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xGMRK^JIOL ^JG HG S]_IKVMG GLS WKRT RJLLT NIJK [GL H]RMNL TOPGQ_L NRK t ∈ R . d

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PG [R XIKMG A = {ω/(ω(t ), · · · , ω(t )) ∈ B} I B GL ZIK_[ GO PG R G t JO niJN[G PG
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i i

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ϕt : Ω → Ω

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−1 t

FR HIOLSKJHSTIO GLS XIOP_G LJK [G S]_IKVMG PG [R [TMTSG HGOSKR[Gb

t t

 

%*& (ξ ) N -$" #-*&" )" 40(*0?."# 0.'0&%*("# *$)',"$)0$&"# )" =="
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n n∈
2

S = √
n
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\YGLS HGS IJST[ ^JT NGKMGSSKR PG HIOLSKJTKG GQN[THTSGMGOS [G MIJWGMGOS ZKIjOTGO  [G
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%*& #-( -$ "#,0/" )" , (%?0?*.*&' (Ω, A, P) -$" #-*&" )" 40(*0?."# 0.'0
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2

[nt]
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σ n j=1
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+

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t

i HIOWGKkGOHG XRTZ[G GS GO [ITU

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dd


        
  
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pO RPMGS [G S]_IKVMG LJTWROSb
 

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&*&'  

-( Ω = C(R )8 %$ 0,,".."      #-( [0, T ] .0 >-0$
+

mT (ω, δ) = max |ω(s) − ω(t)|.

|s−t|≤δ,0≤s,t≤T

   IO NGJS MIOSKGK ^JG HG MIPJ[G GLS HIOSTOJ LJK [YGLNRHG M_SKT^JG (Ω, ρ) U
S TS ] T S S^
ρ GL [R P L ROHG PG KI IKIWU HKI LLRO GO δ, G JG ∀ω, lim
FG S]_IKVMG LJTWROS GLS JO HKTSVKG PG SGOLTIO PIOH PG KG[RmSTWG(ω,HIMNRH TS_ NIJK JOG
T
δ) = 0.
δ→0

XRMT[[G PG NKIZRZT[TS_L LJK (Ω, B(Ω)).

 

56 ,0+" 
8 ;:6 3$" #-*&" )" , (%?0?*.*&'# (P ) "#& &"$)-" #* "&
#"- ."="$& #*  n

*
lim sup Pn {ω : |ω(0)| > λ} = 0.
λ→∞ n≥1

**
 
lim sup Pn {ω : mT (ω, δ) > ε} = 0, ∀T > 0, ∀ε > 0.
δ→0 n≥1

 [[G LYRNNJTG LJK [G [GMMG LJTWROS g


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&
.56 8 &;9*,0+" 5  &B'%(=" ) 2(".1#/%.* %*& A ⊂ Ω. .%(# Ā "#&
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sup |ω(0)| < ∞ " ∀T > 0, lim sup m (ω, δ) = 0.
T
{ω∈A} δ→0 {ω∈A}

ds
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JrTLU NIJK [Y_SJPG PG [R HIOWGKkGOHG PGL NKIHGLLJL X P_OTL PROL [G S]_IKVMG PG
IOL GK dbm U IO TOSKIPJTS PGL OISTIOL PG HIOWGKkGOHG NKINKGL RJQ NKIHGLLJLb FR HIOWGKi
n

kGOHG GOST [IT PGL NKIHGLLJL PROL [GJK GOLGMZ[G  GLS RLLG PT
HT[G ` IZSGOTKb pO TOSKIPJTS
JOG OI IO N[JL XRHT[G ` W_KTGKb
  

$ )*& >-" .0 #-*&" )", (%/"##-# X         

4 (   . * 44"((# .", (%/"##-# X #* ,%-( &%-& d "& &%-& d -, ." (t , · · · , t ), (X , · · · , X )

n

/%$ " +" "$ % " # (X , · · · , X )

n n
1 d t1 td

IJK NKIJWGK JOG SG[[G HIOWGKkGOHGU T[ LJ
S PYJST[TLGK [GL XIOHSTIOL HRKRHS_KTLST^JGL PG
t1 td

SG[L diJN[GLb
  

* .0 #-*&" )" , (%/"##-# 4 ( )* &(* &* 4 ( . (
X /%$ " +" "$ # ?- %$ " # " , %/"##-#
. ( .. 4 ( )* &(* &* )
X, 0 % # " " /%$ " +" "$ # ?- %$ " ="$# %$ $ " " # X.
)* *  * 4(
n

 g GO GoGS U S S S T ST S ^
∀d G NIJK IJ PiJN[GU [YRNN[ HR IO π : Ω → R G[[G JG
S ST TS S
π(ω) = (ω(t ), · · · , ω(t )) GL HIO OJG NIJK [R P L ROHG ρ G π ◦ X = (X , · · · , X )
d

HIOWGKkG GO [I WGKL π ◦ X NJ L JG [R HIO OJ _ NK_LGKWG [R HIOWGKkGOHG GO [ITb

T T ^ ST TS n n n
1 d t1 td

ySSGOSTIO ! [R K_HTNKI^JG OYGLS NRL SIJ IJKL WKRTG !! pO NGJS WITK GO GQGKHTHG [G•
HIOSKGiGQGMN[G LJTWROS sU aGJT[[G e g
HIOWGKkG GO PTLSKTZJSTIO PG PTMGOLTIO OTG WGKL 0 MRTL NRL GO [ITb
n
t X = nt1 (t) + (1 − nt)1
1
[0, 2n ] (t) 1 1
[ 2n ,n]

O KGWROH]GU G[[G GLS WKRTG PROL [G HRL PYJOG LJTSG SGOPJGb

 

 ;:A 56 %*& -$" #-*&" )" , (%/"##-# X /%$#&*&-0$& -$" C0=*.."
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.%* )" X #-( C(R ) /%$4"(+" C0*?."="$& 4"(# -$" ="#-(" P #%-# .0>-".." ." , (%/"##-# n
n +
& .* *& )* &(* &* ) )* *  * ) . *&
B (ω(t) = ω(t) "# = " "$ # ?- %$ " ="$# %$ $ " " 0 #- " X . n

 g G[[G LYRNNJTG LJK [G S]_IKVMG PG KI]IKIW GS [YGQGKHTHG s PG [R aGJT[[G sb

t

FR XRMT[[G GLS SGOPJG PIOH KG[RSTWGMGOS HIMNRHSG GS T[ GQTLSG P [TMTSG XRTZ[G PYJOG LIJLi
LJF ]TSG PGS][RV XRMT[[Gb ^uITS Q JOG [TMTSG XRTZ[G PYJOGT RJSKG LIJL g i LJTSG GS LJNNILIOL Q 6= P.
Y NI LG PIOOG JG ∀d, ∀t1 , · · · , td , ∀B ZIK_[ GO PG Rd

NJ L TJY [ S R HIOWGKkGOHG GOSPTLSKTTZJSTT^IO PG PTMGOLTIO O^TGbT \GHT WGJS PSTKG ^JG P SGS SQ
T ^ T P{ω : (ω(t )) ∈ B} = Q{ω : (ω(t )) ∈ B}
i i

HI OH PGOTS LJK [GL _W_OGMGO L H[ OPK JGLU PIOH LJK B JY [L GOkGOPKGO b IOH IJ G
LIJLiLJ G HIOWGKkGOSG HIOWGKkG XRTZ[GMGOS WGKL HGSSG JOT^JG NKIZRZT[TS_ P.
uJNNILIOL MR TOSGOROS ^JG P OG HIOWGKkG NRL XRTZ[GMGOS WGKL P. \GHT LTkOTG ^JYT[ GQi
TLSG f ∈ C (R ) SG[[G ^JG [R LJTSG ZIKO_G K_G[[G P (f ) OG HIOWGKkG NRL WGKL P(f ). G SIJSGL
n

XR#IOLU T[ GQSTLSG RJS MITTOL^ JOG LJTSG TGQSKRSTSGS P (f ) HIOWGKkGOT SGU GS PG [TMTSGS PToS_KGOT SG PG
+
b n

P(f ).  YRJ KG NRK U NJ L JG [R XRM [[G GL GOPJGU PG [R XRM [[G P IO NGJ GQ KR KG JOG
nk

LJTSG XRTTZ[GMGOS HIOWGKkGO SGU ^JYIO RNNG[[G GOHIKG P . lRTL NIJK HG[[GiHTU [R [TMTSGU IOnk

[YR WJ H iPGLLJLU GLS O_HGLLRTKGMGOS P(f ), PYI [R HIOSKRPTHSTIO GS [R NKGJWG PJ K_LJ[SRSb•

nk

de


             
pO MIO SKG PROL HGSSG LGHSTIO [G S]_IKVMG ^JT HIOLSKJTS [G MIJWGMGOS ZKIjOTGOb pO _SJPTG
[RT LJTSG PG SNKIHGLLJL P_OcTG PROLS g [G S]_IKVMG NKTOHTNR[ ` [YRTPG PG WRKTRZ[GL R[_RSITKGL
OP_NGOPRO GL (ξ , j ≥ 1) b [ XRJ
i MIOSKGK [R HIOWGKkGOHG PG [R LJTSG PG NKIHGLLJL (X , n ≥ 0) U
j

i MIOSKGKS [GL NKINK T_S_L PG [R [TMTSG HIOXIKM_MGOS ` [R P_OTSTIO TOTSTR[Gb FG N[RO PG

n

[R NKGJWG GL PIOH g
dT HGS SSG LJTSG HIOWGKkGS GO PTLTSKTZJSTIO PG PTMGOLTIO OTG WGKL JO NKIHGLLJL ^JT R [GL
NKINK _ _L PJ MIJWGMGO ZKIjO GOU
s HGSSG LJTSG GLS SGOPJG GS [YIO NGJS RNN[T^JGK [G S]_IKVMG dbdb
d
  

/C ;:   56   %*& 
[nt]
1 X
Xtn = √ ( ξj + (nt − [nt])ξ[nt]+1 ).
σ n j=1

 .%(#8 ∀d, ∀(t , · · · , t ) ∈ R 8 %$ 0 .0 /%$4"(+"$/" "$ .%* 

1 d
+

(Xtn1 , · · · , Xtnd ) −→D (Bt1 , · · · , Btd )

% B 4'(* " ."# , (%, (*'&'# )' $*##0$& ." =%-4"="$& ?(%$*"$;
 g IO XRTS JOG NKGMTVKG LTMN[THRSTIO GO JST[TLROS [YGQGKHTHG e PG [R XGJT[[G e
RWGH g
1 X GS
[nt]
n n n n
S = √ t ξ S = (S , · · · , S ).
j t t1 td
σ n
xGMRK^JIOL g j=1

nt − [nt]
Xtn = Stn + √ .
RK [YTO_kR[TS_ PG tTGORM_iH]GZTH]GWU IO IZSTGOS g
σ n

d
P{k Xtn − Stn k> ε} ≤ k ξ k2 → 0
[IKL^JGT n SGOP WGKL [YTOOTb FYGQGKHTHG MIOSKG R[IKL ^JYT[ LJ
S PG MIOSKGK [R HIOWGKkGOHG
nσ 2 ε2

GO [I PG S .
xGMRK^JIOL ^JG (S , t ≥ 0) GLS JO NKIHGLLJL ` RHHKITLLGMGOSL TOP_NGOPROSL  LT [GL
n
t

S n
t
T S T ST
(t ) LIO KROk_L GO IKPKG HKI LLRO U [GL d WRK RZ[GL R[_R I KGL (S , S − S , · · · , S − S )
LIOSST TOP_NGOPROSGLb FYRNN[THRSTIO PG R PROL R : x 7→ (x , x + x , · · · , P x ) GLS
n n n n n
i t1 t2 t1 td td−1

HIO OJG GS [R HIOWGKkGOHG GO [IT GLS NKGLGKW_G NRK [R HIOSTOJTS_b c[ LJ
S PIOH PYGQRMTOGK
d d
1 1 2 i i

d
[R HIOWGKkGOHG GO [I T PJ diJN[GS PGL RHHKITLLGMGOSL HG ^JG [YIO XRTS ` [YRTPG PG [R XIOHSTIO
HRKRHS_KTLST^JG g
d n
φ (u , · · · , u ) = E[e ] = Π E[e
i j uj (Stn −Stn
].
) σ
iuj
√
n [ntj−1 ]<k≤[ntj ] ξk

