.

. . . .

. .

. . .
1995

RADICALLY ELEMENTARY
PROBABILITY THEORY

BY

EDWARD NELSON

PRINCETON UNIVERSITY PRESS

PRINCETON, NEW JERSEY

1987

 519.2

. :
. . : - - .
1995. 124 .
,
.
,
() .
, ,
. . 12. . 3.

1987 by Princeton University Press

. . , . . 1995 .

All rights reserved. No part of this book may be

reproduced or transmitted in any form or by any
means, electronic or mechanical, including photocopying, recording or by any information storage
and retrieval system, without permission in writing
from the Publisher.

1.
2.
3.
4.
5.
6.
7.
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10.
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25.

. . . . . . . . . . . . . . . . . . . . . . . . vii
. . . . . . . . . . . . . . . . . . . . . . . . . . . . ix
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . x
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12
, . . . . . . . . . . . . . . 17
. . . . . . . . . . . . . . . . . . . . . . . 22
, . . . . . . . . . . . . . . . . . . . . . . 29
. . . . . . . . . . . . . . . . . . . . . . . . . . 35
. . . . . . . . . . . . . . . . . . . . . . . . 39
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 58
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 64
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 69
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 73
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 75
- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 86



. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 96
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 112
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113
. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 116


. ,

.
. ,
.
. , , Dynamical Theories of Brownian Motion, 1967.
, , , . . .
.
. Internal Set Theory. A New Approach
to Nonstandard Analysis, Bull. Amer. Math. Soc., 1977, 83:6, pp. 1165
1198 , .
, , , , , .

.

, ;

iv

( ).
( ). , , ( ) .
, . .
.
( . )
. ,

. -
.
( ).

.
, : ,
,
(, ). ,
, ( , ), ,
.
, , .
. . . , , ,

. ,
,
,
. , .
, . , , , , ,
,

.
.
- , ,
, ,
, .
. , . ( , ) . ,

. , ,
(, )
.
.
.
. -
( ).
, . , 9
Owed to a Martingale
,
.
(. Ode to a Nightingale ). 11 , , (),

vi

he, , (), she. ,

, , Personal Pronoun Pronouncement M. D. Spivak The
Joy of TEX. ( . .
, 1993, . 6668).
. , .
H .
, .
, . , .
. Princeton University Press ,
.
. .
. .


.
, ,
, .
. , ,
, ,
,
, ,
, .

. , , , , ,
.
.
, ,
, .
. , -

viii

. ,
.
, .


,
- .
-, , 1943 .
- , . , 1917 .
, , , .
,
. ,
, .
. . , ,
.
, , , , , .

16 1995 .


, ,

,
.
.
, LATEX.

.

pr ,
P
pr() = 1.
x : R, R . , , x
Ex =

x()pr().

A , A

X
Pr A =
pr().
A

A A ,
, : A () = 1, A, A () = 0, 6 A.
Pr A = EA . Ac
Ac = \ A, , Ac ,
/ A.
R n-
, n . Exy, x y .
Exy = Eyx, , Exy x y Exx > 0 x 6= 0.
, Exy
n- . Ex2
x kxk2 .

R ,
0 .

. ,
, . x 7 Ex
, x 7 x Ex
2
.
Var x = E(x Ex) x, Var x x,
E(x Ex)(y Ey) x y,
E(x Ex)(y Ey)

Var x Var y
x y. , x y
, ,
2
x kxk2 , x kxk2 , x y , x y
.
.
1/p
1 p < kxkp = (E|x|p ) , kxk = max |x()|.
, kxkp kxk , 0 , |x|
,
p

kxkp (|x(0 )| pr(0 ))1/p kxk

p . , kxkp kxk p .
1 < p < p0 ,
p, p0 = p/(p 1),
1
1
+
= 1.
p p0
,
|Exy| kxkp kykp0 .

(1.1)

x y , (1.1) . x x/kxkp y y/kykp0

kxkp = kykp0 = 1. E|x|p = E|y|p = 1,
, |Exy| 1. |Exy| E|xy|, , , |xy| , 0
|x|p |y|p . ,
,
0

|xy|

1 p0
1 p
|x| + 0 |y| .
p
p

.
,

0
1
1
log |x|p + 0 log |y|p = log |xy|,
p
p
.
kxkp = kykp0 = 1, , (1.1)
|Exy| = E|xy|, . .
0
, x y |x|p = |y|p .
0
x = sgn y|y|p /p , Exy = 1. x

kxkp = max |Exy|.

kykp0 =1

(1.2)

(1.2)
kx + zkp kxkp + kzkp .

(1.3)

, 10 = 0 = 1, (1.1), (1.2) (1.3) p, 1 p .

f . ,
X
 X
f
x()pr()
f (x())pr(),
. .

f (Ex) Ef (x).

(1.4)

. f (x) = |x|p , 1 p < ,

p
p
|Ex| E|x| . , r
|x|, kxk1 kxkp , |x| , 1 r < , kxkr kxkrp .
, kxkp p 1 p .
f . > 0
Ef (x) =

f (x())pr()

f (x())pr() Pr{f (x) },

{f (x)}

Pr{f (x) }

Ef (x)
.

(1.5)

( {f (x) } { : f (x()) };
.) , > 0
p > 0 {|x| } = {|x|p p } (1.5)
p

Pr{|x| }
.

E|x|
.
p

(1.6)

R , . A R , . , A ,
, x A y A, x + y A xy A.
A . A
- A , A A. ,
. ,
. A ,
/ A, A x, x(A) 6= x().
x = (x x())/(x(A) x()). x A x (A) = 1, x () = 0.
, A A,
A =

x .

A
/

, A , A. ,
,
, .
, A : f : Rn R x1 , . . . , xn A, f (x1 , . . . , xn ) A.
hi, ji, 1
i, j 6, pr(hi, ji) = 1/36 hi, ji .

. x(hi, ji) = i, y(hi, ji) = j,

z(hi, ji) = i+j. A , z.
A . 2.1. 11 , A2 , . . . , A12 , z
.
A . A
A, A prA ,
A
prA () =

1
pr().
Pr A

, () A
. A
.
, Ex x, , , EA x A,
A x prA . , A ,
,
EA x() =

X
1
x()pr().
Pr A
A

:
E(1 x1 + 2 x2 ) = 1 Ex1 + 2 Ex2 ,

1 , 2 R.

A-:
EA (y1 x1 + y2 x2 ) = y1 EA x1 + y2 EA x2 ,

y1 , y2 A.

6
5
4
3
2
1

r
r
r
r
r
r
@ @ @ @ @
r @r @r @r @r @r
@ @ @ @ @ @
@ @ @ @
r @ r @r @r @r @r
@
@
@
@ @ @
@
r @ r @r @r @r @r
@
@ @
@ @
@ @
@
r
r @r @r @ r @ r
@ @
@ @
@ @
@
r @ r @r @r @ r @ r
@ @ @ @ @
A2 A3 A4 A5 A6
1
2
3
4
5
6

A12
A11
A10
A9
A8
A7

. 2.1.
, . . E = ,
. A, . . EA (y) = y, y A. , , 2
2
, E(x Ex) E(x ) . 2
2
EA (x EA x) EA (x y) y A. ,
B A, EB EA = EB . , EEA = E, E
2
2
, . E(x EA x) E(x y)
y A, EA A.
EA (x) E{x | A}, x , x1 , . . . , xn ,
E{x | x1 , . . . , xn }. . 2.1 E{x | z} =
E{y | z}, E{x | z} = 12 E{z | z} = 12 z.
PrA B B A PrA B = EA B .
,
T
Pr(B A )
PrA B() =
,
Pr A

A A, . , ( ,
) .
:
|EA xy| (EA |x|p )1/p (EA |y|p )1/p .
0

:
f
f (EA x) EA f (x).
:
PrA {f (x) y}

EA f (x)
y

f y > 0 A.
,
p
p
|EA x| EA |x| ,
EEA = E, kEA xkp kxkp , 1 p .
A . at(A)
A. A at(A) prA , at(A)
pr0A (A) = Pr(A)
A at(A). , h, pri hat(A), pr0A i hA, prA i.
. 2.1, 45
. pr0A E0A , Pr0A . , E0A EA x = Ex.
. ,
h1 , pr1 i h2 , pr2 i . 1 2 pr1
pr2 ,
pr1 pr2 (h1 , 2 i) = pr1 (1 )pr2 (2 ).
A1 , , 1 . at(A1 )
{h1 , 2 i : 1 = 1 }, 1
1 .

,
,
, . T , h, pri . ,
T h, pri,
: T R . , ,
. (t, ) (t) (, )
t 7 (t, ). , (t) , (t, ) , (, )
T, .
. RT T R.
pr
pr () = Pr{(t) = (t) t T }
. h , pr i 0
. , T, , , , , = 0 pr = pr0 , . .
.

10

,
. , , t
7 (t), , h , pr i . ,
, , , .
T , , T ,
. , .
x , prx () = Pr{x = }, x .
x = { R : Pr{x = } =
6 0}.
,
Ex =

prx ().

(3.1)

(3.1) hx , prx i. ( (3.1) ,

.)
,
Y
pr () =
pr(t) ((t))
tT

. , T = {1, . . . , }, x0
h, pri. h , pr i,
pr (1 , . . . , ) = pr(1 ) pr( )
, xn ,

xn (1 , . . . , ) = x0 (n ),

1 n ,

.
x0 .

11

A1 , . . . , A ,
.
(. 2.1) A , i , B ,
j , C , i + j . A B
; A C ; B C ; A, B C
. A C,
B C,
A B C .
.

x0
. x1 , . . . , x x0 .
, n (x1 + + xn )/n
0.

. , ,
, .
,
. x1 , . . . , x x1 , x2 , . . . . , . , .
. ()
,
. ()
. , () .
, , , > 0
m, n m
|(x1 + + xn )/n| .

13

, ,
. x1 , . . . , x , . ,
, , , , ,
, . -
, N ,
Pr N , N c .
,
.
,
.
, . ,
. ,
, . ,
, .
, .
N 0, 1, 2, . . . . N , ,
S N, 0
, n S n + 1 S, S = N.
A(n) n n + 2 n m, S = {n N : A(n)} n,
A(n). . ,
,
. ,
S = {n N : A(n)}, A(n) ,
, n .

