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Probability Theory An Analytic View Second Edition
Daniel W. Stroock Digital Instant Download
Author(s): Daniel W. Stroock
ISBN(s): 9781139005623, 1139005626
Edition: 2
File Details: PDF, 4.30 MB
Year: 2011
Language: english
This page intentionally left blank
 Probability Theory
An Analytic View, Second Edition

This second edition of Daniel W. Stroock’s text is suitable for first-year graduate
students with a good grasp of introductory undergraduate probability. It provides
a reasonably thorough introduction to modern probability theory with an empha-
sis on the mutually beneficial relationship between probability theory and analy-
sis. It includes more than 750 exercises and offers new material on Levy processes,
large deviations theory, Gaussian measures on a Banach space, and the relationship
between a Wiener measure and partial differential equations.
The first part of the book deals with independent random variables, Central Limit
phenomena, the general theory of weak convergence and several of its applications, as
well as elements of both the Gaussian and Markovian theories of measures on function
space. The introduction of conditional expectation values is postponed until the
second part of the book, where it is applied to the study of martingales. This part also
explores the connection between martingales and various aspects of classical analysis
and the connections between a Wiener measure and classical potential theory.

Dr. Daniel W. Stroock is the Simons Professor of Mathematics Emeritus at the

Massachusetts Institute of Technology. He has published many articles and is the
author of six books, most recently Partial Differential Equations for Probabilists
(2008).
Probability Theory
An Analytic View
Second Edition

Daniel W. Stroock
Massachusetts Institute of Technology
 cambridge university press
Cambridge, New York, Melbourne, Madrid, Cape Town, Singapore,
São Paulo, Delhi, Dubai, Tokyo, Mexico City

Cambridge University Press

32 Avenue of the Americas, New York, NY 10013-2473, USA
www.cambridge.org
Information on this title: www.cambridge.org/9780521132503


c Daniel W. Stroock 1994, 2011

This publication is in copyright. Subject to statutory exception

and to the provisions of relevant collective licensing agreements,
no reproduction of any part may take place without the written
permission of Cambridge University Press.

First edition published 1994

First paperback edition 2000
Second edition published 2011

Printed in the United States of America

A catalog record for this publication is available from the British Library.

Library of Congress Cataloging in Publication data

Stroock, Daniel W.
Probability theory : an analytic view/ Daniel W. Stroock. – 2nd ed.
p. cm.
Includes bibliographical references and index.
ISBN 978-0-521-76158-1 (hardback) – ISBN 978-0-521-13250-3 (pbk.)
1. Probabilities. I. Title.
QA 273.S763 2010
519.2–dc22 2010027652

ISBN 978-0-521-76158-1 Hardback

ISBN 978-0-521-13250-3 Paperback

Cambridge University Press has no responsibility for the persistence or accuracy of URLs for
external or third-party Internet Web sites referred to in this publication and does not guarantee
that any content on such Web sites is, or will remain, accurate or appropriate.
This book is dedicated to my teachers:

M. Kac, H.P. McKean, Jr., and S.R.S. Varadhan

 Contents

Preface . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xiii

Table of Dependence . . . . . . . . . . . . . . . . . . . . . . xxi

Chapter 1 Sums of Independent Random Variables . . . . . . . . 1

1.1 Independence . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.1.1. Independent σ-Algebras . . . . . . . . . . . . . . . . . . . 1
1.1.2. Independent Functions . . . . . . . . . . . . . . . . . . . . 4
1.1.3. The Rademacher Functions . . . . . . . . . . . . . . . . . . 5
Exercises for § 1.1 . . . . . . . . . . . . . . . . . . . . . . . . . 7
1.2 The Weak Law of Large Numbers . . . . . . . . . . . . . . . 14
1.2.1. Orthogonal Random Variables . . . . . . . . . . . . . . . 14
1.2.2. Independent Random Variables . . . . . . . . . . . . . . . 15
1.2.3. Approximate Identities . . . . . . . . . . . . . . . . . . . 16
Exercises for § 1.2 . . . . . . . . . . . . . . . . . . . . . . . . 20
1.3 Cramér’s Theory of Large Deviations . . . . . . . . . . . . . . 22
Exercises for § 1.3 . . . . . . . . . . . . . . . . . . . . . . . . 31
1.4 The Strong Law of Large Numbers . . . . . . . . . . . . . . . 35
Exercises for § 1.4 . . . . . . . . . . . . . . . . . . . . . . . . 42
1.5 Law of the Iterated Logarithm . . . . . . . . . . . . . . . . 49
Exercises for § 1.5 . . . . . . . . . . . . . . . . . . . . . . . . 56

Chapter 2 The Central Limit Theorem . . . . . . . . . . . . . 59

2.1 The Basic Central Limit Theorem . . . . . . . . . . . . . . . 60
2.1.1. Lindeberg’s Theorem . . . . . . . . . . . . . . . . . . . 60
2.1.2. The Central Limit Theorem . . . . . . . . . . . . . . . . 62
Exercises for § 2.1 . . . . . . . . . . . . . . . . . . . . . . . . 65
2.2 The Berry–Esseen Theorem via Stein’s Method . . . . . . . . . 71
2.2.1. L1 -Berry–Esseen . . . . . . . . . . . . . . . . . . . . . 72
2.2.2. The Classical Berry–Esseen Theorem . . . . . . . . . . . . 75
Exercises for § 2.2 . . . . . . . . . . . . . . . . . . . . . . . . 81
2.3 Some Extensions of The Central Limit Theorem . . . . . . . . . 82
2.3.1. The Fourier Transform . . . . . . . . . . . . . . . . . . . 82
2.3.2. Multidimensional Central Limit Theorem . . . . . . . . . . . 84
2.3.3. Higher Moments . . . . . . . . . . . . . . . . . . . . . 87
Exercises for § 2.3 . . . . . . . . . . . . . . . . . . . . . . . . 90

vii
viii Contents
2.4 An Application to Hermite Multipliers . . . . . . . . . . . . . 96
2.4.1. Hermite Multipliers . . . . . . . . . . . . . . . . . . . . 96
2.4.2. Beckner’s Theorem . . . . . . . . . . . . . . . . . . . . 101
2.4.3. Applications of Beckner’s Theorem . . . . . . . . . . . . . 105
Exercises for § 2.4 . . . . . . . . . . . . . . . . . . . . . . . . 110

Chapter 3 Infinitely Divisible Laws . . . . . . . . . . . . . . . 115

3.1 Convergence of Measures on RN . . . . . . . . . . . . . . . . 115
3.1.1. Sequential Compactness in M1 (RN ) . . . . . . . . . . . . . 116
3.1.2. Lévy’s Continuity Theorem . . . . . . . . . . . . . . . . . 117
Exercises for § 3.1 . . . . . . . . . . . . . . . . . . . . . . . . 119
3.2 The Lévy–Khinchine Formula . . . . . . . . . . . . . . . . . 122
3.2.1. I(RN ) Is the Closure of P(RN ) . . . . . . . . . . . . . . . 123
3.2.2. The Formula . . . . . . . . . . . . . . . . . . . . . . . 126
Exercises for § 3.2 . . . . . . . . . . . . . . . . . . . . . . . . 137
3.3 Stable Laws . . . . . . . . . . . . . . . . . . . . . . . . . 139
3.3.1. General Results . . . . . . . . . . . . . . . . . . . . . . 139
3.3.2. α-Stable Laws . . . . . . . . . . . . . . . . . . . . . . 141
Exercises for § 3.3 . . . . . . . . . . . . . . . . . . . . . . . . 147