IJK SIJS j U GO OISROS k = [nt ], H]R^JG XRHSGJK LG K_HKTS g

j j−1
1 d j

j j



" #
kj −kj−1
iuj n
√ k ξk
E e σ kj −kj−1
.

pKU kj −kj−1 HIOWGKkG WGKL (t − t ) [IKL^JG n SGOP WGKL [YTOOT GS [R WRKTi

[ntj ]−[ntj−1 ]

RZ[G R[_RSITKG √ HIOWGKkG GO PTLSKTZJSTIO WGKL JO kRJLLTGOOG HGOSK_G K_PJTSG

n
= n j j−1
[ntj−1 ]<k≤[ntj ] ξk

[IT PGL kKROPL OIMZKGL GS PIOH LR XIOHSTIO HRKRHS_KTLST^JG HIOWGKkG WGKL e GS [G

σ kj −kj−1

V S
j MG XRH GJK WGKL e
F T T TS S ST S T ST^
. R [I [ M G RPMG PIOH [R XIOH IO HRKR _K L JG φ(u) =
−t2 /2

^JT GLS GQRHSGMGOS HG[[G PYJO diJN[GS (B , (B − B ), · · · , (B − B ))

− 12 u2j (tj −tj−1 )

TLLJ PYJO MIJWGMGOS ZKIjOTGOb pO R PIOH ` [R XITL [R [IT PJ NKIHGLLJL [TMTSG GS [R NKIi
e− 12 j u2j (tj −tj−1 )
t1 t2 t1 td td−1

NKT_S_ PG NKIHGLLJL ` RHHKITLLGMGOSL TOP_NGOPROSLb

sT c[ KGLS SgG GOO ` MIOSKGK ^JG [R XRMT[[G GLS SGOPJGU HG ^JT K_LJ[SG PGL PGJQ [GMMGL
LJ WRO L
 


/C 56 8 ;:7 %*& (ξ , j ≥ 1) -$" #-*&" )" 40(*0?."# 0.'0&%*("# *$)',"$
)0$&"# '>-*)*#&(*?-'"#8 /"$&('"# )" 40(*0$/" 1, "& S = P ξ . .%(#  j
j
j
k=1 k

1 √
∀ε > 0, lim limn→∞ P{max{1≤j≤[nδ]>+1} |ξj | > εσ n} = 0.
 
/C 56 8 ;:9 %-# ."# = ="# B ,%&B #"#8
δ→0 δ
 
      
√
∀T > 0, lim limn→∞ P{max{1≤j≤[nδ]>+1} max{1≤k≤[nT ]>+1} |Sj+k − Sj | > εσ n} = 0.
δ→0

        g

yWGH 

[R NKINIL TSTIO dbdh HTiPGLLJLU GS [G S]_IKVMG dbdU T[ LJ
S PG MIOSKGK ^JG [R XRMT[[G
GLS SGOPJGb T pO
JSST[TLG THTT [R HRKRHS_KTVTLRSTIO TSVPIOO_Gg PROL [G S]_IKVMG dbdsb JTL^JYTHT
X = 0 ∀n, [ LJ
n
0
PG W_K GK [G PGJQ MG HK KG
lim sup P{max|s−t|≤δ,0≤s,t≤T |Xsn − Xtn | > ε} = 0.
δ→0 n

b pOT NGJS KGMN[RHGK sup

S NRK limS = inf supSTS g NJTL^JG NIJK m ZIKO_
S IO NGJS
ST
KGOPKG W PGL PGLT _W_OGMGOS L GOST NKGORO δ RLLG NG (X , 0 ≤ n ≤ m) GL HIO OJG LJK
n n m n≥m

[0, T ] PIOH JO XIKM_MGO HIO OJGb

n

{max|s−t|≤δ,0≤s,t≤T |Xsn − Xtn | > ε} =

ns − js nt − jt √
{max|s−t|≤δ,0≤s,t≤T |Sjs − Sjt + √ ξjs+1 − √ ξjt +1 | > εσ n},
σ n σ n
d
I jS = [ns], Gg S LT [YIO OISG j = k GS j = k + j GO LJNNILROS s ≤ t, HGS GOLGMZ[G GLS
HIO GOJ PROL
s s t

√
GS [G [GMMG dbd
NGKMGS PG HIOH[JKGb
{max |S − S | > εσ n}
|s−t|≤δ,0≤s,t≤T js jt


 (   

@ ( .* *& * . ) ( *.*&' 
0 ="#- " P = "C0 ? " "# , %?0? # P "#  ="#- " " "$"(
& ( ) * •

#- Ω.
n



   

    



  
4 &  

3$ , (%/"##-# X "#& )*&   #* ∀d, ∀(t , · · · , t ) ('".# ,%#*&*C #8 ."
"/ "-) ( (X ,)*· ·&· , X .) #-(*& -$" .%* +0-## *"$$"; * .0 .%* )" (X ; i = 1, · · · , d) $" )',"$)
1 d

,0# " t8 %$ >-" " , %/"##-# "#     ;

t1 td
&    t+ti

$ 0,,".."   )- 4"/&"-( X .0 =0&(*/"

ρ(s, t) = E[(Xs − E(Xs ))(Xt − E(Xt ))T ], s, t ≥ 0.
   

4"="$& ?(%$*"$ B "#& -$ , (%/"##-# +0-##*"$ /%$&*$- /"$&('
)" /%40(*0$/" ρ(s, t) @="s=%-


'/*, (%>-"="$&8 &%-& ∧, (t.%/"##-# /%$&*$- +0-##*"$ /%$&*$- /"$&(' )" /%40(*0$/" ρ(s, t) =
& 4 &( *
s ∧ t "# -$ =%- "="$ ? %$ "$;
@" =%-4"="$& ?(%$*"$ /%$4"(+" "$ =%"$$"  4"(# '(% 
Bt
→0
, ("#>-" #("="$& .%(#>-" t &"$) 4"(# .2*$ $*; t

 GO GQGKHTHGLb FG SKITLTVMG NITOS GLS GO ^JG[^JG LIKSG JOG [IT PGL kKROPL
OIMZKGL b •
pO] NGJS SIZSGOSTK PYRJSKGLS MIJWGMGO SL ZKIjOTGOL NRK PGL SKROLXIKMRSTIOL LSROPRKP GO
H ROkGRO _WGO JG[[GMGO RJLL [R [ KRSTIOb
T S
T H]ROkGMGOS PY_H]G[[G LHR[TOk g ( B , F ).
TT TOWGKLTIO PJ SGMNL g (Y , F ), RWGH Y = tB LT t 6= 0, Y = 0 GS F = σ{Y , s ≤ t}.
√1 ct ct
c

TTT KGSIJKOGMGOS PJ SGMNL g (Z , F ), RWGH Z = B − B GS F = σ{Z , s ≤ t}.

Y Y
t t 1 0 s
t t
t

TW LM_SKTG g (−B , F ).

Z Z
t t t T t t s

t t

c[ LJ
S PG W_KTGK ` H]R^JG XITL ^JG [YIO R JO NKIHGLLJL HIOSTOJU RPRNS_U ^JT W_KTG
[R NKINKTT_S_ HRKRHS_KTLST^JG PJF MIJWGMGOS ZKIjO TGO IJ ^JG HYGLS JO NKIHGLLJL kRJLLTGO
PG HIWRK ROHG ρ(s, t) = s ∧ t. G LGJ[ JO NGJ PT
HT[G GLS [G TT GQGKHTHGb
ISRSTIO g π = (t = 0, · · · , t = t) GLS JOG NRKSTSTIO  PG [0, t] U IO OISG kπ k =
sup {t − t }, RNNG[_ [G NRL PG π .
n
 " 0 n n
i i i−1 n

d


    
c[ LYRkTS PG X = {(t, ω) ∈ R × Ω : B (ω) = 0}. uT [YIO QG JOG SKR GHSITKG ω, IO OISG
+
t
+

 

/C 56 9;8 , ; :6A P , ("#>-" #("="$& "$ ω
X = {t ∈ R : B (ω) = 0}.
ω t

* .0 ="#-(" )" "?"#+-" )" & ..

@ X "# $- "8
** & ( ' ('
X "# C" = $%$ ?% $ 8
ω

*** & * & ) 2 . &* )

t = 0 "# -$ ,% $ 0//-=- 0 %$ " X ,
ω

*4 2 ) * & * .' ) & ) ) . * 

X $ 0 ,0# " ,% $ #% 8 %$/ "# "$#" 0$# - = =";
ω
ω

 GO GQGKHTHGU PT
HT[Gb



      
HX sf NZ
bm Nb df GS ds

 

/C 
6 57 , ; :7
 %*& π -$" #-*&" )" ,0(&*&*%$# )" .2*$&"(40.." [0, t] &".." >-" π ⊂ π #* n ≤ m "& ." ,0#
)" π , $%&' kπ , k &"$) 4"(# '(% >-0$) n &"$) 4"(# .2*$ $*; $ ,%#"
n n m
n
.( 4( 4( ) & (
− B ) .  % # π (B) /%$ " +" " # t 0$# L (Ω) 8 " , "#>-" # "
n
(
* )
="$& # k π k< ∞, >-0$ n &"$ "(# .2 $ $ ; ) 4 * * 2 2
P
π (B) =P
n (B ti ∈πn ti+1
 ti n

 g uITS
n

S TS
n

z = π (B) − t. \YGL JOG LJ G

T S T T
PG WRK RZ[GL R[_R I SKGL OP_NGOPRO S GL HGOS K_GL NJ T L ^ JG TS T T
− B LJ JOG [I kRJL GOOG
2
P
z = (B − B ) − (t − t ) ;
i ti+1 ti i+1 i i i n

PG MIGOOG OJ[[G G PG WRKTROHG t − t . pO NGJS RJLLT HR[HJ[GK [YGLN_KROHG PG z g

B
i+1 i
ti+1 ti
2
i

E[zi2 ] = E[(Bti+1 −Bti )2 −(ti+1 −ti )]2 = E[(Bti+1 −Bti )4 −2(Bti+1 −Bti )2 (ti+1 −ti )+(ti+1 −ti )2 ].
\IOORTLLROS [GL MIMGOSL PG [R [IT kRJLLTGOOGU IO IZSTGOS g
E[zi2 ] = 2(ti+1 − ti )2 .
FYTOP_NGOPROHG GOSKG [GL z MIOSKG ^JG HGT ^JTT WRJST S T
^ T S
2 (t − t ) ≤ 2kπ k.t, J GOP WGKL _KI [IKL JG
^ S GOP WGKL [Y OO b \GH GO KR OG [R
E[( i zi )2 ] = i E[(zi )2 ]
P P
i

HIOWGKkGOHG PROL L (Ω) PIOH GO NKIZRZT[TS_ PG WGKL

2

P
i i+1 i n n

uT PG N[JL k π HIOWGKkG T
2

k< ∞, P{|π (B) − t| > ε} ≤ 2 k π k t. IOH [R L_K G

πn (B) t.

S S T S
G [G [GMMG PG tIKG[i\RO G[[ MIO KG JG ^ 1
P
P n n n ε2 n
P{|π (B) − t| > ε}
n n

P[limn {|πn (B) − t| > ε}] = 0,

LITS g
P[∩n ∪m≥n {|πm (B)−t| > ε}] = 0, ∀ε > 0, NKGL^JG LKGMGOS ∪ ∩ m≥n {|πm (B)−t| ≤ ε} = Ω,
HG ^JT SKRPJTS [R HIOWGKkGOHG NKGL^JG LKG PG π (B) WGKL t.
n

n •

dh
 

/C 56 9;98 , ;:6
& & ( * & (4 ..
P{ω : t 7→ B (ω) "# =%$% %$" #- -$ $ " 0 "} = 0.
t

 g IO OISG T TS T S S S T
F = {ω : [ GQ L G JO O GKWR[[G I t 7→ B (ω) GL MIOI IOG}. \GH
LG SKRPJTS NRK g t

F =∪
S S
{ω : u 7→ B (ω) GL MIOI IOG LJK (s, t)}.
pO QG s GS t PROL Q RWGH 0 ≤ s < t GS [YIO _SJPTG [Y_W_OGMGOS
s,t∈Q,0≤s<t u

S T S
A = {ω : u 7→ B (ω) GL HKI LLRO G LJK(s, t)}.
y[IKLU A = ∩ A I A = ∩ {ω : B − B ≥ 0} RWGH t = s + (t − s) . RK
u

[YTOP_NGOPROHG PGL RHHKITLLGMGO SLU P(A ) = Π P{∆ B ≥ 0} = . IJK SIJS n P(A) ≤

n−1 i
n n n i=0 ti+1 ti i

S S S ^T S
n

P(A ) PIOH P(A) = 0 NIJK IJ s G t HG J MIO KG P(F ) = 0.

