Quant Sandbox
DerivativesPortfolio & RiskFixed IncomeCorporate FinanceProbability & MeasureStochastic ModelsMarket MicrostructureGuide
Guide
Derivatives pricing0 / 17
01Forwards, calls and puts02Combining positions03Arbitrage and the forward price04Put–call parity05The one-step binomial model06Risk-neutral probabilities07Multi-step trees and backward induction08American options and early exercise09Delta and hedging10Geometric Brownian motion11The Black–Scholes formula12The Greeks: gamma, vega, theta and rho13Options on dividend-paying stocks, indices, currencies and futures14Implied volatility and the volatility smile15Stochastic volatility and the Heston model16Static replication: Breeden–Litzenberger and Carr–Madan17Exotic options: barriers, Asians and digitals
Portfolio & risk0 / 12
01Returns and volatility02Diversification and correlation03The efficient frontier and the capital market line04Risk aversion and the optimal complete portfolio05CAPM, beta and the security market line06Performance measures: Sharpe, Treynor, Jensen and information ratio07Factor models and systematic risk08The Fama–French factor models09Value at Risk and expected shortfall10Systemic risk and contagion11Portfolio constraints and the no-short-sales frontier12Estimating expected returns and covariances
Fixed income0 / 10
01Bond prices and yields02Duration and convexity03Immunization and duration matching04Spot rates, forward rates and the yield curve05Non-parallel curve moves and key-rate durations06Bond futures and the cheapest-to-deliver07Interest rate swaps08Callable bonds and negative convexity09Credit risk: default probabilities and credit spreads10Real rates, inflation and inflation-linked bonds
Corporate finance0 / 10
01Interest, compounding and discounting02Annuities, perpetuities and loan amortization03Net present value and internal rate of return04Project risk: sensitivity, scenarios and Monte Carlo NPV05The weighted average cost of capital06Capital structure and the Modigliani–Miller theorems07Dividends, payout policy and the dividend discount model08Discounted cash flow valuation09Relative valuation with multiples10Real options: the value of flexibility
Probability and measure0 / 13
01Measuring the size of sets02σ-algebras and Borel sets03Lebesgue measure and null sets04Measurable functions05The Lebesgue integral06Convergence theorems07Probability spaces and Kolmogorov's axioms08Random variables and their distributions09Expectation, variance and inequalities10Independence and product measures11Modes of convergence and the law of large numbers12Conditional probability and conditional expectation13Measure theory in option pricing
Stochastic models0 / 17
01Random walks and Brownian motion02The law of large numbers and the central limit theorem03Probability spaces, σ-algebras and random variables04Filtrations, adapted processes and stopping times05Conditional expectation and martingales06Properties of Brownian motion07The reflection principle and first passage times08The Brownian bridge09The Itô integral10Itô's lemma11Kolmogorov equations and the Feynman–Kac formula12Change of measure and Girsanov's theorem13Monte Carlo option pricing14Simulating SDEs: the Euler–Maruyama scheme15Correlated Brownian motions and multi-asset models16Mean reversion: Ornstein–Uhlenbeck and Vasicek17Jumps and the Merton jump-diffusion model
Market microstructure0 / 11
01Market makers and liquidity02The limit order book03Queue position and fill probability04Adverse selection and informed trading05The Glosten–Milgrom model06Measuring and decomposing the bid–ask spread07Informed trading and Kyle's lambda08Price impact and optimal execution09Inventory risk and quote skewing10Optimal quoting: the Avellaneda–Stoikov model11Market making profit and loss attribution
Knowledge graph

© 2026 Quant Sandbox · A study aid for quantitative finance

Privacy & dataNo cookies

This site does not use cookies and asks for no personal data. It keeps a few small settings in your browser's local storage — your chosen theme and language, the sidebar layout, and your progress and answers in the Guides — so it remembers them on your next visit. This data never leaves your device; clearing your browser storage removes it. Inputs you change can also be captured in the page URL, so you can share or bookmark a specific setup. The site uses Vercel Web Analytics, a privacy-friendly, cookieless service that records only anonymous, aggregated usage (such as page views) without identifying you or tracking you across other sites.

Guides/Probability and measure/11

Modes of convergence and the law of large numbers

Lesson 11 of 13 · 1 min read

The lesson "Convergence theorems" studied sequences of functions on a measure space and asked when the integrals follow the functions to their limit. "Expectation, variance and inequalities" turned integrals over a probability space into expectations and supplied the inequalities of Markov and Chebyshev, and "Independence and product measures" showed that the variance of a sum of independent variables is the sum of the variances. This lesson uses these tools on sequences of random variables X1,X2,…X_1, X_2, \ldotsX1​,X2​,…. It first sorts out what "XnX_nXn​ converges to XXX" can mean, because for random variables there are four natural meanings and no two of them are equivalent. It then proves the weak law of large numbers, and states the strong law and the central limit theorem, which say in two different ways that averages of many independent trials settle down.

What convergence of random variables can mean

A random variable is a function Xn:Ω→RX_n : \Omega \to \mathbb{R}Xn​:Ω→R, so a sequence of random variables is a sequence of functions, and sequences of functions can approach a limit in more than one way. A picture helps. Think of ω\omegaω as a person drawn from a large population, and of Xn(ω)X_n(\omega)Xn​(ω) as that person's measurement in round number nnn. There are four sensible things one can ask of the rounds.

