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Probabilit

y
and Measure Theor
y
SECOND EDITION
l D
.
ROBERT B. ASH
with contributions fom
Catherine Doleans-Dade
=
1 ,' z
(. )J)
A Harcourt Science and Technology Company
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Tis book is prnted on acid-fee paper. @
Copyright 200 by Academc Press
All rights reserved.
No par of tis publication may be reproduced or tansmitted in any form or by any
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storage and retrieval system, without permission in writing fom the publisher.
ACADEMIC PRSS
A Harcourt Science and Technology Company
525 B Street, 190, San Diego, Califoria 921 01 -4495, USA
http://www.apnet.com
Academc Press
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http://www.hbuk.co.uk/ap/
Harcourt Academic Press
200 Weeler Road, Burlington, Massachusetts 01 803
http://www.harourt.ap.com
Library of Congress Catalog Card Number: 99-65669
Interational Standard Book Number: 0-1 2-065202-1
Printed in the United States of America
99 00 01 02 03 I 9 8 7 6 5 4 3 2 1
Contents
Preface N
Summar of Notation ix
1 Fundamentals of Measure and Integration Theor 1
1.1 Introduction 1
1.2 Fields, a-Fields, and Measures 3
1.3 Extension of Measures 12
1.4 Lebesgue-Stieltjes Measures and Distrbution Functions 22
1.5 Measurable Functions and Integration 35
1.6 Basic Integration Theorems 45
1.7 Comparison of Lebesgue and Rieman Integrals 55
2 Further Results in Measure and Integration Theory 60
2.1 Introduction 60
2.2 Radon-Nikodym Theorem and Related Results 6
2.3 Applications to Real Analysis 72
2.4 LP Spaces 83
2.5 Convergence of Sequences of Measurable Functions 96
2.6 Product Measures and Fubini's Theorem 101
2.7 Measures on Infnite Product Spaces 113
2.8 Weak Convergence of Measures 121
2.9 References 125
3 Introduction to Functional Analysis 127
3.1 Introduction 127
3.2 Basic Properies of Hilbert Spaces 130
3.3 Linear Operators on Normed Linear Spaces 141
3.4 Basic Theorems of Functional Analysis 152
3.5 References 165
iv
CONENS
4
Basic Concepts of Probability 166
4.1 Introduction 166
4.2
Discrete Probability Spaces 167
4.3 Independence 167
4.4 Beroulli Trials 170
4.5
Conditional Probability 171
4.6 Random Varables 173
4.7 Random Vectors 176
4.8 Independent Random Variables 178
4.9 Some Examples fom Basic Probability 181
4.10 Expectation 188
4.11 Infnite Sequences of Random Variables 196
4.12 References 200
5 Conditional Probability and Expectation 201
5.1 Introduction 201
5.2 Applications 202
5.3 The General Concept of Conditional Probability
and Expectation 204
5.4 Conditional Expectation Given au-Field 215
5.5 Properties of Conditional Expectation 220
5.6 Regular Conditional Probabilities 228
6 Strong Laws of Large Numbers and Martingale Theory 235
6. 1 Intoduction 235
6.2 Convergence Theorems 239
6.3 Martingales 248
6.4 Martingale Convergence Theorems 257
6.5 Uniform Integrability 262
6.6 Uniform Integrability and Maringale Theory 266
6.7 Optional Sampling Theorems 270
6.8 Applications of Matingale Theory 277
6.9 Applications to Markov Chains 285
6.10 References 288
7 The Central Limit Theorem 290
7.1 Introduction 290
7.2 The Fundamental Weak Compactness Theorem 300
7.3 Convergence to a Normal Distribution 307
CONTENTS v
7.4 Stable Distributions 317
7.5 Infnitely Divisible Distributions 320
7.6 Uniform Convergence in the Central Limit Theorem 329
7. 7 The Skorokhod Constrction and Other Convergence
Theorems
332
7.8 The k-Dimensional Central Limit Theorem 336
7. 9 References 344
8 Ergodic Theory
8.1 Introduction
8.2 Ergodicity and Mixing
8.3 The Pointwise Ergodic Theorem
8.4 Applications to Markov Chains
8.5 The Shannon-McMillan Theorem
8.6 Entopy of a Transformation
8. 7 Beroulli Shifts
8.8 References
9 Brownian Motion and Stochastic Integrals
345
345
350
356
368
374
386
394
397
399
9.1 Stochastic Processes 399
9.2 Brownian Motion 401
9.3 Nowhere Difrentiability and Quadratic Variation of Paths 408
9.4 Law of the Iterated Logarith 410
9.5 The Makov Property 414
9.6 Matingales 420
9.7 Ito Integrals
426
9.8 Ito's Diferentiation Formula 432
9.9 References 437
Appendices
1. The Symmetric Random Wa in k
2. Semcontinuous Functions
3. Completion of te Proof of Theorem 7.3.2
4. Proof of the Convergence of Tpes Theorem 7.3.4
5. The Multivariate Normal Distribution
Bibliography
Solutions to Problems
Index
438
438
441
443
447
449
454
456
512
Preface
It is a pleasure to accept the invitation of Harcourt Academic Press to publish
a second edition. The frst edition has been used mainly in graduate courses in
measure and probability, ofered by departments of matematics and statistics
ad frequently taken by engineers. We have prepared the present text with
this audience in mind, and te title has been changed fom Real Analysis ana
Probabilit to Probabilit and Measure Theor to reflect the revisions we have
made.
