Summary of Stat 581/582
Text: A Probability Path by Sidney Resnick
Taught by Dr. Peter Olofsson
Chapter 1: Sets and Events
 1.2 : Basic Set Theory
SET THEORY
The sample space, , is the set of all possible outcomes of an experiment.
e.g. if you roll a die, the possible outcomes are ={1,2,3,4,5,6}.
A set is finite/infinitely countable if it has finitely many points.
A set is countable/denumerable if there exists a bijection (i.e. 1-1 mapping) to the natural
numbers, N={1,2,3,…}
e.g. odd numbers, integers, rational numbers (Q = {m/n} where m and are integers)
The opposite of countable is uncountable.
e.g.  = real numbers, any interval (a,b)
If you take any two points in a set and there are infinitely many points between them, then the set
is considered to be dense.
e.g. Q, 
Note: A set can be dense and be countable OR uncountable.
The power set of  is the class of all subsets of , denoted 2 (or P[]). (i.e. if  has “n”
elements, P[] has 2n elements.)
Note: if  is infinite and countable, then P[] is uncountable.
SET OPERATIONS
 Complement:  C     :   
       :    or    or both
 Union:

Intersection:
       :    and   
SET LAWS
 Associativity:     C      C 


 Distributivity:      t       t 
 tT  tT
c


 De Morgan’s:    t     tc
tT
 tT 
* The opposite is true for all of the above.
 
 1.3 : Limits of Sets







inf
k   k
kn
k n

sup
k   k
kn
k n

 
inf
 k    k ={    :    n for all but finitely many n}
n 1 k  n
n 1 k  n
o {An occurs eventually}

 
sup
lim sup n  n  
 k    k ={    :    n for infinitely many n}
n 1 k  n
n 1 k  n
o {An occurs infinitely often}
lim inf n  n  lim sup n  n
lim inf n  n  
lim inf n  n c  lim sup n cn
(and vice versa)
If liminf = limsup = An, then the limit exists and is An.
 1.5 : Set Operations and Closure
A is called a field or algebra if:
1.   A
2.   A   c  A
3. ,   A      A
A field is closed under complements, finite unions, and intersections.
 is called a -field or -algebra if:
1.   
2.      c  

3. 1 ,  2 ,...    i  
i 1
A -field is closed under complements, countable unions, and intersections.
Note:  ,  is the smallest possible -field and 2  is the largest possible -field.
The sets in a -field are called measurable and the space ,   is called a measurable space.
 1.6 : The -field Generated by a Given Class C
Corollary: The intersection of -fields is a -field.
Let C be a collection of subsets of . The -field generated by C, denoted C is a -field
satisfying:
a) C  C
b) If B’ is some other -field containing C, then B’  C
C is also known as the minimal -field.
Chapter 2: Probability Spaces
2.1: Basic Definitions and Properties
Fatou’s Lemma (probabilities):
lim sup
 lim inf
 lim inf
 lim sup


 n  
 n  
 n   
 n 
n
n    n  
n 

A function F :   0,1 satisfying
(1) F is right continuous
(2) F is monotone non-decreasing
(3) F has limits at  
is called a probability distribution function.
2.2: More on Closure
P is a -system if it is closed under finite intersections. That is, ,   P      P.
A class of subsets L of  that satisfies
(1)   L
(2)   L   c  L
(3) n  m,  n   m  ,  n  L  n  n  L
is called a -system.
Dynkin’s Theorem:
(a) If P is a -system and L is a -system such that P  L, then (P)  L.
(b) If P is a -system, (P)=L(P). That is, the minimal -field over P equals the minimal system over P.
Proposition 2.2.4: If a class C is both a -system and a-system, then it is a -field.
A class S of subsets  is a semialgebra if the following hold:
,   S
(i)
(ii) S is a p-system
(iii) If   S , then there exist some finite n and disjoint sets C1 ,, Cn , with each
Ci  S   c  i 1 Ci .
n
Chapter 3: Convergence Concepts
3.1: Inverse Maps
Let  and  ' be two spaces and let  :    ' .
  

