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TRNG CSP KON TUM

KHOA T NHIN - TIN HC NGOI NG

...I wake up in the morning so far away from home


...Many miles are between us ...

L NGUYN - TRNH VN DNG

O THC
V KHONG CCH XC SUT

MTV

Mc lc
Trang
Mc lc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .2
Chng 1. Kin thc chun b . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.1. Tch phn Lebesgue . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
1.2. Cc bt ng thc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
Chng 2. o thc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5
2.1. Khi nim o thc. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .5
2.2. Khai trin Haln . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8
2.3. Khai trin Jordan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
Chng 3. Mt s kt qu nhn c . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
3.1. Tnh duy nht ca khai trin Jordan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18
3.2. Mt s kt qu khc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
Chng 4. Khong cch xc sut . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
4.1. Khong cch bin phn ton phn v khong cch Hellinger . . . . . . . . 25
4.2. Mi lin h gia khong cch bin phn ton phn v khong cch
Hellinger . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
4.3. Mt s v d. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .37
4.4. Cc khong cch xc sut khc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40
Ti liu tham kho . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42

Chng 1
Kin thc chun b
Trong chng ny chng ti nhc li mt cch ngn gn cc kin thc, thut
ng v k hiu cn thit cho cc chng sau.

1.1

Tch phn Lebesgue

Cho khng gian o ( X,A,), trong A l -i s trn X.


nh l 1.1.1. [DH] Cho f l hm o c trn X. Nu f 0 trn A, A A,
A X v

f d = 0 th f = 0 hu khp ni trn A.

nh l 1.1.2. [DH] Gi s f l mt hm xc nh trn X vi gi tr trong R


v c tch phn trn X. Xt hm tp nh ngha bi:
:A R
A 7 (A) =

f d
A

Khi hm tp l -cng tnh.


nh l 1.1.3 (Levi). [DH] Cho A A. Nu 0 fn % f trn A th
lim

n A

fn d =

f d.

nh l 1.1.4. [DH] Mi hm f : [a, b] R kh tch Riemann u kh tch

Lebesgue v hai tch phn trng nhau, ngha l:


Zb

(R)

Zb

f (x)dx =
a

f d.
a

nh l 1.1.5. Gi s l mt o trn A. Khi nu An A, An An+1 ,


mi n N, v A =

1.2

An A th lim (An ) = (A).


n

n=1

Cc bt ng thc

nh l 1.2.1 (Bt ng thc H


older). [N L] Cho A mt tp con khc o
c ca X, p, q l hai s thc lin hip ( p 0, q 0 v

1
p

+ 1q = 1). Gi s f,

g l hai hm o c trn A. Khi ta c bt ng thc


Z
A


f g|d

 p1

|f | d

1

|g|q d q .

Bt ng thc ny c gi l bt ng thc H
older.
nh l 1.2.2 ( Bt ng thc Minkowski). [N L] Cho A A, f, g l hai hm
s o c trn A v 1 p < +. Khi
Z
A


1
f + g|p d p

Z
A

 p1

|f | d

+
A

1

|g|p d p .

Chng 2
o thc
2.1

Khi nim o thc

nh ngha 2.1.1. Cho khng gian o c (X, A) trong X l tp hp ty


cho trc, A l mt -i s cc tp con ca X, nh x : A R c gi
l mt o thc hay o suy rng ( o du) nu n tha mn iu kin
sau:
Vi mi dy {An }
n=1 A, An Am = , n 6= m ta c

An =

(An ).

n=1

n=1

Nhn xt 2.1.2.
(i)R rng () = 0.Tht vy ta hy xt dy {An }
n=1 trong A1 = A2 =
A3 = ... = An = ... = , ta c () =

n=1

() R. Do () = lim n()
n

R. Suy ra () = 0.
(ii) l mt o thc th c tnh cht cng tnh hu hn.
(iii) Nu A, B A, A B th (B \ A) = (B) (A).
(iv) o xt trc y c th khng phi l mt o thc v n c th
bng +.
nh ngha 2.1.3. Mt tp E X c gi l dng nu E A v nu mi
A E, A A u c o khng m. Tng t tp E X c gi l tp
5

m nu E A v nu mi A E, A A u c o khng dng. Mt tp
E X ng thi dng v m c gi l tp khng.
Mnh 2.1.4. Mi tp con o c ca mt tp con dng ca X l mt tp
con dng; hp ca mt h m c nhng tp con dng ca X l mt tp
dng.
Chng minh. Phn u ca mnh l hin nhin , chng minh phn sau ta
gi s E =

En l dy nhng tp con dng ca X ( rng l mt tp

n=1

con dng ca X).


Gi s A l mt tp con o c ty ca E.Vi mi n N ta t An =
A En (X \ E1 ) ... (X \ En1 ) th th: An En , An A v vy (An ) 0.
R rng An Am = , n 6= m v A =

An nn ta c:

n=1

(A) =

(An ) 0

n=1

iu chng t rng E l mt tp dng.


Bng cch lp lun tng t ta c mnh sau:
Mnh 2.1.5. Mi tp con o c ca mt tp con m ca X l mt tp
m. Hp ca mt h m c nhng tp con m ca X l mt tp m.
Mnh 2.1.6. Mi tp con o c E ca X m (E) < 0, u cha mt
tp con m D vi (D) < 0.
Chng minh. Nu E l mt tp con m th ta ly D = E v mnh c
chng minh. Ngc li E cha nhng tp con c o dng. Gi n1 l s t
nhin nh nht sao cho tn ti mt tp con o c E1 ca E vi
(E1 ) >

1
n1

do
(E \ E1 ) = (E) (E1 ) < 0.

