See Proposition 1.3.13 On Page 15 of Our Text

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STAT 571 Assignment 1 solutions

1. If Ω is a set and C a collection of subsets of Ω, let A be the intersection of all σ-algebras


that contain C. Prove that A is the σ-algebra generated by C.

Solution:\Let {Aα | α ∈ A} be the collection of all σ-algebras that contain C, and


set A = Aα . We first show that A is a σ-algebra. There are three things to
α∈A
prove.
(a) For every α ∈ A, Aα is a σ-algebra, so Ω ∈ Aα , and hence Ω ∈ ∩α∈A Aα = A.
(b) If B ∈ A, then B ∈ Aα for every α ∈ A. Since Aα is a σ-algebra, we have
B c ∈ Aα . But this is true for every α ∈ A, so we have B c ∈ A.
(c) If B1 , B2 , . . . are sets in A, then B1 , B2 , . . . belong to Aα for each α ∈ A.
Since Aα is a σ-algebra, we have ∪∞ n=1 Bn ∈ Aα . But this is true for every

α ∈ A, so we have ∪n=1 Bn ∈ A.
Thus A is a σ-algebra that contains C, and it must be the smallest one since A ⊆ Aα
for every α ∈ A.

2. Prove that the set of rational numbers Q is a Borel set in R.

Solution: For every x ∈ R, the set {x} is the complement of an open set, and hence
Borel. Since there are only countably many rational numbers 1 , we may express Q
as the countable union of Borel sets: Q = ∪x∈Q {x}. Therefore Q is a Borel set.

3. Prove that the countable union of countable sets is countable.

Solution: First we note that a subset of a countable set must be countable. If F


is countable there is a function c : F → N that is one-to-one. If E ⊆ F , then the
restriction c|E : E → N is also one-to-one, so E is countable.
Now if E1 , E2 , . . . are countable sets, define F1 = E1 and Fn = En \ (∪n−1
i=1 Fi ) for
∞ ∞
n ≥ 2. Then the Fn ’s are countable, disjoint, and ∪n=1 En = ∪n=1 Fn . For every
f ∈ ∪∞
n=1 Fn , let n(f ) denote the unique integer so that f ∈ Fn(f ) . Also for n ∈ N
with Fn 6= ∅, let cn be a one-to-one function from Fn into N.
Now define a map c from ∪∞ n=1 Fn into N × N by c(f ) = (n(f ), cn(f ) (f )). Let’s
convince ourselves that c is one-to-one. Suppose that f1 , f2 ∈ ∪∞ n=1 Fn and that
c(f1 ) = c(f2 ). Taking the first coordinate of c(f1 ) = c(f2 ), we find that n(f1 ) =
n(f2 ); let’s call the common value n. This means that f1 , f2 ∈ Fn . The second
component of c(f1 ) = c(f2 ) tells us that cn (f1 ) = cn (f2 ) and since cn is one-to-one,
we conclude that f1 = f2 . That is, c is one-to-one.

1
See Proposition 1.3.13 on page 15 of our text.
We know 2 that N × N is countable, so there is a one-to-one map φ from N × N to
N. The composition φ ◦ c is a one-to-one map from ∪∞ n=1 Fn into N.

4. Let A be the σ-algebra in R generated by the singletons. That is A = σ(C), where


C = {{x} : x ∈ R}. Show that A is a proper subset of the Borel sets on R.

Solution: The solution depends on the fact that we have a concrete way to identify
sets in A. Define F = {E ⊆ R | E is countable, or E c is countable}; we claim
that A = F. If E is a countable set, then E = ∪x∈E {x} is the countable union of
singletons, and so belongs to σ(C) = A. If E c is countable, then E c , and hence E,
belongs to σ(C) = A. This shows that F ⊆ A. To prove the other inclusion, we
note that C ⊆ F, so it suffices to prove that F is a σ-algebra.
(a) The empty set ∅ is countable, so R = ∅c ∈ F.
(b) If E is countable, then E c has countable complement, while if E has countable
complement, then E c is countable. Either way, E ∈ F implies E c ∈ F.
(c) Suppose that E1 , E2 , . . . belong to F. If all of the En ’s are countable, then
so is the union3 , and hence belongs to F. On the other hand, if one of the
E’s, say EN , has countable complement, then (∪n En )c = ∩n Enc ⊆ EN c
is
countable, so that ∪n En ∈ F. Either way, ∪n En ∈ F.
Since singletons are Borel sets, so is every member of σ(C) = A. However, the
Borel set (0, 1) is not countable 4 and neither is its complement (−∞, 0] ∪ [1, ∞).
Thus (0, 1) is an example of a Borel set that does not belong to A.