1
n i i 2n

•
 

/C 56 9;:78 , ;::6  0." *"$"( +=-$)8 :9


n

P{ω : ∃t t 7→ B (ω)
0
)*
'("$&*0?." "$ t } = 0.
t 0

. ('/*#'="$&8 #* .2%$ $%&" D f (t) = lim

*. "E*#-#,
&" -$ '4'$"="$& F )" , (%?0?*.*&' 1 /%$&"$- )0$# .2"$#"=?
+
."  f (t+h)−f (t)
; D f (t) = lim
h→0 h
, + h→0
f (t+h)−f (t)
h

{ω : ∀t, D B (ω) = +∞ %- D B (ω) = −∞}.

+
t + t

 g
uITS ω SG[ ^JYT[ GQTLSG t SG[L ^JG −∞ < D B (ω) ≤ D B (ω) < +∞. y[IKLU +

S ^ S S
+ t t

∃j, k G[L JG NIJK IJ h ≤ 1/k, |B − B | ≤ jh.

pO NGJS SKIJWGK NIJK n LJN_KTGJK IJ _kR[ ` 4k JO GOSTGK i, i = 1, · · · , n, SG[ ^JG g
t+h t

i S
≤ t ≤ , G NIJK ν = 1, 2, 3 :
i−1 i+ν ν +1 1
−t≤ ≤ .
n n n n k
pO P_PJTS PG HGL PGJQ KGMRK^JGL GS PG [YTO_kR[TS_ SKTROkJ[RTKG |B − B | ≤
 ST
|B − B | + |B − B | [R MR IKR IO
i+1 i
n n
i+1 t t i
n n

3j
|B i+1 − B i | ≤ .
S [YIO HIOSTOJG RWGH ν = 2 NJTL 3 g
n n n

5j 7j
|B i+2 − B i+1 | ≤ , |B i+3 − B i+2 | ≤ .
n n n n n n

dm
pO LG SKIJWG PIOH PROL [Y_W_OGMGOS I T[ GQTLSG t ∈ [0, 1], SG[ ^JG NIJK SIJS n ≥ 4k, T[
GQTLSG i GOSKG 1 GS n SG[ ^JG t ∈ [ , ], ν = 1, 2, 3 : |B − B | ≤ . FGL SKITL
RHHKITLLGMGOSL PG B LIOS TOP_NGOPROSL  [R NKIZRZT[TS_ PG [Y_W_OGMGOS
i−1 i (2ν+1)j
i+ν i+ν−1
n n n n n

(2ν + 1)j
∀ν = 1, 2, 3 : |B i+ν − B i+ν−1 | ≤
n
GLS MR IK_G NRK GS HG[[G PG [Y_W_OGMGOS
n n

j 3 .3.5.7
n3/2

(2ν + 1)j
∀n ≥ 4k, ∃i = 1, · · · , n, ν = 1, 2, 3 : |B i+ν − B i+ν−1 | ≤
n
GLS MR IK_G NRK n NIJK SIJS n ≥ 4k GS PIOH SGOP WGKL _KI ^JROP k SGOP WGKL [YTOOTb
n n

j 3 .3.5.7
n3/2
•


%*& -$"C%$/&*%$ )' $*" #-( -$ *$&"(40.." [a, b]. $ 0,,".."   
    
 f   
X
V ar[a,b] (f ) = sup |f (ti+1 ) − f (ti )|
π

% π )'/(*& .2"$#"=?." )"# ,0(&*&*%$# )" [a, b].

ti ∈π

 


/C 
6 , ;:956 %*& a "& b  E '# )0$# R + 
P{ω : V ar[a,b] (B) = +∞} = 1.
 g uITS a GS b Q_L PROL R GS π JOG NRKSTSTIO PG [a, b].
+

s
 2
P
X |B(t ) − B(t )| ti ∈π i+1 i
|B(t ) − B(t )| ≥
i+1 i .
sup |B(t ) − B(t )| ti ∈π i+1 i

FG OJM_KRSGJK GLS [R WRKTRSTIO ^JRPKRST^JG PG B PIOS IO LRTS ^JYG[[G HIOWGKkG WGKL t.

ti ∈π

OLJTSGU s 7→ B (ω) GLS HIOSTOJG PIOH JOTXIKM_MGOS HIOSTOJG LJK [YTOSGKWR[[G [a, b] g
s

∀ε, ∃η, k π k< η ⇒ supti ∈π |B(ti+1 ) − B(ti )| < ε.

FR XKRHSTIO s HIOWGKkG PIOH WGKL [YTOOTb •


    
\YGLS JO S]_IKVMG ^JT PIOOG [YIKPKG PG kKROPGJK PJ MIPJ[G PG HIOSTOJTS_b
 

56 &B;p9;5A ,, :: ::A
 %*& g :]0, 1] → R , g(δ) = −2δ log(δ). .%(#8
+

1
P{ω : limδ&0 sup |(Bt − Bs )(ω)| = 1} = 1.
g(δ) 0<s<t<1,t−s≤δ

 \YGLS ` PTKG ^JG [G MIPJ[G PG HIOSTOJTS_ PG B GLS PG [YIKPKG PG g(δ).

 

/C 
6
: , ;555
 %*& F = σ(B , s ≤ t) ∨ N . .%(# .0  .&(0&*%$ F
"#& /%$&*$-" 1 )(%*&"8 / 2"#& 1 )*(" F := ∩ F /%*$/*)" 04"/ F .
t+ s>t
t
s
s
t

 GO GQGKHTHGb [[G JST[TLG [G XRTS ^JG

∀u1 , ∀u2 , ∀z > v > t,

E[ei(u1 Bz +u2 Bv ) /Ft+ ] = lim E[ei(u1 Bz +u2 Bv ) /Fw ] =
w&t
i(u1 Bz +u2 Bv )
E[e /Ft ],
HYGLS ` PTKG ^JG [GL [ITL HIOPTSTIOOG[[GL GO F GS F LIOS [GL MzMGL GS PIOH F
t+ t t+ = Ft.


         
FG MIJWGMGOS ZKIjOTGO GLS JO NKIHGLLJL PG lRKrIWU HYGLS ` PTKG ^JG
T
∀x ∈ R, ∀f ZIK_[ GOOG ZIKO_GU E [f (B )/F ] = E [f (B )].
FR NKGJWG NGJS LG XRTKG XRHT[GMGOS ` [R MRTO" g LIJL P , B = x + W GS
x t+s s Bs t

x t+s t+s

f (Bt+s ) = f (x + Wt+s − Ws + Ws )
GS IO HIOH[JT S NRK [YSTTOP_NGOPROHG PG S
x+W G W −W b
O HIKI[[R KG IO IZ GOS ^JG B GLS JOG MRKSTOkR[G NIJK LR [SKRSTIO NKINKGb
s t+s s


 
  R t
2




0 Bs dBs
tTGOSS^JGT [GL SKR GHSITKGL PG B OG LITGOS NRL PTo_KGOSTRZ[GLU IO H]GKH]G ` PIOOGK JO LGOL
`ToHG G OS_kKR[GbT pO LYRSSGOPKRTS ` HG ^JG HG LITS B , TTo[ OYGO GLS KTGOb IJK MGSSSTSTKG [R
P _KGOHG GO _W PGOHGUS IO P_HIMNILG B GO LIMMG PG P _KGOHGL [G [IOk PYJOG NRK IOg
2
t

T S ^ TS
PG [Y O GKWR[[G [0, t] OI _ t = it/n JG [YIO P_WG[INNGKR GOLJ G NRK [R XIKMJ[G PG R[IK
i
2
t 
X X X
Bt2 = (Bt2i+1 − Bt2i ) = 2Bti [Bti+1 − Bti ] + [Bti+1 − Bti ]2 .

FG NKGMTGK SGKMG HIOWGKkG ORSJKG[[GMGOS  WGKL HG ^JG [YIO RSSGOP g 2 R B dB HGHT

i i i

LGKR  JLST_ PROL [G NRKRkKRN]G sb pO HKITKRTS ^JG [G LGHIOP HIOWGKkG WGKL U HYGLS [`
t
s s

^JYTOSGKWTGOS [G NRKRPIQGb c[ XRJS KGMRK^JGK ^JG NRK P_OTSTIO PJ MIJWGMGOS0ZKIjOTGO

0

HG LGHIOP SGKMG GLS [R LIMMG PGL HRKK_L PG n kRJLLTGOOGL TOP_NGOPROSGL HGOSK_L GS PG

WRK ROHGT t/n gST[ LYRkTS PIOHg PYJOG WRKSTRZ[G R[_RSITKG PG [IT t/nχ . uIO GLN_KROHGT TSGLS t GS
T
LR WRK ROHG GL t y/nV PIOH HG GKMG HIOWGKkG PROL PIOH GO NKIZRZ [ _ WGKL
2
n

LIO GLN_KROHG t b TOLTarχU IO MIOSKGKR NK_HTL_MGOS N[JL SRKP L

2 2 2
1

Z t
Bt2 =2 Bs dBs + t.
0

sf


  

/CF ; S%)-." :ST/B0, *&(" A]8 TS%)-." 5S /B0, *&(" A "& %)-."
; ST T S
G ZJ GLLGO G[ PG HG H RNS KG GL T PG PIOOGK JO LGOL ` [RSOI IO PY O _kKR[G S ` JOGPGMRKNKIHGLLJL
NRK KRNNIKT S RJS MIJWGMGO S ZKIjO
S GO IJU N[JL k_O_KR[GMGO
S ] UNRK
ST^KRNNIK T^
STOkR[Gb
O LG kJ PRO LJK [G NK_ GQ G  PG HG HIJKLU [G HR[HJ[ L IH RL JG RNN[ J_ RJQ OROHGLU

IO NGJS STMISTWGK TSRTOLT [YTOS_kKR[G LSIH]STRLST^JG g _SJPTTIOLS JOS TOLSTROS JO MIPV V[G I [G NKTQ
PYJOG RH IO LGKR T PIOO_ NRK JOG MRKo OkR[G M ` [Y OL RO t b u [YIO NILL PG X(t) PG HGL
RH IOL RJ MzMGS OL RO G JG [YIO G GH JG PGL SKROLRHSTIOL RJQ TOLSROSL t U [R KTH]GLLG
ST S S S ^ S t

LG LGKR OR[GMGO RHHKJG PG k

X
X(tk−1)(Mtk − Mtk−1 ).

lRTL LT [YIO WGJS GoGHSJGK PGL SKROLRHSTIOL GO SGMNL HIOSTOJU` SIJS TOLSROS t U T[ XRJS
k

NIJWI TK P_OTK JO IJST[ MRS]_MRST^JG NGKMGSSROS PG NRLLGK ` [R [TMTSG PROL [YGQNKGLLTIO

HTiPGLLJLT RWGHS [G NKIZ[VMG ^^JGUT GO NRKSTSTHJ[TGK LT M = B U [R P_KTW_GT S B OYGQTLSGSTNRL !! HGSSTG
GQNKGLL IO GLT JOG STIO LIMMG JT R WIHR IO ` HIOWGKkGK WGKL JOG O _kKR[G PG uS G[ GLUT T MR Lg
0

HIMMG[RWRK R GLS O  OT GUHG[R OG LRJKR TS HIOWGKkGK PROL JO LGOL P_ GKM O LS G 

[YTOS_kKR[G LSIH]RLST^V JG(B)ORWG  GLS TMNILLTZ[G HXb KISSGK NRkG f HIMMG [G MIOSKG [G
K_LJ[SRS LJTWROSb
  

%*& π = (t ) -$" ,0(&*&*%$ )" [0, T ] ; *
k
"E *#&"8 0.%(# f "#& 1 40(*0&*%$  $*"; /C ; (%&&"(8 &B;
A58 ,0+" 6
P
lim |π|→0 k x(t
k−1 )(fk(t ) − f (t
k−1 ))

FR NKGJWG JST[TLG [G S]_IKVMG PG tRORH] uSGTO]RJLU HYGLS ` PTKG g LT X GLS JO GLNRHG

PG StRORH^ ] GS Y JO GLNRHG WGHSSIKTG[ OIKM_U (T ) JOGTS LJTSG PYIN_KRSGJKL ZIKO_L S PG X PROL
Y G[[G JG ∀x ∈ X, (T (x)) GL ZIKO_GU R[IKL [R LJ G PGL OIKMGL (k T k) GL ZIKO_G PROL
α
α α

RK K_H TNKI^JGU IO IZSTGOS PIOH ^JG LT V (f ) = +∞, R[IKL [R [TMTSG OYGQTLSG NRLU HG ^JT
R.

