▲✐❝❡♥❝❡ ✸ ✕ Pr♦❜❛❜✐❧✐tés

❊①❡r❝✐❝❡s ❝♦rr✐❣és ❞❡ ❚❉

❈é❝✐❧❡ ▼❡r❝❛❞✐❡r✱ ❏♦❤❛♥♥❡s ❑❡❧❧❡♥❞♦♥❦✱ ▲❛✉r❡♥t ❚♦✉r♥✐❡r

❆ss♦❝✐és ❛✉ ❝♦✉rs ❞❡ ❙té♣❤❛♥❡ ❆tt❛❧

❆♥♥é❡ ✉♥✐✈❡rs✐t❛✐r❡ ✿ ✷✵✵✽✲✷✵✵✾

❯♥✐✈❡rs✐té ❈❧❛✉❞❡ ❇❡r♥❛r❞ ▲②♦♥ ✶ Pr♦❜❛❜✐❧✐tés
❆♥♥é❡ ✉♥✐✈❡rs✐t❛✐r❡ ✷✵✵✽✲✷✵✵✾

❋❡✉✐❧❧❡ ❞❡ ❚❉ ✶

❉é♥♦♠❜r❡♠❡♥t

❊①❡r❝✐❝❡ ✶
❚r♦✐s ❝❛rt❡s s♦♥t t✐ré❡s ❞✬✉♥ ❥❡✉ ❞❡ ✺✷ ❝❛rt❡s✳ ❈❛❧❝✉❧❡r ❧❡s ♣r♦❜❛❜✐❧✐tés ❞❡s é✈é♥❡♠❡♥ts
s✉✐✈❛♥ts ✿
✭✐✮ ❚r♦✐s ♣✐q✉❡s ✭✐✐✮ ❆✉❝✉♥ ♣✐q✉❡ ✭✐✐✐✮ ❯♥ ♣✐q✉❡ ❡t ❞❡✉① ✧♥♦♥✲♣✐q✉❡s✧
✭✐✈✮ ❆✉ ♠♦✐♥s ✉♥ ♣✐q✉❡ ✭✈✮ ❚r♦✐s ❝❛rt❡s ❞❡ ❧❛ ♠ê♠❡ ❢❛♠✐❧❧❡ ✭✈✐✮ ❚r♦✐s ❝❛rt❡s ❞❡ ❢❛♠✐❧❧❡s
❞✐✛ér❡♥t❡s
✭✈✐✐✮ ❚r♦✐s ❛s ✭✈✐✐✐✮ ❆✉❝✉♥ ❛s ✭✐①✮ ❚r♦✐s ❝❛rt❡s r♦✉❣❡s
❧♦rsq✉❡ ✿
✶✳ ❖♥ s✉♣♣♦s❡ q✉❡ ❧❡s ❝❛rt❡s s♦♥t✱ ❧✬✉♥❡ ❛♣rès ❧✬❛✉tr❡✱ t✐ré❡s ❛✉ ❤❛s❛r❞ ❡t r❡♠✐s❡s ❞❛♥s ❧❡
❥❡✉✳
✷✳ ❖♥ s✉♣♣♦s❡ q✉❡ ❧❡s ❝❛rt❡s s♦♥t t✐ré❡s s✐♠✉❧t❛♥é♠❡♥t ❛✉ ❤❛s❛r❞✳

❊①❡r❝✐❝❡ ✷ ❙♦✐t n ❡t p ❞❡✉① ❡♥t✐❡rs ♥♦♥ ♥✉❧s✳

✶✳ ❉❡ ❝♦♠❜✐❡♥ ❞❡ ❢❛ç♦♥s ♣❡✉t✲♦♥ ré♣❛rt✐r p ❡♥✈❡❧♦♣♣❡s ✐❞❡♥t✐q✉❡s ❞❛♥s n ❜♦ît❡s ❛✉①
❧❡ttr❡s ❄
✷✳ ❊♥ ❞é❞✉✐r❡ ❧❡ ❝❛r❞✐♥❛❧ ❞❡ ❧✬❡♥s❡♠❜❧❡ E1 = {(x1 , . . . , xn ) ∈ N , x1 + . . . + xn = p}.
n

✸✳ ❙✉♣♣♦s♦♥s p ≥ n✳ ❉❡ ❝♦♠❜✐❡♥ ❞❡ ❢❛ç♦♥s ♣❡✉t✲♦♥ ré♣❛rt✐r p ❡♥✈❡❧♦♣♣❡s ✐❞❡♥t✐q✉❡s ❞❛♥s

n ❜♦ît❡s ❛✉① ❧❡ttr❡s ❞❡ s♦rt❡ q✉✬❛✉❝✉♥❡ ❜♦ît❡ ❛✉① ❧❡ttr❡s ♥❡ r❡st❡ ✈✐❞❡ ❄
✹✳ ❉❡ q✉❡❧ ❡♥s❡♠❜❧❡ E2 ✭❝♦♥str✉✐t ❞❡ ❢❛ç♦♥ s✐♠✐❧❛✐r❡ à E1 ✮ ♣❡✉t✲♦♥ ❡♥ ❞é❞✉✐r❡ ❧❡ ❝❛r❞✐♥❛❧ ❄
✺✳ ❉❡ ❝♦♠❜✐❡♥ ❞❡ ❢❛ç♦♥s ♣❡✉t✲♦♥ ré♣❛rt✐r p ❡♥✈❡❧♦♣♣❡s ❞✐st✐♥❝t❡s ❞❛♥s n ❜♦ît❡s ❛✉①
❧❡ttr❡s ❄
❊①❡r❝✐❝❡ ✸ ❙♦✐t n ❡t p ❞❡✉① ❡♥t✐❡rs ♥♦♥ ♥✉❧s✳
✶✳ ❉ét❡r♠✐♥❡r ❧❡ ❝❛r❞✐♥❛❧ ❞❡ ❧✬❡♥s❡♠❜❧❡ ❞❡s s✉✐t❡s ❝r♦✐ss❛♥t❡s ✭❛✉ s❡♥s str✐❝t✮ ❞❡ p é❧é♠❡♥ts
❞❡ {1, . . . , n}✳
✷✳ ❉ét❡r♠✐♥❡r ❧❡ ❝❛r❞✐♥❛❧ ❞❡ ❧✬❡♥s❡♠❜❧❡ ❞❡s s✉✐t❡s ❝r♦✐ss❛♥t❡s ✭❛✉ s❡♥s ❧❛r❣❡✮ ❞❡ p é❧é♠❡♥ts
❞❡ {1, . . . , n}✳

❈❛r❛❝tér✐s❛t✐♦♥ ❞✬✉♥❡ ❧♦✐ ❞❡ ♣r♦❜❛❜✐❧✐té

❊①❡r❝✐❝❡ ✹ ❙♦✐t X ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ à ✈❛❧❡✉rs ❞❛♥s N ♦✉ Z ❞é✜♥✐❡ s✉r ❧✬❡s♣❛❝❡ ❞❡
♣r♦❜❛❜✐❧✐té ❞✐s❝r❡t (Ω, P)✳ ❉é♠♦♥tr❡r q✉❡ s❛ ❢♦♥❝t✐♦♥ ❞❡ ré♣❛rt✐t✐♦♥✱ ♥♦té❡ FX ✱ ❞é✜♥✐❡ ♣❛r
∀ x ∈ R, FX (x) = P(X ≤ x)

✈ér✐✜❡ ❧❡s ♣r♦♣r✐étés s✉✐✈❛♥t❡s ✿

✶✳ FX ❡st ❝r♦✐ss❛♥t❡ ❛✈❡❝ limx→−∞ FX (x) = 0 ❡t limx→−∞ FX (x) = 1✳
✷✳ FX ❡st ❝♦♥t✐♥✉❡ à ❞r♦✐t❡ ❡♥ t♦✉t ♣♦✐♥t ❡t ❛❞♠❡t ❞❡s ❧✐♠✐t❡s à ❣❛✉❝❤❡ ❡♥ t♦✉t ♣♦✐♥t✳ ❉❡
♣❧✉s limy→x− FX (y) = P(X < x)✳
✸✳ FX ❝❛r❛❝tér✐s❡ ❧❛ ❧♦✐ ❞❡ X ✳

❊①❡r❝✐❝❡ ✺ ❙♦✐t X ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ à ✈❛❧❡✉rs ❞❛♥s N ❞é✜♥✐❡ s✉r ❧✬❡s♣❛❝❡ ❞❡ ♣r♦❜❛✲
❜✐❧✐té ❞✐s❝r❡t (Ω, P)✳ ❖♥ ❞é✜♥✐t s❛ ❢♦♥❝t✐♦♥ ❣é♥ér❛tr✐❝❡ ♣❛r
X
GX (s) = E(sX ) = P(X = k)sk .
k∈N

