Contents

Preface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xiii

Table of Dependence . . . . . . . . . . . . . . . . . . . . . . xxi

Chapter 1 Sums of Independent Random Variables . . . . . . . . 1

1.1 Independence . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1.1. Independent σ-Algebras . . . . . . . . . . . . . . . . . . . 1
1.1.2. Independent Functions . . . . . . . . . . . . . . . . . . . . 4
1.1.3. The Rademacher Functions . . . . . . . . . . . . . . . . . . 5
Exercises for § 1.1 . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.2 The Weak Law of Large Numbers . . . . . . . . . . . . . . . 14
1.2.1. Orthogonal Random Variables . . . . . . . . . . . . . . . 14
1.2.2. Independent Random Variables . . . . . . . . . . . . . . . 15
1.2.3. Approximate Identities . . . . . . . . . . . . . . . . . . . 16
Exercises for § 1.2 . . . . . . . . . . . . . . . . . . . . . . . . 20
1.3 Cramér’s Theory of Large Deviations . . . . . . . . . . . . . . 22
Exercises for § 1.3 . . . . . . . . . . . . . . . . . . . . . . . . 31
1.4 The Strong Law of Large Numbers . . . . . . . . . . . . . . . 35
Exercises for § 1.4 . . . . . . . . . . . . . . . . . . . . . . . . 42
1.5 Law of the Iterated Logarithm . . . . . . . . . . . . . . . . 49
Exercises for § 1.5 . . . . . . . . . . . . . . . . . . . . . . . . 56

Chapter 2 The Central Limit Theorem . . . . . . . . . . . . . 59

2.1 The Basic Central Limit Theorem . . . . . . . . . . . . . . . 60
2.1.1. Lindeberg’s Theorem . . . . . . . . . . . . . . . . . . . 60
2.1.2. The Central Limit Theorem . . . . . . . . . . . . . . . . 62
Exercises for § 2.1 . . . . . . . . . . . . . . . . . . . . . . . . 65
2.2 The Berry–Esseen Theorem via Stein’s Method . . . . . . . . . 71
2.2.1. L1 -Berry–Esseen . . . . . . . . . . . . . . . . . . . . . 72
2.2.2. The Classical Berry–Esseen Theorem . . . . . . . . . . . . 75
Exercises for § 2.2 . . . . . . . . . . . . . . . . . . . . . . . . 81
2.3 Some Extensions of The Central Limit Theorem . . . . . . . . . 82
2.3.1. The Fourier Transform . . . . . . . . . . . . . . . . . . . 82
2.3.2. Multidimensional Central Limit Theorem . . . . . . . . . . . 84
2.3.3. Higher Moments . . . . . . . . . . . . . . . . . . . . . 87
Exercises for § 2.3 . . . . . . . . . . . . . . . . . . . . . . . . 90

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2.4 An Application to Hermite Multipliers . . . . . . . . . . . . . 96
2.4.1. Hermite Multipliers . . . . . . . . . . . . . . . . . . . . 96
2.4.2. Beckner’s Theorem . . . . . . . . . . . . . . . . . . . . 101
2.4.3. Applications of Beckner’s Theorem . . . . . . . . . . . . . 105
Exercises for § 2.4 . . . . . . . . . . . . . . . . . . . . . . . . 110

Chapter 3 Infinitely Divisible Laws . . . . . . . . . . . . . . . 115

3.1 Convergence of Measures on RN . . . . . . . . . . . . . . . . 115
3.1.1. Sequential Compactness in M1 (RN ) . . . . . . . . . . . . . 116
3.1.2. Lévy’s Continuity Theorem . . . . . . . . . . . . . . . . . 117
Exercises for § 3.1 . . . . . . . . . . . . . . . . . . . . . . . . 119
3.2 The Lévy–Khinchine Formula . . . . . . . . . . . . . . . . . 122
3.2.1. I(RN ) Is the Closure of P(RN ) . . . . . . . . . . . . . . . 123
3.2.2. The Formula . . . . . . . . . . . . . . . . . . . . . . . 126
Exercises for § 3.2 . . . . . . . . . . . . . . . . . . . . . . . . 137
3.3 Stable Laws . . . . . . . . . . . . . . . . . . . . . . . . . 139
3.3.1. General Results . . . . . . . . . . . . . . . . . . . . . . 139
3.3.2. α-Stable Laws . . . . . . . . . . . . . . . . . . . . . . 141
Exercises for § 3.3 . . . . . . . . . . . . . . . . . . . . . . . . 147