Nu E \ E1 l mt tp m th ta ly D = E \ E1 v mnh c chng
minh. Trong trng hp ngc li E \ E1 cha cc tp con c o dng. Gi
n2 l s t nhin nh nht sao cho tn ti mt tp con o c E2 ca E vi
(E2 ) >

1
,
n2

ta thy (E2 ) v (E \ (E1 E2 )) R nn


(E \ (E1 E2 )) = (E) (E1 ) (E2 ) < 0.
Tip tc qu trnh ny ta s c hoc mt tp con m D ca E vi (D) < 0

hoc mt dy {ni }
i=1 nhng s t nhin v mt dy {Ei }i=1 nhng tp con o

c ri nhau ca E vi
1
< (Ei ), i N.
ni

Trong trng hp th hai ta t D = E \

Ei ) = (D) +

i=1

hu hn, do

i=1
lim n1i
i+

(Ei ) > (D) +

Ei ) ta c (E) = (D) +

i=1

P
i=1

1
ni

v (E) R nn

P
i=1

1
ni

c tng

= 0.

Ta c
(D) < (E)

X
1
i=1

ni

<0

chng ta chng t D l tp m.
Gi s A l mt tp con ty , o c ca D. Vi mi i N ta c
ADE\

i1
[

Ek )

k=1

do cch chn ni nn ta c
(A)
iu ny ng vi i N, do

1
ni

1
ni 1

0 khi i + nn ta phi c (A) 0.

Nh vy D l mt tp m, mnh c chng minh hon ton.

2.2

Khai trin Haln

nh l 2.2.1 (nh l phn tch Haln). Gi s l mt o thc trn


-i s A ca khng gian X. Khi tn ti mt tp con dng P v mt tp
con m Q ca X i vi sao cho
X = P Q; P Q =
Chng minh. Ta xem F l h tt c cc tp con m ca X v t = inf (E).
EF

Khi tn ti dy {En }
n=1 F sao cho lim (En ) = .
Gi Q =

n+

En theo mnh trn th Q l mt tp con m ca X v vy

n=1

ta c (Q) . Mt khc xem tp con Q \ En ca Q, v Q l tp m nn


(Q \ En ) 0 do
(Q) = (En ) + (Q \ En ) (En ),
iu ny ng vi mi n N nn ta phi c (Q) . Vy (Q) = 0.
Ta hy chng minh P = X \ Q l tp dng. Gi s P khng phi l tp
dng, khi theo nh ngha tn ti mt tp con o c E ca P vi (E) < 0
suy ra E cha mt tp con m D ca X vi (D) < 0, v D v Q l nhng tp
con m ri nhau ca X nn D Q l mt tp m hn na
(D Q) = (D) + (Q) = (D) + ,
thnh th (D) 0 mu thun vi iu kin (D) < 0. Do ta c iu phi
chng minh.
Nhn xt 2.2.2. Cp {P, Q} trong nh l trn c gi l mt khai trin
Haln ca X i vi o thc, d dng thy rng khai trin Haln ni chung
khng phi l duy nht v ta c th chuyn mt tp con khng, khng rng t
thnh phn ny sang thnh phn kia m khng nh hng n s phn tch.
Chng hn gi s A l tp con khng ca P khi ta c
(P \ A) (P Q) = X; (P \ A) (A Q) =

v
(P \ A) = (P ) + (A) = (P ) 0
(Q A) = (A) + (Q) = (Q) 0.
Hn na vi mi B A, B (P \ A) th B P do (B) 0 (P l tp
dng).
Vi mi B A, B (A Q) th B = B (A Q) = (B A) (B Q) do

(B) = (B A) = (B Q) = (B A) 0.
Nh vy khai trin Haln ni chung l khng duy nht, tuy nhin s phn
tch y l hu duy nht theo ngha ca nh l sau:
0

nh l 2.2.3. Gi s {P, Q} v {P , Q } l hai phn tch Haln ca X i vi


cng mt o thc : A R. Khi ta c
0

(E P ) = (E P ); (E Q) = (E Q )
vi E A.
Chng minh. Ta c
0

E (P \ P ) E P

(2.1)

E (P \ P ) E (X \ P ).

(2.2)

T (2.1) suy ra
0

(E (P \ P )) 0,
t (2.2) suy ra
0

(E (P \ P )) 0.
0

Do (E (P \ P )) = 0 tng t (E (P \ P )) = 0 T y ta c
0

(E P ) = {E (P P )} + {E (P \ P )} = {E (P P )}
0

(E P ) = {E (P P )} + {E (P \ P )} = {E (P P )}.

10

Nh vy ta c
0

(E P ) = (E P )
tng t ta cng c c
0

(E Q) = (E Q ).

Ta i xy dng cc hm sau:
nh ngha 2.2.4. Vi mt o thc : A R ty , t khai trin
Haln v nh l trn ta xy dng c ba hm xc nh mt cch duy nht
+ , , || : A R nh sau:
Gi s {P, Q} l mt khai trin Haln ca X i vi , cc hm y c nh
ngha bi:
+ (E) = (E P )
(E) = (E Q)
||(E) = + (E) + (E)
vi mi E X, E A.
Nhn xt 2.2.5. Theo cch nh ngha trn th r rng + , , || l nhng
hm khng m tc l + (A) 0; (A) 0; ||(A) 0 vi A A.
Ta c th kim tra d dng rng + , , || l nhng o hu hn (theo
ngha thng) trn -i s A. Chng hn ta i chng t + l mt o trn
A.
Ta c
+ (A) = (A P ) 0, A A
+ () = ( P ) = () = 0.

11

Xt dy {Ei }
i=1 A, En Em = , n 6= m t E =
+

(E) = (E P ) = {(

En , khi E A v

n=1

En ) P }

n=1

= {

(En P )} =

(En P )

n=1

n=1

+ (En ),

n=1

do + l mt o trn - i s A, tng t nh vy ta d dng chng


minh c , || l cc o trn A.
rng (E) = {E (P Q)} = (E P ) + (E Q) = + (E) (E)
vi E A.
Nh vy
= +
hay l
(E) = + (E) (E), E A.
nh ngha 2.2.6. Cho l mt o thc trn A. Ta ni rng o tp
trung trn tp A0 A nu (E) = 0 vi E A, E (X \ A0 ).
Hai o thc 1 ,2 c gi l k d i vi nhau nu chng tp trung trn
cc tp ri nhau. Khi ta vit 1 2 .