✶✳ ▼♦♥tr❡r q✉❡ GX ❡st ❜✐❡♥ ❞é✜♥✐❡ s✉r [−1, 1]✳

✷✳ ▼♦♥tr❡r q✉❡ GX ❝❛r❛❝tér✐s❡ ❧❛ ❧♦✐ ❞❡ X ✳
✸✳ ❙✉♣♣♦s♦♥s q✉❡ X ❡t X s♦♥t ✐♥té❣r❛❜❧❡s✳ ◆♦t♦♥s GX ❡t GX ❧❡s ❞ér✐✈é❡s ♣r❡♠✐èr❡ ❡t
2 ′ ′′

s❡❝♦♥❞❡ ❞❡ GX ✳ ▼♦♥tr❡r q✉❡ E(X) = GX (1) ❡t E(X ) = GX (1) + G′X (1)✳ ❊♥ ❞é❞✉✐r❡
′ 2 ′′

❧✬❡①♣r❡ss✐♦♥ ❞❡ ❱❛r(X)✳
 ❈♦rr❡❝t✐♦♥ ❢❡✉✐❧❧❡ ❞❡ ❚❉ ✶
❘é❢ér❡♥❝❡
■♥tr♦❞✉❝t✐♦♥ ❛✉① ♣r♦❜❛❜✐❧✐tés
❉❡❧♠❛s✱ ❏❡❛♥✲P✐❡rr❡
❊❧❧✐♣s❡s
❇❯ ▼❛t❤s ✶✾✳✷ ❉❊▲

❘❛♣♣❡❧ ❞❡ ❝♦✉rs ✿ ❉é♥♦♠❜r❡♠❡♥t

✕ ▲❡ ♥♦♠❜r❡ ❞✬❛♣♣❧✐❝❛t✐♦♥s ❞✬✉♥ ❡♥s♠❜❧❡ à p é❧é♠❡♥ts ✈❡rs ✉♥ ❡♥s❡♠❜❧❡ à n é❧é♠❡♥ts
❡st np ✳
✕ ▲❡ ♥♦♠❜r❡ ❞❡ ♣❡r♠✉t❛t✐♦♥s ❞✬✉♥ ❡♥s❡♠❜❧❡ à n é❧é♠❡♥ts ✕ ❜✐❥❡❝t✐♦♥s ❞❡ ❝❡t ❡♥s❡♠❜❧❡
❞❛♥s ❧✉✐✲♠ê♠❡ ✕ ❡st n!✳
✕ ▲❡ ♥♦♠❜r❡ ❞✬❛r❛♥❣❡♠❡♥ts ✕✐♥❥❡❝t✐♦♥s ✕ ❞✬✉♥ ❡♥s♠❜❧❡ à p é❧é♠❡♥ts ❞❛♥s ✉♥ ❡♥s❡♠❜❧❡
n!
à n é❧é♠❡♥ts ❡st Apn = ✳
(n − p)!
✕ ▲❡ ♥♦♠❜r❡ ❞❡ ❝♦♠❜✐♥❛✐s♦♥s ✕ ♦✉ s♦✉s✲❡♥s❡♠❜❧❡s ✕ à p é❧é♠❡♥ts ❞❛♥s ✉♥ ❡♥s❡♠❜❧❡ à
n!
n é❧é♠❡♥ts ✭≥ p✮ ❡st Cnp = ✳
p!(n − p)!
❘❛♣♣❡❧ ❞❡ ❝♦✉rs ✿ Pr♦❜❛❜✐❧✐tés s✉r ✉♥ ❡♥s❡♠❜❧❡ ✜♥✐
❖♥ ❝♦♥✈✐❡♥t ❞❡ r❡♣rés❡♥t❡r ✉♥❡ ❡①♣ér✐❡♥❝❡ ❛❧é❛t♦✐r❡ E ✱ ❝✬❡st✲à✲❞✐r❡✱ ✉♥❡ ❡①♣ér✐❡♥❝❡ s♦✉♠✐s❡
❛✉ ❤❛s❛r❞✱ ♣❛r Ω ❧✬❡♥s❡♠❜❧❡ ❞❡s rés✉❧t❛ts ♣♦ss✐❜❧❡s✳ ❯♥❡ ré❛❧✐s❛t✐♦♥ ω ✱ ✉♥ é❧é♠❡♥t ❞❡ Ω
❡st ❛✉ss✐ ❛♣♣❡❧é ❡①♣ér✐❡♥❝❡ é❧é♠❡♥t❛✐r❡✳
❯♥ é✈é♥❡♠❡♥t ❛❧é❛t♦✐r❡ A ❡st ❧✬❡♥s❡♠❜❧❡ ❞❡s ❡①♣ér✐❡♥❝❡s é❧é♠❡♥t❛✐r❡s ω q✉✐ ré❛❧✐s❡♥t A✳
❈♦♠♠❡ Ω ❡st ✜♥✐✱ ❧❛ ♣r♦❜❛❜❧✐té P s✉r Ω ❞é✜♥✐❡ ♣❛r P({ω}) = 1/card(Ω) s✬❛♣♣❡❧❧❡ ❧❛
♣r♦❜❛❜❧✐té ✉♥✐❢♦r♠❡ s✉r Ω✳ ❈✬❡st ❧❛ ♣r♦❜❛❜✐❧✐té q✉✐ r❡♥❞ t♦✉t❡s ❧❡s ❡①♣ér✐❡♥❝❡s é❧é♠❡♥t❛✐r❡s
card(A) ♥♦♠❜r❡ ❞❡ ❝❛s ❢❛✈♦r❛❜❧❡s
ω éq✉✐♣r♦❜❛❜❧❡s✳ ❖♥ ❛ ❛❧♦rs P(A) = =” ”.
card(Ω) ♥♦♠❜r❡s ❞❡ ❝❛s ♣♦ss✐❜❧❡s

