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 Introduction To
Stochastic Calculus
With Applications
Third Edition

P821hc.9781848168312-tp.indd 1 2/24/12 9:23 AM

February 17, 2012 9:48 9in x 6in Introduction to Stochastic Calculus with Applications (3rd edn) b1229-fm

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 Introduction To
Stochastic Calculus
With Applications
Third Edition

Fima C Klebaner
Monash University, Australia

Imperial College Press

ICP

P821hc.9781848168312-tp.indd 2 2/24/12 9:23 AM

 Published by
Imperial College Press
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London WC2H 9HE

Distributed by
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INTRODUCTION TO STOCHASTIC CALCULUS WITH APPLICATIONS

Third Edition
Copyright © 2012 by Imperial College Press
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ISBN-13 978-1-84816-831-2
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February 17, 2012 9:48 9in x 6in Introduction to Stochastic Calculus with Applications (3rd edn) b1229-fm

Contents

Preface xi

1. Preliminaries From Calculus 1

1.1 Functions in Calculus . . . . . . . . . . . . . . . . . . . 1
1.2 Variation of a Function . . . . . . . . . . . . . . . . . . 4
1.3 Riemann Integral and Stieltjes Integral . . . . . . . . . . 9
1.4 Lebesgue’s Method of Integration . . . . . . . . . . . . . 14
1.5 Differentials and Integrals . . . . . . . . . . . . . . . . . 14
1.6 Taylor’s Formula and Other Results . . . . . . . . . . . 15

2. Concepts of Probability Theory 21

2.1 Discrete Probability Model . . . . . . . . . . . . . . . . 21
2.2 Continuous Probability Model . . . . . . . . . . . . . . . 28
2.3 Expectation and Lebesgue Integral . . . . . . . . . . . . 33
2.4 Transforms and Convergence . . . . . . . . . . . . . . . 37
2.5 Independence and Covariance . . . . . . . . . . . . . . . 39
2.6 Normal (Gaussian) Distributions . . . . . . . . . . . . . 41
2.7 Conditional Expectation . . . . . . . . . . . . . . . . . . 43
2.8 Stochastic Processes in Continuous Time . . . . . . . . 47

3. Basic Stochastic Processes 55

3.1 Brownian Motion . . . . . . . . . . . . . . . . . . . . . . 56
3.2 Properties of Brownian Motion Paths . . . . . . . . . . 63
3.3 Three Martingales of Brownian Motion . . . . . . . . . 65
3.4 Markov Property of Brownian Motion . . . . . . . . . . 67

v
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vi CONTENTS

3.5 Hitting Times and Exit Times . . . . . . . . . . . . . . 69

3.6 Maximum and Minimum of Brownian Motion . . . . . . 71
3.7 Distribution of Hitting Times . . . . . . . . . . . . . . . 73
3.8 Reflection Principle and Joint Distributions . . . . . . . 74
3.9 Zeros of Brownian Motion — Arcsine Law . . . . . . . . 75
3.10 Size of Increments of Brownian Motion . . . . . . . . . . 78
3.11 Brownian Motion in Higher Dimensions . . . . . . . . . 81
3.12 Random Walk . . . . . . . . . . . . . . . . . . . . . . . . 81
3.13 Stochastic Integral in Discrete Time . . . . . . . . . . . 83
3.14 Poisson Process . . . . . . . . . . . . . . . . . . . . . . . 86
3.15 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . 88

4. Brownian Motion Calculus 91

4.1 Definition of Itô Integral . . . . . . . . . . . . . . . . . . 91
4.2 Itô Integral Process . . . . . . . . . . . . . . . . . . . . . 100
4.3 Itô Integral and Gaussian Processes . . . . . . . . . . . 103
4.4 Itô’s Formula for Brownian Motion . . . . . . . . . . . . 106
4.5 Itô Processes and Stochastic Differentials . . . . . . . . 108
4.6 Itô’s Formula for Itô Processes . . . . . . . . . . . . . . 112
4.7 Itô Processes in Higher Dimensions . . . . . . . . . . . . 118
4.8 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . 121

5. Stochastic Differential Equations 123

5.1 Definition of Stochastic Differential
Equations (SDEs) . . . . . . . . . . . . . . . . . . . . . 123
5.2 Stochastic Exponential and Logarithm . . . . . . . . . . 129
5.3 Solutions to Linear SDEs . . . . . . . . . . . . . . . . . 131
5.4 Existence and Uniqueness of Strong Solutions . . . . . . 134
5.5 Markov Property of Solutions . . . . . . . . . . . . . . . 136
5.6 Weak Solutions to SDEs . . . . . . . . . . . . . . . . . . 137
5.7 Construction of Weak Solutions . . . . . . . . . . . . . . 139
5.8 Backward and Forward Equations . . . . . . . . . . . . 144
5.9 Stratonovich Stochastic Calculus . . . . . . . . . . . . . 146
5.10 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . 148

6. Diffusion Processes 151

6.1 Martingales and Dynkin’s Formula . . . . . . . . . . . . 151
6.2 Calculation of Expectations and PDEs . . . . . . . . . . 155
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CONTENTS vii

6.3 Time-Homogeneous Diffusions . . . . . . . . . . . . . . . 159

6.4 Exit Times from an Interval . . . . . . . . . . . . . . . . 163
6.5 Representation of Solutions of ODES . . . . . . . . . . . 167
6.6 Explosion . . . . . . . . . . . . . . . . . . . . . . . . . . 168
6.7 Recurrence and Transience . . . . . . . . . . . . . . . . 170
6.8 Diffusion on an Interval . . . . . . . . . . . . . . . . . . 171
6.9 Stationary Distributions . . . . . . . . . . . . . . . . . . 172
6.10 Multi-dimensional SDEs . . . . . . . . . . . . . . . . . . 175
6.11 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . 183

