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Homework 7

Math 561: Theory of Probability I


Due date: March 7, 2019

Each problem is worth 10 points and only five randomly chosen problems will be graded if there are more than
5 problems. Please indicate whom you worked with, it will not affect your grade in any way.
1. Let X1 6 X2 6 · · · be a sequence of nondecreasing r.v.’s such that E Xn /nα → a as n → ∞ and
Var(Xn ) b
6 δ
(E Xn )2 n
for some a, b, α, δ > 0. Using subsequence and sandwiching argument, prove that
Xn
→ 1 a.s.
E Xn

2. (SLLN under second moment.) Prove that if X1 , X2 , . . . are i.i.d. with E(X1 ) = 0, Var(X1 ) < ∞ and
Sn := X1 + X2 + · · · + Xn then for any p > 1/2 we have
Sn
→ 0 a.s.
np
Hint: Choose an appropriate subsequence nk such that Snk /npk → 0 a.s. and nk+1 /nk → 1. Use Kolmogorov’s
maximal inequality to prove that n−p
k maxn∈[nk ,nk+1 ) |Sn − Snk | → 0 a.s. From here conclude.

3. (i) Let Xi , i = 1, 2, . . . be independent and Sn := X1 + X2 + · · · + Xn . Prove that


P( max |Sj | > 2a) · min P(|Sn − Sj | 6 a) 6 P(|Sn | > a), a > 0.
16j6n j6n

(ii) Use the setting of the previous problem to show that, Sn → S∞ in Probability implies that Dn :=
supk,m>n |Sk − Sm | → 0 in probability and a.s.; and in particular, Sn → S∞ a.s.
Events.) Let (Xi ) be a sequence of independent random variables, and let T be its tail σ-field. Let
4. (Tail P
n
Sn = i=1 Xi . Let bn ↑ ∞ be an increasing sequence of real numbers. Which of the following events must
be in T ? Give proof or counter-example.
(i) {Xn → 0}, (ii) {Sn converges}, (iii) {Xn > bn infinitely often}, (iv) {Sn > bn infinitely often},
(v) {Sn > 0 infinitely often}.
5. (Directed last passage percolation.) Consider the lattice quadrant {(i, j) : i, j > 0} with directed edges
(i, j) → (i + 1, j) and (i, j) → (i, j + 1). Associate to each edge e an Exponential(1) distributed r.v. Xe with
density e−x 1x>0 and mean 1, independent for different edges. For each directed path Π of length n started
at the origin (0, 0), let X
SΠ = Xe .
edges e in path Π

Let Hn be the maximum of SΠ over all such paths Π of length n. It can be shown that n−1 Hn → c a.s., for
some constant c > 0.
(i) Let Pn be the horizontal directed path with n edges started at the origin. By SLLN, SPn /n → 1 a.s. Prove
that
log P(SPn > an) 6 n(log a + 1 − a) when a > 1.
(ii) Using (i), give explicit nontrivial upper and lower bounds on c.

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