❊①❡r❝✐❝❡ ✶ ❖♥ ♣❡✉t ❞é❝✐❞❡r q✉✬✉♥ ❥❡✉ ❞❡ ❝❛rt❡s ❡st ❧✬❡♥s❡♠❜❧❡ {1, . . . , 52} ❛✈❡❝ ♣❛r
❡①❡♠♣❧❡ {1, . . . , 13} ❧❡s ♣✐q✉❡s✱ ♣✉✐s ❧❡s trè✢❡s✱ ♣✉✐s ❧❡s ❝♦❡✉rs✱ ♣✉✐s ❧❡s ❝❛rr❡❛✉①✳
✶✳ ▲✬✉♥✐✈❡rs Ω ❡st {1, . . . , 52}3 ❞♦♥❝ card(Ω) = 523 ✳
❈♦♠♠❡ ❧❡s t✐r❛❣❡s s♦♥t ❢❛✐ts ❛✉ ❤❛s❛r❞✱ ♦♥ ♣❡✉t ♠✉♥✐r Ω ❞❡ ❧❛ ♣r♦❜❛❜✐❧✐té ✉♥✐❢♦r♠❡ ✿ t♦✉s
❧❡s é✈é♥❡♠❡♥ts é❧é♠❡♥t❛✐r❡s E ♦♥t ❧❛ ♠ê♠❡ ♣r♦❜❛❜✐❧✐té ✿ 1/523 ✳ P❧✉s ❣é♥ér❛❧❡♠❡♥t✱ ♦♥
s❛✐t q✉❡ ❧❛ ♣r♦❜❛❜✐❧✐té ❞✬✉♥ é✈é♥❡♠❡♥t A q✉❡❧❝♦♥q✉❡ s❡ ❝❛❧❝✉❧❡ ❝♦♠♠❡ card(A)/card(Ω)✳
✭✐✮ 1/64 ❝❛r à ❝❤❛q✉❡ ❢♦✐s ✉♥ ♣✐q✉❡ s♦✐t 133 ❝❛s ❢❛✈♦r❛❜❧❡s
✭✐✐✮ 27/64 ❝❛r ✐❧ s✬❛❣✐t ❞❡ ❢❛✐r❡ ❝❡tt❡ ❡①♣ér✐❡♥❝❡ s✉r 52 − 13 = 39 ❝❛rt❡s✱ ❛✉tr❡♠❡♥t ❞✐t✱ 393
❝❛s ❢❛✈♦r❛❜❧❡s
✭✐✐✐✮ 27/64 ❝❛r ♦♥ ❛ 3 × 13 × 392 ❝❛s ❢❛✈♦r❛❜❧❡s
✭✐✈✮ 37/64 ❝♦♠♣❧é♠❡♥t❛✐r❡ ❞❡ ✭✐✐✮
✭✈✮ 1/16 ❝❛r 3 × 133 ❝❛s ❢❛✈♦r❛❜❧❡s
✭✈✐✮ 3/8 ❝❛r 52 × 39 × 26 ❝❛s ❢❛✈♦r❛❜❧❡s
✭✈✐✐✮ 1/2197 ❝❛r 43 ❝❛s ❢❛✈♦r❛❜❧❡s
✭✈✐✐✐✮ 1728/2197 ❝❛r 483 ❝❛s ❢❛✈♦r❛❜❧❡s
✭✐①✮ 1/8 ❝❛r 263 ❝❛s ❢❛✈♦r❛❜❧❡s
✷✳ ❉❛♥s ❝❡tt❡ ❡①♣ér✐❡♥❝❡✱ Ω ❡st ❧✬❡♥s❡♠❜❧❡ ❞❡s ❝♦♠❜✐♥❛✐s♦♥s ❞❡ ✸ é❧é♠❡♥ts ♣❛r♠✐ ✺✷✳
❙♦♥ ❝❛r❞✐♥❛❧ ✈❛✉t ❞♦♥❝ C52 3
✳ ❈♦♠♠❡ ❧❡s t✐r❛❣❡s s♦♥t ❢❛✐ts ❛✉ ❤❛s❛r❞✱ ♦♥ ♣❡✉t ♠✉♥✐r Ω ❞❡
❧❛ ♣r♦❜❛❜✐❧✐té ✉♥✐❢♦r♠❡ ✿ t♦✉s ❧❡s é✈é♥❡♠❡♥ts é❧é♠❡♥t❛✐r❡s E ♦♥t ❧❛ ♠ê♠❡ ♣r♦❜❛❜✐❧✐té ✿
1/C523
✳ P❧✉s ❣é♥ér❛❧❡♠❡♥t✱ ♦♥ s❛✐t q✉❡ ❧❛ ♣r♦❜❛❜✐❧✐té ❞✬✉♥ é✈é♥❡♠❡♥t A q✉❡❧❝♦♥q✉❡ s❡
❝❛❧❝✉❧❡ ❝♦♠♠❡ card(A)/card(Ω)✳
✭✐✮ C133 3
/C52 ✭✐✐✮ C39
3
/C523
✭✐✐✐✮ C13
1 2
C39 3
/C52 ✭✐✈✮ 1 − C39
3 3
/C52 ✭✈✮ 4C13
3 3
/C52
✭✈✐✮ 4(C13 ) C52
1 3 3
✭✈✐✐✮ 4/C52 3
✭✈✐✐✐✮ C48 /C52
3 3
✭✐①✮ C26 /C52
3 3

❊①❡r❝✐❝❡ ✷ ✶✳ ❖♥ ♣❡✉t ♠♦❞é❧✐s❡r ❧❡s n ❜♦ît❡s ❛✉① ❧❡ttr❡s à ❧✬❛✐❞❡ ❞❡ n − 1 sé♣❛r❛t❡✉rs

❞♦♥❝ ✉♥❡ ❝♦♥✜❣✉r❛t✐♦♥ ❡st ✉♥ ❡♥s❡♠❜❧❡ ❞❡ n − 1 + p é❧é♠❡♥ts q✉✐ ❡st ❞ét❡r♠✐♥é❡ ♣❛r
❡①❡♠♣❧❡ ♣❛r ❧❛ ♣♦s✐t✐♦♥ ❞❡s sé♣❛r❛t❡✉rs✱ s♦✐t ❡♥ t♦✉t Cn+p−1
n−1
♣♦ss✐❜✐❧✐tés✳
✷✳ ❖♥ ♣❡✉t ✈♦✐r ❝❡ ♣r♦❜❧è♠❡ ❝♦♠♠❡ ❧❡ ♥♦♠❜r❡ ❞❡ ré♣❛rt✐t✐♦♥s ❞❡ p ❡♥✈❡❧♦♣♣❡s ❞❛♥s n
❜♦ît❡s ❛✉① ❧❡ttr❡s ❛✈❡❝ xi ❧❡ ♥♦♠❜r❡ ❞✬❡♥✈❡❧♦♣♣❡s ❞❛♥s ❧❛ ❜♦ît❡ ❛✉① ❧❡ttr❡s i✳ ❖♥ ❛ ❜✐❡♥
xi ∈ N ❡t x1 + . . . + xn = p✳ ❉♦♥❝ ❈❛r❞(A) = Cn−1+p
n−1
✳
✸✳ ❖♥ ❝♦♠♠❡♥❝❡ ♣❛r ♠❡ttr❡ ✉♥❡ ❡♥✈❡❧♦♣♣❡ ♣❛r ❜♦ît❡ ❛✉① ❧❡ttr❡s✳ ■❧ s✬❛❣✐t ❛❧♦rs ❞❡ ❝❛❧❝✉❧❡r
❧❡ ♥♦♠❜r❡ ❞❡ ❢❛ç♦♥s ❞❡ ré♣❛rt✐r p − n ❡♥✈❡❧♦♣♣❡s ❞❛♥s n ❜♦ît❡s ❛✉① ❧❡ttr❡s s♦✐t Cp−1 n−1

