diff --git a/inputs/lecture_18.tex b/inputs/lecture_18.tex index faf98bb..dd99575 100644 --- a/inputs/lecture_18.tex +++ b/inputs/lecture_18.tex @@ -15,31 +15,32 @@ Hence the same holds for submartingales, i.e. \subsection{Doob's $L^p$ Inequality} - \begin{question} What about $L^p$ convergence of martingales? \end{question} \begin{example}[\vocab{Branching process}] + Fix $u > 0$ and let $p = \frac{1}{1+u}$. Let $ (Z_n)_{n \ge 1}$ be i.i.d.~$\pm 1$ with - $\bP[Z_n = 1] = p \in (0,1)$. + $\bP[Z_n = 1] = p$. - Fix $u > 0$. Let $X_0 = x > 0$. - Define $X_{n+1} \coloneqq u^{Z_{n+1}} X_{n}$. + Let $X_0 = x > 0$ and + define $X_{n+1} \coloneqq u^{Z_{n+1}} X_{n}$. + Then $(X_n)_n$ is a martingale, + since + \begin{IEEEeqnarray*}{rCl} + \bE[X_{n+1} |\cF_n] &=& X_n \bE[u^{Z_{n+1}}]\\ + &=& X_n \left(p \cdot u + (1-p)\cdot\frac{1}{u}\right)\\ + &=& X_n \left(\frac{p (u^2-1) + 1}{u}\right)\\ + &=& X_n. + \end{IEEEeqnarray*} - \begin{exercise} - Given $u \ge 0$, find $p = p(u)$ - such that $(X_n)_n$ is a martingale w.r.t.~the canonical filtration. - \end{exercise} - \todo{TODO} - - - By \autoref{doobmartingaleconvergence}, there is an - a.s.~limit $X_\infty$. + By \autoref{doobmartingaleconvergence}, + there exists an a.s.~limit $X_\infty$. By the SLLN, we have \[ - \frac{1}{n} \sum_{k=1}^{n} Z_k \xrightarrow{a.s.} \bE[Z_1] = zp - 1. + \frac{1}{n} \sum_{k=1}^{n} Z_k \xrightarrow{a.s.} \bE[Z_1] = 2p - 1. \] Hence \[