RICHARD_DURRETT,_PROBABILITY：THEORY_AND_EXAMPLES,_3RD_ED._2003_Image_Marked文档.pdf

i Probability: Theory and Examples Rick Durrett Fourth Edition Draft, June 24, 2009 Copyright 2009, All rights reserved. ii Contents 1 Laws of Large Numbers 1 1.1 Basic Definitions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1.2 Random Variables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 1.3 Expected Value . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 1.3.1 Inequalities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10 1.3.2 Integration to the Limit . . . . . . . . . . . . . . . . . . . . . . 11 1.3.3 Computing Expected Values . . . . . . . . . . . . . . . . . . . 13 1.4 Independence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 1.4.1 Sufficient Conditions for Independence . . . . . . . . . . . . . . 19 1.4.2 Independence, Distribution, and Expectation . . . . . . . . . . 21 1.4.3 Sums of Independent Random Variables . . . . . . . . . . . . . 23 1.4.4 Constructing Independent Random Variables . . . . . . . . . . 25 1.5 Weak Laws of Large Numbers . . . . . . . . . . . . . . . . . . . . . . . 28 1.5.1 L2 Weak Laws . . . . . . . . . . . . . . . . . . . . . . . . . . . 28 1.5.2 Tria