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 Knowing the Odds
An Introduction to
Probability

John B. Walsh

Graduate Studies
in Mathematics
Volume 139

American Mathematical Society

Contents

Preface xi
Introduction xiii

Chapter 1. Probability Spaces 1

§1.1. Sets and Sigma-Fields 1
§1.2. Elementary Properties of Probability Spaces 6
§1.3. The Intuition 8
§1.4. Conditional Probability 15
§1.5. Independence 18
§1.6. Counting: Permutations and Combinations 22
§1.7. The Gambler’s Ruin 30

Chapter 2. Random Variables 39

§2.1. Random Variables and Distributions 39
§2.2. Existence of Random Variables 45
§2.3. Independence of Random Variables 48
§2.4. Types of Distributions 49
§2.5. Expectations I: Discrete Random Variables 54
§2.6. Moments, Means and Variances 60
§2.7. Mean, Median, and Mode 63
§2.8. Special Discrete Distributions 65
Chapter 3. Expectations II: The General Case 75
§3.1. From Discrete to Continuous 75

vii
viii Contents

§3.2. The Expectation as an Integral 81

§3.3. Some Moment Inequalities 85
§3.4. Convex Functions and Jensen’s Inequality 86
§3.5. Special Continuous Distributions 89
§3.6. Joint Distributions and Joint Densities 96
§3.7. Conditional Distributions, Densities, and Expectations 103
Chapter 4. Convergence 117
§4.1. Convergence of Random Variables 117
§4.2. Convergence Theorems for Expectations 122
§4.3. Applications 127
Chapter 5. Laws of Large Numbers 133
§5.1. The Weak and Strong Laws 134
§5.2. Normal Numbers 137
§5.3. Sequences of Random Variables: Existence 140
§5.4. Sigma Fields as Information 142
§5.5. Another Look at Independence 144
§5.6. Zero-one Laws 145
Chapter 6. Convergence in Distribution and the CLT 151
§6.1. Characteristic Functions 151
§6.2. Convergence in Distribution 162
§6.3. Lévy’s Continuity Theorem 170
§6.4. The Central Limit Theorem 176
§6.5. Stable Laws 182
Chapter 7. Markov Chains and Random Walks 191
§7.1. Stochastic Processes 191
§7.2. Markov Chains 192
§7.3. Classification of States 201
§7.4. Stopping Times 204
§7.5. The Strong Markov Property 208
§7.6. Recurrence and Transience 211
§7.7. Equilibrium and the Ergodic Theorem for Markov Chains 218
§7.8. Finite State Markov Chains 226
§7.9. Branching Processes 234
§7.10. The Poisson Process 242
Contents ix

§7.11. Birth and Death Processes 250

Chapter 8. Conditional Expectations 265
§8.1. Conditional Expectations 265
§8.2. Elementary Properties 268
§8.3. Approximations and Projections 272
Chapter 9. Discrete-Parameter Martingales 275
§9.1. Martingales 275
§9.2. System Theorems 282
§9.3. Convergence 290
§9.4. Uniform Integrability 295
§9.5. Applications 304
§9.6. Financial Mathematics I: The Martingale Connection 315
Chapter 10. Brownian Motion 335
§10.1. Standard Brownian Motion 336
§10.2. Stopping Times and the Strong Markov Property 344
§10.3. The Zero Set of Brownian Motion 348
§10.4. The Reflection Principle 351
§10.5. Recurrence and Hitting Properties 352
§10.6. Path Irregularity 354
§10.7. The Brownian Infinitesimal Generator 359
§10.8. Related Processes 363
§10.9. Higher Dimensional Brownian Motion 368
§10.10. Financial Mathematics II: The Black-Scholes Model 374
§10.11. Skorokhod Embedding 377
§10.12. Lévy’s Construction of Brownian Motion 388
§10.13. The Ornstein-Uhlenbeck Process 390
§10.14. White Noise and the Wiener Integral 394
§10.15. Physical Brownian Motion 404
§10.16. What Brownian Motion Really Does 410
Bibliography 413
Index 415
Preface

In the long-forgotten days of pre-history, people would color peach pits dif-
ferently on the two sides, toss them in the air, and bet on the color that
came up. We, with a more advanced technology, toss coins. We flip a coin
into the air. There are only two possible outcomes, heads or tails, but until
the coin falls, we have no way of knowing which. The result of the flip may
decide a bet, it may decide which football team kicks off, which tennis player
serves, who does the dishes, or it may decide a hero’s fate.
The coin flip may be the most basic of all random experiments. If the
coin is reasonably well-made, heads is as likely as tails to occur. But. . . what
does that mean?
Suppose we flip a coin, and call “Heads” or “Tails” while it is in the
air. Coins are subject to the laws of physics. If we could measure the exact
position, velocity, and angular velocity of the coin as it left the hand—
its initial conditions—we could use Newton’s laws to predict exactly how it
would land. Of course, that measurement is impractical, but not impossible.
The point is that the result is actually determined as soon as the coin is in
the air and, in particular, it is already determined when we call it; the result
is (theoretically) known, but not to us. As far as we are concerned, it is just
as unpredictable as it was before the flip. Let us look at the physics to see
why.
The outcome is determined by the exact position, angular position, ve-
locity, and angular velocity at the time of the flip. Physicists represent these
all together as a point in what they call phase space. We can picture it as
follows.