GLF ST [G HRL cNIJK S T c S S

f : t 7→ B [G MIJWMGO ZKIjO GOb [ XRJ PIOH KIJWGK PYRJ KGL IJ [Lb
S ST
Sn S S T T S
Y P_G PGT R _S_ PG KGLS KG OPKGS[GL OT _kKROPL RJQ NKIHGLLJLS J OG NGJWGO
t
^ T S NRL WITK 
[GL RHHKI LLGMGOT L PJ XJ JKUS HYGL ` P KG [GL TNKIHGLLJL RPRN _LU GO LIKSG ^JGU PJ MITOL
NIJK [GS ZKIjO GOU ST S T T S  ST
x(t ) G (B − B ) LI GO OP_NGOPRO L  R OL U NRK KR GH I KG IO
OG NGJ KTGO XRTKGU MRTL [YIO SKRWRT[[G GO NKIZRZT[TS_U GO GLN_KROHGb
k−1 tk tk−1

FG N[RO GLS [G LJTWROS g RNKVL RWITK TOSKIPJTS [G NKIZ[VMG GS ^JG[^JGL OISRSTIOL sbdbdU
IO P_OTS sbdbs  PYRZIKP [YTOS_kKR[G LJK [GL NKIHGLLJL LTMN[GL  PYGOLGMZ[G OIS_ U ^JG
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sd

   




    
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 g NIJK SIJS X RPRNS_U IO OISG [X] = E[ X dhMi ]. M

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s
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j

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t

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t

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t

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t
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t 0 s s

2 t 2

WTT hI (X)i = R X dhMi .

t s s s u u s

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t 2
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t

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k It (X n ) − It (Y n ) k2 → 0
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4
t
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4*
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R 2 t 2

4*2
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t s s s u u s

2
R 2 t 2

4**
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t s s s u u s
R t 2
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. t s s

 g [R N[JNRKS PGL NKINKT_S_L LYIZSTGOOGOS NRK NRLLRkG ` [R [TMTSG PROL PGL
0

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s

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n
Z Z t t
n 2 2
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n

NJ TTTL^JGS d(X , 0) →^ d(X, 0).  T  S

s s

W GL JOG HIOL_ JGOHG PG W Y G PG [R PGJQTVMG HRKRHS_KTLRSTIO PJ HKIH]GS fbsb •

n

   

 %-( &%-& &"=,# ) 20((& "& &
S T, S ≤ T, " t ≥ 0 %$ 0 

E[It∧T (X)/FS ] = It∧S (X).

 * X "& Y ∈ L 8 , ("#>-" #("="$& 
∗

Z t∧T
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t∧S


 g I (X) GLS JOG MRKSTOkR[G GS IO [JT RNN[T^JG [G S]_IKVMG PYRKKzS GOSKG [GL
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X
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|π|→0

IJU HG ^JT GLS _^JTWR[GOS

ti ∈π

4hM, Nit := hM + Nit − hM − Nit .

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 %*& "& )"-E =0(&*$+0."# /%$&*$-"# )" /0((' *$&'+(0?."; .%(# 

*
M N
|hM, Ni | ≤ hMi hNi 
** & (&* .
2

M N − hM, Ni "# -$" =0 $+0 ";

t t t

t t t

 g [G T LG MIOSKG LTMN[GMGOS HIMMG SIJSG TO_kR[TS_ PG \RJH]b FG TT LG

P_PJTS PG HG ^JGU NJTL^JGSM + N GLSTS JOG MRKSTOkR[G PG HRKK_ TOS_kKRZ[GU [R PTo_KGOHG
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2
•
   

 %*& -$ &"=,# ) 20((& "& "& )"-E =0(&*$+0."# /%$&*$-"# )"
t

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T
M N
Ni . T T

KGJWG g WITK KISSGK ef S]bsU NRkG db

uITS π JOG NRKSTSTIO PG [0, t].
X
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t t

sf t t
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yWGH HGSSG NI[TST^JG  θ PTSG RJSIOR#ROSGU [G WGOPGJK PG [YINSTIO NRK GQGMN[G (S − 0 0

+  T ST T T T TST S
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dVt (θ) = rat St0 dt + dt St (bdt + σdWt ).

FYTPGOSTHRSTIO PIOOG PGJQ _^JRSTIOLU GO LJL PG sf ^JT OYGLS RJSKG ^JG C(t, S ) g t

sd 1
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1
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pO NGJST KGMN[RHGKS S NRK x ∈ R  HRK HYGLS JOG WRK S PROL SIJS

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R . \GH LG K_LIJ NRK [R       

b pO NILG
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dYs = Ys (rds + σdWs ), Yt = x.

y[IKL Y s = x exp[σ(Ws − Xt ) − (s − t)( 21 σ 2 + r)] OIS_ Y GS s
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C(t, x) = Ex [e−r(T −t) (YTt,x − K)+ ]


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log(x/K) + (T − t)(r + 21 σ 2 )
 
C(t, x) = xϕ √
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−r(T −t)
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x = ey , y ∈ R ; D(t, y) = C(t, ey )
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! 2"#& "E0/&"="$& /" >-" .2%$ 0 4- )0$# .0 , (%,%#*&*%$ ;98 04"/ g = 0, f (x) = (e
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FG NKTQ RJ SGMNL t GLS C(t, S ) = E e[ (e − K) /F ] PIOS [G HR[HJ[ GLS LTMN[G g

[R [IT PG X LRH]ROS F GLS JOG kRJLLTGOOG PG MIGOOG S + r(T − t) GS PG WRKTROHG
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K_H TL_MGOSU GQTLSGiSiT[ JOG NKIZRZT[TS_ P ^JT PIOOG HGSSG NKINKT_S_  YI [GL PGJQ
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d

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n
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sf eb U SN d
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P(B) := {X NKIHGLLJL MGLJKRZ[G RPRN _ ∀T,
S g R k X k ds < +∞ P p.s.}
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P(M) := {X , (%/"##-# ="#-(0?. " 0) 0, &' ∀T,

Z T
k X k dhMi < +∞ P p.s.} s
2
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se dZ = Z
X
X dB ; Z = 1, i i
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t 2 2
0 s s

uHGIJL HGKSRTOGL HIOPTSTIOLU E (X.B) GLS JOG WKRTG  MRKSTOkR[GUR[IKLNIJK SIJS t, E[Z ] =
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S T T
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−1

  

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t Q t A

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 0,,0(&*"$& 1 M(P), "& #* Q "#& .0 , (%?0?*.*&' )' $*" #-( F ,0( Z .P
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0

FR NKGJWG O_HGLLTSG JO [GMMG NK_NRKRSITKGb \TiPGLLIJL E OISG [YGLN_KROHG LIJL Q GS

S
EP OI G [YGLN_KROHG LIJL P.
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%*& T ≥ 08 Z '.'="$& )" M(P) "& Q = Z P. %*& 0 ≤ s ≤ t ≤ T "& -$"
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s
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Zs

 GQGKHTHG g uITS T T Sg

A ∈ F U [ W GO
s

E(Y Zt /Fs )
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HRK LJK FTST, Q = Z P. JTL g E[1 E(Y

Zs

NRKS P_O IO PG [YGLN_KROHG HIOPTSTIOOG[[G

s s A
GS GOO NRK P_OTSTIO PG Q U GS NJTL^JG 1 Y
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GL F iMGLJKRZ[G
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E(1A Y Zt ) = EQ (1A Y )

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s E [M
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y[IKL [G XRTS ^JG M ∈ M(Q) TMN[T^JG ^JG (MZ) ∈ M(P).

Z s

x_HTNKI^JGMGOSU T[ LJ
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t t t t t t t t t

RWGHSTHG[J PG M RWGH Z HG ^JSTT NGKMGS [R LTMN[THRSTIO GS MIOSKG ^JG NZ GLS JOG Pi

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,%- %- t ≥ 0 %$ 0 E[E (X.B)] = 1.

 g c[ GQTLSG JOG LJTSG HKITLLROSG PG SGMNL PYRKKzS SG[[G ^JG NIJK SIJS
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Tn S S T n, n

S
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GL JOG LJKMRK OkR[Gb IJSG MRKSTOkR[G [IHR[G NILTSTWG GLS JOG LJKMRKSTOkR[Gb \IMMG
E[E (X.B)] = 1, [ LJ
T S ^JG NIJK SIJS t ≥ 0 IO RTS E[E (X.B)] = 1 NIJK ^JG E(X.B) LITS


0
ST
JOG MRK OkR[Gb t

   

 %*& -$" =0(&*$+0." .%/0." /%$&*$-" ,%-( "& & ".. " >-"
•

(M& & . ( (& &

E[exp hMi ] < ∞ ,%- %- t ≥ 0 ;  % # ,%- %- t ≥ 0, E[Z ] = 1.
P Z = E(M)

  


 %4*
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1
2 t t

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s
0

IJK SGKMTST TOGK HG NRKRkKRN ]GU WITHT JO GQGMN[G PG NKIHGLLJL X ∈ P(B) OG W_KTROS
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c

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loc

2
t
2
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* %$&("( >-" T < 1 , ("#>-" # ("="$& "& )%$/ >-" , ("#>-" #("="$&;
(1 − t)2
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0

 t→
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1 1 1
Z Z Z
Xt dBt − Xt2 dt = −1 − 2 [ − ]Bt2 dt < −1.
*** @0 =0(&*$+0." .%/0." E(X.B) $2"#& ,0# -$" =0(&*$+0." ,0# -#>- 20- &"=,# 1 "$
2 (1 − t) 4 (1 − t) 3
0 0 0
  

&%-& /0#   %$ )')-*& )" ** >-" #%$ "#,'(0$/" "#& =0 %('" ,0( /" >- *

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& =%$&("( >-",%-( &%-& n ≥ 1 "& σ = 1−(1/√n), .", (%/"##-# E(X.B)
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σn
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d


  

    

   

SS ef hi dhb

FHXYIZKIGS PGGKHG H]URNNRkGL d

TSKG GLS PG MIOSKGK ^JYJOG H[RLLG RLLG [RKkG PG MRKSTOkR[GL NGJS LY_HKTKG
LG KGNK_LGOSGK  NRK X.B b \GHT NGKMGSSKR PG K_LIJPKG [G NKIZ[VMG PG SKIJWGK JOG NKIZi
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pO HIOLTPVKG THT [GL MRKSTOkR[GL PG M ^JT PG N[JL LIOS OJ[[GL ` [YIKTkTSTOG GS W_KTGS
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2 + ∗ T 2 +

GS ^TJG LT X GLS S H`P IJ H`kU R[IKLTS RPRNS_ _^JTWRJS ` NKIkKGLLTXb \YGLS [G HRL ^JG OIJL
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2
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t

;
t A

*** #* & (' .(

M ∈ F " H ?% $ ∈ L (M) 0 % # H.M ∈ F.
F

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∗

M ∈ F " H ∈ L (M) ∩ L (dP ⊗ dhMi) 8 0 % # H.M ∈ F.

