1
x=ov; (! ) = +1 x m s}vm|t ? =NDv= w

|Q ] =Q ! p L "= P ( = +1) 12 u}vJt y w
X
1 X
(!)
E (Yk ) = 2
E (Yk2) < +1:
k=1 k=1
\ W 'Q
P
1
CnXn | U QO Q Qo = xm s}O}O "s}Ow@ xOQm xQ=W= |iO=YD |=yDtqa xrU t x@ ,q@k %Qm PD 366
-
n=1
a:s: Q O = Q Q P jCnj2 < 1
1
x=ov; OW=@ =Qoty a:s: Q O}vm ZQi TmaQ@ p=L "CU= =Qoty
| U '| U ' W @ Q= k @
n=1
+ Q}O =k \k = Xn Q sup jXn Cn j2 = sup jCn j2 < +1 u Q =v lim jCn j =
=Q 1 w 1 t
n
i y
n
= }R
n!1 }= @ @ " 0
x}[
- k j@] TB E (sup
n n
Y ) < 1 =o Yn = Xn Cn s} Q Q u Q =v OvD Q | Qi u}o =} =
2 x v; ' yO Q= k o= }= @ @ " i o t Y v t @
Ov | C = | =Y =yD q x}[ Tm x
" m t @ F =Q iO
P
1 2 P 1
Cn = E (Yn2) < 1
D | t a - k a m ' '1
n=1 n=1
" E (sup
n n
Y 2) < 1 s}v m Z i " Q OvW=@ pkDUt |iO=YD = Q}eDt
| y . . . Y2 Y1 s Q}
' ' } o %x}[k 466
% OvrO=at Q} R s=mL= x=ov;
a:s: Sn = P Yk
n
' CU= =Qoty ' hr=
k=1
P var(Y ) < 1 P E (Y ) < +1
1 1
" n n w ?
n=1 n=1
? R= s}vm|t C@=F =OD@= "s} Q}o|t Q_v QO =Q Zn = Yn E (Yn ) O

- W | m t
x R Q |iO=YD Q}eDt %u=yQ@
xm O}vm xHwD "CiQo xH}Dv =Q hr= u= Dw |t

sup
n n
Z2 2 sup Yn2 + (E (Yn ))2
n
C U= =Q o t y
Pn E (Y ) w j @ ] "C U= Q }P Bp=Q o D v= Q j @ ] C U=Q Q x r t H u } rw=
' k u J ? Z i h ] -
k=1
0 - x}[ k j@ ] 'E (Zn ) = w C 0 u J " (E (Yn ))2 P E (Yn ) xH}D E (Yn ) !
O Q
U= Q= v= m = r w v QO 0
| iQ ] R= " C U= O Q a:s:
Q= v= m
P
1
Zn s
P
1
E (Zn2) = P var(Yn ) < +1 xmv x x w =
1
} Q=O }= @ H D @ w
n=1
Pn Y P1 n=1 n=1
P Zn = P Yn P E (Yn)
1 1 1
' k x- r=@vO xH}Dv QO 'C | =vDU= E (Yn)
y t j@ w : '? ] u J
k=1 n=1 n=1 n=1 n=1
C Q Q h |va C Qot a:s: " U= Q= k @ r= } ' U= = y
OW=@ |iO=YD | y = Q}eDt R= x =@ Z1 ; Z2 ; . . . s Q} s}v |

|= r vO =@ h lt x } CtU =
o " m t C F= r= m @ =Q ? k p L
D
sr `k=w QO " CU= pkDUt = Yi um i
y R= Zi Yi |va C Y1 ; Y2; . . . x =@ =a ` w x
r ' 1 ' } U= -r vO pO t } R D QO m
B 2 B(Rn) Q Q
y |= @ u J " w s}vm CUQO QiY u}ov=}t =@ |iO=YD | y = Q}eDt R= |= r x =@vO xm CU= u}= Q=m
P f(Y1 ; Y2; . . . ; Yn ) 2 B g = P f(Z1 ; . . . ; Zn ) 2 B g

u}=Q@=v@ "OyO | xH}D
Pn Z a:s: | Qot Pn Y a:s: | Qot TB PY = PZ P
t v =Q k=1 k }= y ' k }= y " = r
k=1
X
1
(Yn Zn ) < +1 a:s:
n=1
xw qa x@ "QiY u}ov=}t =@ pkDUt |=yQ}eDt R= pmWDt CU= |iO=YD Ov};Qi l} (Yn Zn )n2N x =@ -r vO p L =
sup
n
(Yn Zn )2 (sup
n n
Y 2 + sup
n n
Z 2) 2
h ] Q TB "CU= Q}PBp=QoDv= sup Zn2 'Ov=`} RwD sy =yYi =@ =yZi w CU= Q}PBp=QoDv= ZQi j@] sup Yn2 uwJ
n n
xH}Dv QO " CU= Q=QkQ@ 266 - x}[k Z i w ' Q CU= Q}PBp=QoDv= w x]@=Q AJ
j i -
X
1
E (Yn Zn)2 < +1
n=1
E (Yn Zn)2 = var(Yn Zn ) =t=
= var Yn + var Zn = var Yn 2

=iDU= Yn E (Yn ) x =@ = x}[k

P1 var(Y ) < +1
= xm s} Q}o|t xH}Dv TB
xO -r vO @ 166 - R= p L
n=1 n
P CU= |y
= r ' =vD t
P1
E (Yn ) Z i Q j@] =t= "
P
1
(Yn E (Yn )) < +1 x m s} Q}o|t xH}Dv w s}vm|t
n=1 n=1
"
P
1
Yn < +1a:s:
n=1
Q OvW=@ pkDUt |iO=YD

|= @ " | y = Q}eDt . . . Y2 Y1 s Q} h o m | U U - k k 566
' ' } o Q wtr Q x x}[ x}[
s} Q}o|t Q_v QO =Q Q} R | U Q xU " s}v | h Qa Yn0 = Yn IfjYn jM g

m t } w x Yn0 C = M >
D CQ Y @ =Q ' @ F 0
P1 P (Y 6= Y 0 ) = P1 P (jY j > M ) (i)

' n=1 n n n=1 n
P1 E (Y 0 ) (ii)
'
n=1 n
P1 var(Y 0 ) (iii)
n=1 n '
(iii) (ii) (i) =o P Yn < 1 Q r=

1
' OvDUy =Qoty M Q= Okt Qy |= @ Q ' ' x v; o= h
n=1
x =ov; 'OvW=@ =Qoty (iii) (ii) (i) x
w ' m OW=@ OwHwt u=vJ | M> 0 Qo = ?
X
1
Yn < 1 a:s:
n=1
Yn ! a:s: u Q =v P Yn < 1 a:s: s}v

1
TB "Yn = Yn0 xH}Dv QO w 0 }= @ @ ' m Z i Q hr= %u=yQ@
n=1
|va C Q Q n | =vD Oa } " U= Q= k @ y t O= D |= @ ' Q a:s:Yn 6= Yn0
n sup(Yn 6= Yn )) =
P (lim 0 0
pO =at Q u}= 'OvDUy pkDUt

\ W fYn 6= Yn0 g | y t= O =W}B uwJ "P (Yn 6= Yn0 ; i:o:) = Qo =@ x = 0 }O CQ a @ }
(i) T P P (Yn 6= Yn0) < 1 = C

1
Yn (!) = Yn0(!) s = ! xt =@ Qk Q u}vJt C Qot
' } Q=O y ,
- y } D |= @ y" U= = y B" @ U=
n=1
u Q =v
P
1 0
Y (!) < 1 x O | xH}D +1 > P Y (!)
1
P R |i=m O x@ = n Q
}= @ @ " n m yO t v n = r "nQ @ xR=
- v= | y |= @
n=1 n=1
a:s: P Yn0 (!) < 1
1
s} Q=O uwJ "
n=1
OvDU Qot (iii) (ii) u Q =v C
" y = y QQ h w x}[ Q sup(Yn0 )2 < M 2 < 1
}= @ @ U= Q= k @ r= 466 - k Z i '
n
466 - x}[ Q 0
Yn w Ov = Qot M >
k Z i QO x (iii) (ii) (i) s}v
u J " Q ?
W @ = y | 0 |=R= @ w ' m Z i
u=W |rD = Q s C
v Qot (i) w
v mp @ =r
P
1 0
Yn < 1 a:s: s Ov | O
U= = y u J p L " } Q=O ' m t j Y ?
n=1
u Q =v :P (Yn = Yn0
}= @ @ R |= O x n Q) = nQ @|va P (Yn 6= Yn0 ; i:o) = x O |
i m xR= v= @ |= @ 1 } 0 m yO t
P Yn (!) < 1 a:s: x O | xH}D P Yn0 (!) < 1

-
1 1
" m yO t v
n=1 n=1
s}vm h} QaD Q} R CQ Y w x@ =Q Yn0 x m CU= QDy@ `k=wt |[a@ %Qm PD 666
Yn0 = YnIf mYn N g
"CU= Q=QkQ@ Rwvy x}[k xm CU= K[=w "s} Q@@ |w =Ut=v Qw] x@ =Q |iO=YD Q}eDt xDwQU |va}
O = C@=F O=Oa=
" W @ x =@vO
R= |= r faj g11 w OvW=@ =kDt
uQ Zj | =Y iO D | y = Q}eDt O}vm Z iQ %u} QtD 766
O
" } Qw; CUO x@ x}[k u}= ltm x@
P
=Q
1
aj Zj Q
| U |}=Qoty |= @Q |i=m Q
w sRq \ W
j =1
swO pYi
|RmQt OL x
- }[k w h}a[ |}=Qoty
h}a[ |}=Qoty 12
w OvW=@ QiY u}ov=}t =@ `} RwDty w ' pkDUt |iO=YD = Q}eDt

| y . . . X2 X1 Q
' ' o=
Sn = X1 + X2 + + Xn :
O = O
' W @ x W xO=O "> 0 Qo = wQ u}= w |t =Qoty QiY x@
R= "O W a:s: Sn=n x
' m O} wo|t R O
nQ @ O= a= | k u v k w w=
O
" W Oy=wN lJwm xQNq=@ ' n=@ -xU}=kt QO Qo}O CQ =@a x@ 'OW Oy=wN QDtm " R
R= nQ @ | y = n Q
|= @ jSn=nj
=
- @ QO
xQ |H}=Dv x- =Q= pYi u}= O
h y ' yO O |tv CUO x@ Sn `} RwD =
- @ QO
xQ |aq]= I}y R O
nQ @ O= a= | k u v k w w=
Q =ov; 'OvW=@ 2 | =vDt Tv=} Q=w m| =vDt u}ov=}t =@ i:i:d = Xn Q qF C Sn |@ Qk
o=, `} RwD
p R
|= @ x y w y y t " U= } D
u}= |UQQ@ QO " CU= 1 Tv=} Q=w w 0 u}ov=}t =@ p=tQv `} RwD |=Q=O , }=@ Qk (Sn nm)= n
D ' nQ @ | y = n
EL@ =t xm 'xYNWt `@=wD R= xO =iDU= | Qo}O w h}a[ |}=Qoty Ci=}yQ |m} w
&OQ=O O Hw VwQ wO ?r=]t
| y = Q}eDt . . . X2 X1 Q
' ' o= xm CU= u}= h}a[ |}=Qoty Qwy_ Cra "s} Q}o|t V}B QO =Q h}a[ |}=Qoty
w
| k u v k w = j@=]t OvJ Qy 'OvW=@ 2 = E (X )2 < 1 = E (X1) < +1 = i:i:d |
w @ iO =YD
a:s: Sn n a:s:
QQ
Q= k @ = 0 |= @ Q |}=Qoty u}= um Snn= n ! > Q
r 1 2+ Q ` 0 '
n ! R
0 y |= @ k=w QO w 0 nQ @ O= a= O
127
| m tR Q OL x}[
- k w h}a[ |}=Qoty swO pYi 128
s} Q=O Cr=L u}= Q

QO = } R ' Xi = N (; 2) qF Ov = w =}U = | =Y = Q}eD
, t W @ ? N Q @ t iO D | y t Qo = |DL 'CU}v
lim Sn p n = +1 ; lim Sn p n = 1
n!1 n n!1 n
s} Q=O =y Q u xt = C N ( ; ) ` w Sn pn x C u O u}= Cra
i L }= - y @ " U=
n 0 1 } R D |=Q=O ' m U= }= O= NQ
! Zx
lim P Sn p n x = p e t =2dt: 1 2
n!1 n 1 2
=}; xm CU= u}= w

p-= U p L " = Ovm|t p}t 1 w 0 | y = QDt=Q=B =@ p=tQv |iO=YD Q}eDt x@ `} RwD
Sn = nXn |va
QO y }
Xk x} !1 P n x
nlim
- rw= |iO=YD | y = Q}eDt R= pkDUt OL u}= =}; w CU= OwHwt |rm Cr=L QO p
# CU=
' X1 O}v m Z i 'O Q Q}o|t s=Hv= V}=tR; 1000 'Atq l} Qta pw] u}ov=}t uOQm =O}B |=Q@ %p=Ft 117
| y = Q}eDt =yv}= "OvW=@ =yW}=tR; u}= QO Atq Qta w

p ] R= x t; X1000 . . . X2
O CUO x@ |= v x wtv Q}O=kt ' '
- Uw x@
xr} =Q " CU= swrat=v R}v = 2 = E (Xi )2
u W wra = =y = E (Xi ) x O i:i:d | =Y
w s t v v; m v= iO D
= C QQ Q u =] =tD s} | u}tN 1000 1 S

@ U= @= @ OQw; @ }= QO 1000 N p L= " vR t D
p !
P (jX1000 j > ") = P jS1000p j > "

1000 1000
1000
! - @ QO
xQ = =t Qo =
(x) = nlim P Sn p n > x

!1 n
CiQo xH}Dv w |t 's}W=@ xDW=O Q=}DN=
u= D QO |rkDUt C a = q]= 0 =
|q @ u= m w Q
p !
P (jX1000 j > ") " 1000
;
0
xm O=O u =Wv ,qFt u= Dw |t ?U=vt " uO m = Q O}B =@ x=ov;

p !
" 1000
0 0 95
2 [X1000 "; X1000 + "]

" '0 95 p =tDL= =@ xm s}} wo@ xv=NQ=m x@ w
Qoty h}a[ Qw] x@ n s}} wo "OvW=@ (R;

= B) |wQ |y=vDt =
| yxR= v= O n s Q} % }
w } o h QaD 217
f O Q xD w}B `@=D Qy
Q= v= m - U |= @Q Qo = n =w) s}U w | } v t w CU= x @
Z Z
fdn ! fd:
xm CU= |vat u}= x@ Fn =w) F x=ov; 'F (x) := ( 1; x] w Fn(x) := n ( 1; x] Q o=
n =w) "
129 R Q OL x}[
| m t - k w h}a[ |}=Qoty swO pYi
Cw =iDt p =tDL= | y =tDL= xm OvW=@ |iO=YD |=yQ}eDt X w Xn Qo = %h} QaD 317

= =[i |wQ ,q
D! X s}U} wv|t w Ovm|t p}t X x@ `} RwD QO 'X s}} wo Ov=xOW h} QaD ( ; F ; P )

Qo = Xn n n n n
PXn =w) PX
" E (f (Xn )) ! E (f (X )) f ' O Q xD w}B `@=wD xt
Q= v= m - U - y Q
|= @ ,qO =at =}
|va} &CU= x@ Q
0 - D t R= l = }O | Q =DrO `@=D x = ( )
m ' 0 w " n = ( n1 ) O}v m Z i Q %p=Ft 417
8
! >
< 1 x = n1
n (x) = >
1
: 0 xv Qo =w
x =ov; f = I(0;+1) O} Q
yO Q= k w
Z Z
1 = fdn 6 ! d = 0
"CU}v xDUw}B f Q
= }R n =w) | rw
"CU= xv=o} 'h}a[ |}=Qoty OL |va} ' = x=ov; 'n =w) n =w) Q w o= %Qm PD 517
|va} "CU= QDi}a[ Qo}O = |}=Qoty

| y w
`= v= R= , k=w =a h}a[ |}=Qoty %Qm PD 617
Xn P! X =) Xn D! X
O}=@ "OW=@ |Q =}DN= xDUw}B Q=Ov=Qm `@=D l} f O}vm Z i Q ?r]t u}= C =@F= |= @ "Q CU= Q=QkQ@ u; Tma |rw
Q xm CU= OwHwt
|= @ "> | 0 x =ov; "OW=@v Qw] u}= O}vm E (f (Xn )) ! E (f (X )) s}v C =
Z i "Q m @ F
x- r=@vOQ} R Qy ' Xn P! X w =
u J t= " jE (f (Xnk )) E (f (X ))j " s fXnk g w x =@ Q } Q=O u J |= r vO } R
P
CU= xDU w} f w = Xnk ! X |va C Qot X x =tD
B u J t= " R} } U= = y @ p L= QO v u;
f (Xnk ) P! f (X )
w
u J " l ! 1 |D f (Xnkl ) a:s:
! f (X ) x C w w fXnk g fXnkl g
kw m U= O H t R= w
u J |= r x =@vOQ} R =Pr
s O} Z =v x x E (f (Xnkl )) ! E (f (X )) n@ |]rU | Qot x}[
" } UQ k D @ m ' r D }= y - k Q@=v@ CU= Q=Ov=Qm f
l!1
s}vm|t h} QaD "OW=@ l} QDt | =[i l} (S; d) s Q} } o %|Q=PoO=tv
Cb (S ) = ff : X ! R C U= Q= v= m wOQ xDUw}Bf g
s}vm|t h} QaD ' S = Rn Q o=
C0(Rn) = ff : Rn ! R : lim f (x) =

jxj!1
0w xDUw}Bf g:
| m tR Q OL x}[
V}=tv x}[
- k " C0(Rn) Cb(Rn) w CU= |Q=O @ | Q =[i l} C0(Rn) x m O}vm xHwD % 717Qm PD
xm O} wo|t T} Q
C0(Rn) = m(R) = fjjjj = jj(R)= @ R |wQ Q=ODtqa |=yxR=Ov= g
|wQ j i w CU=Q CtU x- awtHt QO ' Q= Okt h} QaD "CU= |Q=O @ | Q =[i =
u owO x OvyO u =Wv Cq x t a m
R
-
x@ =Q h}a[ |}=Qoty w |t
u= D w
j i |Q= oO P =tv =@ " < ; f >= Rfd R= CU= CQ =@a f 2 C0(Rn)
xm CWwv CQ Y w u}=
Z Z
n =w) Q \k Q 8f 2 Cb(R) : fdn ! fd
o= i w o=
x@ =}
R fd ! R fd s} = xD f 2 C (R) Q Q Q =w)
h Qa j@ w =t=
n 0 nW @ W=O ' y |= @ o= ' } D ] u J
xt
- y R=w | Qot u Q =v w | Qot = C =a Q} ?r] < n ; f > !< ; f > |
}= y }= @ @ " }= y @ U= pO t N= t ' DQ=@a
" CU= QD h}a[ =y|}=Qoty

f 2 C0(R) Q Q Q
y |= @ = } R n =w) 0 x =ov; 'n = (n) Qo = %p=Ft 817
Z
< n ; f >= fdn = f (n) ! 0 n ! 1Q o=
w
s} Q=O 'f= 1 Z i Q =@ ,qFt =Q} R n 6=) 0 =t=
< n ; >= 6 ! : 1 1 0
# s}vm u=}@ =yxawtHt ?ULQ@ ,=OOHt =Q h}a[ |}=Qoty s}v=wD|t xvwoJ =t=
Q
p @ | y a = x wtHt |}=to}U u= O}t B(S ) w OW=@ l} QDt | =[i l} (S; d) O}v m Z i Q %h} QaD 917
(S; B(S )) |wQ |y=vDt =

| yxR= v= O . . . 2 1 s Q}
w ' ' } o " B(S ) = = = yxR @ |va} "OW=@ S |wQ
' f 2 Cb(S ) Q Q Q C y |= @ o= U= = Qot x h}a

y @ [ Q ] w x@ n s}} wo "OvW=@
Z Z
fdn ! fd:
% OvrO=at Q} R s=mL= "OW=@ (S; B(S )) |wQ |y=vDt =

| yxR= v= O n s Q}
w } o %x}[k 1017
' n =w) hr=
CU= xDUw}B CN=wvm} Qw] x@ fx

R fd ! R fd f 2 Cb(S ) Q Q 0 hr=
" m ' n ' y |= @
'
!1 n (S ) (F ) nlim
(S ) = nlim !1n (F ) w s} Q=O F xDU - @ -ax wtHt Qy |= @Q ?
131 R Q OL x}[
'
!1 n (S )
(S ) = nlim w (G) nlim
!1
n (G) 'G = x wtHt Qy
R @ -a Q
|= @
0?
limn!1 n (A) = (A) s (@A) =

' } Q=O 0 xm B(S ) A x QO -a wtHt Qy |= @ Q G
Df xm
R fd ! R fd s (D ) = x w x@ f OQ Q}PBxR=Ov= `@=D Qy Q
" n f } Q=O 0 m |Q ] Q= v= m |= @ O
" CU= f |oD U w}B=v \ =kv x- awtHt
C@=F =Q " > 0

0
% hr= =) ? "CU= Q=QkQ@ h}a[ |}=Qoty h} QaD j@] xm 0 hr= x@ hr= R= %u=yQ@
Qo = xm s}vm|t ? =NDv= w
|Q ] =Q > 0 w s} Q}o|t
G = fX : d(x; F ) < g
Gk # F x=ov; 'k ! 0 xm OW=@ |=xr=@vO 0 < k Q Q C umt
o= = }R U= = u}= "(F )+ "
t Q m (G) x=ov;
(Gk ) # (F )
" |y=vDt xR=
- O |oDUw}B Q@=v@ =Pr
v= w
% s}vm|t h} QaD w
CQ Y u}= x@ =Q :R !R `@=D p=L
8
>
> x
>
<
1 0
(x) = > 1 x 0<x< 1
>
>
: 0 x 1
s = |t
% }R U w
CQ Y u}= x@ u }= ltm x@ =Q f `= @ D w
!
8x 2 S : f (x) := d(x; F )
xm s}vm|t xHwD x=ov;

8
>
< 1 x2F
f (x) = >
: 0 x 62 G
R fd ! R fd
s}y=wN ZQi j@] ' n w
u J p L " = - Uw}B f `@=D xm OwW|t xO}O |oO=U x@
CU= CN=wvm} xD
CW=O
Z Z
!1n (F ) Znlim
nlim !1 fdn = fd: (IF f u J w )
IGd = (G) (F ) + "
CW=O s}y=wN 'f= 1 uO=O Q= k Q =@ "
!1n (F ) (F )
nlim x =ov; '"# 0 Qo = p=L
n (S ) ! (S )
R Q OL x}[
| m t - k w h}a[ |}=Qoty swO pYi 132
" } O Q}o@ ptmt '? =) 0 ? C =@F= |= @ Q

x=ov; (@A) = 0 w A 2 B(S ) s Q} }
0
o " ? =) G C =@F= x@ s} R=OQB|t p=L

!1n (A) nlim
nlim !1n (A) (A) = (A)
R}v w
lim n (A) nlim

n!1
(A0) (A0) = (A)
!1 n
|va}
!1n (A) (A) nlim
nlim !1
n (A) u}=Q@=v@
!1 n (A) = (A)
nlim
(Df ) = 0 C}Y=N |=Q=O xm 'OW=@ xOW xO=O f Q}PBxR=Ov= O Q |a@=D s} Q}o
Q= v= m =) =} %G Ox U
Q k 2N Q
R= i= Q
y |= @ " f (S ) ( M; M ) xm CU= OwHwt | M > C OQ f w C 0 ' U= Q= v= m u J " U=
xm w
|Q ] ' s}vm|t ? =NDv= =Q M = tk1 tk2 . . . tknk = M
' i = ; ; . . . ; nk
1 2 jtki+1 tkij
1 |= @ ' Q 2
k ,qw=
" i = ; ; . . . ; nk
1 2 1 |= @ Q (fx : f (x) = tki g) = 0 ,=}v=F
u}=Q@=v@ w CU= =Q=tW =yDvt (fx : f (x) = ag) > 0 xm |}=ya x- awtHt =Q} R w
OQ=O O Hw |R= i= Q u}vJ u}=
`@=D ' ftki g Q =@ Q_=vDt
R= i= % k 2 N Q Q Ov | O
y |= @ " m t j Y j i w \}=QW QO xm w
OQ=O O Hw ? =NDv= |O } R O== OaD
s = |t
% }R U =Q Q} R ?} QkD
nX
k 1
fk (x) = tki Iftkif (x)<tki +1
g
i=1
s}U} wv|t p=L "x2SQ Q x C
jfk (x) f (x)j 2
k ' y |= @ m U= K[=w
Z Z Z Z Z Z
j fdn fdj j fdn fk dn j + j fk dn fk dj
Z Z
+ j fk d fdj
R}v w j R fdn R fk dn j 2
k lim n (S )
n!1 = k (S ) 2
0 j@ ? w ? ] |iQ] R=
'
R }
R
fk h Qa j@ j fk d fdj
D ] " 2
k (S )
Z Z nX
k 1 h i
j fk dn fk dj = j tki n (tki f < tki+1) (tki f < tki+1)
i=1
xm CU= K[=w "OvwW|t xmQat OQ=w Aki = ftki f (x) < tki+1g = x wtHt p=L
| y a
@Aki fx > f (x) = tki = f (x) = tki+1g [ Df } ()

