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\subsection*{ Multilinear Algebra }

$F: V_1 \times \dots \times V_k \to W$ multilinear if $\forall \, i$, linear in each variable, $F(v_1 \dots a v_1 + a' v_i' \dots v_k) = aF(v_1 \dots v_i \dots v_k) + a'F(v_1 \dots v_i' \dots v_k)$

multilinear function of 2 variables is bilinear.  \\

$L(V_1, \dots V_k; W)$ - set of all multilinear maps from $V_1 \times \dots \times V_k$ to $W$ \\

$\lbrace T: \underbrace{V\times \dots \times V}_{k \text{times }} \to \mathbb{R} \rbrace = T^k(V)$  \\

$S\in T^k(V), \, T\in T^l(V)$  \\
tensor product $S\otimes T: V \times \dots \times V \to \mathbb{R}$, covariant $(k+l)$-tensor

\[
  S \otimes T(x_1 \dots x_{k+l}) = S(x_1 \dots x_k) T(x_{k+1} \dots x_{k+l}) \\
\]

\exercisehead{12.3}
\[
\begin{gathered}
  F(v_1 \dots av_i + bw_i \dots v_k) G(v_{k+1} \dots v_{k+l}) = aF(v_1 \dots v_i \dots v_k) G + b F(v_1 \dots w_i \dots v_k)G = \\
  =  aF\otimes G(v_1 \dots v_i \dots v_k \dots v_{k+l}) + bF\otimes G(v_1 \dots w_i \dots v_k \dots v_{k+l}) = F\otimes G( v_1 \dots a v_i  + b w_i \dots v_k, v_{k+1} \dots v_{k+l} ) \\
    F(v_1 \dots v_k) G(v_{k+1} \dots av_{k+i} + bw_{k+i} \dots v_{k+l}) = \\
    = F(v_1 \dots v_k)(aG(v_{k+1} \dots v_{k+i}, v_{k+i +1} \dots v_{k+l} ) + bG(v_{k+1 } \dots w_{k+i} v_{k+i +1} \dots v_{k+l }) = \\
    = aF\otimes G(v_{k+1} \dots v_{k+i} , v_{k+i +1} \dots v_{k+l }) + bF\otimes G(v_1 \dots w_{k+i}, v_{k+i + 1} \dots v_{k+l} ) = \\
    = F\otimes G(v_1 \dots v_k, v_{k+1} \dots av_{k+i} + b w_{k+i} \dots v_{k+i +1} \dots v_{k+l })
\end{gathered}
\]

\[
\begin{gathered}
(F\otimes G) \otimes H = (F\otimes G)(x_1 \dots x_{k+l}H(x_{k+l+1} \dots x_{k+l+m }) = F(x_1 \dots x_k) G(x_{k+1} \dots x_{k+l} ) H(x_{k+l+1} \dots x_{k+l+m}) = \\
= F(x_1 \dots x_k)(G\otimes H)(x_{k+1} \dots x_{k+l+m}) = F\otimes (G\otimes H)(x_1 \dots x_{k+l+m})
\end{gathered}
\]

\begin{proposition}[12.4](A Basis for the Space of Multilinear Functions)  Let $V$ real vector space of dim. $n$, $(E_i)$ any basis for $V$, $\epsilon^i$ dual basis.\\
set of all $k$-tensors of form $\epsilon^{i_1} \otimes \dots \otimes \epsilon^{i_k}$, \, $1\leq i_1 \dots i_k \leq n$ basis for $T^k(V)$, \, dim. $n^k$
\end{proposition}

\begin{proof} Let $\mathcal{B} = \lbrace \epsilon^{i_1} \otimes \dots \otimes \epsilon^{i_k} | 1 \leq i_1 \dots i_k \leq n \rbrace$ \\

Suppose arbitrary $T \in T^k(V)$  \\
Define $T_{i_1 \dots i_k} = T(E_{i_1} \dots E_{i_k} )$

\[
T_{i_1 \dots i_k} \epsilon^{i_1} \otimes \dots \otimes \epsilon^{i_k}(E_{j_1} \dots E_{j_k} ) \underbrace{=}_{ \text{ (by definition) } }T_{i_1 \dots i_k} \epsilon^{i_1}(E_{j_1}) \dots \epsilon^{i_k}(E_{j_k}) = T_{i_1 \dots i_k}\delta^{i_1}_{j_1} \dots \delta^{i_k}_{j_k} = T_{j_1 \dots j_k} = T(E_{j_1} \dots E_{j_k} )
\]
$T$ spanned by $\mathcal{B}$

\end{proof}

\subsubsection*{ Abstract Tensor Products of Vector Spaces }

free vector space on $S$, $\mathbb{R}\langle S \rangle = \lbrace \mathcal{F} \rbrace$ \\
\quad \quad finite formal linear combination - function $\mathcal{F} : S \to \mathbb{R}$ s.t. $\mathcal{F}(s) = 0$ for all but finite many $s \in S$ \\
\quad \quad $\forall \, \mathcal{F} \in \mathbb{R} \langle S \rangle$, $\mathcal{F} = \sum_{i=1}^m a_i x_i$, \, $x_1 \dots x_m \in S$ s.t. $\mathcal{F}(x_i) \neq 0$, $a_i = \mathcal{F}(x_i)$

\exercisehead{12.6} (Characteristic Property of Free Vector Spaces)

\[
\begin{aligned}
  F : S & \to W \\
  & x \mapsto w \in W
\end{aligned}
\]
Consider $w\in W$ and $w = \sum c_{\alpha} w_{\alpha}$, $w_{\alpha} = F(x_{\alpha})$; $x_{\alpha} \in S$, $w_{\alpha} \in W$.

Consider $\overline{F}:\mathbb{R}\langle S \rangle \to W$, \, $\sum_{i=1}^m c_i x_i \mapsto \sum_{I=1}^m c_i F(x_i) = \sum_{i=1}^m c_i w_i \in W$

Let $w= v$, $\begin{aligned} & \quad \\ & w = \sum_{I=1}^m c_i w_i = \sum_{i=1}^m c_i F(x_i) \\ & v = \sum_{i=1}^n b_i v_i = \sum_{i=1}^n b_i F(y_i) \end{aligned}$

$w - v =0$ so for a vector space, this implies $w_i = v_i$, $m=n$,
\[
\sum_{i=1}^m (c_i-b_i)w_i = 0, \quad \quad c_i = b_i
\]

$\mathcal{R} \equiv$ subspace of free vector space $\mathbb{R}\langle V \times W \rangle $ spanned by
\begin{equation}
\begin{gathered}
  a(v,w) - a(v, w) \\
  a(v,w) - (v,aw) \\
(v,w) + (v',w) - (v+v',w) \\
  (v,w) + (v,w') - (v,w+w')
\end{gathered} (12.4)
\end{equation}

tensor product of $V, W$
\[
V\otimes W = \mathbb{R} \langle V \times W \rangle / \mathcal{R}
\]
equivalence class of element $(v,w)$ if $v\otimes w \in V\otimes W$

\begin{proposition}[12.7] (Characteristic Property of the Tensor Product Space)
  If bilinear $A: V \times W \to X$, $\exists \, !, \, \widetilde{A} : V\otimes W \to X$, any vector space $X$  s.t.
\begin{tikzpicture}
  \matrix (m) [matrix of math nodes, row sep=2em, column sep=3em, minimum width=1em]
  {
    V\times W  & X  \\
    V\otimes W  &   \\ };
  \path[-stealth]
  (m-1-1) edge node [right] {$A$} (m-1-2)
  edge node [left] { $\pi$} (m-2-1)
  (m-2-1) edge node [below] {$\widetilde{A}$} (m-1-2);
\end{tikzpicture}  (12.6)

$\pi(v,w) = V\otimes W$
\end{proposition}

\begin{proof}
By characteristic property of free vector space, $A: V\times W \to X$ extends uniquely to linear $\overline{A} : \mathbb{R} \langle V \times W \rangle \to X$

\[
\overline{A}(v,w) = A(v,w) \text{ if } (v,w) \in V\times W \subset \mathbb{R}\langle V \times W \rangle
\]

$A$ bilinear

\[
\begin{aligned}
  \overline{A}(av,w) = A(av,w) = aA(v,w) = a\overline{A}(v,w) = \overline{A}(a(v,w)) \\
  \overline{A}(v,aw) = A(v,aw) = aA(v,w)  = \overline{A}(a(v,w)) \\
  \overline{A}(v+v',w)  = A(v+v',w) = A(v,w) +  A(v',w) = \overline{A}(v,w) = \overline{A}(a(v',w)) \\
\end{aligned}
\]
\end{proof}

Likewise for (12.4)

subspace $\mathcal{R} \subset \text{ker}{\overline{A}}$

$\therefore \, \overline{A}$ descends to linear $\widetilde{A} : V\otimes W = \mathbb{R} \langle V\times W \rangle / \mathcal{R} \to X$ s.t. \\
$\widetilde{A} \circ \pi = \overline{A}$, $\pi: \mathbb{R}\langle V \times W \rangle \to V\otimes W$

uniqueness from $\forall \, v \otimes w \in V \otimes W$, $v\otimes w =$ linear combination of $v\otimes w$ \\
$\widetilde{A}$ uniquely determined on $\widetilde{A}(v\otimes w) = \overline{A}(v,w) = A(v,w)$

\begin{proposition}[11.4] (\textbf{Other Properties of Tensor Products}).  Let $V, W$, and $X$ be finite-dimensional real vector spaces
\begin{enumerate}
  \item[(a)] $V^* \otimes W^*$ canonically isomorphic to $B(V,W)$, bilinear maps from $V\times W$ into $\mathbb{R}$
  \item[(b)] if $\begin{aligned} & \quad \\ & (E_i) \text{ basis for $V$ } \\ & (F_j) \text{ basis for $W$ } \end{aligned}$, then $\lbrace E_i \otimes F_j \rbrace$ basis is basis for $V\otimes W$, $\therefore \, \text{dim}{(V\otimes W)} = \text{dim}{V} \text{dim}{W}$
  \item[(c)] $\exists \, !$ \, isomorphism $\begin{aligned} & \quad \\ & V\otimes (W\otimes X) \to (V \otimes W) \otimes X \\ & v\otimes (w \otimes x) \mapsto (v\otimes w)\otimes x \end{aligned}$
\end{enumerate}
\end{proposition}

\begin{proof}
\begin{enumerate}
\item[(a)] canonical isomorphism (basis independence) construction between $V^* \otimes W^*$ and $B(V,W)$ (space of bilinear maps) \\

Define $\begin{aligned} & \quad \\
  & \Phi : V^* \times W^* \to B(V,W) \\
  & \Phi(\omega, \eta)(v,w) = \omega(v) \eta(\omega) \end{aligned}$

$\Phi$ bilinear (easy to check).

Prop. 11.3  $\forall \, $ bilinear $A: V\times W \to X$, $\exists \, ! \widetilde{A} : V\otimes W \to X$, any vector space $X$ s.t. $\widetilde{A} \pi = A$

\begin{tikzpicture}
  \matrix (m) [matrix of math nodes, row sep=2em, column sep=3em, minimum width=1em]
  {
    V^*\times W^*  & X  \\
    V^* \bigotimes W^*  &   \\ };
  \path[-stealth]
  (m-1-1) edge node [auto] {$\Phi$} (m-1-2)
  edge node [left] { $\pi$} (m-2-1)
  (m-2-1) edge node [below] {$\widetilde{\Phi}$} (m-1-2);
\end{tikzpicture}

i.e. descends uniquely to linear $\widetilde{\Phi} : V^* \otimes W^* \to B(V,W)$

Let $\begin{aligned} & \quad \\
  & (e_i) \\
  & (f_j) \end{aligned}$ be bases for $\begin{aligned} & \quad \\
  & V, \\
  & W \end{aligned}$ \quad $\begin{aligned} & \quad \\
  & (\epsilon^i) \\
  & (\phi^j) \end{aligned}$ \quad dual basis

since $V^* \otimes W^*$ spanned by elements of the form $\omega \otimes \eta$, $\begin{aligned} & \quad \\ & \omega \in V^* \\
 & \eta \in W^* \end{aligned}$ \\
$\forall \, \tau \in V^* \otimes W^*$, \, $\tau = \tau_{ij} \epsilon^i \otimes \varphi^j $

Define $\begin{aligned} & \quad \\
  & \Psi : B(V, W) \to V^* \otimes W^* \\
  & \Phi(b) = b(e_k,  f_l) \epsilon^k \otimes \varphi^l
\end{aligned}$

\[
\begin{gathered}
  \Psi \widetilde{\Phi}(\tau) = \widetilde{\Phi}(\tau)(e_k , f_l) \epsilon^k \otimes \varphi^l = \tau_{ij} \widetilde{\Phi}(\epsilon^i \otimes \varphi^j)(e_k , f_l) \epsilon^k \otimes \varphi^l = \tau_{ij} \Phi( \epsilon^i , \varphi^j) (e_k , f_l) \epsilon^k \otimes \varphi^l = \\
= \tau_{ij} \epsilon^i(e_k) \varphi^j(f_l) \epsilon^k\otimes \varphi^l = \tau_{kl} \epsilon^k \otimes \varphi^l = \tau
\end{gathered}
\]

For $\begin{aligned} & \quad \\
  & v \in V \\
  & w \in W \end{aligned}$
\[
\begin{gathered}
  \widetilde{\Phi} \circ \Psi(b)(v,w) = \widetilde{\Phi} b(e_j,f_k) \epsilon^j \otimes \varphi^k(v,w) = b(e_j , f_k) \widetilde{\Phi}(\epsilon^j \otimes \varphi^k)(v,w) = \\
  = b(e_j, f_k) \Phi(e^i, \varphi^k)(v,w) = b(e_j, f_k) e^i(v) \varphi^k(w) = b(e_j, f_k) v^i \varphi^k = b(v,w)
\end{gathered}
\]

\item[(b)]
Given $\begin{aligned}
  & \lbrace e_i | i \in I \rbrace = \mathcal{B}_U \\
  & \lbrace f_j | j \in J \rbrace = \mathcal{B}_U \\
\end{aligned}$

By the bilinearity of tensor product: $a_i e_i \otimes b_j f_j  = a_i b_j e_i \otimes f_j$

Consider dual basis elements $\begin{aligned} & \quad \\
  & e^*_k(e_i) = \delta_{ik} \\
   & f^*_l(f_j) = \delta_{jl} \end{aligned}$ and \quad

$\begin{aligned} & \quad \\
  & U \times V \to K \\
  & (u,v) \mapsto e^*_k(u) \cdot f^*_l(v) \end{aligned}$

induces $\begin{aligned} & \quad \\
  & U\otimes V \to K \\
   & u \otimes v \mapsto e^*_k(u) \cdot f_l^*(v) \end{aligned}$

\[
e_i \otimes f_j \mapsto \delta_{ik} \delta_{jl}
\]
\[
c_{ij} e_i \otimes f_j = 0 = c_{ij} \delta_{ik} \delta_{jl} = c_{kl} = 0 \quad \quad \forall \, k,l \text{ so } e_i\otimes f_j \text{ form a basis }
\]

\end{enumerate}
\end{proof}

\begin{corollary}[11.5] $V$ finite-dim. real vector space, space $T^k(V)$ of covariant $k$-tensors on $V$ canonically isomorphic to $k$-fold tensor product $V^* \otimes \dots \otimes V^*$
\end{corollary}

\exercisehead{11.3} Prove Corollary 11.5.

It's enough to consider the basis (good strategy).

$T^k(V)$ basis $\mathcal{B} = \lbrace \epsilon^{i_1} \otimes \dots \otimes \epsilon^{i_k} | 1 \leq i_1 \dots i_k \leq n \rbrace$ (Prop. 11.2) $\text{dim}{n^k}$

Use Prop. 11.4(b).  Surely $V^*$ finite-dim. real vector space as well, on its own, even though it's a dual basis.