♣♦ss✐❜✐❧✐tés✳
✹✳ E2 = {(x1 , . . . , xn ) ∈ (N⋆ )n , x1 + . . . + xn = p}.
✺✳ P♦✉r ❝❤❛q✉❡ ❡♥✈❡❧♦♣♣❡ ♦♥ ❛ttr✐❜✉❡ ✉♥❡ ❜♦ît❡ ❛✉① ❧❡ttr❡s✱ s♦✐t np ♣♦ss✐❜✐❧✐tés✳
❊①❡r❝✐❝❡ ✸ ✶✳ ▲✬❡♥s❡♠❜❧❡ ❞❡s s✉✐t❡s str✐❝t❡♠❡♥ts ❝r♦✐ss❛♥t❡s ❞❡ p é❧é♠❡♥ts ❞❡ {1, . . . , n}
❡st ❡♥ ❜✐❥❡❝t✐♦♥ ❛✈❡❝ ❧✬❡♥s❡♠❜❧❡ ❞❡s ♣❛rt✐❡s à p é❧é♠❡♥ts ❞❡ {1, . . . , n}✳ ❊♥ ❡✛❡t✱ ♦♥ ♣❡✉t
❛ss♦❝✐❡r à t♦✉t❡ s✉✐t❡ str✐❝t❡♠❡♥t ❝r♦✐ss❛♥t❡ (s1 , . . . , sp ) ✉♥❡ ♣❛rt✐❡ {s1 , . . . , sp } à p é❧é♠❡♥ts
❞❡ {1, . . . , n}✱ ❡t ❧✬❛♣♣❧✐❝❛t✐♦♥ ré❝✐♣r♦q✉❡ ❝♦♥s✐st❡ à ♦r❞♦♥♥❡r ❧❡s é❧é♠❡♥ts ❞✬✉♥❡ ♣❛rt✐❡
{s1 , . . . , sp }✳ ▲❡ ❝❛r❞✐♥❛❧ r❡❝❤❡r❝❤é ❡st ❞♦♥❝ ❧❡ ♥♦♠❜r❡ ❞❡ ❝♦♠❜✐♥❛✐s♦♥s ❞❡ p é❧é♠❡♥ts
♣❛r♠✐ n✱ s♦✐t Cnp ✳
✷✳ ❙❡ ❞♦♥♥❡r ✉♥❡ s✉✐t❡ ❝r♦✐ss❛♥t❡ ✭❛✉ s❡♥s ❧❛r❣❡✮ ❞❡ p é❧é♠❡♥ts ❞❡ {1, . . . , n} r❡✈✐❡♥t à s❡
❞♦♥♥❡r✱ ♣♦✉r i = 1, . . . , n✱ ❧❡ ♥♦♠❜r❡ xi ❞✬é❧é♠❡♥ts ❞❡ ❧❛ s✉✐t❡ é❣❛✉① à i✱ ❛✈❡❝ ❧❛ ❝♦♥❞✐t✐♦♥
i=1 i = p ❡t xi ≥ 0✳ ❖♥ ✈♦✐t ❛✐♥s✐ q✉❡ ❧✬♦♥ ❡st r❛♠❡♥é à ❧❛ q✉❡st✐♦♥ ✶ ❞❡ ❧✬❡①❡r❝✐❝❡ ✷✱
Pn
x
❞♦♥❝ ❧❛ ré♣♦♥s❡ ❡st Cn−1+p n−1
✳
❆✉tr❡ s♦❧✉t✐♦♥ ✿ ♦♥ s❡ r❛♠è♥❡ à ❧❛ q✉❡st✐♦♥ ♣ré❝é❞❡♥t❡ ♣❛r ❧❛ ❜✐❥❡❝t✐♦♥
φ : (x1 , x2 . . . , xp ) 7→ (x1 , x2 + 1, . . . , xp + p − 1),
q✉✐ ❡♥✈♦✐❡ ❧❡s s✉✐t❡s ❝r♦✐ss❛♥t❡s ✭❛✉ s❡♥s ❧❛r❣❡✮ ❞❡ p é❧é♠❡♥ts ❞❡ {1, . . . , n} ❞❛♥s ❧✬❡♥s❡♠❜❧❡
❞❡s s✉✐t❡s str✐❝t❡♠❡♥t ❝r♦✐ss❛♥t❡s ❞❡ p é❧é♠❡♥ts ❞❡ {1, . . . , n+p−1}✳ P♦✉r ❧❡ ✈♦✐r✱ ♥♦t❡r q✉❡
s✐ (y1 , . . . , yn ) ❡st str✐❝t❡♠❡♥t ❝r♦✐ss❛♥t❡ à ✈❛❧❡✉rs ❞❛♥s {1, . . . , n+p−1}✱ ❛❧♦rs yi ≥ yi−1 +1
❡t yi ≥ i ♣♦✉r t♦✉t i ✭♣❛r ré❝✉rr❡♥❝❡✮✳ ▲✬✐♠❛❣❡ ♣❛r φ ❞❡ ♥♦tr❡ ❡♥s❡♠❜❧❡ ❡st ❧✬❡♥s❡♠❜❧❡
❞é❝r✐t ❞❛♥s ❧❛ q✉❡st✐♦♥ ♣ré❝é❞❡♥t❡ ❞❛♥s ❧❡q✉❡❧ n ❞❡✈✐❡♥t n+p−1 ❞♦♥❝ ❧❡ ❝❛r❞✐♥❛❧ r❡❝❤❡r❝❤é
❡st Cn+p−1
p n−1
= Cn−1+p é❧é♠❡♥ts✳
❊①❡r❝✐❝❡ ✹ ✶✳ FX ❡st ❝r♦✐ss❛♥t❡ ♣✉✐sq✉❡ s✐ x < y ✱ FX (y) = FX (x) + µX (]x, y]) ≥ FX (x)✳
limn→+∞ ] − ∞, −n] = ∩n∈N ] − ∞, −n] = ∅ ❝♦♠♠❡ ❧✐♠✐t❡ ❞✬✉♥❡ s✉✐t❡ ❞é❝r♦✐ss❛♥t❡ ❞✬❡♥✲
s❡♠❜❧❡s ❡t limn→+∞ ] − ∞, n] = ∩n∈N ] − ∞, n] = R ❝♦♠♠❡ ❧✐♠✐t❡ ❞✬✉♥❡ s✉✐t❡ ❝r♦✐ss❛♥t❡
❞✬❡♥s❡♠❜❧❡s P❛r ❝♦♥t✐♥✉✐té ❞❡ ❧✬❛♣♣❧✐❝❛t✐♦♥ ♣r♦❜❛❜✐❧✐té✱ ♦♥ ❛ limn→−∞ FX (n) = P(∅) = 0
❡t limn→∞ FX (n) = P(R) = 1✳
✷✳ FX ❡st ❝♦♥t✐♥✉❡ à ❞r♦✐t❡ ❝❛r limn→∞ ] − ∞, x + 1/n] = ∩n∈dN ] − ∞, x + 1/n] =] − ∞, x]✳
❉❡ ♣❧✉s✱ limn→∞ ] − ∞, x − 1/n] = ∩n∈dN ] − ∞, x − 1/n] =] − ∞, x[✳
✸✳ ❖♥ ❛ FX (x) − FX (x ) = µX ({x})✳ ❊♥ ♣❛rt✐❝✉❧✐❡r✱ ♦♥ r❡tr♦✉✈❡ t♦✉t❡s ❧❡s ♣r♦❜❛❜✐❧✐tés
−

µX ({k}) = P(X = k) = P(X −1 ({k})) = P({ω, X(ω) = k}).

❊①❡r❝✐❝❡ ✺ ▲❛ sér✐❡ = n)sn ❡st ❛❜s♦❧✉♠❡♥t ❝♦♥✈❡r❣❡♥t❡ ♣♦✉r |s| ≤ 1 ❝❛r
P
✶✳ P(X
|P(X = n)sn | ≤ P(X = n) ❡t P(X = n) = 1✳ ▲❛ ❢♦♥❝t✐♦♥ ❡st ❜✐❡♥ ❞é✜♥✐❡ s✉r [−1, 1]✳
P
✷✳ GX ❡st ❧❛ s♦♠♠❡ ❞❡ ❧❛ sér✐❡ ❡♥t✐èr❡ ❞❡ t❡r♠❡ ❣é♥ér❛❧ P(X = n)s ✳ ❊❧❧❡ ❡st ❞♦♥❝
n

✐♥❞é✜♥✐♠❡♥t ❞ér✐✈❛❜❧❡ s✉r ] − 1, 1[✳ ❉❡ ♣❧✉s✱ ♦♥ s❛✐t q✉❡ s❡s ❞ér✐✈é❡s s✬♦❜t✐❡♥♥❡♥t ♣❛r
❞ér✐✈❛t✐♦♥ t❡r♠❡ à t❡r♠❡ ❞❡ ❧❛ sér✐❡✳ ❖♥ ❛ ❞♦♥❝ G(k)
P∞
X (s) = n=k n(n − 1) . . . (n − k +
1)P (X = n)s n−k
❡t GX (0) = k!P(X = k)✳ ❖♥ ♣❡✉t ❞♦♥❝ r❡❝♦♥str✉✐r❡ ❧❛ ❧♦✐ ❞❡ X à ❧✬❛✐❞❡
(k)

❞❡ ❧❛ ❢♦r♠✉❧❡ s✉✐✈❛♥t❡ ✿ P(X = k) = G(k) X (0)/k!✳P

✸✳ ❙✐ X ❡st ✐♥té❣r❛❜❧❡✱ ♣❛r ❞é✜♥✐t✐♦♥ ❧❛ sér✐❡ nP (X = n) ❡st ❝♦♥✈❡r❣❡♥t❡✳ ▲❛ sér✐❡
n−1
❡st ♥♦r♠❛❧❡♠❡♥t ❝♦♥✈❡r❣❡♥t❡ ♣♦✉r |s| ≤ 1 ❝❛r sups |nP (X = P n)sn−1 | =
P
nP (X = n)s
nP (X = n)✳ P❛r ❝♦♥séq✉❡♥t✱ s❛ s♦♠♠❡ ❡st ❧❛ ❞ér✐✈é❡ ❞❡ ❧❛P s♦♠♠❡ ❞❡ ❧❛ sér✐❡ P(X =
n)s = GX (s)✱ ❛✉tr❡♠❡♥t ❞✐t GX (s)✳ ❊♥ rés✉♠é GX (s) = ∞
n ′ ′
n=1 nP (X = n)s
n−1
❡t G′X
❡st ❜✐❡♥ ❞é✜♥✐❡ s✉r [−1, 1]✳
❖♥ ♠♦♥tr❡ ❞❡ ❧❛ ♠ê♠❡ ♠❛♥✐èr❡ q✉❡ s✐ E(X(X − 1)) ❡①✐st❡ ❛❧♦rs G′′X (s) = ∞
P
n=2 n(n −
1)P (X = n)s n−2
❡t GXP❜✐❡♥ ❞é✜♥✐❡ s✉r [−1, 1]✳
′′

P♦✉r s = 1✱ G′X (1) = ∞ n=1 nP (X = n) = E(X) ❡t GX (1) =

′′
P∞
n=2 n(n − 1)P (X = n) =
E(X(X − 1))✳ ❖♥ ❡♥ ❞é❞✉✐t q✉❡ ❱❛r(X) = GX (1) + GX (1) − GX (1)2 ✳
′′ ′ ′
❯♥✐✈❡rs✐té ❈❧❛✉❞❡ ❇❡r♥❛r❞ ▲②♦♥ ✶ Pr♦❜❛❜✐❧✐tés
❆♥♥é❡ ✉♥✐✈❡rs✐t❛✐r❡ ✷✵✵✽✲✷✵✵✾

