Probability Theory: The Coupling Method Frank den Hollander Mathematical Institute, Leiden University, P.O. Box 9512, 2300 RA Leiden, The Netherlands email:
[email protected] First draft: June 2010, LATEX-file prepared by H. Nooitgedagt. Second draft: September 2012, figures prepared by A. Troiani. Third draft: December 2012. 1 ABSTRACT Coupling is a powerful method in probability theory through which random variables can be compared with each other. Coupling has been applied in a broad variety of contexts, e.g. to prove limit theorems, to derive inequalities, or to obtain approximations. The present course is intended for master students and PhD students. A basic knowledge of probability theory is required, as well as some familiarity with measure theory. The course first explains what coupling is and what general framework it fits into. After that a number of applications are described. These applications illustrate the power of coupling and at the same time serve as a guided tour through some key areas of modern probability theory. Examples include: random walks, card shuffling, Poisson approximation, Markov chains, correlation inequalities, percolation, interacting particle systems, and diffusions. 2 PRELUDE 1: A game with random digits. Draw 100 digits randomly and independently from the set of numbers 1, 2,..., 9, 0 . Consider { } two players who each do the following: 1. Randomly choose one of the first 10 digits. 2. Move forward as many digits as the number that is hit (move forward 10 digits when a 0 is hit). 3. Repeat. 4. Stop when the next move goes beyond digit 100. 5. Record the last digit that is hit.