  • Almost surely: each person's own measurements settle down to a limit, except for a group of people of total probability zero.
  • In probability: in every single round, only a small fraction of the population is still far from the limit, although the people in that fraction may be different ones in every round.
  • In mean: the average size of the error, taken over the whole population, becomes small.
  • In distribution: the histogram of the measurements approaches a fixed shape, with no regard to who contributed which value.

The first mode follows individual outcomes, the second and third measure error round by round, and the fourth forgets outcomes altogether. The sections below define them one at a time. All examples live on the uniform probability space of "Probability spaces and Kolmogorov's axioms": Ω=[0,1]\Omega = [0, 1]Ω=[0,1] with Lebesgue measure as P\mathbb{P}P, and U(ω)=ωU(\omega) = \omegaU(ω)=ω the uniform random variable. Four sequences will recur: the powers UnU^nUn, the spike n1(0,1/n]n\mathbf{1}_{(0, 1/n]}n1(0,1/n]​ from "Convergence theorems", the typewriter sequence built in the third section, and a sequence of sign flips described in the fifth.

Almost sure convergence

The sequence XnX_nXn​ converges to XXX almost surely (a.s.) if

P({ω:Xn(ω)→X(ω)})=1.\mathbb{P}\big(\{\omega : X_n(\omega) \to X(\omega)\}\big) = 1.P({ω:Xn​(ω)→X(ω)})=1.

In words: for all outcomes outside a null set, the ordinary sequence of numbers X1(ω),X2(ω),…X_1(\omega), X_2(\omega), \ldotsX1​(ω),X2​(ω),… converges to the number X(ω)X(\omega)X(ω). This is the idea of "almost everywhere" from "Lebesgue measure and null sets", applied to a probability measure, and it is the mode in which ordinary calculus applies, one outcome at a time.

The powers UnU^nUn converge to 0 almost surely. For every ω<1\omega < 1ω<1 the numbers ωn\omega^nωn shrink to 0, so the only outcome where convergence fails is ω=1\omega = 1ω=1, a single point, which is a null set. The spike Xn=n1(0,1/n]X_n = n\mathbf{1}_{(0, 1/n]}Xn​=n1(0,1/n]​ converges to 0 at every outcome. For a given ω>0\omega > 0ω>0, the spike has moved to the left of ω\omegaω as soon as n>1/ωn > 1/\omegan>1/ω, and from then on Xn(ω)=0X_n(\omega) = 0Xn​(ω)=0 for good; at ω=0\omega = 0ω=0 the value is 0 for every nnn.

There is a useful way to say the same thing. A sequence of numbers converges to a limit exactly when, for every tolerance ε>0\varepsilon > 0ε>0, only finitely many terms are farther than ε\varepsilonε from the limit. So Xn→XX_n \to XXn​→X almost surely means that, for every ε>0\varepsilon > 0ε>0, the event "∣Xn−X∣>ε|X_n - X| > \varepsilon∣Xn​−X∣>ε happens for infinitely many nnn" has probability 0. The seventh section turns this form into a tool.

Convergence in probability

The sequence XnX_nXn​ converges to XXX in probability if, for every ε>0\varepsilon > 0ε>0,

P(∣Xn−X∣>ε)→0(n→∞).\mathbb{P}\big(|X_n - X| > \varepsilon\big) \to 0 \quad (n \to \infty).P(∣Xn​−X∣>ε)→0(n→∞).

This asks about one round at a time. For each nnn the set of bad outcomes, where XnX_nXn​ is farther than ε\varepsilonε from XXX, is just a set with a probability, and that probability must shrink. It does not ask the bad sets to be the same from round to round, or to fit together into one small set. The powers show a case where it holds: P(Un>0.1)=1−0.11/n\mathbb{P}(U^n > 0.1) = 1 - 0.1^{1/n}P(Un>0.1)=1−0.11/n, which is 0.20570.20570.2057 for n=10n = 10n=10 and 0.022760.022760.02276 for n=100n = 100n=100, and tends to 0.

A second sequence shows how much weaker this mode is. The typewriter sequence sweeps an interval across [0,1)[0, 1)[0,1), then sweeps a narrower one, and so on, like a carriage returning to the left margin after every line. Write each index as n=2k+jn = 2^k + jn=2k+j with 0≤j<2k0 \le j < 2^k0≤j<2k, so that kkk numbers the sweep and jjj the position inside it, and let

Xn=1[ j/2k,  (j+1)/2k ).X_n = \mathbf{1}_{[\,j/2^k,\;(j+1)/2^k\,)}.Xn​=1[j/2k,(j+1)/2k)​.

