Appendix C、Distribution Functions 数理金融学入门 教学课件.pdfVIP

APPENDIX C Distribution Functions Let (Ω, F , P) be a probability space and let X be a random variable on (Ω, F , P). Theorem C.1. Each random variable X on (Ω, F , P) induces a probability space (R1 1 , B , μX ) by 1 μX (B) = P({ω : X (ω) ∈ B}) = P(X ∈ B) for all B ∈ B . (C.1) (C.1) μ probability measure . probability space (Ω, F , P) probability space (R1 1 , B , μX ). μ . Notation C.2. {ω : X (ω) ∈ B} = {X ∈ B} = X −1 (B). pre-image . , −1 −1 μX (B) = P(X ∈ B) = P(X (B)) = (P ◦ X )(B) i.e., μX = P ◦ X −1 Definition C.3. The function F defined by F (x) = μX ((−∞, x]) = P(X ≤ x) is called the cumulative distribution function (c.d.f.) of the random variable X . Example C.4. (1) If the cumulative distribution function of X is given by F (x) = √ 1 x exp − (z − μ)2 dz, 2πσ −∞ 2σ2 265 266 C. DISTRIBUTION FUNCTIONS 2 we say X is normally distributed with mean μ and variance σ , denoted by X ∼ N (μ, σ2 ). (2) Suppose (Ω, F , P) = ([0, 1], B1 , m). (i) X1 (ω) = ω , for all ω ∈ [0, 1]. Then ⎧ ⎪ ⎪ ⎪ 0 if x 0, ⎪