Prop.11.4(b) if $\begin{aligned} & \quad \\
& (E_i) \text{ basis for $V$ } \\
  & (E_j) \text{ basis for $W$ } \end{aligned}$, \quad then $\lbrace E_i \otimes E_j \rbrace$ basis for $V\otimes W$ and $\text{dim}{ (V\otimes W)} = \text{dim}{V} \text{dim}{W}$

basis for $V^* \otimes \dots \otimes V^* = \lbrace \epsilon^{i_1} \otimes \dots \otimes \epsilon^{i_k} | 1 \leq i_1 \dots i_k \leq n \rbrace$, \quad $\text{dim}{ (V^* \otimes \dots \otimes V^*) } = n^k$

dimensions are same.  isomorphic.

%\fcdice{12}
\staveXXIX

%$\mathcal{T}$

\begin{lemma}[11.7] Let smooth $M$, suppose $\begin{aligned} & \quad \\ & \sigma \in \mathcal{T}^k(M) \\ & \tau \in \mathcal{T}^l(M) \end{aligned}$ \quad \, $f\in C^{\infty}(M)$  \\

Then $f\sigma$, $\sigma \otimes \tau$ also smooth tensor fields whose

\[
\begin{gathered}
  (f\sigma)_{i_1 \dots i_k} = f \sigma_{i_1 \dots \sigma_k } \\
  (\sigma \otimes \tau)_{i_1 \dots i_{k+l} } = \sigma_{i_1 \dots i_k} \tau_{i_{k+1} \dots i_{k+l} }
\end{gathered}
\]
\end{lemma}

\exercisehead{11.7}

Prove Lemma 11.7.  Note $T^0M = T_0M = M \times \mathbb{R}$

\[
\begin{gathered}
  f\sigma( p, e^{(1)}_{i_1} , \dots , e^{(k)}_{i_k} ) = f(p) \sigma( e^{(1)}_{i_1} \dots e^{(k)}_{i_k} ) = f(p) \sigma_{i_1 \dots i_k} = (f\sigma)_{i_1 \dots i_k}
\end{gathered}
\]

Suppose smooth $F:M \to N$ \\
$\forall \, $ smooth covariant $k$-tensor field $\sigma$ on $N$, \\
define $k$-tensor field $F^*\sigma$ on $M$ by
\[
(F^* \sigma)_p = F^*(\sigma_{F(p)})
\]
explicitly, if $X_1 \dots X_k \in T_pM$, then
\[
(F^* \sigma)_p(X_1 \dots X_k) = \sigma_{F(g)}(F_* X_1 \dots F_* X_k)
\]

\begin{proposition}[11.9] (The properties of Tensor Field Pullbacks)
Suppose smooth $\begin{aligned} & \quad \\
  & F:M \to N \\
  & G:N \to P \end{aligned}$, \quad $\begin{aligned} & \quad \\
  & \sigma \in \mathcal{T}^k(N) \\
  & \tau \in \mathcal{T}^l(N) \end{aligned}$, \quad $f\in C^{\infty}(N)$
\begin{enumerate}
  \item[(a)] $F^*(f\sigma) = (f\circ F) F^* \sigma$
\item[(b)] $F^*(\sigma \otimes \tau) = F^*\sigma \otimes F^*\tau$
\item[(c)] $F^*\sigma$ smooth tensor field
\item[(d)] $F^*:\mathcal{T}^k(N) \to \mathcal{T}^k(M)$ linear over $\mathbb{R}$
\item[(e)] $(GF)^* = F^* G^*$
\item[(f)] $(\text{Id}_N)^*\sigma = \sigma$
\end{enumerate}
\end{proposition}

\exercisehead{11.9} Prove Prop. 11.9

\begin{corollary}[11.10] Let smooth $F:M \to N$, $\sigma \in \mathcal{T}^k(N)$ \\
If $p\in M$, smooth coordinates $(y^j)$ for $N$ on neighborhood of $F(p)$, then $F^*\sigma$ near $p$
\[
F^*(\sigma_{j_1 \dots j_k} dy^{j_1} \otimes \dots \otimes dy^{j_k} ) = (\sigma_{j_1 \dots j_k } \circ F ) d(y^{j_1 } \circ F) \otimes \dots \otimes d(y^{j_k} \circ F)
\]
\end{corollary}

20130919

However, in the special case of a diffeomorphism, tensor fields of any variance can be pushed forward and pulled back at will (see Problem 11-6)

\subsection*{Symmetric Tensors}

20130919

\exercisehead{11.10}

\[
T_{i_1 \dots i_k} = T(E_{i_1} \dots E_{i_k} ) = T(E_{i_1} \dots E_{i_s} \dots E_{i_r} \dots E_{i_k} ) = T_{i_1 \dots i_s \dots i_r \dots i_k } \quad \quad \, r<s
\]

\staveXXIX

set of symmetric covariant $k$-tensors on $V$ by $\sum^k(V)$ \\

define $\,^{\sigma}T^(X_1 \dots X_k)^ = T(X_{\sigma(1)} \dots X_{ \sigma(k)})$ \\

define $\text{Sym}T = \frac{1}{k!}  \sum_{\sigma \in S_k} \,^{\sigma}T$ \\

If $\begin{aligned} & \quad \\
  & S \in \sum^k(V) \\
  & T\in \sum^l(V) \end{aligned}$, \, define $ST = \text{Sym}{ (S\otimes T)}$

\[
ST(X_1 \dots X_{k+l}) = \frac{1}{ (k+l)!} \sum_{ \sigma \in S_{k+l} } S(X_{\sigma(1)} \dots X_{\sigma(k)} ) T(X_{\sigma(k+1)}, \dots , X_{\sigma(k+l) } )
\]

\begin{proposition}[12.15] (Properties of the Symmetric Product)
\begin{enumerate}
\item[(a)]
\item[(b)] if $\omega, \eta$ covectors, $ \omega \eta = \frac{1}{2} ( \omega \otimes \eta + \eta \otimes \omega)$
\end{enumerate}
\end{proposition}

20130919
\exercisehead{12.16} Prove Proposition 12.15

\begin{enumerate}
\item[(a)]
\item[(b)] \[
\begin{gathered}
  \omega \eta(e_i, e_j) = \frac{1}{2} ( \omega(e_i) \eta(e_j) + \omega(e_j) \eta(e_i)  ) = \frac{1}{2} ( \omega(e_i) \eta(e_j) + \eta(e_i) \omega(e_j)) = \frac{1}{2} ( \omega \otimes \eta + \eta \otimes \omega)(e_i ,e_j)
\end{gathered}
\]

direct application of definition of $ST \equiv \text{Sym}{(S\otimes T)}$ and $S\otimes T(X_1 \dots X_{k+l} ) = S(X_1 \dots X_k) T(X_{k+1} \dots X_{k+l})$ definition of tensor product.

\end{enumerate}

\subsubsection*{Alternating Tensors}

\subsubsection*{Lie Derivatives of Tensor Fields}

\begin{lemma}[12.30] smooth $M,V,A$, $\exists \, $ (12.8) $\forall \, p \in M$, and defines $\mathcal{L}_VA$ as smooth tensor field on $M$
\end{lemma}

\exercisehead{12.31}

Suppose smooth $M$, smooth $V$, smooth covariant tensor $A$

$I = (i_1 \dots i_k)$ \\
\quad \, $i_i = 1 \dots \text{dim}{M}$ \\

$\theta_t(p) = y$ (notation)

\[
A = A(y) = A(\theta_t(p)) = A_I(y) dy^I = A_I(\theta_t(p)) dy^I
\]
with $A_I$ smooth function of $\theta_t(p) = y$

\[
v_1 = \delta^{j_1}_{ \, \, i_1} \frac{ \partial }{ \partial x^{j_1}} \quad \quad \, v^{j_1}_{ (1)} = \delta^{j_1}_{ i_1}
\]

\[
d(\theta_t)^*_p(A_{\theta_t(p)}) \frac{ \partial }{ \partial x^I} = A_{\theta_t(p)}(d(\theta_t)_p \frac{ \partial }{ \partial x^I } )
\]
$d(\theta_t)_p = \frac{ \partial y^i}{ \partial x^j}$

\[
d(\theta_t)_p v_1  = \frac{ \partial y^{i_1}}{ \partial x^{j_1}} v^{j_1}_{(1)} \frac{ \partial }{ \partial y^{i_1}}
\]

\[
\Longrightarrow \frac{ \partial y^{k_1} }{ \partial x^{j_1} } \delta^{j_1}_{i_1} \frac{ \partial }{ \partial y^{k_1}} = \frac{ \partial y^{j_1}}{ \partial x^{i_1}} \frac{ \partial }{ \partial y^{j_1}}
\]

$\frac{ \partial }{ \partial x^I} = \frac{ \partial }{ \partial x^{i_1} } \otimes \dots \otimes \frac{ \partial }{ \partial x^{i_k} }$

\[
d(\theta_t)_p \frac{ \partial }{ \partial x^I} = d(\theta_t)_pv_1 \dots d(\theta_t)_pv_k =  \frac{ \partial y^J}{ \partial x^I} \frac{ \partial }{ \partial y^J}
\]

%\[
%dx^I = dx^{i_1} \otimes \dots \otimes dx^{i_k} = \delta^{i_1}_{ \, \, j_1} dx^{j_1} \otimes \dots \otimes \delta^{i_k}_{ \, \, j_k} dx^{j_k} = \delta^I_{ \, \, J} dx^J
%\]

%\[
%\frac{ \partial y^{i_1}}{ \partial x^{j_1} } dx^{j_1} \otimes \dots \otimes \frac{ \partial y^{i_k}}{ \partial x^{j_k}} dx^{j_k} = \frac{ \partial y^I}{ \partial x^J} dx^J
%\]

%\[
%A_{\theta_t(p)}( d(\theta_t)_p \frac{ \partial }{ \partial x^I}  ) = A_K(y) dy^K \frac{ \partial y^J}{ \partial x^I} \frac{ \partial }{ \partial y^J} = A_J(y) \frac{ \partial y^J}{ \partial x^I}
%\]
%\[
%d(\theta_t)^*_p(A)
%\]

\[
\begin{gathered}
  A_{\theta_t(p)}(d(\theta_t)_p(v_1) \dots d(\theta_t)_p(v_k) ) = A_J(\theta_t(p))\frac{ \partial y^J}{ \partial x^I}
\end{gathered}
\]
\[
\begin{aligned}
  & d(\theta_t)^*_p(A_{\theta_t(p)}) = A^*_J dx^J \\
  &  d(\theta_t)^*_p(A_{\theta_t(p)}) \frac{ \partial }{ \partial x^I} = A_I^* = A_J \frac{ \partial y^J}{ \partial x^I }
\end{aligned}
\]

\[
\Longrightarrow ( \mathcal{L}_VA)_p = \left. \frac{d}{dt} \right|_{t=0} (\theta_t^* A)_p = \left. \frac{d}{dt} \right|_{t=0} A_J \left. \frac{ \partial \theta^J(t,x) }{ \partial x^I } \right|_p dx^I
\]
$A_J = A_J(\theta_t(p)) = A_J(\theta(t,x))$

$\theta$ smooth in $t,x$, so $A_J$ smooth in $t$ and $x$  \\

so since $\left. \left( \mathcal{L}_VA\right)_I \right|_p$ smooth $\forall \, I \in \lbrace (i_1 \dots i_k) | i_i = 1 \dots \text{dim}{M}, \, i = 1 \dots k \rbrace$, \\
\quad $\left. (\mathcal{L}_VA)  \right|_p$ smooth tensor field on $M$

\hrulefill

\begin{proposition}[12.32]
  \begin{enumerate}
\item[(a)] $\mathcal{L}_V f = Vf$
\item[(b)] $\mathcal{L}_V(fA) = (\mathcal{L}_Vf )A + f\mathcal{L}_VA$
\item[(c)] $\mathcal{L}_V(A\otimes B) = (\mathcal{L}_VA) \otimes B + A \otimes \mathcal{L}_V B$
\item[(d)] If $X_1 \dots X_k$ smooth vector fields, $A$ smooth $k$-tensor field,
\begin{equation}
  \mathcal{L}_V(A(X_1 \dots X_k)) = (\mathcal{L}_VA)(X_1 \dots X_k) + A(\mathcal{L}_VX_1 \dots X_k) + \dots + A(X_1 \dots \mathcal{L}_VX_k) \quad \quad \quad \, (12.9)
\end{equation}
\end{enumerate}

\end{proposition}

\begin{corollary}[12.33]
\begin{equation}
  (\mathcal{L}_VA)(X_1 \dots X_k) = V(A(X_1 \dots X_k))  - A([V,X_1], X_2 \dots X_k) - \dots - A(X_1 \dots X_{k-1}, [V,X_k]) \quad \quad \quad \, (12.10)
\end{equation}
\end{corollary}


%This chapter was modified on 6-4-05.
\setcounter{chapter}{9}

\chapter{Generating Functions}\label{chp 10}

\section[Discrete Distributions]{Generating Functions for Discrete Distributions}\label{sec
10.1}
\par
So far we have considered in detail only the two most important attributes of a
random variable, namely, the mean and the variance.  We have seen how these
attributes enter into the fundamental limit theorems of probability, as well as
into all sorts of practical calculations.  We have seen that the mean and
variance of a random variable contain important information about the random
variable, or, more precisely, about the distribution function of that variable.
Now we shall see that the mean and variance do  \emx {not} contain \emx {all}
the available information about the density function of a random variable.  To
begin with, it is easy to give examples of different distribution functions which
have the same mean and the same variance.  For instance, suppose $X$~and~$Y$
are random variables, with distributions

$$p_X = \pmatrix{
1 & 2 & 3 & 4 & 5 & 6\cr
0 & 1/4 & 1/2 & 0 & 0 & 1/4\cr},$$
$$p_Y = \pmatrix{
1 & 2 & 3 & 4 & 5 & 6\cr
1/4 & 0 & 0 & 1/2 & 1/4 & 0\cr}.$$

Then with these choices, we have $E(X) = E(Y) = 7/2$ and $V(X) = V(Y) = 9/4$, and
yet certainly $p_X$~and~$p_Y$ are quite different density functions.

This raises a question: If $X$ is a random variable with range
$\{x_1, x_2, \ldots\}$ of at most countable size, and distribution function $p = p_X$,
and if we know its mean $\mu = E(X)$ and its variance $\sigma^2 = V(X)$, then
what else do we need to know to determine $p$ completely?

\subsection*{Moments}
A nice answer to this question, at least in the case that $X$ has finite range, can be given in terms of
the
\emx {moments}\index{moments} of~$X$, which are numbers defined as follows:
\pagebreak[4]
\begin{eqnarray*}
\mu_k &=& k \mbox{th}\,\,\mbox{moment~of}\,\, X\\
      &=& E(X^k) \\
      &=& \sum_{j = 1}^\infty (x_j)^k p(x_j)\ ,
\end{eqnarray*}
provided the sum converges.  Here $p(x_j) = P(X = x_j)$.
\par
In terms of these moments, the mean~$\mu$ and variance~$\sigma^2$ of~$X$ are
given simply by

\begin{eqnarray*}
     \mu &=& \mu_1, \\
\sigma^2 &=& \mu_2 - \mu_1^2\ ,
\end{eqnarray*}
so that a knowledge of the first two moments of~$X$ gives us its mean and
variance.  But a knowledge of \emx {all} the moments of~$X$ determines its
distribution function $p$ completely.