Sweep 000 is X1=1[0,1)X_1 = \mathbf{1}_{[0, 1)}X1​=1[0,1)​. Sweep 1 consists of X2=1[0,1/2)X_2 = \mathbf{1}_{[0, 1/2)}X2​=1[0,1/2)​ and X3=1[1/2,1)X_3 = \mathbf{1}_{[1/2, 1)}X3​=1[1/2,1)​. Sweep 2 is the four quarters of [0,1)[0, 1)[0,1) from left to right, and so on: sweep kkk cuts [0,1)[0, 1)[0,1) into 2k2^k2k pieces of length 2−k2^{-k}2−k and visits them in order. The intervals are half-open, so that a point such as 12\tfrac1221​ belongs to one piece of a sweep and not to two.

Then P(Xn≠0)=2−k\mathbb{P}(X_n \ne 0) = 2^{-k}P(Xn​=0)=2−k, and since k→∞k \to \inftyk→∞ as n→∞n \to \inftyn→∞, Xn→0X_n \to 0Xn​→0 in probability: for any ε<1\varepsilon < 1ε<1, the event ∣Xn∣>ε|X_n| > \varepsilon∣Xn​∣>ε is the event Xn=1X_n = 1Xn​=1. But look at a single outcome. Every sweep tiles [0,1)[0, 1)[0,1), so every ω\omegaω lies in exactly one interval of every sweep, and Xn(ω)=1X_n(\omega) = 1Xn​(ω)=1 for one nnn in every sweep, infinitely often in all. It also equals 0 infinitely often. The sequence of numbers X1(ω),X2(ω),…X_1(\omega), X_2(\omega), \ldotsX1​(ω),X2​(ω),… keeps jumping between 0 and 1 and converges for no ω\omegaω at all. Convergence in probability therefore does not imply almost sure convergence: in each round almost everybody is fine, but the small group that is not fine keeps moving, and visits everyone infinitely often.

Worked example

A member of the typewriter sequence

  1. Write n=10=23+2n = 10 = 2^3 + 2n=10=23+2: the sweep number is

    k=⌊log⁡210⌋\displaystyle k = \lfloor \log_2 10 \rfloork=⌊log2​10⌋=3
  2. The position inside the sweep is

    j=10−23\displaystyle j = 10 - 2^3j=10−23=2
  3. The interval starts at

    j/2k=2/8\displaystyle j/2^k = 2/8j/2k=2/8=0.25
  4. and ends at

    (j+1)/2k=3/8\displaystyle (j+1)/2^k = 3/8(j+1)/2k=3/8=0.375
  5. so X10X_{10}X10​ is not zero with probability

    2−3\displaystyle 2^{-3}2−3=0.125
  6. The outcome ω=0.3\omega = 0.3ω=0.3 lies in the interval of n=1,2,5n = 1, 2, 5n=1,2,5 and 101010 among n≤10n \le 10n≤10, which makes the number of nonzero values:

    #{m≤10:Xm(0.3)=1}\displaystyle \#\{m \le 10 : X_m(0.3) = 1\}#{m≤10:Xm​(0.3)=1}=4

The figure shows both the typewriter and the spike. The upper panel draws the function XnX_nXn​ on [0,1)[0, 1)[0,1), with the chosen outcome ω\omegaω marked by a vertical line. The lower panel plots the values X1(ω),…,X63(ω)X_1(\omega), \ldots, X_{63}(\omega)X1​(ω),…,X63​(ω), with the nonzero ones on the upper row and the current nnn ringed. Move nnn and watch the block slide along and shrink as the sweeps advance; its width is P(Xn≠0)\mathbb{P}(X_n \ne 0)P(Xn​=0). Then move ω\omegaω and check that a dot appears on the upper row once in every sweep, whichever outcome you pick. At the defaults, n=10n = 10n=10 and ω=0.3\omega = 0.3ω=0.3, the block is [0.25,0.375)[0.25, 0.375)[0.25,0.375), both P(X10≠0)\mathbb{P}(X_{10} \ne 0)P(X10​=0) and EX10\mathbb{E}X_{10}EX10​ equal 0.1250.1250.125, X10(0.3)=1X_{10}(0.3) = 1X10​(0.3)=1, and 4 of the first 10 values are nonzero. Switch to the spike: the block narrows to width 1/n1/n1/n and its height grows to nnn, the expectation stays 1, and at ω=0.3\omega = 0.3ω=0.3 the dots stop after n=3n = 3n=3.

The typewriter sequence of sliding indicatorsOpen in Convergence
10
163
0.300
00.99609375
0100.51≠ 00163
Xₙ ≠ 0 on
[0.250, 0.375)
ℙ(Xₙ ≠ 0)
0.125
𝔼Xₙ
0.125
Xₙ(ω)
1
Nonzero among X₁(ω), …, Xₙ(ω)
4

Pick a sequence, move n to slide along it, and move ω to choose the outcome. The upper panel is the function Xₙ; the dots below are X₁(ω) to X₆₃(ω), with the current n ringed and the typewriter's sweeps separated by dashed lines. Intervals are half-open, [j/2ᵏ, (j+1)/2ᵏ), so each ω lies in exactly one interval per sweep.