5. Prove the following, where (Ω, F, P ) is a probability space and all sets are assumed to
be in F.
(i) If A ⊆ B, then P (A) ≤ P (B).
P∞
(ii) P (∪∞n=1 An ) ≤ n=1 P (An ).
(iii) If An+1 ⊆ An for all n, then P (An ) → P (∩∞
n=1 An ).

Solution:
(i) B is the disjoint union B = A ∪ (B \ A), so P (B) = P (A) + P (B \ A) ≥ P (A).
(ii) Define A01 = A1 and for n ≥ 2, A0n = An \ (∪n−1 0 0
i=1 Ai ). Then the An ’s are
disjoint, A0n ⊆ An for each n, and ∪n An = ∪n A0n . Therefore
X X
P (∪n An ) = P (∪n A0n ) = P (A0n ) ≤ P (An ).
n n

(iii) For every n we can write An as the disjoint union


An = (An \ An+1 ) ∪ (An+1 \ An+2 ) ∪ . . . ∪ (∩n An ),
2
Remember that we proved this in the first lecture?
3
I just knew that Exercise 3 would come in handy!
4
See Proposition 1.3.14 on page 15 of the text.
to obtain
P (An ) = P (An \ An+1 ) + P (An+1 \ An+2 ) + · · · + P (∩n An ).
This shows that P (An ) − P (∩n An ) is the tail of a convergent series, and thus
converges to zero as n → ∞.

STAT 571 Assignment 2 solutions

6. Prove that a simple function s (as in Definition 2.1.1) is a random variable (as in
Definition 2.1.6).
Pn
Solution: Write s = k=1 ak 1Ak where the Ak ’s are disjoint members of F. Then
for any λ ∈ R we have
[
{ω | s(ω) < λ} = Ak .
{k|ak <λ}

Since this set belongs to F, s is a random variable.

7. Suppose that Ω = {0, 1, 2, . . .}, F = all subsets of Ω, and P({n}) = e−1 /n! for n ∈ Ω.
Calculate E(X) where X(n) = n3 for all n ∈ Ω.
P∞
Solution: We need P to calculate the infinite sum n=0 n3 e−1 /n!. Let’s begin with
∞ −1
a simpler problem: n=0 ne /n!. Here the factor of n cancels nicely with part
of the factorial on the bottom to give
X∞ X∞ X∞
−1 −1
ne /n! = e /(n − 1)! = e−1 /k! = 1.
n=0 n=1 k=0

Attempting the same trick with n2 shows that we will not get the desired cancel-
lation unless we write n2 = n(n − 1) + n:

X ∞
X
2 −1
n e /n! = [n(n − 1) + n]e−1 /n!
n=0 n=0
X∞ ∞
X
= n(n − 1)e−1 /n! + ne−1 /n!
n=0 n=0
X∞ ∞
X
= e−1 /(n − 2)! + ne−1 /n!
n=2 n=0
X∞ ∞
X
= e−1 /k! + ne−1 /n!
k=0 n=0
=1+1
= 2.
3
P∞ n 3=−1n(n − 1)(n − 2) + 3n(n − 1) + n and
To solve the original question, write
repeat the method above to get n=0 n e /n! = 1 + 3 + 1 = 5.

8. Show, by example, that X need not be a random variable even if {ω | X(ω) = λ} ∈ F


for every λ ∈ R.

Solution: Let Ω = R and F be the σ-algebra generated by the singletons. From


the previous assignment, we know that A ∈ F if and only if A or Ac is countable.
Therefore the map X from (R, F) to (R, B(R)) given by X(ω) = ω (the identity
mapping) is not a random variable. For example, the interval A = (0, 1) is a Borel
set, but X −1 (A) = A 6∈ F.
On the other hand, for every singleton we have X −1 ({λ}) = {λ} ∈ F. This
gives the counterexample.

9. Prove that E(X)2 ≤ E(X 2 ) for any non-negative random variable X. Hint: First look
at simple functions.
Pn
Solution:
Pn If s = k=1 aP k 1Ak is a simple function, then so is its square s2 =
2 n 2
Pn 2
k=1 ak 1Ak , and E(s) = k=1 ak P (Ak ) and E(s ) = k=1 ak P (Ak ). Applying
the Cauchy-Schwarz inequality to the vectors x = (a1 P (A1 ) , . . . , an P (An )1/2 )
1/2

and y = (P (A1 )1/2 , . . . , P (An )1/2 ) gives

E(s)2 = hx, yi2 ≤ kxk2 kyk2 = E(s2 )1.