xi
xii Preface

T
H
T

H H
T T T T

H H H H

T T T

H H H

Figure 1. Phase space

This represents the initial condition of the coin in phase space. Some
points lead to heads, some to tails. But a small difference in initial conditions
completely changes the result. The conditions leading to heads are a union
of very small regions, which are evenly mixed up with those leading to tails.
This means that no matter how we try to toss the coin, we cannot zero
in on a particular result—our toss will be smeared out, so to speak, over the
“Heads” and “Tails” regions, and this will happen no matter how carefully
we toss it. This leads us to say things like: “Heads and tails are equally
likely,” or “Heads and tails each have probability one-half.”
Philosophers ask deep questions about the meaning of randomness and
probability. Is randomness something fundamental? Or is it just a measure
of our ignorance? Gamblers just want to know the odds.
Mathematicians by and large prefer to duck the question. If pressed,
they will admit that most probability deals with chaotic situations, like the
flip of a coin, where the seeming randomness comes from our ignorance of the
true situation. But they will then tell you that the really important thing
about randomness is that it can be measured—for probabilities measure
likelihood—and that we can construct a mathematical model which enables
us to compute all of the probabilities, and that, finally, this model is the
proper subject of study.
So you see, mathematicians side with the gamblers: they just want to
know the odds.
From now on, probability is mathematics. We will be content just to
note that it works—which is why so few casino owners go broke—and we
will leave the deeper meanings of randomness to the philosophers.
Introduction

There is an order to chaos. Unpredictability is predictable. In fact, random-

ness itself is so regular that we can assign a number to a random occurrence
which tells us in a precise way how likely it is. The number is called its
probability.
That is not to say that we can predict the result of a single toss of a fair
coin. We cannot. But we can predict that between forty and sixty out of a
hundred tosses will be heads. We might—rarely—be wrong about that, but
only once or twice in a hundred tries, and if we continue to toss: a thousand
times, a million times, and so on, we can be sure that the proportion of
heads will approach 1/2.
So randomness has its own patterns. Our aim is to understand them.
Probability is a rather unusual part of mathematics. While its full birth
as a mathematical subject can be traced to the correspondence between
Fermat and Pascal1 in the summer of 1654, the subject wasn’t put on a
rigorous footing until 1934, 270 years later, when A. N. Kolmogorov showed
it was properly a part of measure theory2. But probability had been around
for several centuries before measure theory existed, and it is quite possible to
study the subject without it. In fact, probability is taught at many different

1
Pascal and Fermat were by no means the first to study probabiity, but their work on the
“problem of points” was so much deeper than what had gone before that it is properly considered
the true beginning of the subject. See Keith Devlin’s “The Unfinished Game” [13] for an account.
2
See [22] for an English translation of Kolmogorov’s landmark paper. It showed that all of
probability theory could be regarded as a part measure theory, giving a general existence theorem
for stochastic processes (not present, alas, in this book, but see [12] or [9]) and a rigorous definition
of conditional expectations (see Chapter 8), which had previously been confined to special cases.
This was quite a change from the more intuitive approach, and it took some time to replace “could
be taken” by “is.” That was completed by Doob, culminating in his seminal book Stochastic
Processes [12].

xiii
xiv Introduction

levels, according to the mathematics the students know: in elementary and

high school, first year college, third or fourth year college, as well as in
graduate school. Certain things are common to all of these courses, but the
the more mathematics the student knows, the deeper he or she can go. This
particular text is drawn from a two-semester course taught over the years
at the University of British Columbia, mainly to fourth-year mathematics
honors students. It assumes the student is familiar with calculus and knows
some analysis, but not measure theory. Many of the students, but by no
means all, take a concurrent course in Lebesgue measure. It is not necessary,
but it adds depth, and gives the student some “Aha!” moments, such as
the sudden realization: “Aha! The expectation is nothing but a Lebesgue
integral3!”
We begin with the basic axioms of probability, and the all-important
ideas of conditional probability and independence. Then we quickly develop
enough machinery to allow the students to solve some interesting problems
and to analyze card games and lotteries. Just to show how quickly one can
get into non-trivial questions, we work out the problem of the gambler’s
ruin.
The systematic study of classical probability begins in Chapter Two. Its
aim is to prove two of the basic classical theorems of the subject: the law
of large numbers and the central limit theorem. Far from being recondite,
these theorems are practically part of Western folklore. Who has not heard
of the law of averages? That is another name for the law of large numbers.
What student has not been subject to “grading on a curve”, a direct (and
often mistaken) application of the central limit theorem? It is surprising how
much of the curriculum is determined by the modest aim of understanding
those two results: random variables, their expectations and variances, their
distributions, the idea of independence, and the ideas of convergence are
needed merely to state the theorems. A number of inequalities, the theory
of convergence in distribution, and the machinery of characteristic functions,
are necessary to prove them. This, along with enough examples to supply
the intuition necessary to understanding, determines the first six chapters.
The second part of the book introduces stochastic processes, and changes
the viewpoint. Stochastic processes evolve randomly in time. Instead of
limit theorems at infinity, the emphasis is on what the processes actually
do; we look at their sample paths, study their dynamics, and see that many
interesting things happen between zero and infinity. There is a large se-
lection of stochastic processes to study, and too little time to study them.