Convergence in mean

The sequence XnX_nXn​ converges to XXX in mean (in L1L^1L1) if the average distance goes to zero,

E∣Xn−X∣→0,\mathbb{E}|X_n - X| \to 0,E∣Xn​−X∣→0,

and in mean square (in L2L^2L2) if E∣Xn−X∣2→0\mathbb{E}|X_n - X|^2 \to 0E∣Xn​−X∣2→0. More generally, convergence in LpL^pLp asks that E∣Xn−X∣p→0\mathbb{E}|X_n - X|^p \to 0E∣Xn​−X∣p→0. These modes are about the integral of the error, so they see how large the error is as well as how likely it is. The typewriter converges to 0 in mean: E∣Xn∣=P(Xn=1)=2−k→0\mathbb{E}|X_n| = \mathbb{P}(X_n = 1) = 2^{-k} \to 0E∣Xn​∣=P(Xn​=1)=2−k→0. So mean convergence does not imply almost sure convergence either.

The spike gives the opposite failure. It converges to 0 at every outcome, but EXn=n⋅1n=1\mathbb{E}X_n = n \cdot \tfrac1n = 1EXn​=n⋅n1​=1 for every nnn, so E∣Xn−0∣=1\mathbb{E}|X_n - 0| = 1E∣Xn​−0∣=1 does not tend to 0. Almost sure convergence does not imply convergence in mean, and the cause is the one found in "Convergence theorems": all the mass of the spike escapes into a smaller and smaller set of very large values, and no integrable function dominates the sequence. In mean square it is worse, since EXn2=n2⋅1n=n\mathbb{E}X_n^2 = n^2 \cdot \tfrac1n = nEXn2​=n2⋅n1​=n grows without bound.

Two implications are quick. If Xn→XX_n \to XXn​→X in mean, then Markov's inequality from "Expectation, variance and inequalities" gives, for every ε>0\varepsilon > 0ε>0,

P(∣Xn−X∣>ε)≤E∣Xn−X∣ε→0,\mathbb{P}\big(|X_n - X| > \varepsilon\big) \le \frac{\mathbb{E}|X_n - X|}{\varepsilon} \to 0,P(∣Xn​−X∣>ε)≤εE∣Xn​−X∣​→0,

so convergence in mean implies convergence in probability. And mean square implies mean: Jensen's inequality for the convex function t↦t2t \mapsto t^2t↦t2 gives (E∣Y∣)2≤EY2(\mathbb{E}|Y|)^2 \le \mathbb{E}Y^2(E∣Y∣)2≤EY2, so E∣Xn−X∣≤E∣Xn−X∣2\mathbb{E}|X_n - X| \le \sqrt{\mathbb{E}|X_n - X|^2}E∣Xn​−X∣≤E∣Xn​−X∣2​. The same argument shows that LpL^pLp convergence implies LqL^qLq convergence for every q<pq < pq<p.

Convergence in distribution

The last mode forgets outcomes and keeps only the distribution functions, defined in "Random variables and their distributions". The sequence XnX_nXn​ converges to XXX in distribution if

Fn(x)→F(x)at every x where F is continuous,F_n(x) \to F(x) \quad \text{at every } x \text{ where } F \text{ is continuous},Fn​(x)→F(x)at every x where F is continuous,

with FnF_nFn​ the distribution function of XnX_nXn​ and FFF that of XXX. The restriction to continuity points is needed, and the reason is a simple example. The constants Xn=1/nX_n = 1/nXn​=1/n approach X=0X = 0X=0 as plainly as anything can. Yet Fn(0)=P(1/n≤0)=0F_n(0) = \mathbb{P}(1/n \le 0) = 0Fn​(0)=P(1/n≤0)=0 for every nnn, while F(0)=1F(0) = 1F(0)=1. At every x≠0x \ne 0x=0 the values Fn(x)F_n(x)Fn​(x) do approach F(x)F(x)F(x), so asking for convergence at the one jump of FFF would exclude the most natural case.

Since only the distributions enter, this mode can hold with no relation between XnX_nXn​ and XXX as functions. Let XXX be uniform on [−1,1][-1, 1][−1,1] and Xn=(−1)nXX_n = (-1)^n XXn​=(−1)nX. Every XnX_nXn​ is uniform on [−1,1][-1, 1][−1,1] too, so Fn=FF_n = FFn​=F and Xn→XX_n \to XXn​→X in distribution trivially. But for odd nnn we have Xn=−XX_n = -XXn​=−X, so ∣Xn−X∣=2∣X∣|X_n - X| = 2|X|∣Xn​−X∣=2∣X∣, and P(2∣X∣>ε)=1−ε/2\mathbb{P}(2|X| > \varepsilon) = 1 - \varepsilon/2P(2∣X∣>ε)=1−ε/2 for 0<ε<20 < \varepsilon < 20<ε<2. For ε=0.5\varepsilon = 0.5ε=0.5 this is 0.750.750.75 in every odd round, so XnX_nXn​ does not converge to XXX in probability.

A limit in distribution already met in "Random variables and their distributions" is the binomial law with many tries and a small success chance. Take nnn tries with success probability 2/n2/n2/n, so that the mean number of successes is 2. The probability of no success is 0.10740.10740.1074 for n=10n = 10n=10, 0.13260.13260.1326 for n=100n = 100n=100 and 0.13510.13510.1351 for n=1,000n = 1{,}000n=1,000, and it approaches e−2=0.1353e^{-2} = 0.1353e−2=0.1353, the probability of 0 under the Poisson law with mean 2. The same happens at every kkk: the binomial probabilities converge to the Poisson ones.