For a set  '   ' the set  1  '     : ( )   ' is called the inverse map of  ' .
 1  ' is also called the -field generated by  , denoted    .
 
 
Proposition 3.1.1: If  ' is a -field on  ' , then  1  ' is a -field on  .
3.2: Measurable Maps, Random Elements, Induced Probability Measures
A pair set ,   field  (e.g. ,   ) is called a measurable space.
 is a random variable if  : ,     ,  .
 is measurable if  1  '  is a set in     '   ' . (i.e.  1  '    )
Measurable sets are “events”.
Constant functions are always measurable.
Proposition 3.2.2: Let  : 1 , 1    2 ,  2  and  :  2 ,  2    3 ,  3  be two measurable
maps. Then        ( )  : 1 , 1    3 ,  3  is also measurable.
The Borel -field in  k is the class of open (or half-open or closed) rectangles.
 is a random vector  1 ,  2 , are random variables.
Corollary 3.2.2: If  is a random vector and g :  k   is measurable, then g  is a
random variable.
The distribution of X (a.k.a. probability measure induced by X) is denoted      1 .
Chapter 4: Convergence Concepts
4.1: Basic Definitions


Independence events:    i     i  for all I in {1,2,…,n}.
 iI  iI
Independent classes: Classes C i are independent if for any choice  i  Ci , i=1,…,n, the events
1 ,,  n are independent.
Theorem 4.1.1: If C1 ,, C n are independent  -systems, then  C1 ,,  C n  are independent.
4.2: Independent Random Variables
Independent random variables: Random variables are independent if their -fields are
independent.
Corollary 4.2.2: The discrete random variables 1 ,,  k with countable range R are
k
independent iff  i  xi , i  1, , k     i  xi  for all xi  R, i=1,…,k.
i 1
4.5: Independence, Zero-One Laws, Borel-Cantelli Lemma
Borel-Cantelli Lemma I: Let {An} be any sequence of events such that
     (i.e.
n
n
converges), then P(An i.o.) = 0.
Borel-Cantelli Lemma II: If A1,…, An are independent events such that
    
n
(i.e.
n
diverges), then P(An i.o.) = 1.
A property that holds with probability = 1 is said to hold almost surely (a.s.).
NOTE:
1

n

n
is divergent
1
2
is convergent
Let  n  be a sequence of random variables and define Fn    n1 ,  n 2 , , n=1,2,…
The tail -field,  , is    Fn . Events in  are called tail events. A tail event is NOT
n
affected by changing the values of finitely many Xn.
A -field all of whose events have probabilities equal to 0 or 1 are called almost trivial (a.t.).
Kolmogorov’s 0-1 Law: If  n  are independent random variables with tail -field  , then
       0 or 1 . (This, in turn, implies that the tail -field is a.t.).

Note: if we assume iid, then more events have the “0-1” property.
Lemma 4.5.1: If g is an a.t. -field and X is measurable w.r.t g, this implies that X is constant
a.s.
An event is called symmetric if its occurrence is not affected by any permutation of finitely many
Xk.
Notes:


Tail events are not affected by the VALUES and symmetric events are not affected by
the ORDER!
All tail events are symmetric (converse is false)
Hewitt-Savage 0-1 Law: If  n  are iid, then all symmetric events have probability 0 or 1.
Chapter 5: Integration and Expectation
5.1: Preparation for Integration
n
A simple function is a random variable of the form    ai  i where
i 1
ai  ,  i   , i  1,2,, n and 1 ,,  n form a partition of  .
Properties of Simple Functions:
n
1. If X is simple, then      ai  i , where  is constant.
i 1
2. If X,Y are simple, then      (ai  b j ) i  j .
i, j
3. If X,Y are simple, then    (ai b j ) i  j .
i, j
4. If X,Y are simple, then Min ( ,  )   Min (ai , b j ) i  j or
i, j
Max ( ,  )   Max (ai , b j ) i  j .
i, j
Theorem 5.1.1 - Measurability Theorem: Let X be a nonnegative random variable. Then there
exists a sequence of simple functions {Xn}  0   n   .
5.2: Expectation and Integration
Expectation of X with respect to P: Let X be a simple function, then
n
n
i 1
i 1
n
     d   ai   i d   ai  d   ai  i  .
Note:      .
i
i 1
Steps to show expectation:
1. Indicators: Let            
n
2. Simple Functions: Let    ai  i
i 1
3. Nonnegative Random Variables: Suppose   0 , Xn a sequence of simple functions and
0  n   .
4. General Functions:       
If  n   and m   , then E(X) is well-defined if
lim
lim
 n  
m  .
n
m
X is integrable if E[|X|]<  , where |X| =      . Therefore X is integrable 
    ,      (then E[X] will be finite).
 
 
Monotone Convergence Theorem (for expectation): 0   n     n     or
lim
 lim


  n  
  n  .
n


n




Inequalities:
(a) Modulus:
     .
  
(b) Markov:
Suppose   L1 . For any >0,      
(c) Chebychev:
Assume    , Var    .         

.
Var  
2
.
(d) Triangle:
1   2  1   2
(e) Weak Law of Large Numbers (WLLN): The sample average of an iid sequence
approximates the mean. Let  n , n  1 be iid with finite mean and variance and suppose
 n

i



lim
i 1
2


     0.
 n    and Var(X)= is finite. Then for any   0,
n  n





5.3: Limits and Integrals
Monotone Convergence Theorem (for series): If  j  0 are nonnegative random variables for

 
n  1, then   j      j . (i.e. the expectation and infinite sum can be interchanged)
 j 1  j 1
 
Fatou’s Lemma (expectations):
lim sup
 lim inf
 lim inf
 lim sup


 n  
 n  
 n   
 n 
n
n    n  
n 

Dominated Convergence Theorem (for expectations): If  n   and there exists a
dominating random variable   L1   n  , then  n    and   n    0 .
# NOT IN BOOK – General Measure and Integration Theory #
A function  :    is called a measure if
(i)   0
(ii)     0


(iii) 1 ,  2 ,  disjoint      i      i 
 i
 i
PPN:  n      n     

If    C n where C n  C and  C n     n, then  is called -finite on the class C .
n 1
THM: If on asystem P and are -finite on P, then on (P).
THM: A -finite measure on a semialgebra S, has a unique extension to (P).
5.5: Densities
Let X be a random variable. If there exists a function f      f x dx for all Borel sets

B, then f is called the density of X.
THM: If f exists, then  g  x    g ( x) f ( x)dx .
Note: dF(x) = f(x)dx

LEMMA: If 
fd   gd      f  g   a.e.

5.6: The Riemann vs. Lebesgue Integral
Lebesgue Measure ():
 (singleton) = 0
 (interval) = length of interval
Steps to show integration:
1. Indicators: Let f    


fd     d   d   


n
2. Simple Functions: Let f   ai  i
i 1
3. Nonnegative Random Variables: Suppose f  0 , f n simple and 0  f n  f . Define
 fd  lim  f
n
n
d .
4. General Functions: f  f   f

and define
(4) DNE if “    ”.
 fd   f

d   f  d
Types of Integration:
 Riemann – approximate area under a curve via rectangles
 Lebesgue – approximates via a measure. This is the limit of simple functions.
Note: Riemann divides the domain and Lebesgue divides the range of a function.
THM: If Riemann exists, then Lebesgue integral exists. The converse is not necessarily true.
A property which holds everywhere except on a set A with (A)=0 is said to hold -almost
everywhere (-a.e.).
THM: g is Riemann Integrable  g is continuous a.e.
Fatou’s Lemma (integrals):
lim inf
lim sup
 lim inf