Now, for a general non-negative random variable X, let sk ∈ F+ s so that sk ↑ X.


Then s2k ↑ X 2 so E(X)2 = limk E(sk )2 ≤ limk E(s2k ) = E(X 2 ).

Here’s an even better proof that uses the variance of a random variable.

0 ≤ E((X − E(X))2 )
= E(X 2 − 2XE(X) + E(X)2 )
= E(X 2 ) − 2E(X)E(X) + E(X)2
= E(X 2 ) − E(X)2 .

10. An important concept in statistics is the variance of a random variable, defined as



2 2
Var (Y ) = E[(Y − E(Y )) ] if E(Y ) < ∞,
∞ otherwise.

Show that if Xn (ω) → X(ω) for every ω ∈ Ω, then Var (X) ≤ lim inf n Var (Xn ).

Solution: We may as well assume that lim inf n Var (Xn ) < ∞, otherwise the
conclusion is trivial. At the same time, let’s extract a subsequence Xn0 so that
Var (Xn0 ) → lim inf n Var (Xn ) as n0 → ∞. In other words, without loss of gener-
ality we may assume that supn Var (Xn ) < ∞, let’s call this value K.
Since Var (Xn ) < ∞, we have E(Xn2 ) < ∞ and by the previous exercise, this
implies E(|Xn |) ≤ E(Xn2 )1/2 < ∞. In other words, Xn is integrable. Our next job
is to show that E(Xn ) is a bounded sequence of numbers. The triangle inequality
|X(ω) − E(Xn )| ≤ |X(ω) − Xn (ω)| + |Xn (ω) − E(Xn )| implies the following set
inclusion for any value M > 0,
{ω :|X(ω) − E(Xn )| > 2M }
⊆ {ω : |X(ω) − Xn (ω)| > M } ∪ {ω : |Xn (ω) − E(Xn )| > M },
and hence
P (|X − E(Xn )| > 2M ) ≤ P (|X − Xn | > M ) + P (|Xn − E(Xn )| > M ).
Take expectations over the inequality 1{|Xn −E(Xn )|>M } ≤ (Xn −E(Xn ))2 /M 2
to give P (|Xn − E(Xn )| > M ) ≤ Var (Xn )/M 2 ≤ K/M 2 . Combined with the
previous inequality we obtain
P (|X − E(Xn )| > 2M ) ≤ P (|X − Xn | > M ) + K/M 2 .
The pointwise convergence of Xn to X implies that the sets (|X − Xn | > M )
decrease to ∅ as n → ∞, so that P (|X − Xn | > M ) → 0.
Fix M > 0 so large that K/M 2 < 1/8. The pointwise convergence of Xn
to X implies that the sets (|X − Xn | > M ) decrease to ∅ as n → ∞, so that
P (|X − Xn | > M ) → 0. Therefore we can choose N 0 so large that n ≥ N 0 implies
P (|X − Xn | > M ) ≤ 1/8 and thus P (|X − E(Xn )| > 2M ) ≤ 1/4.
The sets (|X| > N ) decrease to ∅ as N → ∞, so that for some large N we
have P (|X| > N ) ≤ 1/4. Now lets define a set of good points:
G = {ω : |X(ω)| ≤ N } ∩ {ω : |X(ω) − E(Xn )| ≤ 2M }.
If G is not empty, then for ωg ∈ G we have |E(Xn )| ≤ 2M + |X(ωg )| ≤ 2M + N .
Our bounds show us that P (Gc ) = P ((|X| > N ) ∪ |X − E(Xn )| > 2M ) ≤
1/4 + 1/4 = 1/2 so that G is non-empty, for all n ≥ N 0 . In other words, |E(Xn )| ≤
2M + N for n ≥ N 0 , which implies that E(Xn ) is bounded.
Now we have that E(Xn2 ) = Var (Xn ) + E(Xn )2 is a bounded sequence. Ap-
plying Fatou’s lemma to the non-negative random variables Xn2 , we conclude that
X 2 is integrable and E(X 2 ) ≤ lim inf n E(Xn2 ). From problem 4, this also shows
that X is integrable since E(|X|) ≤ E(X 2 )1/2 < ∞.
For any random variable Y and constant c > 0, let’s define the truncated
random variable Y c = Y 1{−c≤Y ≤c} . For any c > 0, we have
|E(Xn ) − E(X)| ≤ |E(Xn ) − E(Xnc )| + |E(Xnc ) − E(X c )| + |E(X c ) − E(X)|
≤ |E(Xn 1{|Xn |>c} )| + |E(Xnc ) − E(X c )| + |E(X1{|X|>c} )|
≤ E(Xn2 /c) + |E(Xnc ) − E(X c )| + E(X 2 /c)
supn E(Xn2 ) E(X 2 )
≤ + |E(Xnc ) − E(X c )| +
c c
Now for every c, the sequence Xnc is dominated by the integrable random
variable c1Ω , and converges pointwise to X c . Therefore the dominated convergence
theorem tells us E(Xnc ) → E(X c ). Letting n → ∞ and then c → ∞ in the above
inequality shows that, in fact, E(Xn ) → E(X).
Finally, we may apply Fatou’s lemma to the sequence (Xn −E(Xn ))2 to obtain

