Department Seminars & Colloquia




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The law of iterated logarithm (LIL) is a crowning achievement in classical probability theory that gives the sharp upper bound for the magnitude of fluctuations of a random walk. If each step has mean zero and variance one, then the upper bound (in certain sense) is given by \sqrt{2n\log\log n}, hence the name “iterated logarithm.” Despite being considered the “third fundamental limit theorem in probability” by some probabilists after the law of large numbers and the central limit theorem, its proof is not so accessible to non-experts. For instance, most textbooks either only consider special cases or use sophisticated machineries in their proofs. The purpose of this talk is to provide a relatively simple and elementary proof of the so-called Hartman—Wintner LIL. The idea is to generalize a proof of the central limit theorem (CLT), which will be also presented, to obtain a result on the rate of convergence in the CLT. First principles in probability (e.g. the second Borel—Cantelli lemma) are the only technical prerequisites.
Host: 폴정     Korean     2022-05-18 18:02:15