133 R Q OL x}[
" x0 2 Aki Q o= f (x0) 2 (tki ; tki+1) =o O = xD w} x0 f Q x O w | | = x Q

\ki w Qo = x v; ' W @ U B QO o= m }O u= D t v U; @ = }R
=@ |= ax wtHt () Q} x] C
' N= - Q f x w Q
@=Q Q
U=Q h ] ' Q C = j@ x0 2 @Aki P
@ \ @ t Z i w R= i= N U VwQ ] " = r
xH}D (@Aki ) =
% i; k Q Q u Q =v C Qi O
vQO " 0 ' y |= @ }= @ @ U= Y xR=
- v=
Z Z nX
k 1
!1j fdn
nlim fk dn j nlim!1 tki jn (Aki ) (Aki )j =
i=1
0
s} Q=O k2NQ y |= @ Q TB
Z Z
lim
n!1 j fdn fdj 2
k+1 (S ) ! k!1 0
R fd ! R fd u Q =v
" n }= @ @
" Ovm|t O
j Y O \}=QW O Q xD w}B `@=D Qy
QO Q= v= m - U Q C K
= }R "O =) r=
U= [=w h
=
| yxR= v= O u}= =@ Q_=vDt `} RwD |=ya@=D "OvW=@ (R; B) |wQ |y=vDt |=yxR=Ov= w n s Q} } o %x}[k1117
'x 62 DF Qy Q =ov;
|= @ x " F (x) := ( 1; x] Fn(x) := n ( 1; x] O Q}o w % } @ Q_v QO =Q |y=vDt
Fn(1) ! F (1) R} Fn(x) ! F (x) Q \k
" v w o= i w Qo = n =w)
TB 'CU= xDUw}B x QO F x =ov; 'x 62 DF

@A = fxg u Q =v A = ( 1; x] s Q} %u y @ Qo = " }= @ @ " } o = Q
w `=
,qw= '1 u tR; =ND = x}[@ D ?CtU j@ xH}D
v= (@A) = h Qa j@
@ w 1017 - k O k ] v QO " 0 ' } D ]
= Fn (1) = n (R) ! (R) = F (1): =} =

p L Fn(x) = n(A) ! (A) = F (x) , v F w
w
CtU w_v u Q n =)
k Q t s}v | C = O = Q Q ` w ` w | Qot O}v
}= |= @ " Q Tm Q m t @ F ' W @ Q= k @ }R D @= D }= y m Z i a @
= s Q} n (R) ! (R) T Fn (1) ! F (1) w s}v | C =

R @ } o " x}[ 0B ' u J " m t @ F =Q 1017 - k ?
x G=
S I w x G (G) lim (G) x s} =W O = O = O
1
GR
m j CQ Yn @ =Q " m yO u v } @ " W @ x W xO=O
j =1 n!1
O}U wv C DF = | =yD =k = = = Ij " } @ U= GQ N } v= \ v - @
@ R @ xR
x w =v R N > l "> Q Q u Q =v m OQ=O O Hw u J nQ @ 0 } ' 0 y |= @ }= @ @
[
N
(G) ( Ij ) + "
j =1
\ =kv =@ R=@ = =
| yxR @ R= = RHt |y=vDt `=tDH= u}= xm OQm Q
Z i u= D w |t |y=vDt `=tDH= u}= uO m Q s_vt =
xQ @ wO =@
x =ov; 'Ij = (aj ; bj ) Qo = p=L "CU= DF GQ N = |}=yDv=
[
N X
N X
N
n ( (aj ; bj )) = !
[Fn(bj ) Fn(aj )] n!1 [F (bj ) F (aj )] =
j =1 j =1 j =1
[
N
= ( (aj ; bj ))
j =1
R Q OL x}[
"> 0 Qy |= @ Q u}=Q@=v@
[
N [
N
lim n (G) nlim
n!1
(
!1 n
Ij ) = ( Ij ) (G) "
j =1 j =1
" lim n (G) (G)
n!1
OyO|t xH}Dv xm
`} RwD `@=wD =@ (Rk; k )B |wQ |y=vDt =

| yxR= v= O w =yn s} Q}o %x}[k 1217
Y
k
Fn(x1; . . . ; xk ) = n( ( 1; xi])
i=1
Y
n
F (x1; . . . ; xk ) = ( ( 1; xi]) w
i=1
"n ! 1 |D Fn(x) ! F (x)
kw 'x 62 DF Qy |= @ Q Qo = \ki w Qo = n =w) x=ov; 'OvW=@
"OO o Q |t xH}Dv 1117 - x}[k R= xrY=iq@ %u=yQ@
"OvW=@ (S; d) l QD =[ Q =k = | =Y = Q X1 ; X2; . . . s Q} % } D 1317

} t | i QO }O t @ iO D | yQ=O @ } o h Qa
PXn =w) PX Q Xn D! X s} w O w h Qa =iD =tD = =[

o= ' Ov w | = Xi
} o " v W } D Cw t p L= | y i |wQ v= D t y
f 2 Cb(S ) Q Q E (f (Xn )) ! E (f (X )) |va

" y |= @ ' }
% s}vm|t h} QaD Q} R CQ Y w x@ (R1; B1) |wQ =Q d l QD } t %p=Ft 1417
X
1 jxk yk j
d((xn); (yn)) = 1
k1 + jxk yk j
k=1 2
CQ Yw x@ =Q k | y = Vvmi=
k : R1 ! Rk : k ((xn )1n=1 ) = (x1; x2; . . . ; xk )

(Rk; Bk ) |wQ p =tDL= xR=
- v= O l} Qk 1 '(R1; B1) |wQ Q p=tDL= xR=
- O Qy
v= |= @ " Q s}vm|t h} QaD
CQ Y w x@ xm 'CU=
(Qk 1)(A) = Q(k 1(A)) A 2 Bk
"O Ww |t h} QaD
x=ov; 'OvW=@ (R1; B1) |wQ p =tDL= =

| yxR= v= O P w =yPn s} Q}o %x}[k 1517
Pn k 1 =w) Pk 1 k Q
1 y |= @ Q Qo = \ki w Qo = Pn =w) P
135 R Q OL x}[
Q}O=kt =@ X = ((X1; X2 ; . . .) X n = (X1n ; X2n ; . . .) |

w iO=YD =
| yQ=O @ |= @ Q Q %xH}Dv 1617
(R; B1) |wQ
(X1n ; X2n; . . . ; Xkn) D! (X1 ; X2; . . . ; Xk ) Qo = \ki w Qo = X n D! X
k 1 Qy Q TB
|= @ " PX n =w) PX |va X n D! X h Qa } ' } D j@] %xH}Dv u=yQ@
PX n k 1 =w) PX k 1
A 2 Bk Q y |= @ Q =t=
PX n k 1(A) = PX n (k 1(A))

= P (X n 2 k 1(A)) = P (k X n 2 A)
= P ((X1n ; X2n ; . . . ; Xkn ) 2 A)
= P((XAn) ;...;Xkn) 1
Qy Q xmv}= =@ CU=
|= @ pO =at xm P(X n;...;Xkn) =w) P(X ;...;Xk ) Q \k Q X n D! X u Q =v
1 1
o= i w o= }= @ @
D
" CU= QQ |va (X1n ; X2n ; . . . ; Xkn ) ! (X1 ; . . . ; Xk ) k
Q= k @ ? } ' & 1
=
| yxR= v=O P k 1 Pn k 1 Pn =w) P
w w ' w
u J ' f 2 Cb(Rk) s Q} } o %1517 x
- }[k u=yQ@
' OvDUy Rk |wQ p =tDL=

Z Z Z Z
Rk
fd ( Pn k
1
) =
R1
f dP !
k n n!1 1
R
f k dP =
Rk
fd(P k 1)
xm OyO | =W u C
t u v O Q f k O xD w}
}= " U= Q= v= m Q k f x C Q Q p} u x | Qot
w v= U B wO y w m U= Q= k @ rO }= @ }= y
Pn k 1 =w) P k 1 ( n ! 1)
G = S Gk u Q =v
1
}= @O = R1 QO R=@ |=xawtHt G s}vm ZQi TmaQ@ "(Rk; k ) |wQ |}=yxR=Ov= u=wva x@
@ ' W @ B
k=1
"> nk
- awtHt "Gk = nk (j =1 (aj ; bj )) pmW x@ Gk Qy xm
Q p =
0 "? [ Y L |SwrwB wD |=Q@ |=x}=B R=@ x
1
- Ov= x@ =Q N "s} Q}o|t ZwQit =Q

xm s} Q}o|t nQR@ |i=m xR=
[
N
P (G) P ( Gk ) + "
k=1
N 0 = maxfn1; n2; . . . ; nN g s Q} = C Q P =m S Gk " G

N
" } o p L " U= } Bu t= xmv}= x]
- U=w x@ u}=
0 k k k=1
s } yO | Q j > nk Q x Gk = N10 (N
t Q= k
j =1 (aj ; bj ))
|= @ m C w W v u=w D| t u }=Q @= v @
R Q OL x}[
u}=Q@=v@ " (akj ; bkj ) = ( 1; +1)

[
N N0
N Y
[
Gk = N 0 ( 1
(akj ; bkj ))
k=1 k=1 j =1
= N 0 (G0) 1
G0 = S Q (akj ; bkj ) x
0 N N0
?}DQD u}O@ "CU= R=@ RN QO m
k=1 j =1
[
N
P (G) ( Gk ) + "
k=1
= P (N10 (G0)) + " nlim
!1
Pn (N10 (G0)) + "
N10 (G0 ) G w
u J xH}Dv QO " Pn N10 =w) PN10 Q
= } R
P (G) nlim
!1
Pn (G) + "
"CU= Q=QkQ@ 1017 x}[
-
0
k ? CtUk |va} &P (G) nlim
!1
Pn (G) w
'O @ |Q =}DN= "
> w
0 u J = r w P
"1 = Pn (R1) = P (R1) ' OvDUy p=tDL= '=yxR=Ov= xt

- y uwJ =vt[
, Pn =w) P
" s} Q=O TB
s} Q}o "(S; d) = (C [ ; ]; jj:jj1) O Q}o

0 1 } @ %p=Ft 1717
(t ;t ;...;tk )(f ) = (f (t1); . . . ; f (tk ))

1 2
Pn =w) P x
" m OyO|tv xH}Dv 'k 1 Qy Q
|= @ Pn (t1;...;tk) =w) P (t1;...;tk )
1 1
x =ov;
?r]t u}= uO}O |=Q@ "CU}v Q=QkQ@ =[i u}= |=Q@ p@k x}[
- k QO hr= CtUk Tma xm OyO|t u=Wv p=Ft u}=
O Q}o@ Q_v
% } QO Q} R pmW j@=]t =Q fn ` = @ D
s}vm|t Z i Q C}rm uO=O CUO R= uw @ " O P = f0g Pn = ffng s Q} |

w } o t w
0 = t0 < t1 < t2 < < tk = 1
s} Q=O nN Q Q =ov; " N2

y |= @ x < t1 xm O}vm ? =NDv= w
|Q ] =Q N
Pn (t1;t ;...;tk )(A) = Pn ((t1;t ;...;tk )(A))
0 1
8 0 1
>
< (t ;...;tk ) fn 62 A
0
=>
0
: (t ;...;tk ) fn 2 A
1
0
137 | m tR Q OL x}[
- k w h}a[ |}=Qoty swO pYi
' nN iQ w y |= @ ' Q fn (ti) = 0 u J w =t=
(t ;t ;...;tk ) fn 2 A
0 1
Qo = \ki w Qo = ( ; ;...; ) 2 A
0 0 0
s} Q=O Kw[w x@ u}vJty "Pn (t1;...;tk ) = (0;...;0) n N Q

0
y |= @ Q |va} u}= w
P (t1;...;tk) = (0;0;...;0)
0
s} Q=O (; )0 1 =
- @ R=
xR t0; . . . ; tk | y=vDt R=Qi= Qy | = @ Q TB
Pn (t1;...;tk ) =w) P(t1;...;tk )

0 0
OQ
Q= v= m w xDUw}B 'O W w |t h} QaD T (f ) = jjf jj ^ j CQ Y w x@ xm T : C[ ; ] ! [ ; ]
0 1 0 1 la@=D p=L
=t= "CU=
Z Z
TdPn = T (f )dPn(f ) = T (fn) = 1
C [0;1]
|rw
Z
TdP = T ( ) = 0 0
8
>
< 1 fn 2 A w
(A)
[ffng = > *
h} QaD j@] %Qm PD] Pn 6=) P TB
fn 62 A
"
: 0
" CU= nQ @ R |r}N C [ ; ]% 0 1 xH}Dv 1817
O =
" W @ S |wQ p =tDL= =
| yxR= v= R=O w=xO=
- v N @ x= = Qty l} QDt |=[i l} (S; d) s} Q}o %h} QaD 1917
' P 2Q Q xm OW=@ OwHwt

y | = @ S K R= xO
- QWi x- awtHtQ} R ' "> 0 Qy |= @ (tight) nvD
Q Qo = s}} wo =Q
l - awtHt l}
- QWi x
QDWt xO QO w w
QO O H t | y = P s=tD x=ox}mD ,=@} QkD |va} " P (K ) > " s} = xD 1 W @ W=O
Q K "OQ=O Q= k
l} |=Q=O QO fPn g x =@-r vO Qy Qo = s}} wo xO QWi |@Uv Qw]x@ w

=Q j i w=
xO= v N
- %h} QaD 2017
w
" Pnk =) P xm OW=@ OwHwt P 2 |va O = Qoty h}a[ Qw] x@ x-r=@vOQ} R
} ' W @ =
l} QDt | =[i l} (S; d) s Q} } o %Prohorov h Nw B Q Q - }[k x}[k

h}a[ |oOQWi x 2117
%u; |wQ p =tDL= =

| yxR= v= R= O xO=
- w=
v N =@ x=Qty 'OW=@
' CU= xOQWi |@Uv Qw] x@ x =ov; 'OW=@ nvD Q o= hr=

| m t R Q OL x}[
' CU= Q=QkQ@ q=@ x}[

- k Tma x=ov; OW=@ pt=m Q}PB=OH l} QDt |=[i |v=DUyr |=[i l} (S; d) Qo = ?
" CU= nvD x=ov; OW=@ xO QWi |@Uv Qw] x@ Q o= |va}
x- r=@vO Qy xm s}v=O|t '|ry ? =NDv= pY= x@ swUwt s}vm|t C@=F =Q |= x}[k Q

'h Nw B -Q x}[k C =@F= R= V}B
x- r=@vO Qy xm s}vR@ T L O CU= umtt =Pr "CU= =Qoty |= r x =@vOQ} R |=Q=O |k}kL O
O= a= R= Q= v= m O Q |y=vDt=v
(Helly) |r y x@ TOL u}= C=@F= "CU= `} RwDQ} R `@=D l} x@ =Qoty |=xr=@vOQ} R |=Q=O |a} RwDQ} R `@=wD R= Q=Ov=Qm
"O W w |t xO=O C@Uv
`} RwDQ} R `@=wD -xr=@vO "OW=@ xDUw}B CU=Q R= w |OwaY x=oQy 's}t=v|t `} RwDQ} R =Q F `@=D %h} QaD 2217
" Fn(1) Fn( 1) M n Q ' y |= @ Q xm OW=@ OwHwt |M > 0 C@=F x=oQy 'O Ww |t xDio Q=Ov=Qm fFng
O = R
" W @ |wQ . . . F2 F1 s Q} % y ? v= Y=
`} RwDQ} R `@=wD R= |= r x =@vO ' ' } o |r =ND p x}[k 2317
"Fn(1) M n Q Q x O = w w M > C = Fn ( 1) = n Q
' y |= @ m W @ O H t | 0 @ F w 0 ' y |=R= @ x O}vm Z i Q
x x2RQ
m Q Fnk (x) ! F (x)
y |= @ x C w w fFnk g x =@ Q F ` wQ m U= O H t -r vO } R w }R D }R `@=D l} x=ov;
" CU= xDUw}B u; QO F
x- r=@vO uwJ "=} wo O=Oa= ,qFt "OW=@ R R= |}=Q=tW p=oJ x- awtHtQ} R D = fx1; x2; . . . g s} Q}o %u=yQ@
j !1x
' fFng fF1j g w x =@ Q s} w | C O Q fFn(x1)g
m |Q ] ' w s}vm GQ N = R= u J |= r vO } R v= D t ' U= Q= v= m
fF1j g fF2j g R= w x =@ Q C O Q fF1j (x2 )g w

u J |= r w y1 w O x Qot F1j (x1)
vO } R U= Q= v= m u J "O W u J | L @ = y
x | QkD
t=O= w x Q C Qot y2 w
}= U= Q ] @ O x j ! 1 |D F2j (x2 ) x
o= " U= = w x C y w w u J | L @ kw m |Q ] @ U= O H t
xt xD@ m = ; ; . . . Fmj (xm ) ! ym x C

- y r= " 1 2 w w fFm 1;j g fFmj g x =@ Q s}
' m ' U= O H t R= -r vO } R yO
F (xj ) = yj ; j = ; ; . . . = FD : D ! R s}v | h Qa = O O Q M x = jym j

w ' 1 2 @ ' m t } D p L " vQ= v= m @ y
'x 2 D Q Q w u s}v R | Q Q] Q =v |va k Q Fnk = Fkk s} | Q

y |= @ CQ Y }= QO " } o t @ =Q | k Y a } " 1 |= @ ' yO t Q= k
` w x} x =@
@= D R= =t |WN = Fnk w Fnk (x) ! FD (x) = x =@ Q u uD =
rw= - r vO u y R= @ y j@ u J " y r vO } R }= N U VwQ ]
s x < y = x; y 2 D Q Q u Fnk (x) < Fnk (y) =o x < y Q OvDU ` w Q

} Q=O @ y |= @ wQ }= R= " x v; ' o= ' y }R D }R
O}vm h} QaD " FD(x) < FD (y)

F (x) = inf fFD (y) : y 2 D x < yg w
OL x@ F (zn) =o zn # x s Q} C
x |oD w}
v; " =@ x s Q | C } wa F h Qa Q =v
o " U=Q R= U B C F= @ } R=O B t " U= |O Y } D @ @
"FD(y0) x x O Q}o w y0 2 D F (x) < b Q w | Qot b F (x)

w m } @ |Q ] =Q ' o = "O W t = y
x lim F (zn ) < b u

m F (zn) FD (y0) < b P x < zn < y0 s
wQ }= R= " R |= O x n Q = r ' } Q=O nQ @ i m xR=
- v= @ |= @
O = F |oD w} x]k l x Q s} | =W = F (x) = lim F (zn)

' W @ U B - v } xH}D
o= C Z =v lyO t u v p L " v QO " U= k D }
zn #x
: klim
!1
sup Fnk (x) klim
!1
sup Fnk (y) = FD (y) =o y 2 D x < y Q Fnk (x) ! F (x) x v; ' w o= "
139 | m tR Q OL x}[
"
k!1
lim sup Fnk (x) F (x) xH}D s Q} | v QO " } o t st}iv}= 'y |wQ p L =
s y 2 D x0 < y < x
} Q=O ' w Qo = Qo}O Q
h ] R=
F (x0) FD(y) = klim F (y) = klim

!1 nk !1
inf Fnk (y) klim
!1
inf Fnk (x):
F (x ) = F (x) Q o = wQ u}= R= "F (x ) klim
!1
inf Fnk (x) x m O} Qw; CUO x@ =D x0 ! x O Po
' } Q= @
Fnk (x) ! F (x) s

" } Q=O ' W @ O = F |oD U w} x]k l x |va
B - v } }
u} Ro}=H R}v =Q F (1) F ( 1) M < 1 Q

Z i u= D w |t x}[k Q
Z i | H = x@ %Qm PD 2417
"O m Q
P
= r w OvQ=QkQ@ OwNx@OwN x}[k | =y[Qi ' Fn(1) = 1 u J w OvW=@ `} RwD `@=D =yFn Qo = %Qm PD 2517
w Oy=wN
"O @ jO Y = smL
Q@Dat j i w smL 'OW=@ Q=QkQ@ x}[k | =y[Qi w OvW=@ Rk |wQ `} RwDQ} R `@=wD =yFn Qo = %Qm PD 2617
" CU=
fPn g x =@ -r vO s} Q}o "s}vm|t C@=F S=R Q OD@=

|= @ = =Q CtUk u}= %hr= 2117 x
- }[k u=yQ@
x- r=@vOQ} R '|ry ?=NDv= x}[

- k j@] "s}vm|t h} QaD =Q Fn (x) = Pn ( 1; x] = ` w O = O
| y } R D " W @ x W xO=O
=
p L " Fnk (x) ! F (x) s F |oD w} =k } Q=O ' U B \ v QO xm OvQ=O OwHw u=vJ FC U=Q R= xDUw}B `@=D w Fnk
Zw Qi
t =Q" > F (+1) = F ( 1) =
0 " 1 w 0 s}yO|t u=Wv w s}vm|t xO=iDU= fFng uO @ w nvD R=
n 1 Qy |= @ Q xm CU= OwHwt M" |a}@ O

] O a " } s Q}o|t
Pn ([ M"; M"]) 1 ":

x =ov; x M" Q :FD(M") = klim
o= F (M )
!1 nk "
1 " u}=Q@=v@
inf FD (r) FD (M")

F (x) = r>x 1 ":
r2Q
xH}Dv QO " s}yO|t p}t +1 x x @ =Q =

p L
1 " F (1) 1 =) F (+1) = 1
p =tDL= xR=
- O l}
v= Q ` w `@=D l}
|= @ ' } R D F Ck}k L QO TB "F ( 1) = 0 O=O u =Wv u= Dw |t x@=Wt j} Q] x@
Pnk =w) P " '2 - x}[k j@] w CU=
| m tR Q OL x}[
nvD fPn g s}v m Z i " Q S = R1 C = r L x@ s} R=OQB|t "CU= q=@ u=yQ@ x@ x@=Wt u=yQ@ 'S = Rk C = r L QO
n 1 Qy |= @ Q xm CU= OwHwt 'xO QWi K R1 l } " }O Q}o@ Zw Qit =Q "> O 0 w " W @ =
Pn (K ) 1 "
s} Q=O ' k2NQ y |= @ Q u}=Q@=v@
(Pn k 1)(k (K )) = Pn (k 1(k (K ))) = Pn (K ) 1 "

x- r=@vOQ} R ' S = Rk C = r L QO x}[k j@] TB "CU= nvD Rk |wQ fPn k 1g |Wvm =
i= | yxR= v= O u}=Q@=v@
nj = njj | Q]k x- r=@vOQ} R u}=Q@=v@ "Ovm|t p}t Rk |wQ Qk p =tDL= O l} x@ xm CU= OwHwt
xR= v=
- Pnkj k 1
Ovm|t j YO Q} R x]
- @=Q QO
j ! 1; Pnj k 1 =w) Qk 8k 1
=Q x}[k u; QO Q m w Pt = =
|Q oR U \ W Q O}=@ Q=m u}= |= @ Q =t= "s}vm|t =iDU=
xO h o Q wtrm `}UwD x}[
- k R= =Hv}= QO
B 2 Bn Q y |= @ Q |va} 's}vm |UQQ@
Qn+1(B R) = Qn(B )
CQ Y w u}= Q
QO = } R " Qn(@B ) = 0 xm CU= u}= '?r]t u}= C =@F= QO |U=U= \ WQ
Qn+1 (B R) = jlim P 1 (B R) = jlim

!1 nj n+1
P 1(B ) = Qn(B ):
!1 nj n
B | y a = x wtHt R= |oQR@ xOQ
- |= @ Q x}[k s}yO u=Wv CU= |i=m " Qn(@B ) 6= 0 CU= umtt p=L Qy QO
|= @ Q xm CU= OwHwt (R1; B1) |wQ Q xR=

- O O} wo|t
v= h o Q wtrm x}[
- k wQ u}= B xt
R= " y= - y xv CU= Q=QkQ@
k2NQ y |= @ Q u}=Q@=v@ " Qk = Qk 1 ' k2NQ y
j !1 Pnj k 1 =w) Qk 1

" Pnj =w) Q 1517 - x}[k j@] u}=Q@=v@
xO
- QWi = x wtHt
| y a R= |= r x =@vO x=ov; "OW=@ nvD fPn g s}v m Z i Q (S; d) |rm l} QDt | =[i |= @ p LQ =
n Q 1 y |= @ Q xm |Q ] w x@ OQ=O O Hw w Kj
Pn (Kj ) 1
1
j
= S Kj
1
" CU= P (S0 ) = 1 C}Y=N |=Q=O w CU= xO QWi x wtHt u}= S0
' a Qo = u}=Q@=v@
j =1
=Q =y=[i ` v w u}= "Q}PB=OH xH}Dv QO w xO QWi | y = =[i |= @ Q x}[k C =@F= x@ OwW|t p}O@D xrUt TB
C =@F= R= w " O}vm `wHQ u} Rwr x}[
- k 4 pYi x@ "Ov=Wv R1 pQ@ | y a= x wtHt QO CN} Qv=ty Qw] x@ u= Dw |t
" CU= `}UwD w Vvmi= ut[Dt OwN xm Owtv xO =iDU= R1 Cr=L |= @ Q
141 | m t R Q OL x}[
s}vm Z i "Q s}vm|t x=Q= S=R |= @ Q \ki = Q O = |v=DUyr

