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    নাহিদ ফারাবি
    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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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd

    Sheet 1

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    নাহিদ ফারাবি
    33 views2 pages
    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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    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.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    33 views2 pages

    Sheet 1

    Uploaded by

    নাহিদ ফারাবি
    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.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
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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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