3
On the other hand, students who take probability before measure theory have their “Aha!”
moment later, when they realize that the Lebesgue integral is nothing but an expectation.
Introduction xv

We want to introduce processes which are major building blocks of the the-
ory, and we aim the course towards Brownian motion and some of its weird
and wonderful sample path properties. Once more, this determines much
of the curriculum. We introduce the Markov property and stopping times
with a study of discrete-parameter Markov chains and random walks, in-
cluding special cases such as branching processes. Poisson and birth and
death processes introduce continuous parameter processes, which prepares
for Brownian motion and several related processes.
The one non-obvious choice is martingales. This deserves some expla-
nation. The subject was once considered esoteric, but has since shown itself
to be so useful4 that it deserves inclusion early in the curriculum. There are
two obstructions. The first is that its whole setting appears abstract, since
it uses sigma-fields to describe information. Experience has shown that it
is a mistake to try to work around this; it is better to spend the necessary
time to make the abstract concrete by showing how sigma-fields encode in-
formation, and, hopefully, make them intuitive. The second obstruction is
the lack of a general existence theorem for conditional expectations: that
requires mathematics the students will not have seen, so that the only case
in which we can actually construct conditional expectations is for discrete
sigma-fields, where we can do it by hand. It would be a pity to restrict
ourselves to this case, so we do some unashamed bootstrapping. Once we
show that our hand-constructed version satisfies the defining properties of
the general conditional expectation, we use only these properties to develop
the theory. When we have proved the necessary martingale theorems, we
can construct the conditional expectation with respect to a general sigma
field as the limit of conditional expectations on discrete sigma fields. This
gives us the desired existence theorem . . . and shows that what we did was
valid for general sigma-fields all along. We make free use of martingales in
the sequel. In particular, we show how martingale theory connects with a
certain part of mathematical finance, the option pricing, or Black-Scholes
theory.
The final chapter on Brownian motion uses most of what we have learned
to date, and could pull everything together, both mathematically and artis-
tically. It would have done so, had we been able to resist the temptation
to spoil any possible finality by showing—or at least hinting at—some of

4
The tipping point was when engineers started using martingales to solve applied problems,
and, in so doing, beat the mathematicians to some very nice theorems. The coup de grâce was
struck by the surprising realization that the celebrated Black-Scholes theory of finance, used by all
serious option-traders in financial markets was, deeply, martingale theory in disguise. See sections
9.6 and 10.10
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xvi Introduction

the large mathematical territory it opens up: white noise, stochastic inte-
grals, diffusions, financial mathematics, and probabilistic potential theory,
for example.
A last word. To teach a course with pleasure, one should learn at the
same time. Fair is fair: the students should not be the only learners. This
is automatic the first time one teaches a course, less so the third or fourth
time. So we tried to include enough sidelights and interesting byways to
allow the instructor some choice, a few topics which might be substituted at
each repetition. Most of these are starred:  . In fact, we indulged ourselves
somewhat, and included personal favorites that we seldom have time to cover
in the course, such as the Wiener stochastic integral, the Langevin equation,
and the physical model of Brownian motion.
 Chapter 1

Probability Spaces

It is said that the best way to enter a cold swimming pool is to dive in head
first, not to inch in one toe at a time. Let us take that advice and begin
with a splash: the basic mathematical model of probability. We will explain
the intuition behind it afterwards.

1.1. Sets and Sigma-Fields

Let Ω be a set.
Definition 1.1. A class G of subsets of Ω is a field if
(i) ∅ ∈ G,
(ii) A ∈ G =⇒ Ac ∈ G,
(iii) A, B ∈ G =⇒ A ∪ B ∈ G;
it is a σ-field if
(i) ∅ ∈ G,
(ii) A ∈ G =⇒ Ac ∈ G,
∞
(iii) A1 , A2 , · · · ∈ G =⇒ i=1 Ai ∈ G;
it is a monotone class if
∞
(i) A1 ⊂ A2 ⊂ · · · ∈ G =⇒ Ai ∈ G,
i=1
∞
(ii) A1 ⊃ A2 ⊃ · · · ∈ G =⇒ i=1 Ai ∈ G.

Thus a field1 is closed under complementation and finite unions, a σ-

field is closed under complementation and countable unions, and a monotone
1
You might encounter these under other names. A field has also been called an algebra, a
Boolean algebra, and a finitely additive class. A σ-field—pronounced sigma-field—has been called
a σ-algebra, a Borel field, and a countably additive class.

