σ-Algebras, Measurable Maps and Random Variables Solution for Exercise 1.1
(i) The identity is measurable.
(ii) Take the map X : Ω1 → Ω2 such that X(1) = 1, X(2) = 1 and X(3) = 2. X is ot measurable, since the pre-image of the set {1} ∈ F2 is the set {1, 2} 6∈ F1 . (iii) There are 33 = 27 different maps between Ω1 and Ω2 (for each of the 3 elements in Ω1 there are 3 possibile images in Ω2 ). Only 15 of them are measurable. Keeping X(1) = 1, there are five possibilities for the images of 2 and 3: • 2→1 and 3 → 1; • 2→2 and 3 → 3; • 2→3 and 3 → 2; • 2→2 and 3 → 2; • 2→3 and 3 → 3. The same holds when we keep X(1) = 2 or X(1) = 3, for a total of 15 combina- tions. All the other maps are not measurable (see e.g., part (ii)).
Solution for Exercise 1.2
(i) If X and Y are random variables, then also Z = X + Y is a random variable.
In fact, we only have to verify (see Hint) that {ω ∈ Ω : X(ω) + Y (ω) < q} ∈ F Q for all q ∈ . We can rewrite {X + Y < q} = {X < q − Y } [ = {X < a} ∩ {a < q − Y } . a∈ Q Q Since {X < a} and {a < q − Y } are in F for each a ∈ (by measurability of X and Y ), also the countable union of the intersection of such events is in F. (ii) If X + Y is a random variable, X and Y do not have necessarily to be random variables. As an easy counterexample take Ω = {ω1 , ω2 , ω3 , ω4 } equipped with the σ-algebra F = {Ω, {ω1 , ω2 }, {ω3 , ω4 }, ∅} and the following random variables: X : Ω → R such that X(ω1 ) = 1, X(ω2 ) = 2, X(ω3 ) = 1, X(ω4 ) = 2, and Y : Ω → R such that Y (ω1 ) = −1, Y (ω2 ) = −2, Y (ω3 ) = −1, Y (ω4 ) = −2, . Then neither X nor Y is a random variable (e.g., X −1 (2) = {ω2 , ω4 } 6∈ F), but X + Y ≡ 0 is constant, hence measurable. Solution for Exercise 1.3 The first version of the exercise was misunderstandable, sorry for that. |A| could be intended as the cardinality of A or as its Lebesgue measure. This does not make a big difference for the purposes of part (i), but can make things trickyer for part (ii). Apologies. (i) F is an algebra: – Ω= R is in F, since Ωc = ∅ is clearly finite. – If A, B ∈ F and are finite, then also A ∩ B is finite. If, w.l.o.g., Ac and B are finite, then A∩B is finite. If both Ac and B c are finite, then (A∩B)c = Ac ∪B c is also finite. – If A ∈ F is finite, then (Ac )c is of course finite, so that Ac ∈ F, too. If on the other hand A ∈ F and Ac is finite, then it is clear that Ac ∈ F. BUT F is not a σ-algebra! Take for example A1 ,S A2 , ... such that Ai = {i} for all N i ∈ . Then clearly Ai ∈ F for all i´s, but A = ∞i=1 Ai is not: both A = and N c R N A = \ are not finite. (ii) We have to enlarge F to the smallest σ-algebra containing F. Consider F̃ = {A ⊂ R : either A is countable or Ac is countable}. We claim that F̃ = σ(F). – σ(F) ⊆ F̃ : since clearly F ⊂ F̃ , all we have to do is to show that F̃ is a σ-algebra. ∗ R ∈ F̃ is again ok. ∗ If A, B ∈ F̃ and are countable, then also A ∩ B is countable. If, w.l.o.g., Ac and B are countable, then A ∩ B is countable. If both Ac and B c are countable, then (A ∩ B)c = Ac ∪ B c is also countable. ∗ If A ∈ F̃ is countable, then (Ac )c is of course countable, so that Ac ∈ F̃ , too. If on the other hand A ∈ F̃ and Ac is countable, then it is clear that Ac ∈ F̃ . ∗ Finally, the countable union of countable sets is again countable. – F̃ ⊆ σ(F): this is maybe the hardest part. Let A ∈ F̃ be countable (otherwise we can apply the same way of reasoning to Ac ). Then there exists a bijection b N between A and . Let S ∞ N Ak := b−1 ({1, 2, ..., k}) for all k ∈ . Note S∞ that each Ak is in F and that A = i=1 Ai . Since, by definition of σ(F), i=1 Ai ∈ σ(F), we have that also A ∈ σ(F).
Solution for Exercise 1.4
(i) Clearly A ⊆ Aµ , since every element of A is also in Aµ (take E = F = A in the
definition of Aµ ). We have to prove the four σ-algebra properties: (i) Ω ∈ Aµ is clear (take E = F = Ω in the definition of Aµ ). (ii) Take A1 and A2 in Aµ . We have to prove that A1 ∩ A2 ∈ Aµ . We know that there exist E1 , E2 , F1 , F2 ∈ A such that: Ei ⊆ Ai ⊆ Fi and µ(Fi \ Ei ) = 0 for i = 1, 2. First observe that E1 ∩ E2 ∈ A and F1 ∩ F2 ∈ A. Also, by De Morgan laws, (F1 ∩ F2 ) \ (E1 ∩ E2 ) ⊆ (F1 \ E1 ) ∪ (F2 \ E2 ) so that the l.h.s. has zero µ measure, being a subset of the union of two zero-measure sets. Now, it easy to see that E1 ∩ E2 ⊆ A1 ∩ A2 ⊆ F1 ∩ F2 , so we are done. (iii) If A ∈ Aµ , with E and F as before, A 3 F c ⊆ Ac ⊆ E c ∈ A and µ(E c \ F c ) = 0 (if this was not the case, than there would exist C ⊆ E c \F c with µ(C) > 0, and we would arrive to the contradiction µ(F \ E) ≥ µ(C) > 0). (iv) For proving the property for infite intersections, just repeat the argument of part (ii) for infitely many Ai ´s.
(ii) µ̄(A) = µ(A) for A ∈ A is clearly true by the definition of µ̄. We are left to show that µ̄ is indeed a measure on Aµ .
• µ̄(∅) = 0 is again clear;
• Now take A1 , A2 , ... ∈ Aµ disjoint sets. Let E1 , E2 , ... ∈ A and F1 , F2 , ... ∈ A be such that Ei ⊆ Ai ⊆ Fi and µ(Fi \ Ei ) = 0 (i.e., µ(Ei ) = µ(Fi )). Then it follows that µ(Ei ) = µ̄(Ei ) ≤ µ̄(Ai ) ≤ µ̄(Fi ) = µ(Fi ). At this point it easy to see that, since also the Ei ´s have to be disjoint, ∞ X ∞ X ∞ [ ∞ [ µ̄(Ai ) = µ̄(Ei ) = µ̄ Ei = µ̄ Ai . i=1 i=1 i=1 i=1
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