7. Martingales 185
7.1 Definitions . . . . . . . . . . . . . . . . . . . . . . . . . 185
7.2 Uniform Integrability . . . . . . . . . . . . . . . . . . . . 187
7.3 Martingale Convergence . . . . . . . . . . . . . . . . . . 189
7.4 Optional Stopping . . . . . . . . . . . . . . . . . . . . . 191
7.5 Localization and Local Martingales . . . . . . . . . . . . 197
7.6 Quadratic Variation of Martingales . . . . . . . . . . . . 200
7.7 Martingale Inequalities . . . . . . . . . . . . . . . . . . . 203
7.8 Continuous Martingales — Change of Time . . . . . . . 205
7.9 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . 211

8. Calculus For Semimartingales 213

8.1 Semimartingales . . . . . . . . . . . . . . . . . . . . . . 213
8.2 Predictable Processes . . . . . . . . . . . . . . . . . . . 214
8.3 Doob–Meyer Decomposition . . . . . . . . . . . . . . . . 215
8.4 Integrals with Respect to Semimartingales . . . . . . . . 217
8.5 Quadratic Variation and Covariation . . . . . . . . . . . 220
8.6 Itô’s Formula for Continuous Semimartingales . . . . . . 222
8.7 Local Times . . . . . . . . . . . . . . . . . . . . . . . . . 224
8.8 Stochastic Exponential . . . . . . . . . . . . . . . . . . . 226
8.9 Compensators and Sharp Bracket Process . . . . . . . . 230
8.10 Itô’s Formula for Semimartingales . . . . . . . . . . . . 236
8.11 Stochastic Exponential and Logarithm . . . . . . . . . . 238
8.12 Martingale (Predictable) Representations . . . . . . . . 239
8.13 Elements of the General Theory . . . . . . . . . . . . . 242
8.14 Random Measures and Canonical Decomposition . . . . 246
8.15 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . 249
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viii CONTENTS

9. Pure Jump Processes 251

9.1 Definitions . . . . . . . . . . . . . . . . . . . . . . . . . 251
9.2 Pure Jump Process Filtration . . . . . . . . . . . . . . . 252
9.3 Itô’s Formula for Processes of Finite Variation . . . . . 253
9.4 Counting Processes . . . . . . . . . . . . . . . . . . . . . 254
9.5 Markov Jump Processes . . . . . . . . . . . . . . . . . . 261
9.6 Stochastic Equation for Jump Processes . . . . . . . . . 264
9.7 Generators and Dynkin’s Formula . . . . . . . . . . . . 265
9.8 Explosions in Markov Jump Processes . . . . . . . . . . 267
9.9 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . 268

10. Change of Probability Measure 269

10.1 Change of Measure for Random Variables . . . . . . . . 269
10.2 Change of Measure on a General Space . . . . . . . . . 273
10.3 Change of Measure for Processes . . . . . . . . . . . . . 276
10.4 Change of Wiener Measure . . . . . . . . . . . . . . . . 281
10.5 Change of Measure for Point Processes . . . . . . . . . . 283
10.6 Likelihood Functions . . . . . . . . . . . . . . . . . . . . 284
10.7 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . 287

11. Applications in Finance: Stock and FX Options 289

11.1 Financial Derivatives and Arbitrage . . . . . . . . . . . 289
11.2 A Finite Market Model . . . . . . . . . . . . . . . . . . 295
11.3 Semimartingale Market Model . . . . . . . . . . . . . . 299
11.4 Diffusion and the Black–Scholes Model . . . . . . . . . . 304
11.5 Change of Numeraire . . . . . . . . . . . . . . . . . . . . 312
11.6 Currency (FX) Options . . . . . . . . . . . . . . . . . . 315
11.7 Asian, Lookback, and Barrier Options . . . . . . . . . . 318
11.8 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . 321

12. Applications in Finance: Bonds, Rates, and Options 325

12.1 Bonds and the Yield Curve . . . . . . . . . . . . . . . . 325
12.2 Models Adapted to Brownian Motion . . . . . . . . . . 327
12.3 Models Based on the Spot Rate . . . . . . . . . . . . . . 328
12.4 Merton’s Model and Vasicek’s Model . . . . . . . . . . . 329
12.5 Heath–Jarrow–Morton (HJM) Model . . . . . . . . . . . 333
12.6 Forward Measures — Bond as a Numeraire . . . . . . . 338
12.7 Options, Caps, and Floors . . . . . . . . . . . . . . . . . 341
February 17, 2012 9:48 9in x 6in Introduction to Stochastic Calculus with Applications (3rd edn) b1229-fm

CONTENTS ix

12.8 Brace–Gatarek–Musiela (BGM) Model . . . . . . . . . . 343

12.9 Swaps and Swaptions . . . . . . . . . . . . . . . . . . . 347
12.10 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . 349

13. Applications in Biology 353

13.1 Feller’s Branching Diffusion . . . . . . . . . . . . . . . . 353
13.2 Wright–Fisher Diffusion . . . . . . . . . . . . . . . . . . 357
13.3 Birth–Death Processes . . . . . . . . . . . . . . . . . . . 359
13.4 Growth of Birth–Death Processes . . . . . . . . . . . . . 363
13.5 Extinction, Probability, and Time to Exit . . . . . . . . 366
13.6 Processes in Genetics . . . . . . . . . . . . . . . . . . . . 369
13.7 Birth–Death Processes in Many Dimensions . . . . . . . 375
13.8 Cancer Models . . . . . . . . . . . . . . . . . . . . . . . 377
13.9 Branching Processes . . . . . . . . . . . . . . . . . . . . 379
13.10 Stochastic Lotka–Volterra Model . . . . . . . . . . . . . 386
13.11 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . 393

