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Probability Theory 1Ms038 19 FEBRUARY 2021 Homework Assignment 1

The document provides an 8 question homework assignment in probability theory. It includes problems involving sequences of events, inequalities relating probabilities of events, integrals of random variables, convergence of random variables, properties of maximums of random variables, limits involving indicators and expectations, densities of sums and minimums of independent exponential random variables, and means and variances in a Galton-Watson process. Students are asked to submit their solutions as a PDF by March 5th, with each problem worth 5 points.

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Hassan Khan
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70 views2 pages

Probability Theory 1Ms038 19 FEBRUARY 2021 Homework Assignment 1

The document provides an 8 question homework assignment in probability theory. It includes problems involving sequences of events, inequalities relating probabilities of events, integrals of random variables, convergence of random variables, properties of maximums of random variables, limits involving indicators and expectations, densities of sums and minimums of independent exponential random variables, and means and variances in a Galton-Watson process. Students are asked to submit their solutions as a PDF by March 5th, with each problem worth 5 points.

Uploaded by

Hassan Khan
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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PROBABILITY THEORY 1MS038 19 FEBRUARY 2021

HOMEWORK ASSIGNMENT 1

Please submit your solutions as a pdf file in Studium by Friday 5 March. Each problem counts
5 points.

1. Let {An, n ≥ 1} be a sequence of events in a probability space.


(a) Suppose that limn→∞ P (An) = 1. Prove that there exists an increasing subsequence
{nk, k ≥ 1} such k\≥1
that P An > 0.
k

(b) Give an example of a sequence of events (in a probability space of your choice)
with
P (An) ≥ 21 for all n ≥ 1 for which there is no such subsequence.
2. Let A1, A2, . . . , An be events in a probability space. Prove the following inequalities:
n k=1
n 1≤jΣ<k
(a) P [ A ≥ P (Ak) ≤n P (Aj ∩ Ak),
k Σk=1 − 1≤jΣ<k
k=1 n 1≤i<Σj<k
(b) P n ≤ ≤n ≤n
Σk=1 P (A j ∩ A k) P (Ai ∩ Aj ∩ Ak).
[ A P (Ak)
k − +
3. Prove: for every real-valued random variable X and every positive real number a, we have
∫
∞
P (x < X ≤ x + a) dx = a.
−∞

4. Prove: if {Xn, n ≥ 1} is a sequence of independent random variables, then the


following two statements are equivalent:
ˆ P (sup Xn <∞) = 1,
n≥1
Σ∞
ˆ there exists an a > 0 such that n=1 P (Xn > a) < ∞.

5. Let X1, X2, . . . , Xn be integrable random variables (i.e., E|Xk| < ∞), and let Y =
max1≤k≤n Xk .

(a) Prove that Y is also integrable.


(b) Prove that EXk ≤ EY for all k ∈ {1, 2, . . . , n}.
(c) Show by means of a counterexample that E|Xk| ≤ E|Y | does not necessarily hold.
6. Let X be a non-negative random variable. Show that
lim n E 1 I{X > n} = 0
n→ X
∞
and
1
E XI,X < n, = 0.
lim
n→∞ n
Here, I is an indicator function: I{X > n} = 1 if X > n, and I{X > n} = 0 otherwise.
7. Let X1, X2 be independent exponentially distributed random variables, with densities
f1(x) = λ1e−λ1x and f2(x) = λ2e−λ2x respectively (for x > 0).
(a) Determine the density of X1 + X2.
(b) Determine the density of min{X1, X2}.

8. Consider a Galton-Watson process whose offspring distribution has mean EX = 1 and


variance Var X = σ2 < ∞. Determine mean and variance of the number Yn of individuals
in generation n.

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