\subsection*{Moment Generating Functions}
To see how this comes about, we introduce a new variable $t$, and define a
function $g(t)$ as follows:

\begin{eqnarray*}
g(t) &=& E(e^{tX}) \\
     &=& \sum_{k = 0}^\infty \frac {\mu_k t^k}{k!} \\
     &=& E\left(\sum_{k = 0}^\infty \frac {X^k t^k}{k!} \right) \\
     &=& \sum_{j = 1}^\infty e^{tx_j} p(x_j)\ .
\end{eqnarray*}
We call $g(t)$ the \emx {moment generating function}\index{generating
function!moment}\index{moment generating function} for~$X$, and think of it as a convenient
bookkeeping device for describing the moments of~$X$.  Indeed, if we differentiate $g(t)$ $n$
times and then set
$t = 0$, we get $\mu_n$:

\begin{eqnarray*}
\left. \frac {d^n}{dt^n} g(t) \right|_{t = 0} &=& g^{(n)}(0) \\
     &=& \left. \sum_{k = n}^\infty \frac {k!\, \mu_k t^{k - n}} {(k - n)!\, k!}
\right|_{t = 0} \\
     &=& \mu_n\ .
\end{eqnarray*}
It is easy to calculate the moment generating function for simple examples.

\subsection*{Examples}
\begin{example}\label{exam 10.1}
Suppose $X$ has range $\{1,2,3,\ldots,n\}$ and $p_X(j) = 1/n$ for $1 \leq j
\leq n$ (uniform distribution).  Then

\begin{eqnarray*}
g(t) &=& \sum_{j = 1}^n \frac 1n e^{tj} \\
     &=& \frac 1n (e^t + e^{2t} +\cdots+ e^{nt}) \\
     &=& \frac {e^t (e^{nt} - 1)} {n (e^t - 1)}\ .
\end{eqnarray*}
If we use the expression on the right-hand side of the second line above, then it is
easy to see that

\begin{eqnarray*}
\mu_1 &=& g'(0) = \frac 1n (1 + 2 + 3 + \cdots + n) = \frac {n + 1}2, \\
\mu_2 &=& g''(0) = \frac 1n (1 + 4 + 9+ \cdots + n^2) = \frac {(n + 1)(2n + 1)}6\ ,
\end{eqnarray*}
and that $\mu = \mu_1 = (n + 1)/2$ and $\sigma^2 = \mu_2 - \mu_1^2 = (n^2 -
1)/12$.
\end{example}

\begin{example}\label{exam 10.2}
Suppose now that $X$ has range $\{0,1,2,3,\ldots,n\}$ and $p_X(j) = {n \choose j} p^j
q^{n - j}$ for $0 \leq j \leq n$ (binomial distribution).  Then
\begin{eqnarray*}
g(t) &=& \sum_{j = 0}^n e^{tj} {n \choose j} p^j q^{n - j} \\
     &=& \sum_{j = 0}^n {n \choose j} (pe^t)^j q^{n - j} \\
     &=& (pe^t + q)^n\ .
\end{eqnarray*}
Note that
\begin{eqnarray*}
\mu_1 = g'(0) &=& \left. n(pe^t + q)^{n - 1}pe^t \right|_{t = 0} = np\ , \\
\mu_2 = g''(0) &=& n(n - 1)p^2 + np\ ,
\end{eqnarray*}
so that $\mu = \mu_1 = np$, and $\sigma^2 = \mu_2 - \mu_1^2 = np(1 - p)$, as
expected.
\end{example}

\begin{example}\label{exam 10.3}
Suppose $X$ has range $\{1,2,3,\ldots\}$ and $p_X(j) = q^{j - 1}p$ for all~$j$
(geometric distribution).  Then
\begin{eqnarray*}
g(t) &=& \sum_{j = 1}^\infty e^{tj} q^{j - 1}p \\
     &=& \frac {pe^t}{1 - qe^t}\ .
\end{eqnarray*}
Here
\begin{eqnarray*}
\mu_1 &=& g'(0) = \left. \frac {pe^t}{(1 - qe^t)^2} \right|_{t = 0} = \frac 1p\ , \\
\mu_2 &=& g''(0) = \left. \frac {pe^t + pqe^{2t}}{(1 - qe^t)^3} \right|_{t = 0} = \frac
{1 + q}{p^2}\ ,
\end{eqnarray*}
$\mu = \mu_1 = 1/p$, and $\sigma^2 = \mu_2 - \mu_1^2 = q/p^2$, as computed in
Example~\ref{exam 6.21}.
\end{example}

\begin{example}\label{exam 10.4}
Let $X$ have range $\{0,1,2,3,\ldots\}$ and let $p_X(j) =
e^{-\lambda}\lambda^j/j!$ for all~$j$ (Poisson distribution with mean~$\lambda$).
Then
\begin{eqnarray*}
g(t) &=& \sum_{j = 0}^\infty e^{tj} \frac {e^{-\lambda}\lambda^j}{j!} \\
     &=& e^{-\lambda} \sum_{j = 0}^\infty \frac {(\lambda e^t)^j}{j!} \\
     &=& e^{-\lambda} e^{\lambda e^t} = e^{\lambda(e^t - 1)}\ .
\end{eqnarray*}
Then
\begin{eqnarray*}
\mu_1 &=& g'(0) = \left. e^{\lambda(e^t - 1)}\lambda e^t \right|_{t = 0} = \lambda\ ,\\
\mu_2 &=& g''(0) = \left. e^{\lambda(e^t - 1)} (\lambda^2 e^{2t} + \lambda e^t)
\right|_{t = 0} = \lambda^2 + \lambda\ ,
\end{eqnarray*}
$\mu = \mu_1 = \lambda$, and $\sigma^2 = \mu_2 - \mu_1^2 = \lambda$.
\par
The variance of the Poisson distribution is easier to obtain in this way than directly
from the definition (as was done in Exercise~\ref{sec 6.2}.\ref{exer 6.2.100}).
\end{example}

\subsection*{Moment Problem}\index{moment problem}
Using the moment generating function, we can now show, at least in the case of
a discrete random variable with finite range, that its distribution function is
completely determined by its moments.
\begin{theorem}\label{thm 10.2}
Let $X$ be a discrete random variable with finite range
$\{x_1,x_2,\ldots,\linebreak x_n\}$, distribution function~$p$, and moment generating
function~$g$.  Then $g$ is uniquely determined by~$p$, and conversely.
\proof
We know that $p$ determines $g$, since
$$
g(t) = \sum_{j = 1}^n e^{tx_j} p(x_j)\ .
$$
Conversely, assume that $g(t)$ is known.  We wish to determine the values of $x_j$ and $p(x_j)$, for $1 \le j \le n$.  We assume, without loss of generality, that $p(x_j) > 0$ for $1 \le j \le n$, and that
$$x_1 < x_2 < \ldots < x_n\ .$$
We note that $g(t)$ is differentiable for all $t$, since it is a finite linear combination of exponential functions.  If we compute $g'(t)/g(t)$, we obtain
$${{x_1 p(x_1) e^{tx_1} + \ldots + x_n p(x_n) e^{t x_n}}\over{p(x_1) e^{tx_1} + \ldots + p(x_n)e^{tx_n}}}\ .$$
Dividing both top and bottom by $e^{tx_n}$, we obtain the expression
$${{x_1 p(x_1) e^{t(x_1-x_n)} + \ldots + x_n p(x_n)}\over{p(x_1) e^{t(x_1 - x_n)} + \ldots + p(x_n)}}\ .$$
Since $x_n$ is the largest of the $x_j$'s, this expression approaches $x_n$ as $t$ goes to $\infty$. So we have shown that
$$x_n = \lim_{t \rightarrow \infty} {{g'(t)}\over{g(t)}}\ .$$
To find $p(x_n)$, we simply divide $g(t)$ by $e^{tx_n}$ and let $t$ go to $\infty$.
Once $x_n$ and $p(x_n)$ have been determined, we can subtract $p(x_n) e^{tx_n}$ from $g(t)$, and repeat the above procedure with the resulting function, obtaining, in turn, $x_{n-1}, \ldots, x_1$ and $p(x_{n-1}), \ldots, p(x_1)$.
\end{theorem}

If we delete the hypothesis that $X$ have finite range in the above theorem, then
the conclusion is no longer necessarily true.

\subsection*{Ordinary Generating Functions}
In the special but important case where the $x_j$ are all nonnegative integers,
$x_j = j$, we can prove this theorem in a simpler way.

In this case, we have
$$
g(t) = \sum_{j = 0}^n e^{tj} p(j)\ ,
$$
and we see that $g(t)$ is a \emx {polynomial} in $e^t$.  If we write $z =
e^t$, and define the function $h$ by
$$
h(z) = \sum_{j = 0}^n z^j p(j)\ ,
$$
then $h(z)$ is a polynomial in~$z$ containing the same information as $g(t)$,
and in fact
\begin{eqnarray*}
h(z) &=& g(\log z)\ , \\
g(t) &=& h(e^t)\ .
\end{eqnarray*}
The function $h(z)$ is often called the \emx {ordinary generating function}\index{ordinary
generating function}\index{generating function!ordinary} for~$X$.  Note that $h(1) = g(0) =
1$,
$h'(1) = g'(0) =
\mu_1$, and
$h''(1) = g''(0) - g'(0) = \mu_2 - \mu_1$.  It follows from all this that if we know
$g(t)$, then we know $h(z)$, and if we know $h(z)$, then we can find the $p(j)$
by Taylor's formula:
\begin{eqnarray*}
p(j) &=& \mbox{coefficient~of}\,\, z^j \,\, \mbox{in}\,\, h(z) \\
     &=& \frac{h^{(j)}(0)}{j!}\ .
\end{eqnarray*}

For example, suppose we know that the moments of a certain discrete random
variable $X$ are given by
\begin{eqnarray*}
\mu_0 &=& 1\ , \\
\mu_k &=& \frac12 + \frac{2^k}4\ , \qquad \mbox{for}\,\, k \geq 1\ .
\end{eqnarray*}
Then the moment generating function $g$ of~$X$ is
\begin{eqnarray*}
g(t) &=& \sum_{k = 0}^\infty \frac{\mu_k t^k}{k!} \\
     &=& 1 + \frac12 \sum_{k = 1}^\infty \frac{t^k}{k!} + \frac14 \sum_{k =
1}^\infty \frac{(2t)^k}{k!} \\
     &=& \frac14 + \frac12 e^t + \frac14 e^{2t}\ .
\end{eqnarray*}
This is a polynomial in $z = e^t$, and
$$
h(z) = \frac14 + \frac12 z + \frac14 z^2\ .
$$
Hence, $X$ must have range $\{0,1,2\}$, and $p$ must have values
$\{1/4,1/2,1/4\}$.

\subsection*{Properties}
Both the moment generating function $g$ and the ordinary generating function
$h$ have many properties useful in the study of random variables, of which we
can consider only a few here.  In particular, if $X$ is any discrete random
variable and $Y = X + a$, then
\begin{eqnarray*}
g_Y(t) &=& E(e^{tY}) \\
       &=& E(e^{t(X + a)}) \\
       &=& e^{ta} E(e^{tX}) \\
       &=& e^{ta} g_X(t)\ ,
\end{eqnarray*}
while if $Y = bX$, then
\begin{eqnarray*}
g_Y(t) &=& E(e^{tY}) \\
       &=& E(e^{tbX}) \\
       &=& g_X(bt)\ .
\end{eqnarray*}
In particular, if
$$
X^* = \frac{X - \mu}\sigma\ ,
$$
then (see Exercise~\ref{exer 10.1.14})
$$
g_{x^*}(t) = e^{-\mu t/\sigma} g_X\left( \frac t\sigma \right)\ .
$$

If $X$ and $Y$ are \emx {independent} random variables and $Z = X + Y$ is
their sum, with $p_X$,~$p_Y$, and~$p_Z$ the associated distribution functions, then
we have seen in Chapter~\ref{chp 7} that $p_Z$ is the \emx {convolution} of
$p_X$~and~$p_Y$, and we know that convolution involves a rather complicated
calculation.  But for the generating functions we have instead the simple
relations
\begin{eqnarray*}
g_Z(t) &=& g_X(t) g_Y(t)\ , \\
h_Z(z) &=& h_X(z) h_Y(z)\ ,
\end{eqnarray*}
that is, $g_Z$ is simply the \emx {product} of $g_X$~and~$g_Y$, and similarly
for~$h_Z$.

To see this, first note that if $X$~and~$Y$ are independent, then $e^{tX}$ and
$e^{tY}$ are independent (see Exercise~\ref{sec 5.2}.\ref{exer 5.2.38}), and hence
$$
E(e^{tX} e^{tY}) = E(e^{tX}) E(e^{tY})\ .
$$
It follows that
\begin{eqnarray*}
g_Z(t) &=& E(e^{tZ}) = E(e^{t(X + Y)}) \\
       &=& E(e^{tX}) E(e^{tY}) \\
       &=& g_X(t) g_Y(t)\ ,
\end{eqnarray*}
and, replacing $t$ by $\log z$, we also get
$$
h_Z(z) = h_X(z) h_Y(z)\ .
$$

\begin{example}\label{exam 10.5}
If $X$~and~$Y$ are independent discrete random variables with range
$\{0,1,2,\ldots,n\}$ and binomial distribution
$$
p_X(j) = p_Y(j) = {n \choose j} p^j q^{n - j}\ ,
$$
and if $Z = X + Y$, then we know (cf. Section~\ref{sec 7.1}) that the range of $X$ is
$$\{0,1,2,\ldots,2n\}$$
and $X$ has binomial distribution
$$
p_Z(j) = (p_X * p_Y)(j) =
{2n \choose j} p^j q^{2n - j}\ .
$$
Here we can easily verify this result by using generating functions.  We know
that
\begin{eqnarray*}
g_X(t) = g_Y(t) &=& \sum_{j = 0}^n e^{tj} {n \choose j} p^j q^{n - j} \\
       &=& (pe^t + q)^n\ ,
\end{eqnarray*}
and
$$
h_X(z) = h_Y(z) = (pz + q)^n\ .
$$
Hence, we have
$$
g_Z(t) = g_X(t) g_Y(t) = (pe^t + q)^{2n}\ ,
$$
or, what is the same,
\begin{eqnarray*}
h_Z(z) &=& h_X(z) h_Y(z) = (pz + q)^{2n} \\
       &=& \sum_{j = 0}^{2n} {2n \choose j} (pz)^j q^{2n - j}\ ,
\end{eqnarray*}
from which we can see that the coefficient of~$z^j$ is just $p_Z(j) =
{2n \choose j} p^j q^{2n - j}$.
\end{example}

\begin{example}\label{exam 10.6}
If $X$~and~$Y$ are independent discrete random variables with the non-negative
integers $\{0,1,2,3,\ldots\}$ as range, and with geometric distribution function
$$p_X(j) = p_Y(j) = q^j p\ ,$$
then
$$
g_X(t) = g_Y(t) = \frac p{1 - qe^t}\ ,
$$
and if $Z = X + Y$, then
\begin{eqnarray*}
g_Z(t) &=& g_X(t) g_Y(t) \\
       &=& \frac{p^2}{1 - 2qe^t + q^2 e^{2t}}\ .
\end{eqnarray*}
If we replace $e^t$ by~$z$, we get
\begin{eqnarray*}
h_Z(z) &=& \frac{p^2}{(1 - qz)^2} \\
       &=& p^2 \sum_{k = 0}^\infty (k + 1) q^k z^k\ ,
\end{eqnarray*}
and we can read off the values of~$p_Z(j)$ as the coefficient of~$z^j$ in this
expansion for~$h(z)$, even though $h(z)$ is not a polynomial in this case.  The
distribution $p_Z$ is a negative binomial distribution (see
Section~\ref{sec 5.1}).
\end{example}

Here is a more interesting example of the power and scope of the method of
generating functions.