Chapters 1 and 2 develop the fundaentals of measure and integration te
ory. Included are several results that are crucial in constcting the foundations
of probability: te Radon-Nikodym theorem, te product measure theorem,
the Kolmogorov extension theorem ad the theory of weak convergence o1
measures. We remain convinced that it is best to assemble a complete set o1
measure-theoretic tools before going into probability, rater tha t to de
velop both areas simultaneously. The gain in efciency far outweighs any
temporay loss in motivation. Those who wish to reach probability as quickly
as possible may omit Chapter 3, which gives a brief intoduction to fnctional
analysis, and Section 2.3, which gives some applications to real analysis. In
addition, instructors may wish to summarize or sketch some of the intricate
constuctions in Sections 1.3, 1.4, and 2.7.
The study of probability begins with Chapter 4, which ofers a summary o1
an undergraduate probability course fom a measure-teoretic point of view.
Chapter 5 is concered with te general concept of conditional probability
and expectation. The approach to problems that involve conditioning, given
events of probability zero, is the gateway to many areas of probability theory.
Chapter 6 deals with strong laws of lage numbers, frst from the classical
viewpoint, and then via martingale theory. Basic properties ad applications
of maingale sequences are developed systematically. Chapter 7 considers
the cental limit problem, emphasizing the fundamental role of Prokhorov's
wea compactness theorem. The last two sections of this chapter cover some
material (not in the frst edition) of special interest to statisticians: Slutsky's
theorem, the Skorokhod constuction, convergence of tansformed sequences
and a k-dimensional central limt theorem.
vi
viii PREFACE
Chapters 8 and 9 have been added in the second edition, and should be of
interest to the entire prospective audience: mathematicians, statisticians, and
engineers. Chapter 8 covers ergodic teory, which is developed far enough
so that connections with information theory are clearly visible. The Shan
non-McMillan theorem is proved and the isomorhism problem for Beroulli
shifts is discussed. Chapter 9 treats the one-dimensional Brownian motion
in detail, and then introduces stochastic integrals and the Ito differentiation
formula.
To make room for the new material, the appendix on general topology
and the old Chapter 4 on the interplay between measure theory and topology
have been removed, along with the section on topological vector spaces in
Chapter 3. We assume that the reader has had a course in basic analysis and is
familiar with metric spaces, but not with general topology. All the necessary
background appeas in Real Variables With Basic Metric Space Topology by
Robert B. Ash, IEEE Press, 1993. (The few exercises that require additional
background are marked with an asterisk.)
It is theoretically possible to read the text without any pror exposure to
probability, pickng up the necessary equipment in Chapter 4. But we expect
that in practice, almost all readers will have taken a standard undergradu
ate probability course. We believe that discrete time, discrete state Markov
chains, and random walks are best covered in a second undergraduate prob
ability course, without measure theory. But instructors and students usually
fnd this area appealing, and we discuss the symmetic random walk on k in
Appendix 1.
Problems are given at the end of each section. Fairly detailed solutions are
given to many problems, and instructors may obtain solutions to those prob
lems in Chapters 1-8 not worked out in the text by writing to the publisher.
Catherine Doleans-Dade wrote Chapter 9, and ofered valuable advice and
crticism for the other chapters. Mel Gardner kindly allowed some material
from Topics in Stochastic Processes by Ash and Gadner to be used in Chap
ter 8. We appreciate the encouragement and support provided by the staf at
Harcour Academic Press.
Robert B. Ash
Catherine Doleans-Dade
Urbana, Illinois, 1999
Summary of Notation
We indicate here the notational conventions to be used throughout the book.
The numbering system is standard; for example, 2.7.4 means Chapter 2,
Section 7, Pa 4. In the appendices, the letter A is used; thus A2.3 means
Pa 3 of Appendix 2.