14. Applications in Engineering and Physics 395

14.1 Filtering . . . . . . . . . . . . . . . . . . . . . . . . . . . 395
14.2 Random Oscillators . . . . . . . . . . . . . . . . . . . . 402
14.3 Exercises . . . . . . . . . . . . . . . . . . . . . . . . . . 408

Solutions to Selected Exercises 411

References 429

Index 435
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February 17, 2012 9:48 9in x 6in Introduction to Stochastic Calculus with Applications (3rd edn) b1229-fm

Preface

Preface to the Third Edition

The third edition is revised and expanded in the direction of biological
applications. New material on Birth–Death processes and their application
in genetics and to cancer modelling is added. The focus, as throughout
the text, is kept on the methods of Stochastic Calculus. When dealing
with applications one quickly realizes that standard theory often cannot
be applied directly, and certain extensions are needed. For example, the
Branching Diffusion in biology and the Constant Elasticity of Variance
(CEV) model in finance don’t satisfy the conditions of the Theorem on
existence and uniqueness of solutions and require extra analysis. Such ex-
tensions are developed in this edition.
It is anticipated that an accompanying text on Problems and Solutions
in Stochastic Calculus will be published in 2013, which will enhance the
present text. I am grateful to Kais Hamza, the co-author of the forthcom-
ing text, for joining the project and helping with the present edition. I would
like to acknowledge many readers, especially Jicheng Liu of Huazhong Uni-
versity of Science and Technology, China, who contributed comments and
corrections. I hope that ideas of analysis of random processes by methods
of Stochastic Calculus are made clear in the new applications.
Melbourne, 2012

Preface to the Second Edition

The second edition is revised, expanded and enhanced. This is now a
more complete text in Stochastic Calculus, from both a theoretical and

xi
February 17, 2012 9:48 9in x 6in Introduction to Stochastic Calculus with Applications (3rd edn) b1229-fm

xii PREFACE

an applications point of view. Changes came about as a result of using

this book for teaching courses in Stochastic Calculus and Financial Math-
ematics over a number of years. All topics, starting from more elementary
results on Normal correlation and optimal estimation, to the more advanced
such as the change of time and the change of measure, are expanded with
more worked out examples and exercises. Specific techniques, such as the
change of numeraire and the stochastic logarithm, used in options pric-
ing, are introduced. More advanced applications, such as pricing of exotic
options, are covered in greater detail. A new chapter on bonds and interest
rates contains derivations of the main pricing models, including currently
used market models. The presentation of Applications in Finance is now
more comprehensive and self-contained. The power of Stochastic Calculus is
also demonstrated on models in biology introduced in the new edition: the
age-dependent branching process and a stochastic model for competition
of species. The mathematical theory of filtering is based on the methods
of Stochastic Calculus. In the new edition, we derive stochastic equations
for a non-linear filter first and then obtain the linear case, the celebrated
Kalman–Bucy filter, as a corollary. It is important to note that all models
arising in applications are treated rigorously and show in detail how to apply
theoretical results presented earlier to the problem at hand. This approach
might not make certain places easy reading, however, by using this book,
the reader will acquire a working knowledge of Stochastic Calculus.

Preface to the First Edition

This book aims at providing a concise presentation of Stochastic Calculus
with some of its applications in finance, engineering, and science.
During the past 20 years there has been an increasing demand for tools
and methods of Stochastic Calculus in various disciplines. One of the great-
est demands has come from the growing area of mathematical finance, where
Stochastic Calculus is used for pricing and hedging of financial derivatives,
such as options. In engineering, Stochastic Calculus is used in filtering and
control theory. In physics stochastic Calculus is used to study the effects of
random excitations on various physical phenomena. In biology, Stochastic
Calculus is used to model the effects of stochastic variability in reproduction
and environment on populations.
From an applied perspective Stochastic Calculus can be loosely de-
scribed as a field of mathematics that is concerned with infinitesimal
February 17, 2012 9:48 9in x 6in Introduction to Stochastic Calculus with Applications (3rd edn) b1229-fm

PREFACE xiii

calculus on non-differentiable functions. The need for this calculus comes

from the necessity to include unpredictable factors into modelling. This
is where probability comes in and the result is a calculus for random func-
tions or stochastic processes.
This is a mathematical text that builds on theory of functions and prob-
ability and develops the martingale theory, which is highly technical. This
text is aimed at gradually taking the reader from a fairly low technical level
to a sophisticated one. This is achieved by making use of many solved exam-
ples. Every effort has been made to keep presentation as simple as possible
while mathematically rigorous. Simple proofs are presented, but more tech-
nical proofs are left out and replaced by heuristic arguments with references
to other more complete texts. This allows the reader to arrive at advanced
results sooner. These results are required in applications. For example, the
change of measure technique is needed in options pricing; calculations of
conditional expectations with respect to a new filtration is needed in fil-
tering. It turns out that completely unrelated applied problems have their
solutions rooted in the same mathematical result. For example, the problem
of pricing an option and the problem of optimal filtering of a noisy signal,
both rely on the martingale representation property of Brownian motion.
This text presumes less initial knowledge than most texts on the subject
(Métivier (1982), Dellacherie and Meyer (1982), Protter (1992), Liptser and
Shiryaev (1989), Jacod and Shiryaev (1987), Karatzas and Shreve (1988),
Stroock and Varadhan (1979), Revuz and Yor (2001), Rogers and Williams
(1990)), however it still presents a fairly complete and mathematically rig-
orous treatment of Stochastic Calculus for both continuous processes and
processes with jumps.
A brief description of the contents follows (for more details see the
Table of Contents). The first two chapters describe the basic results in Cal-
culus and Probability needed for further development. These chapters have
examples but no exercises. Some more technical results in these chapters
may be skipped and referred to later when needed.
In Chapter 3 the two main stochastic processes used in Stochastic
Calculus are given: Brownian motion (for calculus of continuous processes)
and Poisson process (for calculus of processes with jumps). Integration with
respect to Brownian motion and closely related processes (Itô processes) is
introduced in Chapter 4. It allows one to define a stochastic differential
equation. Such equations arise in applications when random noise is in-
troduced into ordinary differential equations. Stochastic differential equa-
tions are treated in Chapter 5. Diffusion processes arise as solutions to
February 17, 2012 9:48 9in x 6in Introduction to Stochastic Calculus with Applications (3rd edn) b1229-fm

