Topics in Probability Theory and Stochastic Processes Steven R. Dunbar
Topics in Probability Theory and Stochastic Processes Steven R. Dunbar
Topics in Probability Theory and Stochastic Processes Steven R. Dunbar
Dunbar
Department of Mathematics
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University of Nebraska-Lincoln
Lincoln, NE 68588-0130
http://www.math.unl.edu
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Topics in
Probability Theory and Stochastic Processes
Steven R. Dunbar
Wallis’ Formula
Rating
Mathematically Mature: may contain mathematics beyond calculus with
proofs.
1
Section Starter Question
Can you think of a sequence or a process that approximates π? What is the
intuition or reasoning behind that sequence?
Key Concepts
1. Wallis’ Formula is the amazing limit
2 · 2 · 4 · 4 · 6 · 6 . . . (2n) · (2n) π
lim = .
n→∞ 1 · 3 · 3 · 5 · 5 . . . (2n − 1) · (2n − 1) · (2n + 1) 2
3. Another proof uses only basic algebra, the Pythagorean Theorem, and
the formula πr2 for the area of a circle of radius r.
4. Yet another proof uses Euler’s infinite product representation for the
sine function.
Vocabulary
1. Wallis’ Formula is the amazing limit
2 · 2 · 4 · 4 · 6 · 6 . . . (2n) · (2n) π
lim = .
n→∞ 1 · 3 · 3 · 5 · 5 . . . (2n − 1) · (2n − 1) · (2n + 1) 2
2
Mathematical Ideas
Introduction
Wallis’ Formula is the amazing limit
2 · 2 · 4 · 4 · 6 · 6 . . . (2n) · (2n) π
lim = . (1)
n→∞ 1 · 3 · 3 · 5 · 5 . . . (2n − 1) · (2n − 1) · (2n + 1) 2
Another way to write this is
∞
π Y (2j)2
= .
2 j=1 (2j − 1)(2j + 1)
See the subsection Central Binomial below for a proof of an equivalent in-
equality.
In the form
Y
n
(2j)2 24n
wn = =
2n 2
(2)
j=1
(2j − 1)(2j + 1) (2n + 1)
n
3
wn 2
π/2
1.5
0.5
0
0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20
n
4
it is easy to see that the sequence wn is increasing since 4n2 /(4n2 − 1) > 1.
Figure 1 illustrates the increasing sequence.
Doing a numerical linear regression of log(π/2 − wn ) versus log n on the
domain n = 1 to n = 30 indicates that wn approaches π/2 at a rate which is
O(1/n).
2 · 4 · · · (2n − 2) · (2n)
J2n+1 = . (4)
1 · 3 · · · (2n − 1) · (2n + 1)
π 3·π 3·5·π
Likewise J2 = 2·2
, and J4 = 2·4·2
, J6 = 2·4·6·2
and inductively
3 · 5 · · · (2n − 3) · (2n − 1) · π
J2n = .
2 · 4 · · · (2n − 2) · (2n) · 2
5
J2n+1
Hence limn→∞ J2n
= 1.
That is,
2 · 2 · 4 · 4 · 6 · 6 . . . (2n) · (2n) 2
lim =1
n→∞ 1 · 3 · 3 · 5 · 5 . . . (2n − 1) · (2n + 1) π
or equivalently
2 · 2 · 4 · 4 · 6 · 6 . . . (2n) · (2n) π
lim = .
n→∞ 1 · 3 · 3 · 5 · 5 . . . (2n − 1) · (2n + 1) 2
while those with an even number of factors in the numerator are of the form
22 · 42 · · · (2n − 2)2 2n − 1
en = = . (7)
1 · 3 · · · (2n − 3) · (2n − 1)
2 2 s2n
(2n)2
Interpret e1 = 1 as an empty product. Since (2n−1)(2n+1)
> 1, clearly en <
(2n)(2n+2)
en+1 . Since (2n+1)2
< 1, clearly on > on+1 . Also, en < on . Therefore
6
for any n. Furthermore, for 1 ≤ i ≤ n,
2i
= oi ≥ on
s2i
and
2i − 1
= ei ≤ en
s2i
from which it follows that
2i − 1 2i
≤ s2i ≤ . (8)
en on
For convenience, define s0 = 0 so that inequality (8) holds also for i = 0.
Denote the successive difference an = sn+1 − sn so a0 = s1 − s0 = 1 and for
n≥1
2n + 1 sn 1 3 2n − 1
an = sn+1 − sn = sn −1 = = · ··· .
2n 2n 2 4 2n
and
2j + 1
aj+1 = aj
2(j + 1)
the right side of the proposed identity (9) becomes
2j + 1 j+1 2i + 1 i+1
ai aj · + · = ai aj .