=Q u y @ " W @ | =[i (S; d) s Q} } o %? u=yQ@
xm |Q ] w x@ CU= w w ">
O H t 0 l} xH}Dv QO " W O =@v nvD =t= 'OW=@ xO QWi |@Uv Qw] x@ m(R)
8n; 9Pn 2 s:t: Pn ([ n; n]) 1 "
\ =kv b a a<bQ
w w o= " Ovm|t p}t P p=tDL= xR=
- O l} x@ h}a[ Qw] x@ xm CU= OwHwt
v= Pnk x =@ Q -r vO } R
x =ov; 'OvW=@ P ( 1; :] |oD w} U B
Pnk (a; b] ! P (a; b]

xH}Dv QO " (a; b] [ nk; nk ] = D s} Q}o|t nQ @ R |i=m xR=
- O x@=Q
v= k
Pnk (a; b] 1 "
s} Q=O P ( 1; :] |= @ Q b a |oD
w U w}B \ =kv Q u}=Q@=v@
|= @
P (a; b] 1 "
xH}Dv QO " |oDUw}B \ =kv |wQ ' b ! +1 a ! 1 O w } Q= Po@
P ( 1; +1) 1 "< 1
O = nvD O}=@
" W @ P CU= umtt Q}e xm
= r "
Qo = \ki w Qo = Pn =w) P =o Pn ; P 2 m(R) s Q}

x v; " } o %x}[k 2717
Z Z
fdPn ! fdP
R R
" Cb1(R) = \fCbk (R) ; k g x f 2 Cb1(R) Q 1 m ' y |= @ Q
CQ Y w x@ =Q (x) ` = Q
@ D "u; o = VN@ x@ s} R=OQB|t "CU= K[=w x}[k Qo = \ki VN@ %u=yQ@
R1 e
dt I (x) + I
1
t(t
(x) = Rx1
1)
[0;1] ( 1;0)(x):
e dt
1
t(t 1)
0
s Q} k 2 N y 2 R Q
} o ' w y |= @ " Q s}vm|t h} QaD
y;k (x) = (k(x y))

k 2 N y 2 R Q Q u Q =v y;k 2 C 1(R) x
' w y |= @ }= @ @ ' m CU= K[=w
Z Z
!1 y;k dPn = y;k dP:
nlim
R Q OL x}[
% k2N F (:) = P ( 1; :] |oD w}

Q =ov; "OW=@
|= @ x U B - x]kv l} y s Q}
} o
Z Z
!1Fn (y ) nlim
nlim !1 y;k dPn = y;k dP F (y + k )
1
k2NQ y |= @Q R}v w " I( 1;y] y;k I( 1;y+ k1 ] =Q} R

Z Z
lim Fn(y) nlim
n!1 !1
y k ;k
1 dPn = y dP F (y k )
k ;k
1
1
s} Qw;|t CUO x@ "O}yO p}t +1 x k @ =Q p L "= I( 1;y] y k ;k I( 1;y k ] 1 1 = u}= =Q} R

Q @
F (y ) nlim F (y) nlim

!1 n !1Fn (y ) F (y )
K [ww x@ "
!1 Fn (y ) = F (y ) =Pr 'CU=
nlim F |oD Uw}B x]k
- v y= t=
Fn(1) = = F (1) 1 w Fn( 1) = = F ( 1) 0
" Pn =w) P s} Q=O 1117 - x}[k j@] xH}Dv QO w
xYNWt `@=wD 22
| Oa@OvJ x@=Wt =OD@= "s}vm|t |UQQ@ =Q p =tDL= | =ya} RwD |= @ Q xYNWt `@=wD |D=tOkt | =y}oS} w Ov@ u}= QO
" s}vm|t u=}@ Rk |wQ =Q p =tDL= |r=oJ `@=wD
Qo = s}} wo xQ}eDtk p=tDL= |r=oJ `@=D l} f : Rk ! R ` = % } D 127 =Q @ D h Qa
f (x) xZ2 Rk Q Q r= & 0 ' y |= @ h
C Rk n@
" O mk x
U= fdmk = ?
|wQ xR= v=
r - m ' 1
Rk
Qy Q w
|= @ CQ Y u}= O =
QO ' W @ f p=tDL= | =o r Rk Q = x ZwtH Q
J |=Q=O P =tD w = Q
*
@ | y a
p ) t } R |wQ p L= u v k o=
%CU= mk x @ C@Uv P s}Owm}vuO=Q

) jDW f xH}D
t P (A) = fdmk Rk A Q x wtH
v QO " ' QO
*
p )
@ -a t
A
dP
f = dm "
k
143 R Q OL x}[
Q}eDt Qy Q O = Rk
|= @ " W @ QO t x
w Q=O @ wOQ u}@ |rwtat |vwQO ? [ x
-Q OvyOu=Wv < x; t > O}v Q
m Z i p L =
CQ Y w x@ =Q P=X } -xYNWt `@=D 'P p =tDL= uwv=k w Rk QO Q}O=kt =@ X |iO=YD
fP (t) = fX (t) = E [ei<x;t>]

R
= Rk ei<x;t>dP (x)
k
x@ w Q
\ @ t | y = xDWwv QO xm ( )
2 2 ?} Q[ uDiQo Q_v QO uw @O u}=Q@=v@ "s}vm|t h} QaD t 2 Rk Q y |= @ Q
u J ww fP ( ) =0 1 xm O}vm xHwD "CU= P p =tDL= xR=
- O
v= - } Q i x w p}O@D `k=w QO fP ' CU= G}=Q x} Qwi R}r=v;
w
"OQ=O O Hw xQ= wty w
j i p= QoDv= ' jei<x;t>j = 1 w CU= p=tDL= xR=
- v=O P
=@ =Q 1 w + 1 Q}O=kt xm OW=@ X |iO=YD Q}eDt x@ w Q

\ @ t p =tDL= `@=D P O}vm Z i Q %p=Ft 227
t2RQ y |= @ CQ Y Q w u}= QO " Ovm|t ?Um

1
2
|w =Ut p=tDL=
Z
fP (t) = eitxdP (x) = e it 1 + eit = cos tbullet
1
R 2 2
`@=D x@ u=v=Op=tDL= xm u}= p}rO =Hv}=

8
>
< 1 A |wQ
A = >
: 0 Ac |wQ
O Q |t Q=m x@
" v @ j i |w =vat x@ |a@=D Q
|= @ =Q xYNWt Cer =yv; w |t swrat 'Ov} wo|t Qov=Wv `@=D
"O W
w |r=oJ `@=D | =y}oS} w R= |[a@ 'O W w |t Qy=_ p=tQv p=tDL= uwv=k w |r=oJ '| m t R Q OL x}[
- k QO xm =Hv; R=
" s}vm|t Q
Qw t =Q p =tDL= `} RwD u}= x@ w Q xYNWt
\ @ t -
`@=D ' > 0 O a w O m2RQ y |= @ Q %xQ=Ro327
'(m; 2; x) = p e 1
(x m)2 =22
2
" CU= R |wQ p=tDL= |r=oJ l}
'u = x m s} Q CU= |i=m "

yO Q= k = 1 w m= 0 xm OQm ZQi u=wD|t C=YDNt Q}}eD l} =@ %u=yQ@
s}yO|t Q=Qk "du = dx

w
CQ Y u; QO xm
Z
I= e u2 =2 du
R
R Q OL x}[
s} Q=O |@]k C =YDNt w |v}@ wi x}[

- k R= xO =iDU= =@
I 2 = RRRRe (u x )=2dudv 2 2
R R
= 02 d 01 re r =2dr 2
1
= ( e r =2 ) = 2
2
0
2
Z p
Ov | C = sm u x p e u =2du = xH}D I = T 1 2
R
" m t @ F =Q L }= m 1 v QO " 2 B
2
|iO=YD Q}eDt Qo = x s}v | x_ q wv s} | =W N (m; 2 ) =t = '(m; 2; :) | =o ` =

m m t L t u m= " yO t u v O v @ =Q r J @ D
Ovv=ty Q}eDt Q}}eD l = w C } T=

@ u J " 2 X u}o =} m O = N (m; 2) | =o
U= u; v } Q=w X w v t ' W @ r J |=Q=O '
N( ; ) 0 1 Q
|= @ =Q QD = u
t=Q B wOQ p O@ N ( ; ) Q T =
}= 'O m O} x@ =L x x =U
} D w|
0 1 w |= @ v } Q=w w t= - U t @ =Q r- t u= D t j i
" s}vm|t x@U=Lt
" var(X ) = 1 w E (X ) = 0 x =ov; 'OW=@ N ( ; ) | =o 0 1 r J |=Q=O XQ o= %xQ=Ro 427
xm O}vm x_Lqt %u=yQ@
p Z
2 E (X ) = xe x2 =2 dx = 0
R
R}v w "CU= OQi ( 1; 1) uQ - Y=i
=kDt xr .
|wQ xOp= QoDv= =Q} R
R
var(x) = E (X 2 ) = p1
2 Rx
2
e x2 =2 dx
R
= p1
2
( xe x =2j 11 + Re x =2dx)2 + 2
= p1
R
( + Re x =2dx) = : 2
2
0 1
p =tDL= uwv=k "s}t=v|t 2 Tv=} Q=w w m u}o =} v t =@ p=tQv =Q N (m; 2) p =tDL= uwv=k %h} QaD 527
" s}} wo O =D
OQ= v U= p t v =Q = Q N( ; ) 0 1
" OvDUy u; swO w pw= - D t | yQw x@ Q = =DWo '|iO=YD Q}eDt Qy Tv=} Q=w w |[=} QO}t=
R xndP (x) n |a}@ PQ

Qo = R p= QoDv= ' ] O a O Qy x O =
|=R= @ ' W @ p =tDL= w = l}
u v k o= %h} QaD 627
"O W w |t xO}t=v P *
s= n x@ Q
- D t Qw =DWo 'OW=@ OwHwt
h} QaD p=tDL= uwv=k l} Qw =DWo Orwt `@=D 'p =tDL= uwv=k l} s= n x@ Q
- D t | yQw = =DWo h} QaD T U= = Q@
"O Ww |t
145 | m tR Q OL x}[
`@=D 'OW=@ p=tDL= uwv=k l} P Qo = %h} QaD 727

Z
g(u) = exudP (x)
R
w |t xO}t=v
"O W Qw =DWo Orwt `@=D 'OW=@ |y=vDt w w
w O H t p= QoDv= u}= Qo =
QiY pwL exu Qr}
) D \U@ 'OW=@ h} QaDVwN u= 0 |o}=Uty l} QO w |y=vDt Qw=DWo Orwt `@=D Qo =
`@=D uDi=} =@ =Hv}= QO " yOO |t CUO x@ QiY x]k
- v QO g n jDW
s= t CQ Y w x@ =Q P p =tDL= `@=D s= n Qw =DWo
" s}vm|t x@U=Lt =Q u; | yQw = =DWo ' N( ; )0 1 Qw =DWo Orwt
%xQ=Ro 827
" e u2 =2 R= CU= CQ =@a OQ= v O =DU= p=tQv uwv=k xYNW

- t `@=D hr=
" eu =2 =
2
@ CU= Q@=Q@ OQ= vO =DU= p=tQv uwv=k Qw =DWo Orwt `@=D ?
Z ( n)!
n = ; ; ;... Q p 1
x2ne x2 =2 dx = 2
n n! A
Z R
w 0 1 2 |= @ '
2 2
m = ; ; ; ;... Q p 1
xme x2 =2dx = 0

" 1 3 5 7 |= @ '
R
2
s} Q=O "s}vm|t C@=F =Q ? = OD@= %u=yQ@
Z Z
g(u) = p 1
exue x2=2dx = p eu =2 Re
1 2 (x u)2 =2dx = eu2 =2 :
2 R 2
s} Qw;|t CUO x@ hr= QO u | H = x@ iu |v Ro =
} =
} H @
Z
p 1
e ixu e x2 =2 dx = e(iu)2 =2 =e u2 =2 ;u 2 R
2 R
u J w xm O}vm x_Lqt A C =@F= Q
|= @
ejxuj exu + e xu
g(u) = eu =2 ` =
2
@ D Qr}D | U Q x@ \U@ =@ p=L "CU= Q}PBp=QoDv= N( ; ) 0 1 p =tDL= xR=
- O
v= |= @ Q ejxuj xH}D v QO
s} Q=O
X
1 ( u2 )n u X
1 2n
g(u) = 2
=
n! n=0 n n!
n=0 2
R Q OL x}[
xH}Dv QO
X1 u2n ( n)!
g(u) = ( n)! n n! 2
n=0 2 2
=
| yQw =DWo s=tD TB 'O};|t CUO x@ g 2n 1 (0) = 0 w g(2n)( ) = ( nnn)!!
0
2
w
j i | U R= Q xm u}= x@ xHwD =@
n = ; ; ; . . . Q E (X 2n ) = ( nnn)!! O Qi
2
2
" 0 1 2 |= @ w v Q x@ Q
Y O i - D t
X m
2
|iO=YD Q}eDt l}
x =ov; 'OW=@ N (m; 2 ) =tD w = = | =Y Q}eD l X Q |r
p L= u v k @ iO D t } o= m Cr=L QO
=o Y =
X m Q T C N ( ; ) =tD w = =@
x v;
o= B " U= 0 1 p L= u v k
E [etX ] = E [et(m+Y )] = etme(t) =2; 2
" t 2 R g(t) = emt+ t =2

&
2 2
R= CU= CQ =@a X Qw =DWo Orwt `@=D TB
uO=O s =Hv= Q=@ n QO =y} RwQ}B O= OaD xm OW=@ |= xrtHwO |iO=YD Q}eDt l} X s}v m Z i Q %p=Ft 927
w
CQ Y u}= O |t CUO x@
QO " yO q= =Q 1 p CUm W w p C}k w i t p =tDL= =@ |rwvQ@ V}=tR; l}
0 1
n
@ CA
P (X = k) = B k = ; ; ;... ;n
k
0 1 2
R= CU= CQ =@a |iO=YD Q}eDt u}= Q

|= @ Qw =DWo Orwt `@=D
0 1
n X
n
@ CA pk qn k = (pet + q)n:
fX (t) = ekt B
k=0 k
p =tDL= sQH `@=D =@ uU=wB |iO=YD Q}eDt X s}v m Z i Q %p=Ft 1027
P (X = k) = e k!
k
k = ; ; ;...
0 1 2
= C QQ X @ U= @= @ Q
|= @ Qw =DWo Orwt `@=D "CU= QDt=Q=B l} > 0 xm OW=@
f (t) = P1 etke
X k=0 = e P1k=0 (ekt!)k
k
k!
=e eet = exp((et )): 1
147 R Q OL x}[
p =tDL= |r=oJ `@=D =@ |}=tv |iO=YD Q}eDt X s}v m Z i Q %p=Ft 1127
8
>
< e x x
'(x) = >
0
: 0 x< 0
% s}@=}|t |iO=YD Q}eDt u}= Q

|= @ =Q Qw =DWo Orwt `@=D "OW=@
R R
fX (t) = Retx'(x)dx = 01 etxe xdx
R
= 01 e ( t)xdx
t<" |= @Q fX (t) = t T B "CU= OwHwt t < |va t > } 0 |=R= @ p= x QoDv= u}=
Oa@ x}[
- k QO =t= "=yv; p=tDL= VJ}B =@ CU= Q@=Q@ pkDUt |iO=YD Q}eDt OvJ `wtHt p =tDL= w=
u v k
" CU= QDxO=U xYNWt `@=D =@ Q =

uO mQ m 'OQ t w u}= QO xm O}O s}y=wN
Sn = X1 +X2 + +Xn Ov = Rk w' W @ QO pkDUt |iO=YD |=yQ}eDt . . . X2 X1 Q % k 1227

' ' o= x}[
Ov = f (t) xYNW ` = = i.i.d. = Xj

' W @ - t @ D @ y Qo = u}=Q@=v@ "fSn = fX fX . . . fXn t 2 Rk Q Q =o
1 2 ' y |= @ x v;
(f (t))n = C Q Q Sn xYNW ` = =o
" @ U= @= @ - t @ Dx v;
s} Q=O t 2 Rk Q y |= @ Q %u=yQ@
exp(i < Sn; t >) = nj=1 exp(i < Xj ; t >)

O
" yO |t xH}Dv =Q smL '|v}@ wi|rvwD x}[
- k w =yXj p qkDU=
xH}Dv =Q X xYNW
- t `@=D |Q}PBjDWt 'X |iO=YD Q}eDt |=Q@ 'E ( jX jr ) uO @ w |y=vDt R= u=wD|t uwvm =
" CiQo
E (jX jr ) r K}L
' 0 O
Y O a |=R= @ x xm OW=@ |k}kL |iO=YD Q}eDt l} X Qo = %x}[k 1327
r x@ Q xD w} jDW
- D t R= U B t |=Q=O |va} CU= Cr ` = @ D l} 'fX (t) = E [eitX ] xYNW ` = =o C- t @ D x v; ' U= |y=vDt
=o PX = P X 1 Q
x v; ' o= " CU=
fX(j)(t) = RR(ix)j eixtdPX (x) j = ; ; ;... 0 1 2
dPX (x)fX(j)( ) = RR(ix)j

0
| m tR Q OL x}[
w x
Q ] @ w xDUw}B t eixt
QO u J ' w CU= xDUw}B f n@ |]rU
' r D |}=Qoty x}[
- k j@] 'r= 0 |= @ Q %u=yQ@
h t x |k}k
w ' L O a O Qy w r= 1 |= @ " Q CU= Q=Ov=Qm CN=wvm}
jeix(t+h) eixtj jxhj

s} Q=O g(u) = eiu b a |k}k w w O
L O a wO Qy Q
|= @ u J w
Zb
jg(b) g(a)j = j a g0(t)dtj jb aj sup jg0(t)j = jb aj
atb
=Q pta u}= " |]rUD |}=Qoty x}[

- k R= xO =iDU= =@ CiQo jDWt QoDv= Ctqa Q} R `@=D
p= R= u= D w |t u}=Q@=v@
"O=O s =Hv= R}v s= r x@ Q
- D t jDWt Q
|= @ u= D w |t
w E (Xi) = 0 x m O v W= @ i.i.d. | iO=YD | y . . . X2 X1 s

= Q}eDt ' ' } Q}o %x } [ k 7142
|k}kL | y = t =t Q
s D |= @ x =ov; Sn = X1 + + Xn O}v m Z i " Q E (Xi2 ) = 2 < 1
lim E (exp( iS
p nt
)) = exp( 2t2 ):
n!1 n 2
N ( ; 2)
0 p=tDL= O xYNWt `@=D x@ |=x]kv
xR=
- v= - pSnn p =tDL= xR=
- O xYNWt `@=D xm CU= |m =L x}[k u}=
v= -
" CU= =Qoty R QO
x}[
-
00
k j@] u}=Q@=v@ "f (0) = 2 f 0( ) = f ( ) =
w 0 0 ' 0 1 u}=Q@=v@ "f (t) = E (eiXt) s Q} } o %u=yQ@
O =t}k=@ =@ Qr}D
x v
f (t) = 1
t + o(t2):
2 2
C@=F tQ Q = t! |Dkw
ot2 ! |va} o =tv
y |= @ p L " 0
t2 0 O
E [exp( iSpnnt ] = [f ( ptn ]n

= ( 2t2=n + o(t2))n ! e
1
2 t2 =2 :
"u; Qr}D \U@ R= xO =iDU= w sD} Q=or uDiQo =@ "n ! 1 |D kw

149 R Q OL x}[
|RmQt - }[k
OL x w xYNWt `@=wD |ov=o} 32
xm u}= C =@F= x=Q QO pw= s k " O xOvyOu=Wv

- Uw}B `@=wD s=tD -
CU= \rDNt Q}O=kt =@ Q=Ov=Qm xD Cb O =tv Ov@ u}= QO
| =ya} RwD w xYNWt |=ya@=D u}@ l}x@l} Q_=vD 'OyO|t xH}Dv =Q p=tDL= QO |}=Qoty 'xYNWt `@=wD |}=Qoty
" CU= p=tDL=
"P =Q x=ov; 'OvW=@ g u =Um} xYNW

- t `@=D =@ R
k |wQ p =tDL= uwv=k wO Q P w Qo = %x}[k 137
" s}vm|t xO =iDU= xOW xO=O p =tDL= uwv=k =@ Rk |wQ p t v = Q `} RwD |WJ}
* B |}=Qoty R= x}[k u}= C =@F= QO
N ( ; 2) 0 = Q `} RwD =D
p t v k Q ? [ pY=L xm OW=@ Rk N ( ; 2 I ) O}v Q
|wQ p t v u v k= Q w= 0 m Z i
# |D
' 0 kw " OvDUy N ( ; 2)
0 u =Um} `} RwD |=Q=O w pkDU xk . . . x2 x1 =YDN |va C
t ' ' ' C t } & U=
x} Qwi R}r=v; =
| yQ= @= R= R xm OyO|t u =Wv u}= "CU= =Qoty P =tD w = x P () = P N ( ; 2I )
p L= u v k @ 0
" CU= xOW xOQw; Q} R sr wO QO x}[k C=@F= C =}RH Q

"O m xO =iDU= =ya} RwD x@ \ @ t | w Q =yD=@F= Q
|= @ u= D w |t
=ov; "OW=@ Rk |wQ g (t) =

R ei<x;t>dP (x) `@=D =@ p=tDL= uwv=k l} P s} Q}o
x
Rk xYNW - t %sr 237
% Ovm|t O
j Y Q} R x]
- @=Q QO xm CU= f () | =o r J |=Q=O P ( )
Z
f ()(x) = (2) k g(t)ei<x;t> 2 jtj2 =2 dt
Rk
x2RQ y |= @ " } Q s Q}o|t Q_v QO =Q k= 1 Cr=L =OD@= "OW=@ N ( ; 2I ) | =o ' s Q}

0 r J } o %u=yQ@
CWwv u= D w |t
R R
f () = R' (x y)dP (y) = R' (y x)dP (y)
" CU= GwR |a@=D ' Q
= }R
= RR( ) 1 Rexp(i(y x)t 2t2= )dtdP (y)

R 2 2
R R
= 21 R( ReiytdP (y) exp( ixt 2t2= )dt 2
R
= 21 Rg(t) exp( ixt 2t2= )dt 2
=@ =Q t2 =
| H w O=O Q= k Q < x; t > xt ' =
| H x@ O}=@ \ki CU= q=@ w
CQ Y u =ty x@ ,=U=U= C =@F= k> 1 |= @ Q
"O Ww |t Z a w ( )
2
k =@ R}v 1 ?} Q[ "OQm
2 Z a w jtj2
" CU= =Qoty P x # @ 0 |Dkw P () p =tDL= uwv=k 'Rk |wQ P p =tDL= uwv=k Qy Q
|= @ %sr 337
| m tR Q OL x}[
N( ; I)
0 p=tDL= uwv=k |=Q=O w X R= pkDUt |iO=YD Q}eDt Y P =tD
w p w=
L= u v k |=Q=O X s Q} } o %u=yQ@
w=
u v k |=Q=O X + Y xH}D v QO " CU= N ( ; 2I ) w =
0 Q Q u Q =v O = Rk
u v k |=Q=O Y > ' 0 y |= @ }= @ @ " W @ |wQ
QO |}=Qoty a.s. | Qot

' }= w
y u J " CU= X x Qot a.s. ! |D X + Y C P () =tD
@ = y ' 0 kw ' w U= p L=
! |D P () ! P P O | xH}D =tD

" 0 kw = r ' yO t v =Q p L=
Qy |= @Q u}=Q@=v@ w |t XNWt
'O W g \UwD xm CU= |r=oJ |=Q=O P ( ) p =tDL= u v kw= %x}[k u=yQ@
" CU= =Dm} 'p =tDL= QO |}=Qoty OL =Q} R

*
'P =Q ! ' 0 |Dkw TB "P () = Q() > ' 0
CUO QO =@ xm |vat u}= x@ "CU= Twmat |=Q=O p=tDL= |=yvwv=k x@ xYNWt |=ya@=D uO=O C@Uv pta
x} Qwi p}O@D uwQ=w x}[
- k R= ?r]t u}= Q u}at =Dm} Qw]x@
"O m =Q p =tDL= w=
u v k u= D w |t xYNWt `@=D uDW=O
"O W w |t xH}Dv
|r=oJ u}= x@ xDU@=w xYNW

- t `@=D gQ O = Rk
o= " W @ |wQ p =tDL= |r=oJ l} f s Q} %} o x}[k 437
Z t 2 Rk Q y |= @ Q |va} 'OW=@
g(t) = f (x)ei<x;t>dx
Rk
x =ov; OW=@ n@r Q}PBp=QoDv= g w
Z
f (x) = ( ) 2
k g(t)ei<x;t>dt a.e.x
Rk
'CU= Q}PBp=QoDv= xYNW
- t `@=D |=Q=O k= Q sO
1 |= @ ' } }O p@k Ov@ QO xm Qw]u=ty = Q |r=oJ p=Ft
p t v |= @ Q
" CU= x R= |= xDUw}B `@=D f | =o r J ' W @ O = Q}PBp=QoDv= gQ o= Qo}O h ] R= "Q Ovm|t O
j Y j i - w x}[k w
QO u J
=} [0;1] C N= wvm} |r=oJ ,qFt Q