xiv PREFACE

stochastic differential equations, they are presented in Chapter 6. As the

name suggests, diffusions describe a real physical phenomenon, and are
met in many real-life applications. Chapter 7 contains information about
martingales, examples of which are provided by Itô processes and com-
pensated Poisson processes, introduced in earlier chapters. The martin-
gale theory provides the main tools of Stochastic Calculus. These include
optional stopping, localization and martingale representations. These are
abstract concepts, but they arise in applied problems where their use is
demonstrated. Chapter 8 gives a brief account of calculus for most gen-
eral processes, called semimartingales. Basic results include Itô’s formula
and stochastic exponential. The reader has already met these concepts in
Brownian motion calculus given in Chapter 4. Chapter 9 treats Pure Jump
processes, where they are analyzed by using compensators. The change of
measure is given in Chapter 10. This topic is important in options pric-
ing, and for inference for stochastic processes. Chapters 11–14 are devoted
to applications of Stochastic Calculus. Applications in Finance are given in
Chapters 11 and 12, stocks and currency options (Chapter 11); bonds, inter-
est rates and their options (Chapter 12). Applications in biology are given
in Chapter 13. They include diffusion models, Birth–Death processes, age-
dependent (Bellman–Harris) branching processes, and a stochastic version
of the Lotka–Volterra model for competition of species. Chapter 14 gives
applications in engineering and physics. Equations for a non-linear filter are
derived and applied to obtain the Kalman–Bucy filter. Random perturba-
tions to two-dimensional differential equations are given as an application
in Physics. Exercises are given at the end of each chapter.
This text can be used for a variety of courses in Stochastic Calculus
and financial mathematics. The application to finance is extensive enough
to use it for a course in mathematical finance and for self-study. This text
is suitable for advanced undergraduate students, graduate students as well
as research workers and practioners.

Acknowledgments
Thanks to Robert Liptser and Kais Hamza, who provided most valuable
comments. Thanks to my colleagues and students from universities and
banks. Thanks also to my family for being supportive and understanding.

Fima C. Klebaner
Melbourne, 2004
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Polly Perkins
By
ETHEL CALVERT PHILLIPS

Illustrated by
EDITH F. BUTLER

Boston and New York

HOUGHTON MIFFLIN COMPANY
The Riverside Press Cambridge
1925
COPYRIGHT, 1925, BY ETHEL CALVERT PHILLIPS