Chapter 4 Lévy Processes . . . . . . . . . . . . . . . . . . . 151

4.1 Stochastic Processes, Some Generalities . . . . . . . . . . . . . 152
4.1.1. The Space D(RN ) . . . . . . . . . . . . . . . . . . . . . 153
4.1.2. Jump Functions . . . . . . . . . . . . . . . . . . . . . . 156
Exercises for § 4.1 . . . . . . . . . . . . . . . . . . . . . . . . 159
4.2 Discontinuous Lévy Processes . . . . . . . . . . . . . . . . . 160
4.2.1. The Simple Poisson Process . . . . . . . . . . . . . . . . . 161
4.2.2. Compound Poisson Processes . . . . . . . . . . . . . . . . 163
4.2.3. Poisson Jump Processes . . . . . . . . . . . . . . . . . . 168
4.2.4. Lévy Processes with Bounded Variation . . . . . . . . . . . 170
4.2.5. General, Non-Gaussian Lévy Processes . . . . . . . . . . . . 171
Exercises for § 4.2 . . . . . . . . . . . . . . . . . . . . . . . . 174
4.3 Brownian Motion, the Gaussian Lévy Process . . . . . . . . . . 177
4.3.1. Deconstructing Brownian Motion . . . . . . . . . . . . . . 178
4.3.2. Lévy’s Construction of Brownian Motion . . . . . . . . . . . 180
4.3.3. Lévy’s Construction in Context . . . . . . . . . . . . . . . 182
4.3.4. Brownian Paths Are Non-Differentiable . . . . . . . . . . . 183
4.3.5. General Lévy Processes . . . . . . . . . . . . . . . . . . 185
Exercises for § 4.3 . . . . . . . . . . . . . . . . . . . . . . . . 187

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Chapter 5 Conditioning and Martingales . . . . . . . . . . . . 193
5.1 Conditioning . . . . . . . . . . . . . . . . . . . . . . . . 193
5.1.1. Kolmogorov’s Definition . . . . . . . . . . . . . . . . . . 194
5.1.2. Some Extensions . . . . . . . . . . . . . . . . . . . . . 198
Exercises for § 5.1 . . . . . . . . . . . . . . . . . . . . . . . . 202
5.2 Discrete Parameter Martingales . . . . . . . . . . . . . . . . 205
5.2.1. Doob’s Inequality and Marcinkewitz’s Theorem . . . . . . . . 206
5.2.2. Doob’s Stopping Time Theorem . . . . . . . . . . . . . . . 212
5.2.3. Martingale Convergence Theorem . . . . . . . . . . . . . . 214
5.2.4. Reversed Martingales and De Finetti’s Theory . . . . . . . . . 217
5.2.5. An Application to a Tracking Algorithm . . . . . . . . . . . 221
Exercises for § 5.2 . . . . . . . . . . . . . . . . . . . . . . . . 226

Chapter 6 Some Extensions and Applications of Martingale

Theory . . . . . . . . . . . . . . . . . . . . . . 233
6.1 Some Extensions . . . . . . . . . . . . . . . . . . . . . . . 233
6.1.1. Martingale Theory for a σ-Finite Measure Space . . . . . . . 233
6.1.2. Banach Space–Valued Martingales . . . . . . . . . . . . . . 239
Exercises for § 6.1 . . . . . . . . . . . . . . . . . . . . . . . . 240
6.2 Elements of Ergodic Theory . . . . . . . . . . . . . . . . . . 244
6.2.1. The Maximal Ergodic Lemma . . . . . . . . . . . . . . . . 245
6.2.2. Birkhoff’s Ergodic Theorem . . . . . . . . . . . . . . . . 248
6.2.3. Stationary Sequences . . . . . . . . . . . . . . . . . . . 251
6.2.4. Continuous Parameter Ergodic Theory . . . . . . . . . . . . 253
Exercises for § 6.2 . . . . . . . . . . . . . . . . . . . . . . . . 256
6.3 Burkholder’s Inequality . . . . . . . . . . . . . . . . . . . . 257
6.3.1. Burkholder’s Comparison Theorem . . . . . . . . . . . . . 257
6.3.2. Burkholder’s Inequality . . . . . . . . . . . . . . . . . . 262
Exercises for § 6.3 . . . . . . . . . . . . . . . . . . . . . . . . 263

