Promenade Aléatoire

Promenade alatoire
Chanes de Markov et simulations ;

martingales et stratgies
DITION
ES
NIQ E
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LE
D E L' C O
Michel Benam et Nicole El Karoui
P O LY T E C
Ce logo a pour objet dalerter le lecteur sur la menace que reprsente pour lavenir de lcrit,
tout particulirement dans le domaine universitaire, le dveloppement massif du photocopillage.
Cette pratique qui sest gnralise, notamment dans les tablissements denseignement,
provoque une baisse brutale des achats de livres, au point que la possibilit mme pour les
auteurs de crer des uvres nouvelles et de les faire diter correctement est aujourdhui
menace. Nous rappelons donc que la production et la vente sans autorisation, ainsi que
le recel, sont passibles de poursuites.
Les demandes dautorisation de photocopier doivent tre adresses lditeur ou au Centre
franais dexploitation du droit de copie :
20, rue des Grands-Augustins, 75006 Paris. Tl. : 01 44 07 47 70.
ditions de lcole Polytechnique - Novembre 2007

91128 Palaiseau Cedex

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Trajectoire de Y(n) (pour n = 1,..,100)

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0.99
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1.6
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0.83
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Histogramme de 3000 tirages de X(100)

0.36
0.32
0.28
0.24
0.20
0.16
0.12
-1
0.08
-2
0.04
-3
0
0
-4
10 20 30 40 50 60 70 80 90 100
Trajectoire de Y(n) (pour n = 1,..,100)
-3
-2
-1
Histogramme de 3000 tirages de Y(100)
-1.0
0.32
-1.2
0.28
-1.4
0.24
-1.6
0.20
-1.8
0.16
-2.0
0.12
-2.2
-2.4
0.08
-2.6
0.04
-2.8
0
0
-4
10 20 30 40 50 60 70 80 90 100
-3
-2
-1
/ -6=3 * .- , ? $ ., - - ,

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Iter. = 22
a = 0.6180340
0.5297
0.4768
0.4238
0.3708
0.3178
0.2649
0.2119
0.1589
0.1059
0.0530
0.0000
-2.62
-2.09
-1.57
/ -693 * pG

-1.05

-0.52
A
0.00
g22
0.52
.,
1.05
1.57
2.09
a = 0, 6180340.
2.62
xH

Iter. = 30
a = 0.75
-0.8
0.0
0.2484
0.2235
0.1987
0.1738
0.1490
0.1242
0.0993
0.0745
0.0497
0.0248
0.0000
-4.0
-3.2
-2.4
-1.6
/ F-693 *

Iter. = 4
a = 0.25
-0.267
0.000
0.8
g30
1.6
2.4
,
3.2
4.0
a = 0, 75.
1.0
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.0
-1.333
-1.067
-0.800
-0.533
/ -6=3 *'4

0.267
G4
0.533
.,
0.800
1.067
a = 0, 25.
1.333
< <

Iter. = 18
a = 0.75
-0.8
0.0
1.0
0.9
0.8
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0.0
-4.0
-3.2
-2.4
-1.6
/ -6=3 * C*

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0.8
1.6
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2.4
3.2
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<
2.
(ii)
A(1) =
QWO

m(1) = m(2) = 12 .
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#
"
#
0.839 0.303
0.161 0.136
, A(2) =
,
0.383 0.924
0.138 0.182
"
#
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#
0.232
0.921
B(1) =
, B(2) =
0.080
0.178
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< <

>03 3-0/CB BC3

A(1) =
QWO
"
0
0
0 0.16
"
0
0
B(1) =
, A(2) =
#
"
, B(2) =
0.2 0.26
0.23 0.22
"
0
1.6
, A(3) =
, B(3) =
"
"
0
0.44
0.15 0.28
0.26 0.24
#
, B(4) =
m(1) = 0.01, m(2) = 0.07, m(3) = 0.07, m(4) = 0.85

Feuille
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x ! (+ ! ,) . /#! ! ! #$5 $ ! (T ) $
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E(1{Txn <} t
7
n
Tx
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n
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i=1
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! $ & , $ * $
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G(x, x + y, t)
G(x, t) = G(t), U (x, t) = U (t)
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j H
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U (t) = t(pU (1, 0, t) + qU (1, 0, t)) = t(pU1 (t) + qU1 (t)),
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y = tqU1 (t)
y = tpU1 (t)
y = t2 pq + y 2 .
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N (Xn )
P (x, x + 1) = p
P (0, 0) = a
0 < p < 1, q = 1 p, 0 a < 1,
P (x, x 1) = q x 1
P (0, 1) = 1 a.

!

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U (0, t) = ta + t(1 a)U (1, 0, t).

tU (1, 0, t)
U (0, t) = ta +
p
(1 a)
(1 1 4t2 pq).
2p
1 / 2 ;K N l
1 / / 2 KDN l

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Dn = d(Xnx , x)
d(x, y)
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z @AEF:=39@A3 "!$#&%')(+*",)-.0/1*",2435*768!9%:%; *",=<>"?>LG@A(A(4~ Q >\KU5[Eg5[:=3H p 86K?8 O 3 Of_ 365f8b: I :X5
5[G Q;Q 3B5=5=EF 5 X , . . . , X @ k GUK?3 Q TYs@A3mK?>Tt I G P M IPO :=E O @ k G?KN8b: I :eEJK?EF:=E IP_
@A3 _ >\Ej\GU3 _gQ >LKcj\GU3z|M IPO 3bqA3;79M _ 3 _gI_ >\EG?KUEh|> O 793m>LG GUK?3H7 I 5=5=3H@A39eE O]ILQ ~ v k I M O d65
X
_ 3B5:=<?86> O d;79365 B?v B?Dv CC3bE: B?v B?vF n _JI O 86j`G?36K Q 3(367mMUE O EJj`G?3
xM
SN (f ) =
N
1 X
f (Xk )
N
365[:z|M >LG O N I 5X5[3GF pLO]I KU@IH ~fG?K?3 ^ >LKUK?3 I MUM O > qAEJ7 I :=EJ>LKx@A3
M O > Q <U3f@A3 .
k=1
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SET
UR 4 MQ\7 ^?O 3;G?q Q;I 56n _gIf_ >\E j`G?3 _k >LK Q <?3 O]Q <?3(5[EJ7G _ 3 O K k 3B5u:oM I 5o@A>\K?K?8;3 I M O EJ> O E
Q >\7m793 _gI 793B5[G O 3EJKrY ILO E I K`:X3 @ k G?K?3 Q TY v2 k IL_Fp > O Eh:X<?793@A3VZ3;: O >LM > _ EJ5
M O >r@?G?Eh:G?KU3 Q TY O 8;Y\3 O 5[E ^?_ 3eM IPOOXI M?M > O : .
V K 5[3@A>LK?KU3DG?K?3D7 I : O E Q 3@A3: OXI KU5[EF:=EJ>LK}7 ILO=W >TYÈJ3;KUK?3
5=G O M n I M?M 3 _J_ 8;3XWY*"#Z,)[\24%]:%
Q
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w >LEF: h :]0, []0, 1] G?K?3(|>\K Q :XEF>\K YL8 O EFy I K`:
Q(x, y) > 0 Q(y, x) > 0.
h(u) = uh
IPO 3bqA3;79M _ 3
>LG ^ EJ3;K
b>LG O
M >\5=>LKc5
x 6= y,
b

1
.
u
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h
0
u
.
1+u
(y)Q(y,x)
(x)Q(x,y)
5[E Q(x, y) 6= 0,
5[EJK?>LKv
z UvF ~

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V

M

K Q >LKU5[: O G?EF: IP_ > O 5GUK?3R7 I : O E Q 3R@A3f: O]I KU5=EF:=EJ>LK P @A8;yUK?EJ3RM IPO
Mc>\G O x 6= y, 3;:
z Uv B\~
P (x, y) = Q(x, y)R(x, y)
P (x, x) = 1
2 I M O >LM >\5=Eh:XEF>\K5=G?EJY I K`:=3(365[:EF797986@?E I :=3Lv
P (x, y).
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!
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2 k IP_Jp > O EF:=<?7935[G?EJY I K`:6n Q > OXO 3B5[M >LKU@ I K`: _JI 5[EJ7G _JI :=EJ>LKH@?3 _gIfQ Tt I G P nP5 k I M?M 3 _J_ 3
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E O 3 O G?K K?>L7 ^?O 3 U I G \K
w EFK?>\K4n O 3b|GU5=3 O_gI 5[X8 _ 3 Q :=EJ>L=K y ;
>
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w >\Eh: S G?K3;KU5=3;7 ^?_ 3 yUK?E(3b:

?G K pLO]I M?<?35=tr798b: O Egj\GU3e5=G O S. UK 3 Q >\KAy p G OXI :=EJ>LK@A3 ^ /13 ,=% ^ : , % ^ 5[G O G 365[:
G = (S, E)
G?K?3R5=G?Eh:X3(yUK?EJ3
x = (x(s))
{0, 1}
:=3 _F_ 3Rj\GU3
5[E s 3b: v 5=>LK`:f@?3;GAq5=Eh:X365 I @ I\Q 3;K`:]5;v 2 x(s)x(v)
IQ >LKU@?Eh:X=EF>\K 0 x(s) = 1 z O 365=Mc3 Q :XEFY\3;793;K`: x(s) = 0~
5 k EJK\:X3 O M O db:=3 Q >L79793 _JI M O 865=3;K Q 3Dz O 365=Mc3 Q :XEFY\3;793;K`: _lk IP^ 5 Q 3;K Q 3B~@ k G?K?3CM IPO :=E Q G _ 3 I GZ5[EF:=3 s.
243B54M ILO :XE Q G _ 3B54>\K\:iG?K@AE I 79d;: O 3K?>\KCK?8 p\_ E p 3 IP^?_ 3o@A35[> O :X3j`G?3@A36GAqRM IPO :=E Q G _ 3B54K?3Mc36G?YL36K\:
M I 5> Q6Q G?M 3 O @A3B5Mc>`5[EF:=EJ>LKc5YL>LEg5=EFK?3B5;v
w >LEF: M {0, 1} _k 36KU5[367 ^?_ 3@A365 Q >LKAy p G O]I :=EJ>LKc5e@A35=M?<?d O 3B5f@?G O 3B5f3b: _gI M O > ÛIP^ E _ Eh:X8
G?K?EF|> O 793(5=G O M. 2 k IL_Fp > O Eh:X<?793f5=G?EJY I K`:Mc3 O 793b:{@?3C5[EJ7G _ 3 O .
BDCFEHGIKJELNMPORQ EGS FT8UVJEWT8EH2KXYUV
EHTYZY
EV
[\
^]
sS

: I Mc3 0. z K?EF:=E IP_ Eg5 I :=EJ>LKc~ X (s) = 0 Mc>\G O :=>\GA: s S.

: I Mc3 n + 1.
LEg5[E O G?KZ5[>\7m793;: s I G \GU5 _ 3B5YL>\EJ5=EFKc5@A3 s 5=>LK`: _ E ^?O 3656n Q <?>LEg5[E O U I G
n+1
Xn+1 (s) = 0.

1) !"$#&%')(*+%-,/. 0,21434"657&8)%:9+<;<<=+%<>5%<?@5A*+>04,$1B3"$57+8)%:=C%ED:%!5F3B9G3B,$"$?<H
u
9G34*+I,J0LKM34>&;'5"$34> h(u) = 1+u
%!5N,208-0O5F"$;<%P=C%Q?F',2%';'5"$3B> Q : M M [0, 1] =+'#&>&"$%R9 0O
1
?F" x %!5 y =C"6SUT'%<>5%<>V*&>)?F%'*&,G?F"65%%'5 Q(x, y) = 0 ?F" x %'5 y =+"6SUT'%<>5%<>V=+%<*CWA?F"65%<?
Q(x, y) = |S|
0*:8)3B"$>+?<X&Y'"6# %'%<>+?F*&"65%(*&%Z,20[;\7 0^]J>&%04"$>+?F"9C3_=+*&"65%
%<?@5`"6F^=C*&;'5"$a&,$%
%'5`09G'"$3_=+"2(*&%BX
2) b8)9&,204>5%',c. 04,$1434"657&8)%V9G3B*C=+"6SU'%<>5?14\09&7&%'?%'5%<>=+^=C*&"6%)*&>+%)%<?@5"$8-05"$3B>>_*+8)'"2(_*+%
=C*I>+3B8[aC%Z8)3^d%<>I=+%Z?F9+7&T'%'? E (PsS x(s)).
BDCFEV

Jegf q hiBj klj mnlo&p&q r^sutC34"$5 G = (S, E) *&>I14\049+7&%
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BDCFEV

# >&"cHC%'5 q &* >
x = (x(s))sS {1, . . . , q}S
5%<,$,$%Z(*+%=C%<*+W)?F"65%<?04=@04;<%<>5?>. 04"$%<>59 0?,208)<8)%;<34*&,$%<*C^H+;4. %'?@5 34153 3 =+"6%Z(*&% x(s) 6= x(v) 9G3B*C

s %'5 v 0B=@04;<%'>_5?<X0(*+%<?@5"$3B>u=+%V?0^3B"6)?F""$,%'WC"$?@5%V3B*>&34>=C%<? q ;<34,23"2041B%'?V?F*CA*+>L14\049+7&%
(*&%',2;'3B> (*+%
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|>LK Q :=EJ>LK VV :3b:M R
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33
1
1
T (x) =
exp V (x)
ZT
T
>

ZT =
1
exp V (y)
T
365[: _gI Q >LKU5[: I K`:=3 @A3KU> O 7 IL_ Eg5 I :=EJ>LKv I KU5 _ 3sY\> Q;IP^ G _JI E O 3@A3 _gI 798 Q6I K?Egj`G?3 5u: I :=Eg5[:=Egj\GU3
z|Y\>LE O 3;> O=p 3653b:ZVZ3F IPO @%DC ~bn _k 365=M ILQ 3 M O 3;M O 865=3;K`:X3 _lk 3;Kc5[367 ^?_ 3@A3B5A2 7! ,=*7#`[\7! ^
@ k G?K # WY%@A8 Q;O EF:M IPO G?K?3 7!92#`[\7! : !9%, [\% 2 I 7m3B5[G O 3(@A3 E Û^ 5 Q6IPO]ILQ :X8 O EJ5=3
IP_ > O 5 ^ _k 86^ j`G?E _ E ^?O 3:X<?3 O 79>A@AtrK I 79Egj\GU3s@AG 5=_ tA5u:Xd;793 V.3;K Q >LK`: ILQ : I YL3 Q GUK :X<?3 O 79>\5[: I :9 _gI
:=367mM 8 O]I :XG O 3 T. 2 I9Q >\KU5u: I K`:=3 Z 5 k I M?M 3 _J_ 3 _gI "! 2 #Z[\"! :%/5*7,)#`[8#Z[\"!D@?G 5=tA5u:Xd;793Lv
2 IH_ >\E 365[:3;K`:=EJd O 3;793;K`:@A8b:X3 O 79EFK?863(M IPO_JI @A>\K?K?863f@A3 V 3b: T nr7 I Eg53;KsM OXI :=Egj`G?3mz K?>Pa
: I 7m7936K\:o@ I KU5 _ 365M O > ^?_ d;793B5i@?3MU<`tA5=EJj`G?35[: I :=Eg5u:XEJj`G?3 ~ _ 3 Q;ILO @?EFK IL_ @A3 M 365[: p E p\I K\:X365Xj`G?3
3b: _ 3 Q6IP_gQ G _ @?3 Z 365[:EJ79Mc>`5=5=E ^?_ 3\v?2 k IP_Jp > O EF:=<?793f@A3RVZ3b: O >\Mc> _ Eg5M O 3;KU@E Q E :=>\GA:=3R5 I |> OXQ 3
Q;ILO E _ 86YÈF:=3 Q 3 Q;IP_gQ G _ v
w G?M?M >\5=>LKU56n Mc>\G O 5[EJ79M _ EhyU3 O n _k 365=M ILQ 3 M 7HG?K?E?@ k G?K?35[: O G Q :XG O 3@A3 p\OXI M?<?35=tr798b: O Egj\GU3
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@A3e5=tA5u:Xd;793{7 ILp K?8;:=Egj\GU3 Q >\KU5u:XEh:XG?8e@?3 N 5=M?EJKU5 S , . . . , S 3;KEFK`:=3 OXI\Q :XEF>\KU5;n _ > Q6IP_ EJ5=865 I GAq
K RGU@?5@ k G?K pLO]I M?<?3mz|M ILO 3bqA3;79M _ 3eGUK?3 ^ > S :=3 (@A3 Z ~bv 
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@A3C5=> O :=3(j\GU3 _lk 365=M ILQ 3R@A365 Q >LKAy p G O]I :=EJ>LKc5@?G 5=tA5u:Xd;793(365[:
M = {1, 1}N .
2 k 8;K?3 O=p EF3(@A3 _gI9Q >LK?y p G O]I :XEF>\K
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X
1X
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i
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I K`:=EFa IP_ E p K?865]~ vU23 Q >r3 Q EF36K`: B O 3;M O 865=3;K`:=3 _JI |> OXQ 3@ k G?K Q LG O
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: I Mc3 0. K?EF:=E IP_ EJ5=3 O X M.
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j
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Q >\7mM > O :=36K`: I M?M O > qAEJ7 I :=EJYL367m36K`: Q >\7m793m@A365eY IPO E IL^?_ 3B5Ev Ev @v@A3 _ >LEiG?K?EF|> O 793m5=G O M.
ÛI 5X5=3:=3679Mc8 OXI :=G O 3Ln QPk 365[: _ 3e:=3 O 793f@ k 86K?3 OXp EJ3ej`G?E@A>\7mEJK?3\n`3;: _k IP_Jp > O EF:=<?793e@?3fVZ3;: O >LM > _ EJ5
YrEJ5=3(365X5[36K\:XEF3 _F_ 3;7936K\:m79EFKUEF79Eg5[3 O V.
3b:[:X3 Q >L79M 8b:=EF:=EJ>LK3;K`: O 386K?3 OXp EJ3D3b:93;K`: O >\M?EF3s5[3 O 3;: O >LG?Y\3D _k 8Bj`G?E _ E ^?O 3\n Q >L7979336K
:=867m>\E p K?3 _ 3 _ 3;79793C5[GUEFY I K`:Bv
n0
Q EHGSGSE

F PO [
limT T (x) =
1
.
|M|

B
O
[
U"[8#
7
Vmin
-<; %! ^ % W 3 -.% : % ^ W0[8!$[8W * 7$ -.,34*

9
:%
limT0 T (x) =
V.
-.7, ^
1{xVmin }
.
|Vmin |

3B*C

x 6= y
T (x)
1
= exp (V (x) V (y)) ,
T (y)
T
=. 3:,2%Z'?F*&,65\05^X

Q EL
E
Z8
GAZYJ
42 3Y,=%42 [8#4365[:G?K?3R:X3 Q <?KUEJj`G?3RGA:XE _ Eg5[863C3;K 798b: IP_J_ G OXp EJ3Cj`G?E Q >LKU5=EJ5[:=3Cm I E O 3f|>LKU@ O 3RM _ GAa
5[EJ3;G O 5|>LEg5G?K798b: IP_ M?G?Eg5 _ 3 _JI EJ5X5=3 O_ 3;K`:X3;793;K`: O 3; O >\EJ@?E O Mc>\G O 3;K I 798 _ EF> O 3 O_ 365j`G IP_ EF:=865
798 Q;I K?Egj\GU3656vP2 k IP_Jp > O EF:=<?793@AG ,=%42 [8# ^ [8W - _ 365[:oEJKU5[MUE O 8@A3 Q 3;:[:X3:=3 Q <?K?Egj\GU3Lv V K5=3@A>LK?KU3
G?K?35=G?Eh:X3@A8 Q;O >\EJ5X5 I K`:=3H@?3H:X3;79M 8 O]I :=G O 3B5 {T (n)} :X3 _J_ 3Dj`G?3 lim T(n) = 0. 2 k IP_ a
p > O EF:=<?793H365[: IL_ > O 5f5=3;7 Û_JIL^?_ 39 _lk IP_Jp > O EF:=<?7939@A3VZ3b: O >\Mc> _ Eg56n _k 3;q Q 3;MA:XEF>\K M O d65(j`G?3 _gI
:=367mM 8 O]I :XG O 3f86YL> _ G?3(@ I KU5 _ 3(:X3;79MU56v
: I Mc3 0. K?EF:=E IP_ EJ5=3 O X .
: I Mc3 n + 1.
z w 8 _ 3 Q :=EJ>LKc~ LEg5[E O I GsLEg5=EFKU5@?3
E O 3 O G?K K?>L7 ^?O 3 U yI G LK
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n0
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1
T (n)
A@
|N (y)|
|N (Xn )|
n+1
#@
Xn+1 = Xn .
42 3 Q <?>LEFq @?G 5 Q <U8;7 I @A3m@A8 Q;O >\EJ5X5 I K Q 3R365[: QbO G Q E IL_ @ I KU5 Q 3b: IP_Jp > O EF:=<?793 Q6IPO G?K?3H@?8 QbO >LEg5[a
5 I K Q 3: O >\M O]I MUEJ@A3M 3;G?:M?EJ8 p 3 O @ I KU5 _ 3YL>\EJ5=EJK IPp 3@ k G?K79EJK?EF7HG?7 _ > Q;IL_ z|GUK ILQ EJ3 O : O >\M
OXI M?Eg@A3;793;K`: O 3; O >\EJ@?E I @?3R7 I G?Y XI Eg5[3B5M O >LM O EF8;:=8B5798 Q;I KUEJj`G?3B5X~bv
243R:X<?8;> O d67935[GUEFY I K`:e@ I u3 W C 365[:{G?K @?365 O 8B5[G _ : I :X5e@A3 ÛI 5[3H5[G Oe_JIQ >LKrY\3 OXp 3;K Q 3
@AG O 3 Q G?EF:5=EJ7G _ 8Lv >\GU5m3;K @A>LKUK?3 O >LKU5HG?K?3 M O 3;GUYL3zl@ I Kc5HGUK Q6I 5mM IPO :=E Q G _ EJ3 O ~@ I KU5 _gI
5[3 Q :XEF>\KsUv Uv V KsM >LG OXOXI9Q >LKU5=G _ :=3 O eGAU>ZJ6An Q LG Q;ILO :R cn Q LG O
@A365 p 8;K?8 OXIL_ Eg5 I :=EJ>LKc53;:{@A365 O 8b|8 O 36K Q 3B5 ^ E Û_ EJ> p\OXI M?<?Egj\GU3656v
n

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I
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C(V ) > 0 _
V

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C(V)
= ,
limn T(n) = 0
exp
T(n)
n
, % 2 [8# ^ [8W - _^ _ -.%42#`[\7!1!9% -.% ^ W0[8!$[8W * $7- 34* 9 :%
2; % ^ #Z'<4"'M:7[8,=%
V,
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V
UHGSEF
-<; *"- $>7,)[8#83

W %Y:
limn P(Xn Vmin ) = 1.
>LG O EJ79M _gI K`:=3 O{_k IL_Fp > O Eh:X<?793Ln?>\KZMc>\G O=O]I9Q <?>LEg5=E O_k G?K @A3B5{5 Q <?8;7 I 5{@A3R:=3679Mc8 OXI :=G O 35=G?Eha
Y I K`:
zl@A8 Q;O >\EJ5X5 I K Q 3 _ > p\ILO EF:=<U7mEgj`G?3B~
C
T (n) =
ln(n)
>\G
}z O 3 Q G?EF:M ILO M IP_ EF3 O ~
1 M >LG O
T (n) =
e
n<e .
k
w E C > C(V ), _ 365 Q >LKU@?Eh:XEF>\KU5@AGs:=<?86> O d;793R?vJLv CC5=>LK`:YL8 O EFyU863656vrV IP_ <?3;G O 3;Gc5[367m36K`:6n ^ EJ3;K
j`G?3 _JImQ >\KU5u: I K`:=3 C(V ) 5 k 3bqAM O EJ7m3f3;Ks|>\K Q :XEF>\Ks@A3 V z|Y\>LE O M IPO 3;qr3679M _ 3f Q6IPO :( Un LK Q;IP_gQ G _ M OXI :=Egj`G?3(365[:36K p 8;KU8 O]IP_ EF79M >\5X5[E ^?_ 3Lv