'O @ Q m @ = x xDUw}B a.e. = | y |r=oJ Q
|= @ u= D w |t \ki w x}[k u}=Q@=v@
=Q j i -
" e x[0;1] | =t } v |r=oJ
`@=D x@ ' xx @ C@Uv CN=wvm} Qw]x@ CU=Q h ] ' Q # 0 |Dkw w

j i pw= sr QO %u=yQ@
Z
h(x) = ( ) 2
k g(t)e i<x;t> dt
Rk
n@r |]rUD x}[
- k j@] w CU= Q}PBp=QoDv= gx m CU= u}= ?r]t u}= p}rO &CU= =Qoty
Z
jg(t)jj 1 exp( 2jtj2= )jdt ! 2 0
'Rk |wQ xOQWi x=ox}mD =@ xD

- Uw}B `@=D Qy |=Q@
Z Z
Rk
dP () ! Rk
hdx
151 | m tR Q OL x}[
R fdx x R dP () #

= x wtHt Qy
R @ -a Q
|= @ wQ u}= R= " CU= =Qoty R}v Rk Rk @ w sr u}twO Q@=v@
j i " 0 |Dkw
Z Z Rk QO U OQ
Q= v= m w
fdx = hdx:
U U
Q Q Rk
Q= k @ @ -a
QO p ) Q x wtHt Qy Q P
|= @ = r w Q= v= m w OQ xDU@ x- awtHt Qy Q
|= @ |w =UD u}= xm OwW|t xH}Dv =Hv}= R=
xR=
- O x@ C@Uv |r=oJ l}
v= h f w Q m 2 N fx 2 Rk : jxj mg x
|wO y ' ' -a wtHt x@ O}OLD =@"CU=
" a.e. ' Rk |wQ f = h T a.e. f = h x wtH uB " xH}D ' a t }= |wQ v QO w OvQw;|t OwHwx@ n@r
| =ya@=D =@ 'OW=@ Rk |wQ p =tDL= | =yvwv=k R= nvD CN=wvm} Qw]x@ |=xr=@vO fPn g1n=1 s Q} } o %sr 537
=@ CU= O
|=xR= v= p =tDL= uwv=k P xm 'Pn ! P x=ov; "CU= =Qoty f (t) x t Q
@ ' y |= @ Q xm fn (t) xYNW
- t
" f xYNW
- t `@=D
x@ xDU@=w p=tDL= | =yvwv=k x- r=@vO w
'O W = Qoty xDUw}B `@=D x@ xYNWt `@=wD x- r=@vO Qo = xm O=O s}y=wN u=Wv ,=Oa@
" CU= |i=m =t |= @Q xH}Dv u}= Q[=L p=L QO |rw "CU= nvD 'xYNWt `@=wD u;
- y =t= "CU= =Qoty p=tDL=

xt QO xm CU= |=xr=@vOQ} R |=Q=O fPng x =@ -r Q
vO } R Qy 'hQNwQB x}[
- k j@] %u=yQ@
'|rO=O ? =Dm R= 9"3"1 -

xQ= o R Q@=v@ xH}Dv QO |}=Dm} x}[
- k j@] "OvDUy f xYNW
- t `@=D |=Q=O | L | O =yvwv=k
" Pn ! P
N ( ; n)
0 w = xYNWt `@=D fn (t) "O} Q}o@ Q_v
u v k - QO =Q ffn(t) = e nt2 =2 g |a@=D xr=@vO
- %p=Ft 637
| =yvwv=k xm u}= x@ xHwD =@ "CU= =Qoty If0g(t) x t Q @ y |= @ Q fn (t) = t= " CU}v nvD CN=wvm} Qw]x@ xm CU=
" CU= |Qw [ j i Q w sr QO CN=wvm} |ovD 'OvDU}v =Qoty N ( ; n)
0
u}= R= xm Rk | =yrQ@ |wQ P w=

u v k w ' Rk QO Q}O=kt =@ y = (y1; y2; . . . ; yk ) | =Y iO Q
D Q=O @ |= @ Q
R=C =@ y O} = u}o =}
U= CQ a t= } v t 'O W w |t =kr= Q=O @Q
E (y) = (E (y1); E (y2); . . . ; E (yk ));

u}vJty "OvW=@ |y=vDt w O H t w w =yO}t= u}= R= l} Qy xm |DQwY QO
jyj2 = y12 + y22 + + yk2:

Sn = X1 + X2 + + Xk s}
" yO |t Q=Qk pwtat j@] w
| m t R Q OL x}[
Tv=} Q=wwm 'E (Y 2 ) < 1 E (X 2) < 1 | S = Y X |

w o }w @ w iO =YD Q}eDt wO Qy |=Q@ %h} QaD 737
w |t h} QaD
O W CQ Y w u}= x@ cov(X; Y ) |va Y X } w
cov(X; Y ) = E [(X E (X ))(Y E (Y ))]

= E (XY ) E (X )E (Y ):
" CU= VO N w =@ X T= w
v } Q=w m ' E (X 2 ) (E (X )2) X | ' iO =YD Q}eDt l} Tv=} Q=w u}=Q@=v@
x E (jX j2) O = Rk Q =k = | =Y
=ov; 'OW=@ |y=vDt w W @ QO }O t @ iO D Q=O @ Q l} X Qo = %h} QaD 837
'cov(Xi ; Xj ) = x = k k T Q = l Rk
| y }=QO @ O } D t } ' |wQ u; R= x W =kr= uwv=k =} X Tv=} Q=wwm T} QD=t
w
OvDU =Um T = w
" y u } X +V X w x V C=
v } Q=w m |=Q=O w K [w @ @ F Q=O @ Q Qy Q
|= @ " C i; j = ; ; . . . ; k
U=' 1 2
- @=[ =@ R
x] 2
|wQ |vwv=k P s} Q}o %p=Ft 937
P (( ; )) = P (( ; )) = P (( ; )) =
0 0 0 1 1 1
1
u; Tv=} Q=wwm T} QD=t ( 31 ; 23 )

w Q=O @Q =@ CU= Q@=Q@ P u}ov=}t u}= Q@=v@ "OW=@
22 13
64 9 9 75
1 2
9 9
"CU=
" CU= swUwt | m tR Q OL x}[
- - } Q_v s=tD
k x@ xm s}vm|t C@=F p=tDL= x QO |rm w |U=U= |= x}[k uwvm =
%|RmQt OL x
- }[k 1037
w E (X1 ) = 0 xm |Q ] 'w Rk QO Q}O=kt =@ OvW=@ i.i.d. | =Y = Q}eD . . . X2 X1 s Q} r=

iO D | y t ' ' } o h
xYNW
- t `@=D |=Q=O P u v kw = =Hv}= QO xm ' L( nSn= ) ! P n ! 1 |D =o < E (jX12j) < 1
1 2 ' kw x v; "0
X
k
fP (t) = exp( 1
cr;str ts)
2
r;s=1
" CU= X1 | iO =YD Q=O @ Q Tv=} Q=wwm T} QD=t C cr;s = E (X1r X1s)
" w CU=
153 R Q OL x}[
'x |k}kL O a O Qy |= @ xQ =ov; 'E (X1 ) = O =

1 w ' W @ Q= k @ QQ k= 1 |= @ Q hr= CtUk \ W Q Qo = ?
Zx
P f pSnn xg ! (x) = 1 p e 1
t2 =2dt ;n ! 1
2
xH}Dv QO "i = 6 j Q
|= @E ((Xi ; Xj )) = 0 u}=Q@=v@ %OvDUy 0 u}ov=}t |=Q=O w pkDUt Xj =
| yQ=O @ Q %u=yQ@
w
O Hw nQ @ R |i=m O x M O O
xR= v= @ O a 'x W xO=O "> Sn 2 ) = E ( X 2 ) 'n
Q R}v w E ( p n
0 |= @ 1 j j j j 2N Q y |= @ Q
hW|@J |w =Ut=v j@] =Q} R 'CU= S
nvD CN=wvm} Qw] x@ pn uwv=k u}= Q@=v@ "E ( X1 2 )=M 2
n j j <"x m OQ=O
nQ @ R |i=m xR=
- O x n
v= @ |= @ Q
SN j > M g E (jX j2) < "

P fj p 1
n M2 1
w OvDUy |k}kL Q}O=kt |=Q=O < t; Xj > | iO =YD | y = Q}eDt t 2 Ek Q y |= @ p L Q =
E (< t; Xj >) = 0 ; E (< t; Xj >2) < 1

t 2 E k Q i = ; ; . . . Q Q p@ = =[ j@ n ! 1 |D P
y w 1 2 y |= @ ' k | } k ] kw = r
E fexp(i < t; pSnn >)g ! exp( E (< t; Xi >2 = )) 2
u Q =v C fP =t =Hv O `= x }= @ @ " U= u y }= QO | L @ D m
L( pSnn ) ! P
Ov | C = x}[
" m t CtU u C fP xYNW ` = = =tD
@ F =Q k pw= w= P x k }= " U= - t @ D @ p L= u v k m
Q CU= xDUw}B = Q ` w w Ov | p} N ( ; ) x p Sn w = w s} w =@ Q
|= @ ' p t v }R D u J w
n m t t 0 1 @ u v k u J } o ? C F= |= @
C Qot = Q ` w ` = x n ! 1 |D p
" U= =
Sn ` w ` = x Q
n y p t v }R D @ D @ kw }R D @ D ' y
|ivt=v C u}vJty ' r s Q Q crs = csr |va C =kD C T = w T Q = x C K

w y |= @ } ' U= uQ t v } Q=w m } D t m U= [=w
t 2 Rk Q Q |va C u}a y |= @ } ' U= t
Xk Xk
cr;str ts = E ( tr X1;r )2 ) > : 0
r;s=1 r=1
s} Q}o %p=Ft 1137
2 3 2 3 2 3
A = 64 75 B = 64 75 C = 64 75
1 2 3 1 5 2
; ;
2 1 2 4 2 4
Q CU}v u}at |ivt=v

|= @ & A w CU}v uQ =kDt B Q
= }R OvW=@ Tv=} Q=wwm |U} QD=t Ovv=wD|tv B A =o w x v;
" CU= Tv=} Q=wwm T} QD=t l} C|Q i ] R= " < At; t >< 0 s} Q=O 't=( ; ) 1 1
| m t R Q OL x}[
' CU= C T= v } Q=w m ww QiY u}ov=}t |=Q=O xm R Q OL x}[

| m t - k QO | L p O =tDL= uwv=k %h} QaD 1237
"O W w |t xO}t=v N( ; C)
0 w=
u v k
- }[k w
nQ@Ov}r x |FrFt |=yx}=Q; 42
%j = ; ; . . . ; k(n) n = ; ; . . . x Xnj | =Y = Q}eD

1 2 w 1 2 m iO D| y t R= Q=O T}Ov= CU= |=x}=OQo |FrFt x- }=Q; l}
X11 ; X12 ; . . . X1n(1)

...
Xn1 ; Xn2 ; . . . Xnk(n)
CQ Y w x@ x}=Q; |Q]U `tH "CU= j = ; ; . . . ; k(n)
1 2 Q
|= @ Xnj Q }O =kt pt=W x}=Q; s)= n Q] U
kX
(n)
Sn = Xnj
j =1
" CU= =Qoty '?U=vt \}=QW CLD L(Sn ) w = s}vm C@=F xm CU= u}=
u v k h y 'O Ov@ u}= w |t h} QaD
QO "O W
|iO=YD | y = Q}eDt "OvDUy pkDUt w Q= Okt|k}kL |iO=YD | y = Q}eDt Q]U Qy QO xm OwW|t Z i Q =Hv}= QO
Q
= }R ' OvW=@ xOW h} QaD |irDNt | y= =[i QO Ovv=wD|t |DL w OvW=@ pkDUt OQ= v O |twRr hrDNt | y = Q]U QO
" CU= KQ]t uwv=k QO |}=Qoty \ki

k(n) = n s} yO Q= kQ CU= |i=m %OQm ZQi |FrFt x-}=Q; l} s=n Q] `t w | pSnn wtH U QO H u= D t =Q ` t
= k (n) =
} O 0 ' W @ = xDW=O Y e - H } i
X
Qi Q} xrt l \k Q] Q Q j = ; ; . . . ; n Q Xnj = pnj U y o= " 1 2 |= @ w
L(Sn ) | Qot }= y C =@F= |=Q@ "O Q Q =}D

m Z i |Q w | L(Sn ) =o i l x j 6= i Q Xnj =
N= u= D t =Q x v; } |=R= @ ' |= @ 0
u = Po Sn
}= @ "OQ= @ ` wtHt Q@ |m w Q Xnj xrt Q
J m F= R = n Q x O w | xD P
- H w =} Q
y 'nQ @ | y |= @ m v W t W= o |Q ] C [ i
OL x}[
- k R= |t}taD =Hv}= QO " k(n) = n |D wY x Q O w p} C =y | x k(n) w =} Q
kw X N @ 'O m y= N t } v @ @ p ] C [ i
" s}yO|t x=Q= |FrFt = x Q

| y }=Q; |= @ | m t RQ
| y = Q}eD j = ; ; . . . ; k (n) C = n = ; ; . . .
t ' 1 2 w @ F 1 2 Qy Q s}vm
|= @ Z i Q %nQ@Ov}r x
- }[k 147
Pk(n) 2 = 2 = E (X 2 ) E (X ) = OvW=@ pkDUt Okt|k}kL Xnj | =Y
"
j =1 nj nj nj 1 w nj w 0 w ' w Q= iO D
s}yO|t Q=Qk "> 0 Q= Okt Qy Q

|= @ w ' nj = L(Xnj ) s Q} } o
Z
Enj" = x2dnj (x)
fjxj>"g
'n ! 1 |D kw x =ov; ""> 0 Qy |= @
Pk(n)
Q limn!1 j =1 Enj" = 0 O}vm Z i Q u}vJty
L(Sn ) =) N ( ; ): 0 1
155 R Q OL x}[
nvD fL(Sn)g h *
W |@J |w =Ut=v j@] 'OvDUy 1 Tv=} Q=w w QiY u}ov=}t |=Q=O =ySn s=tD uwJ %u=yQ@
j@] "CU= =Qoty N ( ; ) xYNW

0 1 - t `@=D x@ Q=wx]kv Sn xYNW
- t `@=D xm s}yO u=Wv CU= |i=m TB "CU=
s} Q=O ' j = ; ; . . . ; k(n) = Xnj

1 2 ' y p qkDU=
kY
(n)
E [exp(itSn)] = E [exp(itXnj )]
j =1
u 2 RQ ) D \U@ R= xO=iDU= =@ "

Q O =t}k=@ =@ Qr}
y |= @ x v r j j 1 xm OvDUy |]rDNt O=Oa= =yr Q} R C=@U=Lt QO
eiu = + iu + 1 u = + iu u2= + 3 juj

2 3
1 1 2
2 6
s} Q=O ' f (u) = eiu ` = @ D Qy Q

|= @ u J w
jf (n)(u)j = jineiuj = 1
log( + z) = z + 3z2 s jzj < = = z \rDN O =t

" 1 } Q=O ' 1 2 @ t O= a= s D |= @ Q
w
j i CQ Y @ w x j nQ w Q u Q =v 5 = 1 (tx) 4 = 2 (tx) s Q} t x " > Q
y |= @ }= @ @ " Q w } o w w 0 y |= @ p L =
R R
E [exp(itXnj )] = [ + itx]dnj (x) + jxj"[ t2x2= + 4jtxj3= ]dnj (x)
1 2 6
R
+ jxj>" 5x2t2= dnj (x): 2
=@ CU= Q@=Q@ pw= - xrtH swO p= QoDv= QO " E (Xnj ) = 0 = }R Q CU= 1 |w =Ut |rw= p= QoDv=
t2(nj2 Enj" )= 2
"jtj3nj"= 6 =@ CU= Q@=Q@ QFm =OL swO - xrtH jr]tQOk ' jxj " |= @ Q jxj3 "jxj2 u J ww
xH}Dv QO ' CU= t2 Enj" =2 QFm =OL sy p= QoDv= u} QN; jr]tQOk
E [exp(itXnj )] = 1 t2(nj2 Enj" ( 1 6))= + 4jtj3"nj2 = :

2 6
s} Q=O '0 Enj" nj2 u J w
jnj2 Enj ( 1 6)j jnj2 Enj" j + jEnj" 6j

nj2 Enj" + Enj"
= nj2
" max(2 ) "2 + P E
nj j nj" ?}DQD u}= x@
w =yj s=tD w nQ @R |i=m xR=
- O x@
v= n |= @ Q xm OQm ?=NDv= lJwm QOku; =Q " u= Dw |t 't |k}k L O aO Qy |= @ Q
Znj = E (exp(itXnj )) 1
R Q OL x}[
Q
= }R ' jZnj j 12 s} W @ = xDW=O
jZnj j t2nj2 = + jtj3"nj2 =

2 6
12 ("2 + Pj Enj" )(t2 + jtj3"= ) 21 6
" CU= =Qoty QiY x@ n ! 1 |D Pj Enj" x}[ kw k Z i Q j@] =Q} R

s} Q=O tQ Q
y |= @ p L =
E [exp(it Pjk=(n1) Xnj )] = Qkj=(n1) E [exp(itXnj )]

= Qkj=(n1) ( + Znj ) 1
= exp(Pkj=(n1) ln( + Znj )) 1
s} Q=O Znj h Qa log( + z) = z + 3z2 x

} D w 1 m u}= R= xO =iDU= =@
E [exp(it Pjk=(n1) Xnj )] = expf t2( + o( ))= + 8jtj3"= 1 1 2 6
+ 9 Pkj=(n1)[10t2nj2 ( + jtj"= )]g 1 6
=
Pk(n) 4 (max 2 ) Pk(n) 2
p L
j =1 nj j nj j =1 nj
" + o( ):
2 1
" CU= =Qoty QiY x@ 'n ! 1 |D kw xm n R= |a@=D |va} o( ) =Hv

1 }= QO
xm s} Q}o|t xH}Dv|r@k CQ =@a QO |Q= Po}=H =@
E [exp(it Pjk=(n1) Xnj )] expf t2= + o( ) + 8"jtj3= 2 1 6
+ 11t4[("2 + o( ))( + jtj"= )2]g 1 1 6
s} Qw;|t CUO x@ =Pr w O=O p}t QiY x@ =Q u; u= D w |t w

'O @ |Q =}DN= "> 0 u J w
E (exp(itSn)) ! exp( t2= ) 2 ; n ! 1:
O}t= w |y=vDt Tv=} Q=w =@ R QO i.i.d. | iO=YD | y = Q}eDt Q

|= @ =Q | m tR Q OL x}[
- k ,q@k %Qm PD 247
Z iQ |oO=U |=Q@ "OQm C@=F ,=OOHt =Q u; nQ@Ov}r x}[

- k ltm x@ u=wD|t p=L "s}OQm C@=F s}kDUt Qw]x@ QiY
=ov;
Xj k(n) = n E (X 2) =
Xnj = p s}vm|t
x "
n 1 w w 1
kX
(n)
nj2 = n 1
; nj2 = : 1
j =1
157 R Q OL x}[
O "> Q
R
x W xO=O 0 |= @
Enj" = dL(Xnj )(x)

jxj>" x
2
= E [Xnj IfjXnj j>"g]

2
= E [X12IfjX j>"=png]=n:
1
x}[
- k \}=QW xm OwW|t xH}Dv =Hv}= R= " n ! 1 |D Pnj=1 Enj" = E [X12IfjX j>"=png] !
kw
1
0 u}= Q@=v@
" CU= CUQO Cr=L u}= R Q OL x}[
QO | m t - k TB "OvDUy Q=QkQ@ n @Q Ov}r
swU pYi
xDUw}B QDt=Q=B =@ pov}DQ=t 'uU=wB Ov};Qi
uU=wB Ov};Qi 13
G}=Dv u} QDtyt "s}Owtv |UQQ@ =Q u; | =y}oS} w w s}OQm h} QaD =Q xDUUo QDt=Q=B =@ pov}DQ=t 5 w 6 | =yrYi QO
s}OQm u=}@ R}v =Q hkwD u=tR | =y}oS} w "OvOw@ |Q =}DN= | Q}oxvwtv x}[
- k w =yrov}DQ=t |}=Qoty x}[
- k =yrYi u}=
=
u tR =} hkwD u=tR x@ '|v}aD u=tR |= @ Q pov}DQ=t x@ \w@ Qt |=yx}[k s}taD =t syt O
h= y= R= |m} xm s}O}O w
u}= QO =t Q=mwQU u}=Q@=v@ "s}yO s}taD xDUw}B Cr=L x@ =Q s}y=it u}= s}y=wN|t pYi u}= w
QO "O @ |Q =}DN=
l} x=ov; 's}vm|t x=Q= =Q Ov};Qi u}= h} QaD =OD@= w Oy=wN xDUw}B QDt=Q=B =@ |iO=YD
"O @ = Ov};Qi =@ pYi
| y
=
u tR TBU "s}yO|t Q=Qk |UQQ@ w
OQ t C =}RH =@ ,=D@Uv =Q uU=wB Ov};Qi |va} =
X N - U xD w}B |iO=YD Ov};Qi
x@ xDUw}B QDt=Q=B =@ pov}DQ=t x- } Q_v \U@ QO xm =Q |}=yv; xS} w x@ =Q u; | =y}oS} w w s}vm|t h} QaD =Q |rm hkwD
pov}DQ=t = =[k \U@
| } s
QO " } R=O B Q |t xDUw}B | =yrov}DQ=t x- } Q_v x@ x=ov; w 'O m Q s}y=wN x=Q='Ot; Ovy=wN Q=m
u; =} xOvv=wN CU= QDy@ wQ u}= O
R= ' W s}y=wN G =DLt 5 w 6 | =yrYi = x}[k
| y R= |[a@ x@ ?DQt xDUw}B
" Ovm `wHQ =Hv; x@ R=}v w w
OQ t OQ= t QO =} w Ovm xar=]t =OD@= QO =Q =yrYi
158
159 xDUw}B QDt=Q=B =@ pov}DQ=t 'uU=wB Ov};Qi w
s U pYi
Q}PBxR=Ov= |=[i wO ( 0 ; F 0) w ( ; F) w OvW=@ |k}kL \N R= |= a x wtHtQ} R T s Q} % } D 118

} o h Qa
|iO=YD =
| yQ=O @ R=Q fXtgt2T x Q Ov = - }=O o " W @
Xt : ( ; F ) ! ( 0; F 0) ()
1
w xDUUo QDt=Q=B =@ |iO=YD Ov};Qi =Q u; T = f ; ; ; ;...;g Q

0 1 2 3 o= " s}t=v|t |iO=YD Ov};Qi l} =Q
,q wtat "s}t=v|t xDUw}B QDt=Q=B =@ |iO=YD Ov};Qi =Q u; ' W @ O = |k}kL \N R= w xDUw}B |= xrY=i TQ o=
|}=to}U u= O}t B1 x ( 0; F 0) = (R; B1)

m w CU= P p =tDL= xR=
- O =@ x=Qty p=tDL=
v= |=[i l} ( ; F)
R= xm CU= u}=Q@ sUQ uwJ "Ov} wo|t |iO=YD Q}eDt =Q =yXt Cr=L u}= QO xm 'CU= R pQ@ | y a= x wtHtQ} R
|a}@] pwLD p=L - } B
QO x O O l} x-Ovvm h}YwD |[=} Q pOt =Q |iO=YD Ov};Qi w O W w |t u=tR Q}@aD t TO } v=
t2T Q y |= @ Q xm CU= |vat u}= x@ 1 xm s}vm|t |Qw;O } "O W = w |t Q=}DN= T = [ ; +1) 0 ' v O Q}o|t
8 M 2 F 0 : Xt 1 ( M ) 2 F ;
"Xt 1 (M ) = f! 2 : Xt(!) 2 M g w
'O wtv h} QaD =H u}ty 'OvQ=O |U=U= x@v

- H | Oa@ = =
| yQ m QO xm =Q | Qo}O s}y=it w CiQ QDwrH u= D w |t
=Q uU=wB Ov};Qi EL@ x- t=O= QO "s}vm|t pwmwt Oa@ x@ =Q =yv; u=}@ 'OvQ=Ov Vkv uU=wB Ov};Qi |UQQ@ QO u J w |rw
Ov};Qi xm s}vm x=Q= =Q |}=y}oS} w xm CU= u}= O
h y " s}vm|t |UQQ@ =
X N - U xD w}B |iO=YD Ov};Qi l} u= wva x@
O = uU=wB Ov};Qi 'Ovm|t
" W @ j Y O =y}oS} w u; QO xm | Ov};Qi =yvD |va} 'Ovvm XNWt |i}m Qw] x@ =Q uU=wB
p =tDL= |r=oJ `@=D =@ X : ( ; F ; P ) ! (R; B1) |iO=YD Q}eDt %h} QaD 218
8
>
<e t t > 0
f (t) = > ()
t
2
: 0 0
" s}t=v|t QD = =@ |}=tv |iO=YD Q}eDt

t=Q B =Q
R= CU= CQ F (t) |va X ` w

=@a ' } ' }R D `@=D xm OwW|t xO}O |oO=U x@
8
>
< e t t > 1 0
F (t) = > ()
t
3
: 0 0
syt |oS} w G(t) = e t u J " w G(t) = 1 F (t) t 2 R ' |= @ Q O}vm Z i Q
G(t + s) = G(t)G(s) t; s 2 R
'G(t) = P (X > t) u Jw =}
P (X > t + s) = P (X > t)P (X > s)

xDUw}B QDt=Q=B =@ pov}DQ=t 'uU=wB Ov};Qi w pYi
s U 160
|]QW pmW x@ xm s} Qw;|t CUO x@ =Q
P (X > t + sjX > s) = P (X > t) ()

