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1 - From probability to stochastic process
Gaoyue Guo
Probability
Independence
Conditional expectation
Equivalent probabilities
Outline
Probability
Independence
Conditional expectation
Equivalent probabilities
Measurability
Definition (measurable space)
A collection of subsets F is said to be a σ−algebra on Ω if
I ∅, Ω ∈ F ;
I A ∈ F =⇒ Ac := Ω \ A ∈ F ;
I (An )n≥1 ⊂ F =⇒ ∪n≥1 An ∈ F.
(Ω, F) is called a measurable space.
f −1 (B) := {ω ∈ Ω : f (ω) ∈ B} ∈ F, ∀B ∈ G.
Some algebras on Ω
I (Fλ )λ∈Λ is a family of algebras. So it is with ∩λ∈Λ Fλ .
I Let C be a set of some subsets of Ω, define
\
σ(C) := F.
F : algebra, F ⊃C
Π⊗
n≥1 Fn := σ {Πn≥1 An : An ∈ Fn } .
Probability
Definition (measure)
A map µ : F → [0, ∞] is called a measure if
I µ(∅) = 0 ;
X
I µ(∪n≥1 An ) = µ(An ) for any (An )n≥1 ⊂ F of disjoint sets.
n≥1
µ is called a probability if µ(Ω) = 1. Denote by P(Ω, F) the set of
probabilities. For µ ∈ P(Ω, F), (Ω, F, µ) is called a probability space.
Random variable
Definition (random variable)
Let Σ = Rd and G = B(Rd ) := σ({A : A is open in Rd }). Any
measurable function X : Ω → Rd is called a r.v. on (Ω, F).
Definition (expectation)
Z
Fix P ∈ P(Ω, F). A r.v. X is integrable if |X (ω)|P(dω) < ∞. Denote
Ω
the expectation of X by
Z
E[X ] := X (ω)P(dω).
Ω
Related terminology
Definition (variance/covariance)
Let d = 1. If X , Y ∈ L2 (Ω, F, P), denote by Cov (X , Y ) the covariance
between X and Y
Cov (X , Y ) := E (X − E[X ])(Y − E[Y ]) = E[XY ] − E[X ]E[Y ].
Theorem of transport
Theorem
Fix P ∈ P(Ω, F) and denote Y := g (X ). Then Y is a r.v. and
Y ∈ L1 (Ω, F, P) iff g ∈ L1 (Rd , B(Rd ), PX ), i.e.
Z
E[|Y |] < ∞ ⇐⇒ |g (x)|PX (dx) < ∞.
Rd
Outline
Probability
Independence
Conditional expectation
Equivalent probabilities
Independence
More theorems
Let (Xn )n≥1 be a sequence of i.i.d. r.v.s on (Ω, F, P).
Outline
Probability
Independence
Conditional expectation
Equivalent probabilities
Conditional expectation in L1
Theorem (Existence and uniqueness)
Let X ∈ L1 (Ω, F, P) and G ⊂ F. There is a unique G−measurable r.v.,
denoted by E[X |G] ∈ L1 (Ω, F, P) and called the conditional expectation of
X knowing G, s.t.
Proposition
For X ∈ L1 (Ω, F, P), one has :
(a) (tower property) E[E[X |G]|H] = E[X |H] for all H ⊂ G ⊂ F ;
(b) (linearity) X 7→ E[X |G] is a linear map ;
(c) (positivity) If X ≥ 0 a.s., then E[X |G] ≥ 0 a.s. ;
(d) (representation)
Gaoyue Guo E[X |Y ] = g (Y
ST7) - for
71 some measurable function g.
CentraleSupélec 15
Conditional expectation
Theorem
Let (Xn )n≥1 ⊂ L1 (Ω, F, P) converge almost surely to X . Then
lim E[Xn |G] = E[X |G] almost surely if one of the following conditions
n→∞
holds
(i) |Xn | ≤ Z ∈ L1 (Ω, F, P) for all n ≥ 1 ;
(ii) Xn ≥ 0 increases to X almost surely.
Gaoyue Guo ST7 - 71 CentraleSupélec 16
Conditional expectation
Proposition
Let G ⊂ F.
(a) L2 (Ω, G, P) is a closed subspace of L2 (Ω, F, P).
(b) E[X |G] is identified as the projection of X in L2 (Ω, G, P), i.e.
Outline
Probability
Independence
Conditional expectation
Equivalent probabilities
Change of measure
Radon-Nikodym’s derivative
Equivalent probabilities
Definition
P and Q are equivalent if Q ≤ P and P ≤ Q.