\subsection*{Heads or Tails}
\begin{example}\label{exam 10.1.7}
In the coin-tossing game discussed in Example~\ref{exam 1.3}, we now consider the
question ``When is Peter first in the lead?"
\par
Let $X_k$ describe the outcome of the $k$th trial in the game
$$
X_k = \left \{ \matrix{
               +1,  &\mbox{if}\,\, k{\rm th}\,\, \mbox{toss~is~heads}, \cr
               -1,  &\mbox{if}\,\, k{\rm th}\,\, \mbox{toss~is~tails.}\cr}\right.
$$
Then the $X_k$ are independent random variables describing a Bernoulli
process.  Let $S_0 = 0$, and, for $n \geq 1$, let
$$S_n = X_1 + X_2 + \cdots + X_n\ .$$
Then $S_n$ describes Peter's fortune after $n$ trials, and Peter is first in
the lead after $n$ trials if $S_k \leq 0$ for $1 \leq k < n$ and $S_n = 1$.
\par
Now this can happen when $n = 1$, in which case $S_1 = X_1 = 1$, or when $n >
1$, in which case $S_1 = X_1 = -1$.  In the latter case, $S_k = 0$ for $k = n -
1$, and perhaps for other $k$ between 1~and~$n$.  Let $m$ be the \emx {least}
such value of~$k$; then $S_m = 0$ and $S_k < 0$ for $1 \leq k < m$.  In this
case Peter loses on the first trial, regains his initial position in the next
$m - 1$ trials, and gains the lead in the next $n - m$ trials.
\par
Let $p$ be the probability that the coin comes up heads, and let $q = 1-p$.
Let $r_n$ be the probability that Peter is first in the lead after $n$ trials.
Then from the discussion above, we see that
\begin{eqnarray*}
r_n &=& 0\ , \qquad \mbox{if}\,\, n\,\, \mbox{even}, \\
r_1 &=& p \qquad  (= \mbox{probability~of~heads~in~a~single~toss)}, \\
r_n &=& q(r_1r_{n-2} + r_3r_{n-4} +\cdots+ r_{n-2}r_1)\ , \qquad \mbox{if}
\ n > 1,\ n\ \mbox{odd}.
\end{eqnarray*}
Now let $T$ describe the time (that is, the number of trials) required for
Peter to take the lead.  Then $T$ is a random variable, and since $P(T = n) =
r_n$, $r$ is the distribution function for~$T$.

We introduce the generating function $h_T(z)$ for~$T$:
$$
h_T(z) = \sum_{n = 0}^\infty r_n z^n\ .
$$
Then, by using the relations above, we can verify the relation
$$
h_T(z) = pz + qz(h_T(z))^2\ .
$$
If we solve this quadratic equation for~$h_T(z)$, we get
$$
h_T(z) = \frac{1 \pm \sqrt{1 - 4pqz^2}}{2qz} = \frac{2pz}{1 \mp \sqrt{1 -
4pqz^2}}\ .
$$
Of these two solutions, we want the one that has a convergent power series
in~$z$ (i.e., that is finite for $z = 0$).  Hence we choose
$$
h_T(z) = \frac{1 - \sqrt{1 - 4pqz^2}}{2qz} = \frac{2pz}{1 + \sqrt{1 - 4pqz^2}}\ .
$$
Now we can ask: What is the probability that Peter is \emx {ever} in the
lead?  This probability is given by (see Exercise~\ref{exer 10.1.10})
\begin{eqnarray*}
\sum_{n = 0}^\infty r_n &=& h_T(1) = \frac{1 - \sqrt{\mathstrut1 - 4pq}}{2q} \\
                        &=& \frac{1 - |p - q|}{2q} \\
                        &=& \left \{ \begin{array}{ll}
                                   p/q, & \mbox{if $p < q$},     \\
                                     1, & \mbox{if $p \geq q$}, \end{array}\right.
\end{eqnarray*}
so that Peter is sure to be in the lead eventually if $p \geq q$.
\par
How long will it take?  That is, what is the expected value of~$T$?  This value
is given by
$$
E(T) = h_T'(1) = \left \{ \matrix {
                          1/(p - q),  & \mbox{if}\,\, p > q, \cr
                          \infty,     & \mbox{if}\,\, p = q.\cr}\right.
$$
This says that if $p > q$, then Peter can expect to be in the lead by about
$1/(p - q)$ trials, but if $p = q$, he can expect to wait a long time.
\par
A related problem, known as the Gambler's Ruin problem, is studied in Exercise~\ref{exer
11.2.22} and in Section~\ref{sec 12.2}.
\end{example}

\exercises
\begin{LJSItem}

\i\label{exer 10.1.1} Find the generating functions, both ordinary $h(z)$
and moment $g(t)$, for the following discrete probability distributions.
\begin{enumerate}
\item The distribution describing a fair coin.

\item The distribution describing a fair die.

\item The distribution describing a die that always comes up 3.

\item The uniform distribution on the set $\{n,n+1,n+2,\ldots,n+k\}$.

\item The binomial distribution on $\{n,n+1,n+2,\ldots,n+k\}$.

\item The geometric distribution on $\{0,1,2,\ldots,\}$ with $p(j) = 2/3^{j + 1}$.
\end{enumerate}

\i\label{exer 10.1.2} For each of the distributions (a) through (d) of Exercise~\ref{exer
10.1.1} calculate the first and second moments, $\mu_1$~and~$\mu_2$, directly from their
definition, and verify that $h(1) = 1$, $h'(1) = \mu_1$, and $h''(1) = \mu_2 -
\mu_1$.

\i\label{exer 10.1.3} Let $p$ be a probability distribution on $\{0,1,2\}$ with
moments $\mu_1 = 1$, $\mu_2 = 3/2$.
\begin{enumerate}
\item Find its ordinary generating function $h(z)$.

\item Using (a), find its moment generating function.

\item Using (b), find its first six moments.

\item Using (a), find $p_0$, $p_1$, and $p_2$.
\end{enumerate}

\i\label{exer 10.1.4} In Exercise~\ref{exer 10.1.3}, the probability distribution is
completely determined by its first two moments.  Show that this is always true for any
probability distribution on $\{0,1,2\}$.  \emx {Hint}: Given $\mu_1$~and~$\mu_2$,
find $h(z)$ as in Exercise~\ref{exer 10.1.3} and use $h(z)$ to determine $p$.

\i\label{exer 10.1.5} Let $p$ and $p'$ be the two distributions

$$
p = \pmatrix{
1 & 2 & 3 & 4 & 5 \cr
1/3 & 0 & 0 & 2/3 & 0 \cr}\ ,
$$

$$p' = \pmatrix{
1 & 2 & 3 & 4 & 5 \cr
0 & 2/3 & 0 & 0 & 1/3 \cr}\ .
$$
\begin{enumerate}
\item Show that $p$ and $p'$ have the same first and second moments, but not
the same third and fourth moments.

\item Find the ordinary and moment generating functions for $p$~and~$p'$.
\end{enumerate}

\i\label{exer 10.1.6} Let $p$ be the probability distribution

$$
p = \pmatrix{
0 & 1 & 2 \cr
0 & 1/3 & 2/3 \cr}\ ,
$$
and let $p_n = p * p * \cdots * p$ be the $n$-fold convolution of~$p$ with
itself.
\begin{enumerate}
\item Find $p_2$ by direct calculation (see Definition~\ref{defn 7.1}).

\item Find the ordinary generating functions $h(z)$ and $h_2(z)$ for
$p$~and~$p_2$, and verify that $h_2(z) = (h(z))^2$.

\item Find $h_n(z)$ from $h(z)$.

\item Find the first two moments, and hence the mean and variance, of $p_n$
from~$h_n(z)$.  Verify that the mean of~$p_n$ is $n$ times the mean of~$p$.

\item Find those integers~$j$ for which $p_n(j) > 0$ from $h_n(z)$.
\end{enumerate}

\i\label{exer 10.1.7} Let $X$ be a discrete random variable with values in
$\{0,1,2,\ldots,n\}$ and moment generating function $g(t)$.  Find, in terms
of~$g(t)$, the generating functions for
\begin{enumerate}
\item $-X$.

\item $X + 1$.

\item $3X$.

\item $aX + b$.
\end{enumerate}

\i\label{exer 10.1.8} Let $X_1$,~$X_2$, \ldots,~$X_n$ be an independent trials
process, with values in $\{0,1\}$ and mean $\mu = 1/3$.  Find the ordinary and
moment generating functions for the distribution of
\begin{enumerate}
\item $S_1 = X_1$. \emx {Hint}: First find $X_1$ explicitly.

\item $S_2 = X_1 + X_2$.

\item $S_n = X_1 + X_2 +\cdots+ X_n$.
\end{enumerate}

\i\label{exer 10.1.9} Let $X$ and $Y$ be random variables with values in
$\{1,2,3,4,5,6\}$ with distribution functions $p_X$~and~$p_Y$ given by
\begin{eqnarray*}
p_X(j) &=& a_j\ , \\
p_Y(j) &=& b_j\ .
\end{eqnarray*}
\begin{enumerate}
\item Find the ordinary generating functions $h_X(z)$ and $h_Y(z)$ for these
distributions.

\item Find the ordinary generating function $h_Z(z)$ for the distribution $Z = X
+ Y$.

\item Show that $h_Z(z)$ cannot ever have the form
$$
h_Z(z) = \frac{z^2 + z^3 +\cdots+ z^{12}}{11}\ .
$$
\end{enumerate}
\noindent \emx {Hint}: $h_X$ and $h_Y$ must have at least one nonzero root, but
$h_Z(z)$ in the form given has no nonzero real roots.

It follows from this observation that there is no way to load two dice so that
the probability that a given sum will turn up when they are tossed is the same
for all sums (i.e., that all outcomes are equally likely).

\i\label{exer 10.1.10} Show that if
$$
h(z) = \frac{1 - \sqrt{1 - 4pqz^2}}{2qz}\ ,
$$
then
$$
 h(1) = \left \{ \begin{array}{ll}
               p/q, &  \mbox{if $p \leq q,$}  \\
                 1, &  \mbox{if $p \geq q,$} \end{array}\right.
$$
and
$$
 h'(1) = \left \{ \begin{array}{ll}
                1/(p - q), &  \mbox{if $p > q,$}\\
                   \infty, &  \mbox{if $p = q.$} \end{array}\right.
$$

\i\label{exer 10.1.14} Show that if $X$ is a random variable with mean~$\mu$
and variance~$\sigma^2$, and if $X^* = (X - \mu)/\sigma$ is the standardized
version of~$X$, then
$$
g_{X^*}(t) = e^{-\mu t/\sigma} g_X\left( \frac t\sigma \right)\ .
$$
\end{LJSItem}

\section{Branching Processes}\label{sec 10.2}\index{branching process}
\subsection*{Historical Background}
In this section we apply the theory of generating functions to the study of an
important chance process called a \emx {branching process.}

Until recently it was thought that the theory of branching processes originated
with the following problem posed by Francis Galton\index{GALTON, F.} in the \emx {Educational
Times} in 1873.\footnote{D.~G. Kendall, ``Branching Processes Since
1873," \emx {Journal of London Mathematics Society,} vol.~41 (1966), p.~386.}
\begin{quote}
Problem 4001: A large nation, of whom we will only concern ourselves with the
adult males, $N$ in number, and who each bear separate surnames, colonise a
district.  Their law of population is such that, in each generation, $a_0$
per cent of the adult males have no male children who reach adult life;
$a_1$ have one such male child; $a_2$ have two; and so on up to
$a_5$ who have five.

Find (1)~what proportion of the surnames will have become extinct after $r$
generations; and (2)~how many instances there will be of the same surname being
held by $m$ persons.
\end{quote}

The first attempt at a solution was given by Reverend H.~W. Watson.\index{WATSON, H. W.}
Because of a mistake in algebra, he incorrectly concluded that a family name would always
die out with probability~1.  However, the methods that he employed to solve the
problems were, and still are, the basis for obtaining the correct solution.
\par
Heyde\index{HEYDE, C.} and Seneta\index{SENETA, E.} discovered an earlier communication by
Bienaym\'e\index{BIENAYM\'E, I.} (1845) that anticipated Galton and Watson by 28~years.
Bienaym\'e showed, in fact, that he was aware of the correct solution to Galton's problem.
Heyde and Seneta in their book \emx {I.~J. Bienaym\'e: Statistical Theory
Anticipated,}\footnote{C.~C. Heyde and E. Seneta, \emx {I.~J. Bienaym\'e:
Statistical Theory Anticipated} (New York: Springer Verlag, 1977).} give the
following translation from Bienaym\'e's paper:

\begin{quote}
If \dots the mean of the number of male children who replace the number of
males of the preceding generation were less than unity, it would be easily
realized that families are dying out due to the disappearance of the members of
which they are composed.  However, the analysis shows further that when this
mean is equal to unity families tend to disappear, although less rapidly \dots.

The analysis also shows clearly that if the mean ratio is greater than unity,
the probability of the extinction of families with the passing of time no
longer reduces to certainty.  It only approaches a finite limit, which is
fairly simple to calculate and which has the singular characteristic of being
given by one of the roots of the equation (in which the number of generations
is made infinite) which is not relevant to the question when the mean ratio is
less than unity.\footnote{ibid., pp.~117--118.}
\end{quote}

Although Bienaym\'e does not give his reasoning for these results, he did
indicate that he intended to publish a special paper on the problem.  The paper
was never written, or at least has never been found.  In his communication
Bienaym\'e indicated that he was motivated by the same problem that occurred to
Galton.  The opening paragraph of his paper as translated by Heyde and Seneta
says,

\begin{quote}
A great deal of consideration has been given to the possible multiplication of
the numbers of mankind; and recently various very curious observations have
been published on the fate which allegedly hangs over the aristocrary and
middle classes; the families of famous men, etc.  This fate, it is alleged,
will inevitably bring about the disappearance of the so-called \emx {families
ferm\'ees.}\footnote{ibid., p.~118.}
\end{quote}

A much more extensive discussion of the history of branching processes may be
found in two papers by David G. Kendall.\index{KENDALL, D. G.}\footnote{D.~G.~Kendall,
``Branching Processes Since 1873," pp.~385--406; and ``The Genealogy of Genealogy:
Branching Processes Before (and After) 1873," \emx {Bulletin London Mathematics
Society,} vol.~7 (1975), pp.~225--253.}

Branching processes have served not only as crude models for population growth
but also as models for certain physical processes such as chemical and nuclear
chain reactions.

\subsection*{Problem of Extinction}\index{extinction, problem of}
We turn now to the first problem posed by Galton (i.e., the problem of finding
the probability of extinction for a branching process).  We start in the
0th generation with 1 male parent.  In the first generation we shall have 0,~1,
2, 3,~\ldots\ male offspring with probabilities $p_0$,~$p_1$, $p_2$,
$p_3$,~\ldots.  If in the first generation there are $k$ offspring, then in the
second generation there will be $X_1 + X_2 +\cdots+ X_k$ offspring, where
$X_1$,~$X_2$, \ldots,~$X_k$ are independent random variables, each with the
common distribution $p_0$,~$p_1$, $p_2$,~\ldots.  This description enables us to
construct a tree, and a tree measure, for any number of generations.

\subsection*{Examples}

\begin{example}\label{exam 10.2.1}
Assume that $p_0 = 1/2$, $p_1 = 1/4$, and $p_2 = 1/4$.  Then the tree measure
for the first two generations is shown in Figure~\ref{fig 10.1}.