Chapter 4 Lévy Processes . . . . . . . . . . . . . . . . . . . 151

4.1 Stochastic Processes, Some Generalities . . . . . . . . . . . . . 152
4.1.1. The Space D(RN ) . . . . . . . . . . . . . . . . . . . . . 153
4.1.2. Jump Functions . . . . . . . . . . . . . . . . . . . . . . 156
Exercises for § 4.1 . . . . . . . . . . . . . . . . . . . . . . . . 159
4.2 Discontinuous Lévy Processes . . . . . . . . . . . . . . . . . 160
4.2.1. The Simple Poisson Process . . . . . . . . . . . . . . . . . 161
4.2.2. Compound Poisson Processes . . . . . . . . . . . . . . . . 163
4.2.3. Poisson Jump Processes . . . . . . . . . . . . . . . . . . 168
4.2.4. Lévy Processes with Bounded Variation . . . . . . . . . . . 170
4.2.5. General, Non-Gaussian Lévy Processes . . . . . . . . . . . . 171
Exercises for § 4.2 . . . . . . . . . . . . . . . . . . . . . . . . 174
4.3 Brownian Motion, the Gaussian Lévy Process . . . . . . . . . . 177
4.3.1. Deconstructing Brownian Motion . . . . . . . . . . . . . . 178
4.3.2. Lévy’s Construction of Brownian Motion . . . . . . . . . . . 180
4.3.3. Lévy’s Construction in Context . . . . . . . . . . . . . . . 182
4.3.4. Brownian Paths Are Non-Differentiable . . . . . . . . . . . 183
4.3.5. General Lévy Processes . . . . . . . . . . . . . . . . . . 185
Exercises for § 4.3 . . . . . . . . . . . . . . . . . . . . . . . . 187
 Contents ix
Chapter 5 Conditioning and Martingales . . . . . . . . . . . . 193
5.1 Conditioning . . . . . . . . . . . . . . . . . . . . . . . . 193
5.1.1. Kolmogorov’s Definition . . . . . . . . . . . . . . . . . . 194
5.1.2. Some Extensions . . . . . . . . . . . . . . . . . . . . . 198
Exercises for § 5.1 . . . . . . . . . . . . . . . . . . . . . . . . 202
5.2 Discrete Parameter Martingales . . . . . . . . . . . . . . . . 205
5.2.1. Doob’s Inequality and Marcinkewitz’s Theorem . . . . . . . . 206
5.2.2. Doob’s Stopping Time Theorem . . . . . . . . . . . . . . . 212
5.2.3. Martingale Convergence Theorem . . . . . . . . . . . . . . 214
5.2.4. Reversed Martingales and De Finetti’s Theory . . . . . . . . . 217
5.2.5. An Application to a Tracking Algorithm . . . . . . . . . . . 221
Exercises for § 5.2 . . . . . . . . . . . . . . . . . . . . . . . . 226

Chapter 6 Some Extensions and Applications of Martingale

Theory . . . . . . . . . . . . . . . . . . . . . . 233
6.1 Some Extensions . . . . . . . . . . . . . . . . . . . . . . . 233
6.1.1. Martingale Theory for a σ-Finite Measure Space . . . . . . . 233
6.1.2. Banach Space–Valued Martingales . . . . . . . . . . . . . . 239
Exercises for § 6.1 . . . . . . . . . . . . . . . . . . . . . . . . 240
6.2 Elements of Ergodic Theory . . . . . . . . . . . . . . . . . . 244
6.2.1. The Maximal Ergodic Lemma . . . . . . . . . . . . . . . . 245
6.2.2. Birkhoff’s Ergodic Theorem . . . . . . . . . . . . . . . . 248
6.2.3. Stationary Sequences . . . . . . . . . . . . . . . . . . . 251
6.2.4. Continuous Parameter Ergodic Theory . . . . . . . . . . . . 253
Exercises for § 6.2 . . . . . . . . . . . . . . . . . . . . . . . . 256
6.3 Burkholder’s Inequality . . . . . . . . . . . . . . . . . . . . 257
6.3.1. Burkholder’s Comparison Theorem . . . . . . . . . . . . . 257
6.3.2. Burkholder’s Inequality . . . . . . . . . . . . . . . . . . 262
Exercises for § 6.3 . . . . . . . . . . . . . . . . . . . . . . . . 263

Chapter 7 Continuous Parameter Martingales . . . . . . . . . 266

7.1 Continuous Parameter Martingales . . . . . . . . . . . . . . . 266
7.1.1. Progressively Measurable Functions . . . . . . . . . . . . . 266
7.1.2. Martingales: Definition and Examples . . . . . . . . . . . . 267
7.1.3. Basic Results . . . . . . . . . . . . . . . . . . . . . . . 270
7.1.4. Stopping Times and Stopping Theorems . . . . . . . . . . . 272
7.1.5. An Integration by Parts Formula . . . . . . . . . . . . . . 276
Exercises for § 7.1 . . . . . . . . . . . . . . . . . . . . . . . . 280
7.2 Brownian Motion and Martingales . . . . . . . . . . . . . . . 282
7.2.1. Lévy’s Characterization of Brownian Motion . . . . . . . . . 282
7.2.2. Doob–Meyer Decomposition, an Easy Case . . . . . . . . . . 284
7.2.3. Burkholder’s Inequality Again . . . . . . . . . . . . . . . . 289
x Contents
Exercises for § 7.2 . . . . . . . . . . . . . . . . . . . . . . . . 290
7.3 The Reflection Principle Revisited . . . . . . . . . . . . . . . 292
7.3.1. Reflecting Symmetric Lévy Processes . . . . . . . . . . . . 292
7.3.2. Reflected Brownian Motion . . . . . . . . . . . . . . . . . 294
Exercises for § 7.3 . . . . . . . . . . . . . . . . . . . . . . . . 298

Chapter 8 Gaussian Measures on a Banach Space . . . . . . . . 299

8.1 The Classical Wiener Space . . . . . . . . . . . . . . . . . . 299
8.1.1. Classical Wiener Measure . . . . . . . . . . . . . . . . . 299
8.1.2. The Classical Cameron–Martin Space . . . . . . . . . . . . 303
Exercises for § 8.1 . . . . . . . . . . . . . . . . . . . . . . . . 306
8.2 A Structure Theorem for Gaussian Measures . . . . . . . . . . 306
8.2.1. Fernique’s Theorem . . . . . . . . . . . . . . . . . . . . 306
8.2.2. The Basic Structure Theorem . . . . . . . . . . . . . . . . 307
8.2.3. The Cameron–Marin Space . . . . . . . . . . . . . . . . . 310
Exercises for § 8.2 . . . . . . . . . . . . . . . . . . . . . . . . 313
8.3 From Hilbert to Abstract Wiener Space . . . . . . . . . . . . 317
8.3.1. An Isomorphism Theorem . . . . . . . . . . . . . . . . . 317
8.3.2. Wiener Series . . . . . . . . . . . . . . . . . . . . . . . 318
8.3.3. Orthogonal Projections . . . . . . . . . . . . . . . . . . . 322
8.3.4. Pinned Brownian Motion . . . . . . . . . . . . . . . . . . 326
8.3.5. Orthogonal Invariance . . . . . . . . . . . . . . . . . . . 328
Exercises for § 8.3 . . . . . . . . . . . . . . . . . . . . . . . . 330
8.4 A Large Deviations Result and Strassen’s Theorem . . . . . . . 337
8.4.1. Large Deviations for Abstract Wiener Space . . . . . . . . . 337
8.4.2. Strassen’s Law of the Iterated Logarithm . . . . . . . . . . . 340
Exercises for § 8.4 . . . . . . . . . . . . . . . . . . . . . . . . 342
8.5 Euclidean Free Fields . . . . . . . . . . . . . . . . . . . . 343
8.5.1. The Ornstein–Uhlenbeck Process . . . . . . . . . . . . . . 344
8.5.2. Ornstein–Uhlenbeck as an Abstract Wiener Space . . . . . . . 346
8.5.3. Higher Dimensional Free Fields . . . . . . . . . . . . . . . 349
Exercises for § 8.5 . . . . . . . . . . . . . . . . . . . . . . . . 355
8.6 Brownian Motion on a Banach Space . . . . . . . . . . . . . . 358
8.6.1. Abstract Wiener Formulation . . . . . . . . . . . . . . . . 358
8.6.2. Brownian Formulation . . . . . . . . . . . . . . . . . . . 361
8.6.3. Strassen’s Theorem Revisited . . . . . . . . . . . . . . . . 363
Exercises for § 8.6 . . . . . . . . . . . . . . . . . . . . . . . . 365

Chapter 9 Convergence of Measures on a Polish Space . . . . . 367

9.1 Prohorov–Varadarajan Theory . . . . . . . . . . . . . . . . 367
9.1.1. Some Background . . . . . . . . . . . . . . . . . . . . . 367
9.1.2. The Weak Topology . . . . . . . . . . . . . . . . . . . . 370
9.1.3. The Lévy Metric and Completeness of M1 (E) . . . . . . . . . 377
 Contents xi
Exercises for § 9.1 . . . . . . . . . . . . . . . . . . . . . . . . 381
9.2 Regular Conditional Probability Distributions . . . . . . . . . . 386
9.2.1. Fibering a Measure . . . . . . . . . . . . . . . . . . . . 388
9.2.2. Representing Lévy Measures via the Itô Map . . . . . . . . . 390
Exercises for § 9.2 . . . . . . . . . . . . . . . . . . . . . . . . 392
9.3 Donsker’s Invariance Principle . . . . . . . . . . . . . . . . . 392
9.3.1. Donsker’s Theorem . . . . . . . . . . . . . . . . . . . . 393
9.3.2. Rayleigh’s Random Flights Model . . . . . . . . . . . . . . 396
Exercise for § 9.3 . . . . . . . . . . . . . . . . . . . . . . . . 399