1
2 1. Probability Spaces

class is closed under countable increasing unions and countable decreasing

intersections.
For our purposes, the σ-field is by far the most useful. This is because
it is closed under countable set operations. Finite unions and intersections
are not enough. We will be dealing with limits, and limits involve infinite
operations. However, in practice, the field is the easiest to come by. Once
we have a field, we often ask, “Is it actually a σ-field? If not, can we extend
it to be one?” The monotone class is an important tool for this: it is easier
to show that something is a monotone class than to show it is a σ-field.
Under certain conditions, this implies that it is a σ-field.
Remark 1.2. (i) Ac is the complement of A relative to Ω: Ac = Ω − A.
(ii) Note that a field or σ-field contains Ω as well as ∅, since Ω = ∅c .
(iii) A field (resp. σ-field) F is closed under  finite (resp.
 c countable)
c
intersections, too. For if A1 , A2 , · · · ∈ F , then n An = n A n ∈ F by
(ii) and (iii).

There are some obvious relations between the three:

(i) σ-field =⇒ field and monotone class.
(ii) Field and monotone class =⇒ σ-field.
 (iii) Let {G α , α ∈ I} be fields (resp. σ-fields, monotone classes). Then
α G α is a field (resp. σ-field, monotone class.)

(iv) If C is a collection of sets, there exists a minimal field (resp σ-

field, monotone class) containing C. This is called the field (resp. σ-field,
monotone class) generated by C.

Proof. (i) is obvious. For (ii), if G is a field, it is closed under complemen-

tation and finite unions, and if A1 , A2 , · · · ∈ G, then
   n

An = Aj ∈ G .
n n j=1

Indeed, the finite unions are in G since G is a field, so a countable union

can be written as a union of increasing sets, and hence is also in G because G
is a monotone class, proving (ii). And (iii) is easy! Just verify the defining
conditions.
To see (iv), note that if C is any class of subsets of Ω, there is at least
one field (resp. σ-field, monotone class) containing it, namely the class of
all subsets of Ω. Thus the intersection of all fields (resp. σ-field, monotone
classes) containing C makes sense, and, by (iii), is itself a field (resp. σ-field,
monotone class). It is necessarily minimal. 
1.1. Sets and Sigma-Fields 3

Example 1.2.1. Here are some σ-fields.

• All subsets of Ω.
• {Ω, ∅}. (This is called the trivial σ-field.)
• All countable subsets of R together with their complements.
• The Lebesgue-measurable subsets of R.
The first two are clearly σ-fields, for (i), (ii) and (iii) are immediate.
Note that every σ-field contains both ∅ and Ω, so the trivial σ-field is also
the smallest possible σ-field.
The third example contains the empty set and is clearly closed under
complements. Inaddition, it contains countable unions: if A1 , A2 , . . . are all
countable, so is n An since a countable union of countable sets is countable.

If at least one of the An is the complement of a countable set, so is n An .
In either case, it is closed under countable unions, and therefore a σ-field.
The last example—the Lebesgue-measurable sets—is for the benefit of
those who are familiar with Lebesgue measure, where they are defined and
shown to form a σ-field. It is also proved there that there are non-Lebesgue-
measurable sets, so that the first and fourth examples are actually different2.
Exercise 1.1. Show that the following two classes are fields, but not σ-fields.
(a) All finite subsets of R together with their complements.
(b) All finite unions of intervals in R of the form (a, b], (−∞, a], and (b, ∞).

Let us take a close look at one σ-field.

Definition 1.3. The class B of Borel sets in R is the smallest σ-field which
contains all open sets.

This is a natural class of subsets of R. While it is smaller than the class

of Lebesgue sets, it contains nearly any set we can think of.
We will only be concerned with the Borel sets of the line for the time
being, but let us note for future reference that they can be defined for any
topological space: if Z is a topological space, the class of Borel sets B(Z)
of Z is the smallest σ-field of subsets of Z which contain all open sets. In
particular, the Borel sets B(Rn ) can be defined for n-dimensional Euclidean
space.
They can be generated by far smaller classes than the open sets. For
instance, an open set is a countable union of open intervals, so that any σ-
field containing the open intervals also contains all open sets, and therefore
contains B, which is the smallest σ-field containing the open sets. So the
2
That is, they are different if you believe in the Axiom of Choice: the existence of non-
Lebesgue measurable sets is equivalent to the Axiom of Choice.
4 1. Probability Spaces

open intervals generate the Borel sets. Here are a few more possibilities.
Note that to prove that a class of sets generates the Borel sets, we need only
show they generate the open intervals.
Exercise 1.2. Show that the Borel sets are generated by any one of the following
classes:
(a) The closed sets.
(b) All closed intervals.
(c) All closed intervals with rational end points.
(d) All intervals of the form (a, b].
(e) All intervals of the form (−∞, x].
(f) All intervals of the form (−∞, x], where x is rational.

We say two sets A and B are disjoint if A ∩ B = ∅.

Definition 1.4. Let F be a σ-field. A probability measure P on F is a
real-valued function defined on F such that
(i) if A ∈ F , P {A} ≥ 0;
(ii) P {Ω} = 1;
(iii) if A1 , A2 , . . . is a finite or countably infinite sequence of disjoint
elements of F (i.e., i = j =⇒ Ai ∩ Aj = ∅), then
 
P An = P {An }.
n n
P {A} is called the probability of A.

