EE5110 - Probability Foundations

July - November 2015

Tutorial 7 Solution

n
P
1. Let φ = ai IEi , where Ei ∩ Ej = ∅, ∀i 6= j and ai ’s are distinct with ai ≥ 0, ∀i ≥ 1.
i=1

(a)
Z Z
φdµ = φIC∪D dµ
C∪D
n
X
= ai µ((C ∪ D) ∩ Ei )
i=1
Xn
= ai µ((C ∩ Ei ) ∪ (D ∩ Ei ))
i=1
Xn
= ai [µ(C ∩ Ei ) + µ(D ∩ Ei )]
i=1
Xn n
X
= ai µ(C ∩ Ei ) + ai µ(D ∩ Ei )
i=1 i=1
Z Z
= φdµ + φdµ
C D

Hence, proved.
R n
P
(b) For every A ∈ F, we have υ(A) = φdµ = ai µ(A ∩ Ei ). If A = ∅, then A ∩ Ei = ∅, ∀i ≥ 1. Therefore,
A i=1
µ(A ∩ Ei ) = 0, ∀i ≥ 1 ⇒ υ(A) = 0. Now, let Ak be a sequence of pairwise disjoint measurable sets and
∞
S ∞
S ∞
S
A= Ak . Then for each i = 1, 2, ..., n, we have, Ei ∩ A = Ei ∩ ( Ak ) = (Ei ∩ Ak ), which is a
k=1 k=1 k=1
disjoint union. Then,
n
X
υ(A) = ai µ(A ∩ Ei )
i=1
Xn ∞
[ 
= ai µ (Ei ∩ Ak )
i=1 k=1
n
X ∞
X
= ai µ(Ei ∩ Ak )
i=1 k=1
X∞ X n
= ai µ(Ei ∩ Ak )
k=1 i=1
X∞
= υ(Ak ).
k=1

Thus, the countable additivity is also satisfied. Hence, υ is a valid measure on Ω.

R R R
(c) Note that B = A ∪ (B \ A) is a disjoint union. So, using (a), we have, φdµ = φdµ + φdµ =
B A B\A
R R
φdµ + 0 = φdµ. Hence, proved.
A A

2. (a) Proof by induction on n. If n = 1, then the result is obviously true. Also, if n = 2, then by linearity of
lebesgue integral, we obtain the desired result. Hence, let us assume that the result is true for n − 1,

1
 R n−1
P n−1
PR
i.e., fk dµ = fk dµ. Then,
k=1 k=1

n
Z X Z  n−1
X 
fk dµ = fk + fn dµ
k=1 k=1
Z n−1
X Z
= fk dµ + fn dµ (By linearity)
k=1
n−1
XZ Z
= fk dµ + fn dµ (By induction hypothesis)
k=1
Xn
= fk dµ.
k=1

m
P
For the next part, consider gm = fn . Since, fn is a sequence of non-negative measurable functions, we
n=1 R R
have gm ≤ gm+1 . And, clearly gm → f as m → ∞. Therefore, by MCT we get, f dµ = lim gm dµ =
m→∞
m
R P Pm R ∞ R
P
lim fn dµ = lim fn dµ = fn dµ. Hence, proved.
m→∞ n=1 m→∞ n=1 n=1
R R
(b) Note that υ(A) = g dµ = gIA dµ. Since, g ≥ 0, it follows that υ(A) ≥ 0, ∀A ∈ F. If A = ∅, then
A R R
IA = 0 ⇒ gIA = 0 and therefore, υ(A) = υ(∅) = gIA dµ = 0 dµ = 0. Let An be a sequence of
∞
S ∞
P
pairwise disjoint measurable sets and A = Ak . Then, IA = I ∞ S = IAk . Thus, we have,
k=1 Ak k=1
k=1

Z ∞
Z X
υ(A) = gIA dµ = gIAk dµ
k=1
∞ Z
X
= gIAk dµ (From (a))
k=1
X∞ Z ∞
X
= g dµ = υ(Ak ).
k=1A k=1
k