Chapter 10 Wiener Measure and Partial Differential Equations . 400

10.1 Martingales and Partial Differential Equations . . . . . . . . . 400
10.1.1. Localizing and Extending Martingale Representations . . . . . 401
10.1.2. Minimum Principles . . . . . . . . . . . . . . . . . . . 404
10.1.3. The Hermite Heat Equation . . . . . . . . . . . . . . . . 405
10.1.4. The Arcsine Law . . . . . . . . . . . . . . . . . . . . . 407
10.1.5. Recurrence and Transience of Brownian Motion . . . . . . . 411
Exercises for § 10.1 . . . . . . . . . . . . . . . . . . . . . . . 415
10.2 The Markov Property and Potential Theory . . . . . . . . . . 416
10.2.1. The Markov Property for Wiener Measure . . . . . . . . . . 416
10.2.2. Recurrence in One and Two Dimensions . . . . . . . . . . . 417
10.2.3. The Dirichlet Problem . . . . . . . . . . . . . . . . . . 418
Exercises for § 10.2 . . . . . . . . . . . . . . . . . . . . . . . 426
10.3 Other Heat Kernels . . . . . . . . . . . . . . . . . . . . . 429
10.3.1. A General Construction . . . . . . . . . . . . . . . . . . 429
10.3.2. The Dirichlet Heat Kernel . . . . . . . . . . . . . . . . . 431
10.3.3. Feynman–Kac Heat Kernels . . . . . . . . . . . . . . . . 436
10.3.4. Ground States and Associated Measures on Pathspace . . . . 439
10.3.5. Producing Ground States . . . . . . . . . . . . . . . . . 445
Exercises for § 10.3 . . . . . . . . . . . . . . . . . . . . . . . 449

Chapter 11 Some Classical Potential Theory . . . . . . . . . . 456

11.1 Uniqueness Refined . . . . . . . . . . . . . . . . . . . . . 456
11.1.1. The Dirichlet Heat Kernel Again . . . . . . . . . . . . . . 456
11.1.2. Exiting Through ∂reg G . . . . . . . . . . . . . . . . . . 459
11.1.3. Applications to Questions of Uniqueness . . . . . . . . . . . 463
11.1.4. Harmonic Measure . . . . . . . . . . . . . . . . . . . . 468
Exercises for § 11.1 . . . . . . . . . . . . . . . . . . . . . . . 472
11.2 The Poisson Problem and Green Functions . . . . . . . . . . . 475
11.2.1. Green Functions when N ≥ 3 . . . . . . . . . . . . . . . 476
11.2.2. Green Functions when N ∈ {1, 2} . . . . . . . . . . . . . . 477
Exercises for § 11.2 . . . . . . . . . . . . . . . . . . . . . . . 486
11.3 Excessive Functions, Potentials, and Riesz Decompositions . . . . 487
xii Contents
11.3.1. Excessive Functions . . . . . . . . . . . . . . . . . . . . 488
11.3.2. Potentials and Riesz Decomposition . . . . . . . . . . . . 489
Exercises for § 11.3 . . . . . . . . . . . . . . . . . . . . . . . 496
11.4 Capacity . . . . . . . . . . . . . . . . . . . . . . . . . 497
11.4.1. The Capacitory Potential . . . . . . . . . . . . . . . . . 497
11.4.2. The Capacitory Distribution . . . . . . . . . . . . . . . . 500
11.4.3. Wiener’s Test . . . . . . . . . . . . . . . . . . . . . . 504
11.4.4. Some Asymptotic Expressions Involving Capacity . . . . . . 507
Exercises for § 11.4 . . . . . . . . . . . . . . . . . . . . . . . 514

Notation . . . . . . . . . . . . . . . . . . . . . . . . . . . . 517

Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 521
 Preface

From the Preface to the First Edition

When writing a graduate level mathematics book during the last decade of
the twentieth century, one probably ought not inquire too closely into one’s
motivation. In fact, if ones own pleasure from the exercise is not sufficient to
justify the effort, then one should seriously consider dropping the project. Thus,
to those who (either before or shortly after opening it) ask for whom was this
book written, my pale answer is me; and, for this reason, I thought that I should
preface this preface with an explanation of who I am and what were the peculiar
educational circumstances that eventually gave rise to this somewhat peculiar
book.
My own introduction to probability theory began with a private lecture from
H.P. McKean, Jr. At the time, I was a (more accurately, the) graduate student
of mathematics at what was then called The Rockefeller Institute for Biologi-
cal Sciences. My official mentor there was M. Kac, whom I had cajoled into
becoming my adviser after a year during which I had failed to insert even one
micro-electrode into the optic nerves of innumerable limuli. However, as I soon
came to realize, Kac had accepted his role on the condition that it would not
become a burden. In particular, he had no intention of wasting much of his
own time on a reject from the neurophysiology department. On the other hand,
he was most generous with the time of his younger associates, and that is how
I wound up in McKean’s office. Never one to bore his listeners with a lot of
dull preliminaries, McKean launched right into a wonderfully lucid explanation
of P. Lévy’s interpretation of the infinitely divisible laws. I have to admit that
my appreciation of the lucidity of his lecture arrived nearly a decade after its
delivery, and I can only hope that my reader will reserve judgment of my own
presentation for an equal length of time.
In spite of my perplexed state at the end of McKean’s lecture, I was sufficiently
intrigued to delve into the readings that he suggested at its conclusion. Knowing
that the only formal mathematics courses that I would be taking during my
graduate studies would be given at N.Y.U. and guessing that those courses would
be oriented toward partial differential equations, McKean directed me to material
which would help me understand the connections between partial differential
equations and probability theory. In particular, he suggested that I start with
the, then recently translated, two articles by E.B. Dynkin which had appeared
originally in the famous 1956 volume of Teoriya Veroyatnostei i ee Primeneniya.
Dynkin’s articles turned out to be a godsend. They were beautifully crafted to

xiii
xiv Preface
tell the reader enough so that he could understand the ideas and not so much
that he would become bored by them. In addition, they gave me an introduction
to a host of ideas and techniques (e.g., stopping times and the strong Markov
property), all of which Kac himself consigned to the category of overelaborated
measure theory. In fact, it would be reasonable to say that my thesis was simply
the application of techniques which I picked up from Dynkin to a problem that
I picked up by reading some notes by Kac. Of course, along the way I profited
immeasurably from continued contact with McKean, a large number of courses
at N.Y.U. (particularly ones taught by M. Donsker, F. John, and L. Nirenberg),
and my increasingly animated conversations with S.R.S. Varadhan.
As I trust the preceding description makes clear, my graduate education was
anything but deprived; I had ready access to some of the very best analysts
of the day. On the other hand, I never had a proper introduction to my field,
probability theory. The first time that I ever summed independent random
variables was when I was summing them in front of a class at N.Y.U. Thus,
although I now admire the magnificent body of mathematics created by A.N.
Kolmogorov, P. Lévy, and the other twentieth-century heroes of the field, I
am not a dyed-in-the-wool probabilist (i.e., what Donsker would have called a
true coin-tosser). In particular, I have never been able to develop sufficient
sensitivity to the distinction between a proof and a probabilistic proof. To me,
a proof is clearly probabilistic only if its punch-line comes down to an argument
like P (A) ≤ P (B) because A ⊆ B; and there are breathtaking examples of such
arguments. However, to base an entire book on these examples would require a
level of genius that I do not possess. In fact, I myself enjoy probability theory
best when it is inextricably interwoven with other branches of mathematics and
not when it is presented as an entity unto itself. For this reason, the reader
should not be surprised to discover that he finds some of the material presented
in this book does not belong here; but I hope that he will make an effort to figure
out why I disagree with him.

Preface to the Second Edition

My favorite “preface to a second edition” is the one that G.N. Watson wrote for
the second edition of his famous treatise on Bessel functions. The first edition
appeared in 1922, the second came out in 1941, and Watson had originally
intended to stay abreast of developments and report on them in the second
edition. However, in his preface to the second edition Watson admits that his
interest in the topic had “waned” during the intervening years and apologizes
that, as a consequence, the new edition contains less new material than he had
thought it would.
My excuse for not incorporating more new material into this second edition is
related to but somewhat different from Watson’s. In my case, what has waned
is not my interest in probability theory but instead my ability to assimilate
the transformations that the subject has undergone. When I was a student,
 Preface xv
probabilists were still working out the ramifications of Kolmogorov’s profound
insights into the connections between probability and analysis, and I have spent
my career investigating and exploiting those connections. However, about the
time when the first edition of this book was published, probability theory began
a return to its origins in combinatorics, a topic in which my abilities are woefully
deficient. Thus, although I suspect that, for at least a decade, the most exciting
developments in the field will have a strong combinatorial component, I have
not attempted to prepare my readers for those developments. I repeat that my
decision not to incorporate more combinatorics into this new edition in no way
reflects my assessment of the direction in which probability is likely to go but
instead reflects my assessment of my own inability to do justice to the beautiful
combinatorial ideas that have been introduced in the recent past.
In spite of the preceding admission, I believe that the material in this book
remains valuable and that, no matter how probability theory evolves, the ideas
and techniques presented here will play an important role. Furthermore, I have
made some substantive changes. In particular, I have given more space to in-
finitely divisible laws and their associated Lévy processes, both of which are now
developed in RN rather than just in R. In addition, I have added an entire chap-
ter devoted to Gaussian measures in infinite dimensions from the perspective of
the Segal–Gross school. Not only have recent developments in Malliavin calculus
and conformal field theory sparked renewed interest in this topic, but it seems to
me that most modern texts pay either no or too little attention to this beautiful
material. Missing from the new edition is the treatment of singular integrals. I
included it in the first edition in the hope that it would elucidate the similarity
between cancellations that underlie martingale theory, especially Burkholder’s
Inequality, and Calderon–Zygmund theory. I still believe that these similarities
are worth thinking about, but I have decided that my explanation of them led
me too far astray and was more of a distraction than a pedagogically valuable
addition.
Besides those mentioned above, minor changes have been made throughout.
For one thing, I have spent a lot of time correcting old errors and, undoubtedly,
inserting new ones. Secondly, I have made several organizational changes as well
as others that are remedial. A summary of the contents follows.