Property (iii) is called countable additivity. Note that it holds for

infinite unions, not just finite ones. We will see shortly that this is really a
continuity property in disguise.

The Monotone Class Theorem . This section states and proves the
Monotone Class Theorem, and can be safely skipped for the moment. We
will not use it until Section 2.3. It is one of those theorems which seems very
technical. . . until it’s needed to make some otherwise-painful proof easy.
Theorem 1.5 (Monotone Class Theorem). Let F 0 be a field and G a mono-
tone class. Suppose F 0 ⊂ G. Then σ{F 0 } ⊂ G. In particular, the monotone
class and the σ-field generated by F are the same.

Proof. This proof makes extensive use of minimality. Let G  be the smallest
monotone class containing F 0 . Then G  ⊂ G. Since σ(F 0 ) is also a monotone
class containing F 0 , G  ⊂ σ(F 0 ). We will show σ(F 0 ) = G  .
Define two classes of subsets of Ω:
C 1 = {A ∈ G  : A ∩ B ∈ G  , ∀B ∈ F 0 } ,
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 PROLOGUE,
SPOKEN BY MRS. JORDAN.
Enters opening a Letter.

“Dear Madam—Disappointed by a friend—

“Promis’d a Prologue—at my poor wit’s end—
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Am I to help him—What can I supply?
I’m doom’d to speak but just what Authors say:
Dull, when they’re dull—and sportive when they’re gay;
Mere puppets here, obedient to their will,
We love or hate—are blest or wretched—kill’d or kill—
Mirth we put on, just as we put on graces—
And wit—that’s sent home ready with our dresses.
What, tho’ at night so very smart and charming—
The dullest mortals breathing, in the morning—
Hence the nice sop, ’ere he our merit stamps.
Of rouge all doubtful—and these treach’rous lamps,
Midst the loud praise, still asks with cautious leer
How is she off the stage—what is she near——

But to my talk—to own it tho’ you’re loath

You’re all spoilt children of a larger growth,
Longing for each poor tinsel’d toy you see,
And only constant to variety——
Whilst each, the censor of his own defects,
The darling fault with gentlest hand corrects;
E’en from his very failings draws a merit,
And dooms each error but a proof of spirit.
 Look round the world——
When we say world—we mean not now-a days
A huge globe, form’d of mountains—rivers—seas—
The polish’d mind sinks from a scene so wide,
We mean from Hyde Park Corner to Cheapside——
Look thro’ the world—you’ll find my moral true
In all the varied shapes that rise to view.

But from spoilt children of six feet in height,

To the spoilt child our stage presents to-night,
Brimful of mirth he comes—Miss Tomboy’s brother,
We hope you’ll think they’re something like each other.
To plead his cause she’ll try a sister’s skill,
I’d fain prevent her—but, “ecod you will.”——
Perhaps she may shock you, of precise prim air,
But Lord! what then, she never minds that there.
The Country Girl a kindred tie may claim,
She too is anxious for his future fame;
And if you’ll spare him, swears whene’er she’s able
She’ll tread on all your toes—under the table.
Oft’ have you deign’d their artless toils to cheer,
And crown’d with flutt’ring smiles their labours, here
View then here the brother’s faults, with judgment mild,
And spare the rod—altho’ you Spoil the Child.

BARKER and SON

Respectfully inform the Public, they have a Collection of Plays on
Sale, which, considered either as to its Extent or Rarity, has scarcely
been equalled, having been upwards of Thirty Years in forming,
principally from the Libraries of

—— SHELDON, ESQ. MR. HENDERSON

MAJOR PEARSON DUKE OF BRIDGEWATER
DR. WRIGHT DR. FARMER
 MR. DODD G. STEVENS, ESQ.
MR. MACKLIN &c. &c. &c.

In this Assemblage will be found the original Editions of our most

valuable Writers; as,

SHAKESPEARE MIDDLETON SHIRLEY

JONSON WEBSTER DAVENANT
CHAPMAN BEAUM. & GLAPTHORNE
FLETCHER
HEYWOOD KILLIGREW, &c.
MASSINGER &c.

Subjoined to these, are the more modern Authors, to which every

Article is added as soon as published.
 DRAMATIS PERSONÆ.
1790. 1804.
Little Pickle, Mrs. Jordan. Miss De Camp.
Old Pickle, Mr. Suett. Mr. Suett.
Tagg, Mr. R. Palmer. Mr. Palmer.
John, Mr. Burton. Mr. Purser.
Thomas, Mr. Lyons. Mr. Evans.
Miss Pickle, Mrs. Hopkins. Mrs. Sparks.
Maria, Miss Heard. Mrs. Sharp.
Margery, Mrs. Booth. Mrs. Maddocks.
Susan, Mrs. Edwards. Miss Tidswell.

SCENE—Old Pickle’s Country House.

TIME—That of Representation.
THE SPOIL’D CHILD.
 ACT I.

SCENE I.—A Dining Parlour.—Pickle and his sister sitting by a

table, on which plates are set for dinner—the sister working.