KYL>Tt ILp 36G O @A3 Q >L79793 O]Q 3 @A>\Eh:
YrEJ5=Eh:X3 O G?KD3;Kc5[367 ^?_ 3 {1, . . . , d} @A3eYrE _J_ 3B5;n O 36YL36K?E OQ <?3 F _ G?E 3b:Bn\M >LG O 8 Q >LKU>L79EJ5=3 O @AG:=3679MU5
3b:@A3 _k ILO=p 3;K`:6nr79EJK?EF79Eg5[3 O_gI @?EJ5[: I K Q 3(M ILOXQ >LG O G?3Lv
w EK?>LGc55[G?MUMc>`5[>\KU59j\GU3 _ 3 YL>Tt IPp 36G O M IPO :@?3 1, _lk 365=M ILQ 3Z@ k 8;: I : M 365[: _k 3;KU5=3;7 ^?_ 3
@A3D:X>LGU5 _ 3B5EF:=EJK?8 OXI E O 365Mc>`5=5=E Û_ 3B5
>
3;: . . . , x(d))
365[:HG?KU3M 3 O 7GA: I :XEF>\K@A3 {2, . . . , d}.x =2(x(1),
3 Q;ILO @?.EFK. .ILx(d))
5[:@A>L=K Q 1(d (x(2),
K K?>P: I K`:
_ @?3 M 36x(1)
1)!.
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x(d + 1) = x(1)
b
OR [
OR [
(k1)C
kC
BDCFEHGIKJEL
ORQ E

0.EHZ
TYE
, G
GSEV ,E^[\

>
V (x) =
d
X
dist(x(j), x(j + 1))
@A8B5[E p KU3 _gI @AEg5u: I K Q 3C@A3 a b.

bi>\G O EJ79M _JI K`:=3 O_k IP_Jp > O EF:=<?793R@AG O 3 Q GUEh:E _ I G?:e@A8bycK?E O G?K?3 O 3 _gI :=EJ>LKZ@A3RY\>LEg5[EJK ILp 3(5[G O
23M _ GU595=EF79M _ 3 Q >LKc5[Eg5u:X3 8 Q \K\:mYL>\EJ5=EFKc55=EM >LG O G?K
M.
Q >\G?M _ 3 2 i < j d, x(i) = y(j), x(j) = y(i), 3;: _ 365 I G?: O 365 Q >r> O @A>LKUK?8;3B5 O 365[:=3;K`:
EFK Q LK`: _ 3 O 865=G _ : I :D@A3 _k IL_Fp > O Eh:X<?793s@?G O 3 Q G?EF:5=EJ7G _ 8 I YL3 Q 100
YrE _J_ 3B5@AEJ5=M >\5=8;365 O 8 p G _ EJd O 3;7936K\:@ I KU5 _ 3(M O 3;79EJ3 OQ;I 53;: 30 YÈ _J_ 3B5 Q LEg5[EJ365 I GLKU@v? I Kc5 _ 3B5@A3;G?q Q;I 5 _ 3 Q E O]Q G?EF:EFKUEh:XE IL_ 365[: Q <?>LEg5=E I G < I 5 IPO @ v
iter : 0 lg = 51.061205
iter : 1000 lg = 38.335783
iter : 2000 lg = 25.525525
iter : 3000 lg = 17.840201
iter : 5000 lg = 12.877175
iter : 10000 lg = 11.234877 iter : 20000 lg = 10.662742 iter : 30000 lg = 10.414214 iter : 50000 lg = 10.165685 iter : 80000 lg = 10.082843
iter : 100000 lg = 10.082843 iter : 200000 lg = 10.082843

. ZY
E
F
iter : 300000 lg = 10
% ? ! 2* $ % ,0:
iter : 500000 lg = 10
24"W;W %,=24%0*7? %42
100
^ F F \ \ <F6^^
^ _^y ^yBF y 6
Oy
C ^ \y6 l''yB\'6/<B664'6BF Oy

iter : 800000 lg = 10
? [8-8-.% ^
y
M \^6

Q0Z
0 13.543797
1000 14.298965
10000 11.779551

60000 4.2284295

. ZY\E#F.M
30
100000 4.2284295

?G[8-8-.% ^ *
31* ^ *", :
50000 4.2284295
90000 4.2284295
%?" ! * $>% ,0:>%024"W;WY% ,=24%;*"?"%42

%
5000 11.660988
40000 4.2731073
80000 4.2284295
30000 4.6795147
70000 4.2284295

20000 7.1401916
3000 13.585086
2000 11.615011
I
f o p q Qq [j ^n o k/rOstC34"65 G = (S, A) *+>:14\09&7+%

;<3B>+>&%'WC%
?@dC8)'5F"2(*&%
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=C%A?F9&7+T'%-=+*C%)%<?@5A=C'# >+"$%)=&0>&?,c. %!W+%'8)9&,$% CX BX !XtC*+9&9G3B?F34>&?(*&%A,c. 3B>L;\7&%!;!7+% \0>&14%' A,$%
8-0OW+"$8*&8 =+%Z?F9+7&T'%<?`=C*+%<??F*C G. %
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BDCFEV

V (x) =
;'"6%
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x(s).
V.
b8)9&,204>5%'%'55%<?@5%'`,c. 0,$1B34"657+8)%BX
sS

JKMLNK
2

@T
UR5S

2

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RG?Y O 3 3;: @A3 _gI M 3 O |> O 7 I K Q 3 :X>LGTu>\G O 5 QbO >LEg5X5 I K\:X3 @A3B579>Tt\3;KU5s@A3 Q;IP_gQ G _ v _ 5[G ^ 5[EF:=3
K?8 I K?79>LEJKU5@A3;G?qM O > ^?_ d;793B5365X5[36K\:XEF3 _ 5EJK?<?8 O 36K\:]5 Q 3;:[:=3 I M?M O > Q <U3
_gI @?EJ5[: O E ^ GA:=EJ>LK 5[EJ7G _ 8639Mz [ 8% _gIH_ >LE@A3 X ~K k 3B5u: I 7 I EJ53;q I\Q :X3;793;K`: _JI @AEg5u: O E ^ GA:XEF>\K
Q <?3 OXQ <U8;3
E _ K k 3;qrEg5[:=3RM I 5@A3R79>TtL36KG?KUEFY\3 O 5[3 _ 5[EJ79M _ 3Mc3 O 793b:=: I K\:{@ k 3B5u:XEF793 O{_lk 3 OXO 36G OQ >\797mEg5=3
@ I KU5 _k I M?M O > qrEJ7 I :XEF>\K
24>LE (X ) .
b _ GU5M O 8 Q Eg5[867m36K`:6nAM >LG O
y?qA8LnAK?>\GU55 I YL>\KU5ez|:=<?86> O d;793 BADv BAvJ r~j`G?3 _k 36K`:=EJ3 O
>0
/
>
OR [
+ +
OR [
N () = inf
n0 :
sup
|P(Xm = x) (x)|
3B5u: ^ EJ3;KH@?8byUK?EnT7 I Eg55=>LK Q;IL_JQ G _ 3B5u:3;K p 86K?8 O]IP_ EF79M >\5X5[E ^?_ 3Lv Gc5=5=ElnT@ I KU5 _JI M O]I :=Egj`G?3Ln
_ 3 Q <?>\Ehq@?GZK?>L7 ^?O 3C@?3CM I 5{@A3C5[EJ7G _JI :=EJ>LK 365[:{M _ GU5{5=>LGUYL3;K`: I I E O 3C@ k EJK`:=G?EF:=EJ>LKZ>\G
@ k 3bqAM 8 O EF7936K\: I :XEF>\Ksj`G?3C@ k I K IP_ tr5=3 O E p >\G O 36GU5=3Lv
2435[3 Q >LKc@RM O > ^?_ d;7933B5u: _k > O E p EJK?3@A3K?>\7 ^?O 3;G?qf: OXI Y I GAqe:X<?8;> O Egj`G?365 O 8 Q 36K\:]55=G Oi_ 3B5=j`G?3 _ 5
K?>LGc5 O 36YÈJ3;Kc@ O >\KU59@ I Kc5 _JI 5=3 Q :XEF>\K Uv Uv eG I K`: I G M O 3;79EJ3 O nE _ K k 3B5u:DM I 5m|>LKU@ I 793;K`: IL_ n
Q;ILO @ I KU5 ^ EJ3;K @A365 Q;I 5mG?K?3sMc3;:=EF:=3 3 OXO 36G O 5[G O9_gI @?EJ5[: O E ^ GA:=EJ>LK 5[EJ7G _ 8633B5u: ILQ6Q 3;M?: IPÛ_ 3
Q >LKU@AEF:=EJ>LK ^ EJ3;Kx5 O @A3mM >LG?Y\>LE O 3B5u:XEF793 ORQ 3b:[:X3H3 O=O 3;G O z Q 3j`G?EK?>LGU5 O]I 79d;KU3 I GN5[3 Q >\KU@
M O > ^?_ d;793B~bv
mn,xM

bR bC' D oi u CR ] b C

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K 1996, EF7 b O >\M?M 3b: I YrEJ@ E _ 5=>LK >\K\:DM O >\Mc>`5[8}z @ I KU5Z ~9GUK O 3;7 ILO j`G IL^?_ 3
>
IP_Jp O EF:=<?793@?35=EJ7G _gI :XEF>\Kj`G?E Q >LK`:X>LG O K?3 _ 365@A36GAqCM O > ^?_ d;793B57936K\:XEF>\K?K?8B5@ I KU5 _JI 5=3 Q :XEF>\K
?vJLv H36K Q 3C5[36KU5j`G?3
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_k IP_Jp > O EF:=<?793R5 k IPOXO b:=3f3;KsG?Ks:=3679MU5Cz IL_ 8 I :X>LE O 3 ~yUKUElv

.-
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w >LEF: P G?K UK >Tt I G5[G O M. V K5=G?M?M >\5=3Nj`G?3 P 3B5u: _ 3NK?>Tt I G EJKU@AG?EF:ZM IPO G?K5[tA5[:=d67m3
@AtrK I 79Egj`G?3 PI _ 8 I :X>LE O 3 (f, m), QPk 365[:[a Ta @AE O 39z|Y\>LE OQ 
B3 5u:9G?K 3;KU5=3;7 ^?_ 3 @A3sM IPO]I 79d;: O 3656n m GUK?3M O > ÛIP^ E _ Eh:X85=G O 3b: f : M M
G?K?3 I M?M _ E Q6I :XEF>\K z|79365=G O]IP^?_ 3B~bv I M?Mc3 _ >\KU5z YL>\E OQ O d;793 BAv Uv \~Cj\GU3 Q 3;:[:=3
<rt`M >P:X<?d65=3K k 3B5u:36K O EJ3;K O 365[: O E Q :=EJYL3 Q;ILO :=>LG?:oK?>Tt I GC7 IPOXW >TYrEF36KC365[:EFKc@AG?EF:oM IPO G?K5=tr5[:=d6793
@AtrK I 79Egj`G?3 IP_ 8 I :=>\E O 3Lv w >LEJ3;K`: ( ) G?K?3s5[GUEh:X3@A3Y ILO E IPÛ_ 3B5RElv Ev @v@A3 _ >\E m, D 3;: G :
_ 365 I M?M _ E Q;I :XEF>\KU5 IP_ 8 I :=>LE O 365@A8bycK?EF3B5M IPO
M M
3b: G = f f .
D = f f
243B5798b:=r@?365 Q;_JI 5=5=Egj\GU365@A35=EJ7G _gI :XEF>\KZM IPO{Q TYD@A8 Q;O EF:=3B5M O 8 Q 86@A36797m36K`:
5[>\K`: ÛI 5[86365m5[G Om_gI 5[EJ7G _JI :=EJ>LK @?3 G . 2 k > O E p EJK IL_ EF:=8s@A3 _JI 798b:=r@?3 @?3 b O >\M?MAa E _ 5[>\K
Q >\KU5[Eg5[:=3(5[EJ7G _ 3 O D !
w >LEF: _k 36KU5=3;7 Û_ 3s@A365 I M?M _ E Q;I :=EJ>LKU5 Q >LKc5u: I K`:=3B5@A3 M @ I KU5 M. 2 k IP_Jp > O EF:=<?7935 k 8 QbO Eh:
IP_ > O 5 Cst
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: I Mc3 n + 1.
w E D 6 Cst
E O 3 O @A3 _ >LE m,
w EFK?>\K4nryUK4v D = D f .

P (x, y) = m( : f (x) = y)
'
>
n+1
n+1
n+1
243 O 68 5=G _ : I :M O >A@AG?EF:M IPO_k IL_Fp > O Eh:X<?7939zl5[EE _ 5 k ILO=O b:X3+H ~o3B5u:{@A>\K Qf_JI Y ILO E IP^?_ 3 IP_ 8 I :X>LE O 3
>
Z = DTc (x) x

N : D Cst}
365[: _ 3Y# % W/ ^ :% 24 *"-.% ^ 2 %!924%@?T3 (D= inf{n
).
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O d6793 BADv BAvJ `~ @A3B5 Q < ITS KU3654@A3V IPOXW >TYycK?EF3B5436K Q <?>LEg5[Eg5X5 I K\:G?KU3 O 36M O 865=3;K`: I :=EJ>LK(M IPO :=E Q G _ EJd O 3
I 5X5[G O]I K`:j`G?3 T 5[>\Eh:yUK?E M O 365Xj`G?3e5 O 3;793;K`:6vr I KU5 _ 3B5M O > ^?_ d;79365@A3e5=EJ7G _gI :XEF>\KU5;n
(f, m)
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M IPO @A3B5 Q >\KU5=EJ@A8 OXI :=EJ>LKU5EJKA|> O 7 I :=Egj`G?3656v _ I GA:{@A>LK Q @ k IL^ > O @s5 k I 5X5=G O 3 O j`G?3 T 3B5u:yUKUElv
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n Tc , Dn = DTc .
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Dn
Gn
3B>58)<8)%,$34"/H
limn P(Dn (x) = y) = limn P(Gn (x) = y) = (y),
3E,20A=C%'>&"$T'%
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w >\Eh:
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2
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HU8)34>_5F%!Z(*&%?F"
K 1 E XN .
sup Xj K
0jN
(Xn )
Cp
+X

%'?@5
*&>+%?F34*&? 8-0F5"$>&1B04,$%
6\
1 Z

K`JK
+,*+

5P

T
R5QP

Y `]Q\
[

L2
>LGc5e@A>\K?K?3 O >\KU5e@ I KU5 _JI 5[3 Q :XEF>\K Uv @?3 Q 3 Q P:=<Ud65=365 _ 3B5eM _ GU5e I E ^?_ 365
5[>\GU5 _ 365Xj`G?3 _J_ 3B5 _gI M O >LM O EF8;:=8C@A3 Q >\K`Y\3 OXp 36K Q 3f365[:eY O]I EJ3Lv5b>LG O_ 3H79>L793;K`:6ncK?>LGc58b:XGU@AEJ>LKU5
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X
"
V
UHGSE
NFN
7[8#
M = (Mn )
!9%;WY*",)#Z[8!V$ *"- % 43 ",)! _ Y

% :>*"! ^ 2 2; % ^ #`'<47'M:"[8,=%#&%-8-.%
L ,
X
sup E(Mn2 ) = E(M02 ) +

n
*"-.7, ^
2 7!1?"% , >
$ % /9,=% ^
(Mn )
i1

E (Mi Mi1 )2 < ,
% ^ ,=%W %!1#% #:*"! ^ 2 ?"% , ^

L
"
! % ?
+8*
M .

2
2
0 3B?F3B>+? = supn E(M
n ) X 3B8)8)%,20?F*&"65% E(Mn ) %<?@5 ;'3B"$?F?04>5%BHC%<,$,$%;'3B>_%'14%Y%!?
'% 5 E (Mn+p Mn )2 E(Mn2 )0 ?F" n + . *&"$?(*&%Y,2%
8-0^@3\04>5>&%=+<9G%'> =
9 0?A=+% p H supp E (Mn+p Mn )2 0 X0N?F*&"65% (Mn ) %<?@5)=C3B>+;V*+>&%-?F*&"65%I=+% 04*+;!7d
=&0>&? L2 , (_*+"U;<3B>_%'14%=+34>&;
=+04>&? L2 c;^0O L2 %<?@5`;<3B8)9+,2%!5 %'?*&>+%ZGX 0CX M X
a D:34>_5F34>&?`(*. %<,$,$%
;<3B>_%!1B%
9X ?<X
>I9G3B?0>_5 Vn = supi,jn |Mi Mj | H+3B>E;'3B>&?@5F*+"65*&>&%?F*&"65%=+<;!3B"$?F?04>5%BH&(*&"U;<3B>_%!1B%
9X ?<X%'? V X[. 049+T'?
,/. "$>&'104,$"65V=+%A33Ba M57+<34T'8)% +X _X
049&9+,$"J(*+<% I,20 {Fn+k }k0
8-0F5"$>&1B04,$% (Mn+k Mn ),

E(Vn2 ) 2limN E( sup |Mk Mn |2 ) 8limN E(|MN Mn |2 ) = 8E(|M Mn |2 ).

nkN
Ct " n 5%<>&=u
0*&?F?F"%'? H;'%N=+%'>+"$%'A5%'8)%- 5%<> =L%!? 0 X0?F*&"65% (Mn ) %<?@5-=C3B>+;:*&>+%

?F*&"65%A=C% 0*&;\7dE9G3B*CZ,20-;<3B>_%'14%<>&;'%[9X ?<X ,$,$%A;<3B>_%!1B%=+3B>+;9X ?<XU%'5Z?0-,$"28)"65%9X ?<XU%<?@5
>&<;'%<?F?04"6%<8)%<>5 M ;^0
=+%[,20-;<3B>_%!1B%<>+;<%A=+04>&? L2 =+% (Mn ) 3B>9G%<*+5Z=+^=C*&"6% c3B"6
,$%
57&<3T<8)
% CX _X =C%:,c. 049&9G%'> =+"$;<% [,/. %'WC"$?@5%<>+;<%E=U. *+>&%I?F3B*&? ?F*+"$5% (Mn ) (*+";<3B>_%'14%:9X ?<X
%'? M .

e le2 I 7 ;793 M O 3;G?Y\379>LK`: O 3 _gINQ >LKrY\3 OXp 3;K Q 3@ I KU5

5[E>LK
:=EJ3;K`: Q >\7mM?:=3C@A3 _ k EJK?8 p\IP_ EF:=8z cv r~M >LG O G?K?3R7 IPO :=EJK p\IL_ 3 ^ > O K?8;3R@ I KU5 LL v (p > 1),
Pe z
K?3G O KU3 Q >LK`:=EJ3;K`: N ^ >\G _ 365 @A3 Q >\G _ 36G O 5
v Q \K:=E O 3eG?K?3 ^ >\G _ 3 I GLK _JImO 3;793b:3;K I u>\GA: I K`:G?KU3 ^ >LG _ 3R@A3(7 ;793 Q >\G _ 36G O v w >LEF: N _ 3(K?>L7 ^?O 3R@A3 ^ >LG _ 365@A3
EHG
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NF
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D J
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n
5 D
Y YZ 0 Y

8
Q >\G _ 36G O i _k EJKU5[: I K`: n, X _gI M O >LM > O :=EJ>LK @A3 ^ >LG _ 3B5{@A3 Q >LG _ 3;G O i zM[ 8%
w >\Eh: F = (X , . . . , X ). b ILOQ >LKc5u: O G Q :=EJ>LK
X = (X , . . . , X ).
+ +
i
n
1
n
m
n
I

i
Nn
N +n
Xni =
~3b:
i
E(Nn+1
Nni |Fn ) = Xni ,
@ k>
E(X
X |F ) = 0.
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Q >\K`Y\3 OXp 36K\:X3Lv >\GU5 O 36YrEF36KU@ O >LKU55=G OQ 3(79>A@Ad _ 3C@ I Kc5 _JI 5=3 Q :XEF>\K v Bm@AG Q \KU5=86j`G?3;K Q 3D I\Q E _ 3 @AG:=<?86> O d;793 cv Uv 365[: _gI _ >LE|> O :=3 @A365 pLO]I Kc@?5KU>L7 ÛO 3B5
@A>LK`:(K?>LGc5e@A>\K?K?>\KU5fM _ Gc5[EJ3;G O 5eYL3 O 5=EF>\KU5;v 243 _ 3;79793m@A3 O >LK?3 Q]W 3 O 5[G Of_ 3 Q >L79M > O :=367m36K`:
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GA:=E _ 3Lv

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% *7-.", ^
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7
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: %! "W 3 , % ^ , _ % - ^ +
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>
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n
n
X
1X
1
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si ).
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n
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7
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1
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X
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NF PO<Q

JJ
E
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. ^YT8
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7
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/
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X1 , . . . , X n
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:>% ^ ? *7'
1X
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n i=1

> %<8)9&,20<04>5 Xn 9 0 Xn m, 3B>E9G%<*C553B*@3B*C??F*&9&9G34?F%'`,$%<?B0O"J0a&,$%<?`;<%<>5F<%<?<X

I
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X Var(Yn )
n
n2
X
n
sup(,1)
dx
1
=
.
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X 43 ?F3B>&?
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X = X1 .
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L2
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X X 2 1{|X|n}
X
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n
n
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n .
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X
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n
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5 5 Y YZ 0 5
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[. 049CT<?,2%
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{ 5%<,(*&%Z9G34*+534*+5 n, "$,%'WC"$?@5% p > 0 5%<,(*&% Xn+p () = Yn+p ()}
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V K Mc36GA: O]I K?3 OQ 365 O 865=G _ : I :]53;K GA:XE _ Eg5 I K\: _gI Y IPO E I :=EJ>LK j`G I @ O]I :XEJj`G?3(M O 8;YrEg5[E ^?_ 3
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,
^! {hM i < } a
OR [
OR [
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M
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0 ^
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Mn

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Zn
=C%ZGX 0CX "$>5<1\04a&,$%<?<H =+'#&>&"$%<?9&0

Zn =
*+"$?(_*+%

hM in
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E((Zn )2 |Fn1 )
1
E((Mn )2 |Fn1 )
(1 + hM in )2
Z hM in
hM in
1
dt.
(1 + hM in )2
(1
+
t)2
hM in1
=
=
0`?F*&"65%BH
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1
dt = 1.
(1 + t)2
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=+34>&;
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04>+?`,$%
;^0?Y3 hM in ;<34>CB%'1B%
9X ?<X+%'?*+>&%Z,$"$8)"65%Z# >&"$%BH+9G3B*C`9+%<?(*&%Y53B*+5 HC,20A?F'"$%=C%
5%'8)%14<>&!\04, Zn () %'5,20[?F'"$%=+%Y5%'8)%14<>&'\0, Mn () 34>_5,$%
8)<8)%`%<>+?F%<8[a+,2%Z=+%
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CC C b CC
>\GA:=3{5=G?EF:=3 O 863 _J_ 3 Q;O >\EJ5X5 I K`:=3 ^ > O K?8;33B5u: Q >LKrY\3 OXp 3;K`:X3Lv 3 O 865=G _ : I :8 _ 8;793;K`: I E O 3z 7 I EJ5
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An = An An1 = E(Xn |Fn1 )
Xn An
Mn
Pn

2
2
2
E(Mn ) = E(X0 ) + i=1 E((Mi Mi1 ) ).
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L2
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=+%Z;<0F"$>_5'14\04a+,$%BX >E9&0F5"$;<*&,$"$%'^H
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2
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) + 2E(Xi1 (Ai Ai1 )).
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E(Mn2 )
E Xi1 (Ai Ai1 )
E(Xn2 ) + 2
E(Xn2 ) + 2KE(An )
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E(Xn2 2KXn ) + 2KE(Xn + An )
2KE(X0 ).
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Xn + A n
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n
n
% # !9% WY*",)#Z[8!V$ *"- % /1 ^ [8#Z[8? % % #
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(Zn ) ^
5 5 Y YZ 0 5
[

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%<?@5*&>9C3;<%<?F?F*+?[;'34"2?F?0>5^H9G3B?F"65"6KyH9+'C"$?F"$a&,$%-%'5
(Xn+ )
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9G3B?F"65"$%BX
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=. *&>+%Z?F3B*+? 8-0F5"$>&1B04,$% 9G3B?F"65"$% c;^0O
!H =U. 3 E,$%Z<?F*+,$5\0O5^X
E(In ) E(|X0 |) + E(Xn+ ) E(|X0 |) + K