2.3

Khai trin Jordan

nh l 2.3.1. Cho l mt o thc trn A v A A .Ta t V (, A) =


V (, A) + |V (, A)| trong
V (, A) =

sup

(A1 )

A1 A,A1 A

V (, A) =

inf

A1 A,A1 A

(A1 )

khi
V (, X) < +.

12

Chng minh. Gi s ngc li V (, X) = +, khi bng quy np ta chng


minh c rng tn ti mt dy {An }
n=1 A sao cho V (, An ) = +;
|(An )| n 1.
Tht vy vi n = 1 ly A1 = X ta c V (, A1 ) = V (, X) = +; |(A1 )| =
|(X)| 1 1 = 0.
Gi s A1 , A2 , A3 , ... , Ak , c xc nh sao cho cc tp hp ny
tha mn iu kin nu. V V (, Ak ) = + nn V (, Ak ) = + hoc
|V (, Ak )| = +, do tn ti A A sao cho A Ak v |(A)| |(Ak )| + k.
Nu V (, A) = + ta t Ak+1 = A ngc li nu V (, A) < + ta t
Ak+1 = Ak \ A.
Khi ta c V (, Ak \ A) = + tht vy nu ngc li V (, Ak \ A) < +
th ta c
V (, Ak ) =

sup

(B1 ) =

B1 Ak ,B1 A

{B1 A (Ak \ A) }

sup
B1 Ak ,B1 A

{(B1 A) + B1 (Ak \ A) }

sup

B1 Ak ,B1 A

(B1 A) +

sup
B1 Ak ,B1 A

sup

B1 (Ak \ A)

B1 Ak ,B1 A

(C) +

CAk ,CA

sup

sup

(C)

CAk \A,CA

= V (, A) + V (, Ak \ A) < +,
tng t |V (, Ak )| < + ( rng

inf

BAk ,BA

(B) =

sup

(B)

BAk ,BA

), cho nn V (, Ak ) < +, mu thun vi tnh cht ca tp Ak , do


V (, Ak+1 ) = V (, Ak+1 \ A) = + v ta c
|(Ak+1 )| = |(Ak \ A)| = |(Ak ) (A)| |(A)| |(Ak )|
|(Ak )| + k |(Ak )| = k = (k + 1) 1.
Nh vy ta xc nh c dy {An }
n=1 c cc tnh cht nu, hn na
v dy {An }
n=1 gim nn ta c
X\

\
n=1

An =

[
n=1

X \ An = (X \ A1 ) (A1 \ A2 ) ... (An \ An+1 ) ...

13

Tht vy r rng
(X \ A1 ) (A1 \ A2 ) ... (An \ An+1 ) ...

X \ An .

n=1

Vi mi x

X \ An th c n0 N sao cho x X \ An0 mt khc ta c

n=1

(X \ A1 ) (A1 \ A2 ) ... (An0 1 \ An0 ) =


= Ac1 (A1 Ac2 ) ... (An0 1 Acn0 )
= (Ac1 Ac2 ) (A2 Ac3 ) ... (An0 1 Acn0 )
= (A1 A2 )c (A2 Ac3 ) ... (An0 1 Acn0 )
= Ac2 (A2 Ac3 ) ... (An0 1 Acn0 )
= Ac3 ... (An0 1 Acn0 )
= ...
= Acn0 = X \ An0 .
do
x (X \ A1 ) (A1 \ A2 ) ... (An \ An+1 ) ...
Nh vy
X\

An = (X \ A1 ) (A1 \ A2 ) ... (An \ An+1 ) ...

n=1

t tnh -cng tnh ca ta suy ra


X\

An



= (X \ A1 ) + (A1 \ A2 ) + (A2 \ A3 ) + ...

n=1

= (X) (A1 ) + (A1 ) (A2 ) + ...


= (X) (A1 )

(An ) (An1 )

n=2

= (X) (A1 ) lim (An ) =


n

+

iu ny mu thun vi (A) < + vi A A. nh l c chng minh


hon ton.

14

Nhn xt 2.3.2. S V (, A) c gi l bin phn ton phn ca trn A,


cn V (, A), V (, A) tng ng l bin phn dng v bin phn m ca
trn A. Ta thy rng V (, A) 0 V (, A), V (, A) 0.
nh l 2.3.3 (Khai trin Jordan). Gi s l mt o thc, khi bin
phn ton phn V (, A), bin phn dng V (, A) v bin phn m V (, A) l
- cng tnh trn A. Ngoi ra ta c khai trin Jordan nh sau:
(A) = V (, A) + V (, A), A A ().
Chng minh. Gi s {An }
n=1 A l dy cc tp ri nhau tng i mt. Vi
bt k tp A A sao cho A

An ta c

n=1

(A) = {A

An } = {

n=1

V ,

(A An )

V (, An ),

n=1

An =

n=1

(A An )}

n=1

n=1

do

(A)

sup

V (, An ).

n=1

An ,AA

n=1

Mt khc vi > 0 cho trc, vi mi n tn ti Cn A , Cn An sao cho

.
2n

(Cn ) > V (, An )

Khi

Cn A ;

n=1

Cn

n=1

An , cc tp Cn ri

n=1

nhau tng i mt v ta c
V ,

An =

n=1

(A)

sup

Cn

n=1

An ,AA

n=1

=
=

X
n=1

(Cn )

{V (, An )

n=1

V (, An ) .

n=1

V > 0 l ty nn
V ,

[
n=1

An

X
n=1

V (, An ).

}
2n

15

Nh vy

V ,

An =

V (, An ).

