diff --git a/inputs/a_1_counterexamples.tex b/inputs/a_1_counterexamples.tex index ebe6368..02e59ca 100644 --- a/inputs/a_1_counterexamples.tex +++ b/inputs/a_1_counterexamples.tex @@ -8,10 +8,21 @@ Exercise 4.3 10.2 -Martingales converging a.s.~but not in $L^1$. +\begin{example}[Martingale not converging in $L^1$] + Let $\Omega = [0,1]$, $\bP = \lambda\upharpoonright [0,1]$. + Define $X_n \coloneqq 2^n \cdot \One_{[0,2^n]}$, + and let $(\cF_n)_n$ be the canonical filtration. + Then $(X_n)_{n}$ is a Martingale + with $\bE[X_0] = 1$, + but $X_n \xrightarrow{a.s.} 0$. +\end{example} + Stopping times - +\begin{example}[{Martingale such that $\bE[X_T] \neq \bE[X_0]$}] + Consider the simple random walk and $T = \inf \{n : X_n \ge 1\}$. + Obviously $X_T = 1$. +\end{example} diff --git a/inputs/lecture_16.tex b/inputs/lecture_16.tex index 3db4926..4195844 100644 --- a/inputs/lecture_16.tex +++ b/inputs/lecture_16.tex @@ -193,7 +193,9 @@ Typically $\cF_n = \sigma(X_1, \ldots, X_n)$ for a sequence of random variables. \end{definition} \begin{corollary} Suppose that $f: \R \to \R$ is a convex function such that $f(X_n) \in L^1(\bP)$. - Suppose that $(X_n)_n$ is a martingale\footnote{In this form it means, that there is some filtration, that we don't explicitly specify}. + Suppose that $(X_n)_n$ is a martingale% + \footnote{In this form it means, that there is some filtration, + that we don't explicitly specify}. Then $(f(X_n))_n$ is a sub-martingale. \end{corollary} \begin{proof} diff --git a/inputs/lecture_18.tex b/inputs/lecture_18.tex index 16dcb16..faf98bb 100644 --- a/inputs/lecture_18.tex +++ b/inputs/lecture_18.tex @@ -140,7 +140,7 @@ First, we need a very important inequality: Let $X_n^\ast \coloneqq \max \{|X_1|, |X_2|, \ldots, |X_n|\}$ denote the \vocab{running maximum}. \begin{enumerate}[(1)] - \item Then \[ \forall \ell > 0 .~\bP[X_n^\ast \ge \ell] \le \frac{1}{\ell} \int_{\{X_n^\ast \ell\}} |X_n| \dif \bP \le \frac{1}{\ell} \bE[|X_n|]. \] + \item Then \[ \forall \ell > 0 .~\bP[X_n^\ast \ge \ell] \le \frac{1}{\ell} \int_{\{X_n^\ast \ge \ell\}} |X_n| \dif \bP \le \frac{1}{\ell} \bE[|X_n|]. \] (Doob's $L^1$ inequality). \item Fix $p > 1$. Then \[ \bE[(X_n^\ast)^p] \le \left( \frac{p}{p-1} \right)^p \bE[|X_n|^p].