Pickle.
Well, well, sister, a little patience and these holidays will soon be
over, the boy then goes back to school, and all will be quiet.
Miss P. Aye, till the next breaking up—no—no, brother, unless he
is severely punished for what he has already done, depend upon it
this vicious humour will be confirmed into habit, and his follies
increase in proportion with his years.
Pick. Now would not any one think, to hear you talk, that my son
had actually some vice in him, for my part, I own there is something
so whimsical in all his tricks, that I cannot in my heart but forgive
him, aye, and for aught I know, love him better into the bargain.
Miss P. Yes, truly, because you have never been a sufferer by
them, had you been rendered as ridiculous as I have been by his
tricks, as you call them, you would have been the first to complain,
and to punish.
Pick. Nay, as to that, he has not spared even his father—is there a
day passes that I don’t break my shins over some stumbling block he
lays in my way—Why there is not a door but is armed with a bason
of water on the top, and just left a-jar, so that egad, I can’t walk over
my own house without running the risk of being wet through.
Miss P. No wonder the child’s spoilt, since you will superintend his
education yourself—you! indeed!
Pick. Sister, sister, do not provoke me—at any rate I have wit
enough to conceal my ignorance, I don’t pretend to write verses and
nonsense as some folks do.
Miss P. Now would you rail at me for the disposition I was born
with—can I help it, if the gods have made me poetical, as the divine
bard says.
Pick. Made you poetical, indeed!—s’blood if you had been born in
a street near a college, aye, or even the next door to a day-school, I
might not have been so surprised—but d——n it, madam, in the
middle of the Minories, what had you to do with poetry and stuff?
Miss P. Provoking ignorance.
Pick. Have you not rendered yourself the sneer of all your
acquaintance, by your refined poetical intercourse with Mr. Tagg, the
author, a fellow that stroles about the country, spouting and acting in
every barn he comes to—was he not once found concealed in your
closet, to the utter scandal of my house, and the ruin of your
reputation!
Miss P. If you had the smallest spark of taste, you would admire
the effusions of Mr. Tagg’s pen, and be enchanted at his admirable
acting as much as I am.
Pick. Do you tell me I can’t educate my own child, and make a lord
chancellor, or an archbishop of Canterbury of him, which ever I like—
just as I please.
[Young Pickle by a string draws the chair, Old Pickle falls.
Miss P. How’s this—I’ll lay my life that is another trick of this little
mischievous wretch.
Pick. (getting up.) An ungrateful little rascal, to serve me such a
trick, just as I had made an archbishop of him—but he can’t be far off
—I’ll immediately correct him; here, Thomas. (going, meets Thomas
and servants bringing in covers for dinner.) But odso, here’s dinner—
well, I’ll defer my severity till that’s over—but if I don’t make him
remember this trick one while, say my name is not Pickle. (sits down
to table, Pickle cutting up a pheasant.) Sister, this is the first
pheasant we have had this season, it looks well—shall I help you—
they say anger makes a man dry, but mine has made me hungry—
come, here’s a wing for you, and some of the breast.
Enter Susan, (a Cook Maid) in haste.
Sus. Oh, dear sir—oh, dear madam—my young master—the
parrot, ma’am—oh dear!
Pick. Parrot, and your young master; what the deuce does the girl
mean?
Miss P. Mean! Why as sure as I live that vile boy has been hurting
my poor bird.
Sus. Hurting, ma’am—no indeed, ma’am; I’ll tell you the whole
truth—I was not to blame, indeed I wasn’t, ma’am, besides, I am
morally certain ’twas the strange cat that kill’d it this morning.
Miss P. How! kill’d it say you;—but go on, let us hear the whole.
Sus. Why ma’am, the truth is, I did but step out of the kitchin for a
moment, when in comes my young master, whips the pheasant that
was roasting for dinner, from the spit, and claps down your ladyship’s
parrot, picked and trussed in its place.
Pick. The parrot!—the devil.
Sus. I kept basting and basting on, and never thought I was
basting the parrot.
Miss P. Oh, my sweet, my beautiful young bird, I had just taught it
to talk, too.
Pick. You taught it to talk—it taught you to talk, you mean, I am
sure it was old enough, ’twas hatched in the hard frost!
Miss P. Well, brother, what excuse now?—but run, Susan, and do
you hear, take John, and——
Enter John, slowly and lame, his face bound up.
Oh John, here’s a piece of business.
John. Ay, ma’am sure enow—what you have heard, I see—
business indeed—the poor thing will never recover.
 Miss P. (joyfully) What, John, is it a mistake of Susan’s—is it still
alive?—but—where—where is it, John?
John. Safe in stables, and it were as sound—a’ made her a hot
mash, woud’nt touch it—so crippled will never have leg to put to
ground again.
Pick. No, I’ll swear to that—for here’s one of them. (holding up a
leg on a fork)
Miss P. What does the fool mean? what—what, what is in the
stable—what are you talking of?
John. Master’s favourite mare, Daisy, madam—poor thing——
Pick. (alarmed) What—how—any thing the matter with Daisy? I
would not part with her for——
John. Aye, sir quite done up—won’t fetch five pounds at the next
fair.
Miss P. This dunce’s ignorance distracts me—come along, Susan.