(2.3)

n=1

n=1

i vi bt k tp A A sao cho A

An ta c

n=1

(A) = {A

An } = {

(A An )

V ,

V (, An ),

n=1

n=1

do

(A An )}

n=1

n=1

An =

(A)

inf

n=1

V (, An ).

n=1

An ,AA

n=1

Mt khc vi > 0 cho trc, vi mi n tn ti Cn A, Cn An sao cho

V (, An ) + 2n > (Cn ) Khi

Cn A;

n=1

Cn

n=1

An , cc tp Cn ri nhau

n=1

tng i mt v ta c
V ,

An =

n=1

(A)

inf

Cn

n=1

An ,AA

n=1

=
=

X
n=1

(Cn )

{V (, An ) +

n=1

}
2n

V (, An ) + .

n=1

V > 0 l ty nn
V ,

An

n=1

V (, An ).

n=1

Nh vy
V ,

[
n=1

An =

X
n=1

V (, An ).

(2.4)

16

Theo nh l 2.3.1 th V (, X) < + nn 0 V (, X) < + v 0


V (, X) > . Vi mi A X ta c
0 V (, A) =

(A1 )

sup
A1 A,A1 A

sup

(A1 )

A1 X,A1 A

= V (, X) < +
v
0 V (, A) =

inf

A1 A,A1 A

(A1 )

inf

A1 X,A1 A

(A1 )

= V (, X) > .
Do hai chui v phi (2.3) v (2.4) hi t, v vy ta c
V ,

An = V ,

n=1

An + |V ,

n=1

=
=
=
=

An |

n=1

V (, An ) + |

n=1

V (, An )|

n=1

V (, An ) +

n=1

|V (, An )|

n=1

{V (, An ) + |V (, An )|}

n=1

V (, An ).

n=1

Vy V (, A) c tnh - cng tnh.


chng minh khai trin () ta ch rng i vi bt k tp C A sao
cho C A ta c bt ng thc
(C) = (A) (A \ C) (A) V (, A)
do
V (, A) (A) V (, A).
Tng t ta c
(C) = (A) (A \ C) (A) V (, A)

17

do
V (, A) (A) V (, A).
Vy
(A) = V (, A) + V (, A).

nh ngha 2.3.4. Gi s (X, A) l mt khng gian o c, , l hai


o thc trn -i s A, ta ni lin tc tuyt i i vi nu (E) = 0 vi
mi tp E o c tha mn iu kin ||(E) = 0, khi ta vit << .
Nhn xt 2.3.5.
(i) Nu l mt o thc v f l hm kh tch i vi o || v nu
c nh ngha (E) =

f d|| vi mi E A th << .

(ii) Nu , l hai o trn -i s A th << + .


(iii) Gi s , , m l cc o trn -i s A. Nu << v << m
th << m.
nh l 2.3.6 ( nh l Random - Nikodym). Nu o m : A R ca
khng gian (X, A) l -hu hn trn A, l mt o dng hu hn << m
th tn ti mt hm o c khng m f : X R sao cho
Z

(E) =

f dm
E

vi mi E A. Hm f l hu duy nht theo ngha nu g l hm o c, khng


m vi tnh cht trn th f g i vi m (f = g hu chc chn).
Hm f c gi l hm mt ca o i vi o m.Ta thng k
hiu

d
dm

= f hay d = f dm.

nh ngha 2.3.7. Nu l mt o thc v f l mt hm o c sao cho


f kh tch i vi || th chng ta nh ngha:
Z

f d :=
E

f d

Z
E

f d vi mi E A.

Chng 3
Mt s kt qu nhn c
3.1

Tnh duy nht ca khai trin Jordan

Mnh 3.1.1. Hai o hu hn 1 , 2 : A R l k d i vi nhau khi


v ch khi tn ti mt tp con o c E ca X sao cho 1 (E) = 0 = 2 (X \E).
Chng minh. Gi s tn ti mt tp con o c E ca X sao cho 1 (E) = 0 =
2 (X \ E) khi E v X \ E l hai tp ri nhau v hn na vi A E, A A
ta c 1 (A) = 0; vi A X \ E, A A ta c 2 (A) = 0. Do vy 1 tp trung
trn X \ E v 2 tp trung trn E, chng t 1 2 .
Ngc li: Gi s 1 2 khi c D, E A, D E = sao cho 1 tp
trung trn D, 2 tp trung trn E. V 2 tp trung trn E nn 2 (X \ E) = 0,
ta c D E = nn E X \ E. V 1 tp trung trn D nn t iu trn suy ra
1 (E) = 0. Nh vy tn ti E A, E X sao cho 1 (E) = 0 = 2 (X \ E) =
0.
Nhn xt 3.1.2.
(i) + , l k d i vi nhau, tht vy ta c + (Q) = (Q P ) = 0,
(P ) = (P Q) = 0. (Trong {P, Q} l mt khai trin Haln )
(ii) Nu l mt o thc v = 1 2 trong 1 , 2 l hai o v
1 , 2 k d i vi nhau th 1 = + , 2 = .
Theo php chng minh ca Sze-Tsen Hu - C s gii tch ton hc 1978
18

19

V 1 , 2 k d i vi nhau nn c Q A, Q X sao cho 1 (Q) = 0 =


2 (X \ Q) . t P = X \ Q ta c , vi B A, B X th (B) = 1 (B)
2 (B) = 2 (B) 0 do Q l tp m i vi , tng t P l tp dng i
vi , thnh th {P, Q} l mt khai trin Haln.Vi mi E A ta c


1 (E) = 1 E (P Q) = 1 (E P ) + 1 (E Q) = 1 (E P )
= 1 (E P ) 2 (E P ) = (E P ) = + (E)


2 (E) = 2 E (P Q) = 2 (E P ) + 2 (E Q) = 2 (E Q)
= 2 (E Q) 1 (E Q) = (E Q) = (E),
do
1 = + , 2 =
(iii)Nu l mt o thc v E A th ||(E) = 0 khi v ch khi (F ) = 0
vi mi F E, F A
Mnh 3.1.3.
+ (A) = V (, A), (A) = |V (, A)|.
Chng minh. Theo nh l khai trin Jordan th V (, A), V (, A) c tnh cng tnh, hn na V (, ) = 0, V (, ) = 0 v V (, A) 0, |V (, A)| 0 vi
mi A A nn V (, A), |V (, A)| l hai o trn - i s A.Ta c
(A) = V (, A) |V (, A)|
= + (A) (A)
do chng minh
+ (A) = V (, A)
(A) = |V (, A)|

20

ta ch cn chng t V (, A) v |V (, A)| k d i vi nhau.