14

,
, N,
. ,
, .
n .
, ; .
n . x ,
,
, |x| 1/. . (,
.) .
:
(1) 0 ,
(2) n N , n + 1 .
, n N . (
, S N,
n S ,
n .) ,
:
(3) n N.
:
(4) A(0)
n A(n) A(n + 1),
A(n) n.
(4) A(n) , . . , , ,

15

. (, , . . , .
; , ,
.)
, ,
( (4)
A(n) n), ( m
A(n) n + m ) ( m, , A(n) nm ,
).
, ,
. A(n, x) , . n x, A(n, x),
, , x0 , A(0, x0 ), x1 ,
A(1, x1 ), x2 ,
A(2, x2 ), . :
(*5) n x , A(n, x) ,
n 7 xn , n A(n, xn ).
.
6.1. , , (*).
, (2) .
(. 4.1). ,
, ,
N. N ,
. ,

16

.
r r r r r r r r
0 1 2 3

...
...

r r r r r r r r

. 4.1.
, ,
,
.
: ,
, .
. . , ,
.

,

, R.
x , , , |x| 1/
. n, ,
x , |x| 1/n n. : |x| 1/n n N,
x = 0, . . x ; ,
, |x| 1/. , , = 1 . |x| 1/,
, x .
x , |x| n
n N, x .
,
,
, , , .
x y , :
x ' y, x y ;
x . y, x y + ;
x & y, y . x;
x  y, x < y x 6' y;
x  y, y  x.
:

18

,
x ' y x y x y;
x . y x y;
x & y x y;
x  y x y;
x  y x y;
x  0 x .

R R
. < x < x R.
x ' , x , x  (  x)
, x 6' ,  x ( x  ), x 6' .
, |x|  , x ,
|x| ' , x .
', . 
. ' =, . ,  <.
, .
1. x ' 0 , x .
2. x ' 0 , |x|  0.
3. .
4. x 6= 0. x ' 0 ,
1/x .
5. |x| ' , 1/x ' 0.
6. x y , x + y
xy.
7. x y , x + y xy
.
8. x ' 0 |y|  , xy ' 0.
9. x . y y . x , x ' y.
10. x ' y y ' z, x ' z.
11. n N n ,
.
12. n N n
, .
5.1. n xi ' yi ,
i = 1, . . . , n,
n
n
X
X
xi '
yi .
i=1

i=1

,
19
Pn
. , i=1 (xi yi ) ' 0. (7) . 
, ,
n: , , xi = 1/n yi = 0.
x 6= 0 y 6= 0, , x y (: x
y x y ) x/y ' 1.
5.2. 0  |x|, |y|  (. . x y
), x y ,
x ' y.
. 0  |x|, |y|  . ,
x y. x/y = 1 + , ' 0, . . x y = y. (8)
y ' 0, x ' y. , , x ' y,
x y = , ' 0, x/y = 1 + /y. (5) (8) /y ' 0,
, , x y. 
5.3. xi > 0, yi > 0 xi yi , i = 1, . . . , n,
n
X

xi '

i=1

n
X

yi .

i=1

. x > 0 y > 0. x y
, (1 )y x (1 + )y  0.
 0.
(1 )yi xi (1 + )yi .

(1 )

n
X
i=1

yi

n
X
i=1

xi (1 + )

n
X

yi . 

i=1

5.3 , n .
5.2 5.3 , :

, , , ,
.
,
, .
, .

20

5.4. A1 , A2 , A3 , A4 , A5 , ( n x)
n A1 , n N n ;
n A2 , n N n ;
x A3 , x R x ;
x A4 , x R x ;
x A5 , x R x .
. A1
; A2 ,
A1 = N \ A2 ; A3 , A2 =
N\A3 ; A4 , A3 = R\A4 ;
A5 , A4 = {x R : 1/x
A5 }. 
,
. , A(x) , ,
x A(x),

x, A(x),
A5 = {x R : A(x)}. , .
x1 , x2 , . . . ,
xn ' 0 n. xn ' 0
, , , xn ' 0 n. , ,
, ,
xn ' 0 :
5.5. x1 , x2 , . . . , xn ' 0 n.
, xn ' 0
n .
. S m,
|xn | 1/n n m. , ( 5.4),
() . n .
n , , , xn ' 0. n
, | xn | 1/n ' 0, S. , '
xn ' 0 n . 

21

, : xn = 0, n , xn = 1,
n ,
. . , , .

T R.
: a T ,
T b; T 0 = T \ {b}, t T 0 t + dt, : T R
d(t) = (t + dt) (t). : T R (t),
, t T . 0  b a 
dt , T -.

, ,
. , .
, ,
.
T = {1, . . . , }, .
N+ = N \ {0}.
, x1 , . . . , x (-), x, xn ' x n .
, x1 , . . . , x
(-) x. ,
x, y , x ' y.
. 6.1 xn x , n . ,

23

, - x.
xn n  ?  0, n , |xn x| n, n n .
n  , n ' , n 1 ' |xn 1 x|
(. 6.2).
r

. . . . . . . .
0 1 2 3

r r r r r r r r

...
...

. . . . . . . .

. 6.1. -
. T R, : T R. , k
-, T t0 < < tk ,
|(t0 ) (t1 )| , |(t1 ) (t2 )| , . . . , |(tk1 ) (tk )|
( t0 , . . . , tk k -). .
, > 0 k ,
k -.
. , ( : T R)
,  0 k '
k -. , , -,

24

.
: i , xn = 0, n i,
xn = 1, i < n .
r

...
...

. . . . . . . .
0 1 2 3

...
...

r r

. . . .
n

...
...

...
...

x+
r r r r r r r r x
x

. . . . . . . .

. 6.2. -
x1 , . . . , x ,
. , x1 , . . . , x , , (. . 6.2), .
-, . - ( -),

( -).
A(n) , .
,
n, A(n) ,
m ( ), A(m) . ,
.
* 6.1. x1 , . . . , x , ' .
, x1 , . . . , x .

25

. j  . k ,
x1 , . . . , x k 1/j, k '
k  . l, l k, , l + 1 1/j.
l = 0, j = . l > 0,
n0 , . . . , nl , l 1/j.
j = n0 .
' j n j |xn xj | < 1/j.
j 7 j ,
j  . ,
ej = inf lj l . ,
,
ej ,
ej j.
j,
ej . =
, , j
j  . n

|xn x | |xn xj | + |xj x |

2
j

j  , . . xn ' x . , x1 , . . . , x . 
P
, i=1 xi (-), P
yn = n1 xi , n = 1, . . . , , ; ,
P
. ( i=1 xi , , P
.) , i=1 xi , P
x = i=1 xi ( y,
P
x), i=1 xi , P
i=n xi n .

26

,
, , :

i=1

i=1

|xi | 

|xi |

|xi |
i=1

i=1

xi

xi
i=1

xi  i  ,

|xi |

i=1

|xi |  .

i=1

, n,

n1
X

i=n

|xi | 1, -

|xi | (n 1) max |xi |  .

1in1

i=1

, |xi |  i = 1, . . . , , , ,

X
i=1

|xi | 

|xi | .

i=1

: T R. , (-) t, (s) ' (t) s ' t. ,

(-) ( T ), (-)
t T . , T -, a >
0, (t) = 1/t. t
, t  0,
, a  0.
t  0. t , |(s) (t)| s,
|s t| . t ' 0.
t  0. , t ,  0

27

 0 , |(s) (t)| s, |s t| .
T ,  0.
t T t t .
t  0. = mint t .
( , t t T ). , T
,  0  0,
s t |s t|
|(s) (t)| . , - t
, - T
.
. en 
n N. et  t  .
et+h = et + et h t t t + h. , t 
h ' 0, et+h ' et , , t 7 et T ,
b  .
log(t + h) = log t + h/t ' log t
h ' 0 0  t, . . t 7 log t T , a  0.
|x|  n ' .
 2 !


x
x n
x 1 x

' x,
= n log 1 +
log 1 +
=n
n
n
n 2 n
x 0 x,

x n
1+
' ex .
n
n

, n 7 (1 + x/n) , n = 1, . . . , ,
' , x , ex .

ex =

X
xn
x+1
+ ex
,
n!
( + 1)!
n=0

x 0 x. x , ex ,
' , ,
P .
|x|  , ' , n=0 xn /n! ex .

28

,
, : T R
P
tT 0 |d(t)|. , ,
. . , (-)
P
,
S T 0 tS dt ' 0 P

tS |d(t)| ' 0. ,
.
6.2. T -. , .
.
,
P
P
S T 0
dt

|d(t)|
1.
tS
tS
' 0,
 0. , T 0 n = [(b a)/] +
1 S ,
P

|d(t)|
1.
tS
P
|d(t)|

n

.

0
tT

,


,


. , , . h, pri , A()
. , A()
(. .), (. .), h, pri,
 0 N , Pr N ,
A() N c .
A() ,
{A} = { : A()}.
A() . . , Pr{A} ' 1.

, , . , A() , , , A()
. ., :  0,
= 10100 , N,
Pr N , , N , A()
.
7.1. x .
:

30

(i) x ' 0 . .;
(ii) Pr{|x| } ' 0  0;
(iii) ' 0 , Pr{|x| } ' 0.
. , (i),
 0,  0. N , Pr N
x() ' 0 N c . {|x| } N
, , Pr{|x| } .  0 ,
Pr{|x| } ' 0. , (i) (ii).
(ii). , Pr{|x| } ,
 0,
' 0. , (ii) (iii). , (iii)
(i) . 
x, x ' 0
. ., , x = 0
-
0 , 10100 . ,
x1 , . . . , x , . . ,
1/, , , c/,
0  c  , .
xn n- , xn ' 0 . .
n ( xn = 0 . .). max xn ,
. , , ,


c 
1
' ec  1.

x1 , . . . , x , . , x1 , . . . , x (-) x , xn ' x . .
n . , . ,
x1 , . . . , x x . .
N n, . .
.