Convergence in distribution is a statement about laws, so it needs no common probability space: a coin tossed in one experiment can converge in distribution to a normal variable defined in another. The price is that it cannot tell a symmetric variable from its negative, as the sign flips show.

How the modes relate

The examples already show that no mode is a special case of every other. The following list collects what does hold in general.

  • Almost sure convergence implies convergence in probability. The outcomes where ∣Xm−X∣>ε|X_m - X| > \varepsilon∣Xm​−X∣>ε for some m≥nm \ge nm≥n form sets that shrink as nnn grows, and their intersection is the null set where the inequality holds infinitely often, so by continuity from above their probabilities tend to 0.
  • Convergence in mean implies convergence in probability (Markov), and convergence in L2L^2L2 implies convergence in L1L^1L1 (Jensen).
  • Convergence in probability implies convergence in distribution. The idea: if XnX_nXn​ is close to XXX with high probability, then {Xn≤x}\{X_n \le x\}{Xn​≤x} differs from {X≤x}\{X \le x\}{X≤x} only on an event of small probability, except when xxx sits at a jump of FFF.
  • Convergence in distribution to a constant ccc implies convergence in probability to ccc: FFF jumps from 0 to 1 at ccc, and P(∣Xn−c∣>ε)≤Fn(c−ε)+1−Fn(c+ε)→0+1−1=0\mathbb{P}(|X_n - c| > \varepsilon) \le F_n(c - \varepsilon) + 1 - F_n(c + \varepsilon) \to 0 + 1 - 1 = 0P(∣Xn​−c∣>ε)≤Fn​(c−ε)+1−Fn​(c+ε)→0+1−1=0.

Every arrow that is missing has a counterexample among the sequences above. The typewriter converges in probability and in mean but not almost surely. The spike converges almost surely but not in mean. The sign flips (−1)nX(-1)^n X(−1)nX converge in distribution but not in probability. Almost sure convergence and convergence in mean are therefore not comparable: neither implies the other. Two later sections build bridges back. The Borel–Cantelli lemma shows that convergence in probability yields almost sure convergence along a subsequence, and uniform integrability is the missing condition that upgrades convergence in probability to convergence in mean.

The Borel–Cantelli lemma

Take events A1,A2,…A_1, A_2, \ldotsA1​,A2​,… and ask for the probability that infinitely many of them happen. The first Borel–Cantelli lemma says that if the probabilities have a finite sum,

∑n=1∞P(An)<∞⟹P(An happens for infinitely many n)=0.\sum_{n=1}^{\infty} \mathbb{P}(A_n) < \infty \quad \Longrightarrow \quad \mathbb{P}(A_n \text{ happens for infinitely many } n) = 0.n=1∑∞​P(An​)<∞⟹P(An​ happens for infinitely many n)=0.

In words: if the events become unlikely quickly enough, then almost surely only finitely many of them occur. The proof counts them. Let N=∑n1AnN = \sum_{n} \mathbf{1}_{A_n}N=∑n​1An​​, the number of events that occur; it takes values in {0,1,2,…}∪{∞}\{0, 1, 2, \ldots\} \cup \{\infty\}{0,1,2,…}∪{∞}. Integrating a series of nonnegative terms one term at a time is allowed, by monotone convergence from "Convergence theorems", so

EN=∑n=1∞E1An=∑n=1∞P(An)<∞.\mathbb{E}N = \sum_{n=1}^{\infty} \mathbb{E}\mathbf{1}_{A_n} = \sum_{n=1}^{\infty} \mathbb{P}(A_n) < \infty.EN=n=1∑∞​E1An​​=n=1∑∞​P(An​)<∞.

A variable with finite expectation cannot be infinite with positive probability. By Markov's inequality, P(N=∞)≤P(N>M)≤EN/M\mathbb{P}(N = \infty) \le \mathbb{P}(N > M) \le \mathbb{E}N / MP(N=∞)≤P(N>M)≤EN/M for every MMM, and the right side tends to 0 as M→∞M \to \inftyM→∞. So N<∞N < \inftyN<∞ almost surely, which is the claim.

The typewriter shows what happens when the sum diverges. Sweep kkk contributes 2k2^k2k events, each of probability 2−k2^{-k}2−k, so each sweep contributes exactly 1 to the sum, and the sum is infinite. The lemma then says nothing, and indeed every outcome is hit infinitely often. A divergent sum does not by itself force infinitely many events: the second Borel–Cantelli lemma needs the events to be independent, which the typewriter's events are not.

Now keep only the member at the start of each sweep, n=2kn = 2^kn=2k, whose interval is [0,2−k)[0, 2^{-k})[0,2−k). The probabilities are 2−k2^{-k}2−k and their sum is 1+12+14+⋯=21 + \tfrac12 + \tfrac14 + \cdots = 21+21​+41​+⋯=2, which is finite. By the lemma, almost every outcome lies in only finitely many of these intervals, so X2k→0X_{2^k} \to 0X2k​→0 almost surely along this subsequence.

