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Probability Theory Exercises Winter 2022

The document is an exercise sheet for a probability theory course. It contains 7 problems related to probability distributions, sigma-fields, random variables, and other core probability concepts. Students are asked to solve the tutorial exercises and submit answers to the homework exercises in Moodle by October 31.

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134 views2 pages

Probability Theory Exercises Winter 2022

The document is an exercise sheet for a probability theory course. It contains 7 problems related to probability distributions, sigma-fields, random variables, and other core probability concepts. Students are asked to solve the tutorial exercises and submit answers to the homework exercises in Moodle by October 31.

Uploaded by

নাহিদ ফারাবি
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
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Technical University of Munich Probability Theory

Center for Mathematical Sciences Winter Term 2022


Chair for Probability Gantert/Reis

Exercise Sheet 1
Homework Exercises should be uploaded in
Moodle before October 31.

Tutorial Exercises

Problem 1.1
Let X be a random variable. Compute the expectation and the variance (if they exist) of X
in the following cases:
(i) (Exponential Distribution) Let λ > 0 and assume that X has density

f (x) = λe−λx 1{x>0} , x ∈ R.

(ii) (Poisson Distribution) Let λ > 0 and assume that

λk −λ
P (X = k) = e , k = 0, 1, . . . .
k!

(iii) (Cauchy Distribution) Assume that X has density


1
f (x) = , x ∈ R.
π(1 + x2 )

Problem 1.2
Let Ω be a nonempty set, I be a nonempty index set and (Fi )i∈I be a sequence of σ-fields1
on Ω.
Fi is a σ-field.
T
(i) Show that i∈I

(ii) Show that i∈I Fi is not necessarily a σ-field.


S

Hint: One can find a counterexample for I = {1, 2}.

Problem 1.3
Let (Ω, F) be a measurable space and consider the measurable space (R, B(R)) where B(R)
is the Borel sigma-field. Let f : Ω → R be a function. Show that the following are equivalent:
(i) f is F-measurable.

(ii) For all t ∈ R


{f ≤ t} := {ω ∈ Ω : f (ω) ≤ t} ∈ F.
1
In the English literature the terms “σ-algebra” and “σ-field” are used as synonyms.

Please turn the page!


Hint: Show that
{A ∈ B(R) : f −1 (A) ∈ F}
is a σ-field.

Problem 1.4
Let (Ω, F) be a measurable space and let X, Y : Ω → R. Prove or disprove:

(i) If X, Y are random variables, then also X + Y is a random variable.

(ii) If X + Y is a random variable, then also X, Y are random variables.

Homework Exercises

Problem 1.5
Let F : R → [0, 1] be a distribution function, i.e. an increasing and right-continuous function
such that
lim F (x) = 1 − lim F (x) = 0.
x→−∞ x→+∞

Define
F −1 (t) := inf{x̃ ∈ R : t ≤ F (x̃)}, t ∈ (0, 1).

(i) Show that F −1 is Borel measurable.

(ii) Let U be a random variable with uniform distribution on (0, 1). Determine the distri-
bution function of F −1 (U ).

Hint: Increasing functions have only discontinuities of the first kind, i.e. jump discontinuities.

Problem 1.6
Let X : Ω1 → Ω2 be a map between two sets Ω1 and Ω2 . Prove or disprove that:

(i) If B is a σ-algebra on Ω2 , then

A := {X −1 (B) : B ∈ B}

is a σ-algebra on Ω1 .

(ii) If A is a σ-algebra on Ω1 , then

B̃ := {X(A) : A ∈ A}

is a σ-algebra on Ω2 .

Problem 1.7
A σ-field F is said to be countably generated if there exists a countable collection A ⊂ F
such that σ(A) = F. Prove that B(R) is countably generated.

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