ALL RIGHTS RESERVED

The Riverside Press

CAMBRIDGE · MASSACHUSETTS
PRINTED IN THE U.S.A.
 TO

DR. GORDON KIMBALL DICKINSON

MY FATHER’S FRIEND AND MINE
 CONTENTS
I. How Polly Perkins was Made 1
II. Where is Polly Perkins? 12
III. Polly Perkins goes on a Journey 25
IV. What Anne Marie saw from the Window 38
V. Out in the Snow 49
VI. Wee Ailie McNabb 59
VII. Three Little Girls and Polly Perkins 68
VIII. Grandmother King’s Christmas Party 78
IX. Anne Marie and the Christmas Angel 90
X. What Santa Claus brought to Ailie McNabb 103
XI. The Very Best Christmas of All 112
PRETTY POLLY PERKINS
∵
 CHAPTER I
HOW POLLY PERKINS WAS MADE
Polly Perkins was a big rag doll, the prettiest, the softest, the most
comfortable rag doll that ever belonged to a little girl.
Grandmother King made her for Patty, who was five years old and
visiting Grandmother at the time, and this is just how it all
happened.
In the first place, Patty fell downstairs. She was on her way to the
kitchen where Grandmother was baking a cake, and in her arms she
carried Isabel, the doll she loved the very best of all. Indeed, Isabel
was the only doll that Patty had brought with her from home. She
was a china dolly, with pretty golden curls and blue eyes that
opened and shut, and she wore a blue dress with pockets, very
much like one of Patty’s own.
Now, as I said, Patty was on her way downstairs with Isabel in her
arms when suddenly she tripped and fell. Down the whole flight of
stairs she went, bumping on every single step, it seemed, and
landed in a little heap at the foot of the stairs.
Grandmother heard the sound of the fall, and came hurrying out of
the kitchen with a cup full of sugar in one hand and a big spoon in
the other.
‘My precious Patty! Are you hurt?’ cried Grandmother, picking Patty
up and rubbing her back and rocking her to and fro all at the same
time.
When Patty could stop crying, she shook her head.
‘No,’ she said, with a little sniff, ‘I think I am not hurt. But where is
Isabel?’
Oh, poor Isabel! She lay over by the front door, her head broken into
a hundred pieces!
At first Patty couldn’t believe her eyes. Isabel broken! Then whom
would Patty play with? Whom would she dress and undress and take
out for a walk every day? Who would lie beside her on the bed at
night while Grandmother was reading by the lamp downstairs and
Patty felt the need of some one to keep her company just before she
fell asleep?
Isabel broken to pieces!
Then Patty did cry.
‘My dolly! My dolly!’ she wailed. ‘My dolly is broken! My dolly!’
She struggled out of Grandmother’s arms to the floor, and there,
sobbing and crying as loud as ever she could, she danced up and
down. She felt so badly she simply couldn’t stand still.
At first Grandmother didn’t say a word. Very carefully she picked up
all that was left of Isabel. Then she took Patty by the hand.
‘Patty,’ said Grandmother firmly, ‘stop crying and stand still.’
Patty was so surprised to hear Grandmother speak in this way that
she did stop crying and stood still.
‘Patty,’ went on Grandmother cheerfully—so cheerfully that Patty
couldn’t help listening to what Grandmother had to say—‘Patty, we
are going to find a box and put Isabel in it. Then we will send her
home to Mother, who will buy a new head for her, I know. We will
play that Isabel has been in an accident and that she has gone down
South to be cured. That is what Mother did last winter when she was
so ill, you remember.’
Patty nodded slowly. Perhaps Isabel could be cured, after all.
‘But whom will I play with while she is gone?’ asked Patty with a
quiver in her voice. ‘I don’t like Darky. He scratches and spits.’
Darky was a black barn cat who lived next door to Grandmother, and
it is quite true that he was not a pleasant playmate for a little girl.
‘There is no one for me to play with but you, Grandmother,’ finished
Patty, two plump tears rolling down her cheeks as she thought how
lonely she would be now without Isabel.
For a moment Grandmother stood without speaking. She was
thinking, her foot softly tapping the floor as Grandmother often did,
Patty knew, when she was making up her mind.
Then Grandmother spoke.
‘Patty, I am going to make you a doll,’ said Grandmother, ‘an old-
fashioned rag doll such as I used to make for your mother years
ago. She always loved hers dearly, and I expect you will, too. And
the best of such a doll is that it can never be broken.’
While Grandmother was speaking, Patty’s face grew brighter and
brighter, until, as Grandmother finished, she really looked her own
merry little self once more.
‘To-day?’ cried Patty hopping up and down, but this time for joy. ‘Will
you make her to-day, Grandmother? To-day?’
‘This very day,’ answered Grandmother, picking up her cup of sugar
and big spoon from the corner where she had hastily set them down
when Patty fell. ‘First, I will finish my cake, and then you and I will
go out shopping to buy what we need to make the new doll.’
So a little later Patty and Grandmother, hand in hand, went down the
road and round the corner to Mr. Johns’ store, where you could buy
almost anything in the world, Patty really believed.
It was the only store in Four Corners, the little village where
Grandmother lived, and so of course it kept everything that anybody
in Four Corners might want to buy. On one side of the store were
rows of bright tin pails, and lawnmowers, and shovels, and rakes,
and a case of sharp knives, and a great saw, too, big enough to cut
down the largest tree that ever grew. On the other side were
dresses and aprons, a hat or two, gay-colored material and plain
white, ribbons and laces, needles and pins. There were boxes of
soap and boxes of crackers and boxes of matches. There were
shelves filled with cans and packages of all shapes and sizes. There
was a case full of toys, and a case full of candies, too, where Patty
had been known to spend a penny now and then. There were great
barrels standing about, and rolls of wire netting, and coils of rope.
And on the counter there sat a plump gray cat, who blinked sleepily
at Grandmother and Patty as they came in and opened his mouth in
a wide yawn.
When Mr. Johns heard what Grandmother was going to make—for
Patty told him just as soon as Grandmother had inquired for Mrs.
Johns’ rheumatism—he was as interested in the new dolly as
Grandmother or Patty herself.
He measured off the muslin with a snap of his bright shears. He
whisked out a great roll of cotton batting with a flourish. He helped
Patty decide between pink and blue gingham for a dress. She chose
pink. And last of all it was Mr. Johns who said,
‘What are you going to put on the dolly for hair?’
Patty looked at Grandmother and Grandmother looked at Patty.
‘I hadn’t thought yet about hair,’ began Grandmother slowly, when
Mr. Johns disappeared beneath the counter.
Patty could hear him pulling and tumbling boxes about, and at last
up came Mr. Johns from under the counter with his face very red,
indeed, and a smudge of dust on his cheek, but holding in his hand
a little brown curly wig.
‘Will that do?’ asked Mr. Johns, smiling proudly at his surprised
customers. ‘I knew I had a little wig somewhere, if only I could put
my hand on it. It has been lying around here for two years or more.’
Two years old or not, the little brown wig was as good as new, and
Patty was so anxious to have the dolly made and to see how the wig
would look on her head that she pulled at Grandmother’s hand all
the way home and couldn’t help wishing that Grandmother would
walk faster or perhaps even run, instead of stopping to chat with her
neighbors on the way.
It took a day or two to make the dolly, although Grandmother’s
nimble fingers flew. And one night, after Patty had gone to bed,
busy Uncle Charles drove down from the Farm and painted the
dolly’s face, a pretty face, with rosy cheeks and gentle dark-brown
eyes that Patty thought the loveliest she had ever seen.
At last the dolly was finished, and in her gay pink dress, with her
soft brown curls that matched her brown eyes, Grandmother placed
her in Patty’s outstretched arms.
‘I am so happy,’ said Patty, her face aglow, ‘I am so happy that I
don’t know what to do.’
So, standing on tiptoe, Patty first kissed Grandmother and then the
dolly and then Grandmother again. And perhaps, after all, that was
the very best thing that she could do. Grandmother seemed to think
so, at any rate.
‘Isn’t she beautiful?’ said Patty next, holding the dolly out at arm’s
length the better to see and admire. ‘Her curls are beautiful, and so
are her eyes, and her dress, and her cunning little brown shoes.
What shall I name her, Grandmother? Don’t you think she is
beautiful? Isn’t she the most beautiful dolly that you have ever
seen?’
‘Yes, indeed,’ answered Grandmother, smiling to see Patty’s pleasure.
‘She is as beautiful as a butterfly.’
And, to Patty’s further delight, Grandmother began to sing a little
song:
‘She’s as beautiful as a butterfly,
And none can compare
With pretty little Polly Perkins,
Of Abingdon Square.’
Patty clapped her hands and spun round for a moment like a top.
‘Sing it again, sing it again,’ she cried.
So Grandmother obligingly sang her little song again.
And the moment it was ended, Patty, her cheeks as pink as the
dolly’s and her eyes quite as round and bright, exclaimed,
‘That is my dolly’s name—Polly Perkins! Pretty Polly Perkins! Don’t
you think that is a good name for her, Grandmother? Don’t you think
Polly Perkins is a good name for my new dolly to have?’
‘A very good name, indeed,’ was Grandmother’s reply. ‘She looks like
a Polly to me.’
‘She looks like a Polly to me, too,’ agreed Patty happily, ‘a Polly
Perkins.’
And hugging Polly Perkins close, Patty whispered in her ear.
‘If Isabel is cured,’ whispered Patty to Polly, ‘I shall be glad that I fell
downstairs. Because if I hadn’t fallen, I never would have known
you. Wouldn’t you be sorry, Polly Perkins, if you had never known
me?’
Patty put her ear close to Polly’s red lips to hear her answer, and she
was not disappointed.
‘Yes,’ whispered back Polly Perkins, ‘I would.’
 CHAPTER II
WHERE IS POLLY PERKINS?

