2021 Sol
2021 Sol
DEPARTEMENT WISKUNDE
Exam Name:
G0P63B Probability and Measure
17 January 2021 (200C 01.17, 12:00–15:00)
Answer the questions below. Only your best three out of four solutions count
towards your grade. Write your name on the top of every sheet you submit.
This is an open book exam: You are allowed to use the official lecture notes
and the exercise sheets without solutions. Marks may be deducted for written
answers that do not clearly show how the solution is reached. Use complete
grammatical sentences in the English language.
Please place your student ID card on the table at a distance from yourself for
inspection, with the picture facing up. If you need more sheets of paper, raise
your hand to request it. GOOD LUCK!!!
R
(c)
R Yes, ' is integrable. Indeed, it follows from the general integral formula | (...)|
|...| and Fubini’s theorem that ' is integrable if one has
Z 1⇣Z ⌘
f (y) sin(4xy)y
2 3
dx dy < 1.
0 R 1+x +y
We have
f (y) sin(4xy)y |f (y)y| 1
2 3
3
· x2
.
1+x +y 1+y 1 + 1+y 3
1
Since the function 1+x 2 is well-known to be integrable over R, let us say that C > 0
is its integral. Then
R f (y) sin(4xy)y |f (y)y| R 1
R 1+x2 +y 3
dx 1+y 3
· R 1+ x2
dx
1+y 3
|f (y)y|
= 1+y 3
(1 + y 3 )1/2 C
|f (y)y|
= C · p 3 C|f (y)|.
1+y
P1 1
2. Below we will use the standard fact from first year calculus that n=1 np < 1 if
and only if p > 1.
1
If p > 1, then the answer is yes. Notice
P1 ⇣ R ⌘ assumption, we have fn 2 L (µ)
that by
for all n 1, and the series n=1 ⌦ |fn | dµ is absolutely convergent. By the
R P1
Monotone Convergence Theorem,
P1 we thus have ⌦ n=1 |fn | dµ < 1. By Propo-
sition 1.38, it follows that n=1 |fn (x)| converges for µ-almost all x 2 ⌦. For such
points, it of course holds that fn (x) ! 0, which finishes the claim.
G0P63B Probability and Measure Exam Name: 27.1.021 page 2
On the other hand, if p 1, then the conclusion would be false in general. It suffices
to disprove the case p = 1. A counterexample is given by ⌦ = [0, 1) being equipped
with the restriction of the Lebesgue measure. Consider the sequence of functions fn
given by fn = 12 [k2 ` ,(k+1)2 ` ) , where k, l 0 are the unique numbers such that k <
R
2` and n = 2` + k. Then we can see ⌦ |fn | d = 12 ([k2 ` , (k + 1)2 ` )) = 12 2 ` < n1 .
However, the sequence fn converges nowhere. Indeed, we see that fn and fn+1 have
disjoint support for all n 2, and for every x 2 [0, 1), there are infinitely n such
that fn (x) 6= 0. This implies that fn (x) cannot converge.
Fn (t) = P(Xn t) P(X t + ") + P(|Xn X| > ") = F (t + ") + P(|Xn X| > ")
and
F (t ") = P(X t ") P(Xn t) + P(|Xn X| > ") = Fn (t) + P(|Xn X| > ").
Since " > 0 was arbitrary, this proves that Xn converges to zero in probability.
4. Before we get into the details, let us already justify one fact: The events An 2 M
form an independent sequence if and only if An form an independent sequence of
real random variables. The “if” part is clear, and the “only if” part follows from the
fact that the -algebra associated to the real random variable An is equal to all of
its preimages, so {;, An , ⌦ \ An , ⌦}. If the An form an independent sequence, then it
follows by ExS-9-4 that the sequence of these -algebras is also independent, which
by definition means that the An form an independent sequence of real random
variables.
We can already answer the second part of the problem. In general, the claim is not
a special case of the weak law of large numbers, because the real random variable
An has mean P(An ), which does not have to be equal for all n 1. On the other
hand, if we do assume that P(An ) = p 2 R for all n 1, then the real random
variables An become identically distributed, and one has pn = m for all n 1. So
in this case, the weak law of large numbers indeed implies that Yn p converges to
zero in probability.
Now let us prove the general case. Note that we have E(Yn ) = pn for all n 1.
Not unlike how we proved the weak law of large numbers, we start computing the
variance of the involved real random variables. We have
1 X ⇣ ⌘
n
Var(Yn ) = 2 E ( Aj P(Aj ))( Ak P(Ak ))
n
j,k=1
The real random variables Aj P(Aj ) are mutually independent for all j 1, so it
follows from Proposition 3.25 that the summand over the pair (j, k) vanishes when
j 6= k. In particular,
1 X ⇣ ⌘
n
1
Var(Yn ) = E ( Aj P(Aj ))2 .
n2 | {z } n
j=1
1