Var (X) = E[(X − E(X))2 ] = E[lim inf (Xn − E(Xn ))2 ]


n
2
≤ lim inf E[(Xn − E(Xn )) ] = lim inf Var (Xn ).
n n

Whew!

STAT 571 Assignment 3 solutions

11. (Exercise 3.3.2, page 98)


Let P be a finitely additive probability on a Boolean algebra U. Show that the following
are equivalent.
(1) P is σ-additive on U.
(2) (An )n≥1 ⊂ U, An ⊃ An+1 , and ∩∞ n=1 An = A imply that P(An ) ↓ P(A) if A ∈ U.
(3) (An )n≥1 ⊂ U, An ⊃ An+1 , and ∩∞ n=1 An = ∅ imply that P(An ) ↓ 0.
(4) If (An )n≥1 ⊂ U, An ⊃ An+1 , and for all n ≥ 1, P(An ) ≥ δ for some δ > 0, then
∩∞
n=1 An 6= ∅
(5) (An )n≥1 ⊂ U, An ⊂ An+1 , and ∪∞ n=1 An = A imply that P(An ) ↑ P(A) if A ∈ U.

Solution:
(1) ⇒ (2) For every n we can write An as the disjoint union of U sets An =
(An \ An+1 ) ∪ (An+1 \ An+2 ) ∪ . . . ∪ A, and use σ-additivity to obtain P(An ) =
P(An \ An+1 ) + P(An+1 \ An+2 ) + · · · + P(A). This shows that P(An ) − P(A) is
the tail of a convergent series, and thus converges to zero as n → ∞.
(2) ⇒ (3) (3) is a special case of (2).
(3) ⇒ (1) Suppose that (3) holds and that Em ∈ U are disjoint and E =
∪∞ n ∞
m=1 Em ∈ U. For each n ∈ N define the U set An = E \ (∪m=1 Em ) = ∪m=n Em .
We have An ⊃ An+1 and ∩∞ n=1 An = ∅ so we know P(An ) → 0. On the other hand
by finite additivity we havePP(E) = P(E1 ) + · · · + P(En−1 ) + P(An ), so letting

n → ∞ we obtain P(E) = m=1 P(Em ), which says that P is σ-additive.
(2) ⇔ (5) This follows since U is closed under complementation and P is a
finitely additive probability so that P(Ac ) = 1 − P(A).
(3) ⇔ (4) These statements are contrapositives of each other.

12. (Exercise 3.6.21 parts (1)–(4), page 135)


(Integration by parts) Let µ and ν be two probability measures on B(R) with distribu-
tion functions F and G. Let µ(dx) and ν(dx) also be denoted by dF (x) and dG(x). Let
B = (a, b] × (a, b], and set B + = {(x, y) ∈ B | x < y} and B − = {(x, y) ∈ B | x ≥ y}.
(1) Use Fubini’s theorem to express (µ × ν)(B − ) as two distinct integrals.
(2) Let F (x−) = limy↑x F (y). Show that µ((a, c)) = F (c−) − F (a).
(3) Use (1) and (2) to show that

(µ × ν)(B) = {F (b) − F (a)}{G(b) − G(a)}


Z Z
= {F (u−) − F (a)} dG(u) + {G(u) − G(a)} dF (u).
(a,b] (a,b]