31

7.2. x1 , . . . , x . x1 , . . . , x 0 . . ,
 0 n
Pr{ max |xi | } ' 0.
ni

(7.1)

.
M (n, ) = { max |xi | }.
ni

, x1 , . . . , x 0 . .,
 0,  0. N, Pr N ,
x1 , . . . , x 0 N c . n ,
M (n, ) N , , , Pr M (n, ) .  0 ,
Pr M (n, ) ' 0.
, , Pr M (n, ) ' 0, n '  0.
 0, j N, j 6= 0, nj
,



1
j.
Pr M nj ,
j
2



1
.
M nj ,
N=
j
j=1

( , M (nj , 1/j)
j , .) Pr N .
, j , nj .
, nj 1 ' 1/j  0,
Pr M



1
nj 1,
j

, , /2j ,
nj . , N c n ' ,
|xn ()| 1/j j  , xn () ' 0.
 0 , x1 , . . . , x 0 . . 

32

, 7.1 (7.1) : n
max |xi | ' 0 . .

ni

7.2
. , T R, t T .
t . . ,
 0 h ' 0
Pr{ max |(s) (t)| } ' 0.

(7.2)

|st|h

. ' n
xn =

max

|(s) (t)|.

|st|1/n

t ,
xn 0 (7.1)
(7.2). 
7.3 ( , ).
A1 , . . . , A , k() k , Ak ,
k() = 0,
P An .
(i) n=1 Pr An ,
P k . .
(ii) An , n=1 Pr An
, k . .
.
(i),  0
S
j , Pr n=j An . j ,

Pr

[
n=j1

An

Pr An ' 0.

n=j1

k() j1 '
k  . .

n=j

An

c

. ,

33

1 e ( ), (ii)
Pr

\
n=i

Acn


 X

(1 Pr An ) exp
Pr An .

n=i

n=i

k  . ., P
i '

1, n=i Pr An ' 0. (i) (ii).

7.4 ( , ).
A1 , . . . , A P
K() n, An .

(i) n=1 Pr An  , K .P. .

(ii) An ,
n=1 Pr An 

K
.
.
.
,
P
Pr
A
'

K . . n
n=1
.
. (i) ,
P

n=1 Pr An = EK, p = 1
Pr{K l} EK/l. EK  ,  0 l  , EK/l , K < l 
, , , , K  . .
(ii), (
An ), EK ' , . . K ' .
p = 2 Pr{|K EK| } VarK/2 .

VarK =

VarAn

E2An = EK.

, Pr{|KEK| } EK/2 . , EK ' ,

= 12 EK. Pr{|K EK| 12 EK} ' 0. ,
|K EK| < 12 EK,
K ' . . 
An , K  . ., K '
. . , k 7.3: An =
n , n = i, i ' , Pr Ai = 12 .
1
1
An ,
P Pr{k = 0} = 2 Pr{k = i} = 2 .

Pr An , .
,
k  , K  ; ,

34

, (i) .

: A1 , A2 , . . . , , ,
K, ,
k .
.
P
, K Pr An ,
k, , P

Pr An . , , , k
. ., , , ,
.

x , a , x(a)
x(a) = x{|xa|} .
, x(a) () = x(), |x()| a, x(a) () = 0.
, x , L1 -, , , x L1 - , E|xx(a) | ' 0
a ' .
X
||prx (),
E|x x(a) | =
||>a

, x
,
X
n 7
||prx (),
||n

n = 1, . . . , , P kxk , , ,
, ||prx () (-). ,
x , E|x|  . ,
1
, : , pr() ' 0, x = pr() {} .
1
(a)
E|x|  , a ' , a < pr() , E|x x | = 1 6' 0.
8.1 ( ).
x , E|x| E|x|M ' 0 M ,
Pr M ' 0.

36

. , x Pr
M ' 0. a ' , a Pr M ' 0 (,
a = 1/ Pr M ).
E|x|M E|x(a) |M + E|x x(a) |M a Pr M + E|x x(a) | ' 0.
, , E|x|  M , , E|x|M ' 0.
a ' M = {|x| > a}. ( p = 1)
Pr M E|x|/a ' 0, E|x|M ' 0, . . E|x x(a) | ' 0. 
, x y
, x + y; x |y| |x|, y ; x , kyk , yx .
8.2 (). x y x ' y . ., Ex ' Ey.
. z = x y. z ' 0 . ., (
7.1) ' 0, Pr{|z| > } ' 0.
|z| |z|{|z|>} + , z , 8.1 ,
E|z| ' 0. , Ex ' Ey. 
1 < p < , x p ( Lp -, x Lp - ), |x|p ( p = 2 ); x ,
x L - , kxk  . x p-, y p0 -,
p0 , p,
|xy|

1 p
1 p0
|x| + 0 |y| ,
p
p

. 1, xy . ,
p
p  1 E|x|  , x ,
'
X
X ||p
1
||prx ()
prx () p1 E|x|p ' 0. 
ap1
a
||>a

||>a

8.3. x p-,
1 p , A .
EA x p-.

37

. p = . 1 p <
, |EA x|p
EA |x|p . ,
p = 1. x . E|EA x|
E|x|  . Pr M ' 0 a = 1/ Pr M.
E|EA x|M E|EA x(a) |M + E|EA (x x(a) )|M
a Pr M + E|x x(a) | ' 0.
8.1 EA x .
8.4. x A
. x
A.
.  0. n N an
,



1
0
(an )
n
Pr A EA |x x
|
n
2
(. Pr0A . 2.) , n  ,
an  . , , EA |x x(a) |
at(A),
E0A EA |x x(a) | = E|x x(a) |.
,


1
nE|x x(a) |
Pr 0A EA |x x(an ) |
n
( /2n ), a ' .
N ,
EA |x x(an ) |

1
n

n. Pr0A N . , N ,

EA |x x(a) | <

1
n

38

n  , a ' , a an n  .
, x .
 0 , . 
, , x . a ' ,
EA |x x(a) | ' 0 , E|x x(a) | ' 0. ,
x A, x . , ,
,
,
.
8.4
(). x
h1 2 , pr1 pr2 i, x1 , h2 , pr2 i
x1 (2 ) = x(1 , 2 ), . . 1 .

, T R. ,
. 6. ,
T = {1, . . . , }, , , T -. , ,
T , ,
.
P : t 7 Pt T
h, pri.
. EPt Et . P-, , P, , T ,
(t) Pt t T . Ps Pt s t,
P-, (s) Pt s t. , T ,
P-, Pt , (s) s t. ,
Pt . Pt t, y , Et y
y, ,
t.
P- , Es (t) = (s) s t, , Es (t) (s) s t, , Es (t) (s) s t. ,
,

40

, t,
, .
, ,
(t) = Et (b)
t. , P x, , (t) = Et x,
.
P-. D, db 2 :
D(t)dt = Et d(t),
b
d(t) = D(t)dt + d(t),
b 2.
2 (t)dt = Et d(t)
, D(t)dt 2 (t)dt d(t). , D 2 P, T 0 , d
b , P- .
d,
, D = 0, , D 0,
, D 0, . (,
D t, .)
, , .

X
X
b
(t) = (s) +
D(r)dr +
d(r),
s t.
(9.1)
sr<t

sr<t

b = 0. Ps Pr s r,
, Er d(r)
b = 0 s r. ,
Es = Es Er s r. , Es d(r)
Es (9.1),
Es (t) = (s) + Es

D(r)dr,

s t.

(9.2)

sr<t

,
D = 0, , D 0, , D 0.

41

D , db = 0, , . ,
, 2 = 0 ,
, d P-.
e =
(t)

D(s)ds,

s<t

e
e = D(t)dt Pt , , e (a)
= 0. d(t)
. , . , Pt ,
e
d(t);
.
,
e
Pt+dt , Pt d(t).

b = (a) +
(t)

X
s<t

b
d(s).

b
b P- d(t),
. Db = 0, b . , . , , b = .

= e + b
P- e
b ,
,
e = 0.
(a)
d(t) Pt , (s)
s t, PD(t) = Et d(t) = Ed(t). , (t) = s<t d(s) d(s)
. ,
. . , ,
d(t) =

dt 12 ,

dt 12 ,

42

, , , dt 1 t,

1 2 dt,
d(t) =
0 1 dt,

1 12 dt.
. r1 r2 , d(r1 ) Pr2 . Er2
Pr2 -, , Er2 d(r1 )d(r2 ) = d(r1 )Er2 d(r2 ) = 0.
Es Er2 = Es s r2 , ,
Es d(r1 )d(r2 ) = 0,
(t) (s) =

r1 6= r2 ,

sr<t d(r)

Es ((t) (s))2 = Es

s max{r1 , r2 }.

s t ,

2 (r)dr,

s t.

sr<t

, ,
X
2
2
kd(r)k2 , s t.
k(t) (s)k2 =
sr<t

P-. P- ,

X
(s)d(s).
(t) =
s<t

(a) = 0 d(t) = (t)d(t), D(t) = (t)D(t) = 0.

, , 2 (t) = (t)2 2 (t).
.
t Et d(t) = 0.
. t
(t). (t)
t. , , .

43

t ,
, t
, E (t) = 0. Owed to a
Martingale.
x , Ex = 0
Var x = 1. x ,
x = +
x, , x, x = (x )/
. , x
(. . = 0),
x
.
: ,

-

.
,

. , D = 0
2 = 1. , ,
. ,
.
, 2 > 0 T 0 . ,
X
b
=
1 (s)d(s),

s<t

q
1 = 1/ 2 b .
,
X
X

(t) = (a) +
D(s)ds +
(s)d(s).
(9.3)
s<t

s<t

, , . , T
q
h0 , pr0 i. 1 (s) = 1/ 2 ,

44

2 (s) > 0, 0 . , ,
=0
, h 0 , pr pr0 i (a)
= 1 (s)d(s)
b + {2 (s)=0} d(s).
d(s)

, (9.3).

 10

.
, , , D 2
e =
. d(t)
D(t)dt dt,

dt. .
,
P
,
|d(t)|. , . , d/dt , t ( , ), . .
(. . )
.

.
,
prT (t) =

dt
ba

hT 0 , prT i . ET .
T ,
, ET |d/dt|  . 8.1
, d/dt hT 0 , prT i.