4
K[=w 4 R= |Q= Pot=v u}= Cra "Ovt=v|t |}=tv |iO=YD Q}eDt |o_i=L|@ =Q |oS} w u}= "CU= u=}@ p@=k R}v
Q
\ W QO GQ o= |va} 'Ovm|t u}at =Dm} Qw] x@ =Q |}=tv `} RwD '|oS} w u}= xw qa x@ "CU=
G(t + s) = G(t)G(s)
Q}eDt pta QO "O @ w Oy=wN ' t > G(t) = e
0 '
t CQ Y w x@ G > ' 0 l} |=R= @ xx =ov; 'Ovm O
j Y
hY x@ | Oa@ | QDWt uO}UQ =D Q=_Dv= u=tR ,qFt "O W w |t xDiQo Q_v QO Q =_Dv= u=tR u=wva x@ |}=tv |iO=YD
QDt=Q=B =@ |}=tv `} RwD |=Q=O ' |virD C =tr=mt xm@
- W l} QO | - r=mt =D Q=_Dv= u=tR =} CUB QDiO l}
Oa@ xt QO
Q |t swrat |@ QHD Oy=wW

"OO o |wQ R= ,q wtat xm OvDUy |YNWt |
x =ov; t> 0 Qo = "OvW=@ QD = =@ pkDUt |}=tv |iO=YD Q}eDt
t=Q B wO Y X O}v
w Q
m Z i p L =
ZZ
P (X + Y t) = 2 e (u+ ) dudt
x+yt
Z tZ t u
= 2e (u+ ) ddu = 1 e t (t)e t
0 0
x =ov; =Q=B =@ |}=tv pkDUt |iO=YD | y = Q}eDt Xn . . . X2 X1 Q

' ' ' o= xm OQm C@=F u= Dw |t <=QkDU= x@ w
t X (t)
n 1 k
P (X1 + X2 + + Xn t) = e :t>
k=0 k !
1 0
R= CU= CQ=@a s}yO|t u=Wv Fn(t) =@ =Q u; xm 'X1 + X2 + + Xn ` w `@=D =Pr

}R D
8 P
>
<e t 1k=n (tk!)
k
t> 0
Fn(t) = >
: 0 t 0
QDt=Q=B =@ uU=wB |iO=YD Q}eDt =Q X : ( ; F ; P ) ! (R; B1) | iO =YD Q}eDt %h} QaD 318
CQ Y w x@ u; p =tDL= sQH `@=D Qo = s}t=v|t
k
f (k) = e k! k = ; ; ;... 0 1 2 ()
5
O = O
" W @ x W RmQtDt |ivt=v K}LY O
O= a= |wQ u; s H s Q =tD |va} 'OW=@
u=ty E (:) R= Q w_vt xm E (X ) = var(X ) = O = uU=wB |iO=YD
' W @ XQ o= xm OwW|t xO}O |oO=U x@
" CU= |[=} Q O}t=
161 xDUw}B QDt=Q=B =@ pov}DQ=t 'uU=wB Ov};Qi s U w pYi
Q =_Dv= u=tR X1 O}v Q

m Z i " } O Q}o@ Q_v QO =Q |virD C =tr=mt uO}UQ ,qFt =yOt=W}B R= |= r x =@vO p=L
w u}twO `wkw u}@ Q=_Dv= u=tR X3 O =W}B u}twO w u}rw= `wkw u}@ Q=_Dv= u=tR
' t X2 O =W}B u}rw= `wkw
' t |= @ Q
x- r=@vO R= CU= CQ =@a s}v} Ro|tQ@ =yOt=W}B u}= `wkw |UQQ@ |= @Q xm |[=} Q pOt "OW=@ ... w Ot=W}B u}twU
" CU= w =
|Q Y t p t " v=x W O O O h} QaD p=tDL= | =[i l} |wQ xm |iO=YD | y = Q}eDt u}= R= . . . X2 X1
' '
QO | Oa@ = Q}@aD
| y QO ,=O OHt w s} Q=O|t xov |Q Yw Q}e CQ Y w u}ty x@ =Q =yXn |= @ Q Q =_Dv= u=tR Q}@aD =t=
" s}} wH|t OwU u; R= |[=} Q pOt u}=
n Q
1 |= @ w S0 = 0 O}vm Z i Q
Sn = X1 + X2 + + Xn
'OvyOv MQ u t = Rty | t O =W}B wO I}y Qo = "OyO|t u =Wv =Q Ot=W}B u}t= n w
` kw u tR = Sn w
CQ Y u}= QO
%|va} 'Ov=|OwaY ,=O}m = =ySn =Pr w O @w Oy=wNv QiY | t O =W}B wO I}y `wkw u}@ Q=_Dv= u=tR
0 < S1 < S2 < . . . () 6
|va} 'Ovvm|t p}t +1 x = Sn @ y x =ov; 'OyO MQ Ot=W}B |y=vDt O= OaD \ki |y=vDt |v=tR - @
xR = Qy QO Qo = w
sup
n
Sn = +1 () 7
Q
\ W wO =@ OvDUy pO =at \}=QW u}=
X
X1 > ; X2 > ; . . .
0 0 w Xn = +1 () 8
n
Q
\ W =Q =yv}= QQ O =
|Q= k @ ' W @ Q= k @ 8 QQ =yv; pO =at =} 7 w 6 \}=QW xm s}vm|t Z i xQ= Q wty EL@ QU=QU QO
% s}t=v|t 0
" CU= Q=QkQ@ 8 =yv; =@ pO =at =} 7 w 6 \}=QW '1 p =tDL= =@ %0 \QW
xO=O Q= k Q =yXn |wQ `} RwD uO @ uw =Um} =} p qkDU= p}@k R= | Qo}O \ W Q I}y u}= RH 'Q[=L p=L QO
xm CU= K[=w "OvyO|t [ ; t] | = MQ 0 v tR xR

- @ QO= xm OW=@ |}=yOt=W}B O= OaD Nt O}v Q w |t m Z i "O W v
O= OaD u}vJt N0 =y " S x Nt = 0 x }w @ " P O

0 = r ' yO |tv MQ | t O =W}B I}y t p@ = t < X1 Q
R= k D o=
w
` kw u tR = Sn xmv x x w = Nt Ns =
}= @ H D @ " @ CU= Q@=Q@ 'OyO|t MQ (s; t] | = v tR xR
- @ QO = xm |}=yOt=W}B
' CU= Ot=W}B u}t= n
Nt = maxfn : Sn tg
|va} 'O};|t CUO x@ 'OyO|t \@ Q sy x@ =Q Sn Nt x w m - @=Q =Hv}=
|tyt x] R= w
f! : Nt(!) ng = f! : Sn(!) tg () 9
s U 162
s= n O =W}
t w
B ` kw u tR = O}=@ OW=@ xO=O MQ Ot=W}B n pk= q 't u=tR =D Qo = xm CU= u}= |w=UD u}= Cra
1 xm OwW|t xH}Dv 9 R= " TmaQ@ w OW=@ t R= p@k
f! : Nt(!) = ng = f! : Nt(!) ng f! : Nt(!) n + g 1 ()

= f! : Sn(!) tg f! : Sn+1 (!) tg
= f! : Sn(!) t < Sn+1 (!)g
|]}=QW CLD =Q =yNt w `} RwD xm CU= u}= hOy "CU= |ivt=v K}LY Q=Okt =@ |iO=YD Q}eDt Nt =Pr
s-= D
|}=yv=ty Q |t `[w =yXn

OO o |wQ xm |]}=QW "TmaQ@ w s}vm |UQQ@ Q |t `[w =yXn
OO o |wQ xm
% Ovm|t XNWt =Q =yv; w =_Dv= u=tR C}y=t xm CU=
uO @ Q
"OvDUy lQDWt QDt=Q=B =@ |}=tv `} RwD |=Q=O w pkDUt |iO=YD | y = Q}eDt =yXn %1 \QW
Q
= } R '1 p =tDL= =@ Snn ! 1 R O
nQ @ O= a= | k u v k w w = Q@=v@ w P (Xn )=
0 0 'nQ y |= @ Q u}=Q@=v@
=@ CU= Q@=Q@ QDt=Q=B =@ |iO=YD Q}eDt u}ov=}t

1
P
= r "
P (sup
n
Sn = +1) = 1
P O
= r " W h} QaD xm Ow@ Fn Sn ` ' }R Dw `@=D xm s}O}O "CU= Q=QkQ@ =yXn u}= Q
|= @ 0 \ W Q xH}Dv QO
X
1
e t (tk!)
k
P (Nt n) =
k=n
xH}Dv QO
P (Nt = n) = e t (tn!)
n
n = ; ; ;... 0 1 2 ( ) 10
`k=w O
QO ' yO |t CUO x@ |QDW}@ G}=Dv 1 \ W Q =t= "CU= t QD t=Q B= =@ uU=wB |iO=YD Q}eDt Nt |va }
=@ CU= pO =at 1 \ W Q xm s}vm|t C@=F
%2 \QW
O pkDUt
' v= Ntk Ntk ; . . . ; Nt 1 2
Nt 1 |
y = wtv '0 < t1 < < tk |= @ Q (i)
OvDUy
' (t s) QDt=Q=B =@ uU=wB `} RwD |=Q=O 0 s<t |= @ Q Nt Ns | y = wtv (ii)
s
" } Qw; |t CUO x@ (ii) R= X N = Cr=L u= wva x@ =Q ( )s=
10 Q = 0 uO=O Q= k @ "1 p =tDL= =@ N0 = (iii) 0
| y = QDt=Q=B =@ uU=wB `} RwD |=Q=O Nt Ns Ns w Nr =o r < s < t Q

x v; ' O pkDUt =ywtv uwJ
o = ' v=
QDt=Q=B =@ uU=wB `} RwD |=Q=O Nt Nr |va =y wtH } v; ` P O pkDUt w OvDUy (t

t = r ' v= s) (s r)
w
" CU= Q=oR=U (ii) = @ xm C (t r)

U=
" An+1 An %Ov=|rwRv An = fNt ng |=yOt=W}B xm O}vm xHwD 1

Ov};Qi l} 'Ovm|t jOY jwi 2 \QW QO xm =Q |iO=YD |=yQ}eDt R= fNt gt0 x- }=OQo %h} QaD 418
" s}t=v|t QD t=Q B = =@ uU=wB

" OvrO=at w
j i 2 w 1 \}=QW xm CU= u}= s}vm C@=F s}y=wN|t xm |= xH}Dv u}rw=
" OvrO=at 2 w 1 \}=QW %x}[k 518
OvyO|t MQ t =
u tR R= Oa@ xm =Q |}=yOt=W}B w s} Q}o|t C@=F =Q t:( =) ) x s}v | C = OD %u y @
1 2 m m t @ F = @= = Q
R= Oa@ Ot=W}B u}rw= uO=O MQ =D Q=_Dv= u=tR "SNt t < SNt+1 s Nt h Qa Q =v s}v | | Q } Q=O ' } D @ @ " m t UQ @
=@ CU= Q@=Q@ t =
u tR R= Oa@ Ot=W}B u}twO w u} u} =_D = SNt +1 t = C Q Q t =
rw= uO=O MQ @ Q v= u tR ' @ U= @= @ u tR
x =@ u Q | XNt +2 -r vO wQ }= R= " N; r= w '
X1(t) = SNt+1 1 ; ; X2(t) = XNt +2 ; X3(t) = XNt +3; . . . ; ( )

11
Qo = \ki w Qo = Nt+s Nt + m '9 Q@=v@ "Ovm|t h} QaD =Q t =

u tR R = Oa@ Q=_Dv= | =yv=tR R= |= r x =@vO
,qO =at =} SNt +m t+s
SNt+m t = X1(t) + X2(t) + + Xm(t) s
' s 0 |= @ Q u}=Q@=v@
Nt+s Nt = maxfm : X1(t) + X2(t) + + Xm(t) sg

xH}Dv QO w
fNt+s Nt = mg = fX1(t) + . . . ; Xm(t) t < X1(t) + + Xm(t+) 1 g:

" CW=O Ns = Sm x
@ Nt+s Nt = x] =t Sm(t) = X1(t) + + Xm(t) x =@ x
m OQ=O @ =Q |= @=Q u y -r vO m s}v}@|t
|=Q=O w pkDU | =Y = Q}eD fNt = ng O =W}
t 11 iO D | y t ' Q = s} =W x C u t B |wQ \ W @ yO u v m U= O
}= x }= p L =
|O wyW Q_v R= ?r]t u}= 'OvDUy x_i=L|@ |=tv `} RwD |=Q=O w OvrkDUt =yXk w
u J " OvDUy |}=tv `} RwD
|=Q=O Xn+1 w
u J x =ov; "OW=@ Sn ` w `@=D
}R D Fn Y
w 0 O}vm Z i CQ =@F= Q O
|= @ " UQ |t Q_v x@ |y}O@
s} Q=O CU= |}=tv `} RwD
P fSn t < Sn+1 ; Sn+1 t > yg = P fSn t; Xn+1 > t + y Sn g

Z
= P fXn+1 > t + y xgdFn(x)
xt Z
= e y P fXn+1 > t xgdFn(x)
xt
= e P fSn t; Xn+1 > t Sn g
y
= e y P fSn t < Sn+1 g

s U 164
s} Q=O =yXn p qkDU= Z i Q Q@=v@ w
P fSn+1 t > y1; Xn+2 > y2; . . . ; Xn+j > yj ; Sn t < Sn+1 g =
= P fSn+1 t > y1; Sn t < Sn+1 ge y . . . e yj 2
= P fSn t < Sn+1 ge y :e y . . . e yj 1 2
xm CU= |vat u}= x@ w x]@=Q

j i - ' H = (y1; 1) . . . (yj ; 1) s}yO Q=Qk Qo = =Pr w
P fNt = n ; (X1(t); . . . ; Xj(t)) 2 H g = P fNt = ngP f(X1(t); . . . ; Xj(t)) 2 H g: ( ) 12
12 -x]@=Q H 2 Bj Q Q xH}Dv QO 'OvyO|t p}mWD sDU}U

y |= @ l } j i w pmW x@ H = x wtHt uwJ
| y a
" CU= Q=QkQ@

CWwv u= D w |t p=L
fNsi = mi ; i ug = f(X1; . . . ; Xj ) 2 H g
1
w j = mu + 1 xm
H = f(x1; . . . ; xj ) 2 Rj : x1 + . . . ; xmi si < x1 + + xmi +1 ; i ug 1
s} Qw;|t CUO x@ pmW u}= x@ H= @
f(X1(t); . . . ; Xj(t)) 2 H g = fNt+si Nt = mi ; i ug 1
xm OyO|t xH}Dv 12 - x]@=Q u}=Q@=v@
P fNt = n ; Nt+si Nt = mi ; i ug = P fNt = ngP fNsi = mi ; i ug

1 1
x =ov; 0 = t0 < t1 < t2 < < tk Q o= xm OwW|t xH}Dv k |wQ <= QkDU= =@ w x]@=Q u}= R=
Y
k
P fNti Nti = ni ; 1 1 i kg = P fNti ti 1 = nig ( ) 13
i=1
" Ovm|t C@=F Q
=Q 2 \ W O N w xm OyO|t xH}Dv =Q 13 - x]@=Q '1 \ W Q TB
xm OvyO|t xH}Dv u=tRty (iii) (ii) ( =) ) s}v | C = |va Tm Q
w " 2 1 m t @ F } ' a @ C F= =@ x@ s} R=OQB|t p=L
xH}D C t QD = = u w ` w
v QO w U= t=Q B @ U= B } R D |=Q=O t> 0 |= @ ' Q Nt
P (X1 > t) = P (Nt = ) = e 0
t
s U pYi
O}vm Q s}vm =O}B

Z i " =Q X2 X1 w w `} RwD xmv}=
s-= D |= @ " Q CU= QDt=Q B= =@ |}=tv |iO=YD Q}eDt X1
0 s1 < t1 < s2 < t2
s} Q=O
P fs1 < S1 t1 ; s2 < S2 t2g =
= P fNs = ; Nt Ns = ; Ns Nt = ; Nt Ns g
1
0
1 1
1
2 1
0
2 2
1
= e s (t1 s1)e (t s ) e (s t ) ( e (t s ))

1 1 1 2 1 2 2
ZZ
1
= (t1 s1)(e s e ) = 2 e y dy1 dy2

t 2 2 2
A
x- awtHt uwQO A = f(y1; y2) : s1 < y1 t1 ; s2 < y2 t2g p}]DU C =@ A x t R= U= CQ a u; QO m
G = x wtH R @ -aA p}]DU Q Q P G = f(y1; y2) : < y1 < y2g =

t uwQO t y |= @ = r " 0 R @
ZZ
P f(S1; S2) 2 Ag = 2 e y dy1dy2 : 2
A
ltm x@ "CU= Q=QkQ@ G uwQO | =yr}]DUt R= |y=vDt `=tDH= Qy |= @ Q x]@=Q u}= pwtW sOapwtW pY= Q@=v@
Q xH}Dv QO
|= @ w G uwQO | =yr}]DUt R= | } BVQ QP =tW `=tDH= Q x]@=Q u}= xm OwW|t xH}Dv |Q}oOL Ov};Qi
|= @
sDU}U l = = x wtH w
} R @ | y a t u J " CU= Q=QkQ@ 'CU= R2 R= |R @ - a = x wtHtQ} R G0 x A = G \ G0 m
xD@r= w ' C GU= 2 e y | =o

|wQ
2 r J |=Q=O (S1; S2) ' Ovm|t O}rwD =Q pQ@ |=yxawtHt xm OvyO|t p}mWD
|r=oJ (S1; . . . ; Sk ) Q x
|=Q=O Q=O @ m O W w |t xH}Dv Rk |wQ x@=Wt p qODU= =@ "CU= QiY |r=oJ G uw Q}@
g : Rk ! Rk `@=D Qo = "CU= G = fY 2 Rk : < y1 < < yk g x 0 -a wtHt |wQ k e yk
CQ Y w x@ =Q
g(y1; y2; . . . ; yk ) = (y1; y2 y1; . . . ; yk yk 1)

CQ Y w u}= QO ' s}vm h} QaD
(X1; X2 ; . . . ; Xk ) = g(S1; S2; . . . ; Sk )

xm OwW|t xH}Dv | Q}op=QoDv= =@ "CU= ki=1e xi |r=oJ |=Q=O (X1 ; X2; . . . ; Xk ) xH}Dv QO w
w |t C@=F
"O W 1 \ W = r w Q P Ov=pkDUt =yXi w CU= QD = = | =t ` w
t=Q B @ } v } R D |=Q=O Xi Q y
Ov};Qi Q s Q Qm P xm |}=vat x@ 'CU= |i}m ,=U=U= =Q} R CU= |@r=H |oS} w '|}=tv `} RwD
|= @ " }O m Q
|= @ 4 |oS} w
s}yO|t u=Wv 'xOQm u=}@ =Q =y}oS} w u}= R= =D wO "OvR=U|t XNWt =Q u; xm OvQ=O OwHw |i}m |=y}oS} w R}v uU=wB
" Ovvm|t XNWt =Q uU=wB Ov};Qi xH}Dv QO w OvrO=at 2 w 1 \}=QW =@ w sy =@ xm
%3 \QW
xDUw}B QDt=Q=B =@ pov}DQ=t 'uU=wB Ov};Qi s U w pYi 166
O pkDUt
' v= Ntk Ntk . . . Nt 1
' '
2
Nt Nt
1
'
1
| y = wtv 0 < t1 < < tk |= @ Q (i)
"1 p =tDL= =@ N0 = 0 R}v w OQ=O |oDU@ t sp [ =iD x@ \ki Nt Ns ` }R Dw (ii)
=ov; 'OvW=@ |ivt=v K}LY
x O= a=O nk . . . n1 Q
' ' o= w 0 < t1 < < tk Q o= %4 \QW
P fNtk +h Ntk = jNtj = nj ; j kg = h + o(h)

1 ( )
14
s} Q=O h# 0 |Dkw w
P fNtk +h Ntk jNtj = nj ; j kg = o(h)2 ( )

15
s} Q=O xwqa x@
lim
s!t
P fNs 6= Ntg = 0 ( )
16
"1 p =tDL= =@ N0 = 0 w
w Ov=xDU@=w nk . . . n1 tk . . . t1 h x
' ' w ' ' ' @ xm OvDUy2 w 1 w |a w = o(h)
u J @= D y '15 w 14 QO
C@Ft p=tDL= |=Q=O |]QW = O =W}B s}vm

| y t Z i Q u}vJty i = ; ; h # |D h 1 i(h) !
1 2 0 kw 0
xDW=Ov |oDU@ nk ' . . . n1 x = i Q

' @ y o= " OvDUy h} QaDWwN 15 w 14 |]QW |=yr=tDL= xm |Qw] 'OvW=@
Q
= }R ' CiQo xH}Dv s # t |D kw =Q 16 u= D w |t 15 w 14 R= OvW=@
P fNt+h Nt 6= g = P fNt+h Nt g 0 1
h + o(h) = h + 1(h) + 2(h)

s} Q=O o(h) = h o(hh) ! 0 w h ! w
0 u J ' h# 0 Qo = =Pr
lim
h#0
P fNt+h 6= Ntg = 0
" OvrO=at 4 =D 1 \}=QW %x}[k 618
x@ h lJwm Q}O=kt |= @ Q |@} QkD Qw] x@ =Q Nt+h Nt | Q `} RwD =Q} R CU=

] W Q
3 \ W R= D Q |i}m '4 \ W Q
O
" yO |t CUO
2 ! 3 =t= "2 ! 3 ! 4 ! 2 xm s}vm C@=F O}=@ =Pr 'OvrO=at 2 w 1 xm s}v=O|t p@k x}[
- k R=
"s}vm C@=F =Q | Oa@ | =yH=DvDU= CU= |i=m =Pr "CU= K[=w

'h> 0 |= @ Nh Nt+h Nt ` w w =Um Q Q =v "3 =) 4 %u y @

Q s}vm C@=F CU= |i=m w } R D uO @ u } Z i @ @ = Q
't1 x = w P 2 1 ` w xH}D
@ q @ QO Q m t w P (Nh ) = o(h) P (Nh = ) = h + o(h)
@= D v QO " 2 w 1
O}yO Q=Qk "Ov}; | C

t x UO \ C Ov wN |oDU nk . . . n1 tk . . .
@ 16 w 15 '14 @=wQ w W=O y= v @ ' ' w '
` w w =Um = wt qkD Q Q =v =o U (t) = P (Nt = )

} R D uO @ u } w y v p U= Z i @ @ x v; 0
U (t + s) = P (Nt+s = ) = P (Ns = ; Nt+s Ns = ) = U (s)U (t):

0 0 0
w
u J " U (t) = e t xm CU= OwHwt O
O a = r P
U (t) = P (X1 > t) ! ; 0 t ! +1

s}vm|t Z i Q n 1 |= @ w Q 2(h) = P (Nh ) s} 2 yO |t Q=Qk p=L "> 0 TB
Ank = f! 2 : Nk=n(!) Nk 1=n (! ) g 2
An = S Ank
n
`} RwD |v=Um} w =ywtv p qkDU= Q@=v@ ,=OOHt x=ov; " w
k=1
Y
n
P (An) = 1 P (Acn) = 1 P (Acnk ) = 1 ( 1 2( =n))2 1 ( )
17
k=1
u tR=u} QDy=Dwm x=ov; 'OW=@ QDW}@ n1 R= Q=Okt u}= Qo = "CU= C@Ft miniN1 (!) Xi (! ) '0 \QW ZQi CLD
n R= OvyO|t MQ [0; 1] |v=tR xr

Ow@ Oy=wN QDW}@
1
- Y=i QO xm |}=yOt=W}B u}@ QO Ot=W}B wO `wkw u}@ Q=_Dv=
P O |t
= r " yO MQ Ot=W}B 2 R= QDtm xQ= wty n1 p ] - Y=i l}
w x@ |v=tR xr P
QO = r w
n < imin
1
X (!) =) ! 62 An
N (!) i 1
=y! u}= Q P
|= @ = r '0 < Xi (!) s Ovv | O Qi } Q=O ' m t j Y Y \ W QO Q xm |}=y! |= @ u JQ w
min X (!) > 0:

iN1 (!) i
P (An) ! 0= rwP P (An; i:o:) = 0 wQ u}=R= "! 62 An x =ov; n

> n0 ( ! ) Q o= xm CU= OwHwt n0 (! )
s} Qw;|t CUO x@ 17 - x]@=Q R= 'x> 1 |= @ Q log( + x) x
1 w
u J " n ! 1 |D kw
n log( 1 2( =n)) = log(

1 1 P (An)) n2( =n) 1
O};|t CUO x@ =Hv; R= xm
n2( =n) log(

1 1 P (An)) ! ; 0 n ! +1 ( )
18
TB 'Nt Ns 0 't>s |= @ u J Q w
fNs (!) g fNt(!) g =) 2(s) 2(t):

