Homework # 2

5.1 By monotonicity,
P {|X| a} P {g(|X|) g(a)}

Eg(|X|)
g(a)

5.16. The correct form should be

P {X > i + j|X i} = P {X > j}
Indeed,
P {X > j} =

(1 p)k p = (1 p)j+1 p

(1 p)k = (1 p)j+1

k=0

k=j+1

Replacing j by i + j,
P {X > i + j} = (1 p)i+j+1
Replacing j by i 1,
P {X i} = P {X > i 1} = (1 p)i
Thus
P {X > i + j|X i} =
=

P {X > i + j, X i}
P {X i}

P {X > i + j}
= (1 p)j+1 = P {X > j}
P {X i}

5.19. Intuitively, this follows from linearty of the expectation. On the other hand,
justification is needed for the inifinite summation. It is not hard if the monotonic converngence theorem (will be taught later) is allowed. Without monotonic converngence theorem,
we need a delicate algebrac operation.
Notice that the random variable
X=

1 An

n=1

represents the number of hapenning events among A1 , , An , . By definition,

E

X

n=1

1 An

= E(X) =

kP {X = k} =

k=0

k=1

For any finite set I {1, 2, }, set

\
 \

c
CI =
An
An
n6I

nI

kP {X = k}

Then for any finite sets I, J {1, 2, } with I 6= J, CI CJ = .

In addition, for any n 1,
[

CI = An

f inite I: nI

Further, for any k 1, by countable additivity of the probability

 [

X
P {X = k} = P
CI =
P (CI )
I: #(I)=k

Hence,
E

X

1 An

P (CI ) =

n=1

Notice that
k

X

1 An

n=1

n=1

k=1

I: #(I)=k

f inite I: nI

P (CI ) =

k=1 I: #(I)=k n: nI

P (CI )

P (CI )

I: #(I)=k n: nI

I: #(I)=k

Hence,

I: #(I)=k

CI

P (CI )

n=1 f inite I: nI

P (An )

n=1

where the third equality follows from countable additivity of probability.

5.20. Notice that
X=

1{X>n}

n=0

The requested conclusion follows from the conclusion of 5.19.

Alternative proof
E(X) =

kP {X = k} =

k=1



X
k P {X > k 1} P {X > k}

k=1

By the fact
n
n

 n1
X
X
X
k P {X > k 1} P {X > k} =
(k + 1)P {X > k}
kP {X > k}

k=1

= nP {X > n} +

k=0

n1
X

P {X > k}

k=0

k=1

Whn n , the both sides converges or diverges simultaneously. When converging, the
left hand gives that E(X) < . By (the spirit of )Markov inequality,
nP {X > n}

kP {X = k} 0

k=n+1

So we have
E(X) =

k=0

P {X > k}

(n )