R
Hence,
R υ isRa valid measure on Ω.R For the next
R part, consider
R the case when
R h = IA . Then, h dυ =
IA dυ = dυ = υ(A). Also, gh dµ = gIA dµ = g dµ = υ(A) = h dυ. Hence, the result
A A
n
P
holds for indicator functions. Now, let h = ai IEi , be a non-negative simple function in its canonical
i=1
representation. We have,
Z n
Z X n
X Z
h dυ = ai IEi dυ = ai IEi dυ (From (a))
i=1 i=1
n
X Z n
X
= ai dυ = ai υ(Ei ).
i=1 Ei i=1

R n
R P n
P Pn R R n
P
Also, gh dµ = ai IEi g dµ =
gIEi dµ = aiai g dµ = ai υ(Ei ). Therefore, for non-
i=1 i=1 i=1 Ei i=1
R R
negarive simple functions h, we have h dυ = gh dµ.
Finally, let h be a non-negative measurable function. Then there
R exists an Rincreasing sequence
R of non-
negative simple functions hn ↑ h ⇒ ghn ↑ gh. By MCT, h dυ = lim hn dυ = lim ghn dµ =
R n→∞ n→∞
gh dµ. Hence, proved.
3. Note that all of these are simple functions and hence we can use the defnition of abstract integral of simple
functions to find corresponding integrals.

(i)(a)
Z n
X n
X
f dλ , ai λ(Ai ) = i.λ({i}) = 0.
i=1 i=1

Because λ({i}) = 0 ∀ i i.e. lebesgue measure of a singleton is zero.

2
 (b) Z
f dλ = 1.λ(Qc ∩ [0, 1]) = 1.

(c) Z
f dλ = n.λ(Qc ∩ [0, n]) = n2 .

(ii)(a)
n
X m
E[X] = iP(X = i) = 1.P(A) =
i=1
n

(b)
n m
X X m(m + 1)
E[X] = iP(X = i) = iP(ωi ) =
i=1 i=1
2.n

4. (a) Given g : R −→ R is convex.

⇒ ∀y ∈ R ∃ λ such that g(x) ≥ g(y) + λ(x − y) ∀x.
Let x = X. Therefore, g(X) ≥ g(y) + λ(X − y) ∀y ∈ R.
Since the above equation is true for all Real values of y, let y = E[X]. Therefore,
g(X) ≥ g(E[X]) + λ(X − E[X]).
Taking expectation, and using linearity of expectation
E[g(X)] ≥ g(E[X]) + λ(E[X] − E[X])
⇒ E[g(X)] ≥ g(E[X]).
Hence proved.
N N
1 1 1
(b) Let f (x) = xm . Clearly, f (.) is a convex function. Now, E(X) =
P P
N xk = N xk = N. So,
k=1 k=1
N N N
f (E(X)) = N −m . Also, E(f (X)) = 1 1
f (xk ). From (a), N −m ≤ 1
P P P
N f (xk ) = N N f (xk ). Hence
k=1 k=1 k=1
we obtain the desired result.
5. (a) Given g is a non-negative, measurable function. Define a function h: Ω → R as follows:

(
g(c) if ω = c
h(ω) =
0 otherwise

Hence, g = h δc -almost everywhere.

Therefore,
Z Z
gdδc = hdδc
Z
= g(c)I{ω=c} dδc
Z
= g(c) I{ω=c} dδc

= g(c).1
= g(c)
P∞
(b) Now, consider the measure space (R, B(R), µ), where the measure µ is defined as µ(A) = n=1 δn (A) ∀
A ∈ B(R).
Define a function g 0 : Ω → R as follows:

(
g(ω) if ω ∈ N
g 0 (ω) =
0 otherwise

By defintion of g 0 , g = g 0 µ-almost everywhere.