2(j + 1) i + j + 1 2(i + 1) i + j + 1
7
Lemma 3.
1 = a20 = a0 a1 + a1 a0
= a0 a2 + a21 + a2 a0
...
= a0 an + a1 an−1 + · · · + an a0
Proof. Start from a20 = 1 and repeatedly apply the identity (9). At stage n
applying the identity (9) to every term the sum
a0 an + a1 an−1 + · · · + an a0
becomes
1 n−1 2 1
a0 an + a1 an−1 + a1 an−1 + a2 an−2 + · · · + an−1 a1 + an a0 .
n n n n
Collecting terms, this simplifies to a0 an + a1 an−1 + · · · + an a0 .
Now divide the positive quadrant of the xy-plane into rectangles by draw-
ing the vertical lines y = sn and the horizontal lines y = sn for all n. Let
Ri,j be the rectangle with lower left corner (si , sj ) and upper right corner
(si+1 , sj+1 ). The area of Ri,j is ai aj . Thus the identity 1 = a0 an + a1 an1 +
· · · + an a0 states that the total area of the rectangles Ri,j for which i + j = n
is 1. Let Pn be the polygonal region consisting of all rectangles Ri,j for which
i + j < n. Hence the area of Pn is n.
The outer corners of Pn are the points (si , sj ) for which i + j = n + 1 and
1 ≤ i, j, ≤ n.qBy the Pythagorean theorem, the distance of such a point to
the origin is s2i + s2j . By (8)
s s
2(i + j) 2(n + 1)
= .
on on
bounds this distance from above. Similarly the inner corners of Pn are the
points (si , sj ) for which i + j = n and 0 ≤ i, j ≤ n. The distance of such a
point to the origin is bounded from below by
s s
2(i + j − 1) 2(n − 1)
= .
en en
8
p
Therefore, Pn contains a quarter circle
p of radius 2(n − 1)/en and is con-
tained in a quarter circle of radius 2(n + 1)/on . See Figure 2 for a diagram
of the polygonal region Pn and the corresponding inner and outer quarter
circles for n = 4.
The area of a quarter circle of radius r is πr2 and the area of Pn is n.
This leads to the bounds
(n − 1)π (n + 1)π
<n< (10)
2en 2on
from which it follows that
(n − 1)π (n + 1)π
< en < on < .
2n 2n
Then as n → ∞, en and on both approach π/2.
Rearrange it to
2
16n Y (2j − 1)(2j + 1)
n
2n
=
n 2n + 1 j=1 (2j)2
and use the definitions (6) and (7) of the partial products of the Wallis
formula to obtain 2
2n 16n 2n + 2
=
n (2n + 1) (2n + 1)on+1
and 2
2n 16n 1
= .
n (2n + 1) en+1
9
y
s4
R0,3
s3
R0,2 R1,2
s2
s1
s1 s2 s3 s4
p p
r = 2(4 − 1)/e4 r= 2(4 +x1)/o4
Figure 2: A diagram of the regions Ri,j and the inner and outer quarter
circles for the case n = 4.
10
Rearrange the inequality (10) to obtain
2n + 2 1 1 2n + 2
< and < .
π(n + 2) on+1 en+1 nπ
Then
2
16n (2n + 2)2 2n 16n (2n + 2)
< <
(2n + 1) (2n + 1)(n + 2)π n (2n + 1) nπ
To simplify, take a series expansion of the square roots of the rational ex-
pressions and truncate, leaving
4n 1 2n 4n 1
p 1− < <p 1+ .
(2n + 1)(π/2) 2n n (2n + 1)(π/2) 2n
Proof. See [7, page 312] for the proof. The article in the Mathworld.com
article on http://mathworld.wolfram.com/Sine.html also gives references to
Edwards 2001, pages 18 and 47; and Borwein et al. 2004, page 5.
Although the common proof uses complex analysis, as in the texts cited
above, a proof using only elementary analysis is possible. The following proof
is adapted from [4].
Proof. Start with the definition of the Chebyshev polynomials Tn (x) from
the trigonometric identity cos(nx) = Tn (cos(x)). Then
11
Together with the sine product identity
and
sin((2m + 1)x)
Fm (0) = lim = 2m + 1.
x→0 sin(x)
Therefore
!
Y
m
sin2 (x)
sin((2m + 1)x) = (2m + 1) sin(x) 1−
k=1
sin2 2m+1
kπ
The goal now is to estimate the product terms. For all real t, et ≥ 1+t and
therefore e−t ≤ 1+t
1
. For u < 1, the choice t = u/(1−u) gives e−u/(1−u) ≤ 1−u.