Vi mi s nguyn dng n tn ti Bn sao cho (Bn ) V (, X)

1
.
2n

Khi

t h thc (Bn ) = V (, Bn ) + V (, Bn ) ta suy ra


V (, Bn ) = (Bn ) V (, Bn )
(Bn ) V (, X)

1
2n

(3.1)

v
V (, X \ Bn ) = V (, X) V (, Bn )
V (, X) (Bn )
t P =

1
.
2n

(3.2)

Bn khi

k=1 n=k

X \P =

(X \ Bn )

k=1n=k

X \ Bn

n=k

vi mi k N. V V (, B) l mt o nn

V (, X \ P ) V ,

(X \ Bn )

n=k

X
1

2n

n=k

V (, X \ Bn )

n=k

= 2(k1) k N.

Suy ra
V (, X \ P ) = 0
Mt khc t (3.1) ta c |V (, Bn )|

1
,
2n

Bn (k = 1, 2, ...) lp thnh

k=1

mt dy tng v |V (, B)| l mt o nn ta c
|V (, P )| = lim |V (,
k+

1
=0
k+ 2k

)| lim |V (, Bk )| lim

n=k

k+

do |V (, P )| = 0. Nh vy
+ (A) = V (, A) =

sup

(A1 )

A1 A,A1 A

(A) = |V (, A)| =

inf

A1 A,A1 A

(A1 ).

21

T y ta c th gi mt khai trin Jordan ca mt o thc : A R


l mt cp {1 , 2 } gm hai o 1 , 2 k d i vi nhau v tha mn
= 1 2 .
Ch rng ta c
||(A) = + (A) + (A)
= V (, A) + |V (, A)| = V (, A).
Nhn xt 3.1.4.
(1) Trn y ta chng minh c:
+ (A) =

sup

(A1 )

A1 A,A1 A

(A) =

inf

A1 A,A1 A

(A1 )

vi mi A A bng cch da vo nh l khai trin Jordan. Di y ta c


mt cch chng minh khc, trc tip v n gin hn.
Chng minh. Do l mt o suy rng trn - i s A nn tn ti tp dng
P v tp m Q con ca X i vi sao cho
P Q = X , P Q = .
(i) Vi E A, khi vi mi F A, F E ta c
(F ) = + (F ) (F ) + (F ) + (E)
do
sup

(F ) + (E).

F E,F A

Hn na ta c E P E m + (E) = (E P ) nn kt hp vi iu trn ta
suy ra
sup

(F ) = + (E).

F E,F A

(ii)Vi E A, khi vi mi F A, F E ta c
(F ) = + (F ) (F ) (F ) (E)

22

do
inf

F E,F A

(F ) (E).

Hn na ta c E Q E m (E) = (E Q) nn kt hp vi iu trn
ta suy ra
(E) =

inf

F E,F A

(F ).

(2) Cho : A R l mt o thc th ta lun c


(E) (E) + (E) ; |(E)| ||(E)
vi mi E A.

3.2

Mt s kt qu khc

Mnh 3.2.1. Mt phn hoch o c ca mt tp hp E A l mt h


hu hn = {E1 , E2 , ..., En } gm nhng phn t ri nhau thuc A sao cho
E = E1 E2 ... En .Gi (E) l tp hp tt c cc phn hoch o c ca E
vi : A R l mt o thc ty ta xc nh mt hm : (E) R
nh sau:
() =

n
X

|(Ei )|

i=1

vi mi = {E1 , E2 , ..., En } (E) . Lc ta c


||(E) = sup{()| (E)}.
Chng minh. Vi mi E A , vi (E) bt k, = {E1 , E2 , ..., En } (E)
ta c
() =

n
X
i=1

|(Ei )|

n
X

||(Ei ) =

i=1

= ||(E1 E2 ... En ) = ||(E).

23

Suy ra
sup{()| (E)} ||(E).
Do l mt o suy rng trn - i s A nn tn ti tp dng P v tp
m Q con ca X i vi sao cho
P Q = X , P Q = .
Ta c
||(E) = + (E) + (E)
= (E P ) (E Q)
= |(E P )| + |(E Q)|.
R rng {E P, E Q} (E), t suy ra
||(E) = sup{()| (E)}.

Mnh 3.2.2. Gi s (X, A, m) l mt khng gian o f : X R l mt


hm kh tch.Ta xc nh mt hm : A R bng cch t
Z

(E) =

f dm, E A.

Khi l mt o thc trn A. Hn na nu t f + := max{f, 0}; f :=


min{f, 0} th
Z

(E) =

f dm, (E) =
E

f dm, ||(E) =

|f |dm

vi mi E A.
Chng minh. Theo nh l (1.1.2) ta c l -cng tnh, hn na f kh tch
R

nn |(E)| = f dm < + do l mt o thc trn A.