(4) Deduce that


Z Z
{F (b)G(b) − F (a)G(a)} = F (u−) dG(u) + G(u) dF (u).
(a,b] (a,b]

Solution: (1) From Fubini’s theorem we can write


Z Z

(µ × ν)(B ) = 1B − (x, y) (µ × ν)(dx, dy)
Z Z
= 1(a,b] (x)1(a,b] (y)1[y,∞) (x) µ(dx)ν(dy)
Z Z
= µ(dx)ν(dy)
(a,b] [y,b]
Z
= µ([y, b]) ν(dy).
(a,b]

R 1[y,∞) (x) = 1(−∞,x] (y) we can use a similar argument to obtain (µ ×


Noting that
ν)(B − ) = (a,b] ν((a, x]) µ(dx).

(2) µ((a, c)) = limn µ((a, c − 1/n]) = limn F (c − 1/n) − F (a) = F (c−) − F (a).
(3) We have two different ways to calculate (µ × ν)(B). The first is by definition
(µ × ν)(B) = µ((a, b])ν((a, b]) = (F (b) − F (a))(G(b) − G(a)). The second is by
adding (µ × ν)(B − ) and (µ × ν)(B + ). We already know that
Z Z

(µ × ν)(B ) = ν((a, x]) µ(dx) = (G(x) − G(a)) F (dx),
(a,b] (a,b]

and a similar argument shows that


Z Z
+
(µ × ν)(B ) = µ((a, x)) ν(dx) = (F (x−) − F (a)) G(dx).
(a,b] (a,b]
Therefore we have
Z Z
(F (b) − F (a))(G(b) − G(a)) = (F (x−) − F (a)) G(dx) + (G(x) − G(a)) F (dx).
(a,b] (a,b]

(4) Starting with the equation above and multiplying out where possible gives

F (b)G(b) − F (a)G(b) − F (b)G(a) + F (a)G(a)


Z Z
= F (x−) G(dx) − F (a)(G(b) − G(a)) + G(x) F (dx) − G(a)(F (b) − F (a))
(a,b] (a,b]
Z Z
= F (x−) G(dx) + G(x) F (dx) − F (a)G(b) + F (a)G(a) − G(a)F (b) + G(a)F (a).
(a,b] (a,b]

Cancelling like terms on both sides, this reduces to


Z Z
F (b)G(b) − F (a)G(a) = F (x−) G(dx) + G(x) F (dx).
(a,b] (a,b]

STAT 571 Assignment 4 solutions

L∞ a.s.
13. Prove that if Xn −→ X, then Xn −→ X.

Solution: For every k ∈ N choose nk so that n ≥ nk implies kXn − Xk∞ ≤ 1/k.


Then for n ≥ nk we have P(|Xn − X| > 1/k) = 1, and taking the intersection over
such n gives P(supn≥nk |Xn −X| > 1/k) = 1. Now we can also take the intersection
over k to obtain P(∩k [supn≥nk |Xn − X| > 1/k]) = 1. Since Xn (ω) → X(ω) for
a.s.
every ω ∈ ∩k [supn≥nk |Xn − X| > 1/k], we have Xn −→ X.

P w
14. Prove that if Xn −→ X, then Xn −→ X.
P P
Solution: Since Xn −→ X, we have φ(Xn ) −→ φ(X) for any continuous bounded
φ. Using the dominated convergence below, we have E(φ(Xn )) → E(φ(X)), which
w
by definition means Xn −→ X.

P
15. (Dominated convergence theorem) Prove that if Xn −→ X, and |Xn | ≤ Y ∈ L1 ,
then E(Xn ) → E(X).

Solution: If E(Xn ) 6→ E(X), then there is  > 0 and a subsequence nk so


P
that |E(Xnk ) − E(X)| ≥  for every k. But Xnk −→ X so there is a further
a.s.
subsequence so that Xnkj −→ X. By the usual dominated convergence theorem,
we have E(Xnkj ) → E(X), which contradicts |E(Xnk ) − E(X)| ≥ . Therefore
E(Xn ) 6→ E(X) is impossible, so we have E(Xn ) → E(X).

p
16. Prove or disprove the following implication
PN for convergence in L , almost surely, and
1
in probability: Xn → X implies N n=1 Xn → X.
PN
Solution: (a.s.) It suffices to show that Xn (ω) → X(ω) implies N1 n=1 Xn (ω) →
X(ω). Suppose Xn (ω) → X(ω), and pick Pn> 0. Let n so that supn≥n |Xn (ω) −
X(ω)| ≤ . Choose N so large that n=1 |Xn (ω) − X(ω)| ≤ N . Then for
N ≥ N we get

1 N N
X
1 X

N Xn (ω) − X(ω) ≤
Xn (ω) − X(ω)
n=1
N n=1
n ! N !
1 X
Xn (ω) − X(ω) + 1
X
≤ Xn (ω) − X(ω)
N n=1 N
n=n +1

N
≤+
N
≤ 2,
1
PN
which proves N n=1 Xn (ω) → X(ω).