Then for every collection of numbers uk ∈ [0, 1), we have
X uk −
P uk Y P
1− ≤ e k 1−uk ≤ (1 − uk ) ≤ e− k uk ≤ 1. (12)
k
1 − uk k
P
If also k uk < 1, then we also know that
P 1
e− k uk
≤ P (13)
1+ k uk
12
and subtracting the first and third terms of (12) from 1 and using (13)
P Y X uk
Pk uk
≤ 1 − (1 − uk ) ≤ . (14)
1 + k uk k k
1 − u k
Let m and N be positive integers with m > N . Take x such that |x| <
1
4
Nπ and πx ∈
/ Z. Then define uk by
x
!2
sin 2m+1
uk = kπ
, k = 1, 2, . . . , m.
sin 2m+1
Use (11) by dividing the leading factor and the first N factors onto the left
side to obtain
sin(x) Y
m
x
QN = (1 − uk ).
(2m + 1) sin 2m+1 k=1 (1 − uk ) k=N +1
Then use the first, third and fifth terms of (12) to see that
X
m
uk sin(x)
1− ≤ QN ≤ 1. (15)
k=N +1
1 − uk x
(2m + 1) sin 2m+1 k=1 (1 − uk )
π
For 0 ≤ t ≤ 2
we have sin(t) ≥ π2 t, so we see that
!2
(2m + 1) sin x x 2
2m+1
uk ≤ ≤ ;
2k 2k
thus
uk x2
≤ fork > N.
1 − uk (2k)2 − x2
Hence
X
m
uk x2
≤ .
k=N +1
1 − uk 2N − |x|
x2 sin(x)
1− ≤ QN ≤ 1.
2N − |x| x
(2m + 1) sin 2m+1 k=1 (1 − uk )
13
Let m → ∞ so that
x2 sin(x)
1− ≤ QN ≤ 1.
2N − |x| x k=1 (1 − uk )
x
Now let N → ∞ and we obtain for π
∈
/Z
Y∞
x2
sin x = x 1− 2 2 .
k=1
k π
x
For π
∈ Z this equality is also true.
The following somewhat probabilistic proof of Euler’s infinite product
formula is adapted from [2].
Proof. Start with the integral
Z n x n
xt−1 1 − dx
0 n
and integrate by parts once:
x n 1
u= 1− v = xt
n t
x n−1
du = − 1 − dx dv = xt−1 dx .
n
Then
Z Z n
n
t−1
x n x n n 1 t x n−1
x 1− dx = 1 − + x 1− dx
0 n n 0 0 t n
Z
1 n t x n−1
= x 1− dx
t 0 n
Integrate by parts again:
x n−1 1 t+1
u= 1− v= x
n t+1
n−1 x n−2
du = − 1− dx dv = xt dx
n n
14
so Z Z
n
t−1 x n (n − 1) n x n−2
x 1− dx = xt+1 1 − dx .
0 n t(t + 1)n 0 n
After integration by parts n times:
Z n Z n
t−1 x n (n − 1)!
x 1− dx = xt+n−1 dx
0 n t(t + 1) . . . (t + n − 1)nn−1 0
n
(n − 1)! xt+n
=
t(t + 1) . . . (t + n − 1)nn−1 t + n 0
n! nt
= .
t(t + 1) . . . (t + n)
Then by dominated convergence it follows that
Z ∞
n! nt
Γ(t) = xt−1 e−x dx = lim .
0 n→∞ t(t + 1) . . . (t + n)
and likewise E [Y −t ] = Γ(1 − t). Then using the independence and symmetry
Γ(1 + t)Γ(1 − t) = E X t E Y −t = E (X/Y )t = E (X/Y )|t|
15
This gives by integration by parts, for −1 < t < 1, that
Z ∞ Z ∞
|t|
u|t| |t|u|t|−1
E (X/Y ) = du = du
0 (u + 1)2 0 u+1
The last integral is πt/ sin(πt). For example, this is formula 613, page
445 in the 18th Edition of the CRC Standard Mathematical Tables. It can
also be done with contour integration in the complex plane
Z +∞ Z 0
|t|u|t|−1 |t|−1 |t|u2πi(|t|−1)
du −2πi(−1) + du = 0
0 u+1 +∞ u+1
so Z ∞
|t|u|t|−1
du 1 − e2πi|t| = −2πieπi|t| .
0 u+1
Thus Z ∞
|t|u|t|−1 |t|2πieπi|t| π|t| πt
du = 2πi|t| = = .
0 u+1 e −1 sin(π|t|) sin(πt)
Hence, for −1 < t < 1
πt
Γ(1 + t)Γ(1 − t) = E (X/Y )t = .
sin(πt)
A standard integration-by-parts gives the fundamental Gamma function re-
cursion Γ(t) = Γ(1 + t)/t. Using this to define Γ(t) for t < 0, it follows that
for all real t,
π
sin(πt) = .