∗ 2

 g JTL^JG T T ST T  TTT GLS

L (M) ⊂ L (M) ∩ L (dP ⊗ dhMi) U [Y MN[ HR IO W ⇒
TMM_PTRSGb ∗
b
∗ 2

TTT TT g T
S S SS S
y[IKLU ⇒ [ LJ PG NKGOPKG NIJK IJ GMNL PYRKKz T [G NKIHGLLJL H = 1 (t) b t [0,T ]

Z t
(H.M)t = 1[0,T ] (s)dMs = Mt∧T ∈ F,
HYGLS ` PTKG ^JG M GLS JO _[_MGOS PG F.
T
0

s
 TT T g LITS t Q_U A ∈ F GS M ∈ F. pO HIOLSKJTS [G SGMNL PYRKKzS T (ω) = t LT
  ⇒ 
S T T T c TS T S S T^
ω ∈ A G [Y OO L OIOb [ LYRk Z GO PYJO GMNL PYRKKz NJ L JG A ∈ F b RK R [[GJKLU
t
T
PYJOG NRKS g t

T ^T ^T S
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t t
A

GS PYRJSKG NRKS g
M − M = (M − M ) L ω ∈ A,
T
T
= 0 L OIO ,
T t

HG ^JT WGJS PTKG ^JG (MS− MS )1 = MTS − M b pKT SF GLT S LSRZ[GU PIOH M GS M ∈ F, PIOH
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t T T
A

T ⇒ TW g LITS H ∈ P ^JT LY_HKTS g

t
A

X
H = H0 + Hi 1]ti ,ti+1 ]

I H = 1
i Ai , Ai ∈ Fti b y[IKL i

X X
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^JT RNNRKSTGOS ` F NRK Tb IJS NKIHGLLJL LTMN[G GLS [TMTSG PG HIMZTORTLIOL [TO_RTKGL PG
i i

NKIHGLLJL SG[L H HTiPGLLJLU GS [YTOS_kKR[G LSIH]RLST^JG _SROS [TO_RTKG IO IZSTGOS ^JG NIJK
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4 & (* . ( ' & %. A -$& #%-#& "$#"=? " " H ; $ $% " S(A) " , -# ," #%-# "#,0/"
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2
0

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(& & (&B . *
0 " C% "="$ % %+%$0 "# # MN "# -$" =0 $+0 ";
& (&* .
2
0 ∞ ∞

xGMRK^JIOL ^JG NJTL^JG NRK P_OTSTIO MN − hM, Ni GLS JOG MRKSTOkR[GU [R XIKSG
IKSS]]IkIOR[TSTS_ T_^JTWRJ S RJ XRTS ^JG hM, Ni = 0. pO R PIOH PG XR#IO ORSJKG[[G ^JG [R XIKSG
IK IkIOR[T _ MN[T^JG [YIKTS] IkIOR[S TS_  [R K_HTNKI^JG TGLS XRJLLG gSHIOLTP_KIOLTSM ∈ H GS
Y JOG WRK RZ[G PG tGKOIJ[[ WR[RO ±1 RWGH NKIZR U OP_NGOPRO G PG M b uI N = Y M.
2

lIOSKGK GO GQGKHTHG ^JG M GLS IKS]IkIOR[G ` N MRTL ^JG [YIKS]IkIOR[TS_ OYGLS NRL XIKSGb
0
1
2

IJK A LIJLiGOLGMZ[G PG H U IO OISG A LIO IKS]IkIOR[U GS A LIO IKS]IkIOR[ XIKSb



 %*& A -$ #%-#"$#"=?." )" H  A "#& -$ #%-#"#,0/" 4"/&%(*". C"(='
2 ⊥ †

  0

#&0?.";
2 †
0

 g LITS JOG LJTSG T TS S g S S

M ∈ A PG [ M G M PROL H G N PROL A NIJK IJ
S ST T ST S
n †
S S S S
n, M N GL JOG MRK OkR[G JO XIKM_MGO O _kKRZ[Gb  YRJ KG NRK U NIJK IJ t ≥ 0 U NRK
2

] ]
0

\RJH iuH jRKS

n

^JT HIOWGKkG WGKL _KIbE[|hM IOH hM , Ni → hM, Ni PROL L . pKU NIJK SIJS n GS SIJS
n 2 n
− M, Ni | ] ≤ E[hM − Mi ]E[hNi ]
t t t

n
t
S ^ S S S S]
t, hM , Ni = 0, G NRK HIOL_ JGO hM, Ni = 0 G M GL IK IkIOR[G ` N.
n
t
t •
t
2

e
   

%*& )"-E =0(&*$+0."# )" H ; %$ 0 ."# '>-*40."$/"# #-*40$&"# 
2

& (& & (&B

(i)M " N C% "="$ % %+%$0-E8 $% M † N,
&'
0

(ii)S(M) † N
(iii)S(M) † S(N)
(iv)S(M)⊥N
(v)S(M)⊥S(N)

 GO GQGKHTHGb

  

%*& M , · · · , M∈ H021 n &".."# >-",%-( i 6= j, M †M . .%(#8 S(M , · · · , M ) =
i j 1 n
P n i i i ∗ i 2 i
{ i=1 H M ; H ∈ L (M ) ∩ L (dP ⊗ dhM i)}.

 g IO OISG I [G MGMZKG PG PKITSGb RK HIOLSKJHSTIO GS NRK [R NKINKT_S_ TW U

S S TV T ST g
I GL JO GLNRHG L RZ[Gb pO HIOL P KG [YRNN[ HR IO

⊕i L∗ (M i ) ∩ L2 (dP ⊗ dhM i i) −→ H02

Xn
(H i) 7−→ H i .M i

pO W_KTG LROL NGTOG ^JYT[ LYRkTS PYJOG TLIM_SKTG GO JST[TLROS ^JG NIJK i 6= j, M † M g
i=1

i j

n
X n
X n
X Z ∞
i i
k HM k22 = kH Mi i
k22 = E[ |Hsi |2 dhM i is ].

IOH [YGOLGMZ[G I TMRkGNRKJOG TLIM_SKTGPYJO XGKM_GLS XGKM_GS HIOSTGOS PIOH S(M , · · · , M ).

i=1 i=1 i=1 0


x_HTNKI^JGMGOSU PYRNKVL [G S]_IKVMG bs TWU SIJS GOLGMZ[G XGKM_ F LSRZ[G HIOSGOROS
1 n

[GL M HIOSTGOS [GL H .M PIOH I b

i i i

    


%*& A ⊂ H ; $ )*& >-" A 0 .0       

 #*  2
0

n
X
I = {X = H i M i , M i ∈ A, H i ∈ L∗ (M i ) ∩ L2 (dP ⊗ dhM i i)} = H02 .

(&   

 %*& A = (M , · · · , M ) ⊂ H 04"/ M † M , i 6= j. * &%-& N ∈ H
i=1

C% "="$& %(&B%+%$0. 1 A "#& $-.8 0.%(# A 0 .0 , (%, (*'&' )" (", ('#"$&0&*%$ , ('4*#*?.";
1 n 2 i j 2
0 0

 g [G S]_IKVMG  bh MIOSKG ^JG S TT TS

S(A) GL [YGOLGMZ[G I P_O H iPGLLJLb uI
R[IKL N ∈ A . YRNKVL [G TT PJ [GMMG HTiPGLLJLU
†


N ∈ S(A)† = I † .
FY]NIS]VLG PTS ^JG N GLS OJ[U HYGLS ` PTKG ^JG I = {0} U PIOH ^JG I = H .
T_S_L PYIKS]IkIOR[TS_ GS PG KGNK_LGOSRSTIO LIOS [T_GL ` [R NKIZRZT[TS_ LIJL•i
† 2

\GL NKINK
 RHGOSGb c[ XRJS PIOH WITK HG ^JT LG NRLLG [IKL^JG [YIO H]ROkG PG NKIZRZT[TS_b
0


.  & 
&*
%*& A( (⊂ H (&(P) ; '$ $%. &" M(A)( .2"$#"=?." )"# , (%?0?*.*&'# #-( F
0?#% -="$ /%$ $-"# ,0 0,,% 1 P8 +0 "# 1 P #- F , "& &".."# >-" A ⊂ H (Q) ;
2
0 ∞
2

  

M(A) "#& /%$4"E";
0 0

 GO GQGKHTHGb
   

Q ∈ M(A) "#& )*&"   #*
Q = aQ + (1 − a)Q , a ∈ [0, 1], Q ∈ M(A) ⇒ a = 0 %- 1.
  

%*& A ⊂ H (P). S(A) = H (P) *=, .*>-" >-" P "#& "E&('=0." )0$#
1 2 i

2 2
0 0
M(A).
TS g S]b eh NRkG ds PROL efb pOF LJNNILG T^TSJG P OYGLS NRL GQSSK_MR[G GS
PIOHTSLY_HK aQ + (1 S− a)Q RWGH Q ∈ M(A) b R NKIZRZ [ _ Q ≤ P RPMG PIOH JOG
PGOLT T _ ZS NRK KRNNIK S` P^MR IK_G NRK TSGS Z − Zg ∈ HS (P). xGMRK^JIOL ^JG P GS Q 1
1
 2 i 1

PIOH JOG MRKSTOkR[G NIJK P^GST

a

HI OH PGO LJK F MIOS KG JG Z ST= 1. uI X ∈ AT T HYGL

1 2
0 0 1

^
a

NIJKS Q U PIOH ZX GL JOG MRK OkR[G NIJK P R OL JG (Z − Z )X = (Z − 1)X HG J

0 0

MIO KG [YIKS]IkIOR[
1

S
TS_ PG Z − Z ` SIJS X PIOH ` A PIOH ` S(A) b \GS GOLGMZ[G _SROS
S S
0

H (P), Z − 1 = 0 G P = Q GL GQ K_MR[Gb
0
2
0 1 •

  

%*& A ⊂ H (P) "& P "#& "E&('=0." )0$# M(A). * M ∈ M (P) ∩ A
0.%(# M "#& $-..";
2 c †
0 b

 g uITS JO MR IKROS PG [R MRKSTOkR[G ZIKO_G GS LJNNILIOL ^JYG[[G OYGLS

NRL TPGOST^JGMGOS OJ[[Gb
c
pO NGJS PIOH P_OTK M

dQ = (1 −
M S
)dP G dR = (1 +
M ∞
)dP.
∞

y[IKL P = (Q + R) U Q GS R LIOS RZLI[JMGOS HIOSTOJGL NRK KRNNIKS ` P GS LIOS _kR[GL `

2c 2c

T^ TS g V TST  
P LJK F NJ L JG M = 0. uI X ∈ A ⊂ H (P) PYRNK L [R NKINIL IO b U X ∈ H (Q)
1

LT GS LGJ[GMGOS LT (1 − )XS ∈ H (P). pK X † M PIOH IO R ZTGO HGSSG NKINKT_S_ GS PG

2
2 2
0 0 0 0

MzMG X ∈ H (Q) IOH Q, G PG MzMG R, ∈ M(A) b

Mt 2
2c t 0

yTOLT  RJKRTSiT[ JOG P_HIMNILTSTIO PG P HG ^JT HIOSKGPTS [Y]NIS]VLG g M GLS O_HGLi

2
0

LR KGMGOS OJ[[Gb
T
  

%*& A = (M , · · · , M ) ⊂ H (P) 04"/ M † M , i 6= j. P "#& "E&('=0."
)0$# M(A) *=, .*>-" >-" A 0 .0 , (%, (*'&' )" (", ('#"$&0&*%$ , ('4*#*?.";
1 n 2
0
i j

 g NRK [R NKINILTSTIO  b

T[ LJ
S PG MIOSKGK ^JG SIJS S
N ∈ H (P)∩A GL OJ[[Gb
TS S ST S TS
I STJOG G[[G MRKS OkR[G N G JOG LJ G PGS GMNL
uMRK S PYRKKzS F
T = inf{t ≤ 0 ; |N | ≥ n}. R
2 †

PROL A  P GL GQSK_MR[Gb FG S]_IKVMG bd MIOSKG ^JG N

0

S OkR[G N S GLS ZIKO_GU

S
n t

GL OJ[[G NIJK IJ n, G PIOH N = 0 b

Tn † Tn

•


   

  

%*& B -$ =%-4"="$& (%$*"$ )" )*="$#*%$ n #-( (Ω, F ; .%(#
,%-( &%-& M ∈ M , *. "E*#&" H ∈ L(B ), i = 1, · · · , n, &".# >-" 
B
t , P)
c,2 i i
loc
n
X
Mt = M0 + (H i .B i )t .