I
Yn = X0+ +Mn +E(I |Fn ) X0+ +Mn +In = Xn+
Zn = Y n Xn

+
Yn X n X n

>\GU5Mc>\G?YL>\KU57 I JE K\:X3;K I K`:M O >\G?YL3 O_ 3(:=<U8;> O d;793 Uv UvJ

tC*+9&9G3B?F34>&?9G3B*C;<348)8)%<>&;<%!,20?F*+ 8-0F5"$>+104,$% (Xn ) 9G34?F"65"2B%BH_aG34>+<%Y9&0 K X_[. 049CT<?,$%

$, %<8)8)% CX +X _H%<,$,$%)0B=C8)%'5Z*+>&%A=C<;<348)9G3B?F"65"$3B>%<> Xn = Mn An H3 Q,20I8-0OF5"$>&10,$%[%<?@5
aG34>+<%A=+04>&? L2 X0I8-0OF5"$>&10,$%A;<3B>_%!1B%A=C3B>+;[9X ?<X%'?*&>&%,$"$8)"$5%# >+"2%4H%!5
;<3B8)8)%,20
?F*&"65% (Xn ) %<?@5aG3>&<%A"$,%<>P%'?@5 =+%A8)<8)%=+*9+3;'%<?F?F*&?;'34"2?F?0>5 (An ) X0I?F*&"65% (Xn )
%<,$,$% 8)<8)%-;<3B>_%'14%:=C3B>+;V9X ?<X 0A;\7 0>&14%<8)%<>5A=C%I?F"$14>&%BH"$,%<>%<?@5A=+%V8)<8)%)9G3B*CA,$%<?
?F3B*+? 8-0OF5"$>&10,$%<?YaG3>&<%'?<X
3B>&?F"2=C'3B>+?:8-04"$>5%<>&04>5V*&>&%R?F*C 8-0OF5"$>&10,$%9G34?F"65"2B% (Zn ) X0L?F*&"65%Q=+%N5 %'8)%N1B'>&'\0,
Xn = eZ %<?@5:*&>+%N?F3B*&? 8-0OF5"2>+10,2%R9G34?F"$5"$%;<348)9+"$?F%R%<>5F% 0 %!5 1 X ,$,2%;<34>CB%'1B%
=+34>&;9X ?<X2H&=+%Y8)<8)%Y(_*+%,20?F*+"65% (Zn ) ;'3B> =C"65"234>E=U. 04=+8)%'5F5F% + ;<3B8)8)%`,$"$8)"$5%4X DE0"$?
E(Z ) = E(lim inf n Zn ) lim supn E(Xn ) E(X0 ) X0I,$"$8)"65%[%<?@5
"$>5<1\04a&,$%A%!5=+3B>+;
# >+"2%9X ?<X
3B*+%<%<>+"$
04*+WE?F3B*&? 8-0OF5"2>+10,2%'?
'"6#G0>_5Z,J0V;<3B>&=+"65"$3B> supn E(Xn+ ) < HU34>Q*C5"$,2"$?F%A,$%
,$%<8)8)% +X +X CH(*&"9G%!8)%'5)=C%:=C<;<3B8)9G34?F%'),20R?F3B*&? 8-0OF5 "2>+10,2%I;<3B8)8)%V=C"$SU!%<>&;<%:=. *&>+%
8-0F5"$>&1B04,$%Z9G34?F"$5"$%
%!5=. *&>+%?F*C 8-0OF5"$>&10,$%Z9G3B?F"65"$%BX %<?=+%'*+W-?F*&"65%<?;'3B>_%'14%<>5`=+3B>+;
9X ?<X+%'?`=+%<?,$"$8)"65%<?# >+"2%'?`9X ?<X&%'5`"$>5<14\0a&,$%<?<X

e le le
243s:=<?86> O d;793 Uv ?v 5=3 @?86@AG?EF:D@AE O 3 Q :=36793;K`:D@AG:X<?8;> O d6793 cv cvF\v
KN3 3b:Bn5=E (M ) 365[:RG?K?3m7 ILO :XEFK p\IP_ 3 ^ > O K?863m@ I KU5 L IP_ > O 5 (M ) 365[:RG?K?35[>\GU5[a
7 IPO :=EJK pÌP_ 3e3;: sup E(|M |) sup E(M ) < .
}z
g~EJ3;K j\GU3 _JIH_ EJ79Eh:X3C@ k G?K?3C5=>LGU5[a7 ILO :XEFK pÌP_ 3 ^ > O K?8;3R@ I KU5 5[>\Eh:G?K?3
Y IPO E IP^?_ 3 L n _JI Q >LKrYL3 O=p 3;K Q 3K k I M I 5z|:=>LGPu>LG O 5X~ _ EJ3;G @ I KU5 L . >\E Q ELG?K Q >\K`: O 3
3;qr3679M _ 3 I 5=5=3 F(5=G O M O 36K I K`:Rz|3bqr: OXI Eh:@AG Q >\K`: O L_ 3 Q;_JI 5=5 I K`: B L\~bv
I KU5 _gI 79>A@A8 _ Eg5 I :=EJ>LKs@AGM O EFq@ k G?K:XEh: O 3eyUK I K Q EJ3 O nr>LK: O]I @AG?EF: _ 3B5Y ILO E I :XEF>\KU5 O 3 _JI a
:XEFY\365@AGDM O EhqD@AGD:=EF: O 3e36K\: O 3e@A3;GAqD@ I :=3B5M ILO_k EJK`:=3 O 7986@?E I E O 3{@ k G?K?3(5[GUEh:X3e@A3eY v I v Z
EJKU@A86Mc36KU@ I K`:X3656n?M O 3;K I K\: _ 365Y IP_ 3;G O 5 1 3b: 1 I YL3 Qe_ 365M O > ÛIP^ E _ Eh:X865 p 3b: 1 p v
w >\Eh: u G?KZK?>\7 ^?O 35[: O E Q :=367m36K`:{M _ GU5 p\OXI KU@ j\GU3 1 vU23CM O EhqZ@ k G?K?3 I\Q :XEF>\K _JI @ I :=3

EHG
Z8E

O< [
OR [
2EH
2 1/2
n

1 Z

n+1

Y `]Q\
[
3B5u:79>A@A8 _ EJ5=8RM ILO

Xn+1 = Xn uZn+1 , X0 = x
nTE _ t I \K`: O]I E O 3\n

QLk 3B5u:=a Pa @AE O 3j`G?35=E
E _ t ImÛI EJ5X5[3(3;: X Z = =X 1u v
w GUM?Mc>`5[>\KU5 p = @A3(:=3 _F_ 3C5[> O :X3Rj\GU3 E(u ) = 1 v
_ > O 56n E(X |F ) = X E(u ) = X > F @A8B5[E p KU3 _gI : O E ^ G3;K p 3;KU@ O 863CM IPO
EJKU5[E (X ) 365[:G?K?3(7 IPO :=EJK p\IL_ 3\nA3b:@A>\K Q n
Z ,Z ,...,Z .
n+1
n+1
n+1
1
1+u
n+1
Zn+1

Zn+1
E(Xn ) = E(X0 ) = x.
IPOI E _J_ 3;G O 5;nAM IPO_JI9_ >LE |> O :X3R@A365 p\OXI KU@?5K?>\7 ^?O 3656n
n
limn
@ k>
1X
1u
Zi = E(Z1 ) = 2p 1 =
< 0,
n
1+u
i=1

M4v 5;v
{EFKU5=E _ 3 Q >\G O 5@A3 _k I\Q :=EJ>LK:=36KU@DM O 365Xj`G?3e5 O 3;793;K`:YL3 O 5 0, IP_ > O 5j`G k 3;K365=Mc8 OXI K Q 3{E _
K?3RY ILO EJ3(M I 5 H
K I GA: O 33;qA3;79M _ 33B5u: Q 3 _ GUE?@A3 _JI 7 IPO :=EJK p\IL_ 3 O 367 IPO j\G IP^?_ 3 I 5X5=> Q EF863eG?KmM O > Q 365X5[Gc5

@A3 ÛOXI K Q <?3;7936K\:Bnr8b:=Gc@AEF863C@ I Kc5 _ 3 Q LG O > ^ :=3;KUE O_gI9Q >\K`Y\3 OXp 36K Q 3f@ I KU5
E _ I GA: O 3;K?|> O]Q 3 O_k <rtrM >P:=<Ud65=3(@ k EJK`:=8 p\OXIL^ E _ EF:=8\v
L ,
w >LEF: M = (M ) GUK?37 IPO :=EJK p\IL_ 3\v >LGc5C@AE O >\KU5Rj`G?3 M 3B5u:CG?KU37 ILO :XEFK p\IP_ 3 !1[ 7,)'
W _ WY% !$# [8!1# _ ,=* -.%9z v ~f5[E _gI I 79E _F_ 3
365[: !1[ ",)W _ W %!1#[8!$# _ ,=* -.%;n QPk 365[:[a Ta @AE O 3\n
(M )

5[E
(
)
Z

Xn
x
1/n
u(2p1) < 1

,3
>
limc
w >LEF:6nA36K Q > O 3
sup
n
|Mn |>c
|Mn |dP
= 0.
limc sup E(|Mn |1{|Mn |>c} ) = 0.

n
X
OR [
OR [
e le
! % Y
W *",)#Z[8!V$ *"-.%
M
24"!$? % ,$ %/F+ ^ +
+ % # :*7! ^
?"%,
^ ! %
? +8* + M ;
Mn
L1
V
UHGSE

O
F
Mn = E(M |Fn ).
[

7[8#
!1[ # 7,)W _ WY% !$# [8!1# _ 7$ , * 3 -.%+

-.", ^
5 5 Y YZ 0 5
[

`

. 04?F?F%!F5"234> (i) %<?@5*&>+%;<34>&?F^(*&%'>&;<%=C*57+<34T'8)% +X +X %!5=C%,c. *&>+"$Kl348)%"$>5<14\0a&"$,$"65BX >

%'SU%'5^H\09&9G%<,$3B>+?(*. *&>+%?F*&"65%vX b%<?@5aG34>&'%=+04>&? L1 %'5(_*+%53B*+5?F*&"65%YvX b(*+" ;<3B>_%!1B%
%<>u9+3Ba&04a+"2,$"65E;<34>_%'1B%:=&0>&? L1 cB3B"6),20Q9C3B9G3B?F"65"$3B> CX _X P%!5),$%:57&<3T<8)%CX _X L=C%
,c. 09&9G%<>&=+"$;<% !X

(ii) tC34"65 F Fn %'5 m n. `,$34? E(Mm |Fn ) = Mn =U. 3 E(Mm 1F ) = E(Mn 1F ). 0
04"$,$,$%<*+?

lim sup E(|(Mm M )1F |) limm E(|Mm M |) = 0.

m
[. 3
E(M 1F ) = limm E(Mm 1F ) = E(Mn 1F ).

ele 7U"[8# Y L1 .
"
?
%
,
^ X = E(Y |F ).
L1

JJ
E
-.7, ^ - * ^! [8#&%
247!1?"% ,$ % / + ^
Xn = E(Y |Fn )
+
% #I:*7! ^

0[?F*+"65%
(Xn )
%'?@5Y*+>&%Z8-0OF5"$>&10,$%BX&Y'"6# 34>&?`(*. %<,$,$%

%<?@5`*&>&"6Kl348)<8)%<>5"$>5<1\04a&,$%BX
E(|Xn |1|Xn |c ) E(E(|Y ||Fn )1|Xn |c ) = E(|Y |1|Xn |c )
= E(|Y |1|Y |>c 1|Xn |c ) + E(|Y |1|Y |c 1|Xn |c )
E(|Y |1|Y |>c ) +
1
cP(|Xn | c) E(|Y |1|Y |>c ) + E(|Y |).
c
7 0;<*&>=+%<?5%'8)%<?=+%;<%'5F5%"$>+<10,2"655%'> =
%'? <'3Z(*&04> = c, ,$%9C%<8)"$%'9&0;<3B>_%'
1B%<>+;<%R=+348)"$>&<%BH%'5V,$%N?F%<;<34> =5F"$_"204,$%<8)%<>5^X %<;<"9C3B*+%Ea&"$%<> (_*+% (Xn ) %<?@5IvX b!X ,2,$%
;<3B>_%!1B%=+34>&;BH+%<>I%'F5*E=C*I57+<34T<8)% +X +X HG9+%<?(*+%Z? +%<8)%'>_5%'5Y=&04>+? L1 %'? X .
by,U%<?@5% [!"$#&%'`(*&% X = E(Y |F ).
tC*+9&9G3B?F34>&?=&0>&?*&>9C%<8)"$%'5%<8)9&?(*&% Y c%!5A=C3B>&;-0*&?F?F" X
%'?@5A*&>+%)GX 0_X9G3B?F"65"$%BX
tC34"2%'>_5 %!5 ,$%<?-8)%<?F*C%<?)=C'# >+"2%'?A9 0O (B) = E(X 1B ) %'5 (B) = E(Y 1B ) 9G34*+
B E. 3B*C53B*+5 B Fn ,

E(Y 1B ) = limn E(E(Y|Fn )1B ) = limn E(Xn 1B ) = E(X 1B ).
Y "$>&?F" %'5 ;<3/>&;<"2=+%'>_5?F*C,/. %<>+?F%<8[a+,$% C = Sn0 Fn . 3B8)8)% C %<?@5?@5\04a+,$%`9&0"$>5%'?F%<;

5"$3B>HB,$%`57+<34T<8)%=U. *&>&"$;<"65`=+%'?8)%'?F*+%<? M57&<3T<8)% CX 4X =C%,c. 09&9G%<>&=+"$;<% >&34*&?049+9+%<>&=
(*. %<,$,$%<?;<3 />&;'"J=C%<>5?F*+,205F"$a&* (C) = F . %(*&"U9+34*&%
=C3B>+;
(*&% X = E(Y |F ).
04>+?I,$%;^04?V3 Y %<?@5E=C%R?F"214>&%Q(*&%<,$;<34> (*&%BH"$,Z?F* [5E=C%9G34?F%' Y = Y + Y 0^%<;

Y + = sup(0, Y ) %'5 Y = sup(0, Y ) %'5=. 049+9&,$"2(_*+%',$%'?F*&,65\05=C<8)3B>5F9G3B*C=+%'?GX 0_X
9G3B?F"65"$%<?<X

1 Z

Y `]Q\
[

K?3 Q >LKU5=86j`G?36K Q 3 I 7GU5 I K`:=3R@A3 Q 3C@A3 O K?EJ3 OO 865=G _ : I :365[: _JI
p > O >T Y v w >LEF: (X ) G?K?3R5=G?EF:=3C@A3RY IPO E IP^?_ 365 IP_ 8 I :=>\E O 3653b:
K K=L

0

-.7[ :
G_ ,=7' D! @A3 {> _ 79>La
2I
#Z,)[3
:%
>\G
% %
"
#Z,)[3
Tn = (Xn+1 , Xn+2 , . . . , ).
* ^"! W/ #&7#`["
@A3
%
(Xn )
\
T =
Tn .
365[: _gI : O E ^ G
243B5(8 _ 8;793;K`:X5H@A3 T 5=>LK`: _ 3B5C8;Y\8;K?36793;K`:X5Rj`G?EK?3D@A8;M 3;Kc@A3;K`:Hj`G?3D@A3 _lk I 5=tr7mM?:=>P:XEJj`G?3@A3

v K YL>LE Q E4j`G?3 _ j`G?3B53bqA3;79M _ 365
(X )
{lim sup X = lim inf X } = {(X ) Q >LKrY\3 OXp 3 }.
P
Q >LKrYL3 O=p 3 }.
{
X
P
{lim
3bqAEJ5[:=3 }.
X
e le
"[8# (X ) ! % ^ [8#&%E:%? *7,)[\* -.% ^ [8! : _ /5%!9:>*"!$#&% ^
n
@
O [
O
O H[

JJ
E
% #
n1
k=0
1
n n
O<Q FTYZ
*Y#Z,)[3
T ^
:>%
"
% %+
V

Z8K[

-.7, ^ a /5
, #&
A T , P(A) {0, 1}.

tC34"$5
Fn = (X0 , . . . , Xn ).
limn E(1A |Fn ) = E(1A |F ) = 1A ,
%'5
;^0
[. 049+T'?`,$%
;<33B,$,204"6% + X +X CH
%<?@5`"2>&=+<9G%'> =&0>5%
=+%
E(1A |Fn ) = P(A)

Fn .

S T 5P Q 1S

w >\Eh: M G?K5[>\GU5[a36KU5[367 ^?_ 3o|3 O 798@A3 R nP>\GHM _ GU5 p 8;K?8 OXIL_ 36793;K`:

G?KC3B5[M I\Q 3Mc> _ >\K I Eg5Mz [ 8% {G?K3B5[M ILQ 3798b: O Egj\GU3 Q >\79M _ 3;:5=8;M IPO]IP^?_ 3B~bv w >\Eh: P(M ) _k 3;KU5=3;7 ^?_ 3
@A365M O > ÛIL^ E _ EF:=8B55=G O M. I M?M 3 _ >LKU5(z YL>LE O_k I M?M 3;KU@?E Q 3B~j`G k GUK?3f5=G?EF:=3 ( ) @ k 8 _ 8;793;K`:]5@A3
24"!1?"%, >% _ #`,=7[8#&%WY% !$#oz|>L@
G %!X-.7[h~YL3 O 5 P(M ) 5=E
P(M )
K K
(A EHZ
T8E
J

+

.E
H*
+ +
$
'
limn
f(x)n (dx) =
M
f(x)(dx)
M
4.4.
CONVERGENCE : LE CAS GNRAL
pour toute fon tion
f : M R
147
ontinue et borne.
Muni de la topologie de la onvergen e troite, l'espa e
P(M )
est lui-mme un
espa e polonais (voir Billingsley [14) ; mais surtout il existe un ritre simple de
ompa it : le thorme de Prohorov.
Dnition 4.4.8 Une suite (n ) d'lments de P(M ) est dite

(a) tendue, si pour tout > 0 il existe un ompa t K M tel que
n (K) 1
pour tout
n0 ;
(b) relativement ompa te, si
tout sous-suite
(nk )
admet une sous suite
(nk i )
qui onverge troitement.
Thorme 4.4.9 (Prohorov). Une suite (n ) d'lments de P(M ) est tendue si et

seulement si elle est relativement ompa te. En parti ulier, l'espa e
si
P(M ) est ompa t
est ompa t.
Appli ation aux hanes de Markov

noyau
est dit fellrien si
Pf
Soit
M. Le
f : M R
un noyau markovien sur
est ontinue, borne pour toute fon tion
ontinue borne.
Thorme 4.4.10
Soit
(Xn )
une hane de Markov sur
suppose que la mesure d'o upation de
de noyau
fellrien. On
(Xn )
n
n =
1X
X
n i=1 k
est tendue p.s. Alors, ave probabilit un, haque point limite de
bilit invariante pour
(n )
est une proba-
P.
Dmonstration :
Soit f : M R ontinue et borne. Posons Un+1 = f (Xn+1 ) P f (Xn ) et Mn =

Pn
X
k=0 Uk . Alors (Mn ) est une martingale (pour la ltration F ) et par appli ation du
thorme 4.3.7
1
limn Mn = 0
n
p.s.
1 Z

[. 3
limn
fdn
>:9 0F5"$;<*+,$"2%!^H&9G34*+`;!7&0B(*&%9G3B"$>5,2"$8)"65%
Z
f d =
=C%

Y `]Q\
[
(Pf)dn
P f d =
= 0.
f d(P ).
M
Z%<*CWR8)%<?F*+%<?(*+";'3 />&;<"2=C%<>5?F*+,$%<?
KM34>&;'5"$3B>+?;'3B >5"$>C*+%<?
aG34>+<%<??F3B>5<1B04,$%<?9 0O[09
9&,$"$;^05"$34> =C*57&<3T<8)%V=. *&>+"2;'"$5I=+%-,c. 049+9G%<> =C"2;'%BX >L%!SU%'5^H3B>u09&9&,$"2(*&%-;<%'5F5%I=+%!>&"$T'%
) +
] 3 F %'?@5
*&>NKM%!8)[=C% M.
< 10,$"$5 I,20-Kl3B>+;'5"$3B>P;'3B>5"$>C*+%aG3>&<% f (x) = [1 d(x,F

3B8)8)% f ;<34>CB%'1B%)?F"$8)9&,$%<8)%'>_5^HU9G34*+ 0, %'? 1F , 3B>P%'>=+<=+*&"65 c9&0;<34>CB%'1B%<>+;<%
=+348)"2>+<% (*&% (F ) = (P )(F ) 9G3B*C`534*+5Kl%'8) F M. [. 3 = P 9 0O`049&9+,$"2;<05"$3B>
=+*V57&<3T<8)%
=. *+>&"$;<"65 CX BX A=+%
,c. 049&9G%'> =+"$;<%4X

e le

% #I24"W/1*2# %#
% #&# %-8- _ ,)[\% !1a -:; % ! ^ %W
$[
M ^
P ^
[8!1?"*",)[\*7!1# % ^ :%
% # !97! ? [\:% +
P ^

JJ
E

-.% >
: % ^ / ,= 43 * 3 [8- [8# _)^
K?3 I GA: O 3 Q >LKc5[8Bj\GU3;K Q 3f@AGs:X<?8;> O d67m3 Uv UvJ H365[: _ 3(:X<?8;> O d6793e3 O=p >r@?EJj`G?3(5[GUEFY I K`:{@ k > 5=3
@A86@?G?EJ5=3;K`:BnA3;K M IPO :=E Q G _ EJ3 O n _ 3B5M O >LM >\5=Eh:XEF>\KU5fLv Uv 3;:CLv v m@?G Q 2 #à
# % -8- _ )
, [\%! % # ^ [ :>%/ - ^
*>:"WY% #*
M ^
P
P
/9,=,34* 3 [8- [8# _ [8!$? *7,)[\*"!1# % a *"-.7, ^
24"!$? %,$ %/ ,=% ^ " % ^ ,=%WY% !$+
# ? %, ^
(n )
.
/ - ^
!9%
F;F;F
F;F;F
^[y ^66
s CC CC C fb si C ;
!
"
#!
(
+.&
+ +
?
? ^BZFyA6^&6@6^F
F F \O\? $) A$<y64E^

A
^ \^C^B6<6? O<6J^\
& Z\ ZB666y`6\ y'y6
6^_Uyy
Ôy<6`y< Yy <\_4+ l^ & c</y6BO<6<43F

F <A
6\\
B`<@<^`<
y J ^)< c y^ & + [\B6&^`Jy^B & <6O<6
5

E 8YP

KK=L
=Q
Y `
AT
(

Q=T
Z
^ ^
F ^<
^y'y6^
BM 6O<6 'B6<6 ^ 6F4\6
6y
& <3

A APC

A
P>

sup Xi
0iN
Q0-/L p 1
F F

& _B666y
J 0LID
0G. X -/8 $ DI0-/D 1K +4LI.P984+4J $ Q/0DEG.#GN$" T
Q/0-L > 0
P

E( sup Xjp )1/p

0iN
1
E(XN ) ;
p
p 1/p
E(XN
) .
p1

< ? 6J & 4^ T = inf{i 0 : Xi } 6

6
F ' <yy<^Y< c y
^ Oy6^)N ) + E(XT 1T N )
E(XN 1T N ) +
64
{T = j}

E(XN 1T N ) +
M
\<6 6y
Fj
E(XN ) E(XN T )
Y 65

'
<6 l 6 & < y^
AN
y
& <3<[B[@N ) + E(XT 1T N )
E(XN 1T >N ) + P (T N ).
1
1
E(XN 1T N ) E(XN ).
6O<6 y cy_B6
P(AN )
F@<O_^ y
E(ApN ) = p
1
E(XN 1AN ).
P(AN t)tp1 dt.
Ò<6 \^yYZ6
$'B 6 Y 65
E(ApN )

E(Xn 1AN t )tp2 dt

Z
pE
Xn 1AN t tp2 dt

/>?<
0
Y ` Y@ [U ; Y
pE Xn
AN
tp2 dt
p
E(Xn Ap1
N ).
p1
`$
1 Z
?
<<B66\'y6ÂBM 6O<6 yB^6

E(XN Ap1
N )
& 65[6yB @'y

Y `]Q\
[

</>
< A A
p 1/p
E(XN
) E(ApN )(p1)/p .
C^ 4 6B^[^[<6y^B\^
<6\} ).
?
F F
F

^ p = 2 ^F^ Y6^
^Fy<6 <B<By`?