46

, T , P. T =
{1, . . . , },
(n).
P n
P
10.1. (i)
kd(t)k1  ,
|d(t)|  . .
( , . .
P ).
(ii) T = {1, . . . , }
kdn k , n . .
(iii) d/dt T 0 , . .
.
P
.
(i) c =
kd(t)k1
P
x =
|d(t)|, c = Ex. (i) ,
E|x|  , . . |x|  . .
(ii) 7.2 ,
 0 n <
Pr

1
X

|di |

' 0.

i=n

P1
i=n kdi k1 / ' 0.
(iii) (
8.4). 
(iii)
, , ( 10.4),
, , , b ' (a)
b t.
(t)
10.2. ,
d/dt T 0 . D b
T 0 , , d/dt
= d/dt D
T 0 .
. P 0 y
T 0 , y(t, ) Pt t.
D = EP 0

d
,
dt

8.3 . 

47

. ,
(, ) ,
.
10.3. , - T , , d/dt T 0 . > 0 () , () (a) = (a)
d() (t) = d(t)() Et d(t)() ,
|d() (t)| 2 t .
, . . () (t) ' (t) t.
. 10.1 (iii) . .
, . T -, maxt |d(t)| ' 0 . . 7.1

Pr{max |d(t)| } ' 0.
t

, . .
() (t) = (a) +

d(s)() .

s<t

, () , ,
() (t) ' (t) . . t, , . .
P
|Et d(t)() | ' 0, , .
X
X
E
|Et d(t)() | = E
|Et (d(t) d(t)() )|
( , Et d(t) = 0) , ,


X
X  d  d (/dt) 
()
E
Et |(d(t) d(t) | = E
 dt


 dt
dt


X  d  d (c) 
E

 dt,
 dt

dt

48

c = / max dt.  0, c ' ; d/dt

T 0 , .
, ,
X
E
|Et d(t)() | ,
 0, . 
( 11.1), .
10.4 , - T , ,
d(t)/dt T 0 , b b = (a)
b
. . . (t)
t.
. , , (a) = 0.
b
10.2 10.3 , = ,
, ,
|d(t)| t .

2
kd(t)k2 = Ed(t)2 E|d(t)|,
d(t)/dt T 0 ,
 
X
X  d 
  dt  .
E|d(t)| = E
 dt 

X
X
2
2
2
kd(t)k2
E|d(t)| ' 0.
k(b)k1 k(b)k2 =

7.1 11.1 , . . maxt |(t)| ' 0. 

10.5. , , , E((b) (a))  . b b ' (a)
b
. . . (t)
t.
. , , ,
(a) = 0. = maxt, |d(t)|,
.
X
X
2
2
2
b
b
b 2
k(b)k
kd(t)k
kd(t)k2
1 k(b)k2 =
2
X
X
=
Ed(t)2
Ed(t) = E((b) (a)) |' 0.
b
7.1 11.1 . . maxt |(t)|
' 0. 

 11

.
Nonstandard Oil"
. ) t ,
, . t
1 (t) =

1 (s)d(s),

s<t

1 (s) = 1, , 1 (s) = 0 .
1 (s) 0 1, (r)
r s, 1 (s) P-.
( ) . 9.
, :
= {max((t) (a)) }.

, (b) (a). ,
1 (b) + ((b) (a))c .
)

(11.1)

(bullish investor) , .

50

. 11.1.
, , , ( ). 1 P-,

D1 (t) = 1 (t)D(t) 0,
1 . 1 (a) = 0, ,
E1 (b) 0. (11.1) , > 0,
Pr{max((t) (a)) }

1
k(b) (a)k1 .

(11.2)

, , . ) ,
: , , ,
. t
2 (t) =

2 (s)d(s),

s<t
)

(bearish investor) , .

51

2 (s) = 1 1 (s), , 2 P. 0, ( ), , (b) (a) ,

. .
2 (b) ((b) (a) ) .
(11.3)
, (11.3) ,
(11.1), 1 +2 = (a). , 2
, D2 (t) = 2 (t)D(t) 0. 2 (a) =
0, E2 (b) 0. (11.3), ,
> 0, (11.2) .
, (11.2) , (, , ,
, ).
,
, ,
Pr{max((a) (t)) }

1
k(b) (a)k1 ,

, .
.
11.1. ,
> 0.
Pr{max((t) (a)) }

1
k(b) (a)k1 ,

Pr{max |((t) (a)| }

2
k(b) (a)k1 .

(11.4)

,
, , (11.4).
11.2. (i) , f ,
f .
(ii) , f , f .
. , f , f (Es (t)) Es f ((t)). ,
Es (t) = (s) s t, , f ((s)) Es f ((t))

52

s t, f . , (s) Es (t)
s t. f , f ((s))
f (Es ()) Es f ((t)) s t (
), f . 
, (a) ; (ii)
| (a)| , (11.2) (11.4)
1/ 2/.
R h, pri kx ykp , 1 p .
Lp . p , Lp R , . , x1 , . . . , x
(-) y Lp , (-)Lp -
y, kxn ykp ' 0 n . , T
R, t T , , (-)Lp -
t, (-) t Lp , s ' t
k(s) (t)kp ' 0. ,
() Lp - t.
Lp - ,
,
.
, .
11.3. (i) x1 , . . . , x , L1 . . .
(ii) , L1 - t. . . t.
. 11.1, 7.2 . 
.
11.4. (i) x1 , . . . , x ,
x . x1 , . . . , x L1
, . .
(ii) , (b)
. L1 - t

53

( t L1 ) ,
. . t.
. 8.3
(t) = Et (b) t. (
8.2) . . L1 -
.
11.3. 
, ,
, , (t) . , ,
.
, t ()
, , . . t. 11.4 (ii) ,
, (b) , t

, t L1 - . , , (b)
.
r x4

r r x3

x1
x2
x3

x4

r r r r r r r r
r r r r

r r r r x2
r r r r r r r r x1

r r
r

. 11.2.

54

2 , ' , 2 , xn , n = 1, . . . , ,
, 2n1 2n
, 2n1 2n 0 . ( . 11.2,
= 4 ' .) xn P,
x1 , . . . , xn . n Exn = 0, kxk1 = 1 kxn xm k1 1,
n 6= m. k k , T -,
k . (t) = xn+k ,
t n- T . Lp -,
. . (t) = 0 t, . . t.
, ,
(b) .
> 0. : T M , hM, i
(, L1 R), (-) -
t, ((t)1 , (t)2 ) , t1 ' t t2 ' t; , () - t
t () - . , s ' t, s -
, - t. t -
, t1 t2 , t ,
((t1 ), (t2 )) > . t0 ( t1 , t2 ), t,
((t0 ), (t)) > /2. , t , t -
 0.
11.5. , (b) ,  0.
t1 , . . . , tn ,
, , t - L1 , t ' ti i = 1, . . . , n.
. c, k(b) (b)(c) k1 /4, c ' , , c  . c (t) = Et (b)(c) .
. 9, c .
L1 -, kc (t) (t)k1 /4 t.

55

, n t1 , . . . , tn , , , k(si ) (ri )k1 >

si ri , si ' ri ' ti . , ri < si .
[ri , si ] . kc (si ) c (ri )k1 > /2, kc (si ) c (ri )k2 > /2.
,
n

2 X
2
2
kc (si ) c (ri )k2 kc (b) c (a)k2

4
i=1
2

= kc (b) Ea c (b)k2 kc (b)k2 c2 .

n 4c2 /2  .
. 
* 11.6. ,
(b) .
(i) t1 , . . . , tn ,
, , t
, t ' ti
i,

(ii)
,
ti ,
, , t , t ' ti
i.
. 11.4 (ii) t
, t
(1/k)- L1 k. k . 11.5

Ek = {tk1 , . . . , tknk },
nk  |tki tkj |  0 i 6= j, ,
l < k t, (1/k)- L1 ,
(1/l)- L1 , t
() Ek . k 7 Ek T , k.

56

j,
S Ek k > j,
t1 , . . . , tn kj Ek . t1 , . . . , tn
, (i).
S , j , t1 , . . . , t kj Ek , ti
i > . ti , (ii). 
, (ii) ,
.
11.7. T -.
ti , T
ti i.
. ,
, a = 0 b = 1. x [0, 1] t
T 0 , t x. t x
t + dt, x t T , ,
, ti i.
x [0, 1],
i- ti ; ,
kx ti k 10i i, .
. 
,
. , .
* 11.8. ,
(b) , f : R+ R+ ,
f (h) ' 0 h ' 0.  0
[ri , si ], i = 1, . . . , ,
P

i=1 f (si ri ) [ri , si ].

. > 0 . i N hi , , 1
, f (hi ) /2i , , , hi = 0.
hi  0 f (hi ) /2i i  . ti , 11.6.
= n P(i), ' (ii), ri = ti hi /2,

si = ti + hi /2. i=1 f (si ri ) ,

[ri , si ]. 
, , - T , (b) .

57

f (h) = h. prT (
) t .
, , ,
(b) , (a) = Ea (b) , , (b) (a) . 11.411.8 , (b) (a) , (a).
k(b) (a)k1  .

 12

,
2
Ed(r)2 = dr, k(t) (s)k2 = |t s|. ,
L2 , ,
L1 t. 11.3 (ii) t . . t,
. , . .
t t,
t. , . , t
. t
dt,
Q
tT 0 (1 dt). 5.3
Y
X
X
log (1 dt) =
log(1 dt)
dt = (b a),
log(1 dt) dt.
e(ba) , 1. ,
. .
t.
. 12.1.
, ,
.
: () (), . 12.2.
( . 12.2,b ,
sin x1 .) , . 6,

59

. 12.1.
( ),
. . 12.2,a
, . 12.2,b
.
,
. , ,
.
12.1. , T R.
. . ,
 0 k '
Pr{ k } ' 0.

. , . , , . M (, k)
, k ,
 0. kn ,




1
Pr M
, kn n ,
n
2

60

.
b.
. 12.2.

N=

n=1


1
, kn .
n

Pr N . , kn ,
n, N c .
 0 , . 

,
.
s1 , 1 , ,
t1 ,
2 ( 2 > 1 ). , .
t
3 (t) =

3 (s)d(s),

s<t

3 1, ( , k , sk s, s tk ),
0 . 3 P-.
(2 1 ) , [1 , 2 ]
(. . k, tk ), , sk

61

. 12.3.
tk . (1 (b))+ , x+
max{x, 0}. ,
3 (b) (2 1 ) (1 (b))+ .