\putfig{3truein}{PSfig10-1}
{Tree diagram for Example~\protect\ref{exam 10.2.1}\protect.}{fig 10.1}

Note that we use the theory of sums of independent random variables to assign
branch probabilities.  For example, if there are two offspring in the first
generation, the probability that there will be two in the second generation is
\begin{eqnarray*}
P(X_1 + X_2 = 2) &=& p_0p_2 + p_1p_1 + p_2p_0 \\
                 &=& \frac12\cdot\frac14 + \frac14\cdot\frac14 +
\frac14\cdot\frac12 = \frac 5{16}\ .
\end{eqnarray*}
\par
We now study the probability that our process dies out (i.e., that at some
generation there are no offspring).
\par
Let $d_m$ be the probability that the process dies out by the $m$th
generation.  Of course, $d_0 = 0$.  In our example, $d_1 = 1/2$ and $d_2 = 1/2
+ 1/8 + 1/16 = 11/16$ (see Figure~\ref{fig 10.1}).  Note that we must add the
probabilities for all paths that lead to~0 by the $m$th generation.  It is
clear from the definition that
$$
0 = d_0 \leq d_1 \leq d_2 \leq\cdots\leq 1\ .
$$
Hence, $d_m$ converges to a limit $d$, $0 \leq d \leq 1$, and $d$ is the
probability that the process will ultimately die out.  It is this value that we
wish to determine.  We begin by expressing the value $d_m$ in terms of all
possible outcomes on the first generation.  If there are $j$ offspring in the
first generation, then to die out by the $m$th generation, each of these lines
must die out in $m - 1$ generations.  Since they proceed independently, this
probability is $(d_{m - 1})^j$.  Therefore

\begin{equation}
d_m = p_0 + p_1d_{m - 1} + p_2(d_{m - 1})^2 + p_3(d_{m - 1})^3 +\cdots\ .
\label{eq 10.2.1}
\end{equation}
Let $h(z)$ be the ordinary generating function for the $p_i$:
$$
h(z) = p_0 + p_1z + p_2z^2 +\cdots\ .
$$
Using this generating function, we can rewrite Equation~\ref{eq 10.2.1} in the form

\begin{equation}
d_m = h(d_{m - 1})\ .
\label{eq 10.2.2}
\end{equation}

Since $d_m \to d$, by Equation~\ref{eq 10.2.2} we see that the value~$d$ that we are
looking for satisfies the equation

\begin{equation}
d = h(d)\ .
\label{eq 10.2.3}
\end{equation}

One solution of this equation is always $d = 1$, since
$$
1 = p_0 + p_1 + p_2 +\cdots\ .
$$
This is where Watson made his mistake.  He assumed that 1 was the only solution
to Equation~\ref{eq 10.2.3}.  To examine this question more carefully, we first note
that solutions to Equation~\ref{eq 10.2.3} represent intersections of the graphs of
$$
y = z
$$
and
$$
y = h(z) = p_0 + p_1z + p_2z^2 +\cdots\ .
$$
Thus we need to study the graph of $y = h(z)$.
We note  that $h(0) = p_0$.  Also,
\begin{equation}
h'(z) = p_1 + 2p_2z + 3p_3z^2 +\cdots\ ,  \label{eq 10.2.4}
\end{equation}
and
$$
h''(z) = 2p_2 + 3 \cdot 2p_3z + 4 \cdot 3p_4z^2 + \cdots\ .
$$
From this we see that for~$z \geq 0$, $h'(z) \geq 0$ and $h''(z) \geq 0$.  Thus
for nonnegative $z$, $h(z)$ is an increasing function and is concave upward.
Therefore the graph of $y = h(z)$ can intersect the line $y = z$ in at most two
points.  Since we know it must intersect the line $y = z$ at $(1,1)$, we know
that there are just three possibilities, as shown in Figure~\ref{fig 10.2}.
\putfig{4.5truein}{PSfig10-2}{Graphs of $y = z$ and $y = h(z)$.}{fig 10.2}
\par
In case (a)~the equation $d = h(d)$ has roots $\{d,1\}$ with $0 \leq d <
1$.  In the second case (b)~it has only the one root $d = 1$.  In case (c)~it
has two roots $\{1,d\}$ where $1 < d$.  Since we are looking for a solution $0
\leq d \leq 1$, we see in cases (b)~and~(c) that our only solution is~1.  In
these cases we can conclude that the process will die out with probability~1.
However in case~(a) we are in doubt.  We must study this case more carefully.
\par
From Equation~\ref{eq 10.2.4} we see that
$$
h'(1) = p_1 + 2p_2 + 3p_3 +\cdots= m\ ,
$$
where $m$ is the expected number of offspring produced by a single parent.  In
case~(a) we have $h'(1) > 1$, in~(b) $h'(1) = 1$, and in~(c) $h'(1) < 1$.  Thus
our three cases correspond to $m > 1$, $m = 1$, and $m < 1$.  We assume now
that $m > 1$.  Recall that $d_0 = 0$, $d_1 = h(d_0) = p_0$, $d_2 = h(d_1)$,
\ldots, and $d_n = h(d_{n - 1})$.  We can construct these values geometrically,
as shown in Figure~\ref{fig 10.3}.
\putfig{4truein}{PSfig10-3}{Geometric determination of $d$.}{fig 10.3}
\par
We can see geometrically, as indicated for $d_0$,~$d_1$, $d_2$, and~$d_3$ in
Figure~\ref{fig 10.3}, that the points $(d_i,h(d_i))$ will always lie above the line $y =
z$.  Hence, they must converge to the first intersection of the curves $y = z$
and $y = h(z)$ (i.e., to the root $d < 1$).  This leads us to the following
theorem.
\end{example}
\begin{theorem}\label{thm 10.3}
Consider a branching process with generating function $h(z)$ for the number of
offspring of a given parent.  Let $d$ be the smallest root of the equation $z =
h(z)$.  If the mean number $m$ of offspring produced by a single parent is
${} \leq 1$, then $d = 1$ and the process dies out with probability~1.  If $m > 1$
then $d < 1$ and the process dies out with probability~$d$.
\end{theorem}

We shall often want to know the probability that a branching process dies out
by a particular generation, as well as the limit of these probabilities.  Let
$d_n$ be the probability of dying out by the $n$th generation.  Then we know
that $d_1 = p_0$.  We know further that $d_n = h(d_{n - 1})$ where $h(z)$ is the
generating function for the number of offspring produced by a single parent.
This makes it easy to compute these probabilities.
\par
The program {\bf Branch}\index{Branch (program)} calculates the values of~$d_n$.  We have run
this program for  12 generations for the case that a parent can produce at most two offspring
and the probabilities for the number produced are $p_0 = .2$, $p_1 = .5$, and $p_2 = .3$.  The
results are given in Table~\ref{table 10.1}.
\begin{table}
\centering
\begin{tabular}{crccclc}
\multicolumn{3}{c} {Generation} & \multicolumn{4}{c}{Probability of dying out}\\
\hline
&1  &&&& .2      \\
&2  &&&& .312    \\
&3  &&&& .385203 \\
&4  &&&& .437116 \\
&5  &&&& .475879 \\
&6  &&&& .505878 \\
&7  &&&& .529713 \\
&8  &&&& .549035 \\
&9  &&&& .564949 \\
&10 &&&& .578225 \\
&11 &&&& .589416 \\
&12 &&&& .598931
\end{tabular}
\caption{Probability of dying out.}
\label{table 10.1}
\end{table}
\par
We see that the probability of dying out by 12 generations is about~.6.  We
shall see in the next example that the probability of eventually dying out
is~2/3, so that even 12 generations is not enough to give an accurate estimate
for this probability.
\par
We now assume that at most two offspring can be produced.  Then
$$
h(z) = p_0 + p_1z + p_2z^2\ .
$$
In this simple case the condition $z = h(z)$ yields the equation
$$
d = p_0 + p_1d + p_2d^2\ ,
$$
which is satisfied by $d = 1$ and $d = p_0/p_2$.  Thus, in addition to the root
$d = 1$ we have the second root $d = p_0/p_2$.  The mean number~$m$ of offspring
produced by a single parent is
$$
m = p_1 + 2p_2 = 1 - p_0 - p_2 + 2p_2 = 1 - p_0 + p_2\ .
$$
Thus, if $p_0 > p_2$, $m < 1$ and the second root is ${} > 1$.  If $p_0 = p_2$,
we have a double root $d = 1$.  If $p_0 < p_2$, $m > 1$ and the second root~$d$
is less than~1 and represents the probability that the process will die out.

\begin{example}\label{exam 10.2.3}
Keyfitz\index{KEYFITZ, N.}\footnote{N. Keyfitz, \emx {Introduction to the Mathematics of
Population,} rev.~ed.\ (Reading, PA: Addison Wesley, 1977).} compiled and
analyzed data on the continuation of the female family line among Japanese
women.  His estimates at the basic probability distribution for the number of
female children born to Japanese women of ages 45--49 in 1960 are given in Table~\ref{table 10.2}.
\begin{table}
\centering
$$\begin{array}{rl}
p_0 &= .2092 \\
p_1 &= .2584 \\
p_2 &= .2360 \\
p_3 &= .1593 \\
p_4 &= .0828 \\
p_5 &= .0357 \\
p_6 &= .0133 \\
p_7 &= .0042 \\
p_8 &= .0011 \\
p_9 &= .0002 \\
p_{10} &= .0000\
\end{array}
$$
\caption{Distribution of number of female children.}
\label{table 10.2}
\end{table}

The expected number of girls in a family is then 1.837 so the probability~$d$
of extinction is less than~1.  If we run the program {\bf Branch}, we can estimate
that $d$ is in fact only about .324.
\end{example}

\subsection*{Distribution of Offspring}
So far we have considered only the first of the two problems raised by Galton,
namely the probability of extinction.  We now consider the second problem, that
is, the distribution of the number $Z_n$ of offspring in the $n$th generation.
The exact form of the distribution is not known except in very special cases.
We shall see, however, that we can describe the limiting behavior of~$Z_n$ as
$n \to \infty$.
\par
We first show that the generating function $h_n(z)$ of the distribution
of~$Z_n$ can be obtained from~$h(z)$ for any branching process.
\par
We recall that the value of the generating function at the value~$z$ for any
random variable~$X$ can be written as
$$
h(z) = E(z^X) = p_0 + p_1z + p_2z^2 +\cdots\ .
$$
That is, $h(z)$ is the expected value of an experiment which has outcome~$z^j$
with probability~$p_j$.
\par
Let $S_n = X_1 + X_2 +\cdots+ X_n$ where each
$X_j$ has the same integer-valued distribution $(p_j)$ with generating function
$k(z) = p_0 + p_1z + p_2z^2 +\cdots.$  Let $k_n(z)$ be the generating function
of~$S_n$.  Then using one of the properties of ordinary generating functions
discussed in Section~\ref{sec 10.1}, we have
$$k_n(z) = (k(z))^n\ ,$$
since the $X_j$'s are independent and all have the same distribution.
\par
Consider now the branching process $Z_n$.  Let $h_n(z)$ be the generating
function of~$Z_n$.  Then
\begin{eqnarray*}
h_{n + 1}(z) &=& E(z^{Z_{n + 1}}) \\
             &=& \sum_k E(z^{Z_{n + 1}} | Z_n = k) P(Z_n = k)\ .
\end{eqnarray*}
If $Z_n = k$, then $Z_{n + 1} = X_1 + X_2 +\cdots+ X_k$ where $X_1$,~$X_2$,
\ldots,~$X_k$ are independent random variables with common generating function
$h(z)$.  Thus
$$
E(z^{Z_{n + 1}} | Z_n = k) = E(z^{X_1 + X_2 +\cdots+ X_k}) = (h(z))^k\ ,
$$
and
$$
h_{n + 1}(z) = \sum_k (h(z))^k P(Z_n = k)\ .
$$
But
$$
h_n(z) = \sum_k P(Z_n = k) z^k\ .
$$
Thus,
\begin{equation}
h_{n + 1}(z) = h_n(h(z))\ .
\label{eq 10.2.5}
\end{equation}
If we differentiate Equation~\ref{eq 10.2.5} and use the chain rule we have
$$
h'_{n+1}(z) = h'_n(h(z)) h'(z) .
$$
Putting $z = 1$ and using the fact that $h(1) = 1$, $h'(1) = m$, and $h_n'(1) = m_n =
{}$the mean number of offspring in the $n$'th generation, we have
$$
m_{n + 1} = m_n \cdot m\ .
$$
Thus, $m_2 = m \cdot m = m^2$, $m_3 = m^2 \cdot m = m^3$, and in general
$$
m_n = m^n\ .
$$
Thus, for a branching process with $m > 1$, the mean number of offspring grows
exponentially at a rate~$m$.

\subsection*{Examples}

\begin{example}\label{exam 10.2.3.5}
For the branching process of Example~\ref{exam 10.2.1} we have
\begin{eqnarray*}
  h(z) &=& 1/2 + (1/4)z + (1/4)z^2\ , \\
h_2(z) &=& h(h(z)) = 1/2 + (1/4)[1/2 + (1/4)z + (1/4)z^2] \\
       &=& + (1/4)[1/2 + (1/4)z + (1/4)z^2]^2 \\
       &=& 11/16 + (1/8)z + (9/64)z^2 + (1/32)z^3 + (1/64)z^4\ .
\end{eqnarray*}
The probabilities for the number of offspring in the second generation agree
with those obtained directly from the tree measure (see Figure~1).
\end{example}

It is clear that even in the simple case of at most two offspring, we cannot
easily carry out the calculation of~$h_n(z)$ by this method.  However, there is
one special case in which this can be done.

\begin{example}\label{exam 10.2.4}
Assume that the probabilities $p_1$,~$p_2$,~\ldots\ form a geometric series:
$p_k = bc^{k - 1}$, $k = 1$,~2,~\ldots, with $0 < b \leq 1 - c$ and $0 < c < 1$. Then we have
\begin{eqnarray*}
p_0 &=& 1 - p_1 - p_2 -\cdots \\
    &=& 1 - b - bc - bc^2 -\cdots \\
    &=& 1 - \frac b{1 - c}\ .
\end{eqnarray*}
The generating function $h(z)$ for this distribution is
\begin{eqnarray*}
h(z) &=& p_0 + p_1z + p_2z^2 +\cdots \\
     &=& 1 - \frac b{1 - c} + bz + bcz^2 + bc^2z^3 +\cdots \\
     &=& 1 - \frac b{1 - c} + \frac{bz}{1 - cz}\ .
\end{eqnarray*}
From this we find
$$
h'(z) = \frac{bcz}{(1 - cz)^2} + \frac b{1 - cz} = \frac b{(1 - cz)^2}
$$
and
$$
m = h'(1) = \frac b{(1 - c)^2}\ .
$$
We know that if $m \leq 1$ the process will surely die out and $d = 1$.  To
find the probability~$d$ when $m > 1$ we must find a root $d < 1$ of the equation
$$
z = h(z)\ ,
$$
or
$$
z = 1 - \frac b{1 - c} + \frac{bz}{1 - cz}.
$$
This leads us to a quadratic equation.  We know that $z = 1$ is one solution.
The other is found to be
$$
d = \frac{1 - b - c}{c(1 - c)}.
$$
It is easy to verify that $d < 1$ just when $m > 1$.