This is general. Suppose Xn→XX_n \to XXn​→X in probability. Choose indices n1<n2<⋯n_1 < n_2 < \cdotsn1​<n2​<⋯ so that P(∣Xnk−X∣>2−k)<2−k\mathbb{P}(|X_{n_k} - X| > 2^{-k}) < 2^{-k}P(∣Xnk​​−X∣>2−k)<2−k, which is possible because these probabilities tend to 0. The sum of the bounds is finite, so almost surely ∣Xnk−X∣≤2−k|X_{n_k} - X| \le 2^{-k}∣Xnk​​−X∣≤2−k from some kkk on, and Xnk→XX_{n_k} \to XXnk​​→X almost surely. Convergence in probability always yields almost sure convergence along some subsequence.

Uniform integrability

Convergence in probability says the error is rarely large, but a rare event can carry a lot of mean if the values on it are huge. The spike is the model case: the event {Xn≠0}\{X_n \ne 0\}{Xn​=0} has probability 1/n1/n1/n, and on it Xn=nX_n = nXn​=n. Mean convergence needs a condition that rules out this escape of mass. A sequence XnX_nXn​ is uniformly integrable if

sup⁡n E[∣Xn∣ 1{∣Xn∣>M}]→0(M→∞).\sup_n \, \mathbb{E}\big[|X_n|\,\mathbf{1}_{\{|X_n| > M\}}\big] \to 0 \quad (M \to \infty).nsup​E[∣Xn​∣1{∣Xn​∣>M}​]→0(M→∞).

In words: above a high level MMM, no member of the sequence keeps a noticeable part of its mean, and the same MMM works for all members at once. For the spike, E[Xn1{Xn>M}]\mathbb{E}[X_n \mathbf{1}_{\{X_n > M\}}]E[Xn​1{Xn​>M}​] equals the full mean 1 as soon as n>Mn > Mn>M, so the supremum is 1 for every MMM and the spike is not uniformly integrable. A sequence bounded by a constant is uniformly integrable, since for large MMM the expectation is of a function that is identically 0. So is a sequence bounded in L2L^2L2: on the event {∣X∣>M}\{|X| > M\}{∣X∣>M} we have ∣X∣≤X2/M|X| \le X^2/M∣X∣≤X2/M, hence E[∣X∣1{∣X∣>M}]≤EX2/M\mathbb{E}[|X|\mathbf{1}_{\{|X| > M\}}] \le \mathbb{E}X^2 / ME[∣X∣1{∣X∣>M}​]≤EX2/M, which is small for large MMM uniformly in nnn.

Vitali's theorem says that Xn→XX_n \to XXn​→X in L1L^1L1 exactly when Xn→XX_n \to XXn​→X in probability and the sequence is uniformly integrable. The idea of the proof is to split E∣Xn−X∣\mathbb{E}|X_n - X|E∣Xn​−X∣ into the part where the values are moderate, which is small because the large errors are rare, and the part where they are large, which is small by uniform integrability. The spike fails the second condition, which explains why it fails mean convergence, and the typewriter satisfies both, since its values are bounded by 1.

A classic case where the mean disappears is the doubling bet. Toss a fair coin; use the binary digits of ω\omegaω as in "Probability spaces and Kolmogorov's axioms", and call digit 1 a win. Stake 1 on the first toss. After each loss, double the stake; at the first win, collect it and stop. If the first win comes in round r≤nr \le nr≤n, the losses before it total 1+2+⋯+2r−2=2r−1−11 + 2 + \cdots + 2^{r-2} = 2^{r-1} - 11+2+⋯+2r−2=2r−1−1 and the win pays 2r−12^{r-1}2r−1, so the gain is 2r−1−(2r−1−1)=12^{r-1} - (2^{r-1} - 1) = 12r−1−(2r−1−1)=1. If the first nnn rounds all lose, the gain is −(1+2+⋯+2n−1)=1−2n-(1 + 2 + \cdots + 2^{n-1}) = 1 - 2^n−(1+2+⋯+2n−1)=1−2n. Writing XnX_nXn​ for the gain after at most nnn rounds,

Xn=1 with probability 1−2−n,Xn=1−2n with probability 2−n.X_n = 1 \text{ with probability } 1 - 2^{-n}, \qquad X_n = 1 - 2^n \text{ with probability } 2^{-n}.Xn​=1 with probability 1−2−n,Xn​=1−2n with probability 2−n.

The expectation is (1−2−n)+(1−2n) 2−n=0(1 - 2^{-n}) + (1 - 2^n)\,2^{-n} = 0(1−2−n)+(1−2n)2−n=0 for every nnn. For n=10n = 10n=10, the gain is 111 with probability 0.99900.99900.9990 and −1023-1023−1023 with probability 0.00097660.00097660.0009766. Yet Xn→1X_n \to 1Xn​→1 almost surely: the only outcome with no win at all is the all-zero digit sequence, a null set, and once a win has occurred the gain stays 1. So the pointwise limit is 1 while every mean is 0, and the sequence is not uniformly integrable: for 2n−1>M2^n - 1 > M2n−1>M the expectation E[∣Xn∣1{∣Xn∣>M}]\mathbb{E}[|X_n|\mathbf{1}_{\{|X_n| > M\}}]E[∣Xn​∣1{∣Xn​∣>M}​] equals (2n−1) 2−n=1−2−n(2^n - 1)\,2^{-n} = 1 - 2^{-n}(2n−1)2−n=1−2−n, close to 1. The missing mass of 1 sits on rare, enormous losing streaks, which are invisible to almost every outcome and decisive for the mean.