❋❡✉✐❧❧❡ ❞❡ ❚❉ ✷

❘❛♣♣❡❧s ✿ ▲♦✐s ✉s✉❡❧❧❡s ❞✐s❝rèt❡s

❇❡r♥♦✉❧❧✐(p) ❛✈❡❝ p ∈ [0, 1] ✿ P(X = 0) = 1 − p ❡t P(X = 1) = p✳

❇✐♥♦♠✐❛❧❡(n, p) ❛✈❡❝ n > 0 ❡t p ∈ [0, 1] ✿ P(X = k) = Cnk pk (1−p)n−k ♣♦✉r k = 0, . . . , n✳
●é♦♠étr✐q✉❡(p) ❛✈❡❝ p ∈ [0, 1] ✿ P(X = k) = p(1 − p)k ♣♦✉r k ∈ N⋆ ✳
λk
P♦✐ss♦♥(λ) ❛✈❡❝ λ > 0 ✿ P(X = k) = e−λ ♣♦✉r k ∈ N✳
k!

▲♦✐s ❞✐s❝rèt❡s ✉s✉❡❧❧❡s

❊①❡r❝✐❝❡ ✶ ❉♦♥♥❡r ❧✬❡①♣r❡ss✐♦♥ ❡t ✧tr❛❝❡r✧ ❧❡s ❢♦♥❝t✐♦♥s ❞❡ ré♣❛rt✐t✐♦♥s ❞❡ ❧♦✐ ❞❡ ❇❡r♥♦✉❧❧✐

❞❡ ♣❛r❛♠ètr❡ 2/3 ♣✉✐s ❞❡ ❧♦✐ ❣é♦♠étr✐q✉❡ ❞❡ ♣❛r❛♠ètr❡ 3/4✳
❊①❡r❝✐❝❡ ✷
✶✳ ❘❛♣♣❡❧❡r ❧❛ ❢♦r♠✉❧❡ ❞✉ ❜✐♥ô♠❡ ❞❡ ◆❡✇t♦♥✳
✷✳ ❊♥ ❞é❞✉✐r❡ q✉❡ ❧❛ ❧♦✐ ❜✐♥♦♠✐❛❧❡ ❞❡ ♣❛r❛♠ètr❡s n ∈ N ❡t p ∈ [0, 1] ❞é✜♥✐t ❜✐❡♥ ✉♥❡ ❧♦✐
⋆

❞❡ ♣r♦❜❛❜✐❧✐té ♣✉✐s ❝❛❧❝✉❧❡r s❛ ♠♦②❡♥♥❡ ❡t s❛

P ✈❛r✐❛♥❝❡✳
✸✳ ❘❛♣♣❡❧❡r ❧❡ ❝♦♠♣♦rt❡♠❡♥t ❞❡s sér✐❡s n≥0 a ✱ ❡t n≥2 n(n − 1)an−2
n n−1
P P
n≥1 na
❧♦rsq✉❡ |a| < 1✳
✹✳ ❊♥ ❞é❞✉✐r❡ q✉❡ ❧❛ ❧♦✐ ❣é♦♠étr✐q✉❡ ❞❡ ♣❛r❛♠ètr❡ p ∈ ]0, 1[ ❞é✜♥✐t ❜✐❡♥ ✉♥❡ ❧♦✐ ❞❡ ♣r♦✲
❜❛❜✐❧✐té ♣✉✐s ❝❛❧❝✉❧❡r s❛ ♠♦②❡♥♥❡ ❡t s❛ ✈❛r✐❛♥❝❡✳
❊①❡r❝✐❝❡ ✸ ❆✉ ❝♦✉rs ❞✬✉♥❡ ❡①♣ér✐❡♥❝❡ ✉♥ ❝❡rt❛✐♥ é✈é♥❡♠❡♥t E s❡ ré❛❧✐s❡ ❛✈❡❝ ✉♥❡ ♣r♦✲
❜❛❜✐❧✐té p ∈ ]0, 1[✳ ❖♥ ré♣èt❡ ❞❡ ❢❛ç♦♥ ✐♥❞é♣❡♥❞❛♥t❡ ❧✬❡①♣ér✐❡♥❝❡ ❥✉sq✉✬à ♦❜t❡♥✐r r ❢♦✐s E ✳
❙♦✐t X ❧❛ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ❛ss♦❝✐é❡ ❛✉ ♥♦♠❜r❡ ❞❡ ré❛❧✐s❛t✐♦♥s ❞❡ E c ✳ ❉ét❡r♠✐♥❡r ❧❛ ❧♦✐
❞❡ X ✳
❊①❡r❝✐❝❡ ✹ ❈❛❧❝✉❧❡r ❧❛ ❢♦♥❝t✐♦♥ ❣é♥ér❛tr✐❝❡ ❞❡ X ❧♦rsq✉❡ X ❡st ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡
✶✳ ❞❡ ❧♦✐ ❞❡ ❇❡r♥♦✉❧❧✐ ❞❡ ♣❛r❛♠ètr❡ p ∈ [0, 1] ❀
✷✳ ❞❡ ❧♦✐ ❜✐♥♦♠✐❛❧❡ ❞❡ ♣❛r❛♠ètr❡s n ∈ N ❡t p ∈ [0, 1] ❀
⋆

✸✳ ❞❡ ❧♦✐ ❞❡ P♦✐ss♦♥ ❞❡ ♣❛r❛♠ètr❡ λ > 0 ❀

✹✳ ❞❡ ❧♦✐ ❣é♦♠étr✐q✉❡ ❞❡ ♣❛r❛♠ètr❡ p ∈ ]0, 1[✳
✺✳ ❊♥ ❞é❞✉✐r❡ ❧✬❡s♣ér❛♥❝❡ ❡t ❧❛ ✈❛r✐❛♥❝❡ ❞❡ X ❞❛♥s ❝❤❛❝✉♥ ❞❡s ❝❛s✳

■♥é❣❛❧✐tés

❊①❡r❝✐❝❡ ✺
✶✳ ❙♦✐t X ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ✐♥té❣r❛❜❧❡✳ ▼♦♥tr❡r q✉❡ ♣♦✉r t♦✉t a ∈ R⋆
+

E(|X|)
✭▼❛r❦♦✈✮ P(|X| ≥ a) ≤ .
a
✷✳ ❊♥ ❞é❞✉✐r❡ q✉❡ s✐ X ❡st ❞❡ ❝❛rré ✐♥té❣r❛❜❧❡ ❛❧♦rs ♣♦✉r t♦✉t a ∈ R+⋆
V ar(X)
✭❚❝❤❡❜②❝❤❡✛✮ P(|X − E(X)| ≥ a) ≤ .
a2
❊①❡r❝✐❝❡ ✻ ❙♦✐t n ∈ N∗ ✳ ❖♥ ❡①tr❛✐t n ❢♦✐s ❛✈❡❝ r❡♠✐s❡ ✉♥❡ ❜♦✉❧❡ ❞❛♥s ✉♥❡ ✉r♥❡ ❝♦♠♣♦sé❡
❞❡ ✷ ❜♦✉❧❡s ✈❡rt❡s ❡t ✻ ❜♦✉❧❡s ❜❧❛♥❝❤❡s✳ ❙♦✐t Xn ❧❛ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ❛ss♦❝✐é❡ ❛✉ ♥♦♠❜r❡
❞❡ ❜♦✉❧❡s ✈❡rt❡s ♦❜t❡♥✉❡s ❧♦rs ❞❡s n t✐r❛❣❡s✳ ❖♥ ♣♦s❡ Fn = Xn /n✳
✶✳ ❉♦♥♥❡r ❧❛ ❧♦✐ ❞❡ Xn ✳ ❊♥ ❞é❞✉✐r❡ ❧✬❡s♣ér❛♥❝❡ ❡t ❧❛ ✈❛r✐❛♥❝❡ ❞❡ Xn ♣✉✐s ❞❡ Fn ✳
✷✳ ❖♥ s✉♣♣♦s❡ ❞❛♥s ❝❡tt❡ q✉❡st✐♦♥ q✉❡ n = 10 000✳ ❆ ❧✬❛✐❞❡ ❞❡ ❧✬❡①❡r❝✐❝❡ ♣ré❝é❞❡♥t✱ ❞♦♥✲
♥❡r ✉♥❡ ❜♦r♥❡ ✐♥❢ér✐❡✉r❡ ♣♦✉r ❧❛ ♣r♦❜❛❜✐❧✐té ❞❡ ❧✬é✈é♥❡♠❡♥t {Fn ∈ ]0.22, 0.26[}✳
✸✳ ❉♦♥♥❡r ✉♥❡ ❡st✐♠❛t✐♦♥ ❞✉ ♥♦♠❜r❡ ♠✐♥✐♠❛❧ n ❞❡ t✐r❛❣❡s ♥é❝❡ss❛✐r❡s ♣♦✉r q✉❡ ❧❛ ♣r♦✲
❜❛❜✐❧✐té ❞❡ ❧✬é✈é♥❡♠❡♥t {Fn ∈ ]0.22, 0.26[} s♦✐t ❛✉ ♠♦✐♥s ✵✳✾✾✳
 ❈♦rr❡❝t✐♦♥ ❢❡✉✐❧❧❡ ❞❡ ❚❉ ✷