M
4

B</y6BO<6F : RR+
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^6y@<O[yB
FB
6 (x) = x, (x) = x2 ^ (x) = exp(ax) a > 0& M 6O<6 y
<66, Y$^c</6O<6 Xn = (|Mn |) ^B_^ > 0
sup |Mi |
0iN
4 ^6yy<y

l<F4\
B6
R
sup |Mi |
0iN
1
E((|MN |)).
()
(x) = eax
sup Mi
0iN
F46y <`<B66!'6^[B\Fy`6O<6
< <
a > 0&
!
^^B6\O
sup Mi
+P
0iN
A AB@
?F*C Z 2" ?F?F*+%`=+%
p = q = 1/2

lim sup
n
|Sn |
1
h(n)
h(n) = (2n ln(ln(n)))1/2 .
>V9G3B*CF\0 c%<>E*C5"2,$"$?04>5`,20KM34>&;'5"$34>

8)3B>5F%'`(*&%
(x) = eax
P sup |Si | 2 exp(a + N a2 )

0iN
9+*&"$?
sup |Si |
0iN
>V9G3B*CF\0[%<>&?F*+"65%
9G3B?F%'
N = Kn
_t 3B"65 {Sn } ,20Z8-0;\7&%04,$^0534"6%Y?F"$8)9&,$%

D:34>_5F%!`(_*+%Z9+%'?(_*+%Z? +%'8)%<>5
R+ J<
F F
Z^\
H
1
[E((MN )) + E((MN ))].
()
(i)
%'5
2
2 exp
.
2N
= Kh(K n1 )
9G34*+
K > 1.
!X
0 S0 = 0
5

E 8YP
S T
KK
Q ELX

H \UHGSELT8E
Y `

EV .EV

F F
A
.1$2J9J $2! - $
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L1
0
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4
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Xn X Q"BD7"
^F F ^^B6_? B $<y64^

<F yB6O<6 6
_^y<2y^
9 &6& 6\y \

^y<B\y^Bc</y6BO<6\

4^ x = {xn } y6F < a < b < . ^B6^4B x .#L!+N$FLIDE$ [a, b] $F8 K 048:.#+48:.
<
? ^6 N J^6y+6+F46`B\6@<Oy 0 s1 < t1 . . . < sN < tN \6 xs a ? F xt b. 4
x y y [a, b] \
Ô@<O<[
^6 N J^6<6< N + 1 J^6^6^ x y y [a, b] \
F4
?
?
F
Ô@<OF<F\
O N J^6 6
<O 6
;=</>>?<

A A
$2D +4DDI$FLI.#908:D $F. 19 DE-/GN+8:.1$2D DI08
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GJ $ 4GDE.1$ 34$2-
/>?<
A A
"
< a < b < $F. Ua,b N {} J $ 8 0K O2L!$34$
E(Ua,b ) sup
n0

4^
Yn =
M F-9N+4J $F8:.1$2D
L!+.#908:8 $FJ D a < b .1$FJ D F-/$ x .#L!+N$2LIDI$ [a, b] $F8 K08:.1+8:.-/8 $ 98 8:G.1M,3R$ 70GD7"
09. X -/8 $ ID 0-D 1K+LI.#G8R+J $

.#L!+N$2LIDIME$2D K08:.1+8:.1$2D R
3 $ [a, b].
TJ 0LID
(Xn a)+
.
ba
^y^B
0 = 0
E(Xn a)+
ba
k = inf{n k1 : Xn a}
k = inf{n k : Xn b}.
Y6By< k , k ^Yy
`& <43F 4^
[a, b] OyM 6y<O 0 F M 6By< N. \$<6

N
Ua,b
= YN Y0
N
X
k1
N
Ua,b
6
^Y
y y
^y<
(YN k YN k )
(YN k YN k1 ) YN
N
X
(YN k YN k1 ).
k=1
F k=1
F
^
N k1 N k N, 6^
+ <3F Y<66
$Z^c</6O<6 Y
N E(Y ) sup E(Y )
n F^)^B66
^Y E(YN YN ? ) 0. F6By E(Ua,b

N
n
N
@'l<6@<Oy M 6B
k
k1
1 Z

Y `]Q\
[
F F
F F
^B\B6B @'$\ `B^\

F F 4\<^4B& <66\

supn E(Xn+ ) < , <6^\[<66<O6^\
B BM \By6
{ : a < b Q Ua,b () < }
F F
[B^<B66 y 1. 6y+ <Z66
B
Ôy4 X < L1 .
<6
(Xn )
F F ?
? F F
^ ^)
B
E(|Xn |) = E(Xn+ ) + E(Xn ) = 2E(Xn+ ) E(Xn ) 2E(Xn+ ) E(X0 ),

supn E(|Xn |) <
F<66
_'^

E(|X|) = E(lim inf |Xn |) lim inf E(|Xn |) < .
X.

)
!#" $
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+
z
\ T ^?i 4>2 Y 2N<>@ TRr?2F4q4>2gh-/<>B LIM2]@q2c6 Ik6 LIM2 Z@>@ M@=K5BH2 G4 : <<=KA6 L<><>2 Z652/T
* C: <>-/. . MI ;4=K + 2Fo4 Z6`4 ;- 2]I n PGK LKN< 4 M- 2N@q4X2Fo 6F4=25BH2 G4
Gn (z) =
@A0
2 . -
. 70 90
pq n (1 z) + pn qz pn+1
n (1 z) + z 1
=
.
q n+1 (1 z) + qpn z pn+1
n+1 (1 z) + z 1
. 80 :0
+2
108-
B0 >-
Gn (0) =
<=KA@ ZBCKG_
-
d2
Gn (0) =
_~\
^`_
. 32
. 2 10 . 0
. 10 4-
10 >-
6-
6-
n 1
si p 6= q
n+1 1
n
si p = q.
n+1
T IUe 2Fo4 Z6`4 ;- UT
@A0
?O
q 1/2 Gn (0) = P(Zn = 0) 1
108-
B0 >-
;.
32
A
4
\!\ 7v%,# "
'(
"L
j p < q _k\ p < 1/2^ G (0) = P(Z = 0) TZ* + 25o4 Z6`4 ;- U+ 2N@q4 : @6F25<=4 Z2/T
j
T IUe 25oD4 R6`4 M- ~T
p = 1/2, G (0) =
1
d <,@ m4>2/_ MI U+ e i L2 2 1oC@ ;4 4 M- Z@/- HI : - : ZI 4 M- {@5+ KF4>2 D4 65- : @L<,@ p 1/2 _
- p25IMI;2]@N+ K54=2 D4 WY 2A6 L2 : <>-/. . ;I ;4=K 2 T

@?0
@A0
1270
0 7609-
42
62
. 2
5
2;-
?O
n
n+1
10 12 . 10 4. 70 80
B09-
42
108-
p
q
B0 >-v-
. 09-
;.
10 4-
2 . 10 4-
08-
42
10
p
q
Z@XIM26 @sP/K ZK5< Ib_ L- R@ : - Y - Z@ Z@>@ [KF4 M25<sI : <=-G. . MI m4>K + 2Fo4 Z6`4 ;- 2cI : : LI 4 ;- UT * + - 14 MIJ2N@>@q2 D4 M25IO2N@q4I @ ;4=2 2gh- Z6`4 ;- Z@P/K LK5< 4>< k6F2A@ (G ) : k@>i Z2I : <=. . ;I m4>K + 25o4 Z6`4 ;- 2]I P/K LK5< 4 ;- n 2N@q4 = P(Z = 0) = G (0).
r?-/BHBH2cIM2N@XK Y K L25BH2 D49@ {Z = 0} gh-G<=BH2 G4 L2@ ;4=2C6F<>- k@=@ D4=2G_1Ij+ K Y K L2NBH2 D4W25o4 Z6
4 M- 2]I : - : LI 4 M- 2N@q4 - Z6 4 L<=2NI;IM25BH2 G4 K : <
. 2 . B0 >. ;0 80
10 4 -
- . 7- 42
>2 10
6- 10
108- B0 >.
5
62 . 10 4-
42
4- . 2 d0 B2 0
.
. 70 80
5
>- B0 >6- . 10
. 1270
5
6- . B0 >n
n
6- ,27- 1270
40 . n
>- $- . B2
63;
S -70 /.
5
5
108-
B0 >5
270 >2
U
4U
108- tU
Ext := limn {Zn = 0}.
+ -
\ T G^
d k@=i L2 I gh- Z6F4 M- 2A@3465- D4 L2/_?2F4 i Z2 IM2N@{gh- Z6`4 ;- @=- D4 2A@ ;4=KN<=KN2N@ 2 I
gh- Z6F4 M- _~I @ m4>2 Y K5< Z2
[T * : <=-G. . ;I m4>K + 2Fo4 Z6`4 ;- l2N@q4 - R6
L2]@=-/I 14 M- ]2 Ij+ KNi 4 M
P(Ext) = = limn n .
270 2
4- 108-A2
>2
>- B0 >4. 4- 10 4G
Gn
4- 10 4B0TS
. 1270
.
. ;0 80
5
G
n
n+1 = G(n )
2 7
82 10 42 . 10 45
5
108-
0
B0 >-
4-
= G()
25B <>i L- Z@[i L2 1 2N@q4[4>- a03- L<9@O@=-/I 14 ;- 26F254q4>27KAi 4 ;- UTaVX- R@J<=2A698L25<9698L- R@~@N+ MI12Fo k@34>2
+ 14><=2A@X@q-GI L4 M- Z@NTR* gh-/<>BH2 P/< f: 8L2 2I gh- Z6`4 ;- _ i [2N@34 L2]gh- Z6`4 ;- IMe
4 ki L2/_ 6F- Y 2Fo12]2F4 65<=- M@>@ D4=2G_ WY 2N6 G(0) = P(X = 0) > G0 2F4 G(1) = 1 _ : 25<>BC254 + WY - ;<
L2<>K : - Z@=2]@ MB : I;2c@ Y D4I CY IM2 L< 2 TZs2 1op6 @!@=2 LIM25BH2 D4s@=2 : <=KA@q2 D4=2 D4AT
ODR
ARO >fa N nO (E() < 1) !X/ahN n[ (E() = 1)"
$#&%'#)(*,+-%./ 01+2&3#54!6!(&7'48+259:! <; P(Ext) = 1 = 7A~> 9fahA nO
. 2 >-
. 2
5
10 2
27-
44-
WZAJ
2
92 10 4-
42 >2
d0
.
>0 . 1270 W. -
82 B0 >5
.
. W. 2
42
270
62

2 . B0 >>- B0 >.
4-
?0
>- B0 >- . - . >U
. >0
5
6- -
$27-
(E() > 1) " ?#)4%A@B@!+2C+280DE/ 'FA,+25,+-% P(Ext) !G01HBIJ(K5%9:@4L#&%+2M+ N M4+-19:!

+2ON!04+-!(*4QPR " %IC(*M+-%IS(* +-6!(&$DA G() = DB& [0, 1[ =
* NK BC- Z@q4=< 4 M- 2c6F254q4>2 : <=- : -D@ ;4 M- <=2 : -D@q2]@ L<IM2IM25BHBH2 IMeG4 Mi L2]@ Y D4NT
T
VU .W + E() = G (1) 1" G (z) 4%X2ZY!4 1 %46(& n % #&%(*4[8%(*
.
AJ J
>-
. 10 4-

z [0, 1] =
d0 10 4-
12
. - .
B0 2
1270 F. -
A

j

!#"$&%&'( )"+*,
W5+ E() > 1 " / 06(&,+-% G() = #%DB (*5 !%IC(*,+-%7(* +-6!(& DAI [0, 1[ Gn (z)
4%X2QY4 %46(& n % " #%I(*478%(* z [0, ] QDA04%X2QY4 #%I(*478%(*
z [, 1[ =

(i) !#"#$%'&("#)+* z G(z) ,-./ "#*0&(-21(3+'#4- [0, 1] ,*!56#7!"98;:=<:=->-5?&@$A1()+"#5B5(*0&(- -2&$)+*C3-AD-
$%'1E#-5F,G21("#3G2-5
G0 (z) = E(z 1 )
et
G00 (z) = E[( 1)z 2 ]
5B)+*0&HI)5B"9&("43+-5-*J&K'*C&L07 -5BIG21K'*!$-25H,-63IM M%1(G-24#-5H,"#5B$21(N2&(-5I)+5B"9&("#3-5MOP-6475 G(1) = 1 M

Q
)+:=:=-R*!)7!5S3+)+*!5F-2D$#7T4-U$%'5 G(z) z VI4W$)71(XI- G *-Y$2)+7!I-U'5P4Z,"4[)+*'#-=,7
$%'1B1(G [0, 1]2 -2*\7*]I)+"#*0&Z,"#5?&("#*!$2&,- (1, 1) 5B" G0 (1) 1 V6-A&Z7]$)*C&B1K'"91(-^4_$)7!I-`5B"
G0 (1) > 1 a $-$"b5B-U3)+"9&SX!"#-*T5B71Sc=d[71(-U$"98e,-5B5B)7!5MgfF"#*5B"hV5B-#)+*_4-Y$%5V / G%L07&("#)+*i,I)+"#*0&SdD- G() = * Z5P,-U5B)+#7&("#)+*_)+7i7T$)*0&B1K"91(-jI)5B5BN%,-Y7!*!-U7!*"4LC7-R5B)+#7&("#)+*
,!'*!5 [0, 1[ M
k lmInoprq s/tvuwFx2yzI{2|/}hy'z
G ~
wzR4A
A+{(w
E() > 1
A|
E() 1
(ii) g)1(5(L07!- G0 (1) 1 V@*)+75Z3+)+*!5 z G(z) -2&W,)+*!$ Gn (z) Gn+1 (z) /7!"#5(L07!Gn+1 = G Gn ) I)+71&()+7& z a4i#"#:="9&(- limn % Gn (z) L07!" -5?& 1 -2&Z5B)+#7&("#)*,G(u) = u V*!-PI-7&E#)1(5E3#)+"91FL07!-jMI6*1B&("#$7!#"#-21%V['1K$-U;0M +
P(Ext) = limn Gn (0) = 1.
A
4
\!\ 7v%,# "
'(
"L
(iii) -2:jX!4'X!#-:=-*0&b5B" G0 (1) > 1 V*)+75@%3)*!5 z G(z) )+7 z G(z) 5B-#)+*WL07!z )+7_L07!- z a"#H5 -*T5B7"#&PL07!- Gn (z) $21()c&F1(-5BMI,G$21()4&J%3-$ n 5B-#)*_#-U$%5MI
#"4:="9&(- limn Gn (z) L07!"I-5?& 5B)+#7&("#)+*,- G(u) = u -2&.5?&B1("#$2&(-2:=-*0&."#* GA1("4-271(-J=+V,7W:=)+"#*5
5B" z 6= 1, -5?&F'4)'1(5FG2[#-R*!G2$-5B5("91(-:=-2*C&E M!fF"#*5B"
P(Ext) = limn Gn (0) =
a#bdceb
Dl)o
zmm
i
g
p

p
XI 2N@q4 ;B : -/<=4 D4 + WY - ;< 2N@ KN2N@ 2A@ Y m4>2N@>@q2A@ 2 6F- Y 25<>P/2 R6F2 Y 25<9@CIj+ 2Fo4 Z6F4 M- UT
* : I Z@ : <q4 2N@<=KA@ ZIm4 4>@@q- D4-/.14>2 Z@C : <q4 ;< + L2 K54 2 : I Z@ L2 2N@gh- Z6F4 M- Z@
P/K LK5< 4>< k6F2A@5T
O
.
6-
Q0
92 ;.
. 10
T AJ J
. -
d2
(
. >0
>-
-A2
;. B0
5
2 7
j
82 LS;-

1 Gn (z) [E()]n (1 z)
412
0 Gn (z) cn ( z),
z , % c = G0 ().
108- 10 44- 10 4-
\ T ^
\ T ^
W5+ E() = 1 " ! DA$YI4+-)' 2 " I%4

1
1
1
limn [
] = 2 /2
n 1 Gn (s) 1 s
(* + N!%49:0!9:! E#&%(*4[8%(* 0 s < 1 =
Z@CIM26 @ 2 I IM- !P/KN-/BHKF4>< ki L2/_ E() = q/p 254@

T
c = G () =
1 nO
AJ
p/q,

. -
40
10 2
d0
p < q =

-5 ,-7D1(-:="#N21(-5@"4*G['#"#&(G25E5B)*0&E,-5 "#*G['4"9&(G5E,-P$)+*C3-AD"9&(GEI)+71 c )*!$2&("#)+* Gn V,7
&IGn (x) Gn (y) G0n (x)(x y).
=1(-2:="4NA1(-j'!!#"4L07!-U/ "#*G['4"9&(G-2*C&B1(-U#-5PI)"4*0&(5 1 -2& z M 6##-7&("##"#5B-,)*!$U4`,G21("#3G,- Gn 7I)"#*C& 1 ,)+*0& *!)7!5 %3)*!5 :=)+*0&B1(GPL07- G0n (1) = E(Zn ) = E()n
T,-27D"#N:=-/ !#"cL07-'7D I)"#*C&(5 -2& z M Q )+:=:=- -5?&Y7!*I)"#*C&Ud!D-Z,- YV'1
1(G$71B1(-*!$- G0n () = G0n1 (G())c = G0n1 ()c = cn M
>^

!#"$&%&'( )"+*,
)+71^4 ,-21(*!"#N21(-T-5?&("#:Z&("4)*V *)+7!5`7&("##"#5B)+*!5`#- ,G23-#)+I-:=-*0&W4"#:="9&(G_,-_4 )+*!$A&("4)*

[+G*G21K'&B1("#$-_'7 3)+"#5B"#*'[+-_,- s = 1 V@,)*0&`#-5Z1(-:="#-21(5Z$)0-=$"#-*0&(5W5B)+*0& E() = 1 -2&
1
E(( 1) = 21 2 V!5B)"#&
2
G(s) = s + 2 /2(1 s)2 + (s)(1 s)2
Q
)^4 )+*$2&("#)+* (s) &(-*!,`3-21(5 0 5B" s1 M - 4=$)+*!,7"#&EY7!*!-S-5?&("#:Z'&("#)+*^7*!" )'1(:=-
) r(s)0 5B" s1 M

-2"#&(GA1()+*!5 $-A&B&(-J-5?&("#:Z'&("#)+*
1
1
G(s) s
=
1 G(s)
1s
(1 G(s))(1 s)
1s
[ 2 /2 + (s)] = 2 /2 + r(s)
1 G(s)
1
1
1
[
]
n 1 Gn (s)
1s
n1
1 X
1
1
[
]
n j=0 1 G(Gj (s))
1 Gj (s)
2 /2 +
n1
1 X
r(Gj (s))
n j=0
-R,-21(*"#-21 &(-21(:=-S&(-*!,`3-21(5 0 V, 1(N25E#-J#-:=:=-J, fFXI- !7"#5(LC7- Gn (s)1 M

7 "#5(LC7- Gn (s) -5?& $21()"#5B5(*0&(-S-2&>$)*3+-21([+-E3-21(5 E7!*!" )1(:=G:=-*0&%V-2& 4 )*!$2&("#)* r XI)'1(*!G-V

4j$)+*C3-A1([+-*$-J-5?&E7!*" )1(:=-+M
VX- Z@ WY - Z@ IM2]<>KN@ LIm4 4X@ Y G4

$I %(
ODR
>2
. >WZAJ
12
1270 W. -

4+2M+-6(& (E() < 1) #54'%A@A@+2C+280 DA

)%
15DSY4 PS(*) Y>+28 :HB0%I90M4+-6(& DE/ #54A! ="

'FBM+2)!,+-% P / +21I& n

%+2
P(Zn 6= 0) = 1 Gn (0) [E()]n .
j

#)C( Zn = 0 P[#I4M+24$DJ/ (* !48+2 4 H =

&7(*4 !4+2,+-6!(& (E() > 1) A Q6!(3/ +2 / #&FB,+25M+-%I 8+22V
DB #%#5(*IM+-%I Zn F!#)% = C( <#540+0!9:! 3#&%(*4:8%(* ! M+-4 a +2 FB+1 (*5
%&1I&8 ka 126!(&
1 P(Zn > a|nonExt) ka G0 ()n .
j S $I['Q!4+2,+-6!(& (E() = 1) + E( ) <

2
P(Zn 6= 0)
2
2 n
lorsque n .
4
\!\ 7v%,# "
'(
"L

)71P&()7&P-2*C&("#-21 a > 0 -2&PL07!-bL07-U5B)"9& z LC7-Y/ )+*_5B-j5B-A1KZdDGU,*!5 ]0, [ Vg, 1(N25
;CM 0
P(0 < Zn a) z a
k1
P(Zn = k) = z a [Gn (z) Gn (0)] 2cn z a .
7 '*, c = G0 () < 1 /$5H5B)7!5?8;$21("9&("4LC7-@-2&H5B71B8;$21("9&("4LC7-AV!7"#5(LC7->4 5BG21("#- [+G2)+:=G2&B1("4L07!

-5?&E$)+*C3-A1([+-*0&(-+V
X
1(0<Zn a) < .
j5B):=:=-S5B)7!5 #-U5B"#[*!-J-5BIG21K'*!$-J-25?&S,)+*$J*!G$-25B5("91(-:=-*0& 1(-25(LC7-P51(-2:=-*0& d*"4-M

)71.1(-5(L07!-.&()+7&(-5 #-5 G3+)+#7&("#)+*5V05B-745@7!*Z*!):jX1(-.d!*!",- Zn 1(-5?&(-*0&.,*5@/ "4*0&(-21B8
Q
Q
3+'#4- ]0, a[ /4-2:=:=-@,
- @)'1(- '*0&(-#4"cAM )+:=:=-4-25G23G*!-2:=-*0&(55B)+*0&b$A1()+"#5B5(*0&(5V Zn = 0

"#:=!#"4LC7-PL07!- Zn0 = 0 I)+71.&()+7& n0 > n M 5MOP-7DW$%'5 5B-7!#-:=-*0& 5B)*C& I)5B5B"#X!#-5
)+7`X!"#-* Zn = 0 j!'1B&("91F,g 7!*`$-21B&K'"4*`1K*![/$+ -5?&Eh -2DC&("#*!$A&("4)*IAV
)+7_X!"#-* Zn > a W!'1B&("91R, 7*T$-21B&K"#*T1K*[`-2&P$)+:=:=- a -5?&J'1(X!"9&B1K'"#1(- Zn
/$+ -5?&E/ -AD#)+5B"#)+*AM
Q
-5Y,-7DTG3G*-:=-*0&(5P$):=!#G:=-*0&K"91(-5J)*0&U1(-25BMI)+71R1()+X!X!"##"9&(G5 -2& 1 MOP!#7!5
1 P(Zn a|Zm )
2cn z a
P(0 < Zn a)
.
P(Zm )
1
OJ'*!5>4-F$%5@$21("9&("cL07-+VC4R1()+X!X!"##"9&(GP, -AD&("#*$2&("#)+*=&(-*,=XI-%'7!$)7!Z!#75@#-*0&(-:=-*0&>3-21(5

G21()-A&F#7!5.1(G2$"#5BG:=-*0&%V!5B" E( 2 ) < V
P(Zn 6= 0)
2
2 n
lorsque n
!7"45(L07nP(Zn 6= 0)
n(1 Gn (0))
1
1
1
2
[
1 + ]1 2 .
n 1 Gn (0)
n
=
=
VX- Z@ I;IM- R@ B D4=2 D4?BH- G4><=2N<?i L2I NOZa OD 1WA RLj : 2N<=BH254 2 - L25<
L2 14><=2 f:Z: <=-1698L2 2F6 2N@ : <>-/.ZI;SNBC2A@72F4 + WY - M< 2N7@ <=KA@ ZIm4 4>@ : <>KN6 M@?BHQ5BH2 R@?IM26 @
6F< m4 Mi L2GT
>2 .
27- . 2
B0 B0 2
4-
. 08- 6- . -
a#bdceb

>-
2
p

n ?o7l1p nek

40
H
J
d2
n n,k
\g

k
7nep

. -
>-7-
po
VX-f4>- Z@ = E() I;2 L-/B.L<>2sBH-ae/2 + 2 1g D49@ 2698 i Z2 Y UT 2NB <>i L- Z@ i L2