(12.1)

, , 0 E3 (b).
(12.1)
(2 1 )E E(1 (b))+ k(b)k1 + |1 |.
.
12.2. , 1 < 2
[1 , 2 ] .
E

k(b)k1 + |1 |
.
2 1

, ,
12.2 . , ,
, , . .
a, (a) 1 . s1
,

62

t1 , ,
, .
t
4 (t) =

4 (s)d(s),

s<t

4 (s) = 1 3 (s). 4 P-.

,
4 (b) ((b) 1 )+ (2 1 ).

(12.2)

, , (a) 1 ,
(a) 2 1 .
,
4 (b) (b) (a) (2 1 ) ((b) 1 )+ (2 1 ).
(a) < 1 = 0 , 4 (b) = 0 (12.2)
. , (a) < 1 , > 0,
2 ,
4 (b) ((b) 2 ) ( 1)(2 1 ) ((b) 1 )+ (2 1 ).
, (12.2) , (12.2)
( 0 E4 (b)).
12.3. ,

k(b) (a)k1  .
. . .
. , ,
. , , (a) = 0.  0
=

2k(b)k1
,

63

 . 11.1
Pr{max |(t)| }

2k(b)k1
.

(12.3)

 0 , n = / . ,
n  . [, ] 2n .
, max |(t)| <
2n + 2k 2, k , 2n.
2- ,
2n ,
1 + k/n .
.
1, ,
k/2n. 12.2


k
2n
n
Pr

E
(k(b)k1 + ).
2n
k
k
2n, , max k(t)k <
2n + 2k 2,
2n2
(k(b)k1 + ) ' 0.
k
(12.3) ,
Pr{ 2n + 2k 2} . .
 0
12.1. 

 13

,

. , .
 0. . . ,
|d(t)| . , ? , d(t) ,
( , , ,
)? , t? ,
-
? ,
, ,

, 0  b a 2
T 0 . , 2 T 0 , 2 (t)
(. 8.4).
,
T R,
X
(t) =
2 (s)ds.
s<t

, , , .

65

. 13.1.
s t, (t) (s) [s, t].
, k(b) (a)k1  . , (,
,
), ,
. j,  0 > 0. s0 = a, s1 ,
|(s1 ) (a)| /4, s2 , s2 > s1 , , |(s2 ) (s1 )| /4, . .
sj
sj+1 , (sj+1 ) (sj ) ,
s, (s + ds) (sj ) > .
. t

X
j (t) =
j (s)d(s),
s<t

j P-, 0 1. (,
(s + ds) = (s) + 2 (s)ds Ps , j P.)

X
2
X
2
kj (b)k2 = E
j (t)d(t) = E
j (t)2 2 (t)dt ' 0,
tT 0

tT 0

66

, . . j (b) ' 0.
12.3 . . ,
. . sj .
max |j (b)| ' 0 . .
j

(13.1)

M (, ) ,
, ,
- . , |(t2 )
(t1 )| |(t4 ) (t3 )| , t1 t2 t3 t4 ,
sj t1 t4 ,
[t1 , t2 ] [t3 , t4 ].
M (, ), (sj+1 ) (sj )
j, ,
max |j (b)| /4.
j

(13.1)  0 ' 0, Pr M (, ) ' 0.

 0 n (
(t) (s)),


1
, n
Pr M
n

.
2n

n  0 n  ,
N=

[
n=1


1
, n ,
n

Pr N . N c  0
-.  0 ,
.
13.1. k(b) (a)k1  . . .  0 -
.

67

, : (t) = ta,

k(b) (a)k1 k(b) (a)k2 = b a,

, k(b) (a)k1  , b a  .
13.1. T 0
d , ,
,
|(t2 ) (t1 )|  0, t t1
t2 , |(t2 ) (t)|  0 |(t) (t1 )|  0. 13.1

. t.
13.1
.
13.2. b a  0,
2 T 0 . . . . , . .
.
. t 7 2 (t) T 0 . , . . (
d (t) dt = 2 (t) b a  ).
, . 
T R : T R.
s T 0 () - , |d(s)| ,
() ,  0 s T 0
- . s , ds ' 0,
t ' s, t . , t
,
, s,
s ' t.
13.3. T
R : T R ,  0
-.
t .

68

s , s ' t, t
, t s, t
, t > s. ,
.
. b a  ,
 0 -.
. t . , t1 t2 , t1 t2 , t ,
|d(t2 )d(t1 )|  0. s
t1 , |(s + ds) (t1 )| /2.
k(s+ds)(t1 )k & |(s)(t1 )| ' 0.
|(s + ds) (s)| & , s (/2)-. , s , s ' t. , ,
ds t2 t1 ' 0, t .
. 
13.113.3 .
13.4. b a  0 ,
2 T 0 . 13.3.
, ( b a  ) , . .
si T , s T
s ,
s = si i.

 14

, (-)
,  0
X
X
E
d(t)2 ' E
d(t)()2 .
(14.1)
(14.1) b a. ,
(14.1) ,
0 < 1.

. x1 , . . . , x , ' ,
0, 0 < Ex2k  , 1 k ,
v
u n
uX
sn = t
Ex2k .
k=1

, s ' . T
s2n /s2 , n = 0, . . . , . T -, a = 0
b = 1. t T , t = s2n /s2 ,
(t) =

n
1 X
xk .
s
k=1

, , x1 , . . . , x .
,  0

1 X (s )2
Exk
' 1.
s2
k=1

(14.2)

70

(14.2) , ,
(14.1) .
14.1. , . . . .
.  0 :
X
X X
0'E
(d(t)2 d(t)()2 ) =
2 prd(t) ()
t

||>

Pr{|d(t)| > } 2 Pr{max |d(t)| > }.

,  0, , Pr{max |d(t)| > } ' 0.  0 7.1 , max |d(t)| ' 0

. . 
14.2. 0  b a, , , 2
T 0 . . . T .
14.1 13.4. 
: T R
X
d(s)2 .
q (t) =
s<t

q . T
-, ,
. Eq (t) =
2
k(t) (a)k2 , , .

, . 12.1. , , ,
. , ,
. 10.3.
14.3. , . > 0 ,
(a) = (a),
d (t) = d(t)() Et d(t)() ,

71

|d (t)| 2 .
, . . (t) ' (t), q (t) ' q (t),
' (t) t.
. (14.1) max |d(t)| ' 0,
7.1 , Pr{max |d(t) } ' 0
. . .
(t) = (a) +

d(s)()

s<t

r
a

r
b

r
a

r
b

. 14.1.
, . . (t) ' (t) t,
,

X 

Et d(t)()  ' 0 . .,
, . Et d(t) = 0,

X
X
E
|Et d(t)() | = E
|Et (d(t) d(t)() )|
X

1 X
E
(d(t)2 d(t)()2 ).

 0,
P .
, E |Et d(t)() | ,
E

Et |d(t) d(t)() |

72

 0 .
P
, (d(t)2 d(t)()2 ) ' 0 . .
d (t)2 d(t)()2
2d(t)() Et d(t)() + (Et d(t)() )2 ,


, 3 Et d(t)()  . , . . q (t) ' q (t) t. ,
, Et , ,
. . (t) ' (t) t. 
14.4. , k(b) (a)k22  . . . q (t) ' (t) t.
. ,
' 0,
|d(t)| t . , q 0.
X
2
2
2
kq (b) (b)k1 kq (b) (b)k2 =
kdq (t) d (t)k2
=

X
X
2
2
kd(t)2 Et d(t)2 k2
kd(t)2 k2 =
Ed(t)4
X
Ed(t)2 = 2 k(b) (a)k22 ' 0.
2

11.1 Pr{max |q (t) (t)| } ' 0  0,

7.1 . . |q (t) (t)| ' 0. 

 15

11.1. ,
(11.3)
0 E((b) (a) ){max((t)(a))} .
Pa ,
E Ea , Pa . ,
(a),
0 Ea ((b) ){max (t)} .
,
Pr{max (t) } E(b){max (t)} k(b)k1 .

(15.1)

.
15.1. . (15.1).
.
= {max (t) }

t = {(t) (s) < s < t}.

t , t Pt .

X
X
k(b)k1 E(b) = E
(b)t = E
Et (b)t

74
=E

t Et (b) E

X
t (t) E
t = Pr ,

(15.1). 
, 11.2 ||p 1 p <
.
{max |(t)| } = {max |(t)|p p }
> 0, 11.1 ,
Pr{max |(t)| }

1
E|(b)|p .
p

(15.2)

max |(t)| Lp -, , (b), (15.2) . ,

k max |(t)| kp p0 k(b)kp ,

(15.3)

1 < p , p0 . 15.1 .
15.2. x y
, > 0
Pr{y }

1
Ex{yx} .

kykp p0 kxkp p, 1 < p .

. 1 < p <
Z
X
p
kykp = Ey p =
p pry () =
p d Pr{y }
0

pp1 Pr{y }d

 Z
=E x

p
0

p2

pp2 Ex{y} d

p
Exy p1 p0 kxkp ky p1 kp0
p1
p1

= p0 kxkp ky p/p kp0 = p0 kxkp kykp

0

p = p . 

 16

.
yn = (x1 + + xn )/n
.
x1 , . . . , x
, P , x1 , . . . , xn , yn =
(x1 + + xn )/n.
dyn =

x1 + + xn
yn
xn+1
x1 + + xn + xn+1

=
+
.
n+1
n
n+1 n+1
(16.1)

xn , ,
En xn+1 = Exn+1 = 0. ,
Dyn =

yn
,
n+1

db
yn =

xn+1
.
n+1

n ' kyn k2 = 1/n ' 0,

, yn ' 0 . . , y1 , . . . , y
0 . .
:
y1 , . . . , y 0 . .
, ,
kDyn k1 kDyn k2 =

1
1
,
n+1 n

76

kDyn k1 . 10.1 (ii)

, yn , . .
X

kdb
yn k2 =

1
,
(n + 1)2

11.3 (i) , yn , . . , yn . ., 0 . .
,
. 4, . ,
, , xn .
16.1. x1 , . . . , x .

P
Ex2i
(i)
i2 , (x1 +
i=1

+ xn )/n 0 . .

P
Ex2i
(ii)
i2  , . . (x1 +
i=1

+ xn )/n .
.
n

yn =

i X
xi ,
n i=1

zn =

n
X
xi
i=1

yn =

1X
n+1
zn ,
zj +
n j=1
n

(16.2)

, xi . , zn , z0 = 0
2

kz k2 =

X
Ex2
i

i=1

i2

 .