Solution: (LPp ) Pick  > 0 and let n so that supn≥n kXn − Xkp ≤ . Choose N
n
so large that n=1 kXn − Xkp ≤ N . Then for N ≥ N we get

1 N N
X
1 X

N X n − X ≤ Xn − X
p
n=1

p N n=1
n
! N
!
1 X Xn − X + 1
X
≤ p
Xn − X
p
N n=1 N n=n +1
N
≤+
N
≤ 2,

1
PN Lp
which proves N n=1 Xn −→ X.

Solution: (in probability) Let Xn be independent random variables with P(Xn =


n) = 1/n and P(Xn = 0) = 1−1/n. For any  > 0 we have P(|Xn | > ) = 1/n → 0
P
so Xn −→ 0. On the other hand, for any N we have
  Y  
N  \  1 bN/2c 1
P sup Xn ≤ =P (Xn = 0) = 1− = ≤ .
1≤n≤N 2 n N 2
N/2<n≤N N/2<n≤N
 PN 
gives P N1 1 1 1
≥ 12 , so we conclude

This n=1 Xn > 2 ≥P N sup1≤n≤N Xn > 2
PN
that (1/N ) n=1 Xn 6→ 0 in probability.

17. Prove that if supn E(Xn2 ) < ∞, then (Xn )n∈N is uniformly integrable.

Solution:

Xn2 supn E(Xn2 )


Z Z
sup |Xn | dP ≤ sup dP ≤ → 0 as c → ∞.
n {|Xn |>c} n {|Xn |>c} c c

STAT 571 Assignment 5 solutions

18. Prove that if X ≥ 0, then E[X | G] ≥ 0.

Solution: Let G =R{ω : E[X | RG](ω) < 0}. Then E[X | G]1G ≤ 0 and X1G ≥ 0,
but G ∈ G so 0 ≤ G X dP = G E[X | G] dP ≤ 0. A negative random variable
with a zero integral must be zero: thus E[X | G]1G = 0, and we conclude that
1G = 0, that is P(G) = 0.

P
19. (Dominated convergence theorem) Prove that if Xn −→ X, and |Xn | ≤ Y ∈ L1 ,
P
then E[Xn | G] −→ E[X | G].
P
Solution: Since |Xn − X| −→ 0 and |Xn − X| ≤ 2Y , dominated convergence tells
us that E(|Xn − X|) → 0 as n → ∞. Since |E[Xn − X | G]| ≤ |Xn − X|, this
shows us that E[Xn | G] → E[X | G] in L1 and hence also in probability.

20. If X, Y ∈ L2 , show that E[XE[Y | G]] = E[Y E[X | G]].

Solution: Integrate over the equation E[XE[Y | G] | G] = E[Y | G]E[X | G] =


E[Y E[X | G] | G].

21. True or false: If X and Y are independent, then E[X | G] and E[Y | G] are indepen-
dent for any G.

Solution: This is false. Let X, Y be independent and identically distributed with


non-zero variance, and set G = σ(X + Y ). Then E[X + Y | G] = X + Y , so by
symmetry E[X | G] = E[Y | G] = (X + Y )/2. That is, E[X | G] and E[Y | G]
are equal!
22. If (Xn )n∈N is a submartingale, then so is (Yn )n∈N where Yn = (Xn − a)+ and a is
any constant.

Solution: Since Yn+1 ≥ Xn+1 − a, we have E[Yn+1 | Gn ] ≥ E[Xn+1 − a | Gn ]


which is greater than or equal to Xn − a as (Xn )n∈N is a submartingale. Also
Yn+1 ≥ 0 implies E[Yn+1 | Gn ] ≥ 0, so combining the two inequalities we get

E[Yn+1 | Gn ] ≥ sup{0, Xn − a} = (Xn − a)+ = Yn ,

which shows that (Yn )n∈N is a submartingale.

STAT 571 Term exam I solutions.