2 2
h> Q |Q C 0 |= @ i ] R= " U= |rwRv=v 2 |va}

" # " # h 1i

1
h h h< + =)
1
h h + ; h =[h ]:
< 1
1
1
1
1 1
QiY x@ Q}N= Q Q = CU=Q

| @= @ v Q
h ] 18 Q@=v@ h ! 0 Qo = "2(h)=h ([h 1] + ):( =[h 1 ]) P 1 1 = r
Q = 2 (h) = o(h) xH}D

x Nq @ " Ov | p} v QO " m t t
P (Nh = ) = 1 1 P (Nh = ) P (Nh ) =0 2 1 e h o(h) = h + o(h)

1 e h
lim
h!0 h
" = (e t)0jt=0 = x m O}vm xHwD
O}vm Z i wQ O} Q}o@ C = nj tj k
@ F =Q =) =@ x s' ' "4 2 C F= @ } R=O B Q |t p=L
A = fNtj = nj ; j kg
s}vm C@=F CU= |i=m " pn (t) = P fNtk +t Ntk = njAg 't 0 |= @ w Q
Pn(t) = e t (tn!) n = ; ; . . .
n
0 1 ( ) 19
s} Q=O t = t2 t1 x =o < t1 < t2 Q s Q C =

|=R= @ x v; '0 o = ' }=xO m @ F =Q ?r]t u}= xmv}= Z i Q =@
P (Nt 2
Nt = n ; Nt = m) = P (Nt
1 1 2
Nt = njNt = m)P (Nt = m)
1 1 1
t ) ((t2 t1 )) P (N = m)
n
=e (t2 ( )
1
t
n! 1
20
s} Q=O w Q
s-= D s H `@=D w p =tDL= sQH `@=D h} QaD j@] CQ Y w u O Ov@ `t +1 =
}= QO " } m = @ H D 0 R= |wQ p L
P (Nt Nt = n) = e (t2 t1 ) ((t2 t1))n

2 1
n!
xH}Dv k QkDU= x@ ?}DQD u}ty x@ "Ov=pkDUt Nt2
|wQ -= Nt Nt 1 w 1
xm s} Q}o|t xH}Dv 20 QO |Q= Po}=H =@
" v=O pkDUt Ntk Ntk ; . . . ; Nt 1 2
Nt ; Nt1 1 x
=ov; '0 < t1 < t2 < < tk Q x o= m O W w |t
=o t2 = t t1 = s s Q}o
x v; w } @ Qo = R}v
P (Nt Ns = n) = e (t s) ((t s))n

n!
s U pYi
s - U=Lt l}
=Hv= lJwm x@ u; R= p@k "s}vm C@=F =Q 19 |i=m TB "Ovm|t C@=F pt=m Qw] x@ =Q 2 \ W Q xm
xm s}v=O|t "OvW=@ x=wNrO Ot=W}B wO C B O}v
w m Z i % Q s}yO|t
B C = (B C ) [ (C B )
w
p @ | @= @ v Q Q = j@] TB "B (B C ) [ C P
= r
P (B ) P (B C ) + P (C )
xH}Dv QO C (B C ) [ B |iQ] R=
P (C ) P (B C ) + P (B )
O}yO Q=Qk p=L " jP (B ) P (C )j P (B C ) x m OyO|t xH}Dv Q Q=
| @= @ v wO u}= j}irD
B = f! : Ntk +t(!) Ntk (!) = ng w C = f! : Ntk +s(!) Ntk (!) = ng

x =ov;
jPn (t) Pn (s)j = P 1(A)jP (B ) P (C )j P 1 (A)P (B C )

= P 1(A)P (Ntk +t 6= Ntk +s)
C@=F =
p L " CU= xDUw}B |a@=D Pn (t) P
= r ' P (Ntk +t 6= Ntk +s) ! 0 ' s !tQ o = '4 \ W Q Q@=v@
s
" } Qw; |t CUO x@ pn (t) pm x =a p = Ov | O p}U Qi x =a l Pn (t) s}v |
=Q W rO t u; L @ w m t j Y v= }O - rO t } QO m t
w
u J x =o Dt+h = n Q Dt = Ntk +t
v; ' o= " Ntk t Q O}v Q P =t | = ' Q 0 |= @ m Z i |Q= oO v oO U |= @
s | Q
} Q=O =tD u} w
] W p L= m n x m x Dt = m s
v= k R= " Ntk+t+h Ntk +t
m | |=R= @ } Q=O '0
[n
Pn (t + h) = P fDt+h = njAg = P fDt+h = n; fDt = mgjAg
m=0
Xn
= P fDt+h = n ; Dt = mjAg
m=0
Xn
= P fDt+h Dt = n m ; Dt = mjAg
m=0
Xn
= P fDt = mjAgP fDt+h Dt = n mjA \ fDt = mgg
m=0
= Pn (t)P fDt+h D = jA \ fDt = ngg
0
+ Pn 1 (t)P fDt+h gg
Dt = jA \ fDt = n
1 1
nX2
+ Pm (t)P fDt+h Dt = n mjA \ fDt = mgg:
m=0
w
u J | N; ` Q wtHt QO " CU= QiY sy |twO xrt
- H n= 0 Qo = w CU= QiY Q
| N; ` wtHt 'n Q 1 o=
s} Q=O 15 w 14 R= O OHt xO

- =iDU= =@ "C@=F n |= @Q o(h) = @ CU= Q@=Q@ `wtHt u}= '15 Q@=v@ n m 2
Pn (t + h) = Pn(t)( 1 h) + hPn 1 (t) + o(h)

s} Qw;|t CUO x@ h# 0 Z i Q =@
Pn0 (t) = Pn (t) + Pn 1 (t) ( )

21
u}= CU= xDUw}B Pn (t) uwJ |rw CU= CU=Q jDWt =Hv}= QO jDWt "P 1= 0 s}vm|t Z i ' Q n= 0 Qo =
= CU= Q@=Q@
% @ 21 - rO x =at ?= H " w CU= xiQ] wO jDWt `k=w QO jDWt
Zt
Pn (t) = e t[Pn( ) + 0 Pn 1 (s)esds]
0
Pn (t) w Q
p t i ' n 6= 0 Qo = CU= QiY w n= 0 Qo = 1 =@ CU= Q@=Q@ ' Pn ( ) = P fD0 = njAg
0 u J w
" };O |t CUO x@ <=QkDU= x@
- Uw}B CU=Q jDWt =@ xDUw}B |a@=D f (t) Qo = xm OW xO=iDU= ?r]t u}= R= Q}N= x}[
xD k u=yQ@ QO %Qm PD 718
F (t) = f (t) f ( ) R0t f + (s)ds O}v

-
" 0 mZ i" Q CU= xiQ]wO jDWt |=Q=O f x=ov; 'OW=@ f + (t) (t ) 0
CW=O s}y=wN t 0 Qy Q =ov;

|= @ x 'F 0 s}vm C@=F Qo =
Zt
f (t) = f ( ) + 0 f +(s)ds
0
t> Q P
0 |= @ = r
f (t) f (s) = lim Zt

f (t) = lim
s"t t s [
s"t t s s
f + (s)ds] = f + (t) 1
t> 0 |= @ Q xQ jDW
i ]wO f xH}D C Q Q f + (t) = x C f (t) A jDW
t |=Q=O v QO w U= @= @ @ m U= J t |=Q=O f |va }
` = x F (t0) < qF
@ D @ " t0 > Q O}v Q F s}v C = CU} =
0, t | 0 |= @ m Z i " 0 m @ F i m "O @ w Oy=wN
G(t) = F (t) tt F (t0)

0
QO O}=@ G PG+ (t) >

= r " F +(t) =0 ' 0 u J w |iQ]G( ) = G(t0) = s O}v =o
R= " 0 0 } Q=O " m x v
Zk=vD xm G+ (s0) st R = x]k |

0 } m t - v QO O
rw " U @ O N Q w st R = Ok x < s0 < t0 w x]k
} m t Q= t @ 0 u J |= v
F xH}D " 0 v QO " t O =H | Z =v x F (t0) > wL u}t x C

v= t k D @ 0 v y @ " U=
s U pYi
f 0(t) = Af (t) + g(t) p}U Qi v= }O CqO =at | =y@=wH |rm pmW R= Q}N= x}[
- k u=yQ@ QO %Qm PD 818
? [Q e At Q C
QO =Q h ] wO "OQw; UO x@ u=wD|t |DL=Q x@ =Q |rm pmW u}= "s}OQm xO=iDU= [0; t] xr
- Y=i |wQ
% O}vm
e Atf 0(t) e AtAf (t) = e Atg(t) =) (f (t)e At)0 = e At g(t)
R
f (t) = f ( ) + eAt 0t e As g(s)ds P
" 0 = r w
Ov};Qi QO "OOQo|t u}at u; |y=vDt Oa@ =@ |=ya} RwD \UwD |iO=YD Ov};Qi l} |=y}oS} w R= |WN@ %Qm PD 918
'0 n1 n2 . . . nk t1 < t2 < < tk

w0 Q sO
|= @ % } }O =Q =ya} RwD u}= fNt ; t g u 0 U= B w
Y
k
(tj tj 1 ) ((tj tj 1 ))nj nj
P fNtj = nj ; j kg =
1
e (nj nj 1 )!
j =1
CU= umtt |va} "Ovvm|tv u}at =Q Ov};Qi pm | =y}oS} w |y=vDt Oa@ =@ |=ya} RwD p=L u}= =@ "t0 = n0 = 0 xm
Ov};Qi ,qFt "OW=@ Cw =iDt ,qt=m =yv; X=wN |rw OvW=@ u=Um} |y=vDt Oa@ =@ | =ya} RwD |=Q=O |iO=YD Ov};Qi wO
x@ ' N (t; !) ` = ! 2
@ D ' Qy |= @ Q |va} 'K}LY Q=Okt =@ w |O waY 'xDUw}B CU=Q R= CU= | Ov};Qi 'uU=wB
CQ Y w u x f (t) ` =
}= @ =Q =
@ D p L " CU= K}LY Q=Okt =@ w xDUw}B CU=Q R= '|O waY t' 0 R= |a@=D u= wva
s}yO|t Q=Qk w ' t 2 Qc Q f (t) =
o= 0 w t2QQ o= f (t) = t %s}vm|t h} QaD
Mt(!) = Nt(!) + f (t + X1 (!))

x =ov;
f! 2 : f (t + X1 (!)) 6= g = f! 2 : X1(!) 2 Q tg 0
|= @ Q P fNt = Mtg = u C Qi =tD 1 wQ Q} x wtH C | =o

}= R= " U= Y p L= |=Q=O N= - a t U= r J |=Q=O X1 u J w
R= |a@=D u= wva x@ Mt(!) | rw ' OvDUy u=Um} |y=vDt Oa@ =@ | =ya} RwD |=Q=O Nt Mt xH}D
w v QO " t 0 Qy
" K}LY Q=Okt |=Q=O xv w |O waY xv 'CU= xDUw}B xv t
"s}t=v|t uU=wB |iO=YD Ov};Qi |= vx wtv Q}Ut =Q fN (t; !) ; t g x 0 -a wtHt C@=F !2 Qy |=R= @ x
x@ O}v=wD|t ?r]t u}= u=yQ@ Q CU= xDUw}B u=tR =@ hmQ=t Ov};Qi l} uU=wB Ov};Qi
|= @ " %Qm PD 1018
" O}vm `wHQ 33 Ov@ (Probability and measure) | Rov}r r @ ? m =D
hkwD u=tR w QDr}i 23
|B 'xDUw}B |=yro}vDQ=t x- } Q_v x@ uO}UQ Q

|= @ =Q O N w EL@ 's}OW = uU=wB Ov};Qi |r=tH= |UQQ@
dQ i R= xm p=L
u}vJ l} s}vm|t Q
Z i xQ= wty EL@ QU=QU O =
QO " W @ p =tDL= | =[i l} ( ; F ; P ) O}v m Z i " } Q s Q}o|t
s U 172
s Q}o|t Q_v
" } QO |}=[i u}vJ u}= |wQ =Q |iO=YD | y = Ov};Qi w |iO=YD | y = Q}eDt w OQ=O O Hw w |}=[i
Qo = x=oQy s}t=v|t QDr}i l} =Q F | =to} } U | =yv=O}tQ} R R= fFt ; t g 0 xO= v N

- w= %h} QaD 128
" OvW=@ |O waY |va} ' Fs Ft x =ov; s<t

WF SF
t =@ w s}t=v|t =yFt j=Lr= =Q t `=tDH= \UwD xOW O}rwD |}=to}U u= O}t %h} QaD 228
t0 t0
OvyO|t u=Wv R}v F1 = w w= =Lr=
W F = ( S F ) Qo =@a x@ "s}yO|t u=Wv
" @ =Q j i xO=
- v N j " t t }O CQ
t0 t0
% Ft Ft+
w R= OvDQ=@a =yv}= 's}vm |iQat =Q syt |}=to}U u= O}t wO s}y=wN|t %h} QaD 328
_
8t 2 ( ; 1) : Ft =
0 Fs ;
s2[0;t)
\
8t 2 [ ; 1) : Ft+ = Fs :
0
s>t
" Ft+ = Ft t ' 0 Qy |= @ Q Qo = s}} wo xDUw}B CU=Q R= =Q fFt ; t g 0 QDr}i %h} QaD 428
|DL=Q x@ =Q Q} R sr u=wD|t h} QaD u}ty R= " O}vm xHwD t ! f (t) xD - U w}B CU=Q R= `@=D =@ h} QaD u}= x@=WD x@
"O wtv C =@F=
" CU= xDUw}B CU=Q R= fFt+ ; t g QDr} 0 i %sr 528
QDr}i l} ,=ak=w xO=wv=N u}= |va} ' s+

T F T F =o s < t s Q}
F Ft+ P
u u = r ' x v; ' } o %u=yQ@
u2(s;1) u2(t;1)
=o Gt = Ft+ s} Q Q t Q |Q
x v; yO Q= k o= 0 |= @ i ] R= " CU=
\ \\ \
Gt+ = Gs = Fu = Fu = Ft+ = Gt:
s>t s>t u>s u>t
Cr=L |rw OW u=}@ OW=@ xDUw}B =} xDUUo Ov=wD|t xm t |r m T}Ov= Q

|= @ j i | w =yi} QaD %Qm PD 628
s} Q=O Cr=L u}= sO

QO " } }O 5 pYi QO , q@k CU= |ivt=v K}LY O=Oa= x@ Ow OLt t u; QO xm =Q u; - xDUUo
_ \
Fn = Fm = Fn 1 w Fn+ = Fm = Fn+1:
m<n m>n
" Fn = F0 n ' 0 Qy Q |va} 'OW=@ C@=F Qo = CU= xDUw}B CU=Q
|= @ R= fFn; n g QDr} 0 i u}=Q@=v@
x=ov; A B P (B ) = B 2 F
w 0 ' = Q s}} wo pt=m
x o y =Q ( ; F; P ) p =tDL= | =[i %h} QaD 728
" s}t=v|t =[i u}= IwBP = x wtHt

| y a =Q F Qi Y p =tDL= =@ QY=va " P (A) = 0 xH}Dv QO w A2F
=[i uO @ w pt=m |oS} w G =DLt |tyt w

OQ= t QO w OvDU}v pt=m =t | =yFL@ QO Q}oQO p=tDL= | y = =[i ,qwtat
uO @ w pt=m Q
Z i wQ u}= R= w OQ=O O Hw w |r=tDL= | =[i Qy uO m Q pt=m CyH |OQ= vO =DU= VwQ umr 's}DUy
| y = Ov};Qi |Q}PBxR=Ov= R= EL@ QO QDr}i uwJ Qo}O hQ] R= "CU= pwkat ,qt=m X=N EL@ l} QO p=tDL= |=[i
xDW=O Q=Qk QDr}i uwQO p =tDL= | =[i w
I B P = x wtHt xm O};|t
| y a sRq |OQ= t QO OQ=O w Cr=NO |iO=YD
l} QO u= D w |t =} "OvQ=O Q=Qk F0 F uwQO I Bw P | y a= x wtHt s=tD xm OwW|t Z i ,q Q wtat wQ u}= R= " W @O =
I B w P | y a= x wtHt xt
- y w F0 \ w O U D x W O}rwD |}=to}U u= O}t =@ =Q F0 fFt ; t g
' 0 O
- W xO=O
x QDr}i
"O wtv u} Ro}=H
Qo = s}} wo O =D
OQ= v U= QDr}i =QfFt ; t g QDr} % } D 828 0 i h Qa
O = xDUw}B CU=Q
' W @ R= QDr} |va Ft+ = F t Q
i } ' Q (i) ' 0 y |= @
O =
" W @ F w P = x wtH xt p = F0 (ii)
I B | y a t - y t W
O Hww R}v QDr}i l} OwNx@OwN 'OW=@ OwHwt ( ; F; P ) l QDWt p=tDL= | =[i |wQ |iO=YD Ov};Qi l} x=oQy
"OQ=O
t 0 Qy |=R= @ u; QO x fXtgt0 O}v Q % } D 928

xmOW=@ |iO=YD Ov};Qi l} m Z i h Qa
Xt : ( ; F ) ! ( 0; F 0)
Qy u; x@ C@Uv xm CU= | =to O} u QDm w (Xu ; u 2 ) [ ; 1)
} U u= t } x wtH Q Q
J m x ' 0 R= -a t }R y |=R= @
xO=
- w=
v N ' 0 [ ; +1) =
- @ | y a
xR = x wtH Q f t = [ ; t]gt0 w = x C Q P O u 2 Xu
t } R R= 0 xO=
- v N |=R= @ " U= } BxR= v= ' '
| y = Ov};Qi R= EL@ QO "OyO | F | =to} t =y O} Q

} QDr} l p}mW fFt = (Xs ; s 2 t )gt0
U | v= t } R R= i } D
" CU= QDr}i u}ty Qw_vt 'O Ww |tv Q

xO @ s v | = QDr}i I}y R= |Dkw |iO=YD
| =y} R=@ R= xOt; CUO x@ G}=Dv x@ xHwD =@ ,qFt Ov=O@ xm CU= Ovtxkqa R=@ Q=tk 'Q=tk |R=@ QO xm s}Dio 5 pYi QO
CUmWQw |va} 'OUQ|t QiY x@ V= } t U x= Q xm |v=tR u}rw= ,qFt =} "OyO@ xt=O= =} Ovm =yQ =Q |R @ = =}; |r@k
R= xawtHt l} x@ Q}HvR xm |v=tR u}rw= xm s}v=O@ s}Ovtxkqa hmQ=t = Q}HvR
| y QO " CU= `kwt xJ OwW|t
=yv}= #CU}J |}=yOt=W}B u}vJ `wkw p=tDL= w CU= `kwt xJ OwW|t u; OQ=w w Ovm|t OQ N @ w Q =yD}a[w
Q w_vt u}O@ "s}vm h} QaD =Q hkwD u tR= O}=@ =OD@= u}=Q@=v@ "OvDUy hkwD u tR= |rm swyit =
X N OQ= t ' w xty
fFt ; t g O}v 0 m Z i " Q s}} wH|t ltm |}=to}U u= O}t Q O
|= @ x t; CUO x@ C a = q]= |O wyW Q}@aD R=
"CU= t = =
u tR O
D x t; CUO x@ C=aq]= Ft R= =t Q}@aD "OW=@ ( ; F ; P ) | =to} } U | =yv=O}tQ} R R= QDr}i l}
|va} "t x_L =
- r D C a = q]= s=tD uDW=O Q=}DN= QO x@ CU= \ wvt |R=@ hkwD sOa =} hkwD OQwt QO | Q}os}tYD
=Q hkwD u=tR xm CU= |a}@] =Pr "OQ=O |oDU@ t x_L
- w
r O N =D xOt; CUO x@ C a t x_L h w
= q]= x@ - r QO k D
tQ y |= @ Q xm |Q ] w s}vm|t h} QaD : ! [ ; 1] | =Y Q}eD

0 iO D t
f! 2 : (!) tg 2 Ft
CQ Y w u}= x@ =Q hkwD u=tR (Lectures from markov processes to B.M) n = v J R= C}a@D x@ =t umr
" s}vm|t h} QaD
hkwD u=tR l} =Q : ! [ ; +1] ` = O = QDr} l fFt ; t g s Q} % } D 1028

0 @ D " W @ i } 0 } o h Qa
:8t 2 [ ; +1) : f! 2 : (!) = tg 2 Ft+ Q s} w fFtg QDr} x C@U

0 o= } o i @ v
CWwv u= D w |t t> Q s Qo@ R}v

0 |= @ " }O pO =at \}=QW p=@vO x@ s}v=wD|t
[
f! 2 : (!) < tg = f! 2 : (!) = sg
s2[0;t)
WF
s QO CU=Q hQ] x-awtHt |rw OW=@v u; uwQO CU= umtt |}=to}U u=O}t l} QY=va |=Q=tW=v `=tDH=
s<t
O}vm Q
Z i p L " = t 0 Qy |= @ Q f < tg 2 Ft P Ft Ft | = r rw "OQ=O Q= k Q Ft u =ty =}
8t 2 [ ; 1] : f < tg 2 Ft
0 ( )
22
s} Q=O t 2 [ ; 1) Q
0 Q =ov;
y |= @ x
\
1 \
1
f tg = f < t + n g 2 1
Ft+1=n = Ft+ ( )
23
n=1 n=1
x =ov; 'OW=@ Q=QkQ@ t 2 [ ; +1) Q
0 Q
y |= @ 23 O}vm Z i Q Qo}O Q
h ] R=
[
1
f < tg = f t 1=ng 2 Ft
n=1
Z i Q =@ u}vJty "OvrO=at 23 w 22 = r " P f t 1=ng 2 Ft+ 1=n Ft s } Q=O '
1
n <t Q Q
|= @ = } R
s} Q=O Ow@ Oy=wN Q=QkQ@ sy 23 u; pO =at xm 22 |Q= k @ QQ
f = tg = f tg f < tg 2 Ft+ :
x s}=xOQm C@=F ?}DQD u}O@
% m
%OvrO=at Q} R s=mL= "OW=@ QDr}i l} fFt ; t g s Q} % k 1128 0 } o x}[
f! 2 : (!) = tg 2 Ft+ t 2 [ ; 1) Q Q (i)

' ' 0 y |= @
f! 2 : (!) < tg 2 Ft t 2 [ ; 1) Q Q (ii)

' ' 0 y |= @
" f! 2 : (!) tg 2 Ft+ t 2 [ ; 1) Q Q (iii) ' 0 y |= @
Q = x@
"O @ Q m fFt ; t g QDr} 0 i x@ C@Uv hkwD u=tR h} QaD u=wva x@ u=wD|t =Q \}=QW u}= R= l} Qy u}=Q@=v@
" F1+ = F1 Q = }R OvDUy Q=QkQ@ R}v t=1 x
|=R= @ 23 w 22 xm O}vm xHwD
s Q |t hkwD u=tR
" } R=O B =
- @ QO |
xQ Oa@ = =
| yQ m QO |U=U= p=L u}a QO w xO U xQ=
- o = R OvJ C =@F= x@ p=L
x=ov; OvW=@ hkwD u=tR QO 2 1 Q

w o= %xQ=Ro 1228
1 ^ 2 = minf1; 2g ; 1 _ 2 = maxf1; 2g

O = |t s}taD R}v hkwD
" @ } | =yv=tR |y=vDt O= OaD x@ ?r]t u}= "Ov=hkwD u=tR R}v
s} Q=O %u=yQ@
8t 2 [ ; 1) : f1 ^ 2 < tg = f1 < tg [ f2 < tg 2 Ft ;

0
8t 2 [ ; 1) : f1 _ 2 < tg = f1 < tg \ f2 < tg 2 Ft:

0
Q
| mP xm | Oa@ = x}[k
| y w =yxQ=Ro w q @ xQ=
- = R
o QO w s} Q}o|t C@=F =Q fFt; t 2 [ ; 1]g QDr}
0 i xm O}vm xHwD
" CU= C@=F QDr}i u}ty Qw_vt 'O};|tv QDr}i R=
" CU= hkwD u=tR 1 + 2 x=ov; 'OW=@ hk wD | =yv=tR 2 w 1 Q o= %xQ=Ro 1328
t> Q =ov;
0 |= @ x Qt = Q \ ( ; t) Q 0 o= %u=yQ@
[
f1 + 2 < tg = f1 < r ; 2 < t rg 2 Ft:
r2Qt
x =ov; 'OW=@ hkwD | =yv=tR R= |= r x =@vO fngn1 Q o= %xQ=Ro 1428
sup
n n n ; limsup
n ; inf n n n
n ; liminf
" CU= hkwD u=tR l} x=ov; 'n ! 1 |D n ! Q kw o= xH}Dv QO " OvDUy hkwD | =yv=tR R}v
s} Q=O t> 0 Qy |= @Q %u=yQ@
\
1 [
1
fsup
n
n tg = fn tg 2 Ft ; finfn n < tg =
+ fn < tg 2 Ft
n=1 n=1
: liminf
n n = sup ninf
m n
w limsup n = minf1 sup n
n
R}v w
m1 nm
hkwD u=tR =@ = O =W}B |}=to}U
| y t u= O}t xm w
OQ=O O Hw |}=to}U u= O}t l} hkwD u=tR Qy x@ xDU@=w
"OQ=O s v =
s}vm|t h} QaD 'OW=@ hkwD u=tR l} s Q}

} o %h} QaD 1528
F = fA 2 F1 : A \ f < tg 2 Ftg:
" CU= |}=to}U u= O}t l} F %xQ= o 1628