Chapter 7 Continuous Parameter Martingales . . . . . . . . . 266

7.1 Continuous Parameter Martingales . . . . . . . . . . . . . . . 266
7.1.1. Progressively Measurable Functions . . . . . . . . . . . . . 266
7.1.2. Martingales: Definition and Examples . . . . . . . . . . . . 267
7.1.3. Basic Results . . . . . . . . . . . . . . . . . . . . . . . 270
7.1.4. Stopping Times and Stopping Theorems . . . . . . . . . . . 272
7.1.5. An Integration by Parts Formula . . . . . . . . . . . . . . 276
Exercises for § 7.1 . . . . . . . . . . . . . . . . . . . . . . . . 280
7.2 Brownian Motion and Martingales . . . . . . . . . . . . . . . 282
7.2.1. Lévy’s Characterization of Brownian Motion . . . . . . . . . 282
7.2.2. Doob–Meyer Decomposition, an Easy Case . . . . . . . . . . 284
7.2.3. Burkholder’s Inequality Again . . . . . . . . . . . . . . . . 289

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Exercises for § 7.2 . . . . . . . . . . . . . . . . . . . . . . . . 290
7.3 The Reflection Principle Revisited . . . . . . . . . . . . . . . 292
7.3.1. Reflecting Symmetric Lévy Processes . . . . . . . . . . . . 292
7.3.2. Reflected Brownian Motion . . . . . . . . . . . . . . . . . 294
Exercises for § 7.3 . . . . . . . . . . . . . . . . . . . . . . . . 298

Chapter 8 Gaussian Measures on a Banach Space . . . . . . . . 299

8.1 The Classical Wiener Space . . . . . . . . . . . . . . . . . . 299
8.1.1. Classical Wiener Measure . . . . . . . . . . . . . . . . . 299
8.1.2. The Classical Cameron–Martin Space . . . . . . . . . . . . 303
Exercises for § 8.1 . . . . . . . . . . . . . . . . . . . . . . . . 306
8.2 A Structure Theorem for Gaussian Measures . . . . . . . . . . 306
8.2.1. Fernique’s Theorem . . . . . . . . . . . . . . . . . . . . 306
8.2.2. The Basic Structure Theorem . . . . . . . . . . . . . . . . 307
8.2.3. The Cameron–Marin Space . . . . . . . . . . . . . . . . . 310
Exercises for § 8.2 . . . . . . . . . . . . . . . . . . . . . . . . 313
8.3 From Hilbert to Abstract Wiener Space . . . . . . . . . . . . 317
8.3.1. An Isomorphism Theorem . . . . . . . . . . . . . . . . . 317
8.3.2. Wiener Series . . . . . . . . . . . . . . . . . . . . . . . 318
8.3.3. Orthogonal Projections . . . . . . . . . . . . . . . . . . . 322
8.3.4. Pinned Brownian Motion . . . . . . . . . . . . . . . . . . 326
8.3.5. Orthogonal Invariance . . . . . . . . . . . . . . . . . . . 328
Exercises for § 8.3 . . . . . . . . . . . . . . . . . . . . . . . . 330
8.4 A Large Deviations Result and Strassen’s Theorem . . . . . . . 337
8.4.1. Large Deviations for Abstract Wiener Space . . . . . . . . . 337
8.4.2. Strassen’s Law of the Iterated Logarithm . . . . . . . . . . . 340
Exercises for § 8.4 . . . . . . . . . . . . . . . . . . . . . . . . 342
8.5 Euclidean Free Fields . . . . . . . . . . . . . . . . . . . . 343
8.5.1. The Ornstein–Uhlenbeck Process . . . . . . . . . . . . . . 344
8.5.2. Ornstein–Uhlenbeck as an Abstract Wiener Space . . . . . . . 346
8.5.3. Higher Dimensional Free Fields . . . . . . . . . . . . . . . 349
Exercises for § 8.5 . . . . . . . . . . . . . . . . . . . . . . . . 355
8.6 Brownian Motion on a Banach Space . . . . . . . . . . . . . . 358
8.6.1. Abstract Wiener Formulation . . . . . . . . . . . . . . . . 358
8.6.2. Brownian Formulation . . . . . . . . . . . . . . . . . . . 361
8.6.3. Strassen’s Theorem Revisited . . . . . . . . . . . . . . . . 363
Exercises for § 8.6 . . . . . . . . . . . . . . . . . . . . . . . . 365

Chapter 9 Convergence of Measures on a Polish Space . . . . . 367

9.1 Prohorov–Varadarajan Theory . . . . . . . . . . . . . . . . 367
9.1.1. Some Background . . . . . . . . . . . . . . . . . . . . . 367
9.1.2. The Weak Topology . . . . . . . . . . . . . . . . . . . . 370
9.1.3. The Lévy Metric and Completeness of M1 (E) . . . . . . . . . 377