[Exeunt Miss Pickle and Susan.
Pick. Why, what can it be what the devil ails her?
John. Why, sir, the long and the short of the whole affair, is as how
—he’s cut me too all across the face—mercy I did not lose my eyes.
Pick. This cursed fellow will drive me mad—the mare, you
scoundrel, the mare.
John. Yes, sir, the mare—then too, my shins—master Salve, the
surgeon, says I must ’noint ’em wi’——
Pick. Plague on your shins—you dog—what is the matter with the
mare?
John. Why, sir, as I was coming home this morning over Black
Down, what does I see but young master tearing over the turf upon
Daisy, thof your honour had forbid him to ride her—so I calls to him
to stop—but what does he do, but smacks his whip in my face, and
dash over the gate into Stoney Lane; but what’s worse, when I rated
him about it, he snatches up Tom Carter’s long whip, and lays me so
over the legs, and before I could catch hold of him, he slips out of the
stable, and was off like a shot.
Pick. Well, if I forgive him this—no—I’ll send him this moment back
to school.—School! zounds, I’ll send him to sea.
Enter Miss Pickle.
Miss P. Well, brother, yonder comes your precious child—he’s
muttering all the way up stairs to himself, some fresh mischief, I
suppose.
Pick. Aye, here he comes—stand back—let us watch him, though I
can never contain my passion long.
[they withdraw to the back of the stage.
Enter Little Pickle.
Little P. Well, so far all goes on rarely, dinner must be nearly ready;
old Poll will taste well, I dare say—parrot and bread sauce—ha! ha!
ha!—they suppose they are going to have a nice young pheasant, an
old parrot is a greater rarity, I’m sure—I can’t help thinking how
devilish tough the drumsticks will be—a fine piece of work, aunt will
make when it’s found out—ecod, for aught I know, that may be better
fun than the other: no doubt Sukey will tell, and John too, about the
horse—a parcel of sneaking fellows, always tell, tell, tell.—I only
wish I could catch them a school, once—that is all—I’d pay them well
for it I’d be bound.—Oh! oh! here they are, and as I live, my father
and aunt—it’s all out I see—to be sure I’m not got into a fine scrape
now, I almost wish I was safe at school again. (they come forward)
Oh, sir, how do you do, sir, I was just coming to——
Pick. Come, come, no fooling now—how dare you look me in the
face after the mischief you have done?
Little P. What—what have I done?
Pick. You know the value I set upon that mare, you have spoilt for
ever.
Little P. But, sir, hear me—indeed I was not so much to blame, sir,
not so very much.
 Miss P. Do not aggravate your faults by pretending to excuse them
—your father is too kind to you.
Little P. Dear, sir, I own I was unfortunate——I had heard you often
complain, how wild and vicious little Daisy was, and indeed, sir, I
never saw you ride her, but I trembled least some sad accident might
befall you.
Pick. Well, and what is all this to the purpose?
Little P. And so, sir, I resolved, sooner than you should suffer, to
venture my own neck, and so try to tame her for you; that was all—
and so I was no sooner mounted than off she set—I could not help
that you know, sir, and so this misfortune happened, and so, sir—but
indeed, sir——
Pick. Could I be sure this was your motive——and ’tis purely love
and regard for your old father makes you thus teaze and torment him
—perhaps I might be inclined to——
John. Yes, sir, but ’tis no love and regard to me made him beat me
so——
Little P. John, you know you were to blame.—Sir, indeed the truth
is, John was scolding me for it, and when I told him as I have told
you, why I did it, and that it was to hinder you from being hurt, he
said that it was no business of mine, and that if your neck was broke
it was no such great matter.
Pick. What—no great matter to have my neck broke——
Little P. No, sir; so he said, and I was vex’d to hear him speak so
of you, and I believe I might take up the whip, and give him a cut or
two on the legs—it could not hurt him much.
Pick. Well, child, I believe I must forgive you, and so shall John
too; aye, aye.——But I had forgot poor Poll—what did you roast the
parrot for, you young dog?
Little P. Why, sir, I knew you and my aunt were both so fond of it, I
thought you would like to see it well dress’d.
Pick. Ha!—ha!—ha!——
 Little P. But dear aunt, I know you must be angry with me, and you
think with reason.
Miss P. Don’t speak to me, I am not so weak as your father,
whatever you may fancy.
Little P. But indeed, aunt, you must hear me, had I not loved you
as I do, I should not have thus offended you, but it was merely my
regard for your character.
John. Character!—
[Exit, Pickle kicks him off.
Little P. My dear aunt, I always heard that no lady’s keep parrots or
lap-dogs, ’till they can no longer keep lovers—and when at school, I
told ’em you had a parrot, the boys all said, then you must be a
foolish old maid.
Miss P. Indeed!—impudent young wretches.
Little P. Yes, aunt, and so I resolved you should no longer be
thought so—for I think you are a great deal too young, and too
handsome for an old maid. (taking her hand)
Pick. Come, sister, i’faith you must forgive him, no female heart
can withstand that.
Miss P. Brother, you know I can forgive where I see occasion; but
though these faults are thus excused, how will you answer to a
charge of scandal and ill-nature.
Little P. Ill-nature, madam—I’m sure nobody can accuse me of
