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Homework 4

This document provides instructions for homework 4 in a probability and measure theory class. It is due on October 17th and should be submitted as a PDF file with a specific naming convention. The homework consists of 5 questions involving measure theory, integration, and probability. Students are allowed to discuss the problems but must submit their own solutions. Full mathematical explanations are required.

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Muhammed Burak Eryılmaz
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20 views2 pages

Homework 4

This document provides instructions for homework 4 in a probability and measure theory class. It is due on October 17th and should be submitted as a PDF file with a specific naming convention. The homework consists of 5 questions involving measure theory, integration, and probability. Students are allowed to discuss the problems but must submit their own solutions. Full mathematical explanations are required.

Uploaded by

Muhammed Burak Eryılmaz
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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IE 523 Homework 4 Fall 2023

Due: 17 October 2023 Tuesday, 17:30, through MOODLE.


Submit a single portable document file with a name formatted as follows:

<Lastname><Firstname>HW4.pdf

For instance, BernoulliJakobHW4.pdf.

Write your solutions legibly and explain your mathematical arguments in full.
You are welcome to discuss the homework problems with your classmates but you
have to write down your own solutions.

The numbered references in the questions are from the lecture notes on MOODLE.

Q. 1. (10 pts) Solve Exercise 2.3.17.


Hint: Prove and use the following auxiliary result.
Lemma. Let amn ∈ R̄+ for each m, n ∈ N. For each m ∈ N, suppose that am1 ≤
am2 ≤ . . . so that bm = limn→∞ amn exists in R̄+ . Then,
∞
X ∞
X
lim amn = bm .
n→∞
m=1 m=1

Q. 2. (20 pts)

(a) (5) Solve Exercise 2.3.21.


(b) (10) Solve Exercise 2.3.22.
(c) (5) Let (Ω, F, P) be a probability space. Let X : Ω → R̄ be an integrable random
variable and A ∈ F. Show that E [|X|1A ] = 0 if and only if P(A ∩ {|X| > 0}) =
0.
Q. 3. (25 pts) Let (Ω, F, µ) be a measure space and X : Ω → R+ a simple function of
the form
Xn
X= ai 1Ai
i=1
for some a1 , . . . , an ∈ R+ , A1 , . . . , An ∈ F, n ∈ N.

(a) (10) Construct the canonical representation of X from its representation given
above. In other words, in terms of a1 , . . . , an ; A , . . . , An ; n, define b1 , . . . , bm ∈
P1m
R+ , B1 , . . . , Bm ∈ F, m ∈ N such that X = j=1 bj 1Bj is the canonical repre-
sentation of X.
(b) (10) Show that
n
X m
X
ai µ(Ai ) = bj µ(Bj ).
i=1 j=1

1
R
(c) (5) Show that the definition of Xdµ in Step 2 of the lecture notes is free of the
choice of the particular representation of X.
Q. 4. (20 pts) Let (Ω, F, P) be a probability space and X : Ω → R̄+ a random variable.

(a) (10) Show that  


1
lim nE 1{X>n} = 0.
n→∞ X

(b) (10) Show that  


1 1
lim E 1 = 0.
X {X> n }
1
n→∞ n

Q. 5. (25 pts) Let (Ω, F, P) be a probability space and X : Ω → R a random variable.

(a) (10) Show that X is integrable if and only if


 
lim E |X|1{|X|>n} = 0.
n→∞

(b) (15) Suppose that X is integrable. Let (Ak )k∈N be a sequence of events in F such
that
lim P(Ak ) = 0. (1)
k→∞

Show that
lim E [|X|1Ak ] = 0.
k→∞

Hint: Use the fact that


   
E [|X|1Ak ] = E |X|1Ak ∩{|X|>n} + E |X|1Ak ∩{|X|≤n}

for each k ∈ N, n ∈ N. Let ε > 0. Using part (a) and (1), choose n ∈ N in such a
way that E [|X|1Ak ] ≤ ε for “large” k.

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