4-
,-
6-
6- . -
E(Zn+1 |Zn ) = Zn .
. >2 09-
0 0 2
5
. 2 >-
2

!#"$&%&'( )"+*,
: <=4 k6 ZI M25<
- ;. 10 32 90
Mn =
Zn
n
2N@q4 L2{B <=4 LP I;2 : -G@ m4 Y 2/_ + 2N@ : K5< Z652 1 \j6 <
6F- Y 25<>P/2 Z6F2GT
\27>-
. 108-
10 B0
. -
6-
^ - G4 Z- Z@ I;IM- Z@K54 ;2N<cI
>- <- 42
Z0 = 1 5
4-
12
R G [G M
+ f: <>SN@!IM24=8ZK5-/<>S5BH2 T T 2]6F- Y 25<>P/2 R6F2 2N@B <=4 LP IM2N@ : -D@ ;4 Y 2A@
E
%
4-
. 108-
Mn M .
d0 10
Z@ j_U@ L<
_ I @ m4>2
L2{6F<>- k@=@ R6F2C2Fo : - L2 D4 ;2NI;IM2/TU Z@IM26 @]@q- Z@
6F< m4 Mi L2]_
: <=4 M< + 6F25<=4 < LPRTZ* HY T T 2N@q4 - Z6 ZI;IM2 : T @5T
25B <>i L- Z@Ib+ /:L: <>2 D4>26F- G4>< k6`4 M- WY 2N6]IM2cg m4i L2I B <=M4 LP IM2c2N@q4 + 2N@ : K5< Z652
TU - Z6IM L2H@ ;4 4 M- 43e : Mi L2C- I 6F- Y 25<>P/2 R6F2 : T @5T 254 I 65- Y 2N<=PG2 Z652 Z@
L265- Z6 2 D4 : @5T G4 ;4 Y 25BH2 G4A_[6525I Y 2 L4 M<=2i L2@ U+ 2N@q4 : @ ZI;IM2/_ IM-/<9@
25IMI;2 : <=2 2]4=<>SN@XP/< 2A@ Y IM2 L<9@ WY 2A6 L2 : 2F4 m4>2 : <>-/. . ;I ;4=MK/T r + 2A@34 652ci U+ - f:L: 25IMI;2
T
: 8LK Z-/BHS L2 2
80 - 10 12
40 .
. 1270
. 27{M > 0}
Zn
B0 B0 2

2;/. 10
. 09 < 1 Zn = 0
5

>- . 0 10 4- .
. 2 >. ;. .
5
,- . 427- d0 12 . 10 40 2 . 41
5
408- 30 - ;. Oq- B270 10
6. 2
L1
5
5
6B0
. W. 2
. $275&5
5
275 HI4I5DB$DB0!Y>+-,+-%
(H
@ 2
A
W. B0 . .
. -
4-
4-
>2 dU
.
4- <-2
5
. -
;. =-2
2 >- .
. -
2
+-
0 >2
- . -
27-
-7-
E() =
2F4
S;-70 10 4-
12
. -

2
E Zn+1
|Zn = 2 Zn2 + 2 Zn ,
+-

>- - B0
. .
.
0 2
.
. 108- .
.
0
2 10
n
. 70 80
R G [G [Z[ L
:L: -G@=- Z@ i L2IM2 L-GB.L<>243e : ki Z2 + 2 1g D4>@ 2N@q4 L2 Y T T 2cBH-aeG2 L2
2 Y < Z6F2 Var() = T
d -16F2N@>@ Z@ 2].L< Z698L2NBH2 D4
E
2
,
n+2
10
. 5
L2
2
. 12
.
2
E Mn+1
) = E(Mn2 ) +
2 4=2NI;IM2]@q-G<q4>2i L2I B <q4 LP IM2 (M ) 2N@q4.R-G< LKN2 Z@ @ n2F4X@=2 LIM25BH2 D4X@ > 1 TL*U2
4=8LKN-/<>S5BH2 2c6F- Y 25<>P/2 Z6F2 2A@!B <q4 ZP IM2N@ Z- Z@ @=@ L<>2i L2]I HY T T1I MB m4>2 : T @5TZ2N@q4 Z@>@
I MB m4>2 R@ L 2F4 - Z6
5
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: R R m Rm ,
(t, x) t (x),
K : <
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0 (x) = x.
dt
82 10 42
.
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5
t t (x)
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80 . B0 >B0TS
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9?#58%,+-6!(& = = = D( %I +5#%I(*4 1%I(* T > 0

limt sup ||s (x(t)) x(t + s)|| = 0.

0sT
r?2N6 U@ MP Z2ci L2G_ : - L< >@ @q2 PG< _L@ L<Ij+ G4>25< Y MI I;2 I 4=< 032A6`4>- M<=2
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<=2NI;IM25BH2 G4 2A@!dJT T T Z-f4 ;4 : < F.
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s [0, n+1 [, x(n + s) = Xn + s
%
0 = 0 ! n =
n
X
Xn+1 Xn
n+1
i .
i=1
4'#B#26(&

F (*I9 # DA Y1(*4%>9:! QC+ #5! +2+-! $%9?#5 " (Un ) (*)K(*+21
DJ/ A!4'%+!9:! - DB9:4,+2H! " (n ) (*) (*+28$#%+2M+2Y DA0149$+2 +1S12
6(& n 0 ! n .
(>#A#&%$DB #)C( Q6!(&
j (X ) ! #54'6(& *49&Z@'%I450

j .(*5$DA! DB!(AFK%)D+2,+-% (*+2Y 1!QGY04+ L0

%(

sup E(||Un ||2 ) < !

n
n2 <
+2 'FB+8 > 0 8!J6(&#%I(*4 1%I(* Rm

X
ec/n < .
E(exp(h, Un+1 i|Fn )) exp
||||2 !
2
n
%4 x !J#54'6(& *49&G(*5
= =
= DI(
%I +25DI(*+2E#&4 F.

!#"$&%&'( )"+*,

*0&B1()C,7"#5B)+*!5 / !#"#$%'&("#)+* e "#*C3-21(5B-S,- nn , *)&(G- m : R+ N -2&F,GAd*!"#-P!'1
m(t) = sup{k 0 : t k }.
)"4-2*C&E#-5 1()0$2-5B5B7!5EY&(-:=5.$)+*0&("#*C7V U , X, : R+ Rm ,G2d!*!"#5 1

U (n + s) = Un+1 , X(n + s) = Xn+1 , (n + s) = n+1
I)+71 n N, 0 s < n+1 . f3+-$S$-25.*!)&K&("#)+*!5./ #[)1("9& !

$ :=-=;0M @I-7& <2&B1(-S1(GG$A1("#& 5B)7!5
4 )'1(:=Z t
x(t) x(0) =
[F (X(s)) + U (s)]ds.
;0M
0
) 7!5J'4#)*!5R1()7!3-21P4-U& $!G)'1(N:=-=0M M `-*i,-7DTG2&KI-25M`1(-:="#N21(-jG2&K'I-+Vg,-j*'&(71(1()XX"#4"#5?&(-+VC$2)+*!5B"#5?&(-21KRJ:=)+*0&B1(-21>L07!-./ $I)& $!N25B- (iii) ,7j& $G)1(N:=- -*0&B1K *-ELC7- I)+71
&()+7& T > 0,
;CM# +
limt (t, T) = 0 p.s.
%3-$
(t, T ) = sup ||
0hT
t+h
U (s)ds||.
t
5B-$)*,-@G2&KI-+V71(-:=-2*C&,GA&(-21(:="#*!"#5?&(-+V$)*!5B"#5?&(-21KSE1()7!3-21HL07!-+V5B)7!5H#-5 $I)& $N5B-5

M SM fRM,
7 )'& "#*,7"9& 1 F.

BA
U A|;w
~
1(-:Z'1KL07)+*!5 &()7&E, 'XI)1K,^L07-P4$)+*!,"9&("#)+* ;0M4 .-5?&EG%L07!"#3#-*0&(j4j$)*,"9&("#)+*5B7!"#3+'*0&(-
(i) -2& (ii) ,7&

$ G)1(N:=-V04R$2)+*,"9&("4)*i;0M#/"9& ,- x 7*!-
limn sup ||
k1
X
i=n
i+1 Ui+1 || : k = n + 1, . . . , m(n + T)
= 0 p.s.
;CM#+%
)7!5S/ $I)& $!N25B- (iii) (a), 4Z:Z1B&("#*!['#- Mn = i i Ui $)+*C3-A1([+-RM 5M 1P'!4"#$%&("#)+*

,7W& $!G)'1(N:=-M CM CM Y$)+*!,"9&("#)+* ;0M4 -5?&F,)*!$J$4'"#1(-2:=-*0& 5('&("#5 /'"#&(-M
)7!5J'5B5B)+*5J:Z"#*0&(-*'*C&J`41(-27!3-Y,-^;0M#+P5B)7!5J/ $ I)'& !
$ N5B- (iii) (b). )+"9&%VI)+71
Rm ,
"
#
n
X 2
2
Zn () = exp
h, i Ui i
i |||| , n 1.
2 i=1
i=1
n
X
OP-Uc=1(-:="#N21(-Y!'1B&("#-Y,-Uh $I)& $N5B- (iii), (b) )*_,G%,7!"9&PL07-Y4=5B7!"9&(- {Zn ()} -5?&P7*!5B71(:Z1B&("4*['4-M>OS)+*!$V>!'1Z'!4"#$%&("#)+*,-/ "4*G['#"#&(G :ZD"4:Z'#- (i) ,7\& $G)1(N:=- M CM#
/3)+"91E4j5B-$2&("#)* M eI)+71 -*5(%3)"#1F!#75 P,7&$ $"9&B1(- 0AVI)+71.&()7& > 0
P
sup
n<km(n +T )
h,
k1
X
i=n
i+1 Ui+1 i
?v
*<!# 'N%
\! )'( !#"
P@
sup
Zk () Zn () exp @ ||||2
2
n<km(n +T )
0
exp @ ||||2
2
/
!\,
2
i+1
i=n
11
2 AA
i+1
i=n
m(n +T )1
m(n +T )1
A .
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{e1 , . . . , em },
R=
= R -A& = Re. fE#)1(5

sup
n<km(n +T )
he,
k1
X
i=n
i=n
i+1 Ui+1 i
exp
Pm(n +T )1
-$":=)+*0&B1(-PL07 '4)'1(5
P((t, T ) ) C exp(
2
i+1
=P
sup
n<km(n +T )
Pm(n +T )1
i=n
2
i+1
h,
k1
X
i=n
i+1 Ui+1 i
2
2
) C exp( 0
)
R t+T
C T (t)
C0 t
(s)ds
I)+71S,-5.$)*!5?&K*0&(-5 C, C 0 > 0 ,GI-*!,!'*C&(-25 ,- m /4,"#:=-*!5B"#)+*,- Rm @-2&F,- .

Oj )
X
k0
P((kT, T ) ) <
,g 1(N5 4j5B-$)*,-J!'1B&("#-R,-J/ $I)& !

$ N25B- (iii) (b), -2&
limk (kT, T) = 0 p.s.
Q
1S'!4"#$%&("#)+* ,7#-:=:=-P,- @
)1(-2#8 '
*C&(-24#"/M
1S'"#4#-71(5VII)+71 kT t < (k + 1)T,
(t, T ) 2(kT, T ) + ((k + 1)T, T ).
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BA
U A|;w

limt (t, T) = 0 p.s.
1(GG$A1("43+)+*!5R;0M + 5B)+7!5 4 )'1(:=-
x(t + s) x(t) =
)
At (s) =
F (x(t + u))du + At (s) + Bt (s)

0
t+s
t
[F (X(u)) F (x(u))]du,
;CM#

!#"$&%&'( )"+*,
-2&
Bt (s) =
t+s
U (u)du.
t
)"#& L cZ$)*!5?&K*0&(-j,-Y"#!5B$&$!"9& ,- F 5B71S7!* 3)"#5B"4*![-$)+:=!$2&P,-5E&B1K -$2&()"#1(-25 t

x(t), X(t). fE4)'1(5V, 1(N25U;0M#+AV
||x(t + s) s (x(t))|| L
s
0
||x(t + u) u (x(t))||du + ||At (s)|| + ||Bt (s)||.
'1E/ "4*G['#"#&(GY,- F1()+*.'4/VI)*-*^,G%,7!"9&EL07!sup ||x(t + s) s (x(t))|| eLT
0sT
sup (||At (s)|| + ||Bt (s)||) .
0sT
;0M#
'1F"###-71(5V
;0M4 0
sup ||Bt (s)|| (t 1, T + 1),
0sT
-2&
sup ||At (s)|| LT
0sT
sup
tut+T
;CM#
||x(u) X(u)||.
Oj 1(N5R;CM AV

||x(u) X(u)|| = ||
u
m(u)
F (X(s)) + U (s)ds|| K(u) + ||
Q
) K ,G5B"#[+*!-J7*:Z?)'1K*0&F,- ||F (X(s))||. ) :=:=-PI)+71 t '5B5B||
u
m(u)
U (s)ds|| ||
m(u)
t1
U (s)ds|| + ||
U (s)ds||
m(u)
[1K*!,gV (u) < 1,
u
t1
U (s)ds|| 2(t 1, T + 1).
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sup
tut+T
||X(u) X(u)|| 2(t 1, T + 1) +
sup
K(u),
tut+T
-2&F,)*!$+V,g '1(N5R;CM#%+AV
sup ||At (s)|| LT (2(t 1, T + 1) +
0sT
sup
tst+T
(s)K).

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V
C)+"9& (Un ) 7*!-P5B7"9&(-R,g $$A1()+"#5B5B-:=-*0&(5F,-J:Z'1B&("#*[#-J7*!" )'1(:=G:=-*0&.XI)1(*G}
'
sup ||U || C). )*C&B1(-A1SL07g '#)1(5 4$)+*!,"9&("#)+* (iii) (b) ,7W& $G)1(N:=-JCM M j-5?&E3G21("9d!G-+M
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n

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: <>- : < ;K54=KA@s@=24>< k@q2 G42 2N@ : <>- : < MKF4=KA@ : <>2N@>i L2H@ L<>2N@ 2A@ @=-/I 14 M- R@ 2 \ T ^`T dJ- L<
L2 IMe@=2 : I Z@ f:L: <=-/gh- M2/_1- : - Z<=< 65- Z@ LI;4=2N<
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5
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2
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6-
L(x) =
{x(s) : s t}.
I U+ 2N@q4 : @ 6 MIM2 2 Y K5< Z25<ci U+ : - D4 p 2N@q4cK5IMK5BH2 G4 2 L(x) @ ,2F4@=2 ZI;2NBC2 D4@

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6 < 6`4=KN< k@=2 - Z6I;2c65-/B : -G<q4>25BH2 D4 @=eB : 4=-/4 ki Z2 2 x.
T
W %+2 x (*) = = = @%4)0 jT 2/T sup ||x(t)|| < D( %I . %I4
t0
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10
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t (L) = L, t R.

-*5B-:jX4- L -5?&j*)+*3C"4,-=-2&Y$):=$A&Y$'1 x -5?&YXI)1(*G-+M )71U:=)+*0&B1(-21U4 $)+**!-2D"9&(G

5B7!I)+5B)+*5Vg7_$)+*0&B1K'"#1(-VgLC7g "4b-AD"#5?&(-j,-7D^)+73-21B&(5S,"#5 ?)"4*0&(5 U -2& V &(-#5JL07- L U
V, LU 6= -2& LU 6= . .$)71(XI- t x(t) 1(-*$)+*0&B1(->#)1(5H"#*d*!"#:=-*0&g5B)+73-*0&$%$!$7*
Q
,-5-*!5B-:YX!#-5 U -2& V -2&b,)+*$@'7!5B5B"C/ -*!5B-:YX!#- (U V )c 1b$)*C&("#*C7!"9&(G+M )+:=:=- (U V )c
Q
-5?& -21(:=GV L 1(-*!$2)+*0&B1(- (U V )c . -RLC7" -5?&E-*^$)*C&B1K,"#$2&("#)+*^3+-$P*!)'&B1(- $I)'& $!N5B-M
)"#& p = limn x(tn ) 7!*`G#G:=-*0& ,- L -2& T 0. fF#)1(5
T (p) = limn T (x(tn )) = limn (x(tn + T))
1F$2)+*0&("#*7"9&(GJ,- T -A&F1()+1("4GA&(GR,- P.T.A. OS)+*!$ T (p) L.

)+7 ?)71(5E'1 1()+1("4GA&(GR,- P.T.A.
limn ||T (x(tn T)) x(tn )|| = 0.
Oj ) p = T (q) %3-$ q = limn (x(tn T)) L. OP)*!$ T (p) L.
WO O s D
j
Z: : -D@q- Z@ci L2{I
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1
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/ -2D-:=!#->CM CM E-5?&H#"#!5B$&$!"9& "#-**!-+V2&(-*,P3-A1(5/ "4*d*"-*R/ "#*d*!"! lim|x| |f(x)| = AV%-A&bL07!}
#-5E3+1("4X!#-5 Un+1 = Zn+1 f (Xn ) 5B)+*0&S7*!" )'1(:=G:=-*0& XI)1(*G-5U supn |Un | M < AM
' )*C&B1(-A1PL07 '4)'1(5P4=5B7!"9&(- (X ) -5?&SXI)1(*!G2-Y-2&F-*T,G%,7"#1(-UL07!- X x 3+-$ f (x ) = a I)71
n
n
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R@ D4 : - L< I;e1@=25<JIM2X6F-/B : -/<=4=2NBC2 D4 @=eDB : 4>-f4 Mi L2 2I @ ;4=2 (X ) H. m4 2 1o
.L< @NT 2 2F4N_ R@X6F254X2Fo125B : IM2/_LIM2c698 B : 2 Y 2N6F4=2 Z<>@]\ T ^ BC254 2 LoKNi MI ;.L<>2N@ 0
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92
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5
5
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62
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%>!+-0P = Y > .
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Ij+ G4>25< Y IMI;2 [0, 1]. *U2<>KN@ LI;4 4 2]I @q2A6`4 ;- p@ Y D4=2 : 2N<=BH254q4=< + K5I ;B L25< [0, 1] 6F-GBCBH2
2 Z@=25B.LIM2I MB ;4=2 : -G@>@ ;.LIM2 2 (x ).

08-
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42
10
d08480 :08-
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hV (x), F (x)i = 0 F (x) = 0.
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(>#A#&% 6(& / 9@ E = {x Rm : F (x) = 0} DA!:06(*+
C+-@47DB F ![%&M+2,(&07DB[#&%+2 -:+%0! " 6(3/ +2Z'FB+87(*5 N!%I5M+-%I DB A'#&%(*)%Y
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1
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limt x(t) = p.

)'&()+*!5 K 7!* 3 )"#5B"4*![-_$2)+:='$2&_/1-2D-:=#-^7!*- XI)+7!#- -A1(:=G-Z,- 4r&B1K -$2&()"#1({x(t) : t 0} -A& V 7!*- )*!$2&("#)*T,-JCI)7!*!)3Z5?&B1("#$2&(-JI)+71 F.
$ N5B-P5B71 V, (U ) > 0 &(-2L07!)+71E&()7& 3)"#5B"4*![- U ,- E K, "#-2D"#5?&(-+V1$I)&

x K \ U, hV (x), F (x)i (U ).
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x([a, b]) K \ U V (x(b)) V (x(a))
(U )
(b a).
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)+5B)*!5 = 1 + r/k 5B" k 1 -2& = (b a) 5B"#*!)+*gM -:Z1KL07!)+*5JL07 #)'1(5 2.
'1@1()+1("#G2&(GS,- M SM fUM-2&@$2)+*0&("#*7"9&(GE7*!" )'1(:=-E,- V 5B71&()+7&@$):='$2&%V"#-2D"#5?&(- t 5B5B-
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(U )
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x K \ U
4
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d
3
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4
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P
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L 7"g*g -5?&E5.I)5B5B"#X!#-R'1E$):='$"9&(GJ,- K.
limt V(x(t)) = $-R0
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S
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n = sup{s [tn , tn+1 [: x(s) Ui0n },

an = sup{s [tn , tn+1 [: x(s) Uin },
-2&
bn = inf{s [tn , tn+1 [: x(s) Uin+1 }.
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V (x(tn+1 )) V (x(tn )) =
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0 (tn+1 bn )
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E(ST k ) = E(T k)E(Y1 ).
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sup E(YT ) sup E(ZT ) E(Z0 ) = E(ZT ) = E(YT ) sup E(YT ).
T T
T T
T T
"#*!G[+#"9&(GR,-J,C1()+"9&(-S-25?&.&B1("43C"4#-+M -##-R,-F[7$%$-S1(-I)5B-P5B71.#- "9&FL07!- (Zn ) -5?& 7!*

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%$ $!+L07!-P,!'&(-V Vn sup(E(Vn+1 |Fn ), Yn ) V"#-5?& $2c'"91PL07!-Sh "#*!G2[#"9&(GUL07!" -5?&E301K"#-Rj4
d*`5B-P1(G2&B1()+1()+'[+-UY&()7&(-5.#-5F,!&(-5 "4*0&(-21(:=G,"4"91(-5M
4s @ U1- nWOY ;4 V4=U <>- : 4=?4=2 ;N A6/ + 2A@34 L C5;<>a2 @ UN- 1 WY m 4 [: @= @=MK 1W G_ZAe D b4 MIU2 Z65-/<>2]i Z25Iki Z2
698L-G@=2]Cg M<=2 ]I <=K : - Z@q22A@34s- b_L. M2 @L< 2 2F4N_RI BHQNTBC2 : <=- : < MKF4>K Y 14s : <q4 ;<
2cIb+ Z@q4 G4 _Z2 2A@ : K5< R6F265- ;4 M- L25IMI;2G_R@=- ;4s@
2F4
@ T 2N@q4 pn4NT TLi L25Ik6F- Zi L2 : I Z@P/2i Z2
B k@H6F254q4=2
i D4 ;4=K U+ 2A@34 : @. M2 0 K M26 < q@ : L- Z K =L-/B .Lsup< .LIM2 E(Y2 Y T |FT U)+ 2A@34 : @ LK
6F2A@=@ M<=2NBH2 D4?BH2N@ L< .LIM2/TR p<>25B : I 6F2I Z-f4 M- 2 =@ : : <6F25IMIM2 + esssup_Zi n2N@q4I;2
: I Z@P/< 2A@c@ : K L-/B.L< .LIM2N@NT[r + 2A@34 Z@=@ EIM2 : I R@ : 254 ;4 2A@B 03-/< D4>@ : T @NT 2{I
g B MI;IM2 2 Y T TOr?254q4=2 25< MS5<>26 < 6F4=KN< k@ 4 M- Y 1465-/BHBH2 K m4 ;- UTJ : 2 14 IM-/<9@
P/K LK5KN@ Y < ;2A@!2 0 T
\ T ^
Z = E(Z |F ) = E(Y |F ) = esssup E(Y |F ) p.s.
*,+ K5P I m4>K Z = esssup E(Y |F ) - L2 14=<>2 : <=-165K K 2{6F- R@34>< Z6F4 M- 2HIj+ 2
Y 2NI;- :L: 2 2 Z25IMIjT
5
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VU VU T
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W (>#B#%!%I<6(&< / %A@ !,+ N Yn %+23DA<LN!%49:
Yn = gn (Xn ) % X (*5IX257DB S4B%YKDB5% A( DA,4&+2M+-%I P = %4Q/ !
Y%#A#&$DB[W )!2 Zn ZDB N!%49: vn (Xn ) = N!%5,+-% vn !ZDA0 3 +- 40(*4+2Y9&
#I4
vn = sup(P vn+1 , gn ),
\T ^
_ ^
vN = g N
L = = %'#5,+29:*)J#54'!9+-!4L+28&E% (k, Xk ) #A#&4,+-! JP< / !&!9:@!V {(k, x); gk (x) =
vk (x)} " #)C( Z#540+0!9:!
T = inf{k; vk (Xk ) = gk (Xk )}.
*~2 : <=-165K K 2c65- Z@q4=< Z6F4 M- 2]Ib+ 2 Y 25IM- :L: 2 2 Z25IMI - L2 L2c@=IL4 M- {1i nOL 2 VK U : 2 : @ 2I 65- m4 ;- ;4 IM2 2I 698 L2/T/d < MI;IM2 Z<>@N_aI;2!4>8LK5-G<=SNBH2
- L2 L2{BHKF4>8L- 2{<=KA6 L<9@ Y 2 : - L<6F- R@34>< M<>2CpI gh- k@I;2{P B o MB IE2N@ : K5<>KC254cI;2
4=2NB : @!- : 4 ;B IbT
T