R
%u=yQ@
hkwD u=tR h} QaD j@] =Q} R 2 F ,qw=
\ f < tg = f < tg 2 Ft:

CU= |}=to}U u= O}t Ft w
u J x =ov; A 2 Ft s Q} } o ,=}v=F
( A) \ f < tg = ( A \ f < tg) \ f < tg 2 Ft:
F Q Y=va QP
R= | } BVQ =tW x- }=OQo . . . A2 A1 O}v
' ' Q
m Z i x Nq @ " Q = CU= xDU@ | Q}optmt CLD F P
= r
=ov; 'OW=@
[ [
x
1 1
( Ak ) \ f < tg = (Ak \ f < tg) 2 Ft:
k=1 k=1
" CU= |}=to}U u= O}t l} ,=ak=w F xH}D v QO
OyO|t u=Wv u}= w OwW|t p}O@D Fa+ x F @ =ov; 'CU= C@=F u=tR l} a xm
x =aQ o= %Qm PD 1728
" CU= t C= =
@ F | yu tR = s}taD hkwD u=tR xm
%x}[k 1828
' 2 F |va } CU= Q}PBxR=Ov= F ' x =ov;'OW=@ hkwD u=tR l} s Q} (i)

} o
F F '
1 2 x
=ov; 1 2 w 'OvW=@ hkwD u=tR wO 2 1 Q (ii)
w o=
x=ov;
!1 n n+1 n n Q
= nlim w ' 1 Q
y |= @ w OW=@ hkwD | =yv=tR R= |= r x =@vO (n )n1 Q (iii) o=
\
1
F = Fn
n=1
s} Q=O t> 0 |= @ xQ =ov; " a 0 w a 0 (i)%u y @ = Q
fa < bg \ f < tg = 2 Ft t Q 0 o=
= fa a Qo =
Q}N= x- awtHt TB 'a < t b ^ t t w fa < b ^ tg = f < b ^ tg f < ag |

w u J w rw
u= O}t xm OvyO|t |tDU} p}mW [a; b) = = w fa < bg 2 F P

U D Q Ft
| yxR @ u J " = r w "OQ=O Q= k QO
s U pYi
B[ ; 1) | =to} " 2 F P Ovm|t O}rwD

= r ' =Q 0 } U
s} Q=O A \ f2 < tg 2 Ft s} | =W s Q} |

" Qi yO t > A 2 F O}v Q (ii)
t u v " } o t Zw t =Q 0 "
1
m Z i
A \ f2 < tg = A \ f1 < tg \ f2 < tg 2 Ft

" F F u Q =v f2 < tg 2 Ft h w = h Qa j@ R} A \ f1 < tg 2 Ft Q
1 2
}= @ @ " k D u tR } D ] v w = }R
P n n Q Q =} = C h w = l
= r ' (iii)
' 1 y |= @ , v F " U= k D u tR } ,qw=
\
1
F Fn
n=1
A 2 T Fn O}v
1
x =ov; t> 0 w m Z i Q Qo}O Q
h ] R=
n=1
[
1 [
1
A \ f < tg = A \ ( fn < tg) = (A \ fn < tg) 2 Ft
n=1 n=1
" A 2 F |va }
f1 2 g f1 < 2g ' = x wtHt x=ov; "OvW=@ hkwD u=tR
| y a wO 2 1 O}v
w m Z i Q %x}[k 1928
" OvDUy F \ F
1 2
x@ jraDt f1 = 2g w
" F \ F
1 2
x@ CU= jraDt f1 < 2 g O =W} t B s}yO|t u=Wv =OD@= "s} Q}o|t Zw Qit =Q t> 0 %u=yQ@
s
[
% } Q=O
f1 < 2g \ f2 < tg = f1 < r < 2 < tg

r2Qt
fr < 2 < tg 2 Ft f1 < tg 2 Ft
' w O hkwD
' v= | =yv=tR 2 w 1 u J w Qt = Q \ ( ; t) 0 u; QO xm
f1 < 2 g 2 F xH}D C Ft
u}vJty "
2
v QO " U= QO j i `w =tDH= =Pr
[
f1 < 2g \ f1 < tg = f1 < t ^ 2 g = f1 < r < t ^ 2g
r2Q
[
= f1 < r < 2 g
r2Qt
" f1 < 2g 2 F P CU=
1 =
r " Ft QO R}vfr < 2 g = f2 rgc 2 Fr+ Ft w
w
j i ` =tDH= ' u J
R}v w f2 < 1g 2 F \ F =k Q =v w f1 < 2g 2 F \ F u Q =v

1 2 uQ
D @ @ u J "
1 2
}= @ @
f1 2g = f2 < 1gc

f1 = 2g = f1 2g f1 < 2g
"O Ww |t C@=F x}[k smL
xm O}O s}y=wN "s}vm h} QaD hw =
k D u tR |= @ =Q Q F |}=to}U u= O}t ' Ft =@ x@=Wt s}y=wN|t p=L
"OQ=O | O}it | =y}oS} w |}=to}U u= O}t u}=
xDUw}B QDt=Q=B =@ pov}DQ=t 'uU=wB Ov};Qi s Uw pYi 178
x W O O}rwD |}=to}U u= O}t "OW=@ hkwD u=tR l} : ! [ ; +1]

0 s} Q}o %h} QaD 2028
pmW x@ | y a= x wtHt w F0+ \ U D w
ft < g \ A ; t 2 [ ; 1) A 2 Ft+ 0 w
" s}yO|t u=Wv F =@ =Q
O = |t R}v
" W @ A 2 F1 x f = +1g \ A pm
m W x@ = x wtHt pt=W
| y a F xm OwW|t xO}O |oO=U x@
x wtH u -aQ |Q t 0 |= @ i ] R= " F0+ F P
= r '0 w CU= hkwD u=tR u J w
[ft < g \ A] \ f < ug

|oS} w Q} R xQ=
- R
o QO " F F P
= r "OQ=O Q= k Q Fu QO ' A 2 Ft+ t g \ f1 < +1g 0
" CU= F 1
Orwt QYva l} ft < 1 g \ A = C x -a wtHt x=ov; ' A 2 Ft+ t 2 [ ; 1) s Q}w 0 } o %u=yQ@
%OQ=O | H = F 2
Orwt QY=va x-awtHt QO QYva u}= s}vm|t C@=F
ft < 1g \ A = ft < 1 g \ ft < 2g \ A = ft < 2g \ (ft < 1g \ A)
"F F1 2
xH}Dv QO "C 2 F 2
Ft+ ft < 1g = f1 tgc C
TB OQ=O Q=Qk QO U= hkwD u=tR 1 uwJ
AQ Q s y |= @ } Q=O f1 < +1g \ f2 > g x s}v | x w
= 0 |wQ m m t H D swO | aO= C =@F= |= @ Q
[
A = [A \ f1 < r < 2 g] [ [A \ f1 = +1g] [ [A \ f2 = g] 0
r2Q
P
= r w A \ f1 < rg 2 F2 x =ov; A 2 F 1 Qo =
[A \ f1 < rg] \ fr < 2g 2 F 2
P
= r w A \ f1 = 1g 2 F1 R} v
A \ f1 = 1g = [A \ f1 = 1g] \ f2 = +1g 2 F 2
s} Q=O 'f2 = g 2 F A \ f1 = g 2 F0+ F

0
2
w 0
2
w
u J x Nq @ Q =
A \ f2 = g = [A \ f1 = g] \ f2 = g 2 F :

0 0 0
2
179 xDUw}B QDt=Q=B =@ pov}DQ=t 'uU=wB Ov};Qi s Uw pYi
"A 2 F 2
s} Qw;|t CUO x@ G}=Dv u}= uO m Q ?}mQD =@
|U=U= |Wkv |iO=YD |=yOv};Qi |rm x-} Q_v QO xm s}vm|t |iQat =Q hkwD |=yv=tR R= |Y=N xOQ
- p=L
O =H}= |va} &u =tiOy x@ p}v x@ Ov=wD|t umr 'CU= l v= O uDt u}= QO s wyit u}= OQ@ Q=m OvJ Qy "Ovvm|t |R @ =
" Ovm ltm C@=F | =yv=tR w hkwD | =yv=tR u}@ x@=WD
fngn1 h w k D | =yv=tR x- r=@vO Qo = s}} wo Q}PBTOL =Q : ! [ ; +1] ` =

0 @ D %h} QaD 2228
xm OW=@ OwHwt
8n 1 : n < ; f > g 0 |wQ w n " :
|=xQ= oR j@] "
!1 n n n+1 n
= nlim w ' 1 Qy |= @ Q xm CU= |vat u}O@ n " h Qa } D u}= QO
x- r=@vO s} w | n < 1 n Q
} o t " Q x O}v x_ q ' y |= @ m m L t R}v "CU= hkwD u=tR l} R}v s Q C@=F ,q@k xm
' }O m
O |t Q@N
" yO fn gn1
R=
x =ov; 'n " w OW=@ hkwD | =yv=tR R= |= r x =@vO fngn1 Q o= %x}[k 2328
_
1
F = Fn ( )
24
n=1
:F = W Fn
1
s} Q=O u}vJty x=ov; OyO Q@N fn gn1
R= w OW=@ Q}PBTOL Q o=
n=1
Qo = TmaQ@ C =@F= Q CU= |y}O@

|= @ " 24 QO p wtW ' Fn F n ' 1 Qy Q
|= @ u J w %u=yQ@
A 2 Ft
[
1 _
1
ft < g \ A = [ft < ng \ A] 2 Fn
n=1 n=1
w CU= jraDt 24 CU=Q h ] Q F O w x wtH Q u F0+ Fn n Q Q u}vJt
x@ r t -a t y wQ }= R= " ' 1 y |= @ y
uwJ w F
WF
1
P F Fn =o O Q@ fn g Q w | C= xH}D
n = r w x v; ' yO N R= o = "O W t @ F 24 v QO
n=1
:F = W Fn W Fn xH}D Fn Fn n Q Q
1 1
v QO ' ' 1 y |= @
n=1 n=1
xDUw}B pov}DQ=t 33
`@=D C@=F !2 Qy Q O = |iO=YD Ov};Qi l}

|= @ " W @ fXt ; t 2 [ ; 1]g s Q} 0 } o %h} QaD 138
t ! Xt(!) = X (t; !)
" s}t=v|t |= v x wtv Q}Ut =} `@=D =Q (=Hv }= QO R =) 0 x@ [0; +1) R=
Q}Ut Qy Qo = s}} wo AJ CU=Q OL |=Q=O =Q fXt ; t 2 [ ; 1]g | 0 iO =YD Ov};Qi %h} QaD 238
O = AJ =} CU=Q OL
" W @ |=Q=O t 2 [ ; 1) x]k
0 - v Qy QO |= vx wtv
Q}Ut Qy Qo = s}} wo xDUw}B AJ CU=Q R= =Q fXt ; t 2 [ ; 1]g | 0 iO =YD Ov};Qi %h} QaD 338
O = xDUw}B AJ CU=Q

" W @ R= u; |= v x wtv
`@=D Qo = s}} wo Q}PBxR=Ov= =Q fXt ; t 2 [ ; 1]g | 0 iO=YD Ov};Qi %h} QaD 438
(t; !) ! X (t; !)
" CU= T = [ ; 1) | 0 U O}rk= |}=to}U u= O}t B u; QO xm OW=@ Q}PBxR=Ov= BF
" s}yO|t u=Wv X = fXt ; t 2 [ ; 1]g |
@ =Q 0 iO=YD Ov};Qi TB u}= R=
" CU= Q}PBxR=Ov= X x =ov; 'OW=@ xDUw}B AJ CU=Q R= XQ o= %xQ=Ro 538
s}vm|t h} QaD n 0 Qy |= @ Q %u=yQ@
!
Xn (t; !) = X [ t]n+ ; !
n 2
2
1
( )25
Xn (t; !) = P I[k=2n ; k+1=2n )(t)X ( k2+n1 ; !)

1
R= X w
u J " CU= Q}PBxR=Ov= BF w
K [w x@ ' x=ov;
k=0
CU= xDUwBB CU=Q
!1 Xn (t; ! ) = X (t; ! )
nlim
" CU= Q}PBxR=Ov= B F X (t; !) ' P
= r
" O}vm P
h L =Q + 1 '25 QO j i xQ=
- o QO w R AJ R= |oDUw}B w
OQ t QO %Qm PD
=Q X `@=D "Q}PBxR=Ov= F |a = : @ D ! [ ; 1] 0 X O}v Q % } D 638

w OW=@ Q}PBxR=Ov= m Z i h Qa
h} QaD ! 2 - y |=Q@ X1 (! ) Qo = "

xt s}v | h Qa X (! ) = X (!)(! ) = f < +1g x wtH
m t } D @ -a t |wQ
Q | h Qa
"OO o w u}t x = 1 Q X =o O = O
t } D CQ Y y @ |= @ x v; ' W @ x W
Qy |= @ Q Qo = CU= Q=oR=U fFt ; t 2 [ ; 1]g QDr} = X |

0 i @ iO =YD Ov};Qi s}} wo %h} QaD 738
" 8t 2 [ ; 1] : Xt 2 Ft |va
0 } OW=@ 'Q}PBxR=Ov= Ft Xt t 2 [ ; 1]
' ' 0
s
" } R=O B Q |t xDUw}B |=yrov}DQ=t x- } Q_v xQ
- =@ QO EL@ x@ 'hkwDt |=yv=tR xQ
- =@ QO |vqw] |=y|v}JxtOkt u}= R= TB
x@ \w@ Qt G}=Dv R= |[a@ xYqN Qw] x@ =OD@= =t "CU= |iO=YD R}r=v; QO |U=U= = R
| yQ= @= R= =yrov}DQ=t x-} Q_v
181 xDUw}B QDt=Q=B =@ pov}DQ=t 'uU=wB Ov};Qi s Uw pYi
" s}vm|t u=}@ = Q =

=Q u; | yO @ Q m R= |[a@ TBU w s} Qw;|t =Q xDUw}B | =yrov}DQ=t x-} Q_v
O}vm Q
Z i " } s Q}o|t T = [ ; +1) T O x wtH O =
0 =Q } v= - a t " W @ 'p =tDL= | =[i l} ( ; F ; P ) s Q} } o
= =
Q oR U |iO=YD Ov};Qi l X = fXt ; t 2 T g F | =to}
} w } U | =yv=O}tQ} R R= QDr}i l fFt ; t 2 T g
}
K}LY O
O= a= - a x wtHt Nm w |ivt=v K}LY O
O= a= - a x wtHt N O}vm Z i Q u}vJty "OW=@ xOW xO=O QDr}i =@
O |ivt=v K}LY
" v= O
O= a= |= @ Q |}=yO=tv R}v ... k n m' ' ' O =
" W @ m R= QDW}@ |ivt=v
Qo = s}t=v|t pov}DQ=t l} =Q fXt ; Ftg xO=

- w=
v N %h} QaD838
' E (jXtj) < +1 |va O = Q}PBp=QoDv=

} ' W @ Xt t 2 T Q
' y |= @ Q (i)
" st |= @ Q Xs = E (XtjFs) a:s: (ii) '
x@ =Q pov}DQ=t jwi s}vm u} Ro}=H = @ =Q u; Qo = w pov}DQ=tQ} R 's}vm u} Ro}=H = @ =Q |w =UD (ii) QO Qo =

s
" } Qw; |t CUO
% s}vm|t C@=F =Q |=xO U xQ=
- =
o R s} wQ@ QDwrH xmv; R= V}B
"Gt = (Xs ; s t) O}v Q

m Z i w ' W @O = po}vDQ=t j i w Q} R l} fXt ; Ftg s Q} } o %xQ=Ro 938
" CU= po}vDQ=t j i w Q} R l} R}v fXt; Gtg x=ov;
w
u J " CU= Q=QkQ@ h} QaD (i) Xt 2 Gt t 2 T
w ' Qy |= @ Q xm CU= K[=w %u=yQ@
8t 2 T : Gt = (Xs; s t) Ft
:E (XtjGs) = E [(XtjFs)jGs][ = ] = E [XsjGs] = Xs s
% } Q=O st Q P
|= @ = r
O}yO Q=Qk 'OW=@ Q}PBp=QoDv= |iO=YD Q}eDt l} X w QDr}i l} fFtg O}v m Z i Q %p=Ft 1038
Xt = E (X jFt)
=} = |]QW O}t= h} QaD j@]
, v F ' Xt 2 Ft Q
,qw= = } R " CU= pov}DQ=t l} fXt; Ftg x =ov;
E (jXtj) = E (jE (X jFt)j) E (E (jX jjFt)) = E (jX j) < +1

stQ Q
o = x Nq @ w = CU= Q}PBp=QoDv= 'Xt Q y |va}
E (Xt jFs) = E (E (X jFt)jFs) = E (X jFs) = Xs:

- t=O x
xv - awtHtQ} R =yXt OQ@ 't 2TQ y |= @ w Q OW=@ |OwaY w ?OLt |a@=D ' O}vm ZQi %p=Ft 1138
f'(Xt); Ftg x=ov; 'OW=@ Q}PBp=QoDv= '(Xt ) t 2 T Q ' y |= @ w Q po}vDQ=tQ} R l} fXt; Ftg Q O =
o= " W @ '
uUvH Q Q= ' w
| @= @ v w wa uO @ |O Y Q@=v@ stQ Q
o= = }R ' CU= pov}DQ=tQ} R l} R}v
Xs E (XtjFs) =) '(Xs ) '(E (XtjFs)) E ('(Xt)jFs):

"CU= pov}DQ=tQ} R l} f'(Xt); Ftg x=ov; 'OW=@ pov}DQ=t l} fXt; Ftg w ? OLt ,=iQY 'Q o=
= w=
| yxO= v N R= l} Qy x=ov; 'OW=@ pov}DQ=tQ} R l} fXt ; Ftg Q o= %p=Ft 1238
fjXtj; Ftg ; fjXtjp ; Ftg ; p > ; fjXtj log+ jXtj ; Ftg 1
O}yO Q=Qk p@k p=Ft QO CU= |i=m "OvDUy po}vDQ=tQ} R
'(x) = jxj ; '(x) = jxjp ; p > ; '(x) = jxj log+ jxj 1
log t >
" 0 Qo = log+ t = log t log t w 0 Qo = log+ t = 0 h} QaD j@] xm
R}v fXt _ A ; Ftg x=ov; C@=F OOa l} A w OW=@ pov}DQ=tQ} R l} fXt ; Ftg Q o= %p=Ft 1338
" CU= ? OLt w |O waY '(x) = x _ A Q C = }R " U= pov}DQ=tQ} R l}

| =yrov}DQ=t |=Q@ =Q x}[k u}= 5 pYi QO "CU= =yrov}DQ=t |}=Qoty x}[
- k '=yrov}DQ=t x
- } Q_v QO syt xH}D
- v
sr s}taD j} Q] R= R}v pYi u}= QO "Ow@ QPo q=@ sr 'Ov=UQ |Q=} =t x@ C=@F= QO xm |tyt Q=R@= "s}OQm C@=F xDUUo
=Hv}= QO =t P =tv "s}vm|t C@=F xDUw}B Cr=L
|Q= oO Q
|= @ =Q =yrov}DQ=t |}=Qoty x}[
- k 'xDUw}B Cr=L x@ QPo q=@
%fXt; Ftg pov} = Q Q

DQ t } R |= @ "OQ=O |Dw=iD O s Q = x@ 5 pYi
l v= ' }O @ Q m = P
QO yQ o q @ O= = OaD Q xm |Q=PoO=tv =@
|= @
\UwD [a; b] xr = = P
- Y i | yQ o q @ O= = OaD U (!; S ; [a; b]) a < b O}v w m Z i Q %QPo q=@ sr 1438
" NDx w m |Q ] x@ 'OW=@ T QP

R= | } BVQ =tW p =o x wtH Q D O}v
J -a t }R Q O =
m Z i " W @ fXt(!); t 2 S g
a<bx b a =w m w O
| } o O= a= w m 2 N Q x =o y |=R= @ x v;
U (!; [ ; m] \ D ; [a; b]) < +1

0
Q
|= @ w P ( 0) = 1 xm CU= OwHwt 0 2 F xH}D v QO w " - Ov= =@ xawtHt l} GQ=N
m;a;b Ovv=t QiY xR=
a < b xm a; b 2 Q Qy w m 2 N Qy w ! 2 Qy
U (!; [ :m] \ D ; [a; b]) < +1:
0
xm s}OQm C@=F 5 pYi QO " W @ n 2 Nm fXn ; Fng s Q}

O = |y=vDt pov}DQ=tQ} R l} ' ' } o %u=yQ@
E (U (Nm ; [a; b])) E (Xb m )a a :

+
pov}DQ=tQ} R xm |v=tR =D
' w OQ=O |oDU@ x- }=OQo QYva u} QN; x@ \ki CU=Q Q
h ] u= m Q xm OwW|t x_Lqt
x- awtHtQ} R Qy w m 2NQ y |= @ Q u}=Q@=v@ "OQ=Ov |oDU@ =yv; O=OaD w |iO=YD |=yQ}eDt ?}DQD x@ CU= |y=vDt
s} Q=O m p = D D0 | t W R= y=vDt
E (U ([ ; m] \ D0 ; [a; b])) E (Xb m )a a

+
0
O = |t V}=Ri=
QO " @ } U (!; [ ; m] \ D; [a; b]) x
0 @ =yQPo q=@ OaD s}yO V}=Ri=
O= D0 = x wtH Q
=Q | y a t o= p L =
s} Q=O CU= |y=vDt E (Xm+ ) xmv x x w = }= @ H D @ xH}Dv
E (U ([ ; m] \ D; [a; b])) E (Xb m )a a < +1

+
0 ( )
26
m;a;b QiY xR= - awtHt GQ=N a; b 2 Q Qy w m 2 N Qy

- Ov= =@ x Q P
|= @ = r
U ([ ; m] \ D ; [a; b]) < +1

0
a; b 2 Q Q m 2 N Q ! 2
y w y w 0 Q
|= @ w P ( c0 ) = 0 x =ov; ' c
0 = S S m;a;b s}yO Q=Qk Qo =
m2N a;b2Q
" CU= Q=QkQ@ Q_v w smL
OQ t a<bx m
|= v x wtv `@=D O}OLD '! 2 xt =@ Qk - y

, } x O = pov}DQ=tQ} R l}
D |=R= @ " W @ fXt; Ftg s Q} % } o x}[k 1538
OL |=Q=O t 2 ( ; 1) x]k Q
0 - v y QO w CU=Q OL |=Q=O t 2 [ ; 1) x]k Q D x wtH
0 - v y QO -a t x@ X (:; !)
|va} 'CU= AJ
8t 2 [ ; 1) : X (t+; !) = lim
0
s#t
X (s; !) CU= OwHwt
s2D
8t 2 ( ; 1) : X (t ; !) = lim
0
s"t
X (s; !) CU= OwHwt
s2D
wQ u}= R= "CU= Q=Ov=Qm fX (s; !) ; s 2 D \ I g O x wtHt
O= a= - a IT | y =vDt - @
xR = Qy Q
|= @ xw qa x@
O |y=vDt q=@
" v= Ow LO
O w w
" vO H t ? wr]t O
Ow L! 2 0 Q s}v | |= @ m t C@=F "O} Q}o@ Q_v QO =Q Q o q @ P = sr QO 0 x-awtHt %u=yQ@
" W O =@v OwHwt lim

s#t
X (s; !) O t 2 T l L ' Q O}vm
} |= @ Z i " Q s}vm C@=F =Q CU=Q OL OwHw \ki CU= |i=m
s2D
s} Q=O ,qw= x=ov;
lim X (s; !) < lim X (s; !)
s#t s#t
s2D s2D
xm OvOwHwt b a w =w O
| } o O= a= , v F =} =
lim X (s; !) < a < b < lim X (s; !)