 lim sup 






f
d


f
d


f
d


n
n
n
  n    n   
  n   f n d
n
Dominated Convergence Theorem (for integrals): Let f , f 1 , f 2 ,  be a sequence of
functions  f n  f . If there exists a function g  f  g  n and
f
n
 gd   , then
d   fd .
Monotone Convergence Theorem (for integrals): Let f , f 1 , f 2 ,  be a sequence of
nonnegative functions  f n  f , n   . Then
f
n
d   fd .
Identity: lim sup n  f n    lim inf n  f n 
5.7: Product Spaces
1  2  1 , 2  : 1  1 , 2  2  is called the product space.
If   1 and    2 then the set     1 , 2  : 1  ,  2   is called a (measurable)
rectangle.
The -field generated by the rectangles is called the product -field, denoted 1   2 .
For C  1   2 we define the sections as C x  y : x, y   C and C y  x : x, y   C .

Sections (of functions and sets) are measurable.
Define measures  1 ,  2 on 1  2 , 1   2  :




 1 C     C x d x 
1
 2 C     C y d  y 
2
Both measures equal    , when C     .
If  are probability measures, then  1 ,  2 are probability measures.
THM: If  are -finite, then there exists a unique measure on 1   2 such that
         .
NOTE:     
5.9: Fubini’s Theorem
 g  d exists, then
g  d        g  d  d    



Fubini’s Theorem: If
 g  d  
1  2
1
2
2
1
g  d  d .

Special Cases when Theorem Holds:
1. g  0 (Tonelli’s Theorem)
2.
 g  d   (i.e. g integrable) (often called Fubini’s Theorem)
Chapter 6: Convergence Concepts
Suppose (,F,P) is a probability space, then X : (, F )  (, B) is a random variable.
The distribution of X is denoted P  X 1  PX
If  is a measure on (,F), then   f 1 is the induced measure on (,G).
Almost Sure


P( X n  X )  1  X n  X a.s.

 P( | X
n 1

n
 X |  )     0  X n  X a.s.
PPN: X n  X a.s. & Yn  Y  X n  Yn  X  Y (this holds for Lp and therefore in
probability and in distribution.
In Probability



P
P(| X n  X |  ) n
 0   0  X n 

X
THM 6.3.1(b): Convergence in probability can be characterized by convergence a.s of
subsequences:
P
Xn 

X  Each X nk has a further subsequence X nk i   X nk i   X a.s.
 



COR 6.3.1
X n  X a.s. & g continuous  g  X n   g  X  a.s.
P
P
Xn 

X & g continuous  g  X n  

gX 


COR 6.3.2: Version of DCT
X n  X a.s., | X n | Y & EY     EX n   EX 
P
P
PPN: X n 

X & Xn 

Y  P X  Y   1 , therefore cannot have different
limits in probability. Same holds for a.s and Lp.
In Lp



LP
X
Let p>0. E | X n  X | P  0  X n 

LP
LP
PPN: X n 
X , g continuous & bounded  g  X n  
gX 

LP
Lr
X , for some p and r<p, then X n 
X.
PPN: If X n 
In Distribution

Let X (X1, X2, …) with distribution function F (F1, F2, …) where F(x)=P(X  x),
d

X.
F1(x)=P(X1  x), etc… Fn x   F x  x, F continuous  X n 
Relationships between types of convergence:

P
X n  X a.s.  X n 

X

LP
P
X n 
X  Xn 

X

P
d
Xn 

X  Xn 

X
Inequalities

Chebyshev’s: P| Y |   

Holder’s:


E | Y |P

P
 for any p>0 & >0.

1 1
p
  1 , then E| XY |  E | X |
p q
Special case of Holder’s is when p=q=2 (i.e. Cauchy-Schwartz).
If p>1, q>1, &

E | X  Y |p
Minkowski’s: For p  >1,
For p=1, this is the Triangle Inequality.

1
p

 E | X |p

1
p

 E | Y |p

1

p
1
p

 E | Y |q
.