❊①❡r❝✐❝❡ ✶ ❙✐ X s✉✐t ❧❛ ❧♦✐ ❞❡ ❇❡r♥♦✉❧❧✐ ❞❡ ♣❛r❛♠ètr❡ p = 2/3✱ X ❡st à ✈❛❧❡✉rs ❞❛♥s

{0, 1}✱ ❞♦♥❝ FX (x) = P (X ≤ x) = 0 s✐ x < 0 ❡t FX (x) = 1 s✐ x ≥ 1✳ ❉❡ ♣❧✉s✱ s✐ 0 ≤ x < 1✱
FX (x) = P (X ≤ x) = P (X = 0) = 1 − p = 1/3✳ ❋❛✐r❡ ❧❡ ❞❡ss✐♥ ❝♦rr❡s♣♦♥❞❛♥t✳
❙♦✐t X ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ❞❡ ❧❛ ❧♦✐ ❣é♦♠étr✐q✉❡ ❞❡ ♣❛r❛♠ètr❡ p = 3/4✳ ❈♦♠♠❡ X ❡st
à ✈❛❧❡✉rs ❞❛♥s N∗ ✱ ♦♥ ❛ FX (x) = 0 ♣♦✉r t♦✉t x < 1✳ ❉❡ ♣❧✉s✱ FX (x) = P (X = 1) = 3/4
s✐ x ∈ [1, 2[✱ FX (x) = P (X = 1) + P (X = 2) = 3/4 + 3/16 = 15/16 s✐ x ∈ [2, 3[✱
FX (x) = FX (2) + P (X = 3) = 15/16 + 3/64 s✐ x ∈ [3, 4[✱✳ ✳ ✳

❊①❡r❝✐❝❡ ✷ ✶✳ P♦✉r x, y ré❡❧s ✭♦✉ ❞❛♥s ✉♥ q✉❡❧❝♦♥q✉❡ ❛♥♥❡❛✉ ❝♦♠♠✉t❛t✐❢✮ ❡t n ∈ N✱ ❧❛

n
❢♦r♠✉❧❡ ❞✉ ❜✐♥ô♠❡ ❞❡ ◆❡✇t♦♥ s✬é❝r✐t (x + y) = Cnk xk y n−k ✳
X
n

k=0
✷✳ P♦✉r ✈ér✐✜❡r q✉❡ P (X = k) = ak ✭♦ù k ∈ P N ❡t ak ∈ R✮ ❞é✜♥✐t ❜✐❡♥ ✉♥❡ ♠❡s✉r❡
❞❡ ♣r♦❜❛❜✐❧✐tés s✉r N✱ ✐❧ ❢❛✉t ✈ér✐✜❡r ak ≥ 0 ❡t ∞ k=0 ak = 1✳ P♦✉r ❧❛ ❧♦✐ ❜✐♥♦♠✐❛❧❡ ❞❡
♣❛r❛♠ètr❡s nP ❡t p✱ ❧❛ ♣♦s✐t✐✈✐té ❡st é✈✐❞❡♥t❡✱ ❡t ❧❛ s❡❝♦♥❞❡ ❝♦♥❞✐t✐♦♥ rés✉❧t❡ ❞❡ ❧❛ ❢♦r♠✉❧❡
❞✉ ❜✐♥ô♠❡ ✿ nk=0 Cnk pk (1 − p)n−k = (p + 1 − p)n = 1✳
➚ ❧✬❛✐❞❡ ❞❡s ❢♦r♠✉❧❡s kCnk = nCn−1 k−1
❡t k(k − 1)Cnk−1 = n(n − 1)Cn−2
k−2
✭❧❛ ♣r❡♠✐èr❡ s❡ ✈ér✐✜❡
✈✐❛ ❧❛ ❞é✜♥✐t✐♦♥ ❞❡s Cn ❡t ❧❛ ❞❡✉①✐è♠❡ s❡ ❞é❞✉✐t ❞❡ ❧❛ ♣r❡♠✐èr❡✮✱ ❡t ❞❡ ❧❛ ❢♦r♠✉❧❡ ❞✉
k

❜✐♥ô♠❡✱ ♦♥ ❝❛❧❝✉❧❡ ✿
n
X n
X n−1
X
E(X) = kCnk pk (1 − p)n−k =n k−1 k
Cn−1 p (1 − p)n−k = np k
Cn−1 pk (1 − p)n−1−k = np
k=1 k=1 k=0

n
X n
X
E(X(X − 1)) = k(k − 1)Cnk pk (1 − p)n−k = k−2 k
n(n − 1)Cn−2 p (1 − p)n−k = n(n − 1)p2 ,
k=2 k=2

❞✬♦ù Var(X) = E(X )−E(X) = E(X(X −1))+E(X)−E(X)2 = n(n−1)p2 +np−n2 p2 =

2 2

np(1 − p).
1 − an+1
❙✐ a 6= 1 ♦♥ ❛✱ ♣♦✉r t♦✉t n✱ ✳ P♦✉r |a| < 1✱ limn an+1 = 0✱
Pn k
✸✳ k=0 a =
1−a
1
❞♦♥❝ ❧❛ sér✐❡ ❣é♦♠étr✐q✉❡ ❡st ❛❧♦rs ❝♦♥✈❡r❣❡♥t❡ ❛✈❡❝ k≥0 ak = ✳ P❛r ♣r♦♣r✐été ❞❡
P
1−a
❞ér✐✈❛t✐♦♥ ❞❡s sér✐❡s
 ❡♥t✐èr❡s
 ❞❛♥s ❧❡✉r ✐♥t❡r✈❛❧❧❡ ♦✉✈❡rt ❞❡ ❝♦♥✈❡r❣❡♥❝❡✱ ♦♥ ❡♥ ❞é❞✉✐t
2

d 1 1 d 1 2
k−1
❡t k≥2 k(k − 1)ak−2 = 2 ✳
P P
k≥1 ka = = 2
= 3
da 1 − a (1 − a) da 1 − a (1 − a)
✹✳ ❙✐ ♣♦✉r t♦✉t k ≥ 1 ♦♥ ❛ P(X = k) = p(1 − p) ✱ ❛❧♦rs k≥1 P(X = k) = p k≥0 (1 −
k−1
P P