Aunt Mary had come down from the Farm to spend the day with
Grandmother and with Patty. She had really come to say good-bye,
for to-morrow Grandmother’s house at Four Corners would be closed
and she and Patty would start for the city, where Grandmother was
to spend the winter at Patty’s home.
Aunt Mary had brought presents with her from the Farm, presents
that were neatly packed in boxes ready to be placed in
Grandmother’s big black trunk.
There was a box of home-made sausages, such as you couldn’t buy
in the city no matter how hard you tried. There was a loaf of Father’s
favorite cake, ‘raised’ cake it was called, covered over with snowy
icing and full of raisins, as Patty well knew. There were two squash
pies for Mother, packed so carefully that they couldn’t possibly be
broken. Last of all there was a present for Patty that did not have to
be packed in a box because it was an apron, a pretty blue pinafore
that covered Patty from top to toe, and that had two pockets large
enough to hold a handkerchief or a ball or anything else that Patty
might choose to put in them. And on each pocket Aunt Mary had
embroidered a tiny bunch of orange and yellow and brown flowers.
Patty was delighted with her present.
‘The little flowers look as real as real can be,’ she declared, patting
and sniffing the flowers and patting the pockets again. ‘I think they
smell sweet, Aunt Mary. I truly think they do.’
Very carefully Patty placed her pinafore in Grandmother’s trunk, and
ran to fetch Polly Perkins to show her to Aunt Mary.
‘Uncle Charles painted her. Did he tell you?’ asked Patty, dancing
Polly up and down before Aunt Mary until the dolly’s brown curls
flew. ‘Isn’t she beautiful, Aunt Mary? Hasn’t she the prettiest eyes,
and doesn’t her mouth look smiling? I can brush and brush her hair,
too, all I like, and it curls right up again. Isn’t her dress pretty? How
I wish she had pockets like my new apron! She would be just perfect
if she had pockets on her dress, Aunt Mary.’
‘Run and ask Grandmother for a bit of this pink gingham,’ said good-
natured Aunt Mary, ‘and I will make the pockets for you while we all
sit here and talk.’
Grandmother shook her head and said that Patty would be spoiled if
Aunt Mary were not careful. But she gave Patty the gingham, and a
moment later Aunt Mary was measuring and cutting the pockets for
Polly Perkins’s dress.
‘Would you like a bunch of flowers or a little rabbit embroidered on
each pocket?’ asked Aunt Mary, who was so skillful with her needle
that nothing seemed too hard for her to do.
Patty thought for a moment.
‘A rabbit, I think,’ she began slowly.
Then suddenly she spun round on the tips of her toes.
‘I have thought of something, Aunt Mary!’ cried Patty, smiling a wise
little smile. ‘I have thought of something so nice. Could you sew
Polly’s name on her pockets—Polly on one pocket and Perkins on the
other? Could you do that, Aunt Mary, do you think?’
Yes, Aunt Mary thought that she could.
‘Here is some green thread in Grandmother’s basket,’ said she. ‘It
will be pretty if I embroider her name in green on the pink dress,
don’t you think?’
Patty thought it would be beautiful, and said so. She stood close
beside Aunt Mary and watched her take the first stitches in Polly
Perkins’s name.
Just at that moment who should drive up to the house but the
expressman come for Grandmother’s trunk hours before he had
been expected. And then such a hurry and bustle to crowd the last
odds and ends into the trunk and to lock it and to strap it, all in the
twinkling of an eye.
But at last it was done, and away went the trunk, bumping down the
porch steps on the expressman’s back, bumping into the wagon, and
bumping off down the road, round the corner, and out of sight.
And then, and not until then, it was discovered that Polly Perkins,
pockets and all, had been left behind. There she lay in Aunt Mary’s
chair where she had been tossed when the expressman came.
‘Now I can carry her home myself to-morrow,’ said Patty, delighted
with this turn of affairs. ‘I can carry her all the way in my arms, can’t
I, Grandmother? Do say that I may!’
‘Yes, I suppose that you may,’ answered Grandmother, who did not
look so pleased with the plan as did Patty. ‘I am afraid there will not
be any room for her in my bag.’
Aunt Mary worked away until the pockets were finished, and when
Patty looked at her dolly in her gay pink frock, with a green ‘Polly’ on
one pocket and a green ‘Perkins’ on the other, she thought she had
never seen anything so pretty in all her life.
Uncle Charles came to supper and to take Aunt Mary home, and,
before he was inside the door, Patty was all ready to whisper in his
ear and to give him three kisses, one on each cheek and one on his
chin.
‘I think you paint the loveliest dollies in the world,’ whispered Patty
in Uncle Charles’s ear. ‘And that is why my dolly is named Polly
Perkins. Because she is as beautiful as a butterfly. Grandmother said
so. And I am going to carry her all the way home in my arms.
Grandmother said that, too.’
But the next morning when Patty woke the rain was pouring down,
and there was no question, in Grandmother’s mind, at least, about
Patty carrying Polly Perkins in her arms.
‘We will send your dolly home in a box by express,’ decided
Grandmother. ‘You wouldn’t enjoy carrying her in the rain, I know.’
‘She might catch cold,’ agreed Patty, ‘for she hasn’t any coat. That is
the way Isabel went home, in a box, and I expect she enjoyed it,
too.’
So Polly was wrapped in a pink-and-blue tufted coverlet, that was to
have been used as a traveling-rug, and carefully placed in a large
pasteboard box.