1
q
.
Chapter 7: Law of Large Numbers & Sums of Independent Variables
n
Weak Law of Large Numbers (WLLN) - THM 7.2.1: (where bn=n & Sn   X j )
j 1

n


Let X1, X2, … independent & an   E X j ;| X j | n , then if
j 1
 P| X
n
(1)
j 1

| n  n
 0


1 n

E X 2j ;| X j | n n
 0
2 
n k 1
S  an P

 0 .
 n
n
Let X1, X2, … i.i.d. & an  n  E X j ; | X j | n , then if
(2)

j

(1) n  P| X j | nn
0




1
n
E X 2j ; | X j | n 
 0
n
S  an P

 0 .
 n
n
(2)
LEMMA:
S n  an P
a
S
P

 0 & n  a  n 

a
n
n
n
Kolmogorov’s Convergence Criterion – THM 7.3.3:

Let X1, X2, … independent. If

 
Var X j  , then
j 1

 The convergence of

 X j is determined by
j 1

 X
j 1
j
 
 E X j  converges a.s.
 EX .

j 1
j
Kronecker’s Lemma – 7.4.1:

Let {Xk} and {bn} be sequences of real numbers  bn   . If
1 n

X j n
 0 .

bn j 1

COR 7.4.1:
Suppose E X n2   n .
 

Xj
b
j 1
j
converges, then
bn   &


j 1
  
Var X j
b
2
j

Sn  ESn 
 0 a.s.
bn
Kolmogorov’s Strong Law of Large Numbers (SLLN) – THM 7.5.1:

Let X1, X2, … i.i.d. with finite mean m (i.e. E| X1 |   ).
S
Then n   a.s.
n
Chapter 8: Convergence in Distribution
CDF of a random variable is defined as F(x) = P[X  x].
F is a possible cdf iff:
1. 0  F x  1
2. F is nondecreasing
3. F is right-continuous
If F    0 and F   1 we call F proper (or non-defective). It is assumed that all cdf’s are
proper.
d

 if Fn  x   F  x  x where F is continuous.
Convergence in Distribution:  n 
w

F x  .
This is also called weak convergence and can be denoted Fn  x  
Lemma 8.1.1: If two cdf’s agree on a dense set, then they agree everywhere.
A dense set has no gaps.
LEMMA: A cdf has at most countably many discontinuities.
w

F , then F is unique.
PPN: If Fn 
d

 . Then there exists a random variable
Skorohod’s Theorem: Suppose  n 
 #  1# ,  #2 , on the probability space 0,1, Borel , Lebesgue    #  ,  #n   n , n  1,2,
d
d
and  #n   # a.s.
d
d

 and g continuous, then g  n  

g   .
Continuous Mapping Theorem: If  n 
Theorem 8.4.1:  n    h n   h  for all bounded and continuous functions h.
Chapter 9: Characteristic Functions and the Central Limit Theorem
 
Moment Generating Function: t    e t
 
Characteristic Function: t    e it  cost   isin t  ; t  
 Maps from the Real Numbers to the Complex Plane
 Chf always exists, whereas mgf does not.
Properties of CHF:
 0  1
 ,  independent          

 ' 0  i
o In Generality:
 
 n  0  i n   n
Theorem 9.5.1:  uniquely determines the distribution of X.
d

   n t     t  t .
Theorem 9.5.2:  n 
The chf of a standard normal distribution is
  t   e
Theorem 9.7.1 (Central Limit Theorem, iid case):
Let 1 ,  2 , be iid with mean  and  2   .
n
Let S n    k and let  ~ 0,1 .
k 1
Then
S n  n
 n
d


.
[PROOF IS SHOWN ON NEXT PAGE]
t2
2
Proof of CLT (iid case)
Suppose  =0 and  2  1 .
Sn
Let  be the chf of Xk and  n be the chf of
 it Sn
Then  n t    e

n
 it  k

   e



n
 indep n  it  k
 
 e


k 1 

n
.
   t
 .
   