It is possible in this case to find the distribution of~$Z_n$.  This is done by
first finding the generating function $h_n(z)$.\footnote{T.~E. Harris, {\it
The Theory of Branching Processes} (Berlin: Springer, 1963), p.~9.}  The
result for $m \ne 1$ is:
$$
h_n(z) = 1 - m^n \left[\frac{1 - d}{m^n - d}\right] +
\frac{m^n \left[\frac{1 - d}{m^n - d}\right]^2 z}
{1 - \left[\frac{m^n - 1}{m^n - d}\right]z}\ .
$$
The coefficients of the powers of~$z$ give the distribution for~$Z_n$:

$$P(Z_n = 0) = 1 - m^n\frac{1 - d}{m^n - d} = \frac{d(m^n - 1)}{m^n - d}$$
\noindent and
$$P(Z_n = j) = m^n \Bigl(\frac{1 - d}{m^n - d}\Bigr)^2 \cdot
\Bigl(\frac{m^n - 1}{ m^n - d}\Bigr)^{j - 1},$$

\noindent for $j \geq 1$.
\end{example}

\begin{example}\label{exam 10.2.4.5}
Let us re-examine the Keyfitz data to see if a distribution of the type
considered in Example~\ref{exam 10.2.4} could reasonably be used as a model for this
population.  We would have to estimate from the data the parameters $b$~and~$c$
for the formula $p_k = bc^{k - 1}$.  Recall that
\begin{equation}
m = \frac b{(1 - c)^2}
\label{eq 10.2.7}
\end{equation}
and the probability~$d$ that the process dies out is
\begin{equation}
d = \frac{1 - b - c}{c(1 - c)}\ .  \label{eq 10.2.8}
\end{equation}
Solving Equation~\ref{eq 10.2.7} and \ref{eq 10.2.8} for $b$~and~$c$ gives
$$
c = \frac{m - 1}{m - d}
$$
\noindent and
$$
b = m\Bigl(\frac{1 - d}{m - d}\Bigr)^2\ .
$$

We shall use the value 1.837 for~$m$ and .324 for~$d$ that we found in the
Keyfitz example.  Using these values, we obtain $b = .3666$ and $c = .5533$.
Note that $(1 - c)^2 < b < 1 - c$, as required.  In Table~\ref{table 10.3}
 we give for
comparison the probabilities $p_0$ through $p_8$ as calculated by the geometric
distribution versus the empirical values.
\begin{table}
\centering
\begin{tabular}{rrc}  \hline
    &           & Geometric\\
$p_j$ &Data & Model   \\ \hline
0 & .2092 & .1816 \\
1 & .2584 & .3666 \\
2 & .2360 & .2028 \\
3 & .1593 & .1122 \\
4 & .0828 & .0621 \\
5 & .0357 & .0344 \\
6 & .0133 & .0190 \\
7 & .0042 & .0105 \\
8 & .0011 & .0058 \\
9 & .0002 & .0032 \\
10 & .0000 & .0018 \\\hline
\end{tabular}
\caption{Comparison of observed and expected frequencies.}
\label{table 10.3}
\end{table}
\par
The geometric model tends to favor the larger numbers of offspring but is
similar enough to show that this modified geometric distribution might be
appropriate to use for studies of this kind.

Recall that if $S_n = X_1 + X_2 +\cdots+ X_n$ is the sum of independent random
variables with the same distribution then the Law of Large Numbers states that
$S_n/n$ converges to a constant, namely $E(X_1)$.  It is natural to ask if
there is a similar limiting theorem for branching processes.

Consider a branching process with~$Z_n$ representing the number of offspring
after $n$ generations.  Then we have seen that the expected value of~$Z_n$
is~$m^n$.  Thus we can scale the random variable $Z_n$ to have expected value~1
by considering the random variable
$$
W_n = \frac{Z_n}{m^n}\ .
$$

In the theory of branching processes it is proved that this random variable
$W_n$ will tend to a limit as $n$ tends to infinity.  However, unlike the case
of the Law of Large Numbers where this limit is a constant, for a branching
process the limiting value of the random variables $W_n$ is itself a random
variable.

Although we cannot prove this theorem here we can illustrate it by simulation.
This requires a little care.  When a branching process survives, the number of
offspring is apt to get very large.  If in a given generation there are 1000
offspring, the offspring of the next generation are the result of 1000 chance
events, and it will take a while to simulate these 1000 experiments.  However,
since the final result is the sum of 1000 independent experiments we can use
the Central Limit Theorem to replace these 1000 experiments by a single
experiment with normal density having the appropriate mean and variance.  The
program {\bf BranchingSimulation}\index{BranchingSimulation (program)} carries out this process.
\par
We have run this program for the Keyfitz example, carrying out 10 simulations
and graphing the results in Figure~\ref{fig 10.4}.

\putfig{4.5truein}{PSfig10-4}{Simulation of $Z_n/m^n$ for the Keyfitz example.}{fig 10.4}

The expected number of female offspring per female is 1.837, so that we are
graphing the outcome for the random variables $W_n = Z_n/(1.837)^n$.  For three
of the simulations the process died out, which is consistent with the value $d
= .3$ that we found for this example.  For the other seven simulations the
value of~$W_n$ tends to a limiting value which is different for each simulation.
\end{example}

\begin{example}\label{exam 10.2.4.6}
We now examine the random variable $Z_n$ more closely for the case $m < 1$ (see
Example~\ref{exam 10.2.4}).  Fix a value $t > 0$; let $[tm^n]$ be the integer part of
$tm^n$.  Then
\begin{eqnarray*}
P(Z_n = [tm^n]) &=& m^n (\frac{1 - d}{m^n - d})^2 (\frac{m^n - 1}{m^n - d})
^{[tm^n] - 1} \\
                &=& \frac1{m^n}(\frac{1 - d}{1 - d/m^n})^2 (\frac{1 - 1/m^n} {1 -
d/m^n})^{tm^n + a}\ ,
\end{eqnarray*}
where $|a| \leq 2$.  Thus, as $n \to \infty$,
$$
m^n P(Z_n = [tm^n]) \to (1 - d)^2 \frac{e^{-t}}{e^{-td}} = (1 - d)^2 e^{-t(1 - d)}\ .
$$
For $t = 0$,
$$
P(Z_n = 0) \to d\ .
$$
We can compare this result with the Central Limit Theorem for sums~$S_n$ of
integer-valued independent random variables (see Theorem~\ref{thm 9.3.5}), which
states that if $t$ is an integer and $u = (t - n\mu)/\sqrt{\sigma^2 n}$, then
as $n \to \infty$,
$$
\sqrt{\sigma^2 n}\, P(S_n = u\sqrt{\sigma^2 n} + \mu n) \to \frac1{\sqrt{2\pi}}
e^{-u^2/2}\ .
$$
We see that the form of these statements are quite similar.  It is possible to
prove a limit theorem for a general class of branching processes that states
that under suitable hypotheses, as $n \to \infty$,
$$
m^n P(Z_n = [tm^n]) \to k(t)\ ,
$$
for $t > 0$, and
$$
P(Z_n = 0) \to d\ .
$$
However, unlike the Central Limit Theorem for sums of independent random
variables, the function $k(t)$ will depend upon the basic distribution that
determines the process.  Its form is known for only a very few examples similar
to the one we have considered here.
\end{example}

\subsection*{Chain Letter Problem}
\begin{example}\label{exam 10.2.5}
An interesting example of a branching process was suggested by Free
Huizinga.\index{HUIZINGA, F.}\footnote{Private communication.}  In 1978, a chain
letter\index{chain letter} called the ``Circle of Gold,"\index{Circle of Gold} believed to have
started in California,  found its way across the country to the theater district of New
York.  The chain required a participant to buy a letter containing a list of 12~names for
100~dollars.  The buyer gives 50~dollars to the person from whom the letter was purchased and
then sends 50~dollars to the person whose name is at the top of the list.  The
buyer then crosses off the name at the top of the list and adds her own name at
the bottom in each letter before it is sold again.

Let us first assume that the buyer may sell the letter only to a single
person.  If you buy the letter you will want to compute your expected
winnings.  (We are ignoring here the fact that the passing on of chain letters
through the mail is a federal offense with certain obvious resulting
penalties.)  Assume that each person involved has a probability~$p$ of selling
the letter.  Then you will receive 50~dollars with probability~$p$ and another
50~dollars if the letter is sold to 12~people, since then your name would have
risen to the top of the list.  This occurs with probability~$p^{12}$, and so
your expected winnings are $-100 + 50p + 50p^{12}$.  Thus the chain in this
situation is a highly unfavorable game.

It would be more reasonable to allow each person involved to make a copy of the
list and try to sell the letter to at least 2 other people.  Then you would
have a chance of recovering your 100~dollars on these sales, and if any of the
letters is sold 12 times you will receive a bonus of 50~dollars for each of
these cases.  We can consider this as a branching process with 12 generations.
The members of the first generation are the letters you sell.  The second
generation consists of the letters sold by members of the first generation, and
so forth.

Let us assume that the probabilities that each individual sells letters to
0,~1, or~2 others are $p_0$,~$p_1$, and~$p_2$, respectively.  Let $Z_1$,~$Z_2$,
\ldots,~$Z_{12}$ be the number of letters in the first 12 generations of this
branching process.  Then your expected winnings are
$$
50(E(Z_1) + E(Z_{12})) = 50m + 50m^{12}\ ,
$$
where $m = p_1 + 2p_2$ is the expected number of letters you sold.  Thus to be
favorable we just have
$$
50m + 50m^{12} > 100\ ,
$$
or
$$
m + m^{12} > 2\ .
$$
But this will be true if and only if $m > 1$.  We have seen that this will
occur in the quadratic case if and only if $p_2 > p_0$.  Let us assume for
example that $p_0 = .2$, $p_1 = .5$, and $p_2 = .3$.  Then $m = 1.1$ and the
chain would be a favorable game.  Your expected profit would be
$$
50(1.1 + 1.1^{12}) - 100 \approx 112\ .
$$

The probability that you receive at least one payment from the 12th generation
is $1 - d_{12}$.  We find from our program {\bf Branch} that $d_{12} =
.599$.  Thus, $1 - d_{12} = .401$ is the probability that you receive some
bonus.  The maximum that you could receive from the chain would be $50(2 +
2^{12}) = 204{,}900$ if everyone were to successfully sell two letters.  Of
course you can not always expect to be so lucky.  (What is the probability of
this happening?)

To simulate this game, we need only simulate a branching process for 12
generations.  Using a slightly modified version of our program {\bf
BranchingSimulation} we carried out twenty such simulations, giving the
 results shown in Table~\ref{table 10.4}.

Note that we were quite lucky on a few runs, but we came out ahead only a
little less than half the time.  The process died out by the twelfth generation
in 12 out of the 20 experiments, in good agreement with the probability $d_{12}
= .599$ that we calculated using the program {\bf Branch}.

%\vfill
%\newpage
%\begin{progout}
%\begin{verbatim}
%Finite density (0) or Poisson (1): 0
%Enter density p1, p2,..., pn: .2,.5,.3
%Mean: 1.1
\begin{table}
\centering
$$
\begin{tabular}{rrrrrrrrrrrrr}
$Z_{1}$&$Z_{2}$&$ Z_{3}$& $Z_{4}$& $Z_{5}$& $Z_{6}$& $Z_{7}$& $Z_{8}$& $Z_{9}$&$ Z_{10}$&$ Z_{11}$& $Z_{12}$& Profit\\\hline
1   &0   &0   &0   &0  & 0  & 0   &0   &0   &0   &0   &0   &-50\\
1   &1   &2   &3   &2  & 3  & 2   &1   &2   &3   &3   &6   &250\\
0   &0   &0   &0   &0  & 0  & 0   &0   &0   &0   &0   &0  &-100\\
2   &4   &4   &2   &3  & 4  & 4   &3   &2   &2   &1   &1  & 50\\
1   &2   &3   &5  & 4  & 3  & 3   &3   &5   &8   &6   &6  & 250\\
0   &0   &0   &0  & 0  & 0  & 0   &0   &0   &0   &0   &0  &-100\\
2   &3   &2   &2  & 2  & 1  & 2   &3   &3   &3   &4   &6  & 300\\
1   &2   &1   &1  & 1  & 1  & 2   &1   &0   &0   &0   &0  & -50\\
0   &0   &0   &0  & 0  & 0  & 0   &0   &0   &0   &0   &0  &-100\\
1   &0   &0   &0  & 0  & 0  & 0   &0   &0   &0   &0   &0  & -50\\
2   &3   &2   &3  & 3  & 3  & 5   &9  &12   &12  &13  &15 & 750\\
1   &1   &1   &0  & 0  & 0  & 0   &0   &0   &0   &0   &0  & -50\\
1   &2   &2   &3  & 3  & 0  & 0   &0   &0   &0   &0   &0  & -50\\
1   &1   &1   &1  & 2  & 2  & 3   &4   &4   &6   &4   &5  & 200\\
1   &1   &0   &0  & 0  & 0  & 0   &0   &0   &0   &0   &0  & -50\\
1   &0   &0   &0  & 0  & 0  & 0   &0   &0   &0   &0   &0  & -50\\
1   &0   &0   &0  & 0  & 0  & 0   &0   &0   &0   &0   &0  & -50\\
1   &1   &2   &3  & 3  & 4  & 2   &3   &3   &3   &3   &2  &  50\\
1   &2   &4   &6  & 6  & 9  &10   &13  &16  &17  &15  &18 &  850\\
1   &0   &0   &0  & 0  & 0  & 0   &0   &0   &0   &0   &0  & -50\\
\end{tabular}
$$
\caption{Simulation of chain letter (finite distribution case).}
\label{table 10.4}
\end{table}

Let us modify the assumptions about our chain letter to let the buyer sell the
letter to as many people as she can instead of to a maximum of two.  We shall
assume, in fact, that a person has a large number~$N$ of acquaintances and a
small probability~$p$ of persuading any one of them to buy the letter.  Then
the distribution for the number of letters that she sells will be a binomial
distribution with mean $m = Np$.  Since $N$ is large and $p$ is small, we can
assume that the probability~$p_j$ that an individual sells the letter to
$j$~people is given by the Poisson distribution
$$
p_j = \frac{e^{-m} m^j}{j!}\ .
$$
\newpage
\noindent
The generating function for the Poisson distribution is
\begin{eqnarray*}
h(z) &=& \sum_{j = 0}^\infty \frac{e^{-m} m^j z^j}{j!} \\
     &=& e^{-m} \sum_{j = 0}^\infty \frac{m^j z^j}{j!} \\
     &=& e^{-m} e^{mz} = e^{m(z - 1)}\ .
\end{eqnarray*}

The expected number of letters that an individual passes on is $m$, and again
to be favorable we must have $m > 1$.  Let us assume again that $m = 1.1$.
Then we can find again the probability $1 - d_{12}$ of a bonus from {\bf
Branch}.  The result is .232.  Although the expected winnings are the same, the
variance is larger in this case, and the buyer has a better chance for a
reasonably large profit.  We again carried out 20 simulations using the Poisson
distribution with mean 1.1.  The results are shown in Table~\ref{table 10.5}.
\begin{table}
\centering
$$
\begin{tabular}{rrrrrrrrrrrrr}
$Z_{1}$&$Z_{2}$&$ Z_{3}$& $Z_{4}$& $Z_{5}$& $Z_{6}$& $Z_{7}$& $Z_{8}$& $Z_{9}$&$ Z_{10}$&$ Z_{11}$& $Z_{12}$& Profit\\\hline
1   &2   &6   &7   &7  & 8  & 11  &9   &7   &6   &6   &5   & 200\\
1   &0   &0   &0   &0  & 0  & 0   &0   &0   &0   &0   &0   & -50\\
1   &0   &0   &0   &0  & 0  & 0   &0   &0   &0   &0   &0   & -50\\
1   &1   &1   &0   &0  & 0  & 0   &0   &0   &0   &0   &0   & -50\\
0   &0   &0   &0  & 0  & 0  & 0   &0   &0   &0   &0   &0   & -100\\
1   &1   &1   &1  & 1  & 1  & 2   &4   &9   &7   &9   &7   & 300\\
2   &3   &3   &4  & 2  & 0  & 0   &0   &0   &0   &0   &0   & 0\\
1   &0   &0   &0  & 0  & 0  & 0   &0   &0   &0   &0   &0   & -50\\
2   &1   &0   &0  & 0  & 0  & 0   &0   &0   &0   &0   &0   & 0\\
3   &3   &4   &7  & 11 & 17 & 14  &11  &11  &10  &16  &25  & 1300\\
0   &0   &0   &0  & 0  & 0  & 0   &0   &0   &0   &0   &0   & -100\\
1   &2   &2   &1  & 1  & 3  & 1   &0   &0   &0   &0   &0   & -50\\
0   &0   &0   &0  & 0  & 0  & 0   &0   &0   &0   &0   &0   & -100\\
2   &3   &1   &0  & 0  & 0  & 0   &0   &0   &0   &0   &0   & 0\\
3   &1   &0   &0  & 0  & 0  & 0   &0   &0   &0   &0   &0   & 50\\
1   &0   &0   &0  & 0  & 0  & 0   &0   &0   &0   &0   &0   & -50\\
3   &4   &4   &7  &10  &11  & 9   &11  &12  &14  &13  &10  & 550\\
1   &3   &3   &4  & 9  & 5  & 7   &9   &8   &8   &6   &3   & 100\\
1   &0   &4   &6  & 6  & 9  &10   &13  &0   &0   &0   &0   & -50\\
1   &0   &0   &0  & 0  & 0  & 0   &0   &0   &0   &0   &0   & -50\\
\end{tabular}
$$
\caption{Simulation of chain letter (Poisson case).}
\label{table 10.5}
\end{table}
\par
We note that, as before, we came out ahead less than half the time, but we also
had one large profit.  In only 6 of the 20 cases did we receive any profit.
This is again in reasonable agreement with our calculation of a probability
.232 for this happening.
\end{example}

\exercises
\begin{LJSItem}

\i\label{exer 10.2.1} Let $Z_1$,~$Z_2$, \ldots,~$Z_N$ describe a branching process in
which each parent has $j$~offspring with probability~$p_j$.  Find the probability~$d$
that the process eventually dies out if
\begin{enumerate}
\item $p_0 = 1/2$, $p_1 = 1/4$, and $p_2 = 1/4$.