p)k = 1✳ ❈❡❝✐ ♠♦♥tr❡ q✉❡ ❧❛ ❧♦✐ ❣é♦♠étr✐q✉❡ ❞❡ ♣❛r❛♠ètr❡ p ❡st ❜✐❡♥ ✉♥❡ ❧♦✐ ❞❡ ♣r♦❜❛❜✐❧✐tés✳
❖♥ ❝❛❧❝✉❧❡ ✿ X X 1
E(X) = kP(X = k) = p k(1 − p)k−1 =
k≥1 k≥1
p
X X 1−p
E(X(X − 1)) = k(k − 1)P(X = k) = p(1 − p) k(k − 1)(1 − p)k−2 = 2
k≥2 k≥2
p2
1−p 1 1 1−p
Var(X) = E(X(X − 1)) + E(X) − E(X)2 = 2 2
+ − 2 = .
p p p p2
❊①❡r❝✐❝❡ ✸ ❖♥ ❛ Ω = {E, E c }N ✳ ▲✬é✈é♥❡♠❡♥t {E, . . . , E, E c , . . . , E c , . . .} ♦ù E ❛♣♣❛r❛✐t
r ❢♦✐s ❡t E c ❛♣♣❛r❛✐t n ❢♦✐s ❞❛♥s ❧❡s r + n ♣r❡♠✐❡rs t❡r♠❡s ❛ ✉♥❡ ♣r♦❜❛❜✐❧✐té pr (1 − p)n ✳
P♦✉r tr♦✉✈❡r ❧❛ ♣r♦❜❛❜✐❧✐té P(X = n) ✐❧ ❢❛✉t ❝❛❧❝✉❧❡r ❧❡ ♥♦♠❜r❡ ❞❡ ♠❛♥✐èr❡s ❞❡ ❝♦♥str✉✐r❡
❞❡s r + n ✉♣❧❡ts s❡ t❡r♠✐♥❛♥t ♣❛r E ✱ ❡t ❝♦♥t❡♥❛♥t r ❢♦✐s E ✳ ❈✬❡st ❞♦♥❝ ❧❡ ♥♦♠❜r❡ ❞❡
❝♦♠❜✐♥❛✐s♦♥s ❞❡ r−1 é❧é♠❡♥ts ♣❛r♠✐ r+n−1 ♣✉✐sq✉❡ ✉♥ ❞❡s é❧é♠❡♥ts ❛✐♥s✐ q✉❡ s❛ ♣♦s✐t✐♦♥
❡st ✐♠♣♦sé❡✱ s♦✐t ❡♥❝♦r❡ Cr+n−1
r−1
✳ ❉♦♥❝ ♣♦✉r t♦✉t n ∈ N ♦♥ ❛ ✿ P(X = n) = Cn+r−1 r−1
pr (1−p)n .
■❧ s✬❛❣✐t ❞❡ ❧❛ ❧♦✐ ❜✐♥♦♠✐❛❧❡ ♥é❣❛t✐✈❡ ❞❡ ♣❛r❛♠ètr❡s r ∈ N⋆ ❡t p ∈]0, 1]✳
❊①❡r❝✐❝❡ ✹ ✶✳ ▲♦✐ ❞❡ ❇❡r♥♦✉❧❧✐ ❞❡ ♣❛r❛♠ètr❡ p✳ ❖♥ ❛✱ ♣♦✉r s ∈ R✱
GX (s) = E[X s ] = (1 − p) + ps,

❞♦♥❝ G′X (s) = p ❡t G′′X (s) = 0✳ ■❧ s✉✐t G′X (1) = p ❡t G′′X (1) = 0✳ P❛r ❝♦♥séq✉❡♥t ✭❝❢✳ ❢❡✉✐❧❧❡
✶✱ ❡①❡r❝✐❝❡ ✺ ❡t r❡♠❛rq✉❡ à ❧❛ ✜♥ ❞✉ ❝♦rr✐❣é✮✱ E(X) = p ❡t Var(X) = p − p2 = p(1 − p)✳
✷✳ ▲♦✐ ❜✐♥♦♠✐❛❧❡ ❞❡ ♣❛r❛♠ètr❡s n ❡t p✳ P♦✉r s ∈ R✱ ❧❛ ❢♦r♠✉❧❡ ❞✉ ❜✐♥ô♠❡ ❞♦♥♥❡ ✿

n
X n
X
k
GX (s) = s Cnk pk (1 − p) n−k
= Cnk (sp)k (1 − p)n−k = (1 − p + sp)n .
k=0 k=0

❖♥ ♦❜t✐❡♥t G′X (s) = np(1 − p + sp)n−1 ❡t G′′X (s) = n(n − 1)p2 (1 − p + sp)n−2 ✱ ❞✬♦ù
G′X (1) = np ❡t G′′X (1) = n(n − 1)p2 ✳
λn
✸✳ ▲♦✐ ❞❡ P♦✐ss♦♥ ❞❡ ♣❛r❛♠ètr❡ λ > 0✳ ❘❛♣♣❡❧♦♥s q✉❡ ❞❛♥s ❝❡ ❝❛s P(X = n) = e−λ
n!
♣♦✉r n ∈ N✳ ▲❡ ❞é✈❡❧♦♣♣❡♠❡♥t ❡♥ sér✐❡ ❞❡ ❧✬❡①♣♦♥❡♥t✐❡❧❧❡ eλ = ∞ λn
✭❡t ❧❡ ❢❛✐t q✉❡
P
n=0 n!
λn −λ
n!
e ≥ 0✮ ♠♦♥tr❡ q✉✬✐❧ s✬❛❣✐t ❜✐❡♥ ❞✬✉♥❡ ♣r♦❜❛❜✐❧✐té✳ ❈❡ ♠ê♠❡ ❞é✈❡❧♦♣♣❡♠❡♥t ❢♦✉r♥✐t✱
♣♦✉r t♦✉t s ∈ R ✿
∞
X λn −λ
GX (s) = sn e = eλs e−λ = eλ(s−1) ,
n=0
n!

❞♦♥❝ G′X (s)

= λe ❡tλ(s−1)
G′′X (s) = λ2 eλ(s−1) ✳ G′X (1) = λ ❡t G′′X (1) = λ2 ✐♠♣❧✐q✉❡♥t
E(X) = λ ❡t Var(X) = λ✳
1 1
✹✳ ▲♦✐ ❣é♦♠étr✐q✉❡ ❞❡ ♣❛r❛♠ètr❡ p✳ ❖♥ ❛✱ ♣♦✉r t♦✉t s ∈] − , [✱
1−p 1−p
∞
X sp
GX (s) = sk (1 − p)k−1 p = .
k=1
1 − s(1 − p)

p 2p(1 − p)
P♦✉r ❝❡s ✈❛❧❡✉rs ❞❡ s✱ ♦♥ ❡♥ ❞é❞✉✐t q✉❡ G′X (s) = 2 ❡t GX (s) =
′′
✳
(1 − s(1 − p)) (1 − s(1 − p))3
2(1 − p) 2(1 − p)
❊♥ ♣❛rt✐❝✉❧✐❡r✱ G′X (1) = 1
p
❡t G′′X (1) = 2
✱ ❞✬♦ù E(X) = p1 ❡t Var(X) = +
 2 p p2
1 1 1−p
− = ✳
p p p2
❘❡♠❛rq✉❡ ✶✳ P♦✉r ❞é❞✉✐r❡ ❧❡ ❝❛❧❝✉❧ ❞❡ ❧✬❡s♣ér❛♥❝❡ ❡t ❞❡ ❧❛ ✈❛r✐❛♥❝❡✱ ♦♥ ✉t✐❧✐s❡ à ✈r❛✐
❞✐r❡ ✉♥❡ ré❝✐♣r♦q✉❡ ♣❛rt✐❡❧❧❡ ❞❡ ❧❛ q✉❡st✐♦♥ ✺✳✸ ❞❡ ❧❛ ❢❡✉✐❧❧❡ ✶✳ ➚ s❛✈♦✐r ✿ s✐ G′X (1) < ∞
✭❝✬❡st✲à✲❞✐r❡✱ s✐ ❧❛ sér✐❡ ❞ér✐✈é❡ ❝♦♥✈❡r❣❡ ❡♥ s = 1✮✱ ❛❧♦rs X ❡st ✐♥té❣r❛❜❧❡✱ ❡t E(X) =
G′X (1)✳ ❊t s✐ G′′X (1) < ∞ ✭✐❞❡♠ ♣♦✉r ❧❛ sér✐❡ ❞ér✐✈é❡ s❡❝♦♥❞❡✮✱ ❛❧♦rs X ❡st ❞❡ ❝❛rré ✐♥✲
té❣r❛❜❧❡ ❡t E(X 2 ) = E(X(X − 1)) + E(X) = G′′X (1) + G′X (1)✳ ▲❛ ♣r❡✉✈❡ ❡st q✉❛s✐♠❡♥t
❧❛ ♠ê♠❡ ♣✉✐sq✉❡ ♣❛r ❡①❡♠♣❧❡ ❧❡s ♣r♦♣r✐étés ✓X ❡st ✐♥té❣r❛❜❧❡✔
P ❡t ✓GX (1) < ∞✔ s❡ tr❛✲
′