KGJWG SGO GQGKHTTHG g HYGLS S JOG RNN[ THRSTIO PJ S]_IKVMG NK_H_PGOS RJQ HIMNILROSGL PJ
i=1

MIJWGMGO ZKIjO GO PIO IO MIO SKG ^JG P GLS [YJOT^JG _[_MGOS PG M(B) b IJK HG XRTKGU
LITS Q ∈ M(B) GSl[R MRK STOkR[G Z = E[ /F ] ^JT GLS JOG XIOHSTIO PG B NJTL^JG B GLS
JOGT NKIHGLLJL PG TS RKS IWb B GLS ` [RST XITL JOG P GS JOG Q] iSMRKSTOkR[GU NRK [G S]_IKVMG PG
r dQ i
dP . t

cvSnKLROIWU
U g = 1. ZB PI z KG JOG P MRK OkR[GU PIOH [G HKIH G hZ, Bi = 0 RK [R XIKMJ[G PG

JTL IO [IHR[TLG [R MRKSTOkR[G M. 3&*.*#"( Z = E[ P /F ] "#& -$"C%$/&*%$ ="#-(0?."

)- 4"/&"-( (B , · · · , B ). t
d
dQ
B
t

  

%-# ."# =="# B,%&B#"#8 #%*& Z ∈ L (F , P)8 0.%(# *. "E*#&" H ∈
1 n
t t

i &.
L(B ), i = 1, · · · , n, " # >-" 
1
∞
i

n
X
Z = E[Z] + (H i.B i )∞ .

g IO RNN[T^JG [G S]_IKVMG ` [R MRKSTOkR[G M = E[Z/F ] GS IO XRTS SGOPKG t

i=1


WGKL [YTOOTb t t

xGMRK^JGK R[IKL ^JGU LT P GS Q LIOS PGJQ NKIZRZT[TS_L _^JTWR[GOSGLU GS LT IO OIS•G

T TS
Z [R WRK RZ[G P− O _kKRZ[G
ST S ST
, R[IKL [R MRK OkR[G Z = EP [Z/F ] GL JOG MRK OkR[G
ST g T T S P
dQ
d S ^
GQNIOGO G[[G [ GQ L G JO NKIHGLLJL φ G[ JG dZ = Z φ dB . t
t
t t t
t


  
    

 


 M 

  
  





 
 
 L(M ) 


 
 {H = (H i ), ∀i H i ∈ L(M i )} 



  H ∈ L(M ) ⇔ ∀t, R t P H i Hsj dhM i , M j i < ∞.
i,j s s
0



    

PYRNKVL RHIP d
U TNRkGL eeT hiefTSb VMG LJTWROS g IO PTLNILG PYJO GOLGMZ[G PG
 ROL [G HRL PG [R a OROHGU [ LYRk PJ NKIZ[
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GOLGMZ[GT TSPG NKIZRZ
S ^ [ _S [SSK_ (Ω,SS B, FT, P) U GOTS XRTSS PGL LGMTiMRKSTOkR[GLb QTLSGiSiT[ JOG
S ^
NKIZRZ [ _ Q G[[GV JG IJ GSTHG G XRM [[G LI HIOT TGOJG
t
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RNNG[[GJO^ NKIZ[ MG PG MRK OkR[Gb pO LJNNILG H MRTL HY_SRTS PG SIJSG XR#IO GO k_O_KR[
c
loc

[G HRL ! JG B = F .
pO LG N[RHG LJK JO GOLGMZ[G JO NGJ N[JL kKROP PROL HG NRKRkKRN]G g
∞

H1 (P) = {M ∈ Mcloc (P) ; sup |Mt | ∈ L1 }.

t


pO NGJS MIOSKGK ^JG HGSSG P_OTSTIO GLS _^JTWR[GOSG ` g
1
H1 (P) = {M ∈ Mcloc (P) ; hMi∞
2
∈ L1 }
kK HG ` [YTO_kR[TS_ PG tJKr]I[PGK g
1
k sup |Mt |kq ≤ cq khMi 2 kq ≤ Cq k sup |Mt |kq .
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%*&X -$" C0=*.."  
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0,," " #% - %$ - &    &  . ) (  *.*&' X &&%-.2&" ,((%?0?..*.*&' P &".." >-". t

X ⊂ M (P). $ $% " M(X ) /" "$#"=? " " , %?0? # " %$ 0,," " >-" S(X ) "
, .-# ,"&*& "#,0/" #&0?." )" H (P) /%$&"$0$& {H.M, H ∈ L (M), M ∈ X }.
c
loc
1 ∗

   

& 4
M(X ) "# /%$ "E";
 GO GQGKHTHGb
pO OISG M (X ) [GL _[_MGOSL GQSK_MRJQ PG HGS GOLGMZ[Gb
  

/B &B; ::;5 )" :9 ,0+"

7; %*& P ∈ M(X )  %$ 0 ."# '>-*40."$/"# 

e

(i) P ∈ M (X )
e
&
(ii) H (P) = S(X ∪ {1}) " F = (∅, Ω)
& .. & ('
(iii) ∀N ∈ M (P) ∩ X " " >-" hNi "# ?% $ , N = 0 " F = (∅, Ω).
&
1
0
†

  

* )" , .-# X "#&  $* %- /%=,%#' -$*>-"="$& )" , (%/"##-# , ("#>-"
b 0

#("="$& /%$&*$-#8 ."# &(%*# 0##"(&*%$# )- &B'%(=" #%$& '>-*40."$&"# 1

(iv){Q ∈ M(X ), Q ∼ P} = {P}.
 g
TT TTT uITS M JOG MRKSTOkR[G ZIKO_GU OJ[[G GO 0 U IKS]IkIOR[G XIKSGMGOS ` SIJS _[_MGOS
 ⇒ 

PG X LITS hM, Xi = 0, ∀X ∈ X .
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PG NKIHGLLJL PG [R XIKMG N + H .X b IOHU
1 1
P
0 i i i

X XZ t
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^JT GLS OJ[[G NRK ]NIS]VLG LJK M ^JT GLS RTOLT IKS]IkIOR[G ` SIJS _[_MGOS PG H (P) b
i i 0

\IMMG M GLS ZIKO_GU G[[G GLS RJLLT _[_MGOS PG H (P), PIOH IKS]IkIOR[G ` G[[GiMzMGU
1

PIOH OJ[[Gb
1

TTT⇒ TT pO R NRK P_OTSTIO [YTOH[JLTIO S(X ∪ {1}) ⊂ H (P). uJNNILIOL [YTOH[JLTIO
LSKTHSGb JTL^JG S(X ∪ {1})STGLS JOT XGKM_SHIOWGQG PG T TS
H (P) U [ GQ L G M ∈ H (P) IK Iki
1
S]
SIOR[G ` S(X S∪ {1}) b O NRK HJ[ GK M^ TGL TSIK^S]IkIOR[G `S 1 U PIOH MST = 0. uITS [R LJTSG PG
1 1

GMNL PYRKKz Tn = inf{t/|Mt | ≥ n} J XR JG GL JOG MRK OkR[G ZIKO_GU OJ[[G GO

M Tn
0

h
 USIKS]TIkIOR[G ` SIJS X g G[[G GLS OJ[[G NRK [Y]NIS]VLG TTT GS [Y_kR[TS_ PGL PGJQ GOLGMZ[GL
GL W_K _Gb
0

T⇒ TTT pO R P GQSK_MR[G PROL M(X ) b uITS Y JOG WRKTRZ[G R[_RSITKG F iMGLJKRZ[G
ZIKO_G GS N JOG MRKxSTOkR[G^ ZIKO_GU ^ OJ[[GS GOS _KIU IKS]IkIOR[G ` SIJS X b pO NILG 0

N = Y − E[Y ] + N . GMRK JIOL JG NIJK IJ t ≥ 0, EP (N ) = 0. ILIOL R[IKL

0
0
t

N N
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2a

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1
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c
loc i i

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IOH Q GLS RZLI[JMGOS HIOSTOJG NRK KRNNIKS ` P GS [R PGOLTS_ Z GQTLSGU MR IK_G NRK , 1 2

PYGLN_KROHG 1 GS NJTL^JG F = (0, Ω) U Z = 1 NKGL^JG LKGMGOS g Z − 1 GLS JOG MRKSTOkR[G

1
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c c
1 1

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loc loc

`
c c
loc loc

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1

TW⇒ TTT LG MIOSKG HIMMG T⇒ TTTU NKGJWG ^JT OG O_HGLLTSG NRL ^JG X RTS JOG NKIi
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TT TW uGLJNNILIOL ^ T TS ^ T TS ^ T S
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 ⇒  
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X
0
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 h g
n
X
2
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ITS Z [R MRKSTOkR[G PGOLTS_ PG P NRKS KRNNIKS ` PS : P = ZP RWGH Z PiMRKSTOkR[G

uPYGLN_KROHG
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1 U _kR[G ` 1 GO _KIb IJ X PG X GL PROL M (P) ∩ M (P ) MR L [R

0
T 0

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c c 0

GLS IKST S]IkIOR[G ` STX PIOH

loc loc

` S(X ∪ {1}) = H (P) b u NRK [IHR[ LR IO IO ZIKOG HG G

c c

MRK OkR[GU [R MRK OkR[G RKKzS_G GLS IKS]IkIOR[G ` G[[GiMzMGU PIOH OJ[[Gb
loc loc
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i

X
dSti = Sti bit dt + Sti σji (t)dBtj .

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j

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FG NKIZ[VMG GLS PIOH KRMGO_ ` SKIJWGK JO WGHSGJK X PROL L(B) W_KTROS NRK GQGMN[G
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j

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g
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Z t
Ṽt (θ) = V0 (θ) + hθs , dS̃s i

% ." , (%)-*& #/0.0*(" "#& )0$# R 0- .*"- )" R ,-*#>-" dS̃ = 0.

0

N N +1 0

 GO GQGKHTHGU ` [YRTPG PG [R XIKMJ[G PG cSI NIJK [G NKIPJTS GS sb

s

−rt
e × Vt (θ)

 

%*& Q -$" ="#-(" )" , (*E ) 2'>-*.*?("; %-( &%-&" #&(0&'+*" θ 0-&%
 $0$
0$&" '.'="$& )" . 4 . ( & .* ' ) (& *.. & (&* .
P(S̃) 8 0 0 "- 0/ -0 # " - ,% "C"- " "# -$" Q− =0 $+0 "
.%/0.";
e
  GO GQGKHTHGb

$ )*& >-"
&   &

& 4'(* &      * .. & ) * * .
θ "# -$"       # " " "# 0 = ## ? "8
0- % $0$
0$ " " " .2-$" )"# &(%*# , (%, (*'&'# 
& ( ( && 4 ( *.*&' > 0,
hθ , S i ≤ 0 " hθ , S i ≥ 0 , "#>-" # "="$ " 6= 0 0 "/ -$" , %?0?
0 0
& T
( T
( &
hθ , S i < 0 " hθ , S i ≥ 0 , "#>-" # "="$ 8
sm hθ , S i = 0 "& hθ , S i ≥ 0 , ("#>-" #("="$& "& 6= 0 04"/ -$" , (%?0?*.*&' > 0.
0 0 T T

0 0 T T

 PG [Y_^JTWR[GOHG PGL SKITL P_OTSTIOL GO GQGKHTHGb

RK GQGMN[GU T TS S S T ^T T
2 ⇒ 3 U L hθ , S i = a < 0, IO P_O JOG OIJWG[[G L KR _k G J WR W_K GK
[R PGKOTVKG NKINKT_S_ g 0 0

θ0n = θn , n = 1, · · · , N ; θ00 (t) = θ0 (t) − ae−rt , ∀t ∈ [0, T ].

y[IKLU
N
X
hθ00 , S0 i = θ000 , S00 + hθ0n , S0n i = hθ0 , S0 i − a = 0

GS hθ , S i = hθ , S i − ae
0
T T T T
−rT rT
e
1

> hθT , ST i ≥ 0.  IOHU hθ , S i GLS NILTSTX GS OIO OJ[b

0
T T

•
4'(*  


3$ =0(/B ' #0$# #&(0&'+*" ) 20(?*&(0+" "#& )*&   ; $ )*& 0-##* >- 2*.
" .2 ,%& #"   0?#"$/" ) 2%,,%(&-$*&' ) 20(?*&(0+" ;
B B
pO WR PIOOGK PGL HIOPTSTIOL LJ
LROSGL NIJK ^JYJO MRKH]_ S LITS WTRZ[Gb
 

/C ; 9 8 :5;5 "& #>; * .2"$#"=?." Q "#& $%$ 4*)" 0.%(# ." =0(/B' "#&
4*0?."; S

 GO GQGKHTHG RWGH [GL _SRNGL LJTWROSGL LITS g

db uT NIJK SIJSG LSKRS_kTG RJSIORO#ROSG Ṽ (θ) GLS JOG Q−LJKMRKSTOkR[GU R[IKL [G MRKH]_ GLS WTRZ[Gb
Q∈Q S

FG XRTS ^JG Ṽ (θ) LITS JOG Q−LJKMRKSTOkR[G LY_HKTS g

t
t

∀s ≤ t, EQ [Ṽt (θ)/Fs ] ≤ Ṽs (θ).