\item $p_0 = 1/3$, $p_1 = 1/3$, and $p_2 = 1/3$.

\item $p_0 = 1/3$, $p_1 = 0$, and $p_2 = 2/3$.

\item $p_j = 1/2^{j + 1}$, for $j = 0$,~1, 2,~\ldots.

\item $p_j = (1/3)(2/3)^j$, for $j = 0$,~1, 2,~\ldots.

\item $p_j = e^{-2} 2^j/j!$, for $j = 0$,~1, 2,~\ldots\ (estimate $d$
numerically).
\end{enumerate}

\i\label{exer 10.2.2} Let $Z_1$,~$Z_2$, \ldots,~$Z_N$ describe a branching process in
which each parent has $j$~offspring with probability~$p_j$.  Find the probability~$d$ that
the process dies out if
\begin{enumerate}
\item $p_0 = 1/2$, $p_1 = p_2 = 0$, and $p_3 = 1/2$.

\item $p_0 = p_1 = p_2 = p_3 = 1/4$.

\item $p_0 = t$, $p_1 = 1 - 2t$, $p_2 = 0$, and $p_3 = t$, where $t \leq
1/2$.
\end{enumerate}

\i\label{exer 10.2.3} In the chain letter problem (see Example~\ref{exam 10.2.5}) find
your expected profit if
\begin{enumerate}
\item $p_0 = 1/2$, $p_1 = 0$, and $p_2 = 1/2$.

\item $p_0 = 1/6$, $p_1 = 1/2$, and $p_2 = 1/3$.
\end{enumerate}
Show that if $p_0 > 1/2$, you cannot expect to make a profit.

\i\label{exer 10.2.4} Let $S_N = X_1 + X_2 +\cdots+ X_N$, where the $X_i$'s are independent random
variables with common distribution having generating function $f(z)$.  Assume that $N$ is an integer
valued random variable independent of all of the $X_j$ and having generating function $g(z)$.
Show that the generating function for $S_N$ is $h(z) = g(f(z))$.  \emx {Hint}:
Use the fact that
$$
h(z) = E(z^{S_N}) = \sum_k E(z^{S_N} | N = k) P(N = k)\ .
$$

\i\label{exer 10.2.5} We have seen that if the generating function for the offspring of a
single parent is $f(z)$, then the generating function for the number of
offspring after two generations is given by $h(z) = f(f(z))$.  Explain how this
follows from the result of Exercise~\ref{exer 10.2.4}.

\i\label{exer 10.2.6} Consider a queueing process such that in each minute either 1~or~0 customers arrive with probabilities $p$ or
$q = 1 - p$, respectively.  (The number $p$ is called the \emx {arrival rate}.)
When a customer starts service she finishes in the next minute
with probability~$r$.  The number $r$ is called the \emx {service rate}.)
Thus when a customer begins being served she will finish
being served in $j$~minutes with probability $(1 - r)^{j -1}r$, for $j = 1$,~2,
3,~\ldots.
\begin{enumerate}
\item Find the generating function $f(z)$ for the number of customers who
arrive in one minute and the generating function $g(z)$ for the length of time
that a person spends in service once she begins service.

\i\label{exer 10.2.7} Consider a \emx {customer branching process}\index{branching
process!customer}\index{customer branching process} by considering the offspring of a customer
to be the customers who arrive while she is being served.  Using Exercise~\ref{exer 10.2.4},
show that the generating function for our customer branching process is $h(z) = g(f(z))$.

\i\label{exer 10.2.8} If we start the branching process with the arrival of the first
customer, then the length of time until the branching process dies out will be
the \emx {busy period} for the server.  Find a condition in terms of the
arrival rate and service rate that will assure that the server will
ultimately have a time when he is not busy.
\end{enumerate}

\i\label{exer 10.2.9} Let $N$ be the expected total number of offspring in a branching
process.  Let $m$ be the mean number of offspring of a single parent.  Show that
$$
N = 1 + \left(\sum p_k \cdot k\right) N = 1 + mN
$$
and hence that $N$ is finite if and only if $m < 1$ and in that case $N = 1/(1
- m)$.

\i\label{exer 10.2.10} Consider a branching process such that the number of offspring of a
parent is $j$ with probability $1/2^{j + 1}$ for $j = 0$,~1, 2,~\ldots.
\begin{enumerate}
\item Using the results of Example~\ref{exam 10.2.4} show that the probability that
there are $j$~offspring in the $n$th generation is
$$
p_j^{(n)} = \left \{ \begin{array}{ll}
                \frac{1}{n(n + 1)} (\frac {n}{n + 1})^j, & \mbox{if $ j \geq 1$}, \\
                                      \frac {n}{n + 1},  & \mbox{if $ j = 0$}.\end{array}\right.
$$

\item Show that the probability that the process dies out exactly at the
$n$th generation is $1/n(n + 1)$.

\item Show that the expected lifetime is infinite even though $d = 1$.
\end{enumerate}
\end{LJSItem}

\section[Continuous Densities]{Generating Functions for Continuous Densities}\label{sec
10.3}\index{generating function!for continuous density} In the previous section, we introduced
the concepts of moments and moment generating functions for discrete random variables.  These
concepts have natural analogues for continuous random variables, provided some care is taken
in arguments involving convergence.

\subsection*{Moments}
If $X$ is a continuous random variable defined on the probability
space~$\Omega$, with density function~$f_X$, then we define the $n$th moment\index{moments}
of~$X$ by the formula
$$
\mu_n = E(X^n) = \int_{-\infty}^{+\infty} x^n f_X(x)\, dx\ ,
$$
provided the integral
$$
\mu_n = E(X^n) = \int_{-\infty}^{+\infty} |x|^n f_X(x)\, dx\ ,
$$
is finite.  Then, just as in the discrete case, we see
that $\mu_0 = 1$, $\mu_1 = \mu$, and $\mu_2 - \mu_1^2 = \sigma^2$.

\subsection*{Moment Generating Functions}\index{moment generating function}\index{generating
function!moment} Now we define the \emx {moment generating function} $g(t)$ for~$X$ by the
formula
\begin{eqnarray*}
g(t) &=& \sum_{k = 0}^\infty \frac{\mu_k t^k}{k!} = \sum_{k = 0}^\infty
\frac{E(X^k) t^k}{k!} \\
     &=& E(e^{tX}) = \int_{-\infty}^{+\infty} e^{tx} f_X(x)\, dx\ ,
\end{eqnarray*}
provided this series converges.  Then, as before, we have
$$
\mu_n = g^{(n)}(0)\ .
$$

\subsection*{Examples}
\begin{example}\label{exam 10.3.1}
Let $X$ be a continuous random variable with range $[0,1]$ and density
function $f_X(x) = 1$ for $0 \leq x \leq 1$ (uniform density).  Then
$$
\mu_n = \int_0^1 x^n\, dx = \frac1{n + 1}\ ,
$$
and
\begin{eqnarray*}
g(t) &=& \sum_{k = 0}^\infty \frac{t^k}{(k+1)!}\\
     &=& \frac{e^t - 1}t\ .
\end{eqnarray*}
Here the series converges for all~$t$.  Alternatively, we have
\begin{eqnarray*}
g(t) &=& \int_{-\infty}^{+\infty} e^{tx} f_X(x)\, dx \\
     &=& \int_0^1 e^{tx}\, dx = \frac{e^t - 1}t\ .
\end{eqnarray*}
Then (by L'H\^opital's rule)
\begin{eqnarray*}
\mu_0 &=& g(0) = \lim_{t \to 0} \frac{e^t - 1}t = 1\ , \\
\mu_1 &=& g'(0) = \lim_{t \to 0} \frac{te^t - e^t + 1}{t^2} = \frac12\ , \\
\mu_2 &=& g''(0) = \lim_{t \to 0} \frac{t^3e^t - 2t^2e^t + 2te^t - 2t}{t^4} =
\frac13\ .
\end{eqnarray*}
In particular, we verify that $\mu = g'(0) = 1/2$ and
$$
\sigma^2 = g''(0) - (g'(0))^2 = \frac13 - \frac14 = \frac1{12}
$$
as before (see Example~\ref{exam 6.18.5}).
\end{example}

\begin{example}\label{exam 10.3.2}
Let $X$ have range $[\,0,\infty)$ and density function $f_X(x) = \lambda
e^{-\lambda x}$ (exponential density with parameter~$\lambda$).  In this case
\begin{eqnarray*}
\mu_n &=& \int_0^\infty x^n \lambda e^{-\lambda x}\, dx = \lambda(-1)^n
\frac{d^n}{d\lambda^n} \int_0^\infty e^{-\lambda x}\, dx \\
      &=& \lambda(-1)^n \frac{d^n}{d\lambda^n} [\frac1\lambda] = \frac{n!}
{\lambda^n}\ ,
\end{eqnarray*}
and
\begin{eqnarray*}
g(t) &=& \sum_{k = 0}^\infty \frac{\mu_k t^k}{k!} \\
     &=& \sum_{k = 0}^\infty [\frac t\lambda]^k = \frac\lambda{\lambda - t}\ .
\end{eqnarray*}
Here the series converges only for $|t| < \lambda$.  Alternatively, we have
\begin{eqnarray*}
g(t) &=& \int_0^\infty e^{tx} \lambda e^{-\lambda x}\, dx \\
     &=& \left.\frac{\lambda e^{(t - \lambda)x}}{t - \lambda}\right|_0^\infty =
\frac\lambda{\lambda - t}\ .
\end{eqnarray*}

Now we can verify directly that
$$
\mu_n = g^{(n)}(0) = \left.\frac{\lambda n!}{(\lambda - t)^{n + 1}}\right|_{t =
0} = \frac{n!}{\lambda^n}\ .
$$
\end{example}

\begin{example}\label{exam 10.3.3}
Let $X$ have range $(-\infty,+\infty)$ and density function
$$
f_X(x) = \frac1{\sqrt{2\pi}} e^{-x^2/2}
$$
(normal density).  In this case we have
\begin{eqnarray*}
\mu_n &=& \frac1{\sqrt{2\pi}} \int_{-\infty}^{+\infty} x^n e^{-x^2/2}\, dx \\
      &=& \left \{ \begin{array}{ll}
                        \frac{(2m)!}{2^{m} m!}, & \mbox{if $ n = 2m$,}\cr
                        0,                      & \mbox{if $ n = 2m+1$.}\end{array}\right.
\end{eqnarray*}
(These moments are calculated by integrating once by parts to show that $\mu_n
= (n - 1)\mu_{n - 2}$, and observing that $\mu_0 = 1$ and $\mu_1 = 0$.)  Hence,
\begin{eqnarray*}
g(t) &=& \sum_{n = 0}^\infty \frac{\mu_n t^n}{n!} \\
     &=& \sum_{m = 0}^\infty \frac{t^{2m}}{2^{m} m!} = e^{t^2/2}\ .
\end{eqnarray*}
This series converges for all values of~$t$.  Again we can verify that
$g^{(n)}(0) = \mu_n$.
\par
Let $X$ be a normal random variable with parameters $\mu$ and $\sigma$.  It is easy
to show that the moment generating function of $X$ is given by
$$e^{t\mu + (\sigma^2/2)t^2}\ .$$
Now suppose that $X$ and $Y$ are two independent normal random variables with
parameters $\mu_1$, $\sigma_1$, and $\mu_2$, $\sigma_2$, respectively.  Then,
the product of the moment generating functions of $X$ and $Y$ is
$$e^{t(\mu_1 + \mu_2) + ((\sigma_1^2 + \sigma_2^2)/2)t^2}\ .$$
This is the moment generating function for a normal random variable with mean
$\mu_1 + \mu_2$ and variance $\sigma_1^2 + \sigma_2^2$.  Thus, the sum
of two independent normal random variables is again normal.  (This was proved
for the special case that both summands are standard normal in Example~\ref{exam
7.8}.)
\end{example}

In general, the series defining $g(t)$ will not converge for all~$t$.  But in
the important special case where $X$ is bounded (i.e., where the range of~$X$
is contained in a finite interval), we can show that the series does converge
for all~$t$.

\begin{theorem}\label{thm 10.4}
Suppose $X$ is a continuous random variable with range contained in the
interval $[-M,M]$.  Then the series
$$
g(t) = \sum_{k = 0}^\infty \frac{\mu_k t^k}{k!}
$$
converges for all~$t$ to an infinitely differentiable function~$g(t)$, and
$g^{(n)}(0) = \mu_n$.
\proof
We have
$$
\mu_k = \int_{-M}^{+M} x^k f_X(x)\, dx\ ,
$$
so
\begin{eqnarray*}
|\mu_k| &\leq& \int_{-M}^{+M} |x|^k f_X(x)\, dx \\
        &\leq& M^k \int_{-M}^{+M} f_X(x)\, dx = M^k\ .
\end{eqnarray*}
Hence, for all~$N$ we have
$$
\sum_{k = 0}^N \left|\frac{\mu_k t^k}{k!}\right| \leq \sum_{k = 0}^N
\frac{(M|t|)^k}{k!} \leq e^{M|t|}\ ,
$$
which shows that the power series converges for all~$t$.  We know that the sum
of a convergent power series is always differentiable.
\end{theorem}

\subsection*{Moment Problem}\index{moment problem}

\begin{theorem}\label{thm 10.5}
If $X$ is a bounded random variable, then the moment generating function
$g_X(t)$ of~$x$ determines the density function $f_X(x)$ uniquely.
\vspace{.385in}

\noindent \emx {Sketch of the Proof.}~
We know that
\begin{eqnarray*}
g_X(t) &=& \sum_{k = 0}^\infty \frac{\mu_k t^k}{k!} \\
       &=& \int_{-\infty}^{+\infty} e^{tx} f(x)\, dx\ .
\end{eqnarray*}

%\subsection{Characteristic Functions}

\noindent If we replace $t$ by~$i\tau$, where $\tau$ is real and $i = \sqrt{-1}$, then
the series converges for all~$\tau$, and we can define the function
$$
k_X(\tau) = g_X(i\tau) = \int_{-\infty}^{+\infty} e^{i\tau x} f_X(x)\, dx\ .
$$

The function $k_X(\tau)$ is called the \emx {characteristic function}\index{characteristic
function} of~$X$, and is defined by the above equation even when the series for~$g_X$ does not
converge.  This equation says that $k_X$ is the \emx {Fourier transform}\index{Fourier
transform} of~$f_X$.  It is known that the Fourier transform has an inverse, given by the
formula
$$
f_X(x) = \frac1{2\pi} \int_{-\infty}^{+\infty} e^{-i\tau x} k_X(\tau)\, d\tau\ ,
$$
suitably interpreted.\footnote{H. Dym and H.~P. McKean, \emx {Fourier Series and
Integrals} (New York: Academic Press, 1972).}  Here we see that the
characteristic function~$k_X$, and hence the moment generating function~$g_X$,
determines the density function~$f_X$ uniquely under our hypotheses.
\end{theorem}

\subsection*{Sketch of the Proof of the Central Limit Theorem}
\index{Central Limit Theorem!proof of}
With the above result in mind, we can now sketch a proof of the Central Limit Theorem
for bounded continuous random variables (see Theorem~\ref{thm 9.4.7}).  To this end,
let $X$ be a continuous random variable with density function~$f_X$, mean $\mu
= 0$ and variance $\sigma^2 = 1$, and moment generating function~$g(t)$ defined
by its series for all~$t$.  Let $X_1$,~$X_2$, \ldots,~$X_n$ be an independent
trials process with each $X_i$ having density $f_X$, and let $S_n = X_1 + X_2
+\cdots+ X_n$, and $S_n^* = (S_n - n\mu)/\sqrt{n\sigma^2} = S_n/\sqrt n$.  Then
each $X_i$ has moment generating function~$g(t)$, and since the $X_i$ are
independent, the sum~$S_n$, just as in the discrete case (see Section~\ref{sec 10.1}),
has moment generating function
$$
g_n(t) = (g(t))^n\ ,
$$
and the standardized sum~$S_n^*$ has moment generating function
$$
g_n^*(t) = \left(g\left(\frac t{\sqrt n}\right)\right)^n\ .
$$

We now show that, as $n \to \infty$, $g_n^*(t) \to e^{t^2/2}$, where
$e^{t^2/2}$ is the moment generating function of the normal density $n(x) =
(1/\sqrt{2\pi}) e^{-x^2/2}$ (see Example~\ref{exam 10.3.3}).

