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(22/02) MScFE 620 Discrete-time Stochastic Processes (C21-S4) /

Module 2: Stochastic Processes

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Practice Quiz M2 (Ungraded)

Started on Friday, 25 February 2022, 1:11 PM

State Finished
Completed on Friday, 25 February 2022, 1:47 PM
Time taken 35 mins 59 secs


Question 1

Complete

Not graded

Let

Ω = {a, b, c, d}

Ω
F = 2

F0 = {∅, Ω}

F1 = σ({{a, c} , {b, d}})

F2 = F

and

X = {X0 , X1 , X2 } , τ

, be defined as

Then

Xτ (b)

is

Select one:
3

Your answer is correct.


Question 2

Complete

Not graded

Let

Ω = {a, b, c, d}

Ω
F = 2

F0 = {∅, Ω}

F1 = σ({{a, b} , {c, d}})

F2 = F

and

X = {X0 , X1 , X2 } , τ

, be defined as

Then

τ τ τ
(X (a), X (a), X (a))
0 1 2

is

Select one:

(1, 2, 0)

(1, 2, 4)

(1, 3, 0)

(1, 3, 3)

Your answer is correct.


Question 3

Complete

Not graded

Let

Ω = {1, 2, 3}

,
Ω
F = 2

and define

X = {X0 , X1 , X2 }

by

X0 = 0

X1 = I {1} − I {1,2}

and

X2 = 3I {1} + I {2}

Also define the following filtrations:

1
F0 = {∅, Ω}

, 

1
F1 = σ({{1, 3} , {2}})

1
F2 = σ({{1} , {2}})

2
F0 = {∅, Ω}

,   
2
F1 = σ({{1, 2}})

2 Ω
F2 = 2

Consider the following statements:

i.

is adapted to
1 1 1
{F0 , F1 , F2 }

ii.

is adapted to 
2 2 2
{F0 , F1 , F2 }
 .

Which of these statements are true?

Select one:
None of the statements

Only i.

Only ii.

All of them.

Your answer is incorrect.


Question 4

Complete

Not graded

Let

Ω = {a, b, c, d}

Ω
F = 2

and define

X = {X0 , X1 , X2 }

by

X0 (ω) = 1

X1 = I {a,d} − I {b,c}

and

X2 = 3I {a} + I {b,c}

Also define the following filtrations:

1
F0 = {∅, Ω}

, 

1
F1 = σ({{a, b} , {c, d}})

1
F2 = σ({{a} , {b} , {c, d}})

2
F0 = {∅, Ω}

,   

2 2 Ω
F1 = σ({{a, c} , {b, d}}), F2 = 2

Consider the following statements:

i.

is adapted to
1 1 1
{F0 , F1 , F2 }

ii.

is adapted to

2 2 2
{F0 , F1 , F2 }

. 

Which of these statements are true?

 Select one:
Only i.

None of the statements

All of them

Only ii.

Your answer is correct.

Question 5
Complete

Not graded

Let

Ω = {0, 1, 2, 3}

F = σ ({{0, 1} , {2, 3}})

and

X = {X0 , X1 , X2 }

be defined by

Xt (ω) := ω cos(πt)

for

t = 0, 1, 2

. Consider the following statements:

i.

X0

is a random variable

ii.

is a stochastic process

iii.

X1 + X2

is a random variable

Which of these statements are true?

Select one:
iii. only

i. and ii.

None of them

All of them

Your answer is incorrect.

◄ PROBLEM SET M2
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