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HW7 Probability 1

1. This document outlines 5 homework problems for a probability theory class. The problems cover topics like strong law of large numbers, convergence in probability, tail sigma fields, and directed last passage percolation. 2. Students are informed that only 5 randomly selected problems will be graded, and they should indicate anyone they worked with, which will not affect their grade. 3. The problems involve proving statements about sequences of random variables and events in probability spaces.

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87 views1 page

HW7 Probability 1

1. This document outlines 5 homework problems for a probability theory class. The problems cover topics like strong law of large numbers, convergence in probability, tail sigma fields, and directed last passage percolation. 2. Students are informed that only 5 randomly selected problems will be graded, and they should indicate anyone they worked with, which will not affect their grade. 3. The problems involve proving statements about sequences of random variables and events in probability spaces.

Uploaded by

nothard
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Homework 7

Math 561: Theory of Probability I


Due date: March 7, 2019

Each problem is worth 10 points and only five randomly chosen problems will be graded if there are more than
5 problems. Please indicate whom you worked with, it will not affect your grade in any way.
1. Let X1 6 X2 6 · · · be a sequence of nondecreasing r.v.’s such that E Xn /nα → a as n → ∞ and
Var(Xn ) b
6 δ
(E Xn )2 n
for some a, b, α, δ > 0. Using subsequence and sandwiching argument, prove that
Xn
→ 1 a.s.
E Xn

2. (SLLN under second moment.) Prove that if X1 , X2 , . . . are i.i.d. with E(X1 ) = 0, Var(X1 ) < ∞ and
Sn := X1 + X2 + · · · + Xn then for any p > 1/2 we have
Sn
→ 0 a.s.
np
Hint: Choose an appropriate subsequence nk such that Snk /npk → 0 a.s. and nk+1 /nk → 1. Use Kolmogorov’s
maximal inequality to prove that n−p
k maxn∈[nk ,nk+1 ) |Sn − Snk | → 0 a.s. From here conclude.

3. (i) Let Xi , i = 1, 2, . . . be independent and Sn := X1 + X2 + · · · + Xn . Prove that


P( max |Sj | > 2a) · min P(|Sn − Sj | 6 a) 6 P(|Sn | > a), a > 0.
16j6n j6n

(ii) Use the setting of the previous problem to show that, Sn → S∞ in Probability implies that Dn :=
supk,m>n |Sk − Sm | → 0 in probability and a.s.; and in particular, Sn → S∞ a.s.
Events.) Let (Xi ) be a sequence of independent random variables, and let T be its tail σ-field. Let
4. (Tail P
n
Sn = i=1 Xi . Let bn ↑ ∞ be an increasing sequence of real numbers. Which of the following events must
be in T ? Give proof or counter-example.
(i) {Xn → 0}, (ii) {Sn converges}, (iii) {Xn > bn infinitely often}, (iv) {Sn > bn infinitely often},
(v) {Sn > 0 infinitely often}.
5. (Directed last passage percolation.) Consider the lattice quadrant {(i, j) : i, j > 0} with directed edges
(i, j) → (i + 1, j) and (i, j) → (i, j + 1). Associate to each edge e an Exponential(1) distributed r.v. Xe with
density e−x 1x>0 and mean 1, independent for different edges. For each directed path Π of length n started
at the origin (0, 0), let X
SΠ = Xe .
edges e in path Π

Let Hn be the maximum of SΠ over all such paths Π of length n. It can be shown that n−1 Hn → c a.s., for
some constant c > 0.
(i) Let Pn be the horizontal directed path with n edges started at the origin. By SLLN, SPn /n → 1 a.s. Prove
that
log P(SPn > an) 6 n(log a + 1 − a) when a > 1.
(ii) Using (i), give explicit nontrivial upper and lower bounds on c.

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