11.1 , . . zn n.
(i) 11.3(i) , zn . .,

77

(ii) 12.3 zn . . .
,
.
(I) zn
, yn
0.
(II) zn
, yn .
(I), n ' .
zn ,
n+1
zn ' zn ' z .
n
 0 k ,
|zk z | > ( , k = 0). k  ,
|zj |  , n ' ,
k

1X
zj ' 0.
n j=1


 n

1 X


zj z  < .


n
j=1

 0 , ,
(16.2) z + z = 0, (I).
(II), , zn /n ' 0, n ' ,
zn /n 0 .
.

n+1
1
zn = zn + zn
n
n
.
n

wn =

1X
zj .
n j=1

78

, wn . , 12.3, , wn , 1  2
, wn
[1 , 2 ]. s1 , t1 , s2 , t2 , . . . wn ,
. 12 (. . 12.3).
wn [1 , 2 ] s1
t1 , zj1 j1 s1 t1 , zj1 2 .
,
, zk1 c k1 t1 s2 , zk1 1 ,
. . , zn 1
[1 , 2 ], wn [1 , 2 ].
' , zn
. (II). 
,
(ii), (i). xn = 0, nP
< , x = 12
x = 12 ,
Ex2i /i2 = 1. yn
0 n < , y = 1, 12 .
, (ii) yn n
. , yn n  0. , ,

X
Ex2i
 ,
i2
i=1
6.1 , , ,

X
Ex2
i

i=1

i2

(i) x1 , . . . , x .
16.1 p, ,
p = 2.
16.2. x1 , . . . , x
0  p 2.

P
(i)
E|xi |p /ip , (x1 + +xn )/n
0 . .

i=1


(ii)

i=1

79
E|xi |p /ip  , (x1 + + xn )/n . .

.
. , . . c  , |xn | cn n.P
 0, a =
E|xi |p /ip
c = (a/)1/p . c  , a  p  0.
Pr{|xn | > cn n}

X E|xn |p
(cn)p

Pr{|xn | > cn}

a
= .
cp

 0 , . 
, , . . (i),
. . (ii). ,
, c  (c1)
(cn)
(x1 + + xn )/n . ,
(cn)
, xn ;
(cn)
(cn)
xn En1 xn .


(cn)
X
X 1


xn



En1 xn x(cn)
En1
=
n
1

n
n
1

X1 X
X X ||p
||prxn ()
prxn ()
n
cp1 np
||>cn

||>cn

10.2

1 X E|xn |p
.
np

cp1

X En1 x(cn)
n
n

. . (i), . . (ii)
. . .

80

(I) (II) 16.1 ,

(c1)
E0 x1 + + En1 x(cn)
/n
n
, , ,
En1 x(cn)
x(cn)
n
n ,
. 16.1:
(cn)
2
X E x(cn)
X Ex(cn)2
En1 xn
n
n

n2
n2
X 1 X
=
||2 prxn (),
n2
||cn

p 2,
X 1 X
1 X 1 X
||p
pr
()
=
||p prxn ()

x
n
n2
(cn)p2
cp2
np
||cn

||cn

1 X E|xn |
.
np
.
x1 , . . . , x
p  1. kxn kp ,
(x1 + + xn )/n 0 . .
. , , p 2.
M = max kxn kp . M  , M = kxn kp n. (i) 16.2 . 
, 16.2 p = 1:
10.2, (I) (II), , xn
.
, , p = 1. xn , n = 3, 4, . . . , ,

1
n
12 n log

n,

1
1
1
0
2 2 n log
xn =
n,

1
1
log n 2 .

cp2

81

Exn = 0 kxn k1 = 1/ log n. ,

xn , , kxn k1
n ' .
( 7.4 (ii)) xn = n . . n.
. . yn
yn =

1
x3 + + xn
1
n2
log 3

n, , 0.
, (16.1), , . . yn .
,
,
.
16.3. x x1 , . . . , x
, , x.
(i) x , (x1 + + xn )/n Ex . .
(ii) kxk1  , . . (x1 + + xn )/n
.
. , 16.2, . , , Ex = 0.
, . . c  , |xn | cn
n. ,  0 c = E|x|/
Ek = {ck < |x| c(k + 1)}.
,
Pr{|x| > cn n}

Pr{|xn | > cn}

n=1

X
n=1

Pr{|x| > cn} =

X
X
n=1 k=n

Pr Ek

82

min{,k}
X
X
k=0

Pr Ek

n=1

k Pr Ek

k=0

1X
1
prx () = E|x| = .
c
c

.
, , c  (cn)
(cn)

xn
. , Exn
= Ex(cn) =


(cn)
E xx
,
X

||prx ().

||>cn

, n < m
 (cn)
  (cn)

Exn Ex(cm)
 = Ex
Ex(cm) 
m

||prx ().

cn<||cm
(cn)

, Exn

. , (I)
(cn)
(II), Exn . ( ,
,
.) , (cn)
(cn)
, xn Exn 16.1.
(cn)
(cn)

X
E xn Exn
n2
n=m

2

(cn)2
X
Exn
n2
n=m

X
X
1 X 2
prx () =
2 prx ()
2
n
n=m
||cn

|| m

||

2 prx ()

|| m

nmax{m,||/c}

1
n2

X
X
X
1
1
2
+

pr
()
x
2
n
n2

n=m
||> m

n=||/c

X
1
1
+
2 prx ()
m1
(||/c) 1

||> m

m1

83
X

|| m

||prx () +

||> m

2c||

m/c 2. (i) m '

( , ), (ii) . 
x1 , . . . , x x , .
, x1 , . . . , x x, a  , n = 1, . . . ,
k
Pr{k < |xn | k + 1} a Pr{k < |x| k + 1}.
, , , x1 , . . . , x , x. ,
, x3 , x4 , . . . , x .
x1 , . . . , x
, x. 16.3,
,

 (cn) (cm)



, Exn Exm ,
(ii). ,
.
16.4. x x1 , . . . , x
, x.
x , (x1 + + xn )/n
0 . .
(ii). ' , , / ' , x 1 1 1/ + 1
1/. x ,
kxk1 = 2 2/  , Ex = 0. x01 , . . . , x0 x. . . x0n = 1 n .
x1 , . . . , x , x01 , . . . , x0 , , x01 0,
2! x0n , 3! 0, 4! x0n ,

84

. x1 , . . . , x ,
x, kxk1  ,
. . (x1 + + xn )/n
.
, , , (x1 + + xn )/n
x Ex. 16.3(i), x . ,
kxk1  , 16.3(ii) : ,
. , kxk1  ,
 (a) 
6.1 ( Exn ) a, x(a) .
, , ,
(a)
. . xn = xn n ' , 16.3(i) (x1 + + xn )/n, n , . .
Ex(a) .
, x -, y, x ' y
. .; Ey
x. , z
, z ' x, Ez ' Ey.
, -

.
* 16.5. x . :
(i) x(a) -;
(ii) a ' Pr{|x| > a} ' 0
(a)
E|x |  ;
(iii) a ' Pr{|x| >
a} ' 0 x(a) .
. , 6.1 ,
(ii) (iii). (iii) (i) . , (i). , Pr{|x| > a} ' 0 a ' .
y , x ' y . ., K

85

, E|y|  K  . , E|x(a) | ' a ' . a, E|x(a) | K,

a ' , a  . |x(a) | |x| ' |y|
. ., , |x(a) | ,
, E|x(a) | . E|y| K. . 

x kxk1  x -,
, , .
16.3(i) 16.5.
* 16.6. x -
x1 , . . . , x , ' , ,
, x. , (x1 + +xn )/n,
n = 1, . . . , ,
x.

 17

-
. 3
. -. , -,
, .
, , T
h, pri,
RT . RT ,
F : R, F , .
F , , , F ()
,
F (()).
(, ) = max |(t) (t)|,
tT

(-), (, ) ' 0 ( , (t) ' (t) t) F () ' F ().

, F , |F ()| 
. F ,
, max |F |  .
,
T , , , .
, , EF () = EF () F (

87

; = ). ,
-, EF () ' EF ()
F .
17.1. , h, pri. , P
pr0
|pr() pr0 ()| ' 0.
0
, ,
h, pr0 i. 0 .
. F .
X
|EF () E0 F ( 0 )|
|F (())| |pr() pr0 ()|
max |F |

|pr() pr0 ()| ' 0. 

17.2. , T
. . . (t) ' (t)
t, -.
. F , F ()
F () , F , F () ' F () . .,
EF () ' EF (). 
A ,
. , - .
17.3. , ,
(, ) ' 0, , A()
, A().
- , .
A() . . ,
. . A().
. , , . , A()
. . , . . A().
 0. ,
Pr 1 A() . > 0


+
(, )
.
F () = 1

88

0 F () 1, F .  0,
F . = { : (, ) }. ,

F .
,  0
Pr EF () ' EF () Pr 1 ,
Pr 1 2.  0,
' 0.
' 0 A() .  0 ,
A() . . 
1. - F . F
, F
.
2. - , T R. ,
.
17.4. - F ,
. EF () ' EF ().
. , 1 F  .  0.
1 ,
Pr ( ) 1 Pr ( ) 1, F
. G
: , G() = F (),
/ ,
G() =

min (, )F ()
.
(, )

= ,
(, ) = (, ), 0 ,
(, )F () . 1 G .
, ,
/ ,
1

(, 0 )F (0 )
(, )F ( )
= G()
= F ( ) c.
(, )
(, )

(17.1)

89

, G . , , (1 , 2 ) ' 0. 1 , 2 ,
G(1 ) G(2 ) = F (1 ) F (2 ) ' 0.
/ , (1 , ) ' 0,
(1 , 01 ) ' 0 01 , 1 F . (01 , 1 ) ' 0,
F (01 ) ' F (1 ). (17.1)
1

(1 , 01 )
' 1,
(, )

G(1 ) ' F (1 ). G(2 ) ' F (2 ), G(1 ) '

G(2 ). , (1 , )  0, G(1 ) ' G(2 ),
.
, -, EG() =
EG(). E|F () G()| c E|F () G()| c,  0
, EF () ' EF (). 