E

24

Ta c
(E) = + (E) (E)
Z

(E) =

f dm

f dm

vi mi E A, E X. R rng 1 (E) =

f + dm, 2 (E) =

f dm l hai

o. t A = {x X|f (x) 0} khi A A v


Z

2 (A) =

f dm = 0 =
A

f + dm = 1 (X \ A),

X\A

do 1 , 2 l hai o k d i vi nhau, iu chng t


1 (E) = + (E) , 2 (E) = (E).
V vy
||(E) = + (E) + (E)
Z

f dm +

|f |dm,

d thy + , , || l nhng o hu hn.

f dm

Chng 4
Khong cch xc sut
4.1

Khong cch bin phn ton phn v khong


cch Hellinger

Trong chng ny ta k hiu l khng gian o vi - i s A, M l tp


tt c cc o xc sut trn (, A) .
4.1.1

Khong cch bin phn ton phn

nh ngha 4.1.1. Gi v l hai o xc sut trn , khi khong cch


bin phn ton phn c nh ngha nh sau:
dT V (, ) := sup |(A) (A)|
AA

*.Kim tra dT V l mt mtric ( khong cch )


Chng minh.
(i) Ta c dT V (, ) = sup |(A)(A)| 0 vi mi , M; v dT V (, ) =
AA

0 (A) = (A) vi mi A , A A = .
(ii) Vi mi , M th dT V (, ) = dT V (, ).
(iii) Vi mi , , M th ta c
|(A) (A)| |(A) (A)| + | (A) (A)|

25

26

do
sup |(A) (A)| sup {|(A) (A)| + | (A) (A)|}
AA

AA

sup |(A) (A)| + sup | (A) (A)|.


AA

AA

Tc l
dT V (, ) dT V (, ) + dT V (, ).
Nh vy dT V l mt mtric, mtric ny c gi tr nm trong on [0, 1].
Bin phn ton phn ca mt o thc trn mt - i s A nhng tp
con ca c nh ngha l s V (, ). Theo nhng kt qu trc ta bit
V (, ) = ||() = sup
g

trong g : =

k
S

k
X

|(Ai |

i=1

Ai l phn hoch o c ca .

i=1

Gi s l lin tc tuyt i i vi o no , gi f l hm mt
ca o i vi o ( << ) khi
Z

(A) =

f d vi mi A A,

do vy
||() = V (, ) =

|f |d.

D thy vi , l hai o xc sut trn , lc s tn ti t nht mt


o sao cho << v << ,th d ta c th ly =

+
.
2

Mnh 4.1.2. Gi s l o tha mn << v << , lc nu


gi p, q ln lt l hm mt ca o xc sut , i vi o th
1
dT V (, ) =
2

|p q|d.

27

Chng minh. Ta c
Z

() =

pd , () =

qd

do
( )() =

(p q)d.

Suy ra
V ( , ) = | |() =

|p q|d

= ( )+ () + ( ) ()
Z

(p q) d +

(p q) d.

Hn na ta li c
Z

(p q) d

(p q) d = ( )+ () ( ) ()

= ( )() =

(p q)d =

pd

= () () = 0
Suy ra
Z

(p q) d =

(p q) d,

do
V ( , ) = | |() =

|p q|d

=2

(p q) d = 2

(p q) d.

V (q p)+ = (p q) cho nn (q p)+ d = (p q) d, do


R

V ( , ) = | |() =

|p q|d

=2

(p q) d = 2

(q p)+ d.

qd

28

Ta c
+

( ) () =

(p q)+ d = sup ( )(A)

AA

= sup (A) (A)

AA

v
+

( ) () =

(q p)+ d = sup ( )(A)

AA

= sup (A) (A) ,


AA

do
V ( , ) = | |() =

|p q|d = 2 sup (A) (A) .


AA

Nh vy

dT V (, ) = sup (A) (A)


AA

1
=
2

|p q|d.

Nhn xt 4.1.3.
(i) Gi tr dT V (, ) khng ph thuc vo cch chn o nh trn.
(ii) Ta rng 2 dT V (, ) chnh bng khong cch gia p v q trong khng
gian nh chun L1 (, )(kp qk1 ).
Php chng minh trn cho ta mt kt qu th v sau:
Mnh 4.1.4.
k
X
1
dT V (, ) = sup
|(Ai ) (Ai )|
2 g i=1

trong g : =

k
S
i=1

Ai l phn hoch o c ca .

29

Chng minh. iu ny c c v
V ( , ) = | |() =

|p q|d

V ( , ) = | |() = sup
g

trong g : =

k
S

k
X

|(Ai ) (Ai )|

i=1

Ai l phn hoch o c ca .

i=1

Mnh 4.1.5. Gi s , l nhng o xc sut trn , lc


Z
Z


1

dT V (, ) = max
hd hd
2 |h|1

trong h : R l hm o c tha mn |h(x)| 1.


Trc tin ta i gii quyt bi ton sau:
B 4.1.6. Gi s f l mt hm khng m trn kh tch i vi o .
R

Xt hm tp : A R cho bi (A) =

f d vi mi A A.

Nu g l mt hm kh tch trn i vi th gf kh tch trn i vi


v
Z

gd =
A

gf d
A

vi mi A A.
Chng minh. Ta i xt tng trng hp:
Trng hp g l hm c trng g = E vi E A
g(x) = E (x) =

nu x E

nu x \ E

lc r rng g o c v
Z

gd =
A

E d =
A

d
AE

= (E A) =

f d
EA

E f d =
A

gf d.
A

30

Trng hp g l hm n gin trn A, gi s g(x) =

n
P
i=1

i Ai (x) vi x A.

Ta c
Z X
n

gd =

A i=1
n
X

i Ai d =
Z

Ai d =

i=1

i Ai d

i=1 A
n
X

Ai f d

i=1

n Z
X

n Z
X

Z X
n

i Ai f d =

i=1 A

i Ai f d

A i=1

gf d.
A

Trng hp g l hm o c khng m. Khi tn ti mt dy n iu


tng cc hm n gin khng m (gn )n hi t v g. Ta c (gn f )n l mt dy
n iu tng cc hm khng m hi t v gf , do theo nh l Levi v s
hi t n iu ta c
Z

gd = lim

gn d = lim

gn f d =

gf d.