VX- Z@n<>2 : <>2 L- Z@ Ib+ 25o2NB : I;2
BH 2 ;JIMI;2 L<E 698LU - ;o : <>KN @=2[Da4= K?O2 K5. 1O4 2!@q2A 6` 4 j;- ~U!Ta*UW[2N@O 6 <q4>2Nj@O @q - D4 LBHK5<>-f4>K52A@ 2 1 N 2
gh- Z6F4 M- 2!Ij+ -/< <>2 KN6F<>- k@>@ G4 b1 > b2 > . . . > bN 2N@JBH- G4 D4>@Ei U+ 25IMIM2N@J<>2 : <>KN@=2 D4=2 D4NT
*U2A@ 6 <=4=2N@@=- D4 : I 65K52A@ Z@ -G< <=2i L2NIM65- Zi L2G_RBH- KNI k@ .LIM2 : < L2 : 25<>B L4 4 ;2 {1, 2, . . . , N } T
698L-r?k-/@ ;BH<XBHIM22 BHZ2 - ;ZIMI;2@HLIb<+ WBCY - - ZD@ 4 Y DU4A_,_R6fIb+ + -/2N.1@q4032A 6`4 ;g M<=2ci U03- + L2 IbL+ Z<{@q2N4 @q4 D4 2B - o - MB k@N@=+ 25<H<=<>IQF4>2/: _ <>-/. . MI ;4=K 2
@q- m4B o ;B LB T~r?-/BHBH2- <>2F4=- L< L2IM2N@6 <q4>2N@ Ij+ L2 f: T<=SA@sIb+ 14=<>2/_ Ij+ R@3P((T
4 D4 n) =L- Z1)@
U+ WY - R@?-G.Z@=25< Y Ki Z2]I;2A@< LPG@!<>25I 4 mg @ 2N@X6 <=4=2N@
254 - R6I <>S5P/IM2 + <><=Q54
2N@q4 p4NT T : - L- Z@i L2Ib+ K Y K L25BH2 D4 {(n) = 1} I U+ 2N@q4 : @ F BC,2AU@ Z)< .LI;26 <
{(n) = 1} = {U = 1, U
> 1, . . . , U > 1}.
d k@=i L2 L- R@698L2N<>698Z- Z@c L- R@ <=<>QF4>25< Z@34 D4Ci !2A@34 4=2NB : @ + <=<>QF4 L- Z@
: - Y - Z@n<>25B : I 6525<~IM2 65< ;4=SN<=2 Z- f: 4>K 1
: <~IM2?65< ;4=SN<=2 Y = P (n) = 1|F T
r?2]6F< m4>S5<>2 Y 14
AJ

92 10 4- 27074-;- :275
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AJ
60 62
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= P Un = 1, Un+1 6= 1, . . . , UN 6= 1|Fn
n
n+1
N 1
= 1{Un =1}
...
n+1 n+2
N
n
=
1
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N {Un =1}
L- 42
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I gh- Z6`4 ;- g (x) = n/N 1 _ @=@=-16 MKHI 698 Z2 2 < G- Y (U ) _ - D4sI B 4=< M652
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L* 2NI;In@2A@34 ;4=2 K 2A@M2 gh- : Z6F<4 M<>- KNZ6 @ L<>v<=2 Z:6F{1,2 : . <. . , n}R, n = 1, . . . , N K k@=@ D4]Ib+ 2 Y 25IM- :L: 2 2
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. 2
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2
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2]I @q2A6`4 M- : <>KN65K 2 G4>2/_LB M@ Z- Z@7g M@=- Z@XB D4>2 G4 Z2c8e : -f4>8LSN@=2 + D4=KNP/< . MI m4>K
: I Z@7gh-/<=4=2]@ L<I;2 : <=-16F2A@=@ Z@ 2]P (Y ) _L{@ WY - M<
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E sup |Yn | < +
n
274-
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09. 70 80

7v $
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WZAJ
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!$ )'(
VU
W)%I+2 (Yn )n (* #)4%>'!( KDA:H+2 ,+ N!+ / '#&% !$#54'0'0

= esssupnTN E(YT Fn ) <HBI+2S9:FB+29IJDE/ (* ( 4 4 80QPDAI1

DA&8 = W %+2
N = %4
. (*+28
(Z N )N :(*) (*+28.4%+ 1 DB (*4 89I4M+2 HBI.DA%I9$+2)0'! #&4 (*5
9:4,+2H (* + N!%49:0!9:& +2&801HI4B@!V " C+29+28 Z ! (*)(*4 89:4,+2H[6(*+
DB%9+25 Y (*4 [0, ] ;

Z < / ! Y%#A#&KDB:W552GDA Y " / P D+24' #5C( <#&!,+21:(*4 89I4M+2 HBI76(*+
9:%I4 Y !

Zn = esssupnT E(YT Fn ).
ZnN
W)%I+2 T V = = %#5,+29I ID ( #54%B@!c9:.DE/ %I4+ >% 3 + = R A= %4 (*+21 (T ) !
N
N
!4'%+&8 " DAQC+29$+28 T

= inf{n , Yn E Zn+1
|Fn }, !G+GDA #5C(
Q = = T !Z%#5,+29I =
P(n |Yn E Zn+1

|Fn ) = 1,

N
1P,G2d*"#&("#)*^,-25E5B71B8;:Z'1B&("#*![+#-5 Z N VI
)71.&()+7& n N 45B7!"9&(- (Zn )N -5?&E$21()"45?8
5(*0&(-+V.:Z?)'1(G-_'1`4:Z'1B&("#*![+#-i7gM "hM E supn |Yn ||Fn
< + M.6#4-_$)*3+-21([+-
, )*!$jgM 5M -2&J-*_-5BIG21K'*!$-$2)+*,"9&("4)*!*-#4-Y3-21(5P5(W#"4:="9&(- Z VL07!"H-25?&R,)*!$'7!5B5B"67!*

5B71B8;:Z'1B&("#*[#-+M
1b$)+*5?&B1(7!$2&("#)*U$2-2&B&(->5B71B8;:Z'1B&("#*![+#-@,)+:="#*!- Y a-#4-@,):="4*-,)+*$7!5B5B"0/ -*C3-#)!I,-C*!-#H,- Y M )+71F:=)*0&B1(-21Eh "#*!G2[#"9&(Gj"#*C3-21(5B-V!)X!5B-21(3)*!5FL07!-J/ -2D"45?&(-2*!$-U,-P&(-2:=!5
,g '1B1(<A&S)&("#:Z7D`-2*C&B1K c*!-UL07!-J#-5E["#*5F$)*,"#&("#)*!*!-245 E(YTN |Fn ) = ZnN $)+*C3-A1([+-*0&
M 5M'3-21(5 Zn L07!"0-5?&b,)+*$@"#*G21("#-71(- / -*C3-#)+I-.,- *!-24/M'6*j!'1B&("#$7!#"#-21%V'*!)7!5b%3)*!5
L07!
Zn = esssup{nT;T born} E(YT Fn ) = esssup{nT;} E(YT Fn )
0-5?&H$4'"#16!'1$)+*5?&B1(7!$2&("#)+*YL07!-#-5&%M M TN )'1(:=-*0&7*!-5B7!"9&(-@$A1()+"#5B5(*0&(- L07"$)+*C3-A1([+
|Fn } M
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3-21(5 T

$%'1K'$2&(G21("#5('&("#)*Z,7J&%M M')+&("4:Z'C,)*!*!G2- 7R& $!G2)1(N:=- M M E1(-5?&K'*0&b3+'4X!#-+V'#->&(-2:=!5
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T
: <=J4 k 6 LI ;2NU<[698L2N<>698Z 2 ~ aY 2 A <>2 @ L BAR k@q- UT IG<>2 5- ;4 2N@[- <>2N@ I;K 4>- M<=2A@ K : 2 D4=2A@5_
B k@I;2Hg m4 + 4=4=2 <>2{I ?6F-AL4=2 c : < : K5< M- 2 2H4=2NB : @ 2{<>KFghK5<>2 R6F2/TU* + -G.1032N6F4 ;g72A@34
K Y 25BHBH2 D4 2H4><=- Y 2N<IM2{BH2 MI;IM2 Z< R@34 D4 : - L<]g M<>2CI Y 2 D4=2/TUVs- Z@ : - Y - Z@ D4><=M<=2I BC- KNI k@ 4 M- @ Y G4>2

A
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T
T
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@ 40
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##-=1(-I)+5B-=5B71Uh )X!5B-21(3'&("#)+*]L07- supn>0 Yn = supn>0 (An cn) = supn>0 (Un cn)
$%'1 Un cn An cn supmn (Um cm) M
Q
-5E"c,-*0&("9&(G5V )+"#*0&(-5E7& $G)1(N2:=-J,- 7!X!"#*"gI)5B"9&(" eV*)+7!5 I-21(:=-A&B&(-*0& ,- 7!5?&("9d-A1SL07
E sup Yn+
X
`
E sup(Un cn)+
E (Un cn)+
n>0
n>0
Z
X `
E (U1 cn)+ E
n>0
(U1 cu)+ du
1
E(U12 ).
2c
.1(-5?&(- _:=)+*0&B1(-21ZL07- Yn &(-*,]3-21(5 _/ "#*d*!"/M )"9& c > > 0 M 7!"#5(L07!- Yn =

(An n) (c )n sup(An n)+ (c )n -2&RL07!- sup(An n)+ -5?&Jd!*!"bgM 5M
,g 1(N5@$2-SL07!"1(G$2N%,-R/"#5B7 j& ,- 1(-2:=!4$-A1 c 1 AV Yn &(-2*,3-21(5 '7=:=)+"#*!5>75B5B"
3C"#&(-RL07- (c )n M
: -G@=2
,-
f (a) = E (U1 a)+
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09-
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4-
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M- 2]fIb(A+ KAi ) 4 ;- c}f=()inf{n;
T
- D4><=- Z@?i U+ MIn2N@q4 : T @5T1* @ m4>2 A= c2N@q4 Z2@ ;4=2]6F<>- k@>@ G4>2 i U65- Y 2N<=PG2 : T @5T Y 25<9@
I .R-G< L2 @ : 2 U _@q- m4 M = ||U || T k@ 6F-GBHBC2 Y 2N@q4 : T @NT 1ghK5< M2 L<>2s M _DI @ ;4=2
KN6F<>- 4 : T @5T Y 25<9@ 0 Tf*U274NT T T 2N@q4 - Z6 : T @NTad k@>i Z2X@ L< n T _ (Y ) 2A@34 L2
f (A )
@q- Z@ bB <=4 LP IM27254 L2@ ZQF4X2A@34 2I gh-/<>BH2 A 1 (2c)
U
@ c _1- A c @ c > T
Z@JIM2698 f: m4><=2@ L<JI;2A@JB <>698ZKN@ Z6 M25<9@5_
U
O
N
L- R@ Y 25<><=- Z@ 14><=2 2Fo125B : IM2 2 : <=-G.LI;SNBH2 + <><=Q54?- : 4 MB Ib_65- @=- R@ IM2 Z-/B + - :
4 M- Z@ BHK5< M6 L2N@NTLVX- Z@!KF4 M25<>- Z@!IM2 L< : < ;o2F4XIM2 Z<X6F- Y 25<=4 Z<=2GT
E(Yn+1 |Fn ) Yn = f (An ) c.
4-
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5
n
n
82 10 42 . B0 >5
2 0
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27- 1270
40 . 270 4. 1270
n
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: I 14 /4698L25<9698L25<] @N+ @=@ L<>25<A_ 6/+ 2A@34 M<>2g ;<>2{Ij+ - : K5< 4 ;- : <>KN65K 2 D4=2/_nB M@c@=2 ZI;2NBC2 D4
@ OIM2H65- L<9@XP < D4 b_ f:L: 25IMK Z@>@
2N@q4 1ghKN< M2 L<p6F25I 4 ;4=<>2C< k@=i LKC
Ij+ KN698ZK R6F2/TLr?2F4=4=2gh- k@N_ MI : e/2 I;2 : #5< 4;o+ F DE2/ '65F2F4=44=2 +- @>@ Z< Z6F2 KN. 14 2I 4=< R@ 6`4 M- ~T I
698L254=K Z2

O_ - D4sI B 4 L< ;4=K2F4sIM2 : < mo + 2Fo125<96 k6F2]@=- D4 Lo1KN@ Z@
I;2C6F- G4>< 4NT n+ MIE698L25<9698L2 Y 2 <=24=2N<=BH2/_ MI : 2 14 698Z2F4=2N< Z2 i
I nP < D4 ;< : < ;o 2 Y 2 D4=2B MB ZBp_R6F- D4><=2 L2 : < MBH2 : e/K52 f03- L< + 8 jT
*U2A@ Y 2A@34 M@>@=2 L<9@[i D4 k6 : 2 D4 L28 Z@=@=2 C4 ;4=<>2< k@=i LK : 2 Y 2 D4 698L254=2N< 2N@J- : 4 M- Z@
+ 698 4 2A@ Z@7@ : KA6 LI 4 Y 2N@N_G6 <?@ ZI 8 Z@=@=2s@=2s<>K I k@q2IM2N@?P R@ : 2 Y 2 D4?QF4><=2sK5IM2 Y KA@5_
IM-/<9@i L2IM2N@ : 2N<q4>2N@s@=- D4s<>K m4>2N@ {I : < MBH2/T I U+ 2 2N@q4 : @ 2BHQNBC2 2N@ - : 4 ;- Z@ 2
Y 2 G4>2]i : 2 Y 2 G4XPGK LKN<=2N< 2N@74><=SA@!I <=PG2N@ : 2N<q4>2N@]\ d,<=-16F4=25<s2F4 B.LIM2A^`T
*U2 : < mocP < D4 n\ + 25o125<96 k6F2A^ + L2!- : 4 M- + 698 4J- 2 Y 2 D4=2@=274=<>- Y 2 LKA6F2A@=@ M<=2NBH2 D4
R@!Ij+ D4>25< Y I;IM2
_ : k@=i L2c@ Z- ;I ~+ e Z6 L2 Z6525<=4 ;4 2/TZdJ- L<X6 IM6 LI;2N<!I;2
: < mo 2!6F254q4>27- : 4 M[S- ~b,_AIM2 SY h]2 2 L<E698L2N<>698Z2?6F- Y < M<[IM2N@ : 25<=4=2N@ : -f4>2 D4 M25IMIM2N@Ji U+ MIL@ :L: -/<=4=2/T
*U2 : < mo2N@q4s6F-/BHBH2 L- R@!Ij+ WY - Z@ Y pIM2 : < ;o 2]I 6F- Y 2N<q4 L<=2GT
Za Zha W)%+2 Sb < K = kS < Shr IMI <#)4+ FSDE/ 'F !4'!+-KDE/ (*57%'#5,+-% DA9:
82 1]
. 12
1U U 0
5
. 0
6. B0 >. 0
5
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42
$08- 10 2
8270 2 10
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. 2 d0
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72
. . d2 . . 2
.
.
5
5
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30
4.Q.
.
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2 .
275
92;0 . . - B0 . 27- B0
6:09-70 +2
4- =2710
/.
. 2 42
5
5
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270 . - 10 30 6- 272
2
1
0
1
0

2

2

.
.
5
eS;32 . B0
62 6.
.
. 10 . . 2
. 90
. 095
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.
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30
2710 442 . . - 10
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5
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>2
. F.
.. 2 32;- =095
5
B0
10 4- 2
42 B0
- 10
2
5
5
B0
=- 42
2
10
B2
. >. >2
5
6-
B0 2
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S
. 5
270
2;0
10 45
B0 >-
. 0
. 2
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M(*4+280 1 = Z
W / +2 / OHI+2[DE/ (*57%'#5,+-% DE/ AI " . >"
Sh K, X Call (b) = 0 = W)%I:#)4+ FK!ZDB%&)0 #& 4
(AFSPK9IM(*4+280YI(* X Call (h) =
\T^
(1 + R) b
= S(h k)q.
hb
WZ/ +2</ HA+2DE/ (*).%'#5,+-% DB Y&8 "
2 " (AF P :
9 ,(*4+280SY(* X Put (h) = 0 !
Put
W

%

5
#

4
+
F

A
D

%

5

0

#
I

4
X(b ) = K S b =
C0 = (S h K)
d 14
\T^
h (1 + R)
= S(k b)(1 q)
hb
76!(&I&,+210DE/ B!,+-%& 50+24P:V%(*Y4M(*4$ DA% 50#I4
P0 = (K Sb)
\T^
*,+ KNi Y IM2 Z652E2 D4=<>2,Ib+ .Z@q2 Z6F2 + - :L: -/<=4 ;4=K + <=. m4>< P/2E2F4[Ij+ 2Fo k@34>2 Z652 + L2 : <=-G. . MI m4>K
< k@>i Z2 L2 14><=2 K54=KKF4>2 L22 4=- L4=2P/K LK5K Z@!IM2N@7BH- S5IM2N@ k@ : < <>< k@q- 2F4
<=2 : @ !
! ^?2F4 2 L-/B.L<=2 1o L4=2 Z<>@NT
Ij+ 6F4 ;g 1: 2 n1O4 : <>2 <=2J4><= - M@ LY WWI;2 OL <>@ O/ K5<>2 DJ4> 2ND@N T I/25jo k@q 4=2 VsZ- 2 Z@p<>2 Y ;24=KL- R2 @: <= -G. I . @ ;;I 4 m4>KN@n4 <M- k@=i L- 2
L2 L4=<>2/_L6 < 6`4>K5< M@=K52A@ : < 2 Lo : < BCS54=<>2N@N_ 254 65-/B : < M@72 G4><=2 0 254 1 @ 698 D4i L2
(Call) =
270 W. 10 >2 3U - 2
AJ
. 10
- 2

62
. .
5
B0
\-
6- 2
5
62
>0 W. 62
2
;.
5
hk
,
hb
42
. 2 2
kb
hb
(Put) =
127-70
. ;0 .
5
6- . 80
. 5
KJ
0
5
;. .
3O
A0
?0
275
S;-70 ;.
42
6- 427- 09-7S;-70
5
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. 70 80
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10 12 . 10 4
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$ )" =!#%v !#" z
_
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%,
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T
*U2A@ : <>-/. . MI ;4=KA@X< M@>i L2 L2 14=<>2@=- D46 < 6`4>K5< M@=K52A@ : <sIM2g m4]i L2
_
@q- m4
- 2 Z6F-G<=2
T In2Fo M@q4=2
- R6 L2 ;4=K 2 : <>-/. . MI ;4=KA@!i Y KN< Z2 D46F254q4=2c65- m4 ;- 2BH-GBC2 D4NT
L- C<>K : I M6 .LIM2@q- m4
:L: -G@=- R@[B D4=2 D4,i U+ : <=- m4 KN< Y K
K Y I LK : <,IM2XB <9698LK : < ;o 2 T I 2Fo M@q4=2 L2s@=2 LIM2 : <>-/. . MI ;4=Ks< k@=i L2 Z2 14><=2 : - L0
42 6AO ?0
h h + 1 (h + b ) + bb = 1 + R
(h 1)h (1 b)b = R
4- ,2;- \09-7S;-70
>;
2 0
109S 4- 0 B0 >6. 70 90
5
5
5
5
@A2
42;0
10
- 480 .
>0
. 09- 6- . - 2 275
5
(X (h), X (1), X (b))
4
O
?
0

7
2

2
7
0
9
0
1
0

2

U

2
4
2
.
W. 82 /.
.
. 2 10
5 C0X
. 2
C0X (1 + R) = E (X1 ) = (X (h) X (1))h + (X (b) X (1))b + X (1),
6 <N_16F-GBHBC2 L- Z@Ib+ WY - Z@ Y I;2c@=e1@34>S5BH2

=- >2
4-
(X (h)X (1))h +(X (b)X (1))b = C0X (1+R)X (1)
(h1)h (1b)b = R,
HB 254 L2 ki L2c@q-GI L4 M- UT
L- Z@ L-f4>- Z@ : < 6F254q4>2 : <=-G. . MI m4>K/_ L- Z@ K M@=- Z@ 2I : -D@=@ ;. ;I m4>K 2<=K : I ki L25<
4=- 14 : <=- m4 KN< Y K
: < : -/<=4=2Fgh2 MI;IM2 2{6 @=8U_ 6`4 M- ~_ 254
K5< Y K 2<>KFghKN<=2 Z6F2 _IM2sg m4i L2 I Y I;2 L<72 26F2 : -G<q4>2Fgh2 ;IMI;22N@q4!Ij+ 2N@ : KN< Z6F2 : <
< /:L: -/<=4!
1o 6`4 I M@=K/T
25B <>i L- Z@ci L2@ 7- WY ;4 14 ;I k@qK 14=<>2 : <>- ;4 KN< Y K 2<>KFghKN<=2 Z6F2G_~- L< ;4
@qKNI;2A6`4 ;- LK L2 L4=<>2 : <=-G. . MI m4>K< k@=i L2 L2 14=<>2 : - L<XIb+ K Y I 4 M- ~T
#2;- \27-70 2
92 10 45
@A0 - >2 - 4- ;.
2;0 4. 70 80 ?- >2
.
5 5
5
>2
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10
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;. =275
5
X1 = (X(h), X(1), X(b))
0

2
6
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B0
6;
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.
.
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.
5
5
X
05
2 ;2
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5
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4
270
10
.
. W. 0 +2 B0 80 v27- . 2
5
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>2
. 70 80 B0 2 U- 62
F. 92 . 10 4.
u
y{ F| q]x[pxJ| Fpy F

10 ;0 80
6-
90 2
. 10 4. ;.
4- . 2 . 0
!x 5y{|}

* @ ;B : I M6 m4>K BH- S5IM2 L2 : K5< ;- 2 Z2 : 2N<=BH254 : @ 2<=2 <>2 65-/B : 4>2 2I

F6 -GB : I;25o ;4=K 2N@nBH- Y 25BH2 G49@ 2A@ 6F4 ;g @U@=- Z@ ;0 6F2 G49@5TF* !: <>25B ;SN<=2E25o4=2 R@ M- 4 L<>25IMI;2E2A@34
2X@ :L: -G@=25<=2 KN6F-GB : -D@qKN2s2 L-GB.L<>2 - LK 2 : K5< ;- 2A@ 2s4=2NB : @5T
r?25I <=2q03- D4 L2 1gh-/<>B 4 ;- 2B <9698LK/_ : M@>i U+ MI 2A@34 : -D@=@ ;.ZI;2 + WY - ;< 2N@65-f4 4 M- R@
2 p4=2NB : @<>K525IU@ L<XIM2N@ : < Z6 : I;2A@ - LK52A@ R6 MS5<>2N@NT I L- Z@7g 14 - Z6BH- K5I k@q2N< 2N@
BH- Y 25BH2 D4>@!@ Z65652N@>@ ;g @ : 2 D4 L-/B.L<=2 N : KN< M- 2N@ 24=25B : @ Z-f4=KN2N@ dt.
r?2F4=4=2 LKA6F2A@=@ m4>K@N+ MB : -D@q2 Z@>@ : <XIM2cg m4i Z2I
2N@s65- D4=< 49@5_R6f+ 2N@q4 ;<>2I;2
4=2NB : @,2 D4><=2 a03- L< + 8 L2F4?I 4=2 2 2s65- D4=< 94AI_fM(2N*@q44 +2802 {P/K ZK5@=2 IM- LP L2/T/Vs- Z@
I @ :L: -G@=25<>- Z@ R@=@ 2 P/K LK525B : @NTRr?2N@!8e : -/4=8LSA@q2A@7- D4KF4=K
g ;4=2A@ : < r?-Wo -D@=@!254 L. Z@q4=2 2 T
. 10
A0
5
42
2
. 42 B408- <27- 80 .
12
42
12
<10
0
. 2 42
4- . 2
. 12

. 0
;.
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12
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27B0 N5
42 dU . 6. 10
5
. 5
2
- 275
2;0 2
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5
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4-;- S;- . - 30
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2 708609-
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480
. 2
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7
z"
' !#%

