Math 170A - Probability Theory, Lec.

1, Fall 2016 - Homework 8

Due: Monday(!) November 28th 2016, at the beginning of class.
Returned: Thursday, December 1st 2016, during discussion.
From the textbook Introduction to probability, 2nd Ed., by D. P. Bertsekas and J. N.
Tsitsiklis, solve problems 38, 39, 40 at the end of Chapter 2 and 24, 25 at the end of
the Chapter 3.
From the books supplementary problems, solve problems 15, 17, 19 and 21 in Chapter
3 (see http://www.athenasc.com/prob-supp.html).
Moreover, solve the problems below:
Problem 1. A continuous random variable X has probability density function fX (t)
such that

C sin(t/n), for 0 t n
fX (t) =
0,
otherwise.
Find the value of the constant C. Then find E(X) and var(X).
Problem 2. Let p > 0 be a real number. Consider function f which has values
f (t) = Ctp for t 1, and f (t) = 0 for t < 1. For which values of p can we select
constant C so that this function f is a probability density function for some continuous
random variable? For which values of p will this random variable have finite expectation?
For which values of p will this random variable have finite variance?
Problem 3. If X is an exponential random variable with parameter find both PDF
and CDF of the random variable Y = eX .
Problem 4. Let X be a positive continuous random variable with the probability
density function f (t). If g(t) = tf (t) is also a probability density function of some
random variable Y what is E(X)? Express var(X) in terms of E(Y ).