 18

, - T (, ,
. 14). ,
(-) , - T . ,
,
, ,
,

.
18.1. , -, (a) = 0. :
(i) ;
(ii) . . t, (b) L2 -
;
(iii) .
, (i) (ii) (iii) (i).
(i). 13.1 t, 2 17.3

91

t. , (b) L2 - .
 2
, || c,
f(c) () =
c2 , || > c,
, y L2 -
,  0 c  ,
Ef(c) (y) Ey 2 . c  , f(c) . F(c) () = f(c) ((b)),
F(c) . w
. , w(b) L2 - ,
, ,
Ew(b)4 = E

X
=3

dw(t)

4

=E

dw(t1 )dw(t2 )dw(t3 )dw(t4 )

Edw(t)2 dw(s)2 +

dw(t)4

t6=s

=3

dtds +

dt2 ' 3(b a)2  .

t6=s

 0 c  , Efc (w(b)) b a ,

Efc ((b)) & b a = E(b)2 .

, (b) L2 - ,
(i) (ii).
, (ii).
(b)2 = 2

(t)d(t) +

d(t)2

.
,

X
X
4E
(t)2 dt = 4
(t a)dt ' 2(b a)2  .

P, P
,
d(t)()2 .  0, . .
d(t)2 =

92

. 18.1.
P

d(t)()2 , . , . , (ii) (iii).

, (iii).
(iii) (i) . tn , 18.1, .

. tn ,
( n) t a, ,
(
. 18.1), .

, (iii) (i) ,
-. , . . (t) ' t a
t. 14.3 17.2
, ' 0 |d(t)|
t .
bb ' T T
b+k

bb
bb
, k = 1, . . . , m,
' 0.
m
m

93

T , (t) = (b) + w(t), w T \ T . , .

, , tn
.
t td t. ,
t,
(t dt) < (t) , (t d t) > (t) .
> 0, > 2 = [(b a)/]. t0 = a, tn n = 1, . . . ,
,

tn1 , kn , kn
, n ( ,
, tn b), . . 18.1.
en , (t1 ),
P
. . . , (tn ). , (tn ) . , A , en .
A P
X
A ((tn+1 ) (tn )) =
(s)d(s),
P-: (s) = 1, A tn s < tn+1 , (s) = 0. ,
EA ((tn+1 ) (tn )) = 0, A,
A Pn ,
EPe ((tn+1 ) (tn )) = 0,
n

.
, 0   . . .


((tn+1 ) (tn ))  2
n < , tn+1
b, b b ' ,  ,  0, ,

. . . , |(tn+1 ) (tn )|
+ 2  n < . (tn+1 ) (tn )
0,

1

Pr ((tn+1 ) (tn ))  2 ' ,
2

94


1

Pr ((tn+1 ) (tn )) +  2 ' .
2

en . P
  0, ,

X 


Pr{|((tn+1 ) (tn )) (1)(n) | 2 n} 1  ' 0,



(18.1)
2
{0, . . . , 1} {0, 1}.
.
, (18.1) (. . , ' 0),
 0, ' 0.
( ) , ' 0, / ' 0
(18.1) .
(t) n, n , , tn t. t T
(t) =

(t)
X

((tn ) (tn1 )) + ((t) (t(t) ))2 .

(18.2)

n=1

d(t) = d(t)2 + 2((t) (t(t) ))d(t),

kd(t)k
kd(t)k t T 0 ,

= + 2( + ) ' 0. ,
X
2 X
X
X


d(t)
Et d(t)
kd(t)k22 ' 0.
kd(t)k22 2

2

11.1 7.1 , . .
X
X
(t) '
Es d(s) =
Es d(s)2 ' (t) ' t a
s<t

s<t

t T . / ' 0, . . (18.2) ' .

(18.2) ' 0, . . (t) ' (t). ,
. .
(t) ' t a

(18.3)

95

t T .
{1, . . . , } {0, 1} pr() = 1/2
. w , T h, pri
w (t) =

(1)(n) .

n(ta)/

(18.1), (18.3) 17.1 17.2 , - w . 0 , , , 0

T , ' 0 0
- w , -
. , , (iii)
(i). 
. .
, -
, .

,
,
;
.
; ,
, , ,
, : ,
. .
(IST), . [1].
. 4 (IST).
(1) (2) , (3) , (4)
. (*5)
, . [2]. , (IST).
-
, ,

97

,
. , , , , , .
0 , T0
h0 , S0 , Pr0 i. - ( 0 ) , T T0 ,
T0 , , h0 , S0 , Pr0 i,
,

X

|(t) 0 (t)| ' 0

(A.1)

tT

, ,
0 Lp , , 1 p , ,
X

k(t) 0 (t)kp ' 0.

(A.2)

tT

, 0 Lp -
p, (A.1)
(A.2). S -,
(t) t T ; S S0 .
, S
. pr
pr() = Pr0 (). h, pri
. , h, pri,
, , 0 ,
h0 , S0 , Pr0 i; .
- ,
0 (t) t T .

98

x n x[n] x
n
X

ak 2k ,

k=n

ak 0 1, x < 0
x[n] = (x)[n] .
A.1. 0 . - 0 .
. T
. > 0 .
P p [1, ] , 0 Lp . P ,
p0 , p0 p
p P .
n ,
X

k0 (t)[n] 0 (t)kp0 .

tT

(t) = 0 (t)[n] t T . (A.2)

p P . , (A.1).
P ,
Nn = {max |0 (t)| 2n }.
tT

n , Pr0 Nn ( ,
Nn ), n
, T , n2n . (t) =
0 (t)[n] t T . |(t) 0 (t)| 2n , (A.1)
, Nn . 
, (t) ,
0 (t). 0 ,

, .
A.2 0 ,
T0 R

99

L1 , . . ,
. -
.
. T
T0 , , (T 0 , dt, a, etc.) . , 0
P0 . n,
Pt , 0 (s)[n] s t, s T ,
Pt P0t .
d(t) = d(0 (t)[n] ) + E{d0 (t) d(0 (t)[n] ) | Pt },
(t) = 0 (a)[n] +

d(s),

t T 0,

t T.

s<t

E{d(t)|Pt } = E{d0 (t)|Pt }.

Pt P0t , , . . 0
, ,
. > 0 , p0 ,
. n ,

X

k(t)[n] 0 (t)kp0 . 

tT

, , - ,
.

,
.
, ,

100

. , ,

.
,
. : 0
,
T0 h0 , S0 , Pr0 i; , T
h, pri, ( . . , 0 ); a b
T , : T 0 = T \ {b}, t T 0
t + dt, f T
df (t) = f (t + dt) f (t) t T 0 ; T0 = N+ = N \ {0},
T {1, . . . , },
. , T0 [a, b],
T - a b.
A.3. 0 L1 . T0 = N+ ,
P
P
(1) n=1 k0 (n)k1 n=1 k(n)k1 (-);
(2) 0 (n) L1 (n) (-) L1 .
t0 T0 T0 R,
(3) 0 t0 L1 t0 L1 .
T0 R,
(4) 0 L1
P
tT kdt (n)k1 .
T0 [a, b],
(5) 0 L1 (T0 0 ) L1 (T 0 ).
(6) 0 L1
d/dt (T 0 ) - 0 .

101

. (1)

k0 (n)k1 (-),

(A.3)

n=1

- . , (1) , ,
,
; (2) (3) .
, (4). K, P

T0 , T , tT 0 kd0 (t)k1 K. (4) . , , (4)
. T
T0 ,
0 T0 ,
(4) .
(5) ,
(n)

(m) 0 m, n .
0
0
1

(A.4)
(n)

0 , (A.4) , k0
(m)
0 k1 ' 0 m, n ' , - ,
(5).

[a,
b]
P |I| , var0 (I)
i k0 (bi )0 (ai )k1 , [ai , bi ] I.
(6) :
I(|I| var0 (I) ).

(A.5)

(A.5) ,
I (|I| ' 0 var0 (I) ' 0).

(A.6)

, (A.6) ) . (A.6)


I st |I| st var0 (I) .
)

. .

102

:
st Ist (|I| var0 (I) ).
,
st stfin 0 I 0 (|I| var0 (I) ),
, 0 ,
(A.5).
I , I T . , (A.6)

good I(|I| ' 0 var0 (I) ' 0).

(A.7)

, (A.6) (A.7). (A.7), ,

st st good I(|I| var0 (I) ).
T [a, b],
,
st st st I(|I| var0 (I) ),
(A.5), , (A.6).
. 
, (A.5) (A.7)
P . I var(I) i k(bi ) (ai )k1 . , (A.7)
good I(|I| ' 0 var(I) ' 0).
, M = I , M
T 0 ,
E

d
M ' 0,
dt

8.1 , d/dt T 0 .

103

,
(6)
0 L(T0 0 ) , t T0
Z t
0 (t, 0 ) = 0 (a, 0 ) +
0 (s, 0 )ds
a

. . 0 0 . , -
0 , , , (5), T 0 0 .
- (a) 0 (a) (. .
-
,
a, 0 (a))
X
(t) = (a) +
(s).
a<st

, - 0 ,
d/dt = T 0 . 
A.4. 0 L1 ,
, T0 R. 0 , k(a)k1  , k(b)k1 
, t 7 k0 (t)k1 . 0 , k(b)k1  , k(a)k1 
, t 7 k0 (t)k1 .
. k0 (t)k1 k(t)k1
t, k(a)k1  . k(b)k1  ,
K, k(t)k1 K t T ,
k0 (t)k1 K + 1 t , , , t. , t 7 k0 (t)k1 ,
K , k0 (b)k1 K
k(b)k1  . ( ) . 

0 , T0 . T0 ,
, . ,

104

0 : . [3]:
T0 , 0 ,
.

0 =

R,

tT0

R R.
0 . S0 - 0 , Pr0
, 0 , h0 , S0 , Pr0 i
0 (t, 0 ) = 0 (t) t T0 0 0 ,
, 0 .
0 , 0 .
,

, .