Summary

1: Chapter 1 contains a sampling of the standard, pointwise convergence theo-

rems dealing with partial sums of independent random variables. These include
the Weak and Strong Laws of Large Numbers as well as Hartman–Wintner’s Law
of the Iterated Logarithm. In preparation for the Law of the Iterated Logarithm,
Cramér’s theory of large deviations from the Law of Large Numbers is developed
in § 1.4. Everything here is very standard, although I feel that my passage from
the bounded to the general case of the Law of the Iterated Logarithm has been
xvi Preface
considerably smoothed by the ideas that I learned during a conversation with
M. Ledoux.
2: The whole of Chapter 2 is devoted to the classical Central Limit Theorem.
After an initial (and slightly flawed) derivation of the basic result via moment
considerations, Lindeberg’s general version is derived in § 2.1. Although Linde-
berg’s result has become a sine qua non in the writing of probability texts, the
Berry–Esseen estimate has not. Indeed, until recently, the Berry–Esseen esti-
mate required a good many somewhat tedious calculations with characteristic
functions (i.e., Fourier transforms), and most recent authors seem to have de-
cided that the rewards did not justify the effort. I was inclined to agree with
them until P. Diaconis brought to my attention E. Bolthausen’s adaptation of
C. Stein’s techniques (the so-called Stein’s method) to give a proof that is not
only brief but also, to me, aesthetically pleasing. In any case, no use of Fourier
methods is made in the derivation given in § 2.2. On the other hand, Fourier
techniques are introduced in § 2.3, where it is shown that even elementary Fourier
analytic tools lead to important extensions of the basic Central Limit Theorem
to more than one dimension. Finally, in § 2.4, the Central Limit Theorem is ap-
plied to the study of Hermite multipliers and (following Wm. Beckner) is used to
derive both E. Nelson’s hypercontraction estimate for the Mehler kernel as well
as Beckner’s own estimate for the Fourier transform. I am afraid that, with this
flagrant example of the sort of thing that does not belong here, I may be trying
the patience of my purist colleagues. However, I hope that their indignation
will be somewhat assuaged by the fact that the rest of the book is essentially
independent of the material in § 2.4.
3: This chapter is devoted to the study of infinitely divisible laws. It begins
in § 3.1 with a few refinements (especially The Lévy Continuity Theorem) of
the Fourier techniques introduced in § 2.3. These play a role in § 3.2, where
the Lévy–Khinchine formula is first derived and then applied to the analysis of
stable laws.
4: In Chapter 4 I construct the Lévy processes (a.k.a. independent increment
processes) corresponding to infinitely divisible laws. Secton 4.1 provides the req-
uisite information about the pathspace D(RN ) of right-continuous paths with
left limits, and § 4.2 gives the construction of Lévy processes with discontinuous
paths, the ones corresponding to infinitely divisible laws having no Gaussian
part. Finally, in § 4.3 I construct Brownian motion, the Lévy process with con-
tinuous paths, following the prescription given by Lévy.
5: Because they are not needed earlier, conditional expectations do not appear
until Chapter 5. The advantage gained by this postponement is that, by the
time I introduce them, I have an ample supply of examples to which condition-
ing can be applied; the disadvantage is that, with considerable justice, many
probabilists feel that one is not doing probability theory until one is condition-
ing. Be that as it may, Kolmogorov’s definition is given in § 5.1 and is shown
 Preface xvii
to extend naturally both to σ-finite measure spaces as well as to random vari-
ables with values in a Banach space. Section 5.2 presents Doob’s basic theory
of real-valued, discrete parameter martingales: Doob’s Inequality, his Stopping
Time Theorem, and his Martingale Convergence Theorem. In the last part of
§ 5.2, I introduce reversed martingales and apply them to DeFinetti’s theory of
exchangeable random variables.
6: Chapter 6 opens with extensions of martingale theory in two directions: to
σ-finite measures and to random variables with values in a Banach space. The
results in § 6.1 are used in § 6.2 to derive Birkhoff’s Individual Ergodic Theorem
and a couple of its applications. Finally, in § 6.3 I prove Burkholder’s Inequality
for martingales with values in a Hilbert space. The derivation that I give is
essentially the same as Burkholder’s second proof, the one that gives optimal
constants.
7: Section 7.1 provides a brief introduction to the theory of martingales with
a continuous parameter. As anyone at all familiar with the topic knows, any-
thing approaching a full account of this theory requires much more space than a
book like this can give it. Thus, I deal with only its most rudimentary aspects,
which, fortunately, are sufficient for the applications to Brownian motion that I
have in mind. Namely, in § 7.2 I first discuss the intimate relationship between
continuous martingales and Brownian motion (Lévy’s martingale characteriza-
tion of Brownian motion), then derive the simplest (and perhaps most widely
applied) case of the Doob–Meyer Decomposition Theory, and finally show what
Burkholder’s Inequality looks like for continuous martingales. In the conclud-
ing section, § 7.3, the results in §§ 7.1–7.2 are applied to derive the Reflection
Principle for Brownian motion.
8: In § 8.1 I formulate the description of Brownian motion in terms of its Gaus-
sian, as opposed to its independent increment, properties. More precisely, fol-
lowing Segal and Gross, I attempt to convince the reader that Wiener measure
(i.e., the distribution of Brownian motion) would like to be the standard Gauss
measure on the Hilbert space H 1 (RN ) of absolutely continuous paths with a
square integrable derivative, but, for technical reasons, cannot live there and
has to settle for a Banach space in which H 1 (RN ) is densely embedded. Using
Wiener measure as the model, in § 8.2 I show that, at an abstract level, any
non-degenerate, centered Gaussian measure on an infinite dimensional, separa-
ble Banach space shares the same structure as Wiener measure in the sense
that there is always a densely embedded Hilbert space, known as the Cameron–
Martin space, for which it would like to be the standard Gaussian measure but
on which it does not fit. In order to carry out this program, I need and prove
Fernique’s Theorem for Gaussian measures on a Banach space. In § 8.3 I begin
by going in the opposite direction, showing how to pass from a Hilbert space H
to a Gaussian measure on a Banach space E for which H is the Cameron–Martin
space. The rest of § 8.3 gives two applications: one to “pinned Brownian” motion
xviii Preface
and the second to a very general statement of orthogonal invariance for Gaussian
measures. The main goal of § 8.4 is to prove a large deviations result, known as
Schilder’s Theorem, for abstract Wiener spaces; and once I have Schilder’s The-
orem, I apply it to derive a version of Strassen’s Law of the Iterated Logarithm.
Starting with the Ornstein–Uhlenbeck process, I construct in § 8.5 a family of
Gaussian measures known in the mathematical physics literature as Euclidean
free fields. In the final section, § 8.6, I first show how to construct Banach space–
valued Brownian motion and then derive the original form of Strassen’s Law of
the Iterated Logarithm in that context.
9: The central topic here is the abstract theory of weak convergence of prob-
ability measures on a Polish space. The basic theory is developed in § 9.1. In
§ 9.2 I apply the theory to prove the existence of regular conditional probability
distributions, and in § 9.3 I use it to derive Donsker’s Invariance Principle (i.e.,
the pathspace statement of the Central Limit Theorem).
10: Chapter 10 is an introduction to the connections between probability the-
ory and partial differential equations. At the beginning of § 10.1 I show that
martingale theory provides a link between probability theory and partial dif-
ferential equations. More precisely, I show how to represent in terms of Wiener
integrals solutions to parabolic and elliptic partial differential equations in which
the Laplacian is the principal part. In the second part of § 10.1, I use this link to
calculate various Wiener integrals. In § 10.2 I introduce the Markov property of
Wiener measure and show how it not only allows one to evaluate other Wiener
integrals in terms of solutions to elliptic partial differential equations but also
enables one to prove interesting facts about solutions to such equations as a con-
sequence of their representation in terms of Wiener integrals. Continuing in the
same spirit, I show in § 10.2 how to represent solutions to the Dirichlet problem
in terms of Wiener integrals, and in § 10.3 I use Wiener measure to construct
and discuss heat kernels related to the Laplacian.
11: The final chapter is an extended example of the way in which probability
theory meshes with other branches of analysis, and the example that I have cho-
sen is the marriage between Brownian motion and classical potential theory. Like
an ideal marriage, this one is simultaneously intimate and mutually beneficial to
both partners. Indeed, the more one knows about it, the more convinced one be-
comes that the properties of Brownian paths are a perfect reflection of properties
of harmonic functions, and vice versa. In any case, in § 11.1 I sharpen the results
in § 10.2.3 and show that, in complete generality, the solution to the Dirichlet
problem is given by the Wiener integral of the boundary data evaluated at the
place where Brownian paths exit from the region. Next, in § 11.2, I discuss the
Green function for a region and explain how its existence reflects the recurrence
and transience properties of Brownian paths. In preparation for § 11.4, § 11.3 is
devoted to the Riesz Decomposition Theorem for excessive functions. Finally,
in § 11.4, I discuss the capacity of regions, derive Chung’s representation of the
Discovering Diverse Content Through
Random Scribd Documents
chorus on Broadway wore in Scene I of “Good Night Cap.” It was
one of those musical mélanges commonly known as girlie shows,
and advertised in red splashes of poster as “A Bevy of Beauties All
under Twenty.” Its prescription is filled each season with merely a
change of lights and trappings to distinguish it from its predecessor.
The bloods of New York patronize the Summer Garden with a loyalty
that brings them back at least once a week. The one theater in town
it is in which the chorus fraternizes with the audience, tripping down
a runway into the aisles to trill their syncopated love ditties into the
ears of selected members, or swinging overhead on ropes of roses,
bare knees perilously near bald heads. Buyers, politicians, traveling
salesmen, miners and perfectly proper tired business men with their
smiling better halves all enter the place with a twinkle of anticipation
and come out humming a medley of haunting tunes.
On the night in question, one of early March, Miss Mariette Mallard’s
voluminous moleskin wrap was draped over the back of her chair
and she pulled it round her with a pretty baby shiver as she scanned
the girl who had just come in. Then she winked at the black-eyed
one.
“Well,” she observed, forgetting to go on with her story, “how is
mamma’s sparkler to-night?”
The girl bit her lip, then turned with a grin that was not in her eyes
and flashed under Miss Mariette’s little nose the hand that had
dusted
251 the mirror. On its third finger blinked a diamond, the size and
brilliance of which was breath taking.
Miss Mallard promptly turned her attention to the black-eyed one.
“Gracie deah, suppose you had a block of ice like that—wouldn’t you
try to make your clothes live up to it?”
The black-eyed one giggled: “And I wouldn’t be so upstage about it
until I did.”
The object of their amusement set her teeth and turned back to the
mirror, addressing the reflection: “I pay cash for my clothes. That’s
more than some people can say.”
The black-eyed one giggled again. “They look it,” she murmured
sweetly.
Miss Mariette indulged in a smile still more saccharine. “They look as
if you paid nothing for them, my deah. Take my advice and pay cash
to get rid of them.” She gave a dismissing flourish of her small hand
and patted her pale blonde ringlets.
The chorus girl of to-day buys her hats on Fifth Avenue and borrows
her manner from the same thoroughfare. She never forgets that a
lead awaits her if she’s clever enough to look and act the part. Not
that Miss Mallard had any ambitions in that direction. She was
content to be cute and cuddly and first on the left in the front row.
But she did try to live up to the moleskin cloak and the car that
called for her every night. Only at unguarded moments did Second
Avenue scratch through Fifth. “You don’t know how to manage him,
my deah,” she concluded, baby blue eyes fastened on the radiant
stone.
The
252 girl’s lips opened, then shut tight. She had told them where the

