Stochastic Processes: Estimation, Optimization & Analysis

1.6: Some Definitions

1.6 Some Definitions

Definition 32: (Supremum)

Let A be a nonempty set. We define


as the unique element M such that


If


then


In words, M is the least upper bound of the elements of A.

Definition 33: (Infinum)

In an analogous manner, we define


as the unique element m such that


If


then


Put into words, m is the greatest lower bound of the elements A.

Definition 34

Let us consider a sequence of real numbers { x n}. Then


if for every ? > 0, there exists an integer N = N ( ?) such that


whenever n ? N.

The reader must avoid considering that, if the index n represents the time, as n gets larger and larger, the value of the sequence { x n} gets closer to x* [32]. Indeed, let us consider the following sequence:


This sequence tends to zero, but


Definition 35: (Limit of a sequence)

Let { x n} be a series, and


If


it follows that


and


In an analogous manner, if m n = inf k ? n x k, it follows that m n ? m n+1, n ?0 and


Moreover, one can see that


and lim n ? ? x n exists if and only if


We get


which is usually written as follows:


In words, when the smallest cluster point (lim n ? ?

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