% #
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!#%,
G
_
&

L2]25oD4>2 Z@ M- 4 L<=2NI;IM22F4s@ ;B : IM2 pBH- S5IM2c L2 : KN< M- 22N@q4XI @ Y D4=2

T!IM2]<=2 2NBC2 D4 2Ij+ <>P/2 G42 G4><=2IM2N@ : K5< M- 2N@ (n 1) 2F4 n 2N@q4s6F- Z@34 D42F4 L-/4=K R _
6/+ 2A@34 M<>2i L2 1 2 (n 1)dt Y 14 (1 + R) 2]I 4>2 ndt
1T!2 G4><=2 2 1o 4>2N@C@ R656F2A@=@ Y 2N@N_~IM2 BH- Y 25BH2 D4 2Ib+ 6`4 ;- 2N@q4 43e : 2 q8 R@=@=2 _
q. k@>@q2 _ WY 2A6sIM2N@!BHQ5BH2A@ Y 2 1o (h, b) i L2 Z@ BH- S5IM2] 2 Lo : KN< M- 2N@NT
b #b1c
-
gi zk
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gmm
665
5
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662
.
5
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6-
B0
W. 2
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10
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.
5
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#
7
2
.
>-
. -
2
. 2
ldp
-
:r . 2
10
5
i h5 S
iiii
i
i
i
i
4
jj h S UUUUUU
j
j
j
UU
jjj
4
h3 S TTTT
k
k
iii h bS
k
TTTT
iiii
kkk
i
k
h2 S SSSS
h3 bS UUUU
lll
SSS
UUU
jjjj
l
j
l
j
l
j
l
2
hS
R
h bS TTTT
h3 b 2 S
RRR
m
kkk
TTT
RRR
iiii
k
mmm
i
k
m
i
k
i
m
k
m
S QQQ
h2 b2 S UUU
ll hbS SSSSSS
QQQ
UUUU
l
jjjj
l
j
l
S
j
Q
l
j
l
2
bS RRR
h2 b 3 S
hb S TTT
RRR
TTTT
kkk
iiii
k
i
k
R
i
k
i
k
b2 S SSSS
hb3 S UUUU
SSSS
UUUU
jjjj
j
j
j
j
3 T
b S TTT
hb4 S
TTTT
iiii
i
i
T
i
i
b4 S UUUU
UUUU
U
b5 S
T *,+ <>.L<=2. L-/B I

I B 4 Z< ;4=K N dt _ MIe 2 2 698Z25B R@ : -G@>@ ;.LIM2N@N_Ei - L2 D4@q2 LIM25BH2 D4 N + 1
Y IM2 L<9@ M@q4 Z6`4>2N@ : < mo 2pIb+ 6`4 M- ~TO KN@ ;P L- R@ : < 698Z25B i L25Ik6F- Zi L2/_\
KF4 4 BH- 2 M@=2 D4CI;2A@KA6F- Z-/B M@q4=2A@>^]2F4 : < S () I Y IM2 Z< 2Ij+ 6F4 M- I 4=2
: - L< I;2698Z25B T I~2A@34 65I ;@ 698L25B
ndt
: -D@34>K5< ;2 L<>2N@EI n : K5< ;- 2GTfd,I Z@ : <=KA6 k@qKNBC2 D4N_/@ L- Z@ KA@ MP Z- Z@ : < Z () IM2 L-/B.L<=2
2BH- Y 25BH2 D4>@CI 8 Z@>@=2 698Z25B 2 D4=<>2 [0, ndt] _ MIU2N@q4g 6 ;IM2 2 Y - ;2 K54 MIMI;2N<652F4q4>2 2A@=65< : 4 ;- 2 D4=<>- k@ G4 I @ ;4=2 2 Y < .ZI;2A@
IMK 4=- M<>2N@ (Y (); n [1, N ]) - Y Y 14 1 @N+ ;IEe 2 L2H8 Z@>@q2H2 D4><=2CI;2A@ : KN< M- 2N@

.
. 12
0
W. 2
5
2
.
5
42
B0 62
42
5

10
1084-
. 2
:09-
4-
270
6^
Zn () nZn ()
>2
42
. . 40
10
:0 .
4-;- 62
10 >- 4- /.
27:09- 2
>- 2
2;. 10 4:0
/.
. W. 2
. 10 4.
.
5
5
n
0 2
6- ;.
2
:80 W. 2
5
5
5
5
n
30
6- 10;- >2
d0 4- 4- /.
5
n
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. 0
5
N
B0
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5
0 45
:09/O
.
B0
82
.
5
2
. . 2
5
708-
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5
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10 B0 >- -(08270 . 5
0
. 2u27. 2
. d270
-
F. 10 .
10
$ )" =!#%v !#" z
_ 4K
%,
\!#% z e:%

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2F4 /_ 2F4 @ L- U_ 2!4=2NI;IM2s@=-/<=4=2i L2

/T *~-/<9@=i L2
F6 -GBCBH2
R@,I <>25B <9i L2 T T 698 f: ;4=<>2 _
_D2A@347I q@ -GBHBC2
2 Y T T K : 2 D4>2N@i : <>2 L2 D4I;2A@ Y IM2 L<9@ 2F4 T
Pn
d08- >2
2
5
n1 n
0
Zn () = j=1 Yj ()
b = 1/u
2

.
. .
. 2
. 0
Sn () = Su2Zn n ()
2Zn n
5
5
6- . 270
-;- . ?80 W. 2
5 n
5
5
1 1
*U2A@ Y T T
@q- G4IM2N@]6F--G<
- MDLJK52AL@ / 2OIj+ 2N@ O: W 6F2J O=j {0,N 1}ARO!i AZL2 /L- Z @ : - Y - R@JB (Y ();
M< + nL2 : [1,<=-G.N ]). MI m4>K : < M-/K p 28 Z@>@=2
2F4 (1 p) 2 . k@>@q2GTO*~2N@ Y < .LI;2A@ I;K 4>- M<=2A@ (Y ; n [1, N ]) @q- D4 2A@ Y < .LIM2N@ 2
725< L- LIMI K : 2 D4>2N@N_D254 Z @ m4 L2IM- . L-/B IM2 2 : < BHS54=<>2N@ (n, p) TZr + 2A@34 L2
2N@!< k@=- Z@ : - LB LIM2

\ T / ^
h
S =Sh b
=Sb
.
*U2A@ 6565<=- M@>@q2NBH2 D4>@<>25I 4 ;g @ 2 S @q- G4 2A@ Y T T K : 2 b D4=2N@N_Ui @=- D4 2N@25o : - L2
4 M25IMI;2A@ 2 Y T T 2 725< L- ZI;I jT
* @ ;4=2 (S ) 2N@q4 698 L2 2 < /- Y 2 L-ae 2 4=< R@ ;4 M- P (S, Sh) =
T D4=<>- k@q- Z@HI RIm4>< 4 M- 4 L<=2NI;IM2 2 6F254q4=2698 Z2 2 <
p, P (S, Sb) = 1 p
/- Y _ F = (S , S , S ) = (S , Y , . . . , Y ) T
*U-G<>@>i L2 p = q = 1 + R b _ I {: <=-G. . MI m4>Kc2N@q4 L-/4=KN2 Q _ 2F4 2A@342 Z65-/<>2 f:Z: 2NI;KN2 4+6!(&
hb
6 LI;4=K
5(*M4' Ta* : <=- : < MKF4>K 2. @=2 HBH- S5IM2X 2 1o : KN< M- 2N@E@=2P/K LK52 b4=2 2XI c: <=- : < ;K54=K + K : 2 Z652 2A@ 6N6F<>- k@=@=25BH2 G49@
<=2NI 4 ;g @5T
T
W %( [ #)4%A@B@!+2C+2804+6!(& 85(*,4 Q" / !,#04I5DAQ4!)DA9& ! M4' n
T
.
n
>
2

4
2
4
2
4
+27-70
N
5
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5
5
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W. B0 .
. . 40
5
n
80/086- . 1270 #2740 708- :0 .
5
5
5
n
442
4-;-2 42
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5
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9270
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5
5
n
H
4-;5
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. 0
42

>-
;.
27-
. 70 80
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J H Z
+2
5
W. 10 .
;. .
dU
10 B0
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KJ
Zn
Zn
>0
10
d270
>. 10
5
B- 42 80
27.W[ 5
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5
<`
2
10
B0
. 10
AJ J
nZn

(
5
. 10 4-
. S
09-
. 70 80
5
5
3U 6-2
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. -
270
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10
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6-
09-
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4-
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0 V 32
5
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= #)4%>'!( DB H+2 %O+-0P7M8[,4801HI+-
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n R + n (Sn Sn1 )
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5
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;.
(N, x)(1 + R) + (N, x)h x
FN (bx) = (N, x)(1 + R) + (N, x)b x.
* =< KA@q-GI 14 ;- 26F2 @=e1@34>S5BH2 65- m4 : < ;o + L2- : 4 ;- K5I Y < D4 I;2 1o
Z@ BH- S5IM2 Z2 : K5< ;- 2G_JI;-G<>@>i L2Ib+ 6`4 ;- 2N@q4 Y 2 T
(F (hx), F (bx))
< G6F2 65-/<>-/IMI ;<>2 T T _ L- R@ WY - Z@ L2gh-/<>B LIM225o : I k6 ;4=2 : - L<CI @q-GI L4 M- U_Ji U+ - x
2Fo : < ;BH2 M@=K5BH2 G4Ib+ 2 65-D2 6 M2 D4 < M@>i L2 L2 14=<>2 q = (1 + R) b _ - L-ae
2X4>< Z@ m4 ;- Q(S, dy) = q (dy) + (1 q) (dy) T1dJ- Z< BC-G<>h6525<?b)I <=KA6 L<><>2 Z652/_ Z- Z@
L-f4>- Z@7IM2 : < mo F (x) TZVX- Z@ WY - Z@ - R6f_
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Sh
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FN 1 (x)
N 1
270 . 2
10
5
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2
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5
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Sb
4-
42
42
(N, x)
(N, x)
%4
(
. 2
4- 42
FN (hx) FN (bx)
(h b)x

= (1 + R)1 FN (hx) (N, x) h x .
=
+2 . 10 4- 2 10
AJ J
32
2(-
= (1 + R)1 (q FN (hx) + (1 q)FN (bx)) = (1 + R)1 QFN (x)
* gh-/<>B ZI 4 M- L4 MI;2 : - L2 2c6F2<>KN@ LIm4 42N@q4XI @ Y D4=2GT

T
%(*4 8%(*83N!%)!,+-% F " 5%I1%I

.
5
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12
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QF (x)
F (x)
(F )(x)
F (hx)
F (bx)
= q F (hx) + (1 q)F (bx)

F (hx) F (bx)
=
(h b)x
1
= 1+R (QF (x) xF (x)).
= QF (x) + F (x)(h (1 + R))x

= QF (x) + F (x)(b (1 + R))x.
\ T ^
\ T ^
$ )" =!#%v !#" z
_ ^/
%,
\!#% z e:%

)""
Y4!9:! " +GDA(AF !N %)!,+-%& F G ,+ N!%

(
F (hx) G(x) = (h (1 + R))x F (x)
F (bx) G(x) = (b (1 + R))x F (x),
\T ^
_ ^
%I4 G = QF " ! (1 + R)1 G(x) GV:Y(*4 D($#%I41MN!(*+226!(*+ 408#5 +-6!(& F DA& (*
9%>DP:(*)Z#&0!4+-%>DA:DB #&4I9^,4 ((F )(x), F (x)) =
: 2 14 <>K ;4=K5<>25<EIM2X< k@q- L2NBC2 D4EIb+ KF4 /: 2 N 2 _/ : <q4 ;< 2XI gh- Z6F4 M2]@ m4>2 2 : <>-698Z2 2 : <=-1698L2GTLVX- R@ WY - R@?2 : <=4 k6 LI ;2N<Xi L2
,5
62
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6-
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42
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FN 1
2F4 Z@
. 08- d0
Fk (x) = (1 + R)1 QFk+1 (x) = (1 + R)(N k) QN k FN (x).

dJ- L<sBH- D4><=2N27 BH- D4=<>25<Ei U+ 2 : <=4 D4 26F254q4>2< k698L2N@>@=2 m4 I;2G_a- : 2 14,P/K LK5<>25< 0 : -G<qF4>2F(S)
gh2 ;IMI;2
14>- D4i f: <>SN@ : K5< M- 2N@{<>K : I ki Z2
T! 6F- G4 L2 l25o : I;- m4>25<IM2N@
: <>- : < ;K54=KA@ BH- SNI;2H N2 1o : KN< M- 2N@C\ - D4 IM2NF@sgh-/(S<>B L)IM2N@@=- D4sB D4=2 D4 25o : < MBHK52N@
M<=2A6`4=2NBH2 D42 4=2N<=BH2N@ 2pI Y T T S _E@ Z@c25o : I k6 ;4=2N<C@=2N@ Y IM2 L<9@>^FTO+ f: <>SN@I;2I;2NBHBC2
T 1T _
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F1 (S1 ) = F0 (S0 )(1 + R) + F1 (S0 )(S1 (1 + R)S0 )
BH- D4><=2]i L2I H: <=- : < MKF4>K ]2 <=K : I k6 4 M- 2N@q4 Y I .LIM22 D4=<>2IM2N@ : K5< M- 2N@ 0 2F4 1
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10
Fk (Sk )
90 . 10 4-
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= Fk1 (Sk1 )(1 + R) + Fk (Sk1 ) (Sk (1 + R)Sk1 )

= Fk1 (Sk1 ) + R(Fk )(Sk1 ) + Fk (Sk1 )(Sk Sk1 )
BH- D4><=2I BHQNBC2 : <=- : < MKF4>K 2 D4=<>2IM2N@ 4>2N@ k 1 2F4 k ;

M
I~@ 4X2 Z@ ;4=2 2]@=-/BHBH25<2 D4><=2 0 2F4 N : - L< Y - M<!i L2
40 12 V
.
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10
FN (SN ) = F0 (S0 ) +
6-
PN
>2
40
2
(Fk )(Sk1 )R + Fk (Sk1 ) Sk Sk1
i O2N@q4 I Y IM2 Z<s2 N + : -/<=4=25gh2 MI;IM2 14=- G4 <=K : I ki D4 Z@s4=- Z@sIM2N@

K54 49@ BH- 2 F (S )
:65- D< 4=< .Z4A@qT2 Z6F2 + <=. m4>< P/2/_ F (S ) = (1 + R) Q F (x) 2A@34Ij+ ki L2 : < ;o 26F2
VX- Z@@qe D4=8ZKF4 k@=- Z@652N@!<>KN@ LIm4 49@ Z@I C: <>- : -G@ m4 ;- @ Y G4>2/T
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% #
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FN (SN ) ZDB% 50P DAI1 k #I4
Fk (Sk ) = (1 + R)N k QN k FN (x).

Z&,4
Q01#! k ! k + 1, #%I41MN!(*+22DA'%I(*Y4,(*4Q! DB%&)0 #&4

k = Fk (Sk ) =
Fk (hSk ) Fk (bSk )
.
hb
- R@s6F254q4>2cgh-/<>BH2/_ I;2C6 IM6 LI~25o : I k6 ;4=2 U+ 2A@34 : @XK Y 2 D4A_RB k@XI BHK54=8L- 2<=KA6 L<9@ Y 2]2A@34
4=<>SN@2 6 6F2{@ L< l-/< 4>2 L< 25IMI;2 : 25<>BC254c2 : <q4 M6 LI M25< 26 Ik6 LIM25< Z@I BHQNBC2
<=KA6 L<><>2 Z652sIM2 : < ;o254XI;2A@ : - @ : -G<q4>2Fgh2 ;IMI;2 2c65- Y 25<=4 L<>2/T
@ 42
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14 MI M@ D4~IM2N@ : <=- : < MKF4>KN@ + : -/<=4=25gh2 MI;IM2 L4=- D4~i L2E<>K : I Mi L2 F (S ) \ @N+ ;I
2Fo k@34>2A^`_ L- Z@ Y -aeG- Z@ : <JI s: <=- : < MKF4>K 2!B <=4 LP IM2 2!@ sY IM2 Z< 6`4 I M@=K52 (1+R) V
@q- Z@7I C: <>-/. . MI ;4=K Q \hd <=- : -D@ ;4 M- T 1T ^7i L2 LKN652N@>@ ;<>25BH2 G4A_
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5
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Vk = (1 + R)(N k) EQ FN (SN )|Fk .
XV - Z@ 14 MI M@=- Z@XB D4>2 G4I H: <>- : < ;K54=K 2 < G- Y : <>-652N@>@ R@ 2 : < ;o (S ) _ @q- Z@!I
: <>-/. . ;I ;4=K< k@=i L2 L2 14=<>2/_ : - L<BH- D4=<>252Fgh2 ;IMI;2C<>K : I Mi D4C\ @N+ ;I
2Fo k@34>2A^?2N@q4 L2gh- Z6`4 ;- KF4=2N<=B k@34>2 2 (k, S ) _Ri U2N@q4XK5P IM2HI gh- Z6F4 M- F (x) i L2
L- R@ WY - R@?6 Ik6 LIMK52]6 2N@>@ R@
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5
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2
.
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5
k
k
309U
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5

Vk = (1 + R)(N k) EQ FN (SN )|Sk = (1 + R)N k QN k FN (Sk ) = Fk (Sk ).
!I <=2A@34>2p BH- D4=<>25<Hi L2 F (S ) 2N@q4C. ;2 I Y I;2 L< + : -/<=4=2Fgh2 MI;IM2 14>- D4N_J
: <=4 M< 2c6F254q4>2c@q2 LI;2 1gh-/<>B 4 ;- UT
*U2IM25BHBH2 T 1T s: 2N<=BH2F4 2<=K : - <>2< /: 25BH2 D4,]6F2 : <=-G.LI;SNBH2/T {2 254N_ : < 65- Z@q4=< Z6
4 M- (1 + R)F (x) = QF (x) _~2F4 - Z6CI;2{IM25BHBH2@N+ /:L: I Mi L2 Lo gh- R6`4 M- R@ F 2F4
_~6F2i L- Z@ : 2N<=BH2F4 2{BH- D4=<>25K : I M6 4 ;- 2A@34 Y I .LI;2{2 D4=<>2{I;2A@ : KN< M- 2N@
F
2F4 _
k1 k
O
4-
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O
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.
80 . B0 >-
80 2 . 2
W. .
46-
;.
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Fk (Sk ) = Fk1 (Sk1 )(1 + R) + Fk (Sk1 ) (Sk (1 + R)Sk1 )

= Fk1 (Sk1 ) + R(Fk )(Sk1 ) + Fk (Sk1 )(Sk Sk1 ).
12
42
6-70 .
W. 10 . B0 >k
Fk (Sk ) Fk1 (Sk1 )
80 . 10 4)2 B0TS
L2
.
F. 92 . 10 45
IJ<=2A@34>2Cp@q-GBHBC2N<@ L< I;2A@ Y < 4 ;- Z@

2<=K : I M6 4 M- p2F4E0 R@34 Z2N2F4><=- Y K]IM2N@s<=KA@ LI;4 4>@ 6 IM6 LI I;PGK5.L< Mi L2G_ Z@ [i L2I 6 f: 6 ;4=K 2

6 IM6 LI;2N<?25o : I k6 ;4=2NBH2 D47IM2 : < ;o 2Ij+ - : 4 M- I 4=2 2 2Fo : IM- ;4 D4?IM2N@ : <>- : < ;K54=KA@ 2I
I;- n< k@>i Z2 L2 14><=2 @=- Z@ ;0 6F2 G4CB 4 Z< ;4=KGTZVX- Z@!2 0 K k@q- Z@!I;24>8LK5-G<=SNBC2
ODR
W)%I+2 q =
= Y(*4K 0 DE/ (*)%'#)M+-%I DB% (AF P
>2 . 4>5
90 30
. 2
>0 10 >2 3U - 2
WZAJ
>2
d2
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42 dU . 6-
(
10 4. 12 10
. 2
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5
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6-
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40 . 270 >-
. ;. 30
B0
(1+R)b
hb
N 8+;9 #04+-%ODB: DA FN (SN )

F0 (S) = EQ [(1 + R)N F (SN )]
N
X
j
= (1 + R)N
CN q j (1 q)N j F (S hj bN j )
j=0
#%I41MN!(*+22:DA%(*Y!4,(*4Q 0 */ %B@!,+-&! I!(*V&ZKDA04+2Y0D+4A1

F0 (S) =
\ T ^

F0 (Sh) F0 (Sb)
F (hSN ) F (bSN )
= EQ (1 + R)N
.
(h b)S
(h b)S
\ T G^
_4_

)7!5E%3)+*5.37L07!- F0 (S) = EQ [(1 + R)N F (SN )] M

SN = S hZN bN ZN VI) ZN 5B7!"9&J5B)+75P4W1()+X!X!"##"9&(G Q 7*!-U4)"bX!"#*!):="4#-,-Y!'1K'8
:=N2&B1(-5 (N, q) M! )1(:Y7!#-P-2D!#"#$"9&(-R-*`1(G25B7!9&(-+M
# 1
VX- Z@ WY - Z@ Y i L2cIM2N@s65- D4=< 94 @ + - : 4 ;- 2]43e : 2- : 4 ;- Z@ + 698 4X2F4- : 4 ;- Z@ 2 Y 2 D4>2

03- L2 D4 < GI;2gh- BC2 D4 I 2 R6F2/T1*~2 L<7K Y I 4 M- @ : KA6 Ri L2 2A@34 - R6 : <q4 M6 LI MS
<=2NBH2 D4 ;B : -/<=4 D4>2/T
Za Zha T R O [ jL D UWORjD O Af DN ! %'#5,+-%&
>2 . >42 6- 27- 1]
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5
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5
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M4%>D(*+%I V.N!%)!,+-%&
H
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.
.
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B0 >5
4- ;. B0 2 90 3U
A( F:8!49+25I(AFDBQV N!%49: (x K)+ ! (K x)+ =

DB 408#&4,+2M+-%I GN (x) = Q(ZN x) G
e N (x) =
1
+
R
b
h
qe =
e N x) DA!S%I+ @+25%9+-V.DA7#&4I9^M4' q =
Q(Z
q =
hb
1+R
(1 + R)h bh
=
(1 + R)h (1 + R)b
#54+ F DA$ / %#5,+-%.DE/ B & DA%I&50#&4
e N (zN ) K(1 + R)N GN (zN ),
Call(0, S) = S G
\ T ^
_
% zN ln(h/b) = ln(K/S) N ln b =

DB0!4+2Y0SD+4A1 / 7#&DA N!%I49K+29?#5 " 9I+ %I #(*QDA%I&54K(* 5BD49&
ln h b
ln b DA
h
N!+ +2&8!4Y! +24Q! 5%I9@4! zN
= zN
zN = z N
" 8!2V %I41
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ln
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b
h
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G
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).
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% #
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#I4+210 3
d 14 =
2

w+
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-* /"#5('*C&Y"#*8
&(-21(3-*"91P/ -*!5B-:YX!#-, -2D-21($"#$- E = {SN K} = {ZN ln(h/b) ln(K/S) N ln b} =
{ZN zN } V!
) zn -5?&E#-J*!)+:YX1(-F"4*0&B1()C,7!"9&F,!*5./ G2*!)+*$G+M
-J1("#D`,-P/ )&("#)+* 5B-R,G$):=I)+5B-P-* F0 (S) = (1 + R)N EQ SN 1E ) KQ(E) M

-
, -7D"#N:=-T&(-21(:=-i,-r$2-2&B&(-r-2D1(-5B5B"#)+*
GN (zN ).
5B- $%#$7#- -2D!#"#$"9&(-:=-*0& ]1B&("91_,- Q(E) =
-F'1K 4&B1(-P7!*-)+*!$A&("4)*
-E1(-:="#-21>&(-21(:=-FI-27&><2&B1(-F&B1K'*!5 )'1(:=GP,-F:Z'*!"#N21(-F "91(-P-*$)1(
,-E1(G1B&("#&("#)*M )+71.$-4Y)*W1(-2:Z'1KL07!-FL07!- EQ (1 + R)N SN = S 1.4Y1()1("#G2&(GJ,:Z'1B&("#*![+#-R,-J/ $A&(" '$2&(7'#"45BGM
'1E5B7"#&(-V
e
(1 + R)N EQ SN 1E ) = S Q(E),
e -5?&E4j1()X'X!"##"#&(GUL07!"g,:=-2&.7*!-J,-*!5B"9&(GJ1()C,7!"9&E,-Jc )1(:=) Q
e
dQ
= (1 + R)N (SN /S) =
dQ
b
1+R
(h/b)ZN =
N
Y
i=1
b
(h/b)Yi .
1+R
e V.#-53 M CM Yj 5B)+*0& ,-53IM ME,- >

)7!54]1()XX"#4"9&(G Q
-21(*!)7!##"U"#*!,GI-*!,!'*C&(-25V -2&T,1()XX"#4"9&(GR,- $75B5B-
e i = 1) =
qe = Q(Y
b
h
h (1 + R) b
EQ (h/b)Yi 1{Yi =1} =
q=
.
1+R
1+R
1+R
hb
)+:=:=- h > 1 + R V)+*3G21("9d-JL07- q < qe < 1 M
)+71 GA&(7,"#-21 4,G21("#3G-J,"#5B$21(N2&(-+V#-P!#7!5.5B"#:=4-S-5?&E,-S1(-23-*!"91EUcj,G2d!*!"9&("#)+*^,7`1("9D`5B)7!5

