PS: Advanced Probability Theory Sheet 1: Solutions
PS: Advanced Probability Theory Sheet 1: Solutions
PS: Advanced Probability Theory Sheet 1: Solutions
Sheet 1 Solutions
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Exercise 1 (L.T.)
Then, applying Fubini-Tonelli to the nonnegative function 1X(·)≥·· (i.e. (ω, x) 7→ 1X(ω)≥x )1
gives Z ∞Z Z ∞
E [X] = 1X(ω)≥x P(dω)dx = P(X ≥ x)dx. (2)
0 Ω 0
If X has support in N, we deduce that
∞ Z
X n ∞
X
E [X] = P(X ≥ x)dx = P(X ≥ n). (3)
n=1 n−1 n=1
Remark. You can think about whether the inequality in Equation (5) is always strict.
1 To be more rigorous, you could write on which space this function lives but this is not necessary.
1
Exercise 2 (Moritz Dober)
P
Take Ω = I, F = P(Ω), P = i∈I pi · δi (where δi is the Dirac measure on {i}) and X : Ω → R
given by X(i) = xi .
Then we have P(X = xi ) P = P({i}) = pi . Its law is unique since for every such X it holds
that P(X ∈ {xi | i ∈ I}) = i∈I pi = 1 and hence for A ∈ B(R),
X X
P(X ∈ A) = P(X ∈ A ∩ {xi | i ∈ I}) = P(X ∈ A ∩ {xi }) = pi · δxi (A).
i∈I i∈I
√ √
c) Computing the distribution function first, P (U 2 ≤ t) = P (U ≤ t) = t. This is seen to
Rt 1 1
have a density w.r.t. the Lebesgue measure, since FU 2 (t) = 0 2√s ds, hence fU 2 (t) = 2√ t
and the law of U 2 (which is uniquely determined by the distribution function, as seen in
Exercise 4) is Z
1
µU 2 (B) = √ dx.
B 2 x
and therefore
[ d−c
(c, d) = (c, d − ] ∈ σ(A).
n≥1 | {z n }
∈σ(A)
Every open set O ∈ O can be represented as union of open intervals with rational end-
points, hence as a countable union of open intervals. This implies O ⊆ σ(A) and hence
B(R) = σ(O) ⊆ σ(A).
+ n1 ).
T
Clearly A ⊆ σ(O) (and thus σ(A) ⊆ σ(O)) since (−∞, a] = n≥1 (−∞, a
2
A is a π-system since (−∞, a] ∩ (−∞, b] = (−∞, min{a, b}] ∈ A.
Now, let X, Y be two random variables with the same distribution functions FX = FY . Then
µX |A = µY |A since
By Dynkin’s lemma the σ-algebra generated by A is the same as the Dynkin system generated
by A, i.e. σ(A) = δ(A). Therefore we conclude
i.e. µX ≡ µY on B(R).
In order to prove that A generates the Borel σ-algebra on R, we need to show that A con-
tains all open sets in R. By taking complements and intersections, S it is clear that σ(A) contains
∞
all intervals of the form (a, b]; for a sequence bn ↑ b, we also have n=1 (a, bn ] = (a, b), so σ(A)
contains all open intervals. The fact that every open set in R is a countable union of open intervals
finishes the proof.
The intersection of any two sets in A is equal to the smaller of the two, so A is intersection stable.
Now, looking at two random variables X1 , X2 with the same distribution and laws µ1 , µ2 , it
immediately follows that µ1 ((−∞, a]) = µ2 ((−∞, a]) for all a ∈ R. This just means µ1 = µ2 on
A.
Since D := {A ∈ B(R) : µ1 (A) = µ2 (A)} is a Dynkin system that contains the π-system A, we
can apply Dynkin’s lemma: D ⊃ σ(A) = B(R), so µ1 = µ2 .