1. Determine the σ-algebra F of P∗ -measurable subsets of R for the measure whose dis-
tribution function is
1 if x ≥ 0,
n
F (x) =
0 if x < 0.

Solution: Before we try to determine F, let’s find out as much as we can about P
and P∗ . Define An = (−1/n, 0] so that An+1 ⊆ An for every n and ∩n An = {0}.
This implies that P(An ) → P({0}). Now P(An ) = F (0) − F (−1/n) = 1 for every
n and so we conclude that P({0}) = 1, and also P(R \ {0}) = 0.
For any subset E ⊆ R with 0 ∈ E we have P∗ (E) ≥ P∗ ({0}) = P({0}) = 1.
On the other hand, if 0 6∈ E, then E ⊆ (R \ {0}) and so P∗ (E) ≤ P∗ (R \ {0}) =
P(R \ {0}) = 0. Therefore we have

∗ 1 if 0 ∈ E,
P (E) =
0 if 0 6∈ E.

Let E and Q be arbitrary subsets of R. If 0 ∈ E, then 0 is contained in exactly


one of the sets E ∩ Q and E ∩ Qc . Therefore

1 = P∗ (E) = P∗ (E ∩ Q) + P∗ (E ∩ Qc ) = 1.

If 0 6∈ E, then 0 doesn’t belong to either E ∩ Q or E ∩ Qc , so that

0 = P∗ (E) = P∗ (E ∩ Q) + P∗ (E ∩ Qc ) = 0.

Thus any subset Q is a “good splitter” and so F contains all subsets of R.

2. If P is a probability measure on (R, B(R)) and F its distribution function, show that
F is continuous at x if and only if P({x}) = 0.
Solution: Since F is non-decreasing, it has a left limit at x given by

F (−x) = lim F (x − 1/n) = lim P((−∞, x − 1/n]) = P((−∞, x)).


n n

Subtracting gives

F (x) − F (−x) = P((−∞, x]) − P((−∞, x)) = P({x}),

which shows that P({x}) = 0 if and only if F (x) = F (−x). This is the same as
continuity at x, since F is right-continuous.

3. Show that X is a random variable on (Ω, F, P) if {ω | X(ω) > λ} ∈ F for all λ ∈ R.

Solution: If {X > λ} ∈ F for all λ ∈ R, then {X ≥ λ} = ∩n {X > λ − 1/n} ∈ F.


Therefore {X < λ} = {X ≥ λ}c ∈ F, which shows that X is a random variable.

4. Let P be a probability measure on (R, B(R)). If Q ⊂ R and A, B are Borel sets so


that A ⊂ Q ⊂ B and P(B \ A) = 0, then Q is P∗ -measurable.

Solution: Since every Borel set is P∗ -measurable, and since Q = A ∪ (Q \ A), it


suffices to show that Q \ A is P∗ -measurable. Let’s see how well Q \ A splits E.
For any E ⊆ R we have

P∗ (E ∩ (Q \ A)) ≤ P∗ (Q \ A) ≤ P∗ (B \ A) = P(B \ A) = 0.

Consequently we obtain

P∗ (E) ≥ P∗ (E ∩ (Q \ A)c ) = P∗ (E ∩ (Q \ A)c ) + P∗ (E ∩ (Q \ A)).

Subadditivity of P∗ gives the reverse inequality, and shows that (Q \ A) is P∗ -


measurable.

5. Give an example of a probability space and integrable random variables Xn so that


Xn (ω) → 0 for every ω ∈ Ω, but E[Xn ] 6→ 0 as n → ∞.

Solution: Let Ω = N, F = all subsets of Ω, and P ({n}) = 2−n for n ≥ 1. Define


random variables by Xn = 2n 1{n} . For fixed ω, we have Xn (ω) = 0 for all n > ω
so Xn (ω) → 0. On the other hand, E(Xn ) = 2n P({n}) = 2n 2−n = 1, for all n.

STAT 571 Term exam II solutions

1. Give an example where Xn (ω) → X(ω) for every ω ∈ Ω, but E(X) < lim inf n E(Xn ).
Solution: Let Ω = N, F = all subsets of Ω, and P({n}) = 2−n for n ≥ 1. Define
random variables by Xn = 2n 1{n} . For fixed ω, we have Xn (ω) = 0 for all n > ω
so Xn (ω) → 0. On the other hand, E(Xn ) = 2n P({n}) = 2n 2−n = 1, for all n.

