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Homework 1: September 20, 2023

The document outlines a mathematical proof demonstrating that the intersection of σ-fields is also a σ-field, and establishes properties of probability measures and random variables. It details how to show that certain sets are measurable and how transformations of random variables maintain measurability. Additionally, it discusses the relationship between cumulative distribution functions and their inverses in the context of probability theory.

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5 views2 pages

Homework 1: September 20, 2023

The document outlines a mathematical proof demonstrating that the intersection of σ-fields is also a σ-field, and establishes properties of probability measures and random variables. It details how to show that certain sets are measurable and how transformations of random variables maintain measurability. Additionally, it discusses the relationship between cumulative distribution functions and their inverses in the context of probability theory.

Uploaded by

rxzhen
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Homework 1

September 20, 2023

1. (a) Suppose A ∈ ∩i∈I F. By definition o f i ntersection, f or a ll i ∈ I , A ∈ F i . S ince e ach F i i s a


σ-field, it follows that for all i ∈ I, Ac ∈ Fi . Hence by definition of intersection, Ac ∈ ∩i∈I Fi .
(b) Suppose An ∈ ∩i∈I F is a countable sequence of sets, then it is also a countable sequence
in every Fi , i ∈ I. Since each Fi is a σ-field, it follows that ∪n An ∈ Fi . By definition of
intersection, this implies that ∪n An ∈ ∩i∈I Fi .
We have show that ∩i∈I Fi is closed under complement and countable unions. Therefore, ∩i∈I Fi
is a σ-field.
2. (a) As ∅ is countable, Ω ∈ F. Suppose A ∈ F. Since A or Ac is countable, then (Ac )c or Ac is
countable. Hence Ac ∈ F.
Suppose Ai ∈ F is a countable sequence of sets. If all the Ai are countable, then ∪i Ai is a
countable union of countable sets, and therefore it is countable. Hence ∪i Ai ∈ F. If there
exists a set Ai such that Ai is uncountable, then Ac is countable. Then (∪i Ai )c = ∩i Aci ⊂ Acj
is countable, therefore ∪i Ai ∈ F.
Hence, F is a σ-field of Ω.
(b) By definition, P (Ω) = P (R) = 1, P (A) ≥ P (∅) = 0.
Suppose Ai ∈ F is a countable sequence of disjoint set. If all the Ai are countable sets,
then ∪i Ai , P as a countable union of countable sets, is also countable. Hence, the equality
P (∪i Ai ) = i P (Ai ) holds. Suppose there exists a set Aj such that Aj is uncountable, then
c
Pj is countable. SinceP
A Ai are disjoint, for ∀i ̸= j, Ai ∈ Acj is countable. Hence, P (∪i Ai ) = 1,
i P (Ai ) = P (Aj ) + i̸=j P (Ai ) = 1, the equality holds.
Therefore, P is a probability measure.
Therefore, (Ω, F, P ) is a probability space.
3. For every Borel set B ⊂ R, we have:
Z −1 (B) = {ω : Z(ω) ∈ B}
= {ω : ω ∈ A, X(ω) ∈ B or ω ∈ Ac , Y (ω) ∈ B}
= [A ∩ X −1 (B)] ∪ [Ac ∩ Y −1 (B)].

Since X and Y are random variables, it follows that for every B ⊂ R, X −1 (B) ∈ F and Y −1 (B) ∈
F. And we have A ∈ F and Ac ∈ F. Hence, Z −1 (B) ∈ F and therefore Z is a random variable.
4. Define F −1 (y) = sup{x : F (x) ≤ y}, y ∈ [0, 1], then for y ∈ [0, 1], we have:
P (Y ≤ y) = P (F (X) ≤ y) = P (X ≤ F −1 (y)) = F (F −1 (y)) = F (sup{x : F (x) ≤ y}) = y.

The fourth equality is derived from the continuity of F.


For the second equality, we need to show {F (X) ≤ y} = {X ≤ F −1 (y)}. For one direction, if
F (X) ≤ y, we have X ∈ {x : F (x) ≤ y}, and then X ≤ sup{x : F (x) ≤ y} = F −1 (y). For
another direction, if X ≤ F −1 (y) = sup{x : F (x) ≤ y}, then F (X) ≤ y.

1
5. (a) First we show that σ(X) ⊂ σ(X −1 (A)). As X −1 (A) ⊂ σ(X −1 (A)), from Theorem 1.3.1, we
can derive that X is (σ(X −1 (A)), S)-measurable. Hence, σ(X) = X −1 (S) ⊂ σ(X −1 (A)).
(b) We show that σ(X −1 (A)) ⊂ σ(X). As A ⊂ S, we have X −1 (A) ⊂ X −1 (S), then it follows
that σ(X −1 (A)) ⊂ σ(X −1 (S)). We have:

{X ∈ B}c = {X ∈ B c },

∪i {X ∈ Bi } = {X ∈ ∪i Bi }.
Since S is a σ-field, then X −1 (S) = {{X ∈ B} : B ∈ S} is a σ-field. Hence, σ(X −1 (A)) ⊂
σ(X −1 (S)) = X −1 (S).
Therefore, σ(X −1 (A)) = σ(X).

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