n 
  
n
n
n

   t 2 2 .
Want to show that   t

e
n 
 

 k k 
By Taylor’s Formula:    
 0 (assume after k=2, all functions are negligible. i.e.
k 0 k!
converge to 0 as n goes to infinity)
2
  0  t  1 0  t  2  0
With   t
,  t

n
n
2n

n
 0 =1

 1 0  i = 0 (since we ‘supposed’  = 0)
  2  0  1
2
  1 t
  t

n
2n

n
2
2
t

   1  t  n

2
 n t     t


.

e


n

 
 2n 
S
d
 n 

.
n
n
Delta Method
Let 1 ,  2 , be iid. By CLT with  


S n S n  n 
,
n
 n
 d

n 
   . Hence,


for large n,  ~   ,  n .
 This method is used to make inferences about .
2
PPN: If g '    0, then
 


 g   g    d
2
'

.




n 



g

~

g

,


g

'





g



The  k are said to satisfy the Lindeberg condition if
 
1
Sn
 
n
k 1
2
k



;  k  tSn n
 0,  t  0 .
Theorem 9.8.1 (Lindeberg-Feller CLT):
n
 n

Let s n    k2  Var   k   Var S n  . Then the Lindeberg condition implies
k 1
 k 1

Sn d

 0,1 .
sn
  
n
Liapunov condition: For some   0 ,
PPN: Liapunov  Lindeberg
n
Important relationship:
 k ~ log n 
k 1
1
k 1
2 
k
S n2

 0.
Chapter 10: Martingales
10.1: Prelude to Conditional Expectation: The Radon-Nikodym Theorem
DFN: If (B)=0  (B)=0, then  is absolutely continuous with respect to  (i.e.  <<).
Radon-Nikodym Theorem – THM 10.1.2:

If  << &  is -finite, then  a measurable function
f :      B    f d B  Borel .
B
d
.
d

R-N Derivative: f 

Chain Rule: If  <<, then  &
d d d
.


d d d
10.2: Definition of Conditional Expectation
Conditional Probability:

Let , ,  be a probability space & let g   be a sub--field of B.
Take A  .  a unique random variable z 
(1) z is measurable with respect to g
(2)  A  G    z d G  g.
G

 A  B 

 Discrete   A | B   B 

In general: 
Continuous  f x | y   f  x, y 

f y
Conditional Expectation:

Let z=E[X|g] be the conditional expectation of X with respect to g. Then it must fulfill
the following:
(1) z is measurable with respect to g
(2)  X d   z d G  g.
G

G
Generally:
o If X is g-measurable, then E[X|g]=X.
o If X is independent of g, then E[X|g]=E[X].
f  x, Y 
dx
o EX | Y    x  f x, Y  dx   x 
f Y 
10.3: Properties of Conditional Expectation
1. Linearity: If ,   L1 and  ,    , we have     G      G      G .
a. s .
2. If   G ;   L1 , then  G    .
a.s.
3.   ,   
4. Monotonicity: If   0 and   L1 , then  G   0 a.s.
5. Modulus Inequality: If   L1 , then  G     G  .
6. Monotone Convergence Theorem: If   L1 , 0   n   , then  n G    G .
7. Monotone Convergence implies the Fatou Lemma:
 lim inf
 lim inf
 n G  
 n G 
a. 
n  
 n
 lim sup
 lim sup
 n G  
 n G 
b. 
n 
 n
8. Fatou implies Dominated Convergence: If  n  L1 ,  n    L1 and  n    , then
 lim
 a.s. lim

 n G  
 n G 
n  
 n
9. Product Rule: Let X,Y be random variables satisfying X, YX  L1 . If   G , then
 G      G  .
a. s .
10. Smoothing: If G1  G2   , then for   L1 ,
a.  G2 G1    G1 
b.  G1 G2    G1 

NOTE: The smallest -field always wins.
10.4: Martingales
Martingales:




DFN: {Sn} is called a martingale with respect to {Bn} if
(a) Sn is measurable with respect to Bn  n
(b) E[Sn+1 | Bn] = Sn
If (b) is “  ”, then it is a supermartingale. If “  ”, then it is a submartingale.
o Submartingales tend to increase
o Supermartingales tend to decrease
If {Sn} is a martingale, then E[Sn+k | Bn] = Sn  k=1,2,…
If {Sn} is a martingale, then E[Sn] = constant
10.5: Martingales
10.6: Connections between Martingales and Submartingales
Any submartingale  n ,  n , n  0 can be written in a unique way as the sum of a martingale
 n ,  n , n  0 and an increasing process  n , n  0. i.e.  n   n   n
10.7: Stopping Times
A mapping  :   0,1,2,,  is a stopping time if   n   n , n    0,1,2, .
To understand this concept, consider a sequence of gambles. Then  is the rule for when to stop
and  n is the information accumulated up to time n. You decide whether or not to stop after the
nth gamble based on information available up to and including the nth gamble.
Optional Stopping Theorem: If Sn is a martingale and 1   2   3   are well-behaved
stopping times, then the sequence S1 , S 2 , S3 , is a martingale with respect to
1 ,  2 , 3 ,  .
Consequences:
  S1   S 2   S3  
     

If we let 1  0 and  2   , then S 0   S  .
 is a well-behaved if:
(a)     1
 
 S ;  n 
 0
(b)  S  
(c)

n
10.9: Examples
Gambler’s Ruin
Basic concept: Imagine you initially have K dollars and you place $1 bet. You continue to bet
$1 after each win/loss. Playing this “game” called Gambler’s ruin, the ultimate question is, will
you hit $0 or $N first?
Formally written, suppose  n  are iid Bernoulli random variables (i.e. win/lose $1) satisfying
n
1
, and let  0  j0 (i.e. initial balance),  n    i  j 0 , n  1 (i.e. balance after
2
i 1
th
n bet). This is a simple random walk starting at j0 . Assume 0  j0   . Will the random
walk hit 0 or N first?
 n  1 
j0

 0, with probabilit y p  1  
  
j
, with probabilit y 1  p  0


Branching Process
Basic concept: Consider a population of individuals who reproduce independently. Let X be a
random variable with offspring distribution p k    k , k  0,1,2, and let m = E[X]. Start
with one individual (easiest to think of a single-celled organism) who has children according to
the offspring distribution. The children then have children of their own, independently, based on
the same distribution. Let  n be the number of individuals in the nth generation  0  1 . The
process  n  is called a simple branching process or Galton-Watson process.
 n 1
NOTE:  n    k , where  k are the number of children of the kth individual in generation
k 1
(n-1).  k are iid.
 n   m n  
n

 0, m  1
extinction

Hence  n     1, m  1  stagnation
  , m `
growth



Extinction:       n  0  lim n  n  0
 n


Let p k    k , k  0,1,2, . The function  s    s k p k , is called the probability
k 0
generating function (pgf) of X.
Let q = P(E), then you can solve for q via the equation s  s  .
subcritica l 
 m  1     1


 m  1     1  critical 
m  1     0 sup ercritical 


 
Useful identity: Let   0 with mean  and   2   (finite 2nd moment). Then
  0 

2
 .
 2
THM: Let Wn 
actual population size
n

 nn 
. Then Wn  is a martingale with
 n  m
exp ected population size
respect to the -field  n    0 ,,  n  .
 P(W=0) is either 1 or q.
 If variance is finite, then P(W=0)=q.
COR: There exists an integrable random variable W such that Wn  W a.s.
L2
S.
PPN: In a martingale, if 2nd moments are bounded, then S n 
10.10: Martingale and Submartingale Convergence
     , then there exists an
Doob’s Theorem: If S n  is a submartingale such that sup n  S n
integrable random variable S such that S n  S a.s.
PPN: Nonnegative martingales always converge.
