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ME (Math) 577 HW01

The document contains homework problems for a course on Stochastic Systems in Science and Engineering, focusing on various aspects of probability theory and random variables. It includes proofs related to sequences of events, properties of random variables, and specific problems such as Buffon's needle. Additionally, it addresses the evaluation of expectations and variances for specific probability density functions.

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14 views2 pages

ME (Math) 577 HW01

The document contains homework problems for a course on Stochastic Systems in Science and Engineering, focusing on various aspects of probability theory and random variables. It includes proofs related to sequences of events, properties of random variables, and specific problems such as Buffon's needle. Additionally, it addresses the evaluation of expectations and variances for specific probability density functions.

Uploaded by

Nick
Copyright
© © All Rights Reserved
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ME/MATH 577

Stochastic Systems in Science and Engineering


Home Work Set #01

Problem 01.01
Establish the truth or falsity of each of the following statements with a proof:

( i) Let {Fk } be a monotonically increasing sequence


 of events
 on a probability

space Ω, E, P . Then, limk→∞ P (Fk ) = P limk→∞ Fk .

( ii) Every random variable is the limit of a sequence of simple random variables.
(iii) Every nonnegative random variable is the limit of an increasing sequence of
simple nonnegative random variables.
(iv) Every probability measure is sequentially continuous in the sense that if {Fk }
is a convergent sequence
 of events
 on a probability space Ω, E, P , then
limk→∞ P (Fk ) = P limk→∞ Fk .

( v) Let the Borel set B(R) be defined as the σ-algebra generated by all left semi-
open intervals in R. Then, B(R) contains all open intervals, closed intervals,
right semi-open intervals, and singletons in R.
(vi) Let g : R → R be a continuous function in the usual metric. Then, g is a
Borel-measurable function.
(vii) Let A ∈ B(R) be non-empty. Show that the indicator function χA : R →
{0, 1} that is defined as:

 1 if θ ∈ A
χA (θ) ,
0 if θ ∈
/A

is a Borel-measurable function.

(viii) Let {Fk } be an arbitrary sequence of events on a probability space Ω, E, P .
P∞ 
If k=1 P (Fk ) < ∞, then P lim sup Fk = 0.

1
Problem 01.02
Solve the following two problems:
(i) The needle on a broken car speedometer is free to swing, and bounces perfectly
off the pins at either end; if you give it a flick, it is equally likely to come to rest
at any angle θ between 0 and π. Now we are interested in the x-coordinate
of the needle point, i.e., the projection of the needle on the horizontal line.
What is the probability density f (x)? Graph f (x), from −2r to +2r, where
r is the length of the needle. Make sure that the total probability is equal to
1. [Hint: The probability that the projection lies between x and (x + dx) is
f (x) dx.]
( ii) (Buffon’s needle) A needle of length ℓ is dropped at random onto a sheet of
paper ruled with parallel lines that are at a distance ℓ apart. What is the
probability that the needle will cross a line? [Hint: You may use the result
in part (i) of the problem.]

Problem 01.03
Let F and G be two events on a probability space Ω, E, P and let δ ∈ (0, 12 ).

Prove that if P (F ) ≥ (1 − δ) and P (G) ≥ (1 − δ), then P (F ∩ G) ≥ (1 − 2δ) . In
other words, if two events have probability close to 1, then their intersection also
has a probability close to 1.

Problem 01.04
Let {Xk } and {Yk } be two increasing sequences of nonnegative simple random
variables converging to the same limit X that is a random variable. Show that
limk→∞ E[Xk ] = limk→∞ E[Yk ]. Is the converse true?

Problem 01.05
The Cauchy probability density function (pdf) of a random variable X is defined as:
1
fX (x) = π(1+x 2 ) . Evaluate E[X] and verify that V ar[X] is unbounded. Explain

what one can say about the second and higher moments of |X|, i.e., E[|X|k ] for all
k ≥ 2.
[Hint: For the first part of Problem 01.05, you may use the principal value of the
infinite integral defined as:
Z ∞ Z k
PV dx f (x) , lim dx f (x)
−∞ k→∞ −k

For the second part of Problem 01.05, you may use Hölder inequality.]

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