Trng hp g l hm kh tch bt k, ta c
Z

g d =
A

g f d v
A

g d =

g f d

l nhng s hu hn. Vy
Z

gd =
A

g d

g d =
A

(g + f g f )d =

g f d

ZA

g f d

gf d.
A

Chng minh. mnh 4.1.5


D thy tn ti o sao cho << v << ; gi p, q ln lt l hm

31

mt ca o xc sut , i vi o . Khi vi mi h o c,
|h(x)| 1 ta c

hd


hd =

hpd

hqd

h(p q)d
|h||p q|d

|p q|d

Suy ra

sup
|h|1

hd


hd

|p q|d

vi h l hm o c tha |h(x)| 1. Ta xt hm
h0 (x) =

nu (p q)(x) 0

nu (p q)(x) < 0.

R rng y hm h0 l o c v tha mn |h0 (x)| = 1, h0 (p q) = |p q|.


Khi

h0 d


h0 d =

h0 (p q)d
|p q|d.

Cho nn

max

|h|1

hd


hd =

|p q|d

trong h : R l hm o c tha mn |h(x)| 1.


Vy

1
dT V (, ) = max
2 |h|1

hd

hd .

32

Nhn xt 4.1.7.
Trn y chng ta chng t c rng
dT V (, ) = sup |(A) (A)|
AA

1
=
2

|p q|d


1
= max
2 |h|1

hd

hd

do vy ta c c nhiu cch nh ngha khong cch bin phn ton phn.


c bit nu l khng gian m c th ta c kt qu di y:
Mnh 4.1.8. Khi l khng gian m c th
dT V (, ) =


1 X
(x) (x)
2 x

trong (x) := ({x}); (x) := ({x}).


Chng minh. Gi s l mt o tha mn << v << ; gi p, q ln
lt l hm mt ca o v i vi o . Ta c
Z
Z
X

X

(x) (x) =
pd qd)
x {x}

{x}

X Z

(p q)d)
=
x {x}

XZ

|p q|d

x{x}

|p q|d,

do
dT V (, ) =


1 X
(x) (x)
2 x

33

4.1.2

Khong cch Hellinger

nh ngha 4.1.9. Gi s v l hai o xc sut trn , l o tha


mn << v << ; gi p, q ln lt l hm mt ca o xc sut ,
i vi o . Khi khong cch Hellinger c nh ngha nh sau:
Z

dH (, ) =

1

( p q)2 d 2

Nhn xt 4.1.10.
(i) nh ngha trn l hp l v gi tr dH (, ) khng ph thuc vo cch
chn . Tht vy:
Gi s l mt o tha mn << v << ; khi << + .
Gi f l hm mt ca o i vi o + , tc l
Z

(E) =

f d( + ) vi mi E A,

do ta c
Z

pf d( + )

pd =

(E) =
E

v
qf d( + )

qd =

(E) =
E

vi mi E A. Cho nn , c hm mt ln lt l pf v qf i vi o
+ . Ta c
Z p

( pf

qf ) d( + ) =

(p + q 2 pq)f d( + )

(p + q 2 pq)d =

( p q)2 d

Nh vy nu gi p1 , q1 ln lt l hm mt ca o xc sut , i vi
o th ta c
Z

( p1

q1 ) d =

Z p

( f

g)2 d( + )

34

trong f , g ln lt l hm mt ca o , i vi o + , do
Z

( p1

q1 ) d =

( p q)2 d.

V vy dH (, ) khng ph thuc vo cch chn


(ii) Ta c
Z

dH (, ) =

1

( p q)2 d 2 =

1

(p + q 2 p q)d 2

= 2(1


p qd) .
 21

(iii) Ta c 0 dH (, )

2. Ta xt - i s L cc tp o c Lebesgue

trn R, d thy o Lebesgue trn R l - hu hn. Ta xem = R xt cc


hm o c
X() =

Y () =

nu [0, 1]

nu \ [0, 1]

nu [1, 2]

nu \ [1, 2],

t
Z

(A) =

X()d
A

(A) =

Y ()d
A

vi mi A L. R rng , l cc o xc sut trn (lu rng (R) =


([0, 1]) = 1 v (R) = ([1, 2]) = 1). Ta thy


dH (, ) = 2 2

 21

X()Y ()d

2.

*. Kim tra dH (, ) l mt mtric


1/ a/ Ta c
Z

dH (, ) =

1

( p q)2 d 2 0 vi mi , M.

35

b/Gi s dH (, ) = 0 lc ta c p = q hu khp ni i vi o do
(A) =

pd =

qd = (A) vi mi A A, A

Gi s = th (A) =

pd =

qd = (A) vi mi A A , A .

Theo nh l Random-Nikodym ta c p = q hu khp ni i vi o , suy


ra dH (, ) = 0.
2/Ta c
Z

dH (, ) =

1

( p q)2 d 2 = dH (, )

vi mi , M
3/Vi mi , , M, gi s p, q, f ln lt l cc hm mt ca cc o
, , M i vi o . Bt ng thc Minkowski cho ta
Z

dH (, ) + dH (, ) =

1

( p q)2 d 2 +

p
1

( p f )2 d 2

p
1

( p f )2 d 2 = dH (, ).