‘Be a good girl,’ whispered Patty, tenderly kissing Polly good-bye on
her rosy mouth.
Then she watched Grandmother wrap the box in heavy paper and tie
it with stout brown twine.
‘I will have my hands full with a bag and an umbrella and a child,’
said Grandmother to Uncle Charles, who had come to take them
down to the train. ‘I can’t think of allowing Patty to carry her doll. I
have packed it in a box and addressed it to Patty’s mother, and I
want you to leave it at the express office as you go home, Charles, if
it won’t be too far out of your way.’
Uncle Charles promised to send Polly Perkins along that very day. So,
with a farewell pat on the outside of the box that held her dolly,
Patty and Grandmother started on their journey in the rain.
It was fun traveling in the rain, Patty thought. She liked to see the
people bustling along in the wet. She liked to watch the dripping
umbrellas bob in and out of the stations that they passed. She liked
the muddy and almost empty roads, with only now and then a
procession of ducks waddling along, or a lonely dog trotting by, or a
farmer driving into town with perhaps a colt tied at the back of his
cart.
As they drew near to the big city, Patty peered out of the misty
window-pane over which ran rivulets of raindrops so thick and fast
that the tall houses could scarcely be seen and the street-lamps
looked like cloudy little suns dotting the way.
‘Are we nearly there?’ asked Patty for at least the hundredth time.
And at last Grandmother could answer, ‘Yes, Patty, we are. In five
minutes more you will see Father, I hope.’
Grandmother was right. As the train drew into the station and men
in little red caps, who wanted to carry your bag, Patty knew, came
running down the platform, there on the platform, too, stood Father,
and a second later Patty was in his arms.
Through the rain they rode home to Mother, waiting for them in the
large white apartment house where Patty lived.
There were many houses on the long city street—tall white
apartments, low red-brick houses, then tall white apartments again.
Patty pressed her nose against the window of the cab, peering out
at the familiar scene.
‘There are our Christmas trees!’ she cried, catching a glimpse of the
two little fir trees that, in white flower pots, stood one on either side
of the entrance to their apartment house.
‘And there is Thomas in the doorway. He is watching for me, I do
believe.’
Thomas was the hall boy, and a good friend to Patty, too.
‘And there is Mother in the window. Mother! Mother!’
Patty pounded on the window of the cab and called and waved. The
moment the cab stopped, without waiting for Father’s umbrella,
across the sidewalk went Patty with a skip and a jump, up the steps,
and into the hall where she flung both arms about Mother’s neck.
‘I knew you would come down to meet me,’ said Patty, giving Mother
the tightest squeeze she could and smiling broadly at Thomas over
Mother’s shoulder. ‘I have come home, Thomas. I am home.’
And so she was.
Oh, how much there was to tell and to see! Patty’s tongue flew, and
her bright eyes glanced hither and thither, and her quick little feet
sped up and down the hall and in and out of the rooms she
remembered so well.
And in her own room who should be waiting for Patty, sitting in the
middle of her very own little bed, but Isabel, home from her trip to
the South and as good as new, only perhaps a little prettier than
before, Patty thought.
‘Now, Isabel,’ said Patty that night in bed, as Isabel lay where Patty
could put out her hand and touch her if she felt at all lonely before
she fell asleep, ‘now, Isabel, I must tell you all about your new sister,
Polly Perkins. I hope you are going to be good friends. She will be
home perhaps to-morrow, perhaps the day after, and I hope you will
love her very much indeed.’
Isabel promised that she would. And all the next day—another rainy
day, too—she and Patty watched for Polly Perkins, though both
Mother and Grandmother said it was far too soon to expect Polly
home. All the next day and the next and the next Patty and Isabel
watched for Polly, but Polly did not come.
‘Has Polly come?’ was the first question Patty asked every morning.
And every night when she went to bed she said, ‘Please wake me up
if Polly comes to-night.’
But Polly did not come.
So Grandmother wrote to Uncle Charles to ask if he had forgotten to
send Polly. And Uncle Charles wrote back that he had sent her off
the very day that Grandmother and Patty left Four Corners.
Next Father went to the express office, and the express office
promised to find Polly Perkins, if it possibly could.
‘Perhaps she has been shipped out West. Perhaps she is lying in the
Four Corners office,’ said the express people. ‘We will find out and let
you know.’
Meanwhile Patty watched, and talked, and wondered what could
have become of Polly Perkins.
‘My darling Polly! She is as beautiful as a butterfly, Mother,’ said
Patty, not once, nor twice, but many times. ‘You don’t know how
beautiful she is. Grandmother thinks so, too. That is why I named
her Polly Perkins. She has a pink dress and brown curls and the
prettiest brown eyes. And pockets with her name on them, Mother.
Just think! I can’t wait to have you see her. I do wish she would
come home.’
But still Polly did not come.
Where is Polly Perkins? What can have happened to her? Where can
she be?
Patty and Mother and Father and Grandmother all asked these
questions over and over and over. But not one of them guessed the
answer, though they tried again and again.
And now I will tell you what had happened to Polly Perkins.
 CHAPTER III
POLLY PERKINS GOES ON A JOURNEY