O NRKSTHJ[TGK NJTL^JG [R SKTZJ TOTSTR[G F GLS SKTWTR[GU NIJK s = 0,
S T
E [Ṽ (θ)] ≤ Ṽ (θ) HYGL ` P KG hθ , S i.
0

Q T 0 0 0


uJNNILIOL PIOH ^JYT[ GQS TLSTG ^JOG LSKRS_kTG PYRKZTSKRkG g hθ , S i = 0, hθ S, S i S≥ 0.S T
IOH (θ)]TS≤ 0 G NJ L JG Ṽ (θ) = e hθ , S i ≥ 0, Ṽ (θ) = 0 G [R L KR _k G θ OG 0 0 T T

NGJST zSESKGS[ṼPYRKZ KRkGb

−rT
Q T T T T T

sb Tu ^ IJ G LS KRS _kTTG RJSISOROS #ROSG PG SP(S̃) GLS SG[[G ^JG Ṽ (θ) ≥ 0, R[IKL [G MRKH]_ GLS WTRZ[Gb
S S
J L JG [R L KR _k G θ GL RJ IORO#RO GU t

Z t
Ṽt (θ) = hθ0 , S0 i + hθs , dS̃s i.

FG HIKI[[RTKG hb MIOSKG ^JG Ṽ (θ) GLS R[IKL JOG Q−MRKSTOkR[G [IHR[Gb \IMMG G[[G GLS
0

NILTSTWGU HYGLS JOG LJKMRKSTOkR[G HXb [R NKGJWG PJ [GMMG b GS [YIO GLS KRMGO_ ` d
t

NIJK HIOH[JKGb •
O HIOH[JLTIOU NIJK _WTSGK [YRKZTSKRkGUIO R IJSG PROL [R P_OTSTIO PG [YRPMTLLTZT[TS_ PYJOG
LSKRS_kTG θ [YIZ[TkRSTIO PG W_KTGK
^
V (θ) ≥ 0, dt ⊗ dP NKGL JG LKGMGO .
S
 

$ 4%*& .1 .0 #-*&" ) 2*=, .*/0&*%$#  Q "#& $%$ 4*)" ⇒ .2*$&"()*/&*%$
t

)" &%-& 0(?*&(0+" ⇒ ."# , (*E #%$& )"# #"=*=0(&*$+0."# #0$# ,%-( 0-&0$& 04%*( ."# ('/*, (% S

>-"#;;;;;





pO JST[TLG THT [GL IJST[L TOSKIPJTSL PROL [G NRKRkKRN]G bdb uITS Q ∈ Q .
  

$ )*& >- 2-$ %?
"/&*C L *(Ω,& F , Q)&( &'/%$* &*$+"$ & /.0*= "#&  

 %- #%-# .0, (%?0?*.*&' X# 2∈*. "E # " -$"# 0 + "
1
0 )= *## *?." 0-&% $0$
0$&"
T

& (' . & .

θ " -$ " x " # >-"
Q
Z T
X = hθT , ST i = x + θs .dSs .

$ )*& >- 2-$ =0(/B' "#&   #%-# .0 , (%?0?*.*&' Q ,%-( ." ##&=" )" , (*E S #*
0

&%-& X ∈ L (Ω, F , Q) "#& #*=-.0?.";


1

]GKH]G PROL HG NRKRkKRN]G ` HRKRHS_KTLGK [GL MRKH]_L HIMN[GSLU IJ PJ MITOL `

T

pO H
MGSSKG GO _WTPGOHG PGL HIOPTSTIOL LJ
LROSGL PG HIMN[_SJPGb
 

3$ %?
"/&*C X "#& #*=-.0?." #* "& #"-."="$& # 2*. "E*#&" -$ , (%/"##-#
4"/&%(*". α ∈ P(S̃) )" )*="$#*%$ N &". >-" 
Z t
−rT
EQ [X/Ft ] = e EQ [X] + hαs , dS̃s i.

 g
0


T ST T T ^ T TS S S T TT S S S
SG JOu XK_G[GLx LSG[LMJ[RZ[GUHG[R
^JG X = VL kO(θ)=G hθJY ,[SGQiL=G xJOG+ RL KRhθ_k, dSG θi.RPM LL Z[G G RJ IORO#RO G
T T T 0
T
s s


 JTL^JG θ GLS RPMSTLLTZ[GS G[[G GLS SNRK P_SOTSTIOT LSIH]SRL]ST^JGMGOS TOS_kKRZ[G NRK KRNNIKS `
V h  ^JG dṼ (θ) = hθ , dS̃ i.
S PIOH S̃  G[[G GL RJ IORO#RO G HYGL ` P KG HXb _IK MG b
pK TS S S ST g
t t t

X = hθ , S i LI Ṽ (θ) = e X G GOO Ṽ (θ) GL JOG MRK OkR[G

T T T
−rT

Z t
Ṽt (θ) = EQ [ṼT (θ)/Ft ] = EQ [ṼT (θ)] + hθs , dS̃s i.

FG NKGMTGK SGKMG GLS ZTGO e E [X] GS IO TPGOSTG [G NKIHGLLJL α H]GKH]_ HIMMG _SROS
0

[R LSKRS_kTG θ LJK [GL HIIKPIOO_GL PG 1 ` N.

−rT
Q

x_HTNKI^JGMGOSU LT α GQTLSGU IO P_OTS [R LSKRS_kTG

Z T N
X
n n 0 −rT
θ = α , n = 1, · · · , N ; θ = e EQ [c(T )] + hαs , dS̃s i − hθsn , S̃sn i.
0 1

pO W_K TG ^JG HGSSG LSKRS_kTG NGKMGS GoGHSTWGMGOS ` [YIZ GHSTX X PYzSKG LTMJ[RZ[GU
NJTLU ^JG HGSSG LSKRS_kTG NKINIL_G θ GLS GoGHSTWGMGOS RJSIORO#ROSGb
pO RPMGS [G S]_IKVMG g
•

 

%*& Q -$" ="#-(" )" , (*E ) 2'>-*.*?("; * F = {Ω, ∅)8 %$ 0 ."# '>-*4
0."$/"#  0

* " =0(/B ' "#& /%=, ."& (".0&*4"="$& 0- ##&=" )" , (*E
**
@ {S}.
Q = {Q}
S

O GQGKHTHGU NKGJWG PG HG S]_IKVMG PROL [G HRL PG N RHSTXL kJTP_L NRK JO d−MIJWGMGOS

ZKIjOTGO B
dSti = Sti bit dt + Sti σtij dBtj .



 
 

 

\GSNKIZ[ VMG PYRKKzS INSTMR[ GLS LIJWGOS NK_LGOS_ HIMMG HG[JT PYJO  IJGJK PG HRLTOI IJ
RJ KG PIO S [G kRTO ` [R OiTVMG NRKSTG NILTSTX IJ O_kRSTX ! GLS JOG WRKTRZ[G R[_RSITKG X b
ZJS GLS ZTGO LK PG LYRKKzSSGK RJ ZIOT MIMGOS USHYGLSSi`iPTKG RJ TSGMNL n SG[ ^JG X
uK_R[IOTLGU n

GOT MIGOOGU [G LJN PG IJLS [GL kR OLUV NRLL_L G SXJn JKLUTPJ MI

S g OL GO MIGOOGb ROL
o no

HG NKGM GK GQGMN[GU IO KGHIOOR [G NKIZ[ MG PG HIO K [G LJ WRO

i [GL R[_RL LIOS [GL WRKTRZ[GL R[_RSITKGL K_G[[GL X ,
i [R P_HTLTIOU [G HIOSKn[G GLS ` WR[GJKL PROL LYRKKzSGKU HIOSTOJGKU LITS (1, 0),
n

i [Y_SRS GLS HG[JT PG [R XIKSJOGU PIOS [R PORMT^JG GLS PIOO_G NRK g

Yk+1 = Yk + Xk 1continuer (uk ),
i [GL LSKRS_kIOTGLOG RPM TLLTZ[GL LIOS PGL NKIHGLLJL
LYRKKzSG ^JYJOG XITLbbbb
RPRNS_L π = (u , k ≥ 0) SG[L ^JG
k

T[ OY R NRL PG kRTO ` H]R^JG TOLSROSU [G  IJGJK K_HRNTSJ[G [R LTSJRSTIO ` [R O PG [R

P
u =1
i
k≥0 k

N_KTIPG g
ck = 0; cN = YN .
q Oo PGJQTV]MG^ GQGMN[G GL S HG[JT PG [RWGOSG PYJO SGKKRTO NIJK [G^JG[ [G NKINKT_SRTKG KG#ITS
PGL I KGL ` SH R SJG TOLSROS 1,T.., NT ^JT LIOTS MIP_[TL_GL PGLTS WRKTRZ[GL SR[_RSISTKGLU LJNNIL_GL
TOP_NGOPRO TOIOU T[
GL G PG MzMG [I b u Y [ WGOPU [ N[RHG [G NKIPJ PG [R WGO G RJ RJQ KU L
OG kRkOG
F KTVGOb SO SIJS S_SRSS PG HRJLGU
TS LYT[ OG [YR NRL XRTS NK_H_PGMMGOSU T[ WGOP RJ SGMNL
Sg
N. G MIP [G GL R[IKL IJ ` XR LGMZ[RZ[G RJ NK_H_PGO
i [GL R[_RL LIOS [GL WRKTRZ[GL R[_RSITKGL K_G[[GL W U MIOSROS PGL IoKGLU
i [R P_HTLTIOU [G HIOSKn[G GLS ` WR[GJKL PROL WGOPKGUkRKPGKU LITS (1, 0),
k

i [Y_SRS GLS HG[JT PG [R XIKSJOGU PIOS [R PORMT^JG GLS PIOO_G NRK g

Yk = Wk (1 + r)N −k 1{vendre} (uk ),
i [GL LSKRS_kTGL RPMTLLTZ[GL LIOS PGL NKIHGLLJL RPRNS_L π = (u , k ≥ 0) SG[L ^JG
^ T
u = 1 IO OG WGOP JYJOG XI Lbbbb
 k