Γ(t)Γ(1 − t)
Combining all results above,
Y∞
t2
sin(πt) = πt 1− 2 .
k=1
k
16
A Geometric Interpretation of Wallis’ Formula
This section gives a geometric interpretation of Wallis’ formula, constructing
a subset of the unit square with area 89 · 24 · 48 · · · = 23 · 34 · 45 · 65 · 76 · 87 · · · = 12 · π2 .
25 49
The construction is reminiscent of the construction of the Sierpinski Triangle.
Take a unit square W0 and remove a square of area 31 · 13 from the center.
Label the result as W1 with area 89 . Next remove a square of area 15 · 51 from
the center of each of the 8 small sub-squares of area 19 constituting W1 and
call the result W2 with area 89 · 24
25
. Continuing by removing squares of area
1 1 1 1
· from each sub-square of area 5 · 5 surrounding the hole removed at stage
7 7
2, construct region W3 with area 89 · 24 · 48 . Continue to create W4 , and so
25 49
on. Call the limiting region W∞ which has area 89 · 24 25 49
· 48 · · · = 12 · π2 .
2n n!
The side length of the removed squares at stage n is (2n+1)! . After 3
stages, 201 squares have been removed, and the stage 3 holes have side length
1 1 1 1
· · = 105
3 5 7
. It will be impractical to illustrate more than 3 stages of this
iterative process.
Here area means the Lebesgue measure of the limiting region W∞ . How-
ever W∞ does not contain any product set A × B with A, B ⊂ R, each with
positive Lebesgue measure. To see this, consider a maximal product subset
of W1 , for example [0, 1]×([0, 31 ]∪[ 23 , 1]) (or equivalently ([0, 13 ]∪[ 32 , 1])×[0, 1]
although from here on, consider only the product sets with first factor [0, 1]).
This product subset has measure 32 . A similar maximal product subset of W2
has measure 32 · 45 . Continuing, a maximal product subset of W∞ has measure
2 4 6
Q
∞
1
·
3 5 7
· · · · = 1 − 2n+1 = 0.
n=1
Thus, W∞ is an example of a subset of the plane R2 with positive Lebesgue
measure, but not admitting any product subset with positive Lebesgue mea-
sure. Note also that W∞ is a “square-like” region with area equal to a circle
17
with radius 12 . In that sense, this is a solution to the ancient problem of
“squaring the circle”.
Sources
This section is adapted from a sketch of the proof of Wallis’ Formula in
Kazarinoff [3] and the short note by Wästlund [8]. The elementary proofs of
the sine product are from [4] and [2]. The geometric interpretation of Wallis’
Formula is adapted from [6].
2 · 2 · 4 · 4 · 6 · 6 . . . (2n) · (2n)
1 · 3 · 3 · 5 · 5 . . . (2n − 1) · (2n + 1)
(2n) · (2n − 2) . . . 4 · 2
J2n+1 =
(2n + 1) · (2n − 1) . . . 3 · 1
and
(2n − 1) · (2n − 3) . . . 3 · π
J2n = .
(2n) · (2n − 2) . . . 4 · 2 · 2
18
4. The simple proof of the sine product formula uses the polynomial Fm
of degree m such that
Explicitly find F0 (x), F1 (x), F2 (x), F3 (x), F4 (x) and plot them on [−1, 1].
Reading Suggestion:
References
[1] Michael D. Hirschhorn. Wallis’s product and the central binomial coef-
ficient. American Mathematical Monthly, 122(7):689, August-September
2015.
[2] Lars Holst. A proof of Euler’s infinite product for the sine. American
Mathematical Monthly, 119:518–521, June-July 2012.
19
[3] Nicholaus D. Kazarinoff. Analytic Inequalities. Holt, Rinehart and Win-
ston, 1961.
P∞ 1 2
[4] R. A. Kortram. Simple proofs for k=1 k2 = π6 and sin x =
Q
x ∞ x2
k=1 1 − k2 π 2 . Mathematics Magazine, 69(2):123–125, April 1996.
[5] Óscar Ciaurri. Euler’s product expansion for the sine: An elemen-
tary proof. American Mathematical Monthly, 122(7):693–695, August-
September 2015.
[6] Hansklaus Rummler. Squaring the circle with holes. American Mathe-
matical Monthly, 100(9):858–860, November 1993.
[7] S. Saks and A. Zygmund. Analytic Functions. Elsevier Publishing, 1971.
[8] Johan Wästlund. An elementary proof of the wallis product formula for
pi. American Mathematical Monthly, 114(10):914–917, December 2007.
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Email to Steve Dunbar, sdunbar1 at unl dot edu
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