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Stat539.

Probability II Homework Assignment 1:


1. From Billingsleys book, 3rd Ed.: Exercise 34.2. 2. From Billingsleys book, 3rd Ed.: Exercise 34.10. 3. From Durretts online notes: Exercises 5.1.2. 4. From Durretts online notes: Exercises 5.1.11. 5. From Durretts online notes: Exercises 5.1.12.

Fall 2012

6. Let G1 , G2 F and let X1 , X2 L1 (, F, P). Fix an event B F. We say that G1 = G2 on B if B G1 G2 and B G1 = B G2 . Here, B G1 = {B A : A G1 }. Show that if X1 = X2 a.s. on B and G1 = G2 on B, then E(X1 |G1 ) = E(X2 |G2 ) a.s. on B. 7. Show Exercise 34.9-(a) in Billingsleys book (3rd ed.) using regular conditional distributions. 8. Let X1 , X2 , 0 and sub -elds F1 , F2 , . . . such that E (Xn |Fn ) 0. Show that P Xn 0. 9. Suppose (X, Y ) = (X , Y ) with X L1 (, F, P). Show that E (X|Y ) = E (X |Y ). 10. Show that {Hn }n1 are conditionally independent given G if and only if n Hk G Hn+1 , k=1 for any n 1. 11. Suppose that H1 H2 H3 . Show that, for any X H3 , E (X| H1 H2 ) = E (X| H2 ) .
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