T[ OY R NRL PG kRTO ` H]R^JG TOLSROSU [G NKINKT_SRTKG K_HRNTSJ[G LR LTSJRSTIO ` [R O

P

i
k≥0 k

PG [R N_KTIPG g
\YGLT S RWGH S[YR[kIKTS]MG PG NKIkKRMMR
ck = 0; cN = YN .
STIO PORMT^JG ^JG [YIO K_LIJS HG NKIZ[VMGb
wIJ[I K LYRKKz GK RJ ZIO MIMGO S S
U RJ GMNL n SG[ ^JG X K_R[TLG [G LJN PG SIJL [GL
kRSSTOLU KGWT TGOS ` H]GKH]GK JOGSWRKTRZ[G T ST S
n (ω) LG[IO [R K_R[ LR IO ω IZ GOJGb pO WIJPKR
o no
TS
HGS G WRK RZ[GT MGLJKRZ[GU HYGLg `T PTKGS n WRKTTRZ[G R[_RSITKGU MRTL RJLLT ω → XS PI^TS RJLL
o

T
T
z KG] JOG] WRK RZ[G MGLJKRZ[G [S XRJ NIJWI SK HR[HJ[GK
o
LIO GLN_KROHG  HYGL NIJK JI IO
no

KGH GKH SG nST PROL [R H[RLLGSTPGL GMNL PYRKKz U GS T[ GLS KRTLIOORZ[G ^JG HG LITS PGL SGMNL
PG [R [ KR IO PGL IZLGKWR IOLb
0

h

   
FG NKIZ[VMG PG [YRKKzS INSTMR[ GLS JO HRL PG HIOSKn[G INSTMR[ I [R ^JROSTS_ ` INSTMTLGK
GLS JO HIrST IJg kRTO LGJ[GMGOS SGKMTOR[b FG kRTO HIOPTSTIOOG[ RJ NRLL_ PGWTGOS PROL [G
HRL MRK IW GO
lRTL PG XRTSU X OYGLS RJSKG ^JG X LT u GLS [R NI[TST^JG ^JT GLS PG LYRKKzSGK RJ SGMNL
u
J (X , u) = E(X /F ).
k k N k

PYRKKzSTST. FG LJN H[RLLS T^JGST OYGL

u
S N[JL ZTGO P_OT g [G LJN PG HGL WRKTRZ[GL R[_RSITKGL
N ∧T
N

z KGTSL KSHSGMGOS NILTSTTXU SR[IKL TS^JG [YGLN_KROHGSTPG H]RHJOG PGLT WRK^ Ti

N k

NIJKKR NRK GQGMN[GT

RZ[GL PGT [R XRM [[GS NIJKKR z KG OJ[[GbbbbpO O KIPJ R[IKL JOG OI IO PG LJN LN_H  JG
RJQ WRK RZ[GL R[_R ITKGU [Y b S IO RJKR [R XIOHSTIO PG WR[GJK RJ SGMNL k g
V (k, Xk ) = ess sup{E(XNu /Fk ); u ∈ D} = esssup{E(XN ∧T /Fk ), T ≥ k}

JROP HGS ess sup LGKR P_OTU IO NIJKKR JST[TLGK [YIJST[ PG [R NKIkKRMMRSTIO Pi
T^
ORM JGb



    
{Y ; i ∈ I}
\YGLTSS JOG WRKTRZ[G R[_RSITKG P_OTG NRK [G S]_IKVMG LJTWROS ^JTU PG N[JLU GO kRKROSTS
i

[YGQ L GOHGb
 


57, ;:5: %*& {Y ; i ∈ I} -$ "$#"=?." )" 40(*0?."# 0.'0&%*("#; .%(# *.
"E*#&" -$" -$*>-" 40(*0?." 0.'0&%*(" Y &".." >-" 
i

* ,%-( &%-& i ∈ I, Y ≤ Y , ("#>-" #("="$&8

** #* ∀i, Y ≤ X 8 0.%(# Y ≤ X 8 , ("#>-" #("="$&;
i
i

\GSSG WRKTRZ[G LYRNNG[[G [Y  PG [R XRMT[[Gb

  


 * * ."# 40(*0?."# )" .0 C0=*.." #%$& =0
%('"# ,0( -$" 40(*0?." 0.'0
&%*(" *$&'+(0?."8 0.%(# .2"## #-, "#& 0-##* *$&'+(0?.";
* )" , .-# .0 C0=*.." {Y ; i ∈ I} "#& -$ &("*..*# 
** *. "E *#&" -$" #-*&"
i
&( *& ) . *.. & .. & .* *& ( * &
Y "E 0 " " 0 C0= " " " >-" Y "# #0 = " / % ##0$ ";
*** %$ 0 E(Y ) = sup{E(Y ); i ∈ I}.
ik

*4 * A "#& -$ '4'$"="$& )" F 8i

1A esssup{Yi; i ∈ I} = esssup{1A Yi ; i ∈ I}.

4 %-( &%-&" #%-#&(*?- B )" A 8 %$ 0  E(Y /B) = esssup{E(Y /B); i ∈ I}.i

    GO GQGKHTHGb
 m
        

c[ LYRkTS PIOH PG H]ITLTK [YRKKzS T RNKVL n ^JT K_R[TLG [YGLLGOSTG[ LJN PG {E(X /F ); T ≥ n}
LT STHG[R GLS NILLSTZ[GbT pO WR MIO SKGK ^JG [G NKIHGLLJL P_OT NRK HGS ess sup GLS JO ZIO
S INSTMR[b pO T[[JLSKG HGHT NRK JO NKIZ[VMG OIO R[_RSITKG g
T n

IJ [ NIJK HIOLTS KJ KG JO RKKz

S S ST S ST
X = x LJ G K_G[[G  [G GMNL PYRKKz IN MR[ LGKR PIOH JO GMNL p OIO R[_R I KGb pO
H]GKH]G pT ^TJTT K_R[TLG sup{E(X
n n
T S TS
)} = sup{x } b pO O KIPJ z = sup{x ; p ≥ n} IO OYR
g
 o
o
T ^ T n
S S
NRL TZGLI O H PYGLLS LJN NJTL JY [STOY RS NRL^ PYR[_R b pOy MIO KG [YRKKz IN MR[ p ^JT
n
ST n p

K_R[ LG sup{x } GL [G NKGM GK GO GK p G[ JG z = x b [IKLU z = x = sup{x } b o

S     F^R LJTSG zTS GLS P_HKI

n
TLLROSG GS RWROS p U x < z b pO NGJS R[IKL
p p po po n

MIO KGK NRK K_HJKKGOHG JG [R LJ G z GLS HIOLSROSG LJK [0, p ] U HG ^JT MIOSKG [G K_LJ[SRS g
n o n n

x < z = sup(x ; n ≥ 0) b IOHU

o

o o n

IOH
sup(xn ; n ≥ 0) = sup(xn ; n ≥ 1)
x1 < z1 = sup(xn ; n ≥ 1). 

S RTOLT PG LJTSG g
sup(xn ; n ≥ 1) = sup(xn ; n ≥ 2)

sup(xn ; n ≥ 0) = sup(xn ; n ≥ 1) = · · · = sup(xn ; n ≥ po ) = x(po ).

   





uITS JOG LJTSpO

G PG WRKS TRZ[GL SR[_RSSITKGLg RPRNS_GLU TOS_kKRZ[GLU SG[[GL ^JG sup {X } GLS PROL
OI G NIJK IJ n n
+
n
1
L (Ω, A, P).
S
L = {T t.a./n ≤ T < ∞ NbLb G X ∈ L }. − 1

pO NGJ]S MIOS]SVKGK ^JG [R XRMTS[[G {E(X /F ); T ∈ SL } GL^S JO SSSKGT[[TL T     PG

n T

N[JLU [Y NI LG sup{X } TGLS PROL L S(Ω, A, P) GO^ KR SOG JGSHG G XRM [[GT GLS S MR IK_G
T n n

NRK E[sup {X }/F ] U WbRb O _kKRZ[GU G NRK HIOL_ JGO RPMG JO GLL LJN O _kKRZ[GU HG
+ 1

^JT JLSTG [R P_OTSTIO GS [R NKINILTSTIO LJTWROSGL g

n
+
 n n n

.'&  


 %$ 0,,".."    )- , (%/"##-# .0 #-*&" )" 40(*0?."#
0 0 %*("# Z )' $*" ,0(  X

Z = ess sup{E(X /F ); n ≤ T < ∞ , ;# ; " X ∈ L }

n T
&
n
−
T
1

pO PTS ^JG Z GLS [G         b

  


 57 , ;:55 @0 #-*&" "#& 0)0, &'" "& *$&'+(0?."; " , .-# 
n

* Z = X ∨ E(Z /F ) , ("#>-" #Z("="$&; n

** #* ."# #%$& ,%#*&*4"#8 Z "#& .0 , .-# ,"&*&" #-(=0(&*$+0." ,%#*&*4" =0
%(0$& X.
n n n+1 n

***E(Z ) = sup{E(X ); T ∈ L }.
   ." +0*$ %, &*=0. "#& )%$$' ,0( E(Z ).
n T n

  S ^  S  S g  S
 YRZIKPUMIO KIOL JG Z GL RPRN _G Z GL F iMGLJKRZ[G HIMMG GLL LJN PYJO SKGT[[TL PG
WRK TRZ[GL R[_RSITKGL F iMGLJKRZ[GLb OLJTSGU [R NKINKT_S_ T PG [R NKINILTSTIO mbs MIOSKG
n n

^JG [YGLL LJN Z GLS TOS_kKRZ[Gb

n

T pO MIOSKG ^JG Z GLS JOG LJKMRKSTOkR[Gb FR XRMT[[G GLS JO SKGT[[TL HXb b YRNKVL
[R NKINKT_S_ W PG [R NKINILTSTIO mbs g
n

E(Zn+1 /Fn ) = esssup{E(E(XT /Fn+1 )/Fn ); T ∈ Ln+1 }

LITS GOHIKG g
pKS L HIO GO gL  PIOH Z GLS [YGLL ^LJN PYJOG XRMS T[[G N[JL kKROPG ^JG HTiPGLLJLU PIOH
ST S
E(Z /F ) = esssup{E(X /F ); T ∈ L }.
n+1 n T n n+1

GL N[JL kKROP E(Z /F ) ≤ Z NKGL JG LKGMGO b

n n+1 n

RK RT[[GJKLU T[ GLS H[RTKS ^JG [G SGMNL PYRKKzS T = n RNNRKSTGOS ` L UPIOH X RNNRKSTGOS

n+1 n n

` {E(X /F ); T ∈ L } G X ≤ Z  HG J MIOSKG
T n n n
^ T
n
n n

Zn ≥ Xn ∨ E(Zn+1 /Fn ).
x_HTNKI^JGMGOSU LITS T PROL L g n

XT = Xn 1{T =n} + XT ∨(n+1) 1{T >n}

E(XT /Fn ) = Xn 1{T =n} + E(XT ∨(n+1) /Fn )1{T >n}
HRK X g, {T = n}, {T > n} LIOS F iMGLJKRZ[GLb RK RT[[GJKLU T ∨ (n + 1) GLS PROL L
IOH n n n+1 .

E(XT /Fn ) ≤ Xn 1T =n + E(Zn+1 /Fn )1T >n

≤ Xn ∨ E(Zn+1 /Fn ),
GS HGHT NIJK SIJS T ∈ L . YRNKVL [R NKINKT_S_ TT PG [YGLL LJNU IO P_PJTS g
n

Zn ≤ Xn ∨ E(Zn+1 /Fn ),
LITS [Y_kR[TS_ H]GKH]_Gb
TT pO LRTS P_ ` ^JG Z GLS JOG LJKMRKSTOkR[G  G[[G GLS _WTPGMMGOS NILTSTWG LT [GL X
[G LIOSSU NJS TL^JYG[[G MR IKGST SIJS S X b SYRNKS VL [YTO_kR[
n
TS_ PG ppt NIJK [GL LJKMRKSTOkR[GLU
NIJK IJ T ∈ L , IO IZ GO NIJK IJ G LJKMRKSTOkR[G NILTSTWG Z MR IKROS X g
n
0

Zn0 ≥ E(ZT0 /Fn ) ≥ E(XT /Fn ).

 O NRLLROS ` [YGLL LJNU IO R ZTGO g Z ≥ Z .
TTT JTL^JG [R XRMT[[G GLS JO SKGT[[TLU HYGLS [R LTMN[G RNN[THRSTIO PG [R NKINKT_S_ TTT PG
0
n n

[R NKINILTSTIO mbs GS PJ XRTS ^JG E[E(X /F )] = E[X ] b T n T

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