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See Proposition 1.3.13 On Page 15 of Our Text

The document contains solutions to assignments involving probability theory and measure theory concepts. The key points are: 1) The intersection of all σ-algebras containing a collection C is the smallest σ-algebra generated by C. 2) The set of rational numbers Q is a Borel set in R since it can be expressed as a countable union of singletons. 3) The countable union of countable sets is countable by mapping elements to pairs of natural numbers.

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0% found this document useful (0 votes)
44 views15 pages

See Proposition 1.3.13 On Page 15 of Our Text

The document contains solutions to assignments involving probability theory and measure theory concepts. The key points are: 1) The intersection of all σ-algebras containing a collection C is the smallest σ-algebra generated by C. 2) The set of rational numbers Q is a Borel set in R since it can be expressed as a countable union of singletons. 3) The countable union of countable sets is countable by mapping elements to pairs of natural numbers.

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aman
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© © All Rights Reserved
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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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