E2 202 (AugDec 2015)

Homework Assignment 1
Discussion: Friday, Aug. 21

1. Let F : R [0, 1] be a non-decreasing, right-continuous function with lim F (x) = 0 and lim F (x) = 1.
x

Let P be the probability measure on the Borel -algebra on R defined by P ((, x]) = F (x) for all x R.
Using the axioms of probability and the properties of F , determine the probability assigned by P to the closed
interval [a, b], a b. In particular, what is P ({a})? What happens if F is continuous (i.e., left-continuous
and right-continuous)?
2. Let X and Y be discrete random variables, and let g, h be functions such that g(X) and h(Y ) are also random
variables. Prove that if X and Y are independent, then so are g(X) and h(Y ).
3. Let g : X Y be some mapping. The inverse image of a set A Y under the mapping g is the set
g 1 (A) , {x X : g(x) A}. Thus, for example, X : R is a random variable wrt a -algebra F iff
X 1 ((, x]) F for all x R.
Verify the following:
(a) g 1 (A B) = g 1 (A) g 1 (B), and this extends to countable unions as well.
(b) g 1 (Ac ) = [g 1 (A)]c .
Now, let B denote the Borel -algebra on R. A function g : R R is said to be Borel measurable if for all
sets A B, the inverse image g 1 (A) is also in B. Prove that if X is a random variable on some probability
space (, F, P ) and g is Borel measurable, then Y = g(X) is also a random variable on (, F, P ).
4. Let X be a non-negative random variable with distribution function FX . Prove that
Z
E[X] =
(1 FX (x)) dx
0

[Hint: Prove this for discrete random variables by using an area under the curve interpretation of an integral.
d
(1 FX (x)) = fX (x),
For continuous random variables, you may assume that FX is differentiable, with dx
R
and use integration by parts on the formula E[X] = 0 xfX (x) dx.]
5. Let X and Y be simple random variables defined on the same probability space such that X Y . Prove,
using the definition of expectation, that E[X] E[Y ].
6. Let X and Y be random variables defined on the same probability space, such that E[X], E[Y ] and E[XY ]
all exist.
(a) Prove that if X and Y are independent, then E[XY ] = E[X]E[Y ].
(b) Is the converse true? Prove or give a counterexample.