T suy ra dH l mt mtric.
Mnh 4.1.11. Khi l khng gian m c th
dH (, ) =

X q

(x)

2  12

(x)

Chng minh. Gi s l mt o tha mn << v << ; gi p, q ln


lt l hm mt ca o v i vi o . Ta c
X q

(x)

2

(x)

(x) + (x) 2 (x) (x)

=22

Xq

(x) (x)

v
vZ
u
X uZ
u
u qd
=22
pd
t
t
x

{x}

{x}

36

=22

Xq

p(x) (x) q(x) (x)

=22

Xq

p(x) q(x)(x)

=22

XZ

p qd

x{x}

=22


p qd,

do
dH (, ) =

X q

(x)

(x)

2  12

4.2

Mi quan h gia khong cch bin phn ton


phn v khong cch Hellinger

Mnh 4.2.1.
d2H
dT V dH .
2
Chng minh. Ta c


2dT V (, )

2

2

|p q|d

( p q)2 d

2

|( p q)||( p + q)|d

( p+

q) d =

d2H (, )

2+2

v
Z


p qd

 12

pd

do
dT V dH .

 21

qd

=1



p qd

37

Ta c
d2H (, )

( p

q) d =


(p + q 2 p qd

(p + q 2 min(p, q))d =

|p q|d = 2dT V (, ).

Suy ra d2H 2dT V , tm li


d2H
dT V dH .
2

4.3

Mt s v d

Xt = R, l o Lebesgue trn - i s L cc tp o c Lebesgue. Ta


c mnh sau
Mnh 4.3.1. Gi s f : (, +) (, +) o c khng m
v kh tch Riemann trn mi on con ng ca (, +). Khi nu
+
R

f (x)dx hi t th f kh tch Lebesgue trn (, +) v

+
Z

f d =

(,+)
+
R

Chng minh. Gi s

f (x)dx

f (x)dx hi t, t y ta c

f d =
(,+)

f d +
(,0]

f d
[0,+)

= lim

f d + lim

f d

[n,0]

[0,n]

Z0

= lim
n

Zn

f (x)dx + lim

f (x)dx

38
Z0

+
Z

f (x)dx

f (x)dx +

+
Z

f (x)dx.

*.Phn phi Gauss


2
1
P (y) = e(y)

Vi 1 , 2 R xt hai o (A) =

P1 (y)d, (A) =

A R, A L.Ta d thy
Z

P1 (y)dy = 1

P1 (y)d =

(R) =

(,+)

tng t
Z

(R) =

P2 (y)d = 1,
R

nn , l hai o xc sut.Ta c
d2H (, )

=2 1

Z q

P1 (y) P2 (y)d

v
lnx 1 x, mi x > 0
nn
d2H (, )

2 ln

Z q

P1 (y) P2 (y)d.

Ta c
2 ln

= 2 ln

Z q

R
+
Z q

P1 (y) P2 (y)d

P1 (y) P2 (y)dy

P2 (y)d vi

39
+
Z

= 2 ln

21
21
1
1
e(y1 ) 2 e(y2 ) 2 dy

+
Z

= 2 ln

+
Z

= 2 ln

2

1 [ (y2 1 )2 + (y
2]
2
e
dy

1 2 2
1 +2 2

1
e[(y( 2 )) +( 2 ) )] dy

1 2 2

= 2 ln e( 2 )
1
=
(1 2 )2
2
t suy ra
dH (, )

|1 2 |

.
2

*.Phn phi m
P (x) =

nu x 0

ex

nu x > 0

( > 0)

Ta c
2 ln

Z q

P1 (y) P2 (y)d

= 2 ln

+q
Z

P1 (y) P2 (y)dy

+q
Z

= 2 ln

e1 x

2 e2 x dy

= 2 ln

+
Z
p

1 2 e(

1 +2
)y
2

dy

= 2 ln

1 2

2 
1 + 2

1 + 2
= 2 ln
2 1 2
t suy ra
s

dH (, )

1 + 2
2 ln
.
2 1 2

40

Thc ra ta c th tnh chnh xc khong cch gia hai o xc sut trong


trng hp phn phi m, phn phi Gauss trn, th d
d2H (, )

=2 1

=2 1

=2 1

Z q

R
+q
Z

P1 (y) P2 (y)dy

+
Z

= 2 1 e(


4.4

P1 (y) P2 (y)d

1 2 2
1 +2 2

1
e[(y( 2 )) +( 2 ) )] dy

1 2 2
)
2

Cc khong cch xc sut khc

Nh vy trn chng ta c lm quen vi hai khong cch xc sut: Khong


cch bin phn ton phn v khong cch Hellinger. Di dy chng ti xin gii
thiu thm mt s khong cch xc sut khc nh khong cch Prokhorov,
khong cch Kantorovich.
4.4.1

Khong cch Prokhorov

nh ngha 4.4.1. Cho (, d) l mt khng gian mtric. Khong cch Prokhorov


c nh ngha nh sau:
dP (, ) := inf{ > 0 : (B) (B  ) +  vi mi tp B Borel}
trong B  = {x : inf d(x, y) } (xem[AL]).
yB

4.4.2

Khong cch Kantorovich

nh ngha 4.4.2. Cho = R, v nh ngha ||f ||L := sup

x6=y

|f (x)f (y)|
,
d(x,y)

trong

f o c, d l mt mtric trn . Khong cch Kantorovich c nh ngha


nh sau:

dW (, ) := sup{

f d

f d : ||f ||L 1}

41

(xem[AL]).

42

Ti liu tham kho


[NL] Nguyn Hong & L Vn Hp, Gio trnh Gii tch hm, Hu, 2003.
[DH] Nguyn nh & Nguyn Hong, Hm s bin s thc, NXB. GD, 2000.
[NV] Nguyn Duy Tin & V Vit Yn, L thuyt xc sut, NXB. GD, 2001.
[NL] Nguyn Xun Lim, Tp i cng o v Tch phn, NXB. GD, 1996.
[PT] Phm K Anh & Trn c Long, Hm s bin s thc , NXB. DHQG
H Ni, 2001.
[AL] Alison L.Gibbs - Francis Edward Su, On choosing and bounding probability
metric, Bi bo thng 1/ 2002.
[PH] Paul R Halmos, Measure Theory, Springer- Verlag New York HeidelberBerlin 1970.
[SH] Sze - Ten Hu, C s gii tch ton hc, 1978.

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