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Exercises for § 9.1 . . . . . . . . . . . . . . . . . . . . . . . . 381
9.2 Regular Conditional Probability Distributions . . . . . . . . . . 386
9.2.1. Fibering a Measure . . . . . . . . . . . . . . . . . . . . 388
9.2.2. Representing Lévy Measures via the Itô Map . . . . . . . . . 390
Exercises for § 9.2 . . . . . . . . . . . . . . . . . . . . . . . . 392
9.3 Donsker’s Invariance Principle . . . . . . . . . . . . . . . . . 392
9.3.1. Donsker’s Theorem . . . . . . . . . . . . . . . . . . . . 393
9.3.2. Rayleigh’s Random Flights Model . . . . . . . . . . . . . . 396
Exercise for § 9.3 . . . . . . . . . . . . . . . . . . . . . . . . 399

Chapter 10 Wiener Measure and Partial Differential Equations . 400

10.1 Martingales and Partial Differential Equations . . . . . . . . . 400
10.1.1. Localizing and Extending Martingale Representations . . . . . 401
10.1.2. Minimum Principles . . . . . . . . . . . . . . . . . . . 404
10.1.3. The Hermite Heat Equation . . . . . . . . . . . . . . . . 405
10.1.4. The Arcsine Law . . . . . . . . . . . . . . . . . . . . . 407
10.1.5. Recurrence and Transience of Brownian Motion . . . . . . . 411
Exercises for § 10.1 . . . . . . . . . . . . . . . . . . . . . . . 415
10.2 The Markov Property and Potential Theory . . . . . . . . . . 416
10.2.1. The Markov Property for Wiener Measure . . . . . . . . . . 416
10.2.2. Recurrence in One and Two Dimensions . . . . . . . . . . . 417
10.2.3. The Dirichlet Problem . . . . . . . . . . . . . . . . . . 418
Exercises for § 10.2 . . . . . . . . . . . . . . . . . . . . . . . 426
10.3 Other Heat Kernels . . . . . . . . . . . . . . . . . . . . . 429
10.3.1. A General Construction . . . . . . . . . . . . . . . . . . 429
10.3.2. The Dirichlet Heat Kernel . . . . . . . . . . . . . . . . . 431
10.3.3. Feynman–Kac Heat Kernels . . . . . . . . . . . . . . . . 436
10.3.4. Ground States and Associated Measures on Pathspace . . . . 439
10.3.5. Producing Ground States . . . . . . . . . . . . . . . . . 445
Exercises for § 10.3 . . . . . . . . . . . . . . . . . . . . . . . 449

Chapter 11 Some Classical Potential Theory . . . . . . . . . . 456

11.1 Uniqueness Refined . . . . . . . . . . . . . . . . . . . . . 456
11.1.1. The Dirichlet Heat Kernel Again . . . . . . . . . . . . . . 456
11.1.2. Exiting Through ∂reg G . . . . . . . . . . . . . . . . . . 459
11.1.3. Applications to Questions of Uniqueness . . . . . . . . . . . 463
11.1.4. Harmonic Measure . . . . . . . . . . . . . . . . . . . . 468
Exercises for § 11.1 . . . . . . . . . . . . . . . . . . . . . . . 472
11.2 The Poisson Problem and Green Functions . . . . . . . . . . . 475
11.2.1. Green Functions when N ≥ 3 . . . . . . . . . . . . . . . 476
11.2.2. Green Functions when N ∈ {1, 2} . . . . . . . . . . . . . . 477
Exercises for § 11.2 . . . . . . . . . . . . . . . . . . . . . . . 486
11.3 Excessive Functions, Potentials, and Riesz Decompositions . . . . 487

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11.3.1. Excessive Functions . . . . . . . . . . . . . . . . . . . . 488
11.3.2. Potentials and Riesz Decomposition . . . . . . . . . . . . 489
Exercises for § 11.3 . . . . . . . . . . . . . . . . . . . . . . . 496
11.4 Capacity . . . . . . . . . . . . . . . . . . . . . . . . . 497
11.4.1. The Capacitory Potential . . . . . . . . . . . . . . . . . 497
11.4.2. The Capacitory Distribution . . . . . . . . . . . . . . . . 500
11.4.3. Wiener’s Test . . . . . . . . . . . . . . . . . . . . . . 504
11.4.4. Some Asymptotic Expressions Involving Capacity . . . . . . 507
Exercises for § 11.4 . . . . . . . . . . . . . . . . . . . . . . . 514

Notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 517

Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 521

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