While Patty was watching from the window all up and down the long
city street, hoping that every passing wagon or automobile would
stop at her door with Polly Perkins, what was Polly herself doing all
this time?
To begin at the beginning, there is no doubt that Polly was
disappointed not to be carried home in Patty’s arms.
‘I would like to see a little of the world,’ thought Polly, when she
heard how she was to make the journey, ‘and I would like to ride on
the train that Patty talks about. I will be as good as gold, and then
perhaps Patty will always take me with her when she goes traveling.
Who knows?’
So when Polly saw the rainy day and heard Grandmother plan to
send her home in a box, Polly couldn’t help being disappointed,
though of course she didn’t show it in the least. She smiled as
sweetly as ever when Patty wrapped her in the pink-and-blue tufted
coverlet and kissed her good-bye. And though she wanted dreadfully
to give the cover of the box just one gentle kick with her pretty
brown slipper, to work off a little of her disappointment as it were,
still Polly said to herself,
‘No, I won’t kick the box, for I know Patty wouldn’t like it. And I
want to please Patty in every way I can.’
For Polly had grown to love Patty in the short time she had lived with
her, and she believed that Patty was the very best mother that ever
a dolly could have.
‘She might leave me out all night in the grass,’ thought wise little
Polly. ‘She might stick pins into me, or pull my hair, or drop me down
the well. But she never, never does. Oh, I am glad that Patty is my
mother.’
And if, once in a while, Patty gave her a spanking or put her to bed
in the middle of the day, why, that was no more than happened to
Patty herself, once in a while, and so of course Polly could find no
fault.
Polly liked Uncle Charles, too. Hadn’t he given her a pretty face and
a sweet smile? So when Uncle Charles tucked Polly under his arm to
carry her to the express office, Polly gave one or two gentle bumps
on the lid of the box just to show that she was friendly. But if Uncle
Charles heard them, no doubt he thought that Polly was simply
slipping about, and that he must carry the box more carefully.
It was not pleasant in the express office, Polly found. There was a
strong smell of tobacco smoke that sifted straight into Polly’s box,
and there seemed to be men all about, with loud voices, who tossed
packages back and forth, and hauled heavy boxes from one side of
the room to the other. Polly herself was tossed up on a shelf where,
after a moment or two, she snuggled down in her coverlet and
sensibly fell fast asleep.
She was awakened after a long, long nap by being lifted off the
shelf. She thought it must be morning, the express office was so
busy and noisy and so many people were hurrying to and fro.
Then came a great roaring and puffing and snorting just outside the
office door, and Polly knew in a moment what it was.
‘It is the train,’ thought Polly, who had never heard one before. ‘That
is just the sound Uncle Charles made when he played train with
Patty the night he came to supper at our house.’
And Polly was right. It was the train.
Now the bustling grew greater than before. Trunks and heavy boxes
were hoisted aboard the train. Packages, large and small, were flung
on helter-skelter, and among them was Polly, who went flying
through the air and luckily landed face-up on top of a trunk, where it
took a whole moment to get her breath again. But Polly didn’t mind
being tossed about, not one bit. She thought it was exciting, and
much better than lying in the smoky express office on a shelf.
Then the train whistled and puffed and panted and was off.
Roar, roar, roar! Clatter, clatter, clatter!
At first Polly couldn’t hear herself think. But after a short time she
grew used to the noise of the train and could hear the different
sounds all about her in the baggage car in which she lay.
Cluck! Cluck! Cluck! Squawk! Squawk!
‘Hens,’ thought Polly, who had often gone with Patty to visit the
chicken coops at the back of Grandmother’s yard.
Then she heard a low whining and scuffling as in answer to the
outcry of the hens, and the next moment a dog lifted his voice in a
series of sharp little barks.
And, would you believe it, Polly understood every word he said.
‘I am Twinkle. Bow-wow!’ said the little dog.
And if Polly could only have looked through her box and seen him,
she would have thought that he couldn’t have a better name. For
not only was there a gay twinkle in his bright black eye, but the
curly tuft of hair on the tip of his tail seemed to twinkle also as he
waved it to and fro. While his soft black nose was a shining little
spot that might easily have been called a twinkle, too.
‘Bow-wow!’ said Twinkle again. ‘I belong to Jimmy, and Jimmy has
broken his leg. Wow! Wow!’
‘Cluck! Cluck! Cluck!’ answered the sympathetic hens. ‘Too bad! Too
bad! Too bad!’
‘I wish I could talk to him,’ said Polly to herself. ‘I am going to try.’
So in her politest voice she called out, ‘Twinkle, I am in this box and
my name is Polly Perkins. I belong to a little girl named Patty, and I
want to talk to you. How did Jimmy break his leg?’