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24 views2 pages

Pset3 Ee5110

Uploaded by

winson.daouda
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EE5110: Probability Foundations for Electrical Engineers

Indian Institute of Technology Madras September 22, 2021


Instructor: Abhishek Sinha

Problem Set 3
• This problem set is due on October 6, 2021 in the class.
• Each problem carries 10 points.
• Collaboration is strictly prohibited. Each student must submit their own work.

1. (Integrals) Rigorously evaluate the following integrals (taken in the sense of Lebesgue):
R∞
(a) limn→∞ 0 (1 + nx )−n sin(x/n)dx.
R ∞ sin(x/n)
(b) limn→∞ 0 nx(1+x 2 ) dx.

2. (On the growth of the maximum of n independent exponentials) Suppose that


X1 , X2 , . . . are independent random variables, each with the exponential distribution
with parameter λ = 1. For n ≥ 2, let Zn = max(Xln(n)1 ,X2 ,...,Xn )
.

(a) Find a simple expression for the CDF of Zn .


(b) Show that the sequence {Zn }n≥1 converges in distribution to a constant, and find
the constant.
3. (Dominated Convergence) Suppose |Xn | ≤ Z, ∀n ≥ 1, where E(Z) < ∞. Prove
p.
that if Xn → X then limn→∞ E|Xn − X| = 0.
4. (Convergence in total variation) The sequence of discrete random variables Xn
taking non-negative integral values with mass functions pn , is said to converge in total
variation to X with mass function p if
X
|pn (x) − p(x)| → 0, as n → ∞.
x

Suppose Xn → X in total variation, and u : R → R is bounded. Show that E(u(Xn )) →


E(u(X)).
5. (Convergence of a random recursion) Suppose {Un }n≥1 are independent random
variables, each independently distributed on the interval [0, 1]. Let X0 = 0, and define
the sequence of random variables {Xn , n ≥ 1} by the following recursion:
 
Xn−1 + Un
Xn = max Xn−1 , .
2
• (Warm Up:) Simulate the random sequence {Xn }n≥1 (in any high-level pro-
gramming language of your choice) for 1 ≤ n ≤ 1000 for a sufficiently many
times. What do you observe?
2

• Does limn→∞ Xn exist in the a.s. sense? Rigorously prove your result.
• Does limn→∞ Xn exist in the m.s. sense? Rigorously prove your result.
• Identify the random variable Z such that Xn → Z in probability. Justify your
answer.

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