Therefore,
R 0 R
g dµ = g dµ

3
 Since g 0 is not a simple function, define the following
0 Pn
gn (ω) = gn (ω)I{ω≤n} = i=1 g(i)I{ω=i} ∀ n ∈ N
0
Since gn ↑ g 0 , applying MCT we get,
Z Z
gdµ = g 0 dµ
Z
0
= lim gn dµ
n→∞
n
Z X
= lim g(i)I{ω=i} dµ
n→∞
i=1
n
X Z
= lim g(i) I{ω=i} dµ
n→∞
i=1
Xn
= lim g(i)P(ω = i)
n→∞
i=1
Xn
= lim g(i).1
n→∞
i=1
Xn
= lim g(i)
n→∞
i=1
∞
X
= g(i)
i=1

6. (a)

E[X] = E[XI{X≤n} ] + E[XI{X>n} ]

Z Z
= XI{X≤n} dP + XI{X>n} dP
R R
Let Xn = XI{X≤n} . As n −→ ∞, Xn ↑ X. Therefore, MCT implies that, limn−→∞ Xn dP = X dP
= E[X]. Therefore, taking limit on both sides,
Z Z
E[X] = lim XI{X≤n} dP + lim XI{X>n} dP
n−→∞ n−→∞
Z
≥ E[X] + lim n I{X>n} dP
n−→∞
R
Since X is a non-negative random variable, the second term limn−→∞ n I{X>n} dP is a non-negative
term. Therefore,
R
limn−→∞ n I{X>n} dP = limn−→∞ nP(X > n) = 0.
(b) Define,

(
n X(ω) ≥ n
Xn (ω) = i i i+1
2n 2n < X(ω) ≤ 2n for i = 1, 2, ..., n2n − 1

Clearly, Xn ↑ X as n → ∞. Therefore, applying MCT,

Z
E[X] = XdP
Z
= lim Xn dP
n→∞
n
n2 −1
X i i i+1
= lim P( < X ≤ n ) + lim nP(X ≥ n)
n→∞
i=0
2n 2n 2 n→∞
n
n2 −1
X i i
= lim P(X ≥ n )
n→∞
i=0
2n 2

By definition of a Riemann integral, the RHS above is the Riemann integral of complementary CDF
over the non-negative Reals. Therefore,

4
 R∞
E[X] = 0
P(X > x) dx
(c) Given that X and Y are non-negative random variables and X ≥st Y .

Z ∞
E[X] = P(X > x)dx (Since X is non-negative)
Z0 ∞
≥ P(Y > y)dy (Since X ≥st Y )
0
= E[Y ] (Since Y is non-negative)

Therefore,
X ≥st Y ⇒ E[X] ≥ E[Y ]
7. (a) Expected score for a single day is,
110
X
E[Xi ] = 0.1.i = 105.5
i=101

Now complimentory CDF of Xi is given by,



 1 k ≤ 100,
110 − k

P(Xi > k) = k = 100, 101, .., 110,
 10


0 k > 110.
=⇒


 1 k ≤ 100,
(110 − k)3

P(X > k) = P(X1 > k).P(X2 > k).P(X3 > k) = k = 100, 101, .., 110,

 103
0 k > 110.


=⇒
110
X (111 − k)3 − (110 − k)3
E[X] = k. = 103.025
i=101
103
The expected improvement is therefore 105.5 - 103.025 = 2.475.
(b) There are 21 integer pairs (x, y) in the region implying that,

 1 −2 ≤ x ≤ 4, −1 ≤ y − x ≤ 1
pXY (x, y) = 21
0 elsewhere.

From the joint PMF we can easily calculate the marginal PMF’s to get the following results.

 3 −2 ≤ x ≤ 4
pX (x) = 21
0 elsewhere.

1
 y = −3, 5
21







2




 21 y = −2, 4
pY (y) =


 3
y = −1, 0, 1, 2, 3


21









0 elsewhere.

Now trader’s expected profit is given by,

E[100.X + 200.Y ] = 100.E[X] + 200.E[Y ] = 100.1 + 200.1 = 300.