The weak law of large numbers

Everything is now in place for the first theorem about averages. Let X1,X2,…X_1, X_2, \ldotsX1​,X2​,… be independent random variables with the same mean mmm and the same variance σ2\sigma^2σ2, and write Xˉn=(X1+⋯+Xn)/n\bar X_n = (X_1 + \cdots + X_n)/nXˉn​=(X1​+⋯+Xn​)/n for the average of the first nnn. The mean of the average is mmm. By "Independence and product measures", the variance of a sum of independent variables is the sum of the variances, and dividing a variable by nnn divides its variance by n2n^2n2, so

Var⁡(Xˉn)=nσ2n2=σ2n.\operatorname{Var}(\bar X_n) = \frac{n\sigma^2}{n^2} = \frac{\sigma^2}{n}.Var(Xˉn​)=n2nσ2​=nσ2​.

Chebyshev's inequality from "Expectation, variance and inequalities" turns this variance into a probability bound,

P(∣Xˉn−m∣≥ε)≤σ2nε2→0(n→∞).\mathbb{P}\big(|\bar X_n - m| \ge \varepsilon\big) \le \frac{\sigma^2}{n\varepsilon^2} \to 0 \quad (n \to \infty).P(∣Xˉn​−m∣≥ε)≤nε2σ2​→0(n→∞).

This is the weak law of large numbers: Xˉn→m\bar X_n \to mXˉn​→m in probability. Averaging independent measurements shrinks the spread by a factor n\sqrt{n}n​ while leaving the mean in place, and shrinking spread around a fixed mean is exactly what Chebyshev's inequality can turn into a probability.

For a fair coin, let Xi=1X_i = 1Xi​=1 for heads and 000 for tails. Then m=12m = \tfrac12m=21​ and σ2=14\sigma^2 = \tfrac14σ2=41​, and Xˉn\bar X_nXˉn​ is the frequency of heads. With n=1,000n = 1{,}000n=1,000 tosses and ε=0.05\varepsilon = 0.05ε=0.05 the bound is 0.25/(1,000⋅0.0025)=0.10.25 / (1{,}000 \cdot 0.0025) = 0.10.25/(1,000⋅0.0025)=0.1: with probability at least 0.90.90.9, the number of heads lies between 450 and 550. The bound holds for every distribution with the given variance, which is why it is generous. The assumptions are also stronger than needed, since a finite mean alone is enough for the conclusion, but then the proof needs more work than one inequality.

What the weak law does not say is also worth stating. It bounds the chance of a deviation at one chosen nnn. It makes no promise about a single infinite run of tosses, whose frequency might keep wandering out of the band, occasionally, forever. For that the next section is needed.

The strong law and the central limit theorem

The strong law of large numbers states more: if X1,X2,…X_1, X_2, \ldotsX1​,X2​,… are independent, share one distribution and have a finite mean mmm, then

Xˉn→malmost surely.\bar X_n \to m \quad \text{almost surely.}Xˉn​→malmost surely.

For almost every outcome, the numbers Xˉn(ω)\bar X_n(\omega)Xˉn​(ω) of that one infinite run converge to mmm. This is a statement about whole sequences, not about one nnn at a time. It does not follow from Chebyshev: the bounds σ2/(nε2)\sigma^2 / (n\varepsilon^2)σ2/(nε2) have the harmonic series ∑1/n\sum 1/n∑1/n as their sum, which diverges, so Borel–Cantelli cannot be applied. If the fourth moment is finite, a sharper estimate of order 1/n21/n^21/n2 is available, its sum is finite, and Borel–Cantelli finishes the proof. The general case needs a cleverer argument that is not given here.

Applied to indicators, the strong law justifies the frequency reading of probability from "Probability spaces and Kolmogorov's axioms". If an event AAA has probability ppp and independent trials are made, the fraction of trials in which AAA occurs converges to ppp almost surely. The axioms never assumed this: they fixed a model, and the strong law is a theorem that the model's numbers are the limits of its long-run frequencies. In the coin model, the binary digits of a uniform ω\omegaω are independent fair coins, as shown in "Independence and product measures", so for almost every ω∈[0,1]\omega \in [0, 1]ω∈[0,1] the fraction of the first nnn binary digits that equal 1 converges to 12\tfrac1221​. The exceptional set is not empty, since ω=1/7=0.001001…2\omega = 1/7 = 0.001001\ldots_2ω=1/7=0.001001…2​ has frequency 13\tfrac1331​, but all exceptions together have length 0.

