Homework # 4

9.4*. Let m 1 be a fixed but arbitrary integer.

|EX1An | E|X|1An = E|X|1{|X}|m}1An + E|X|1{|X}|>m} 1An
mP (An ) + E|X|1{|X}|>m}

Thus,
lim sup |EX1An | E|X|1{|X}|>m}
n

It remains to show that

lim E|X|1{|X}|>m} = 0

First, notice that

lim |X|1{|X}|>m} = 0

a.s.

By the bound |X|1{|X}|>m} |X| and by dominated convergence theorem,

lim E|X|1{|X}|>m} = 0.

9.5* Clearly, Q() = 1. According to Definition 2.3, p.8, all we need is to verify that
for every countable, pair wise sequence {An } in A

[

n=1

Indeed, for each m 1, write Bm =

disjointness leads to

Sm

An =

Q(An )

n=1

n=1

1Bm =

An and B =

m
X

n=1

An . Notice that the

1 An

n=1

Consequently,
EX1Bm =

m
X

EX1An =

m
X

Q(An )

n=1

n=1

It remains to show that

lim EX1Bm = EX1B

Indeed, it follows from the fact X1Bm X1B and monotonic convergence (or dominated
convergence).
9.8. (a). We follow the definition that
o
n
EQ X 1 = sup EQ Y ; Y is simple and Y X 1
1

Let
Y =

n
X

a k 1 Ak

k=1

where ak are constant and Ak A are pairwise disjoint. We assume Y X. Consequently,

ak X()1 , or ak X 1 for Ak . Notice that
n
n
n
n
n
[

X
X
X
X
EQ Y =
ak Q(Ak ) =
ak EX1Ak
E1Ak =
P (Ak ) = P
Ak 1
k=1

Therefore EQ X

k=1

k=1

k=1

k=1

1 < .

(b) For each A A, taking Y = X 1 1A in 9.7* we have R(A) = EQ X 1 1A =

EX 1 1A X = P (A).

2
9.11. By definition V ar(X) = E X . By Expectation rule (Corollary 9.1) with
h(x) = (x )2 the right hand side is equal to
Z
(x )2 f (x)dx

9.16.

1
EX =
x f (x)dx =
()

xk+1 ex dx =

(k + )
()

By the relation ( + 1) = () ( > 0),

EX =

(1 + )
= ,
()

EX 2 =

(2 + )
= ( + 1)
()

Thus,
V ar(X) = EX 2 (EX)2 = ( + 1) 2 =
9.18.
P { d < X < + d} = P {|X | < d} = 1 P {|X | d}

By Chebyshev inequality,

P {|X | d}

2
1
=
(d)2
d2

Therefore,
P { d < X < + d} 1
9.19.

1
d2

Z
Z
1
u u2 /2
1
u2 /2
P {X > x} =
e
du
e
du
2 x
2 x x
Z
2
2
1
1
ueu /2 du = ex /2
=
x 2 x
x 2
2