s#t s#t
s2D s2D
" Ovm|t u=Uwv D |wQ Q @ = |y=vDt=v O= OaD X (:; !) t C ' U=Q |o}=Uty Qy |wQ xm CU= |vat u}O@ u}= =t=
CU=Q OL TB "CU}v umtt 0 h} QaD CyH x@ u}= |rw CU= |y=vDt=v [a; b] = = P
- @ | yQ o q @ O=
xR = OaD |va}
> 0 Qy |= @ Q h}a[ Q Q=
| @= @ v L1 Q =v @ @ xm s}vm|t =
|Qw;O } swO | aO= C = =@F= Q CU= OwHwt
|= @ "
P (max jX j ) E (jXm j)
n2Nm n
1
s} Q=O m2NQ y |= @ ' Q CiQ Q=mx@ QPo q=@ sr u=yQ@ QO xm |r qODU= u=ty Q@=v@
P ( sup jXtj ) E (jXm j): 1
t2[0;m]\D
s} Qw;|t CUO x@ +1 x @ uO=O p}t =@ w
P ( sup jXtj = +1) = 0

t2[0;m]\D
X (:; !) Am ' P (Am) = x C w w Am x wtH m 2 N Q Q x O |
|wQ w 1 m U= O H t -a t ' y |= @ m yO t u =Wv u}=
T
X (:; !) ! 2 Am Q Q P ( T Am) = xH}D C O Q [ ; m] \ D
1 1
' y |= @ w 1 v QO " U= Q= v= m 0 x@ O}OLD
m=1 m=1
C O Q I \D T I | =vD = Q " U= Q= v= m |wQ ' R= y t xR
- @ }R Qy |=R= @x
AJ OL |=Q=O ( ; 1)
0 QO =H xty x=ov; 'OW=@ xDUw}B CU=Q R= X pov}DQ=tQ} R Qo = %xH}Dv 1638
" CU= Q=Ov=Qm a:s: | y =vDt - @

xR = Qy |wQ w CU=
CU=Q |oDUw}B R= =Pr '(a:s:) CU= Q=Ov=Qm I \D X I | =vD

|wQ ' y - @
t xR = Qy |=R=x@ Q}N= x}[
- k Q@=v@ %u=yQ@
pFt |= x]kv QO X (:; !) x wt ` = O}v

|= v v @ D Q = (a:s:) C
m Z i p L " U= Q= v= mOQ I |wQ X Xx m O W w |t xH}Dv
|o}=Uty l} X (:; !) a < b x O
QO w m w
vO H t w b a O =ow O a wO x v; " WO =@ A O
v t 2 ( ; 1)
J L |=Q=O 0
R= |]=kv QO =yv=Uwv u}= 'CU= xDUw}B CU=Q R= X w = Ov | u J t= " m t u U v = w b a u} = C =y | t A

w @Q @ } v @ J
" CU= umttQ}e Q}N= x}[

- k j@] u}= w " OvyO|t MQOva Dk=wx t A |o =Ut QO m J } y
w OW=@ xDUw}B CU=Q R= pov}DQ=tQ} R l} fXt ; Ftg s Q} } o =yrov}DQ=t |}=Qoty x}[k 1738
sup E (jXtj) < +1

t
" CU= Q}PBp=QoDv= |iO=YD Q}eDt l} w CU= OwHwt a:s: tlim
!1 t
X ' OL x=ov;
s U pYi
= wvm} |}=Qoty x}[

- k Q@=v@ "O}yO p}t +1 x m @ =Q '26 QO w ' A = sup E (jXtj) O}v m Z i Q %u=yQ@
t
E (U (D ; [a; b])) Ab aa :
Z i Q CLD "OW=@ X (:; ! ) |=xvwtv ` = \ w [a; b] = = P = p
@ D U D xR @ | yQ o q @
- m O= OaD U (! ; [a; b]) O}vm ZQi p=L
s} Q=O ' X uO @ w xDUw}B CU=Q R=
U (!; D; [a; b]) = U (!; [a; b])

O =
' W @ k w x] C Q k |iv = K}L O x Q =} = C K Q Q = Q
j i - @=Q U=Q h ] ' t v Y O a |=R= @ o= , v F " U= [=w | @= @ v ,qw= = } R
"X (tj ; !) > b X (sj ; !) < a j k Q x O w w s1 < t1 < < sk < tk =o

w '1 |= @ m vO H t x v;
x OvDU w w D Q =v
@ y O H t s01 < t01 < < s0k < t0k =k w x]k k C
Y a R= |oD w} Q =v \ v 'j i - v 2 QO U=Q R= U B @ @
X (t0j ; !) > b X (s0j ; !) < a s1 < s01 < t1 < t01 < < sk < s0k < tk < t0k x w
w w m |Q ]
u Q =v Q | C= =
}= @ @ "OO o =U xH}D
t C k R} w
@ F q @ |w D =U A Q
v QO "u j k Q
U= v j i |w D J h ] wQ }= R= "1 |= @
E (U ([a; b])) Ab aa
P
= r w Ovvm|tv u=Uwv 'T QO Q @= C}=yv|@ =RHt Q=Okt wO u}@ |=xvwtv Q}Ut I}y (a:s:) xm OwW|t C@=F ,=OOHt
Q@=v@ uwJ "O}t=v@ X1 =Q OL u}= "Ovm|t p}t OW=@ 1 C t ! +1 |D O =
U= umtt xm | L O x@ ' kw } @
Q}PBp=QoDv= |iO=YD Q}eDt X1 T B ' E (jX1j) nlim

!1
E (jXnj) sup E (jXtj) < +1 w = s D i r
t
" CU=
Qo = s}} wo Q=Ov=Qm L1 =Q fXt ; Ft g pov}DQ=tQ} R %h} QaD 1838
sup E (jXtj) < +1;

t
Qo = s}} wo Q=Ov=Qm Lp =Q u; '1 p < +1 x
|=R= @ w
sup E (jXtjp) < +1:

t
w OQ= v O =DU= QDr}i fFtg Q o= s}} wo xDUw}B CU=Q R= =Q fXt; Ftg pov} =
DQ t j i w Q} R %h} QaD 1938
O = xDUw}B CU=Q
" W @ R= X = fXt g
|iO=YD Q}eDt l} x@ =Qoty a:s: OQ

'Q= v= m L1 xDUw}B CU=Q R= pov}DQ=t j i w Qy %xH}Dv 2038
" CU= pov}DQ=tQ} R f Xt; Ftg x=ov; OW=@ pov}DQ=t j i w fXt; Ftg Q Q
o= = }R " CU= Q}PBp=QoDv=
s U 186
fXt; Ftg |iv =

Q}PBp=QoDv= |iO=YD Q}eDt l} x@ a:s: t vw xDUw}B CU=Q R= pov}DQ=t jwi Qy %xH}Dv 2138
w E (jXtj) = E (Xt) E (X0 ) t 2 T Q ' y |= @ 'uO @ Q w pov}DQ=t w |oS} w Q@=v@ =Q} R "CU= =Qoty
j i
"O @w Oy=wN Q=Ov=Qm L1 pov} =

DQ t j i w u}= =Pr
" CU= =Qoty Q}PBp=QoDv= |iO=YD Q}eDt l} x@ a:s: |ivt=v xD

- Uw}B CU=Q R= pov}DQ=t Qy %xH}Dv 2238
O = Q}PBp=QoDv= CN=wvm} Qw] x@

' W @ w xDUw}B CU=Q R= pov}DQ=tQ} R l} fXt; Ftg Q o= %x}[k 2338
a:s:;L1
t 0 Qy Q
|= @ xw qa x@ w Xt ! X1 x m CU= OwHwt X1 Q P } Bp= QoDv= |iO=YD Q}eDt x=ov;
Xt E (X1 jFt):
" CU= 5 pYi QO xDUUo Cr=L QO x}[k u=yQ@ x@=Wt %u=yQ@
s}vm Q O = Q}PBp=QoDv= |iO=YD Q}eDt l}

Z i " W @ X w QDr}i l} fFtg s Q} % k 2438 } o x}[
xDUw}B CU=Q R=Ft Q C o= " U= Q}PBp=QoDv= CN=wvm} Qw] x@ pov}DQ=t l fXt ; Ft g =o Xt = E (X jFt)
} x v; "
a:s:;L1
"X1 = E (X jF1) s } Q=O w Xt ! X1 x m CU= OwHwt X1 Q P } Bp= QoDv= |iO=YD Q}eDt x=ov; 'OW=@
"(Lectures from Markov processes to B.M) chung ? =Dm R}v w 5 pYi x@ O}vm `wHQ %u=yQ@
=yrov}DQ=t w Q
j i |= @ =Q x}[k u}= "CU= swUwt ?wO hkwD x}[
- k x@ xm s}vm|t C@=F =Q |= x}[k p=L
"O wtv u=}@ R}v =yrov}DQ=t Q} R Q
|= @ =Q u; Ovm îL =Q x}[k \}=QW xm |D=Q}}eD =@ u= D w |t umr s}vm|t C@=F
Q}eDt w OW=@ xDUw}B CU=Q R= pov}DQ=t fXt; Ftg O}v

j i w l} m Z i Q ?wO - }[k
hkwD x 2538
hkwD u=tR wO 2 1 s Q}
w } o " Xt E (Y jFt) t Q Q ' 0 y |= @ xm OW=@ OwHwt Y Q}PBp=QoDv= |iO=YD
s
% } Q=O x =ov; " 1 2 x m OvW=@
w f1 = 1g |wQ X = X1 x
1
O Q P QoDv=
m ' v } Bp= X X 2 w 1 '
CU= OwHwt a:s: tlim
!1 Xt = X1
' hr=
' f2 = 1g X = X1 |wQ

2
" CU= Q=QkQ@ |w =UD 'OW=@ pov}DQ=t fXt; Ftg Q X E (X jF )
o = "
1 2 1
?
s}yO|t Q=Qk %u=yQ@
Zt = Xt E (Y jFt)
CQ Y w x@ Xt P CU= xDUw}B CU=Q

= r " R= C@Ft pov}DQ=t j i w l} fZt; Ftg x =ov;
Xt = Zt + E (Y jFt)
w w
O H t lim X = X1 =Pr "OwW|t x} RHD xDUw}B CU=Q R= pov}DQ=t l} w |ivt=v pov}DQ=t jwi l} x@
t!1 t
- wv=N =Pr "Xt E (X1 jFt ) 't 0
xO= Qy |=Q@ xwqa x@ "CU= |y=vDt a:s: |iO=YD Q}eDt l} w CU=
fXk=2n ; Fk=2n ; k 2 N1 g 'n 0 Qy |=Q@ wQ u}= R= "CU= pov}DQ=t jwi l} fXt ; Ft; t 2 [0; 1]g
s} Q}o "N1 = f ; ; ; . . . ; 1g
0 1 2 u; QO xm 'CU= xDUUo QDt=Q=B =@ po}vDQ=t j i w l}
n1 = [ 1n] + ; n2 = [ 2n] +

n 2 1
n 2 1
2 2
|wQ xm O}vm xHwD n1 n2 OvDU fk=2n ; K 2 Ng

" w y xO=
- w=
v N x@ C@Uv hkwD | =yv=tR ' n2 n1 =o
w x v;
|= x}[k Q@=v@ " Xn = X = X1 s f2 = 1g

2
2
} Q=O ' |wQ w " Xn = X = X1 s
1
1
} Q=O ' f1 = 1g
% pov}DQ=t w
j i |= @ Q @ Q = u}= |yDvt s}OQm C@=F 6 pYi QO xm
Xn E (Xn jFn )

1 2 1
A 2 F Q Q T F = T Fn xH}D
1
s} Q=O 1
y |= @ B "
1 1 v QO ' n1 # 1 u J w
n=1
Z Z
Xn dP Xn dP:
1 2 ( )
27
A A
xO=
- w=
v N wO Qy xwqa x@ "CU=Q R= |oDUw}B Q@=v@ Xn2 ! X Xn ! X =o n ! 1 Q =
2 w
1
1 x
v; ' o= p L
u}= Cra "OvQ}PBp=QoDv= CN=wvm} Qw] x@ xm 'OvDUy Twma =yrov} = w fXn ; Fn g fXn ; Fn g
t | DQ t j i 2 2 w 1 1
n2 n2 1 w | w= Q qF x C
u J twO xO=
- v N |= @ , t m U=
Xn E (Xn jFn ):

2 2
1
2
n n Q 0 ' x
y |=R= @ u J w w
E (Xn ) E (X0 ) < +1

2
=yOL u}= uOw@ |y=vDt "CU= CN=wvm} |Q}PBp=QoDv= pO=at u}= w

!1 " E (Xn2 ) < 1 OyO|t xH}Dv xm
nlim
Q@=v@ Q
27 h ] wO R= | Q}oOL =@ w |t C@=F hr= =Pr
"O W w 'OyO|t xH}Dv =Q X w X |Q}PBp=QoDv=
2 1
s} Qw;|t CUO x@ CN=wvm} Q P QoDv=

| } Bp=
Z Z
X dP X dP
A 1
A 2
= Q
u } H pN=O R}v =Q f Xtg fXt g Q' @ xw qa Qo = "x}[k ? | aO= = =@ CU= pO=at u}= w A 2 F 1 |=
@ Q
"OO oQ |t C@=F sy x}[k xrt
- H u} QN; s}vm C =@F=
CN=wvm} Qw] x@ w xDUw}B CU=Q OQ

R= 'Q= v= mL1 po}v = l fXt ; Ftg O}v Q % v 2638
DQ t } ' m Z i xH}D
x =ov; "OW=@ hkwD |=yv=tR R= |O wa w = l ft ; t 2 g

Y xO=
- v N T O}v Q O = Q P QoD
} w m Z i " W @ } Bp= v=
" CU= Q}PBp=QoDv= CN=wvm} Qw] x fXt j; t 2 g C

@ OQ L1 po}v = l fXt ; Ft ; t 2 g
w U= Q= v= m DQ t }
w w
O H t X1 Q P } Bp= QoDv= |iO=YD Q}eDt 'CU= xDUw}B CU=Q L1 fXt ; Ftg w %u y @ OQ
R= w Q= v= m ' u J ,qw= = Q
xH}Dv t2T
QO " Q Xt = E (X1 jFt)
|= @ xLi x}[ Q =v ut ' lim X = X1 x C
t!1 t - Y - k @ @ [ QO w m U=
hkwD = Q w x}[ Q =v | Q
u tR wO |= @ j i - C OQ
k @ L1 pov} = l fXt; Ft; t 2 [ ; 1]g
@ i ] R= " U= Q= v= m DQ t } 0
s<t Q |= @ = t = s w Q = = X = E (X jF ) OvDU L1

uO=O Q= k @ p L " X X w y QO w '
= t s} Q Q Qo
yO Q= k o=Q w | C = fXt ; Ft ; t 2 g w =
}O h ] R= "O W t w pov} = | S
@ F xO=
- v N uO @ DQ t o }w ' QO
s | Q O} Q uUv Q Q = Q =v =o = +1 t 2
} Q=O ] W t= |= @ Q H | @= @ v @ @ x v; ' w |= @
jXt j = jE (X1 jFt )j E (jX1jjFt )

"CU= Q}PBp=QoDv= CN=wvm} Qw] x@ fjXt j; t 2 g P t 2 = r w Qy |=Q@ Xt 2 L1 x w |t xH}Dv u}= R=
m O W
s Q
" }O m xO =iDU= h}a[ Q Q=
| @= @ v L1 xD Uw}B pmW R= =yrov}DQ=t |}=Qoty x}[k P
w Q oq @ = sr u=yQ@ QO
=yD=@F= uwJ "s}vm|t C@=F xDUw}B pov}DQ=t Q

|= @ =Q | k | @= @ v w Q Q= Lp Q Q=
?wO | @= @ v w | @= @ v Q Q = u}= =Hv}= QO
s
" } Qw; |t u=yQ@ ?wO | @= @ v |= @Q Q= Q \ki 'OvDUy x@=Wt
CU=Q R= |ivt=v pov}DQ=tQ} R l} fXt; Ftg O}v m Z i Q "h}a[ |Q@=Q@=v L1 x}[k 2738
s} Q=O > 0 |k}kL OOa x=ov; "OW=@ xDUw}B
pP ( sup jXs j ) E (jXtjp): 1 p < +1:

0st
xDUw}B CU=Q R= |ivt=v pov}DQ=tQ} R l} fXt ; Ftg s Q} } o ?wO '|wk |Q@=Q@=v Lp x}[k 2838
x=ov; 'OW=@ 1 <p<1 OQ

'Q= v= m Lp w
jj sup jXs jjjp qjjXtjjp

0st
"
1
p + 1q = 1 xm
6 pYi w
QO | k | @= @ v Q Q= Lp Q =v :Qnt = f 2ktn : k
@ @ 0 2
n 1 g O}v m Z i Q %u=yQ@
jj max jX jjj qjjXtjjp:

s2Qn s p
t
s U pYi
"Ovm|t OWQ R}v AJ Q

h ] Q= Okt =@
u; p vO x@ w Ov@=}|t V}=Ri= Qnt = x wtH n ! 1 Q =
| y a t o= p L
CU=Q |oDUw}B Q@=v@ xQNq=@ :jj sup jXsjjjp qjjXtjjp =o Qt =

S Qn s} Q Q u Q =v
1
x v; ' t yO Q= k o= }= @ @
s2Qt n=1
" sup jXs j 2 Lp x w | xH}D m O W t S
v x }w x@ "O};|t CUO x@ smL 'po}vDQ=tQ} R
0st
`H=Qt
[1] Ash, R.B., Real Analysis and Probability. Academic Press, NewYork & Lon-
don, 1972.
[2] Billingsly, P., Probability and Measure. John Wiley & Sons, NewYork, 1995.
[3] Breiman, L., Probability. SIAM, Philadelphia, 1992.
[4] Chung, K.L., A Course in Probability Theory. Academic Press, NewYork,
2nd ed. 1974.
[5] Dudley, R.M., Real Analysis and Probability. Chapman & Hall, NewYork,
1989.
[6] Karlin, S., A First Course in Stochastic Processes. Academic Press,
NewYork, 2nd ed. 1975.
[7] Lamperti, L., Probability. Benjamin, Inc. NewYork, 1966.
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a

1 |Qw;O=} w xR}ov= pw= pYi

7 ::::::::::::::::::::::: R O nQ @ O= a= h}a[ uwv=k 31

13 |iO=YD |=yQ=OQ@ w |iO=YD |=yQ}eDt swO pYi

22 xDUUo |iO=YD |=yOv};Qi swU pYi

27 : : : : : : : : : : : : : : : : : : : : | Q}o p= QoDv= w Q =_Dv= w

30 : : : : : : : : : : : : : : : : : : : : : : |iO=YD | y = Q}eDt |}=Qoty 33

50 ::::::::::::::::::::::: | iO =YD | =yDtqa xrU

56 |]QW O}t= w p=tDL= sQ=yJ pYi

64 : : : : : : : : : : : : : : : |}=to}U u=O}t l} \ W Q x@ |]QW p=tDL= 24

67 : : : : : : : : : : : : : : : : : : : : : : : : : : | Qot }= y | y = x}[k 34

70 : : : : : : : : : : : : : : : : : : : : : : : : : s_v | Q t ] W p =tDL= 44

75 : : : : : : : : : : : : : : : : : : : : : : (Jensen) uUv H |w =Ut=v 54

77 xDUUo QDt=Q=B =@ pov}DQ=t sHvB pYi

92 : : : : : : : : : : : : : : : : : : : C wvm Q P QoD = pov} =

xmU ?=DQB V}=tR; 11

V}=tR; umtt G}=Dv s=tD OwW|t Qy=_ 0 =} w 1 =} xmU ?=DQB Q=@ Qy w

OW=@ |= vx wtv | =[i QO |awv x]k

s}vm|t h} QaD Q} R CQ Y w x@ |wQ =Q Sn Xn ` =

'Bx awtHt w N QO | nQ w |t xO}t=v |y=vDt Oa@ =@ xawtHt l}

" s}yO|t u=Wv F0 = A pF

h} QaD =yA |wQ xm O |rw CU}v xv=o} OwW|t Ci=}

Qo = ,qFt "CU= xv=o} OwW|t

"P (f! : Xn (!) = g) C 1 U= ? wr]t %p=Ft 311

s} Q=O =Hv}= QO %pL

w A 2 F0 x =ov; A = f! : Xn (!) = g Q 1 o= xH}Dv QO

" P (f! : X1(!) = X2(!) = X3 (!) = g) C 0 U= ? wr]t %p=Ft 411

s} Q=O =Hv}= QO %pL

A = f! : X1(!) = X2 (!) = X3 (!) = g 0

" P (f! : Sn(!) = kg) x@ - U =Lt CU= ? wr]t %p=Ft 511

s} Q=O =Hv}= QO %pL

x =ov; A \ B =  A; B 2 F0 Q w o= xm OwW xHwD

nQR@ O=Oa= uwv=k 21

u; u= wD@ xm O=O xaUwD w

l= QDW= w `=tDH= u=@ R x@ =}

|rw "P (C c) = 0 s}yO u=Wv CU= |i=m

s}vm Z iQ CU= |i=m =Q} R Cn;k 2 F0 x=ov; :Cn;k = f! : Snn(!) 1

Qy ptmt R}v w |y=vDt=v l= QDW= w ` =tDH= O}=@ OW @ = Q P h Qa P (C c ) xmv

x =ov; A; B 2 F0 Q o= xm s}O}O ,q@k %,=}v=F

" Ac 2 F0 x =ov; A 2 F0 Q o= %,=Fr=F

x=ov; 'fx1; x2; . . . ; xk g | y =vDt x- awtHt R= OW=@ CQ =@a X Q Qo =

" s}vR|t ?} QkD Q} R CQ Y w x@ =Q P (Cn;k ) = t C t = Okt u}= =@ p=L

O} wo|t xm CU= hW|@J* Q Q=

s}yO|t Q=Qk p=L

nQR@ O=Oa= h}a[ uwv=k 31

kQ y |=R= @x |va} 'OQw; CUO x@ Q}N= Q Q=

" u} QtD u= wva x@ %u=yQ@

CWwv CQ Y w u}= x@ =Q Cc u= D w |t sr u}= x@ xHwD =@

P (Ak ) O = Ak = T AN;k Q u Q =v AN;k = S Cm ;k s} |

 P (Ak ) = Nlim P ( A )  lim k2 X1

" Ovm|t p}t

" CU}v |y=vDt Oa@ =@ = x wtHt

s}y=wN R=}v =yv; x@ | Oa@ | =yFL@ QO xm O x Q_v

" s}vm|t |Qw;O } = CW=O

s}} wo =wvm} xOQ

% OvW=@ Q=QkQ@ Q} R |oS} w =Q

xm OW=@ =wvm} xOQ

" G  (F0) = F0 = @ x WO O}rwD |}=to}U u= O}t x=ov; 'CU= F0 p = t W

" Chung = Ash }' ? =Dm %u=yQ@

" s}t=v|t p=tDL= -xR=Ov= =Q  ( ) =

" } s Q}o|t |}=to}U u= O}t =Q F w u= O}t l} =Q F0 T B u}= R= %O=OQ=Qk

s} Q=O An "AQ o= x =ov; 'n 2NQ An 2 F O =[ l ( ; F ; ) Q

Q}PBatH ( ; F) |wQ Q o= " (An) # (A) =o (A1 ) < 1 An # A Q

7 ::::::::::::::::::::::: R O nQ @ O= a= h}a[ uwv=k 31

30 : : : : : : : : : : : : : : : : : : : : : : |iO=YD | y = Q}eDt |}=Qoty 33

50 ::::::::::::::::::::::: | iO =YD | =yDtqa xrU

64 : : : : : : : : : : : : : : : |}=to}U u=O}t l} \ W Q x@ |]QW p=tDL= 24

67 : : : : : : : : : : : : : : : : : : : : : : : : : : | Qot }= y | y = x}[k 34

70 : : : : : : : : : : : : : : : : : : : : : : : : : s_v | Q t ] W p =tDL= 44

75 : : : : : : : : : : : : : : : : : : : : : : (Jensen) uUv H |w =Ut=v 54

xmU ?=DQB V}=tR; 11

"P (f! : Xn (!) = g) C 1 U= ? wr]t %p=Ft 311

" P (f! : X1(!) = X2(!) = X3 (!) = g) C 0 U= ? wr]t %p=Ft 411

" P (f! : Sn(!) = kg) x@ - U =Lt CU= ? wr]t %p=Ft 511

x =ov; A \ B = A; B 2 F0 Q w o= xm OwW xHwD

nQR@ O=Oa= uwv=k 21

nQR@ O=Oa= h}a[ uwv=k 31

P (Ak ) = Nlim P ( A ) lim k2 X1

" G (F0) = F0 = @ x WO O}rwD |}=to}U u= O}t x=ov; 'CU= F0 p = t W

" s}t=v|t p=tDL= -xR=Ov= =Q ( ) =

s} Q=O An "AQ o= x =ov; 'n 2NQ An 2 F O =[ l ( ; F ; ) Q

Q}PBatH ( ; F) |wQ Q o= " (An) # (A) =o (A1 ) < 1 An # A Q

x=ov; OW=@ ( ; F0 ) |wQ |}=to}U |y=vDt xR=

8" > 0w 8A 2 (F0) (A) < 1 =) 9B 2 F0 s:t:(AB ) < "

F = fA ; 9A1 A2 2 F (A2 A1) =

" CU= Tv=W sy p=tDL= | =[i l} ( ; F; P )

s} Q}o "OW=@ u= O}t l} F0 2 O}vm Q O = xawtHt l}

|va} "An 6= n 2 N Q ' Q TB &OW=@v Q=QkQ@

An = f! : (!1 ; !2; . . . ; !mn ) 2 Bmn g 6=

8n 2 N; An = f! : (!1 ; !2; . . . ; !n ) 2 Bng ; Bn f ; gn 0 1

(!1n ; !2n; . . . ; !mn ) 2 Bm ; 8m n =}

"O W w |t pt=m xmU ? D B=Q

Gk = fki=1Ii : RQO xR=@Ii g Rk

xm CU= F QO |}=to}U u= O}t u} QDmJwm w CU= |}=to}U u= O}t l} F (X ) %x}[k 32

"F (X ) G |va X 1 (A) 2 G A 2 F 0 Q

s} Q}o %x}[k 42

x =ov; (e) = F 0 Q o= xm |Q ] w x@ 'OW=@ F0

s}yO Q=Qk =Q F 0 = (F0) | =to} } U u= O}t f ; gN

s} Q=O w CU= (f ; gN; (F0))

u}= x@ 'Ov=WwB@ =Q 0 s=tD 'X ( ) x s}v m m Z i "Q X : ( ; F ) ! ( 0; F 0; P 0) s Q} %x}[k 102 } o

FX (x) = P (f! : X (!) xg) = PX (( 1; x])

FX (x) = >x 0 x 1

`} RwD `@=D %p=Ft 152

F = (G ) x m OW=@ |Qw] GF w OvW=@ ( ; F) |wQ p =tDL= =