diff --git a/inputs/lecture_06.tex b/inputs/lecture_06.tex index 4e68c1f..a2adaad 100644 --- a/inputs/lecture_06.tex +++ b/inputs/lecture_06.tex @@ -172,21 +172,31 @@ In order to prove \autoref{thm2}, we need the following: \begin{proof} By SLLN, $\frac{S_n}{n} \xrightarrow{a.s.} m$ as $n \to \infty$. - Note that $N_t \uparrow \infty$ a.s.~as $t \to \infty (\ast\ast)$, since - $\{N_t \ge n\} = \{X_1 + \ldots+ X_n \le t\}$ thus $N_t \uparrow \infty$ as $t \uparrow \infty$. + Note that + \begin{equation} + N_t \uparrow \infty \text{ a.s.~as } t \to \infty, \label{eqn:renewalnt} + \end{equation} + since $\{N_t \ge n\} = \{X_1 + \ldots+ X_n \le t\}$. \begin{claim} - $\bP[\frac{S_n}{n} \xrightarrow{n \to \infty} m , N_t \xrightarrow{t \to \infty} \infty] = 1$. + $\bP[\frac{S_n}{n} \xrightarrow{n \to \infty} m + \land N_t \xrightarrow{t \to \infty} \infty] = 1$. \end{claim} \begin{subproof} - Let $A \coloneqq \{\omega: \frac{S_n(\omega)}{n} \xrightarrow{n \to \infty} m\}$ and $B \coloneqq \{\omega : N_t(\omega \xrightarrow{t \to \infty} \infty\}$. - By the SLLN, we have $\bP(A^C) = 0$ and $\ast\ast \implies \bP(B^C) = 0$. + Let $A \coloneqq \{\omega: \frac{S_n(\omega)}{n} \xrightarrow{n \to \infty} m\}$ + and $B \coloneqq \{\omega : N_t(\omega) \xrightarrow{t \to \infty} \infty\}$. + By the SLLN we have $\bP(A^C) = 0$ + and by \eqref{eqn:renewalnt} it holds that $\bP(B^C) = 0$. \end{subproof} - Equivalently, $\bP\left[ \frac{S_{N_t}}{N_t} \xrightarrow{t \to \infty} m, \frac{S_{N_t + 1}}{N_t + 1} \xrightarrow{t \to \infty} m \right] = 1$. + Equivalently, + $\bP\left[ \frac{S_{N_t}}{N_t} \xrightarrow{t \to \infty} m + \land \frac{S_{N_t + 1}}{N_t + 1} \xrightarrow{t \to \infty} m \right] = 1$. - By definition, we have $S_{N_t} \le t \le S_{N_t + t}$. - Then $\frac{S_{N_t}}{N_t} \le \frac{t}{N_t} \le S_{N_t + 1}{N_t} \le \frac{S_{N_t + 1}}{N_t + 1} \cdot \frac{N_t + 1}{N_t}$. + By definition, we have $S_{N_t} \le t \le S_{N_t + 1}$. + Thus + \[\frac{S_{N_t}}{N_t} \le \frac{t}{N_t} \le \frac {S_{N_t + 1}}{N_t} + \le \frac{S_{N_t + 1}}{N_t + 1} \cdot \frac{N_t + 1}{N_t}.\] Hence $\frac{t}{N_t} \to m$. \end{proof}