ring came from—and they didn’t believe her. Besides, if she tried to
answer them she’d cry, and she’d die rather than let them see her
do that! It was the same struggle she went through every night and
two matinées a week—sometimes with bravado, more often in
choking silence. Somehow they made her ashamed, those two, that
for her the apple still hung high on the tree. If they wanted to think
some man had given her the diamond, so much the better! It would
make her seem popular—less a little fool!
She downed the tears by vigorous motion.... She sprang up—a kick
of her heel sent her chair spinning—and ripping open her one-piece
serge dress, she tossed it on the hook in the wall where hung a plain
brown ulster and imitation seal turban—alley cat caught in the rain,
Miss Mariette had christened it. Then she gritted her teeth, pulled
the chair back into place and slashed on make-up.
Sallie MacMahon, listed in chorus annals as Zara May, was one of
those who merited the splashing announcement of the red posters.
Perhaps it was her long mermaid hair with its glisten of sunset on
the sea; perhaps the fact that the lashes shading her deep blue eyes
were the same gold; perhaps the transparent quality of her skin with
the swift play of young blood under the surface; but whatever it
was, Sallie’s beauty held a luminous quality Sallie herself did not
possess. Sallie was just a girl, with a facility for doing what she was
told. The daughter of a Scotch father with somber eyes and an Irish
mother
253 with laughing ones, both of whom had sailed the misty river
into unknown lands after a stormy sojourn together in this one, she
had been left at fifteen to take care of herself, with a love of the
beautiful on one hand warring against a sense of economy on the
other.
Sallie loved soft furs and clinging silks such as swept into the chorus
dressing-room nightly. But she had no desire to follow the tortuous
path by which such luxuries are achieved. However, the fact that the
Mallard girl and Grace assumed she had done so, did not at all
disturb her. It was their ridicule she feared, their jibes at her clothes.
Speeding across the stone floor under the Summer Garden stage she
tried to bring a smile to her lips. They merely trembled.
There came the march of a military air and the girls filed up the
wobbly wooden steps and through a trap door. Sallie fluffed up her
abbreviated skirt, brought the smile to her lips, fixed it as if it had
been glued there. Her young, elastic body rippled through the
number under the changing lights. She loved the jazz, loved the stir
of rhythm, and had it not been for the ache in her heart whenever
she set foot in the theater, she would have loved the work. She was
nineteen. Music was in her blood.
She danced through the varying scenes with swift changes of
costume, hurried dabs of powder, and little time to nurse her woes.
A number toward the end of Act II was her favorite. It was the one
in which the girls trooped down the runway and trilled to some not
always embarrassed male occupant of an aisle seat:—
254 “Oh-oh-oh-oh-h-h-h-h—
Won’t you—smile at me?”

Often as she swayed through it, it never failed to give her a thrill.
Likewise she never failed to get what she demanded.
To-night, as she syncopated down the aisle, a light like blue fire
darted from her deep eyes. Kindled by the smouldering defiance of
earlier evening it was utterly unconscious of seeking an object. But
the gentleman in the particular seat that was her territory could
scarcely have been expected to know that. To him it constituted
challenge.

“Oh-oh-oh-oh-h-h-h-h—
Won’t you—smile at me?”