)'1(:=-R,g -5BIG21K'*!$-+M
C0 (x) =
(1 + R)N
C0 (hx) C0 (bx)
=
EQ (hSN K)+ (bSN K)+
x(h b)
x(h b)
+) :=:=-Yc )*!$2&("#)+* (x K)+ -5?&R$)*3+-2D-+V *!)7!5R%3)+*5J/ -2*!$%,1(-:=-*0&J5B7"#3+'*C&P3+'c'X!#I)+71E&()7& x y

1{yK} (x y) (x K)+ (y K)+ 1{xK} (x y).
fF!#"4LC7G-5 '7DW3+'#-71(5E#G%&()+"91(-5 hSN -2& bSN V$-5 "#*!G[+#"9&(G5 )+"#*0&(-5Fj4,G2d!*!"9&("#)+* ,eV

C0 $)*,7"#5B-*0&Ej"#*C&B1()C,7!"91(-J*&(71(-##-:=-*0& 4j1()+X'X!"##"9&(G Q
EQ
(1+R)N
x(hb)
e N K)
Q(bS
(hSN bSN )1{bSN K}
(1+R)N
x(hb)
C0 (x)
EQ
C0 (x)
e
Q(hS
N K)
)7!5E%3)+*5 "#*!5B"1()+73GP/ "#*!G[+#"9&(GY'*!*)+*!$2G-+M
(hSN bSN )1{hSN K}
$ )" =!#%v !#" z
_ >K
%,
\!#% z e:%

)""
O nODC Oj O 5Na1N H~A jNZ CjDC [A [

Y 2N@q4 k@>@q2 L< D4 k6 : D4 L2. k@>@q2 2N@65- L<9@ 2Ij+ 6F4 M- Y 2 IM2
KN65- Y 25<=4 6F4 M- Z@N_Ui ,@q2 LKNP/-16 M2 D4 l6F- L<>@ 2 40, 5 CT IE2N@ : SN<=2
: <>- Z4=25< + Z2 . k@>@q2 2 < 698Z2F4 D4 ZIm4>K5< ;2 L<=2NBH2 D46F2N@ 6`4 ;- Z@i U+ ;I lY 2 L2N@
: - L< : < ;o4=-/4 I 2 40500 CT
dJ- Z<c@q2 : <>-f4>K5PG25<]6F- G4><=2 Z2{8 Z@>@=2 6F- Z<>@]i ,I @=25< ;44=<>SN@ KFg WY -G< .LIM2/_ ;I
698LSF4>2 2N@ - : 4 M- Z@ + 698 4 + KA698LK Z6F2@=2 : 4=25B.L<>2 _ 2 : < ;o + 2Fo12N<>6 M652 CT
*~2 : < mo Z@cIM2B <9698LK 26F2A@c- : 4 M- Z@2N@q4 2 2, 20CT~* : <>-f4>2N6`4 ;- I 76540A- 14>2
- Z6 CT
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'
,
H
4
4
U

E
f dm, c R+ ;
R
R
(f + g) dm = f dm + g dm, f, g 0 ;
d% $& $' $-"$ 0 R f dm R gdm "
cf dm = c
54 (
?
' W
a
,-3
*-%& $ #) M=

Z
0f g ;
j% $ $' (f ) $ f,

n
Z
f dm = limn fn dm.
R
m = P A #E $ $-"A f dP A " E(f ) $8 $
!"#$&%
; = M.0( 3./4/= 3 /).S +F;GM/ / = (*= 9:3 0F;G=L+ 3 ;GD(<0F3

8
7
5
8 5 7
6
3*( =+H /1= />DAHB/
3./
).0F;GDAHB/ M( 9 +9B-"/
g()
6 5
5
5
5
5 g : R+
+/HBHB/ (*= +9B(*=
09 +
8
56 78
X
g=
(
xg()
{g = x} = g 1 (x) A
; -"/
H:;
8
(<=-*/=+9:(<=
&? (A
4 D F6 '
?
& f.
H / = /1>EDAHB/
3 / (*= + 9B(*= ?
> /
6 5
5
8
5
-<;<HB/)0 M( 9BDAHB/ / + .= 9 R=A/
5
5
525
5 5 " N
N
x 1{g=x}
MA)A9 T )A/ / +U>?/ ).0F;GDAHB/ / 9$9:= 9 +/ M ( / 0

g 5
5
5
N 8
8
$ 5
Z
g dm :=
P (*).0
x m({g = x})
g()
>?/ )0F;<DAHB/ M( 9 +9:-*/ <( = M ( /4;GHB(<0

I
5
5
ff
/+
0. = 0 N
f
5
5
Z
Z
f dm := sup
gdm : g
gf
/ M0(*M09 +
3./H 9B=L+ K<0F;<HB/ /?3 3.).9 /=+ ; 9BH:/1>?/=+@3./ / 3 =A9 +9B(*=
O 5
7 75 a), b), c), d)
6 7
5
7
5
8
8 5 7#"
) +U3 ;<D(<0F3 3./,HB/ - 09 / 0M(*).0UHB/ H >?/=+ 3/ MA).9 3/ M!; /10R;<) ).M.0/>)A>

5
6
5 7 "
57 7
5
5
525
5
N
PJ).9 T)./
/ + 0(*9 ;G=L+/ R
/ + 0(*9 ;<=+/ 3 ;<M0
HA0/ +/
+F;<D.H:9 0
(e).
(fn ) 5 8
( fn dm) 5 8
5 $47
5
525
525
6
5
R
R

/1S9 +/,3A;G=
/1+- 09 /
/1+3(*=
H:;@HB9B>?9 +/
r = limn f dm
8
5
5 [0, ]
7 " r f dm. "

M.0(<)A-"/10H 9B= K";<HB9 + 0 9BM.0(LT)A/ S(*=
/1+
+/H T)A/
HB(<0 +(*)
g f.
6 7
7 78
I "
5 0c<1 g
5I
3 ;<M0
6
5 (d),
Z
Z
Z
OJ6 78
09 +)0/43./
(*)
3
fn dm
H ; (<0>?/
1{fn cg} fn dm c
>?(*=+20/,T) G; H:(G0

LN
6
5
1{fn cg} g dm =
xg()
5N
(d)
= 3 /
(*)0
1{fn cg} g dm.
m({g = x} {fn cx})x.
P ;G0 <; M.MAHB9 G; +9B(*= 3)

Q
3./ H:; M.0(<M( 9 +9B(*=
/1+2+/T)!;<=+9 + (<=-*/10K*/ BH (<0 T)./
8
5
N<N I8
7 8
5
(iii)
n
-"/10
5
Z
X
X
9B= 9
5
xg()
m({g = x} {f cx})x =
rc
m({g = x})x =
g dm.
xg()
g dm.
( H 6 (<= 3 7 3.)A9 +TL)./ r R f dm M.)A9 5 T)A/ c / 5 + ;V0DA9 +20F;<9 0/ 3.;<= 5 [0, 1[ /1+ g f / 5 +
E
6
;G0D.9B+20F;G9 0/3.;<=
5 .

E
? A/B9D ? A
9?

,

6 A/8: 4
!/ &
(, A)
Rd . /,% ! % /,/ m
9! C % ! / 3d ' 7!",' 0*) /,% ! #7 !/ "&#,
/,%
g % ,# m ,"
,"%.,

/,
(A) =
gdm =
A
1A ()g()m(d).
#,"/, g / # 6 4 ? ACA/F8D ?0=@?06 : >;A/8:/8 ? %
7 /, &.!.A
,
2/,, CG# &'% 7
#,/ g m !#%"& " % " .#%
#," d = g dm 3
m 3E9
" = P CG# . ,E
" "$#%- g / # &86 : 4 D F<? 1 3
!"#$&%
R
J=#/ /1+ H:; (<= +9B(*=3 /= /1>EDAHB/ )0
/ + ;*3.3.9 +9B-"//=
/=-"/102+)
A
I
8
6 5
5 A I 1A ()g()m(d) 5
3./H:;UM.0(*M09 + 3./ H:9B= ;G09 + 3./ H 9B=+ K<0F;GHB/ ).0
HB/ (*>?>?/ 3./ 09:/ M( 9 +9:-*/ 3.)4+ (G0>?/
7 7
7
7
6 7
5
5
5
5
527 5 5
5
A7
P
/ +3./RH ; (G0>E)AHB/ P
-*;GH:;<DAHB/RM(*).0 +(*).+/ ;G>?9:HBHB/,3 =A(<>ED.0F;GDAHB/
1 i Ai p = i (1Ai p)
N LN ?/=+ 3/
3/).S 3/).S 39 [(*9B=+
A
67 7
5
$
5
5N
<) "&0#% #%"&'

) "&0#% #%"&'
' #
5 C ,
g m ,+
*/+ #,,/ & 0#

,#
m ! ' #,'!#, ' #%"&' ,/ &% "&/2 0 "&#,"
f
Z
f d(g m) =
f g dm.
!"#$&%
9
K*;<HB9 + / + -9:3/=+/ 9
=A/M0/=!3 T) )A= =A(<>ED0/ =.9J3./-<;<HB/)0
OJ6 7
7 5 7
5 f f
6
"
5N
f
/ + /1)AHB/>?/=+ M( 9 +9B-"/
/ +HB9B>?9 +/ 0(<9 ;<=+/ 3 ).=A/ )A9 +/R3 H >?/=+ 3./
M.0(<M( 9 +9B(*=
5 5
5
I f 5
8 525
6
5
67 7
5

5
/1+HB/ 0 )AH +F;G+ (*D+9B/=+RMA;G0 (<=-*/10K*/= /,>?(*=.(<+(<=A/
N *N I (c)
75
56
8
8
N
) *)

vu -"
eO"O

SM
G"S
SM(o
) "&0#,
5!C #," % / /,% / f ! " 0
'0 !/"$# !
/ & .!/
'
#%"&' ',"$#%" '

/
!#%"& "%
0# !/ 0 "&#,"
Y
f = f+ f
!
f = max(f, 0)
R +
R
f /+ #%"&C7 0 "&#,"
' #%" '3 " ) ! ,C,,"
f dm f dm !# #,% "8
! #%%"&/ " '

' ' /,"
'0#,/ & /'#. E &/
3l
<) "&0#%
!C ' #%"&'> ',"&#,"
/ ! ,/!%

"&#/-* . #," f ! " 0/ 0'-
'
,

U

*) / # '
. &'% 0 2 &C !"0#,'% &C
,C,%
0#%3 '

|f |dm
CG#"&'3
|f | = f
+f
EE
f dm ,0#"/ 0. <) "'#%'% &.! f / # "'#%A

R
#m"/,"9#, 0#2 "
f dm ,0
"0#,'% &C
- &C
54 7698:/8<;6 (a

|f |dm <
m = P A

$")2)
Z
#" $A2 f : R + $

*)+ "g

f dm =
#E $ $-"A R f dP A
f dm

"
86 : 4 D F!H<?
f dm.
E(f ) $8 $
&? (A
4 D F6 '
?
& f.
* # '2/
"
0# , % 0 0/> ,' %"&#,/ 0#% &C>! <) "&0#%
!}*A
C
'3 " &C
% ," #%/
/
%"&#,
(a) "&
(b)
#,'"2# (c) ,0# /+ /

<) "'#%'% & !
"&/
*-0 . % %"&#,
(d) < ' ' / !'"&/7! ," #,'!#, "
, 2!. ) "0#,
!O
/'3
9;= 86 4 ?54 A

R
$")2E 9 $ -" 2 dm "W O L1 A
0GF 4 L1 A A '= % ( R dm A $ " $,
2
4 ;D
% 0
;6
?0D ? 6?
n
X
1
Z X
n
L1 = L1 (m) &a

>
# % "-"A& $'j

ci fi dm =
*^ n 1, c , . . . c R
i
n

0IH,4

ci f i L 1

n
X
1
ci
fi dm
f 1 , . . . , fn L1
0 4%
f dm 0 % f L1
$% f 0 ^ "
"=
Z
Z
f dm g dm % f g f, g L1 ;
f L1
Z
Z

f dm |f | dm.

g

f L1 , $0A

f ) $ $ " > A
$,* #"
!'dA !3
))a
d( $ $' g L1 ;

0 4 039D ; 9 D
8 4 : 4
9? ;6 ?0D
? 6?
#" $A*+A= ('W
54
<E

;=@86 4 ?
'
!
) $ (f , n 1) #" $+&a
>
n
)$ ' #a
f

E

,

A d $," # $")2E $, "

% & n $ |f | g
n
)' g L1 *)
Z
Z
f dm = limn fn dm.
!"#$&%
/ M.0(<M.09 + ;GHBK D09 T)./
3./
/1+Q3/JH 9B=+
O 5
7 75
7
5 (a, b, c) L1
6
/1+
(<=L+ 3./1).S (*= +9B(*= 3/ 1 HB/
/1S/>?MAHB/ 9
L I 5
5 f1 f2 5
8
5
/=+20F
; =A/1=L+ DA9B/= T)A/
/= (<).+20/ D.9:/1=
f1 + f 2 L 1
I
K";GHB9B+ /= K = 0F;<H (<= ;
7
715
7 7 I
7
<K 0F;GH:/ /
5
3./)S@9:=
7
T)./ /
8 5
- 09 /=+$+20 ; 9BHB/>?/=+ PQ;G0

7 "
5 8
N
K";GHB9B+
715 (f1 + f2 ) f1 + f2
9B= K*;<HB9 + =A/ (*9B/=+,MA; 3./
7
75
5
5 5
f1+ + f2+ (f1 + f2 )+ = f1 + f2 (f1 + f2 )
R
/1+ /H:;E/=+20F; =./4T)A/ R
8
(f1 + f2 )dm = f1 dm + f2 dm N
PQ;G0 (*=+20/ H:; M.0(<M.09 + 3/ (*=L-"/10K</= / 3.(<>?9B= / TL).9 / +H ).=A/ .3 / 0F;G9 (*= 3 1+20/ 3/
8
7 7
8
8
7 I
5 6
5
5 5 6
H 9B=+ KG0F;<HB/ T)A/?=.(*)
(*= +20).9 (*= / +E).=&M/) M.H:) 3 HB9 ;G+/
+F;GDAHB9 0/1+@0/M( / ) 0EHB/
6 7
5@8 5
5 5I 5
5 7 8
$ 7
5 5
) .(4( + & !# 5 )A9B-*;G=+ N

B #! ! 7 !
(fn , n 1)
+ $ -: ! - 7 ( .7 0& /1) .75 7 ! 93 .7
lim inf fn dm lim inf

n
fn dm.
E.!"# C%
/1+2+/,9B= K";GH:9 + (*D+9:/1=L+U/= 09B-<;<=+RTL)./ M(<).0+(*)+
7
7456
78
k 1,
Z
inf fn dm inf
nk
nk
fn dm
M.)A9 T)A/UH 9B=+ <K 0F;GHB/,/ + 0(<9 G; =+/ .M )A9 / = G; 9 ;<=+ +/=!3L0/
/1+ /1= )+9:HB9 ;<=+H:;
k
5
6 7
5 8 525
I
5
5
5
3 =.9B+9B(<= 3./ H ;
;<B9 = 9 TA) /
lim inf n
#7 "
5
L N N
(<9B+U;GHB(<0
).=A/
5 (fn , n 1)
/
(<= +9B(*= 9B=L+ K<0F;<D.HB/
8
7
g NO 5
/1++/=!3/=+ -"/10
0/
5 g f
/4T)A9
56 78
(g f ) dm lim inf
n
(g fn ) dm,
09 +R/= G( 0/ /= HB9B>?9B=!;<=+ R

T)A9/ + =.9:/
g dm
8
I
7
5 "
I
lim inf
/4T)A9 ) +
5
).9 +/ (<=-*/10K*/=+/ 3./ (*= +9B(*= >?/ )0F;<D.H:/ 3.(*>?9B= / MA;G0 ).=A/
8
8
5
5
5I
7
(<= +9B(*= >?/ ).0F;GDAHB/
(*=+;GHB(<0 M( 9 +9B-"/
0/ M
8
5
5
5 g fn 5 N g + fn 5
5
5
5
M
HB(<0 T)A/
;<M0 H:/,HB/>?>?/ 3./!;V+(*)
5 N g + f 5
5
n . E6
5
$E8
fn dm
(*= :H )0/
8
N
f dm, lim sup

n
fn dm
f dm.
'
,

.7
)
[Z
y

U

OsuV
E
G l
7
$(("u
"
(G
"&# U
'
/ #1) /, #,%" '
E - (, A, m) / , /,% # f :
#,"*3< #/=2 /'
!'"&/ 3!3 % # 1) #,!"&/
U R
%' ,"&#, 0#," "&#,-%"
"& "$#% !. ,# "
F (x) =
3
f (x, )m(d).
2 4 ;D = ? 0

;6 :/8<61B98: 4 AC;B A ? AC8 69? R 4

G0 8 4
* x U, J f (x, ) + 2E

G0 8<8*4
,A - , J& xf (x, ) ( $ ) $ x U

0
G0 8<88*4 $ =

h L1 (m) $H x, |f (x, )| h() ,
,
* J a
F ," ) E
"W ( & $ x0 .

!"#$&%
M(G+ /
; ).0/H /1S9 +/1= /3/
P (<).0J>?(*=+20/10
T)./ / + (<=L+9B=L)A/;<)EM(<9B=L+
F.
F 5 8
x0
OJ6

5 (iii) 525
6 5
8
9BH ) E+ 3/,>?(*=+20/10RT)A/
M(*).0+(<).+/ )A9 +/
3 H >?/=+ 3/
(*=L-"/10
F (xn )F (x0 )
(xn ) 6 7 7
U 8
5
5
5
(*9 +
K*/=+/R-"/10
).=A/+/HBH:/ )A9 +/ HB(<0 3 ;GM.0
M.0/ TL)./
(xn )
5 x0 .
5
N
5I 6
5 (ii), f (xn , )f (x0 , ) 5
0/>?/1=L+
;GM.0
/1+HB/4+ (<0 1>?/ 3./ (*=L-"/10K</= /43(*> B= /
5
N E6
5 (iii)
.7
8
8
7 I F (xn )F (x0 ).

2
4 ;D

?
W
0 4 D 8 F!H78<8 :

A/;B A
?@AC8 6

R 4
$%'d$ ' & R. !

0G8 4 *
x U, J f (x, ) $ -" 2
0G8<8*4 ,
, - x U, J " %$ ' "
'" %

L h L1 (m).
* J
F W"

E
(xn )
!
) +/ 3

$

U
=
f
x (x, )
%

f

(x, ) h(),
x

F 0 (x) =
!"#$&%
( B+
).=A/

" % $'jE

f
(x, )m(d).
x
H >?/=+ 3./
(*=L-"/10K</ ;<=+ -"/10
U 8
67 7
5
5 x U.
HB(<0
5 gn () =

E
525

|gn ()|
(*=

&
-

=

gn ()dm()

E
f
(x, )m(d).
x

S xM
&

&

)& $

f
xi (x, )
C 1

f
(x, )m(d)
xi
f
(x, ).
x, x
i

J

!"#$&%
=./ (*= + :(<= 3/ MAHB) :/1).0 -<;G0 :;<D.H:/ /
8
5
5
5
/1S +/=+ /1+ (<=L+ (<=L+ B=L)A/
/1S +/= /
5
5
8
5NOJ6 5
8
3.) + (<0 >?/
/1+ HB/)0 (<=+ :=L) B+ /
.7
LN N I
8
7J5

- i {1, . . . , n}.
)

, x U, "% $'"

$
x '" %

f

xi (x, ) h(),
'

(x + (1 )xn , ) h().
x
{01}
F
(x) =
xi

sup

L h L1 (m).
* J
F W"

/ + AM ;G0 ;GMAMAH ;V+ :(<= 3./ H B= K";<H + .3 /

I
8
6 7
7
5
f
(x, )
x
U ' & Rn .

* x U, J f (x, ) $ -" 2

0G8 4
G0 8<8*4

,

M!;G0U;GMAM.H V; + B(*= 3.) + (G0>?/,3/ (*=L-"/ 0K*/= /43.(<> := /

8
A 7
8
8
7 I
8*I
F8 D
?
;D ;
-"/10
N 5N
F (xn ) F (x)
=
xn x

(<=L-"/10K*/ M
!" 5I8
f (xn , ) f (x, )
/x=+
0( xn/>?
=
88

+
3 /
3
/1+
/ )AHB/>?/=+
/ 3 0 B- / !M ;V02+ :/1H:HB/
5 5 5 7 7 5
5
3 0 B- / MA;G02+ B/HBHB/ 3/
/ + )A=./ (*= T )A/= /
5 7 7 5
5
F 5
8 527
8
3 ) + 3) + (G0 >?/
;<MAM.H T) ;G).S (*= + B(*=
7
A7
N LN
7
8
5
C1
!
u-SvCxu
*#= ," '#9G' = ' /0#%

> %"& "&#,//3
) / # . " '

,/ 0 /0# %/ 0
#,' &C %
#," '/ 1) /, /% 2# !2 &'"<3
2
4 ;D

?
2
9

) $ f
0

0
( , A )

&

&
0
: R
2E 9 " (, A, m) E
= 4 = $ m
+

+
+

'
,

+ *4
" % T#+J

+ ,
&
U

m f.

*
L1 (mf ) f L1 (m)

%"E) $-", %+'=
dmf =
^ <

0
f dm.
3
% $'
t $ -" 2 $ $" %

$
!"#$&%

=A/UM.0/=A3?TL) )A=?=A(<>ED0/ = 3/R-<;<HB/)0 ;<HB(<0
/R3 3) + B>?> 3 :;G+/>?/=+ 3./UH:;
6
"
5I
5 LN 5 7
7
3 = + B(*=43/
3 = + :(<=
/1+3./
H:; H := ;G0 + 3./
H :=+ KG0F;<HB/
/ +$M( + B-"/ ;<HB(<0
#7 "
N<N

7
7
6 7
N 5
5
5
mf 7#"
3 ;<M0 H:;M.0(*M( + :(<=
/ +UH B> +/ 0( ;G=+/3 )A=A/ ) +/
3./ (*= + B(*=
6
5
5
N*NI8 I 5
8 525
6
5
8
5
(n )
/ +H B> +/ 0( ;G=+/3/
T) =A/ M0/=A=./=+T) )A= =A(<>ED.0/ = $3/ -<;<HB/).0
/ >1>?/
8 525
6
"
5N
f 5
/1+4HB/E0 ).H +F;G+ (*D+ :/1=L+4MA;G0 (*=L-"/10K</= /E>?(*=A(G+(*=./ MA;G02+ 0@3./H K";<H +
(n f )
75
56
8
8
$
67
7 N
;<M.MAH :TL) /
J= = 3A;G= H:/ ; K = 0F;<H H:; (<0>)AHB/
;GMAMAH :T) /
>?(*=+20/
7 $ (n ). " I
5
8 5 7 7 I
LN
7 $ ||
T)A/
/1+
(<D.+ B/=+U/= M( ;<=+
L1 (mf ) f L1 (m)
N 56
5
= + .
!
!

"

F!D1B ?
? =
!

!
X CG#
3 3 ,/ &
#/=
&
!

#%% ,#5%/"& "
!A"$#%"&' #,

"&#,.!. ) C

E((X)) =

C !A"$#%"&' & / &/0#%"&%
E((X)) =
,2, "* X.
)
&
ex
O"
XdP
(x)dPX (x).
R
GSASxMM
AA"
$"
"0# # 0 !/ ,#% Rn #

f : 0 ,

C 1 "( + 2
) /

#,
f 1 : 0 / # C 1 . 5

x(f1 (x), . . . , fn (x))

{
" G/ #%"&' !( % C 1 !0#5 %/"& % 0

#9 I !"&%
Df (x) =
fi
(x)
xj
i,j

%

#

4 ;D

=
,

9F6 ? =
, &

&
+
&
] f
F!D
+
$
& m ) f
+
(f (x))m(dx) =
$
(
/4
8FH<?

.

,
f / x.
$ : R+

!
+ ,

&
( $" (f 1 )| det(Df 1 )| )

0 :

&
+

: 0 R % $& $'
(y)(f 1 (y))| det Df 1 (y)|dy.

0
0

fi
(x) !" G#%0# # ''#
C 1 ,"> # / &/0#+," &C !/,"
//.
,#," &C x x
j
''#%"& C
? 6 :
% -"
F!D1B ? A
/ #

? =

,

mf (dy) = 10 (y)(f 1 (y))| det Df 1 (y)|dy.

$ % + "(

L1 (m ),
f
&.!./ /0# ," 3
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Chanes de Markov et simulations ;

Michel Benam et Nicole El Karoui

ditions de lcole Polytechnique - Novembre 2007

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