The symbol 0 is used to mark te end of a proof.
1 SETS
If A and B are subsets of a set n, AU B will denote the union of A and B,
and A n B the intersection of A and B. The union and intersection of a family
of sets A; are denoted by U
;
A; and nA;. The complement of A (relative to
0) is denoted by N.
The statement "B is a subset of A" is denoted by B c A; the inclusion need
not be proper, that is, we have A c A for any set A. We also write B c A as
A : B, to be read "A is an overset (or superset) of B."
The notation A - B will always mean, unless otherwise specifed, the set of
points that belong to A but not to B. It is referred to as the diference between
A and B; a prper diference is a set A -B, where B C A.
The symmetric diference between A and B is by defnition the union of
A-B and B -A; it is denoted by A B.
If A, c A2 c and U1 An =A, we say that the An form an increasing
sequence of sets (increasing to A) and write An t A. Similarly, if A, : A2
: and n=l An = A, we say that the An form a decreasing sequence of
sets (decreasing to A) and write An .A.
The word "includes" will always imply a subset relation, and the word
"contains" a membership relation. Thus if W and are collections of sets,
"W includes !'' means that C W. Equivalently, we may say tat W contains
al sets in , in oter words, each A E is also a member of W.
A countable set is one that is either fnite or countably infnite.
The empt set 0 is the set with no members. The sets A;, i E /, are disjoint
if A; n A j = 0 for all i = j.
ix
X
SUMMARY OF NOTATION
2 RAL NuMBERS
The set of real numbers will be denoted by . and
n
will denote n
dimensional Euclidean space. In . the interval (a, b] is defned as {x E :
a< x : b}, and (a, o) as {x E : x >a}; other types of intervals are defned
similarly. If a = (a1, , an) and b = (b1, , bn) are points in
n
, a : b
will mean a; : b; for all i. The interval (a, b] is defned as {x E Rn: a; < x
;
: b;, i = 1, ... , n }, and other types of intervals are defned similarly.
The set of extended real numbers is the two-point compactifcation
U {o} U {-o}, denoted by "; the set of n-tuples (x,, ... , Xn). with each
x; E ", is denoted by "
n
. We adopt the following rules of aritmetic in ":
a + o = o + a = o, a -o = -o + a = -o, a E .
0 + 0 = 0, -0-0 = -0 (o- o is not defned),
bO=Ob=
0 { if
-0 if
bE "
bE ",
b > 0,
b < 0,
: = - = 0, a E ( : is not defned) ,
0
.
0 = 0
.
0 = 0.
The rules are convenient when developing the properties of the abstract
Lebesgue integral, but it should b emphasized that " is not a feld under
these operations.
Unless otherwise specifed, positive means (strictly) greater than zero, and
nonnegative means greater than or equal to zero.
The set of complex numbers is denoted by C, and the set of n-tuples of
complex numbers by e
n
.
3 FUNCTIONS
If f is a function from Q to Q' (written as f: Q-- Q') and B C Q',
the preimage of B under f is given by f-1(B) ={wE Q: f(w) E B}.
It follows from the defnition tat f-'(U
;
B;) = UJ-1(B;), f-'
(
nB;)
=
nJ-1(B;), f
-1
(A -B)= f-1(A)
-
f
-1
(B);hencef
-1(Ac) = [f-1(A)Y
.
If W is a class of sets, f
-1
(8) means the collection of sets f-1(B),B E 8.
Iff: -- . f is increasing if x < y implies f(x) : f(y); decreasing if
x < y implies f(x) ::f(y). Thus, "increasing" and "decreasing" do not have
the stict connotation. If fn: Q-- ", n = 1, 2, ... , the fn are said to form
an increasing sequence if fn(w) : fn+l(w) for all n and w; a decreasing
sequence is defned similarly.
set theory only needs cardinality
Key relationships: field and sigma-field; finite additivity and infinite additivity; finiteness and
boundedness
by definition.
Limit as a real number here
Major assumption here!
The common discrete
probability measure.
Because
R itself is
separable.
Why?
Borel(R_b
ar)
restricted
to R is
Borel(R),
see 1.2.2
what if such A
does not exist?
Key
insights
Excercise 1.1 is
an example.
why
countable additivity
only need
nonnegativity, the
finiteness is not
used here!!
probability measure
still do not need finiteness
unique?
Here is a
definition!
should be V
existence does not
mean integrable
all
implied
by
Thm1.5.8
s>=0 and by continuity from below
do we need fg well defined?
Need to assume here!!
page 6
sup
exists!
by definition of lambda^+ and

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