urged Sallie.
The man’s lips parted. “You just bet I will!” came in a flash of white
teeth.
Sallie’s mind was not photographic. It registered no definite
impression of the individuals occupying her particular aisle seat.
They came and went, vague as shadows. But this man’s response
and his quick flashing smile with its personal note, made her
suddenly realize that she had been singing to the same pleasant grin
every night that week.
She was still wondering about him as Miss Mariette, at the close of
the performance, stepped into a short-waisted chiffon dress and,
pulling it over slender hips, slipped her arms through the spangled
shoulder straps. She and Grace were booked for a party, and the
latter
255 emerged like a full-blown rose, black eyes dancing above a
gown of American beauty satin. Then both sat down and took some
of the make-up off their faces.
Sallie was in the act of pinning on the alley cat.
“Do show him to us, my deah!” persiflaged Miss Mallard. “Don’t be
so-er-close, even if he is.”
Sallie jabbed the pin into her head, winced in pain and, with chin
trembling and eyes hot with starting tears, hurried into the corridor
followed by the familiar titter. Blindly she made her way up the stairs
to the stage entrance.
Outside, a blaze of changing lights proclaimed that Broadway was
rubbing the sleep from her eyes and preparing to dance. A gold haze
lined the sky, veiling the night even to the silver-white buildings that
reared their heads high into the heavens. Lined up at the curb was a
row of taxis. The modern stage door Johnny no longer stands,
bouquet in hand. He remains discreetly in his cab or car and only
when the lady of his choice emerges does he do likewise.
As Sallie started to cross the street someone called “Good-evening.”
But that being a familiar method of address, she passed on without
a glance.
“I say,” pleaded the voice, “won’t you smile at me again?”
Sallie turned then. Descending from a big yellow car which, had she
known more of auto aristocracy, would have stamped itself as of
prohibitive peerage, was the man of the aisle seat.
He came nearer.
Sallie turned flutteringly on her heel.
“Wait,
256 please,” he begged and his teeth gleamed as they had in the
theater. They were nice teeth in a boyish mouth, and upon Sallie
they had a disarming effect. In spite of an instinctive impulse to run,
she hesitated. The talon scratches inflicted in the chorus dressing-
room were still bleeding and the smile of the man who had ceased
to be a shadow was balm.
He reached her, lifted his hat.
Sallie shifted uncertainly from one foot to the other.
“Come for a ride, won’t you?” he asked.
“Oh, I couldn’t,” she answered promptly.
“Why not?”
“I—I just couldn’t, that’s all.”
He gave her a curious, somewhat puzzled look. “Round the park—
once?”
“I—I—no, thank you, I couldn’t.”
“Then let me drive you home.”
“I—I don’t live very far. I always walk it.”
“Well, ride it to-night. Please!” Again that disarming gleam.
Sallie looked up with eyes clouded and a tremor on her lips. “It’s
nice of you to want to take me, but—”
“But I’ve been coming here every night this week trying to make a
hit with you, and until to-night you never even knew I was alive.
Don’t you think you ought to be a little kind to a fellow who’s as
devoted as that?”
“I—I’d like to, awfully—but—”
“Then what’s to prevent?”
She looked down, tracing a pattern with the toe of her boot.
“Please—I—thanks
257 just the same,” she brought out finally.
She took a step toward the curb, away from him.
And just then came one of those feathery gusts that send whirling
the wheel of fate. Miss Mariette Mallard and Grace issued from the
stage door, their exchange of glances telling too plainly that they
were still enjoying the laugh at her expense. At the curb waited a
limousine quite overshadowed by the gorgeousness of the big yellow
touring car. They drew near, still giggling.
Swift as a bird, Sallie veered back to him. Instantly he was at her
side.
“You can take me home”—it was breathless—“I’ll let you do that.”
Eagerly he helped her in, took his place at the wheel. Sallie turned
with the air of royalty. With the sweetest of smiles, her head inclined
in the direction of the two girls. As the car sped round the corner
she saw them halt abruptly and, like Lot’s wife, stand rooted where
they stopped.
258 CHAPTER II

T O a woman, the discovery that events do not work out as she

had planned comes in the nature of a disappointment. To a
man, the same discovery adds zest to the determination to make
them do so. The man in the yellow touring car was amazed to find
that Sallie actually did permit him to drive her home and no farther.
He had anticipated that run round the park at least once—probably
twice—possibly three times. He had even anticipated a cozy supper
at which, across a table not too wide, he could drink deep of a pair
of well-like blue eyes shaded with gold. But Sallie gave him her
address, ten blocks from the theater, and though he urged with all
the masculine dominance of which he was capable, she got out of
the car in front of a brownstone house sagging as if with the weight
of its own years.
The man looked up the steep steps to where a flicker of gaslight
sifted on the broken mosaics of the vestibule.
“Is this where you live?” he queried, still holding the hand by which
he had helped her.
Sallie nodded, adding as she tried to withdraw the hand, “Thanks
ever so much.”
“Here—just a minute!” He drew her back. “You haven’t told me your
name yet!”
“Zara May.”
“On-the-level name, I mean.”
“Oh”—she
259 flashed him a smile—“that one’s good enough.”
“Peaches and cream would fit better!” came in quick response.
She jerked her hand away. “Good-night, Mr.—Mr.—”
“Patterson. Jimmie Fowler Patterson. You’ll notice I’m not so stingy
as somebody else!”
She caught hold of the rusty iron railing.
He sprang into the car. “Well, I can wait! See you to-morrow, Miss
Zara May.”
Two emotions played havoc with her dreams that night—exultation
over the girls and fear. As through her narrow rear window she
watched the patch of dull blue mellow into dull gray, she assured
herself that to-morrow she would do nothing more than walk past
the yellow car with a pleasant “Good-evening.”
But of course she didn’t. Not to-morrow—nor any other night that
found it waiting at the stage entrance. And that became every night.
In the chorus dressing-room an aura of new interest surrounded her.
That car commanded respect. Miss Mariette even restrained her
inclination to persiflage until one evening some ten days later when
Sallie came in after the final act and caught her hunched on the
floor, back up, meowing with all her might while the alley cat
reposed over one ear.
All the old wounds tore open. The blood gushed to Sallie’s head. She
grabbed the hat and slapped Miss Mariette’s face, leaving the latter
too startled to retaliate in kind. And when Mr. Patterson begged her
as
260 he did each evening to drive out to supper, she stepped into the

car, throat too full for speech.

He gave a broad grin. “Shall we make it up the Drive and back to
Montmartre?”
“I’d just rather ride if you don’t mind.”
They spun up Broadway, through Seventy-second Street and into the
enveloping shadows of Riverside. The moon was up, a new crescent
streaking its modest trail across the water. On the opposite shore the
chain of lights was a necklace of clustering jewels laid on the plush
of night.
Sallie nestled into the deep leather-cushioned seat, somewhat to the
far side. A sharp wind lifted the curls from under the despised turban
and sent them flying across the man’s face. He stole a moment to
turn and gaze.
“You’re a winner!” he murmured.
Sallie scarcely heard him. She was lost in the intoxication of tearing
motor and racing March wind. Never had she experienced anything
like it. And gradually the turmoil of it soothed her own. She closed
her eyes.
When they opened it was to meet a swift turn of road, the houses
mounted to a higher level and before them, far into the star-eyed
night, a stretch of wooded walk through which the Hudson
shimmered.
“What’s this?” she asked, hand grasping his coat sleeve as if to stop
the onward rush.
“Lafayette Boulevard. You’ve been up here—haven’t you?”
“Never!”
He
261 slowed down, eyes mocking her.

“Honestly! I’ve never even heard of it.”

“Good Lord!” he whistled and stared at her.
“How long have you been in the show business?”
“About a year.”
“Well, what have you been doing all that time?”
“Working, most of it.”
“But after working hours?”
“Oh, home right after the show. I’m pretty tired then.”
He gave another low whistle, still regarding her curiously, that
puzzled, half-skeptical expression creeping into his eyes.
“And Sundays?”
“I visit the girls I used to work with.”
“Where?”
“You mean where did I work?”
He nodded, still with that curious measuring of her.
“In Brooklyn—in a department store. I was at the perfumery. And
one day Miss Barton, Bessie Barton—ever hear of her?”
“Rather! Peach of a voice—in ‘Kiss Me Again.’”
“Yes. She was playing over there last year and she came in to buy
some French extract—it’s awfully expensive—”
“I know.”
“I waited on her. And after she’d bought a big bottle—it was eight-
eighty an ounce—she asked me if I’d ever wanted to go on the
stage. She said I was—” Sallie paused.
“Go
262 on,” he put in quickly. “She said you were a beauty who didn’t

belong behind a counter.”

“How did you know?” came wonderingly.
“I don’t need blinders to make me see straight,” he remarked
succinctly.
She gave an embarrassed, stammering laugh. “Well—you—you’re
right. That’s what she did say—and she’d have her manager give me
a job if I wanted it. So I went with them—twenty-five a week. It was
a lot more than I was getting at the store. And when she closed,
they took me on at the Summer Garden.”
“And you still go round with the Brooklyn crowd?”
Some note in his voice put her on the defensive.
“They’re my old friends—why shouldn’t I?”
He stared at her again. “Queer!” he remarked to himself.
They dashed up a hill.
“I guess we’d better be going back,” she sighed regretfully.
“What’s the matter? Don’t you like this?”
“It—it’s wonderful!” Luxuriously she nestled down, eyes half closing
again.
“Then have a heart! I’ve been jitneying you from the theater for two
solid weeks! Be a little sympathetic, won’t you?”
She laughed, a ringing laugh free as the March wind. “You must
think I’m an awful grafter.”
“I think you’re a sweetness.”
The laugh died down. “I guess we’d better be going back.”
They
263 swung round. “All right. But we’ll stop at Arrowhead first.”
“What’s Arrowhead?”
Once more that swift quizzical look, then his head went back with a
long chuckle. “By George, you are cute!”
“What’s so funny about my asking?”
“It’s called Arrowhead Inn, sweetness—and we’re going there for
supper.”
“Oh!”
“Now I guess you think you’re not hungry?”
“No—I am hungry.”
Her prompt and unexpected reply pleased him hugely.
“Right! There you are!”
They were flying up a drive, round a grass plot and under a porte-
cochère. Sallie saw a house girdled with glass that glowed, warm
and alluring.
She went into the hall while her host parked the car. A mirror on the
wall reflected a face very different from the one she saw habitually
in the jagged glass of the dressing-table or the mottled one above
her washstand. Its eyes were glistening, red lips were laughing, and
at one corner a dimple danced. The blood surged under the smooth
skin and went singing through every vein.
To a rotund observer standing nearby, the girl in the mirror looked
like a golden-haired sprite. To Sallie she looked nothing more than
happy. She proceeded to powder her nose critically and straighten
the alley cat on the shining curls. She was still engaged in the
process when Mr. James Patterson came in and bore her off under
the
264 rotund one’s fat nose. Mr. Patterson had already achieved a

proprietory air that prohibited trespassing under penalty of the law.