To show this, we set $u(t) = \log g(t)$, and
\begin{eqnarray*}
u_n^*(t) &=& \log g_n^*(t) \\
         &=& n\log g\left(\frac t{\sqrt n}\right) = nu\left(\frac t{\sqrt n}\right)\ ,
\end{eqnarray*}
and show that $u_n^*(t) \to t^2/2$ as $n \to \infty$.  First we note that
\begin{eqnarray*}
  u(0) &=& \log g_n(0) = 0\ , \\
 u'(0) &=& \frac{g'(0)}{g(0)} = \frac{\mu_1}1 = 0\ , \\
u''(0) &=& \frac{g''(0)g(0) - (g'(0))^2}{(g(0))^2} \\
       &=& \frac{\mu_2 - \mu_1^2}1 = \sigma^2 = 1\ .
\end{eqnarray*}
Now by using L'H\^opital's rule twice, we get
\begin{eqnarray*}
\lim_{n \to \infty} u_n^*(t) &=& \lim_{s \to \infty} \frac{u(t/\sqrt s)}{s^{-1}}\\
     &=& \lim_{s \to \infty} \frac{u'(t/\sqrt s) t}{2s^{-1/2}} \\
     &=& \lim_{s \to \infty} u''\left(\frac t{\sqrt s}\right) \frac{t^2}2 = \sigma^2
\frac{t^2}2 = \frac{t^2}2\ .
\end{eqnarray*}
Hence, $g_n^*(t) \to e^{t^2/2}$ as $n \to \infty$.  Now to complete the proof
of the Central Limit Theorem, we must show that if $g_n^*(t) \to e^{t^2/2}$,
then under our hypotheses the distribution functions $F_n^*(x)$ of the $S_n^*$
must converge to the distribution function $F_N^*(x)$ of the normal
variable~$N$; that is, that
$$
F_n^*(a) = P(S_n^* \leq a) \to \frac1{\sqrt{2\pi}} \int_{-\infty}^a
e^{-x^2/2}\, dx\ ,
$$
and furthermore, that the density functions $f_n^*(x)$ of the $S_n^*$ must
converge to the density function for~$N$; that is, that
$$
f_n^*(x) \to \frac1{\sqrt{2\pi}} e^{-x^2/2}\ ,
$$
as $n \rightarrow \infty$.
\par
Since the densities, and hence the distributions, of the $S_n^*$ are uniquely
determined by their moment generating functions under our hypotheses, these
conclusions are certainly plausible, but their proofs involve a detailed
examination of characteristic functions and Fourier transforms, and we shall
not attempt them here.
\par
In the same way, we can prove the Central Limit Theorem for bounded discrete
random variables with integer values (see Theorem~\ref{thm 9.3.6}).  Let $X$ be a
discrete random variable with density function~$p(j)$, mean $\mu = 0$, variance
$\sigma^2 = 1$, and moment generating function $g(t)$, and let $X_1$,~$X_2$,
\ldots,~$X_n$ form an independent trials process with common density~$p$.  Let
$S_n = X_1 + X_2 +\cdots+ X_n$ and $S_n^* = S_n/\sqrt n$, with densities
$p_n$~and~$p_n^*$, and moment generating functions $g_n(t)$ and
$g_n^*(t) = \left(g(\frac t{\sqrt n})\right)^n.$
Then we have
$$
g_n^*(t) \to e^{t^2/2}\ ,
$$
just as in the continuous case, and this implies in the same way that the
distribution functions $F_n^*(x)$ converge to the normal distribution; that is,
that
$$
F_n^*(a) = P(S_n^* \leq a) \to \frac1{\sqrt{2\pi}} \int_{-\infty}^a
e^{-x^2/2}\, dx\ ,
$$
as $n \rightarrow \infty$.
\par
The corresponding statement about the distribution functions $p_n^*$, however,
requires a little extra care (see Theorem~\ref{thm 9.3.5}).  The trouble arises
because the distribution $p(x)$ is not defined for all~$x$, but only for
integer~$x$.  It follows that the distribution $p_n^*(x)$ is defined only for~$x$ of
the form $j/\sqrt n$, and these values change as $n$ changes.

We can fix this, however, by introducing the function $\bar p(x)$, defined
by the formula

$$
\bar p(x) =  \left \{ \begin{array}{ll}
                        p(j), & \mbox{if $j - 1/2 \leq x < j + 1/2$,} \cr
                         0\ , & \mbox{otherwise}.\end{array}\right.
$$
Then $\bar p(x)$ is defined for all~$x$, $\bar p(j) = p(j)$, and the
graph of $\bar p(x)$ is the step function for the distribution $p(j)$ (see Figure~3
of Section~\ref{sec 9.1}).

In the same way we introduce the step function $\bar p_n(x)$ and
$\bar p_n^*(x)$ associated with the distributions $p_n$~and~$p_n^*$, and their
moment generating functions $\bar g_n(t)$ and $\bar g_n^*(t)$.  If we
can show that $\bar g_n^*(t) \to e^{t^2/2}$, then we can conclude that
$$
\bar p_n^*(x) \to \frac1{\sqrt{2\pi}} e^{t^2/2}\ ,
$$
as $n \rightarrow \infty$, for all~$x$, a conclusion strongly suggested by
Figure~\ref{fig 9.2}.
\par
Now $\bar g(t)$ is given by
\begin{eqnarray*}
\bar g(t) &=& \int_{-\infty}^{+\infty} e^{tx} \bar p(x)\, dx \\
               &=& \sum_{j = -N}^{+N} \int_{j - 1/2}^{j + 1/2} e^{tx} p(j)\, dx\\
               &=& \sum_{j = -N}^{+N} p(j) e^{tj} \frac{e^{t/2} - e^{-t/2}}
{2t/2} \\
               &=& g(t) \frac{\sinh(t/2)}{t/2}\ ,
\end{eqnarray*}
where we have put
$$
\sinh(t/2) = \frac{e^{t/2} - e^{-t/2}}2\ .
$$
\par
In the same way, we find that
\begin{eqnarray*}
\bar g_n(t)   &=& g_n(t) \frac{\sinh(t/2)}{t/2}\ , \\
\bar g_n^*(t) &=& g_n^*(t) \frac{\sinh(t/2\sqrt n)}{t/2\sqrt n}\ .
\end{eqnarray*}
Now, as $n \to \infty$, we know that $g_n^*(t) \to e^{t^2/2}$, and, by
L'H\^opital's rule,
$$
\lim_{n \to \infty} \frac{\sinh(t/2\sqrt n)}{t/2\sqrt n} = 1\ .
$$
It follows that
$$
\bar g_n^*(t) \to e^{t^2/2}\ ,
$$
and hence that
$$
\bar p_n^*(x) \to \frac1{\sqrt{2\pi}} e^{-x^2/2}\ ,
$$
as $n \rightarrow \infty$.
The astute reader will note that in this sketch of the proof of Theorem~\ref{thm 9.3.5},
we never made use of the hypothesis that the greatest common divisor of the
differences of all the values that the $X_i$ can take on is~1.  This is a technical
point that we choose to ignore.  A complete proof may be found in Gnedenko and
Kolmogorov.\footnote{B.~V. Gnedenko and A.~N. Kolomogorov, \emx {Limit Distributions
for Sums of Independent Random Variables} (Reading: Addison-Wesley, 1968), p.~233.}

\subsection*{Cauchy Density}\index{Cauchy density}\index{density function!Cauchy}
The characteristic function of a continuous density is a useful tool even in
cases when the moment series does not converge, or even in cases when the
moments themselves are not finite.  As an example, consider the Cauchy density
with parameter $a = 1$ (see Example~\ref{exam 5.20})
$$
f(x) = \frac1{\pi(1 + x^2)}\ .
$$
If $X$ and $Y$ are independent random variables with Cauchy density~$f(x)$,
then the average $Z = (X + Y)/2$ also has Cauchy density~$f(x)$, that is,
$$
f_Z(x) = f(x)\ .
$$
This is hard to check directly, but easy to check by using characteristic
functions.  Note first that
$$
\mu_2 = E(X^2) = \int_{-\infty}^{+\infty} \frac{x^2}{\pi(1 + x^2)}\, dx = \infty
$$
so that $\mu_2$ is infinite.  Nevertheless, we can define the characteristic
function $k_X(\tau)$ of~$x$ by the formula
$$
k_X(\tau) = \int_{-\infty}^{+\infty} e^{i\tau x}\frac1{\pi(1 + x^2)}\, dx\ .
$$
This integral is easy to do by contour methods, and gives us
$$
k_X(\tau) = k_Y(\tau) = e^{-|\tau|}\ .
$$
Hence,
$$
k_{X + Y}(\tau) = (e^{-|\tau|})^2 = e^{-2|\tau|}\ ,
$$
and since
$$
k_Z(\tau) = k_{X + Y}(\tau/2)\ ,
$$
we have
$$
k_Z(\tau) = e^{-2|\tau/2|} = e^{-|\tau|}\ .
$$
This shows that $k_Z = k_X = k_Y$, and leads to the conclusions that $f_Z = f_X
= f_Y$.

It follows from this that if $X_1$,~$X_2$, \ldots,~$X_n$ is an independent
trials process with common Cauchy density, and if
$$
A_n = \frac{X_1 + X_2 + \cdots+ X_n}n
$$
is the average of the $X_i$, then $A_n$ has the same density as do the $X_i$.
This means that the Law of Large Numbers fails for this process; the
distribution of the average $A_n$ is exactly the same as for the individual
terms.  Our proof of the Law of Large Numbers fails in this case because the
variance of~$X_i$ is not finite.

\exercises
\begin{LJSItem}

\i\label{exer 10.3.1} Let $X$ be a continuous random variable with values in
$[\,0,2]$ and density~$f_X$.  Find the moment generating function~$g(t)$ for~$X$
if
\begin{enumerate}
\item $f_X(x) = 1/2$.

\item $f_X(x) = (1/2)x$.

\item $f_X(x) = 1 - (1/2)x$.

\item $f_X(x) = |1 - x|$.

\item $f_X(x) = (3/8)x^2$.
\end{enumerate}
\noindent \emx {Hint}: Use the integral definition, as in Examples~\ref{exam
10.3.1}~and~\ref{exam 10.3.2}.

\i\label{exer 10.3.2} For each of the densities in Exercise~\ref{exer 10.3.1} calculate
the first and second moments, $\mu_1$~and~$\mu_2$, directly from their definition and
verify that $g(0) = 1$, $g'(0) = \mu_1$, and $g''(0) = \mu_2$.

\i\label{exer 10.3.3} Let $X$ be a continuous random variable with values in
$[\,0,\infty)$ and density~$f_X$.  Find the moment generating functions for~$X$
if
\begin{enumerate}
\item $f_X(x) = 2e^{-2x}$.

\item $f_X(x) = e^{-2x} + (1/2)e^{-x}$.

\item $f_X(x) = 4xe^{-2x}$.

\item $f_X(x) = \lambda(\lambda x)^{n - 1} e^{-\lambda x}/(n - 1)!$.
\end{enumerate}

\i\label{exer 10.3.4} For each of the densities in Exercise~\ref{exer 10.3.3}, calculate
the first and second moments, $\mu_1$~and~$\mu_2$, directly from their definition and verify
that $g(0) = 1$, $g'(0) = \mu_1$, and $g''(0) = \mu_2$.

\i\label{exer 10.3.5} Find the characteristic function $k_X(\tau)$ for each of the random
variables~$X$ of Exercise~\ref{exer 10.3.1}.

\i\label{exer 10.3.6} Let $X$ be a continuous random variable whose characteristic function
$k_X(\tau)$ is
$$
k_X(\tau) = e^{-|\tau|}, \qquad -\infty < \tau < +\infty\ .
$$
Show directly that the density~$f_X$ of~$X$ is
$$
f_X(x) = \frac1{\pi(1 + x^2)}\ .
$$

\i\label{exer 10.3.7} Let $X$ be a continuous random variable with values in $[\,0,1]$,
uniform density function $f_X(x) \equiv 1$ and moment generating function $g(t) = (e^t
- 1)/t$.  Find in terms of~$g(t)$ the moment generating function for
\begin{enumerate}
\item $-X$.

\item $1 + X$.

\item $3X$.

\item $aX + b$.
\end{enumerate}

\i\label{exer 10.3.8} Let $X_1$,~$X_2$, \ldots,~$X_n$ be an independent trials process with
uniform density.  Find the moment generating function for
\begin{enumerate}
\item $X_1$.

\item $S_2 = X_1 + X_2$.

\item $S_n = X_1 + X_2 +\cdots+ X_n$.

\item $A_n = S_n/n$.

\item $S_n^* = (S_n - n\mu)/\sqrt{n\sigma^2}$.
\end{enumerate}

\i\label{exer 10.3.9} Let $X_1$,~$X_2$, \ldots,~$X_n$ be an independent trials process with
normal density of mean~1 and variance~2.  Find the moment generating function
for
\begin{enumerate}
\item $X_1$.

\item $S_2 = X_1 + X_2$.

\item $S_n = X_1 + X_2 +\cdots+ X_n$.

\item $A_n = S_n/n$.

\item $S_n^* = (S_n - n\mu)/\sqrt{n\sigma^2}$.
\end{enumerate}

\i\label{exer 10.3.10} Let $X_1$,~$X_2$, \ldots,~$X_n$ be an independent trials process with
density
$$
f(x) = \frac12 e^{-|x|}, \qquad -\infty < x < +\infty\ .
$$
\begin{enumerate}
\item Find the mean and variance of $f(x)$.

\item Find the moment generating function for $X_1$,~$S_n$, $A_n$,
and~$S_n^*$.

\item What can you say about the moment generating function of~$S_n^*$ as $n
\to \infty$?

\item What can you say about the moment generating function of~$A_n$ as $n
\to \infty$?
\end{enumerate}

\end{LJSItem}