that.
Miss P. How will you justify the report you spread, of my being
locked up in my closet with Mr. Tagg, the author—can you defend so
vile an attempt to injure my reputation?
Pick. What, that too, I suppose, was from your care of her
character—and so to hinder your aunt from being an old maid, you
locked her up in her closet with this author, as he is called.
 Little P. Nay, indeed, dear madam, I beseech you—’twas no such
thing, all I said was, you were amusing yourself in your closet with a
favourite author.
Miss P. I amuse myself in my closet with a favourite author! worse
and worse.
Pick. Sister have patience—hear——
Miss P. I am ashamed to see you support your boy in such
insolence—I, indeed! who am scrupulous to a fault; but no longer will
I remain subject to such impertinence, I quit your house, sir, and you
shall quit all claim to my fortune—this moment will I alter my will, and
leave my money to a stranger, sooner than to your family.
[Exit.
Pick. Her money to a stranger, leave her money to a stranger! Oh!
the three per-cent. consols—oh, the India stock—go, child—fly,
throw yourself at your aunt’s feet—say any thing to please her—I
shall run distracted.—Oh! those consols——
Little P. I am gone, sir—shall I say she may die as soon as she
pleases, but she must not give her money to a stranger.
Pick. Aye, aye, there’s a good boy, say any thing to please her,
that will do very well—say she may die as soon as she pleases, but
she must not leave her money to a stranger. (Exit Little P.) Sure
never man was so tormented—well, I thought when my poor dear
wife, Mrs. Pickle died, and left me a disconsolate widower, I stood
some chance of being a happy man, but I know not how it is, I could
bear the vexation of my wife’s bad temper better than this woman’s.
All my married friends were as miserable as myself—but now—faith
here she comes, and in a fine humour, no doubt.
Enter Miss Pickle.
Miss P. Brother, I have given directions for my immediate
departure, and am now come to tell you, I will persist in my design,
unless you this moment adopt the scheme I yesterday proposed for
my nephew’s amendment.
 Pick. Why, my dear sister you know there is nothing I would not
readily do to satisfy and appease you, but to abandon my only child,
to pretend that he is not mine—to receive a beggar brat into my arms
—impossible——
Miss P. (going) Very well, sir, then I am gone.
Pick. But sister, stop—was ever man so used—how long is this
scheme of yours to last? how long am I to be deprived of him?
Miss P. How long! why until he is brought duly to reflect upon his
bad behaviour, which nothing will induce him to do, so soon as
thinking himself no longer your son, but the child of poor parents—I
yesterday spoke to Margaret, his old nurse, and she fully
comprehends the whole affair.
Pick. But why, in addition to the quitting my own child, am I to have
the torment of receiving hers? won’t the sending him away be
sufficient?
Miss P. Unless the plot is managed my way, I will have nothing to
do with it, but begone—can’t you perceive that his distress at losing
his situation, will be augmented by seeing it possessed by another—
come, come, brother, a week’s purgatory will reform him, depend
upon it.
Pick. Why, to be sure, as you say—’twill reform him, and as we
shall have our eyes upon him all the while, and Margaret his own
nurse—
Miss P. You may be sure she will take care of him—well, since this
is settled, the sooner ’tis done the better—Thomas!
Enter Thomas.
Send your young master.
Pick. I see you are finally resolved, and no other way will content
you.—Well, heaven protect my poor child.
Miss P. Brother, you are so blinded by your foolish fondness, that
you cease to perceive what is for his benefit—’tis happy for you,
there is a person to direct you, of my superior discernment.
 Enter Little Pickle.
Little P. Did you send for me, aunt?
Pick. Child, come hither, I have a great secret to disclose to you, at
which you will be much surprised.
Little P. A secret, sir!
Miss P. Yes, and one that requires your utmost courage to hear—
you are no longer to consider that person as your father, he is not so
—Margaret, who nursed you, has confessed, and the thing is
sufficiently proved, that you are not his son, but hers—she
exchanged you when an infant for my real nephew, and her
conscience has at last compelled her to make the discovery.
Little P. I another person’s child!—impossible!—ah! you are only
joking with me now, to see whether I love you or not, but indeed (to
Pickle) I am yours—my heart tells me I am only only yours.
Pick. I am afraid you deceive yourself—there can be no doubt of
the truth of Margaret’s account; but still assure yourself of our
protection—but no longer can you remain in this house, I must not
do an injury to my own child—you belong to others—to them you
must now go.
Little P. Yet, sir, for an instant hear me—pity me—ah too sure I
know (to Old Pickle) I am not your child—or would that distress
which now draws tears of pity from a stranger, fail to move nature in
you.
Miss P. Comfort yourself, we must ever consider you with
compassion and regard—but now you must begone—Margaret is
waiting without to receive you.

SONG—Little Pickle.
Tune—Je suis Linder.

Since then I’m doom’d, this sad reverse to prove,

To quit each object of my infant care;
Torn from an honour’d parent’s tender love,