He refused the first table offered, selecting one close against the
window with an intimate little lamp shedding its blush over the cloth.
Sallie had never felt so important, not even the night of her stage
debut, for then she had been conscious solely of the fact that she
was dancing with no skirt on before a lot of people.
The head-waiter helped her out of the ulster. Mr. Patterson then
seated himself and for the first time Sallie saw him under revealing
electricity.
His hair, parted at the side and brushed straight from his forehead,
gave evidence of having been in boyhood the color affectionately
known as “carrots.” But frequent use of water and military brushes
had charitably darkened it. Remnants of freckles lingered where no
amount of hatless motoring could promote more than one coat of
tan. Above them gray eyes, not so young as they might have been,
searched a world with which they were well acquainted. Smiling,
they were a boy’s. In repose, as old as any frequenter’s of stage
doors.
Sallie’s gaze settled, not on his features but on his clothes. Patch
pockets slanted across the coat. The waistcoat was high and of the
same dark blue material threaded with a hairline of white. From the
sleeves she thought rather too short, he shook down blue silk shirt
cuffs matched by a soft collar. His blue Persian tie was held in an
immaculate four-in-hand by a small pearl scarfpin. The correctness,
the perfection of detail, were to Sallie positively thrilling. As he
picked up the menu she noticed that his hands were wide and
muscular
265 with no shine on the nails. She was glad he wasn’t a dude.
He proceeded to order with the casual ease of one who knows the
chef’s best dishes. Sallie pulled off her gloves, crossed her arms on
the table, leaned forward to listen with a kind of awe. He turned
back and as he did so his glance fell on her hand. It riveted there,
then slowly traveled upward accompanied by the same long low
whistle he had emitted as they drove uptown.
“Whew, what a stone!”
“Yes,” replied Sallie. “It used to be my mother’s.”
He stared. After which came a knowing twinkle to his eyes and a
laugh, equally knowing, to his lips. He said nothing.
“Honestly it was,” Sallie protested.
His stare probed her—then came a faint flash of resentment. “I
wasn’t born yesterday—not quite,” he announced.
Tears started to Sallie’s eyes. “Please—please believe me!”
“Your mother owned a stone like that and you had to work in a
department store?”
“It does sound funny. But it’s true! We never had any money after
my father died. Nor before, either. He just saved and saved, and
then when he was gone mother just spent and spent. She went
crazy spending. She said he never gave us enough to eat when he
was alive and she was going to make the best of it now that he was
dead. So she went to the savings bank and took out every cent and
had
266 a wonderful time—for a while. Hats and dresses and movies

every night. She was awfully pretty—”

“I believe it,” came vehemently.
“And she never did have a decent thing to wear while my father was
living. Then one day she came home with this ring. ‘Baby,’ she said—
she always called me her baby—‘there’s not much left and before it’s
all gone, I want to be sure you’re fixed. If I put it in the bank I’ll
take it out again, so this way we’ll always have something we can
hock if we need to.’”
He chuckled. “And did you ever need to?”
“Often.”
Unwittingly, perhaps, his gaze shifted from the diamond to her dress
and hat. She needed no intuition to interpret that look. Experience
had taught her exactly what it meant. And where defiance had met
the girls in the dressing-room, a wave of shame now swept over her.
Gazing at him in his immaculate perfection, her fingers twitched to
toss the alley cat out of the window. Yet she could not apologize for
it. She couldn’t explain that, being her father’s daughter, she was
banking such of her earnings as could be spared against the day
when the sapphire sparkle would fade from her eyes.
As the ’busboy shook out the glistening white napkin, placing it
across her knees, she felt an absurd inclination to slide under the
table.
Mr. Patterson’s attention, however, had turned to the silver dish of
frogs’ legs submitted for approval. He regarded them critically,
nodded to the waiter, and Sallie’s discomfort vanished in the thrill of
a new experience, though she wished he had ordered a nice thick
steak.
When
267 they were once more gliding down the Drive he leaned over,
quickly freeing one hand, and gave hers a squeeze.
“You’re an adorable infant!” he whispered. “Don’t know just what to
make of you, but you’ve got me going!”
Sallie looked up a little uncertainly. “My right name’s Sallie
MacMahon,” she stammered.
“I don’t care what it is,” came tenderly. “My name for you is the
same as your mother’s—‘Baby!’”
268 CHAPTER III

“G RACIE deah—will you gaze!”

Miss Mallard’s wide, wondering orbs, accompanied by
Grace’s, turned toward the door. Sallie MacMahon had just entered,
resplendent in spring outfit. Above slim ankles billowed a skirt of silk
the color of her eyes. The ankles ended in slippers mounted with
buckles of cut steel. Her arms gleamed white through transparent
clinging sleeves. A necklace of pearls clasped her throat and over
the golden head brimmed a wide hat weighted with roses.
She disrobed nonchalantly, hanging her garments against the sheet
that ran round the wall for their protection. She pretended not to see
the nudges of the girls but her heart sang a paean of triumph.
Now they would stop laughing at her!
Now they would treat her with respect!
Yea—weep for her, ye wise ones! Sallie’s day had come. She had
fallen from grace. Worse, actually reveled in her downfall! That very
morning, without a struggle, she had gone to the bank and wantonly
depleted her little horde. There had followed a wild debauch of
spending such as her own mother had indulged in years before.
Silks, laces, chiffons, feathers! Shades of Scotland, the Irish had won
out!
And having recklessly started at high speed, she could not stop. She
had no desire to. Ridicule she might have endured indefinitely, but
nightly
269 to sit opposite to Mr. James Fowler Patterson in his perfectly
tailored clothes, conscious of the variety and extent of them, that
had been the straw that broke the backbone of resistance.
Once and once only had Mr. Jimmie essayed the rôle of godfather.
Reaching home one evening after a long drive in the moonlight, he
had followed her up the ladder-like steps to the dim vestibule.
Standing there, he had clasped quickly round her wrist a narrow
glittering bracelet.
“To match the ring,” he had whispered.
Sallie’s gaze had fastened on the jewels that laughed up through
semi-darkness.
“Oh—I—couldn’t!” she breathed at last. And don’t imagine it was
easy.
“Please! Just because I want you to.”
“But I—I couldn’t, Jimmie.”
“But if I ask you? I’m crazy about you, Baby. Never was so keen on a
girl in my life.”
Sallie gulped hard and, without looking at it, unclasped the clinging
circlet.
“Please,” he protested as she handed it back. “Please—dear!”
She shook her head decisively.
“But I want to see you in pretty things. I want you to have them.”
“Thanks, Jimmie,—for wanting to give it to me. But you mustn’t—
ever do that again. It wouldn’t be right for me to take it.”
And Jimmie had been forced to content himself with flowers and kid
gloves and perfume—French stuff at eight-eighty an ounce.
That
270 phrase of his, however—“I want to see you in pretty things”—
clung to her consciousness. She wanted him to see her in them. She
wanted to see herself in them. She wanted those girls to see her in
them.
After which the savings bank simply flew to meet her.
“Well,” observed Miss Mallard, still devouring the new costume, “I’m
glad you’re learning how to handle him.”
Sallie slipped into her chair.
“May we inspect the dog collar, my deah?” Miss Mallard pursued.
With large indifference Sallie handed over the necklace and watched
the blue eyes widen. Not hers to inform the lady that it had been
purchased at a near-pearl establishment, guaranteeing that “Our
pearls rival the real.”
Miss Mariette fingered it lovingly, even to the tiny barrel of brilliants
that formed the clasp. “Atta boy!” she breathed and let fall upon its
possessor a look approaching homage.
“Oh, that’s nothing,” Sallie found herself saying, drunk with the
dazzle of scoring at last against her enemies, “I’m going to get a car
of my own soon.” And promptly wondered how she was going to get
it.
But feminine imagination, given full rein, took the bit between its
teeth and galloped beyond Sallie’s control. She spoke of champagne
supper parties and a house on Long Island and sables, with the
largesse of an “Arabian Nights.” She tasted the sweets of seeing
baby blue eyes and impudent black ones dilate with envy as the
other
271 girls gathered round. She swept on, heedless of sharp turns
ahead, and not until the callboy shouted the half hour did she halt.
At the curb that night she found a gray roadster barking its haste to
be off like a pert pomeranian. Mr. J. F. Patterson stepped out, then
stopped short with a gasp as he took in the glory of her. She gave
him her hand—and waited. To her amazement he said not a word,
merely helped her into the car. It snorted and raced up Broadway.
Still not a word! She snuggled into the low seat, turned to look up at
him. He was frowning.
“What’s the matter, Jimmie?”
“Nothing.”
“Something is.”
“Nothing, I tell you.” His tone was brusque. The frown settled
deeper, bringing brows together.
Sallie’s eyes filled. She had pictured something so different—Jimmie
bounding with delight when he saw her! Jimmie covering her with
admiration!
But his mood did not change. Throughout the ride he brooded,
silent, absorbed—though she tried desperately to make
conversation.
“Is this a new car, Jimmie?”
“No.”
“Why didn’t you ever come in it before?”
“In the repair shop.”
“Oh!”
Silence.
“I like it, Jimmie.”
“Do you?”
“Yes. It’s so—so cozy.”
“Is it?”
Silence.
272