2. Show that if E[(X − a)2 ] < ∞ for some a ∈ R, then E[(X − a)2 ] < ∞ for all a ∈ R.

Solution: If E[(X − a)2 ] < ∞, then the result follows for any b ∈ R by integrating
the inequality (X − b)2 ≤ 2(X − a)2 + 2(b − a)2 .

R R
3. Prove that X dP = sup{ s dP | 0 ≤ s ≤ X, s simple} for non-negative X.
R R R
Solution: If s R≤ X, then s dP ≤ X dPR and so sup{ s dP | 0 R≤ s ≤
X, s simple} ≤ X dP. On the other hand, X dP is defined as limk sk dP
where sk is a sequence of simple functions that increases to X. Therefore

∫ X dP = lim ∫ sk dP ≤ sup{∫ s dP | 0 ≤ s ≤ X, s simple}.


k

Combining the two inequalities gives the result.

4. Let P, Q be Rprobabilities on (R, B(R)) where P has the density function f . Prove
that h(z) = f (z − x) Q(dx) is the density of the convolution P ? Q.

Solution: For any Borel set B, we have by the definition of convolution and
Fubini’s theorem
Z
(P ? Q)(B) = 1B (x + y)(P × Q)(dx, dy)
R2
Z Z
= 1B (x + y)P(dx)Q(dy).
R R

Since P has density f and using the change of variables z = x + y, this is


Z Z Z Z
1B (x + y)f (x) dx Q(dy) = 1B (z)f (z − y) dz Q(dy)
R R R R
Z Z 
= f (z − y) Q(dy) dz,
B R

which gives the result.


1
(x − y)2 (P × P)(dx, dy), where P is the distribution of X.
R
5. Prove that Var (X) = 2 R2

Solution: First we use Fubini’s theorem to rewrite the integral on R2 as an iterated


integral:
Z Z Z Z
2 2
(x − y) (P × P)(dx, dy) = (x − y) P(dx)P(dy) = E[(X − y)2 ] P(dy).
R2 R R R

This is true whether or not the value is finite. Now if E[(X − y)2 ] = ∞ for all
y ∈ R, then both Var (X) = E[(X −E(X))2 ] and R E[(X −y)2 ] P(dy) are infinite.
R

Let’s suppose that E[(X − y)2 ] < ∞ for some y ∈ R, and hence by problem 2, for
all y ∈ R. Then expanding the square is justified and we obtain
Z Z
2
E[(X − y) ] P(dy) = E[X 2 − 2yX + y 2 ] P(dy)
R
ZR
= (E[X 2 ] − 2yE[X] + y 2 ) P(dy)
R
Z Z Z
2
= E[X ] P(dy) − 2E[X] y P(dy) + y 2 P(dy)
R R R
2 2
= E[X ] − 2E[X]E[X] + E[X ]
= 2Var (X).
STAT 571 Final Exam
April 22 1999

Instructions: This an open book exam. You can use your text, your notes, or
any other book you care to bring. You have three hours.

1. If you roll a fair die, how long on average before the pattern “ . . . ... .. .. ..... ....
.. ” appears?

2. Let Ω = (0, 1], F = B((0, 1]), and P be Lebesgue measure on (0, 1]. Define the sub
σ-algebra G = σ{(0, 1/4], (1/4, 1/2], (1/2, 1]} and the random variable X(ω) = ω 2 . Write
out an explicit formula for E(X | G)(ω).

3. Prove that E(X | X 2 ) = X 2 , where X has density function



(1 + x)/2, if −1 ≤ x ≤ 1
f (x) =
0, otherwise.

4. For X ∈ L2 , prove that the random variable E(X | G) has smaller variance than X.

5. Without using any mathematical notation, explain in grammatical English the mean-
ing of a stopping time. Why are they defined in this way, and why do we only consider
random times with this special property?

6. Let T be a stopping time and define FT = {A ∈ F : A ∩ {T ≤ n} ∈ Fn }. Prove that


FT is a σ-algebra.

7. Let S be a stopping time. Prove that T (ω) = inf{n > S(ω) : Xn (ω) ≤ 3} is a
(Fn )-stopping time, where (Xn )n∈N is adapted to the filtration (Fn )n∈N .

8. For X ∈ L1 , prove that the collection {E(X | G) : G is a sub σ algebra of F} is


uniformly integrable.

This is hard and undeserved measure, my lord. – Parolles


Act 2, Scene 3: All’s Well That Ends Well

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