. ,
D , D
, F 7 F , D.
, , F1 F2 F1 F2 , ,
F1 F2 F1 F2 .
, .
A.5. Pr0
0 . F 7 F 0 G 7 G
0 .
\
Pr0
F = inf Pr0 F ,
(A.8)
F

Pr0

[
G

G = sup Pr0 G .
G

(A.9)

105

. > 0.
S
, G G , ,
[

G \ .
Pr0
G

, {G1 , . . . , Gn } ,
n
[
Gi .
i=1

G0 . G0 ,
[

Pr0
G \ G0 .
G

, (A.9), (A.8) . 
A.6. Pr0
0 . jkF 0 , kjG 0 , j k N, F G
D, j F k G.
\[\
Pr0
jkF = sup inf Pr0 j k(j)F
,
(A.10)

j,F

k N N,
Pr0

[\[
k

kjG = sup inf Pr0 kj G(j)

e ,
e j
k,G

e N D.
G
.
\[\
p = Pr0
jkF
j

(A.11)

106

> 0.
jk Pr0

jkF p ,

k ,
j Pr0

j k(j)F
p .

inf Pr0 j k(j)F
p .

j,F

, (A.10).

\[\
[\
jkF =
j k(j)F
,

j,F
k

.

[\[
kjG
p = Pr0
k

> 0.
kjG Pr0 kjG p ,
e , j
k G
Pr0 kj G(j)
e p .
(A.11),
. 

0 : T0 R . ( 0 ) : - , .

107

, A B, A 0
, B . , A
t0 , B t0 . , 0 ,
. 0 - .
, . . A
0 . . B . , ,
, A, ; .
-. , ,
(. ., , !),
A B
- .
A.7. 0 . T0 = N+ ,
P
P
(1)
n=1 |0 (n)| < . . P n=1 |(n)|  . .,
P

(2) n=1 |0 (n)| < . .

n=1 |(n)| (-) . .
t0 T0 , T0 R,
(3) 0 t0 . . (-) t0 . .
T0 R,
(4) 0 . . (-) . .
(5) 0 . . . .
T0 R,
(6) 0 . . . .
T0
(7) 0 = 0 . . ' 0 . .
. i = 1, . . . , 7 (i)
Ai Bi , Ai , Bi .

108

N 0 , Pr0 N ' 0 N c
X

|0 (t) (t)| ' 0.

tT

, , A1 . .,

( k
)
X
1
jk =
|0 (n)| j ,
n=1

1 =

\[
j

1jk .

Pr0 1 > 0, > 0 , Pr0 1 > . A.6

k , Pr0 1k > ,
1k =

1j k(j)
.

j , k(j)
, ,

|0 (n)| '

n=1

1k , j.

|(n)| '

n=1

N c 1k , Pr0 (N c 1k ) > .
> 0, , B1
. . , B1 . .
A1 . .
A fortiori B2 . . . .
A2 ( A1 ).

109

, A3 . .,
G T0


[
1
3
|0 (s) 0 (t0 )| >
,
kjG =
k
sG
|st0 |1/j

3 =

[\[
k

3
kjG
.

, t0 . , ,
G . , > 0 , Pr0 3 > . A.6
e ,
k G
3
Pr0 > ,
e
kG
\
3 e .
3e =
kG
kj G(j)
j

e
j , G(j)
,
e
, , G(j)
T . 3
e
kG
j s T , |st0 | 1/j
|0 (s) 0 (t0 )| > 1/k,
s T , s ' t0 , , |0 (s) 0 (t0 )| > 1/k. ,
N c 3 t0 , ,
e
kG
B3 . . , B3 . .
A3 . .
, B4 . .
A4 . ., : t0 t.
, B5 . .
A5 . ., . G T0 ,
j t1 < < tj ,
5
kjG
=

j1
[

|0 (ti ) 0 (ti+1 )| >

i=1

5 =

[\[
k

5
kjG

1
k

110

, . , 5 ,
. , B6 . .
A6 . ., .
G T0 G0 G , t G0 t + dt G.
(
)
X
6
kjG
=
|0 (t + dt) 0 (t)| > j ,
tG0

6 =

\[
j

6
kjG
,

, .
, A7 . .
G T0


1
7
,
kG = max |0 (t)| >
tG
k
[[
7
7 =
kG
.
k

> 0 , Pr0 7 > ,

7
7
k G , Pr0 kG
> . G T , kG
T , ,
. . B7 . , B7 . .
A7 . .
.
, A2 . .,
)
(
X
1
,
2jk =
|0 (n)|
j
n=k
\[
2 =
2jk .
j
2

Pr0 = 1. > 0 . A.6 k , Pr0 2k

1 ,
\
2k =
2j k(j)
.

111

2k j

|0 (n)|

1
,
j

|(n)| .

1
.
j

n=k(j)

N c 2k

n=k(j)

k(j)
j,

X
|(n)| ' 0,
n=

n=1 |(n)| -. , B2
. ., A2 . . B2 . .
A fortiori A1 . . B1 . .
, A3 . .,
3jk =



1
|0 (s) 0 (t0 )|
,
j

|st0 |1/k

3 =

\[
j

3jk .

Pr0 3 = 1. > 0 . k , Pr0 3k 1 ,

3k =

3j k(j)
.

N c 3k - t0 , , , A3 . . B3 . .
. 


1. Nelson E. Internal set theory: A new approach to nonstandard
analysis // Bull. Amer. Math. Soc. 1977. V. 83. P. 11651198.
2. Nelson E. The syntax of nonstandard analysis // Ann. Pure and
Appl. Logic. 1988. V. 38.P. 123134
3. Nelson E. Regular probability measures on function space // Ann.
of Math. 1959. V. 69. P. 630643.

(absolutely.
continuous) 28.
(adapted to) 39.
(algebra) 5.
(asymptotic
to) 19.

(associated martingale) 41.

(associated normalized
martingale) 69.
(associated
predictable process) 41.
(atom) 5.
(infinitely
close) 18.
(variation) 28.

(probability distribution) 9.
(probability) 1.
(Wiener
process) 90.
(Wiener
walk) 41.
(external) 14.

(external least number
principle) 24.
(external
induction) 14.
(internal) 14.
(sample path) 9.
(upcrossings) 60.

(Cantors diagonal argument) 56.

(variance) 2.
k - (admits
k -fluctuations) 23.
(limited
variation) 28.
(limited
fluctuation) 23, 25.
(limited) 17.
(limited functional)
86.
(indicator
function) 1.

(infinitesimal) 17.
(canonical
version) 102.
(quadratic
variation) 70.
(covariance) 2.

(finite probability
space) 1.

(correlation coefficient) 2.
(Robinsons
lemma) 20.

(Borel-Cantelli lemmas) 32.

(dominated in distribution) 83.
(martingale) 39.

(expectation) 1.

114
(non-degenerate) 43.
(unlimited) 17.
(independent) 10, 11.

(illegal set formation) 14.
(fixed
point of discontinuity) 53.
(continuous) 26.
t (continuous at t) 26.
t Lp
(continuous at t in Lp ) 52.
(continuous
functional) 86.
(H
olders
inequality) 2.
(Chebyshevs
inequality) 4.
(Minkowskis
inequality) 3.
(Jensens inequality) 4.
(nonstandard) 13.
(disaster) 30.
(normalized) 43.
(normalized martingale)
43.
- (nearly
equivalent) 87.
- (near L1 ) 84.
(near) 22.
- (near interval) 22.
- (nearby
elementary process) 106.
- (nearly
normalized) 92.
(defined over) 9.
(weakly
greater than) 18.
(weakly less than) 18.
(indexed by) 9.
k - (indices
of k -fluctuations) 23.
(overspill) 20.
(total variation) 28.
(. .) (almost
everywhere (a. e.)) 29.

(. .) (almost
surely (a. s.)) 29.
(predictable
process) 41.

(reduced expectation)
84.
(nearly) 2.
(nearly equal) 18.

(sequence principle) 15.

(proper time duration)
65.
(Poisson
walk) 42.
t
Lp (discontinuous at t in Lp ) 52.
(relativization) 6.
(jump) 67.
(random
variable) 1.
(proper time) 64.
(event) 1.
(conjugate
exponent) 2.
(mean) 1.
(truncated) 35.
(standard) 14.
(standard
deviation) 2.
,

(stochastic process) 9.
(submartingale) 39.
(supermartingale) 39.
(converges to) 23.
(converges
in probability) 30.
(convergent) 22, 25.
(induction
theorem) 13.
(Lebesgue theorem) 36.

(RadonNikodym theorem) 35.


(Fubini theorem) 38.
(jump
discontinuity) 67.
(trajectory) 9.
(trend) 41.
(strongly
greater than) 18.
(strongly less than) 18.
(strongly positive) 18.
(Lindeberg
condition) 69.
(conditional
probability) 7.

(conditional expectation) 6.
(conditional mean) 6.
(filtration) 39.
(functional) 86.

(central limit theorem) 90.

115
(fair game) 42.
(equivalent) 9.
- (-jump) 67.
- (-discontinuous) 54.
- (-continuous) 54.
- (-discontinuity) 54.
P- (P-process) 39.
(Wiener) 90.
(G
odel) 14.
(Donsker) 90.
(Doob) 90.
(Erd
os) 90.
(Kac) 90.
(Laplace) 90.
(Levy) 90.
(Lindeberg) 90.
(de Moivre) 90.
(Prokhorov) 90.
(Robinson) 16.
(Feller) 90.

A 5.
at(A) 8.
b 22.
c 1.
dt 22.
D 40.
d
40.
d(t) 22.
E 1.
EA 6.
E{x|A} 10.
E0A 9.
Et 39.
ET 45.
E{ |x1 , . . . , xn } 7.
L1 35.
L 36.
Lp 36.
Lp 52.
N 13.
P 39.
p0 2.
pr 1.
Pr 1.
prA 6.
PrA 7.
pr0A 7.

Pr0A 8.
prT 45.
Pt 39.
q 70.
R 1.
R 18.
T 0 22.
Var 2.
1.
k k2 1.
(a) 22.
k kp 35.
k k 2.
{ } 4.
15.
' 17.
. 17.
& 17.
 17.
 17.
17.
' 18.
 18.
 18.
19.
2 40.
86.

 - AMS-TEX,
.
This publication was typeset using AMS-TEX,
the American Mathematical Societys TEX macro system.
30.1.95. 6084 1/16. . 2. . . . . 8. . .-. 8. .-. . 8. 400 . 9.
020633 18 1992 .
. . . .
630090, , ., 4.

. . . .
630090, , ., 4.