“Montgomery’s laid up, Jimmie. And the new lead’s made a big hit.”
“Has he?”
Silence—a long one.
“Jimmie—I—I don’t want any supper.”
“Why?”
“I—I think I want to go home.”
“Just as you say.”
“Jimmie—what—what’s wrong?”
His eyes scanned the beauty of her, steel buckles, silken dress, rose-
laden hat. They ended on the glossy pearls and his lips which had
opened for speech snapped shut.
He drove her home, without a word lifted his cap.
“Jimmie—please—please don’t act that way.”
“What way?”
“So—so queer.”
He gave a short laugh.
She clapped a hand over her mouth, stared at him, eyes swimming,
then fled up the steps.
The following night Mr. Patterson was late for the first time. He
swung round the corner just as Sallie appeared. She was wearing a
violet suit, fluffy lace collar and cuffs, and a hat of violets. They
made her eyes the same color. During a night of tearful and
bewildered groping she had arrived at a conclusion. Jimmie hadn’t
liked the way she looked! He wasn’t pleased with her dress or hat or
something. Maybe he didn’t think they were becoming and hadn’t
wanted to hurt her feelings. A lighter color, perhaps, something
gayer!
273 After which she rolled over with relief, stole a few hours’
sleep, and later embarked on another shopping tour.
But the violet, apparently, made no more satisfactory impression
than the blue. He handed her almost roughly into the car. They shot
like a cannon ball into the darkness.
There were no stars. The moon had reached the full, dwindled and
slipped round to smile upon the other side of the world.
Sallie gulped, groped for a fitting subject and finally burst out:
“Jimmie, tell me about yourself. You never have told me much.”
“Nothing to tell.”
“How does it feel to have so much money?” she proceeded for want
of something better to say.
The effect was electric. He turned on her. The car jerked to the other
side of the road. “You ought to know!”
“I? Stop kidding!”
“Yes, you!”
“But—”
“Look as if you’d come into a Rockefeller income!”
“Well, I haven’t.”
“No?”
“You know it.”
“I don’t know anything about women.”
“Well, you ought to know all about me.”
“Yes—I ought to.” He gave the same ugly laugh of the night before
but in his eyes was real pain. “But who knows what to expect of a
chorus queen.”
“Jimmie!”
274
“Oh, what’s the use?” came in husky desperation. “Let’s be merry!”
Sallie stared, choked and bewildered, into the darkness. She didn’t
know how to answer, how to act. This new Jimmie, this—this nasty
one! He was a stranger. Small teeth settled into her lower lip. She
felt like slipping to the floor of the car and crying her eyes out.
For three nights they followed the same program—Sallie bewitching
in a new costume chosen tearfully to conciliate the mysterious male
—he taciturn, unresponsive, answering her labored conversation
with husky monosyllables or hard cynicism that hurt without
enlightening. Twice during those three days it drizzled and, instead
of suggesting supper in the neighborhood as was their habit in bad
weather, he drove the short ten blocks to the weary brownstone
house and left her there.
“As if he was anxious to get rid of me,” sobbed Sallie into her pillow.
To dust and ashes in her mouth turned the sweets of her triumph
over the girls. Though she continued to weave stories for their
benefit, to elaborate on gifts in the past and the car in the future, to
flash her diamond and twirl her pearls, the tang had gone out of it.
By Friday she felt she couldn’t stand it another minute. What had
she done? Under the glimmering stars she gazed up first in mute
pleading, then—
“Jimmie,” she choked, “take me home. I—I—guess I’d better—”
The roadster snarled at the tug that sent it round the corner.
“Oh—another
275 date!”
“Maybe!” His tone had brought defiance into hers.
“H’m! Thought so!”
“You—you’re horrid!”
“And he’s all to the good—what?”
“Who?”
“Well—can’t blame you! What chance has a mean little bracelet
against a string of oyster tears like that?” The volcano which had
been rumbling all week sent up a sudden blinding glare. “Gad, what
an ass I’ve been!” it spat out.
“Don’t talk like that—don’t!”
“I mean it,—a saphead! Swallowed that diamond yarn whole—hook,
line and sinker.”
“It wasn’t a yarn.”
“You’ll tell me next your mother bought the pearls, too.”
“No—I did.”
The volcano roared a warning. “God!” A pause while his breath
caught.
“It’s true, I tell you! I bought them myself—they’re imitation.”
He flung back his head. His laugh frightened her.
“Oh—won’t you believe me?”
“No!”
“Won’t you—please?”
“And I put you above them—way on top.” The volcano erupted with
thunderous crash. “But you’re like the rest of them! Price—a string of
pearls—a diamond! Rotten—that’s what—! Sit down! Sit down, I
say!! I’ll get you home quick enough!”
White
276 and terrified, she subsided. Words rushed to her lips, clung
there.
He crashed on.
“But you did put it over! Had me going so that I’d have staked my
life on you. Got me with the baby stare stuff. ‘Baby’—huh! It’s a
lesson—I won’t be such a damn fool next time!”
“Jimmie,” the voice struggled to keep steady—“I swear to you—!”
“I wouldn’t believe you on a stack of Bibles! Down on your luck—
thought you had an easy mark! Then something better—pearls!—
came along—”
“I—I’ll never forgive—you!”
“That’s right! Injured innocence—”
“I—I could die this minute!”
“It’s tough, though, when the first time a man really—cares—more
than he ever thought—” The words halted painfully.
“Oh, won’t you listen? Jimmie—you—you had so much—”
“But the other fellow’s got more! Like all the rest—”
They stopped with a jump that made the roadster snort in protest.
“You—you don’t understand.” The sobs clamored to her lips. “To-
morrow—please—please listen—”
She sprang out of the car and up the steps, clinging to the iron rail.
But to-morrow when she hurried out of the stage entrance, eyes
darting to the curb, Mr. James Fowler Patterson was not there.
277 CHAPTER IV

“M Y deah—what has become of the orange motah?” Miss

Mariette turned her round stare on Sallie.
“What—d-do you mean?”
“Well, the yellow peril doesn’t seem to be on duty any more.”
“Oh! He—he’s out of town.”
“M’m! Been ‘out’ some time, I take it.”
“F-four weeks.” Sallie found it impossible to talk these days without a
quiver. And the wells that had been her eyes were wept dry.
“When does he return, my deah?”
“Oh s-soon now, I g-guess.”
“H’m!” Merciless blue eyes took in the small white face, listless
shoulders and drooping mouth, while their owner hummed low and
languorously, “When I Come Back to You.” After which she
proceeded: “And the cobbles, my deah?”
“What?”
“Pearls! The dog collar?”
“Oh! I—I p-put it away.”
“Ah?”
“I—it—I thought I’d better not wear it round all the time.”
After a moment of slow scrutiny Miss Mariette cast her eyes
heavenward. “You were a wise child not to let him get back the
diamond, too,” she drawled.
“I d-don’t know what you’re talking about.”
“Oh—d-don’t
278 you? My deah, do I look as easy as that? It’s plain he’s
gone his merry way tra-la.”
Like a whip Sallie snapped round at her. “He hasn’t!”
“Tra-la, tra-la-la!”
“Don’t you dare—”
“Then where’s the car, tra-la?”
“I told you—”
“The car he was giving you, I mean.”
Grace, who had entered in time for the last words, tittered with all
the old enjoyment.
“Poor little car skidded on the way, Gracie deah,” announced Miss
Mallard.
Sallie’s throat closed in a hard knot. Her head almost dropped on the
table. But not quite. Pride kept it up. Pride and the determination
never to let them know how right they were.
Yet Miss Mallard, having resumed her tactics of warfare allowed to
slip no opportunity for attack. She teased and tormented and tra-la’d
with purring delight, sharp little talons inflicting new wounds.
Sallie began to slink into the dressing-room as if to hide from
insinuating smiles. And coming out of the stage door, she fairly ran
round the corner to escape the torturing vision of that line at the
curb.
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