The central limit theorem describes the shape of the fluctuations that the laws shrink. With XiX_iXi​ as before, independent with identical distribution, mean mmm and variance σ2\sigma^2σ2, the standardised average

Zn=n (Xˉn−m)σsatisfiesP(Zn≤z)→Φ(z)for every z,Z_n = \frac{\sqrt{n}\,(\bar X_n - m)}{\sigma} \quad \text{satisfies} \quad \mathbb{P}(Z_n \le z) \to \Phi(z) \quad \text{for every } z,Zn​=σn​(Xˉn​−m)​satisfiesP(Zn​≤z)→Φ(z)for every z,

where Φ\PhiΦ is the standard normal distribution function. That is, Zn→N(0,1)Z_n \to N(0, 1)Zn​→N(0,1) in distribution. In words: the average differs from mmm by an amount of order σ/n\sigma/\sqrt{n}σ/n​, and measured in units of that size the error looks like a standard normal variable, whatever the distribution of the individual XiX_iXi​ was. The weak and strong laws say that the error goes to 0; the central limit theorem says how fast and with what shape. Since the statement is about distributions, it is a statement about convergence in distribution, and nothing is claimed about outcomes.

For the coin with n=1,000n = 1{,}000n=1,000 and ε=0.05\varepsilon = 0.05ε=0.05, the deviation 0.050.050.05 is 0.05/0.00025=3.1620.05 / \sqrt{0.00025} = 3.1620.05/0.00025​=3.162 standard deviations of the average. The theorem then suggests that P(∣Xˉn−0.5∣≥0.05)\mathbb{P}(|\bar X_n - 0.5| \ge 0.05)P(∣Xˉn​−0.5∣≥0.05) is about 2(1−Φ(3.162))=0.0015662(1 - \Phi(3.162)) = 0.0015662(1−Φ(3.162))=0.001566. The exact binomial value is 0.0017310.0017310.001731, and Chebyshev's bound was 0.10.10.1, roughly sixty times too large.

Worked example

How often a fair coin's frequency strays by 0.05

  1. The variance of one toss, with P(heads)=12\mathbb{P}(\text{heads}) = \tfrac12P(heads)=21​:

    12⋅12\displaystyle \tfrac12 \cdot \tfrac1221​⋅21​=0.25
  2. The variance of the frequency of heads in 1,000 tosses:

    0.25/1000\displaystyle 0.25 / 10000.25/1000=0.00025
  3. Chebyshev's bound for ε=0.05\varepsilon = 0.05ε=0.05:

    0.00025/0.052\displaystyle 0.00025 / 0.05^20.00025/0.052=0.1
  4. The deviation 0.05 in standard deviations of the average:

    0.05/0.00025\displaystyle 0.05 / \sqrt{0.00025}0.05/0.00025​=3.162278
  5. The central limit approximation of the probability:

    2 (1−Φ(3.162))\displaystyle 2\,(1 - \Phi(3.162))2(1−Φ(3.162))=0.001566
  6. The exact binomial probability of at least 50 heads away from 500:

    P(∣S1000−500∣≥50)\displaystyle \mathbb{P}(|S_{1000} - 500| \ge 50)P(∣S1000​−500∣≥50)=0.001731
  7. The number of tosses for which Chebyshev guarantees a bound of 0.010.010.01:

    0.25/(0.01⋅0.052)\displaystyle 0.25 / (0.01 \cdot 0.05^2)0.25/(0.01⋅0.052)=10,000

The central limit theorem is a limit statement: by itself it does not promise that 0.0015660.0015660.001566 is accurate at n=1,000n = 1{,}000n=1,000. The comparison with the exact 0.0017310.0017310.001731 shows that here it is, and quantitative versions such as the Berry–Esseen bound put a number on the error.

Summary

  • Random variables can converge almost surely (outcome by outcome), in probability (rarely far), in mean (small on average) or in distribution (similar laws); almost sure and mean convergence each imply convergence in probability, which implies convergence in distribution, and no other arrow holds in general.
  • Counterexamples settle the missing arrows: the typewriter converges in probability and in mean but at no outcome; the spike converges at every outcome but not in mean; the sign flips converge in distribution but not in probability.
  • The Borel–Cantelli lemma says that events with a finite probability sum happen only finitely often almost surely, and it gives almost sure convergence along a subsequence of any sequence that converges in probability.
  • Uniform integrability, meaning that no member keeps mass far out, is exactly what must be added to convergence in probability to get convergence in mean; the spike and the doubling bet violate it.
  • The weak law follows from Chebyshev's inequality and Var⁡Xˉn=σ2/n\operatorname{Var}\bar X_n = \sigma^2/nVarXˉn​=σ2/n; the strong law says the average converges almost surely, so frequencies converge to probabilities; the central limit theorem says the standardised average converges in distribution to N(0,1)N(0, 1)N(0,1).
Try itOpen the convergence lab
Previous · 10Independence and product measuresNext · 12Conditional probability and conditional expectation
Connections

Modes of convergence and the law of large numbers

Open the full graph
Builds on
05.10Independence and product measures05.06Convergence theorems05.09Expectation, variance and inequalities05.07Probability spaces and Kolmogorov's axioms05.03Lebesgue measure and null sets05.08Random variables and their distributions
Leads to
05.12Conditional probability and conditional expectation05.13Measure theory in option pricing
See it in the knowledge graph
Labs for this lesson
Convergence