❞✉✐s❡♥t ❡①❛❝t❡♠❡♥t ♣❛r ❧❛ ♠ê♠❡ ❝♦♥❞✐t✐♦♥ ❞❡ ❝♦♥✈❡r❣❡♥❝❡ ✿ k kP(X = k) < ∞✳

❘❡♠❛rq✉❡ ✷✳ ❉ès q✉❡ ❧❡ r❛②♦♥ ❞❡ ❝♦♥✈❡r❣❡♥❝❡ ❞❡ GX ❡st str✐❝t❡♠❡♥t ♣❧✉s ❣r❛♥❞ q✉❡
✶ ✭❝❡ q✉✐ ❡st ❧❡ ❝❛s ❞❛♥s ❧❡s ❡①❡♠♣❧❡s ♣ré❝é❞❡♥ts✮✱ GX ❡st ❞❡ ❝❧❛ss❡ C ∞ ❡♥ ✶✱ ❞♦♥❝ X ❡st
✐♥té❣r❛❜❧❡✱ X 2 ❛✉ss✐ ❡t✱ ❞❡ ❢❛ç♦♥ ♣❧✉s ❣é♥ér❛❧❡✱ X k ❡st ✐♥té❣r❛❜❧❡ ♣♦✉r t♦✉t k ✭❝♦♥s✐❞ér❡r
❧❛ ❞ér✐✈é❡ k ✲✐è♠❡ ❞❡ GX ✮✳

❊①❡r❝✐❝❡ ✺ ❱♦✐r ♣❛❣❡ ✶✸ ❞✉ ❝♦✉rs✳

❊①❡r❝✐❝❡ ✻ ✶✳ Xn ❡st ❞❡ ❧♦✐ ❜✐♥♦♠✐❛❧❡ ❞❡ ♣❛r❛♠ètr❡s n ❡t p = 2/8 = 1/4✳ ❉♦♥❝ E(Xn ) =
n/4 ❡t V ar(Xn ) = 3n/16✳ ❖♥ ♦❜t✐❡♥t ❛❧♦rs E(Fn ) = 1/4 ❡t V ar(Fn ) = 3/(16n)✳
✷✳ P(Fn ∈ ]0.22, 0.26[) = P(Fn − E(Fn ) ∈ ] − 0.03, 0.01[) > P(|Fn − E(Fn )| < 0.01) ❞♦♥❝
P(Fn ∈ ]0.22, 0.26[) > 1−P(|Fn −E(Fn )| ≥ 0.01) ≥ 1−V ar(Fn )/0.012 = 1−3/16 = 13/16✳
✸✳ P(Fn ∈ ]0.22, 0.26[) > P(|Fn − E(Fn )| < 0.01) ❞♦♥❝ s✐ P(|Fn − E(Fn )| < 0.01) > 0.99
❛❧♦rs ♦♥ ❛✉r❛
P(Fn ∈ ]0.22, 0.26[) > 0.99✳ ■❧ s✉✣t ❞❡ ❝❤❡r❝❤❡r n t❡❧ q✉❡ P(|Fn − E(Fn )| ≥ 0.01) < 0.01✳
❖r P(|Fn − E(Fn )| > 0.01) < V ar(Fn )/0.012 ❞♦♥❝ n > 3/(16 0.013 ) = 187500✳
❯♥✐✈❡rs✐té ❈❧❛✉❞❡ ❇❡r♥❛r❞ ▲②♦♥ ✶ Pr♦❜❛❜✐❧✐tés
❆♥♥é❡ ✉♥✐✈❡rs✐t❛✐r❡ ✷✵✵✽✲✷✵✵✾

❋❡✉✐❧❧❡ ❞❡ ❚❉ ✸

❊①❡r❝✐❝❡ ✶ ❋♦♥❝t✐♦♥s ✐♥❞✐❝❛tr✐❝❡s

❙♦✐t (Ω, P) ✉♥ ❡s♣❛❝❡ ❞❡ ♣r♦❜❛❜✐❧✐té ❞✐s❝r❡t✳ ❙✐ A ⊂ Ω ❡st ✉♥ é✈é♥❡♠❡♥t✱ ♦♥ ♥♦t❡ 1A :
Ω → {0, 1} ❧❛ ❢♦♥❝t✐♦♥ ✐♥❞✐❝❛tr✐❝❡ ❞❡ A ✿

1 s✐ ω ∈ A

♣♦✉r t♦✉t ω ∈ Ω✱ 1A (ω) =
0 s✐ ω ∈
/ A.

✶✳ P♦✉r ❞❡s é✈é♥❡♠❡♥ts A ❡t B ✱ ❡①♣r✐♠❡r 1Ac ❡t 1A∩B ❡♥ ❢♦♥❝t✐♦♥ ❞❡ 1A ❡t 1B ✳

✷✳ ❱ér✐✜❡r q✉❡✱ ♣♦✉r t♦✉t é✈é♥❡♠❡♥t A✱ P(A) = E[1A ]✳
✸✳ ▼♦♥tr❡r q✉❡ s✐ X ❡st ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ✐♥té❣r❛❜❧❡ à ✈❛❧❡✉rs ❞❛♥s N✱ ❛❧♦rs ✿
∞
X
E[X] = P(X ≥ n).
n=1

■♥❞é♣❡♥❞❛♥❝❡
❊①❡r❝✐❝❡ ✷ ■♥❞é♣❡♥❞❛♥❝❡ ❡♥tr❡ ✸ é✈é♥❡♠❡♥ts
❖♥ ❥❡tt❡ ❞❡✉① ❞és ✭♥♦♥ ♣✐♣és✮✱ ❧✬✉♥ ❛♣rès ❧✬❛✉tr❡✳ ❖♥ ♥♦t❡ r❡s♣❡❝t✐✈❡♠❡♥t A✱ B ❡t C ❧❡s
é✈é♥❡♠❡♥ts ✓▲❡ ❝❤✐✛r❡ ❞✉ ♣r❡♠✐❡r ❞é ❡st ♣❛✐r✔✱ ✓▲❡ ❝❤✐✛r❡ ❞✉ ❞❡✉①✐è♠❡ ❞é ❡st ♣❛✐r✔ ❡t
✓▲❡s ❞❡✉① ❝❤✐✛r❡s ♦♥t ♠ê♠❡ ♣❛r✐té✔✳
✶✳ ▼♦♥tr❡r q✉❡ ❧❡s é✈é♥❡♠❡♥ts A✱ B ❡t C s♦♥t ❞❡✉① à ❞❡✉① ✐♥❞é♣❡♥❞❛♥ts✳
✷✳ ▼♦♥tr❡r q✉❡ A✱ B ❡t C ♥❡ s♦♥t ♣❛s ✐♥❞é♣❡♥❞❛♥ts ❞❛♥s ❧❡✉r ❡♥s❡♠❜❧❡✳

❊①❡r❝✐❝❡ ✸ ■♥❞é♣❡♥❞❛♥❝❡ ❡t ♣❛ss❛❣❡ ❛✉ ❝♦♠♣❧é♠❡♥t❛✐r❡

❙♦✐t (Ω, P) ✉♥ ❡s♣❛❝❡ ❞❡ ♣r♦❜❛❜✐❧✐té ❞✐s❝r❡t✱ ❡t A1 , . . . , An ❞❡s é✈é♥❡♠❡♥ts ✐♥❞é♣❡♥❞❛♥ts✳
✶✳ ▼♦♥tr❡r q✉❡ A1 , A2 , . . . , An s♦♥t ✐♥❞é♣❡♥❞❛♥ts ❛✉ss✐✳
c

✷✳ ❊♥ ❞é❞✉✐r❡ ♣❛r ré❝✉rr❡♥❝❡ ❧❛ ♣r♦♣r✐été ♣❧✉s ❣é♥ér❛❧❡ ✿ ♣♦✉r t♦✉s B1 ∈ {A1 , A1 }, . . . , Bn ∈

c

{An , An }✱ ❧❡s é✈é♥❡♠❡♥ts B1 , . . . , Bn s♦♥t ✐♥❞é♣❡♥❞❛♥ts✳

c

✸✳ ❉é♠♦♥tr❡r q✉❡ ❧❡s é✈é♥❡♠❡♥ts A1 , . . . , An s♦♥t ✐♥❞é♣❡♥❞❛♥ts s✐✱ ❡t s❡✉❧❡♠❡♥t s✐ ❧❡s

✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s 1A1 , . . . , 1An s♦♥t ✐♥❞é♣❡♥❞❛♥t❡s✳
❊①❡r❝✐❝❡ ✹ ❙♦✐t X ❡t Y ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ré❡❧❧❡s ✐♥❞é♣❡♥❞❛♥t❡s✱ ❞é✜♥✐❡s s✉r ✉♥
❡s♣❛❝❡ ❞❡ ♣r♦❜❛❜✐❧✐té ❞✐s❝r❡t (Ω, P)✳
✶✳ ▼♦♥tr❡r q✉❡✱ ♣♦✉r t♦✉t❡s ❢♦♥❝t✐♦♥s f ❡t g ❞❡ R ❞❛♥s R✱ f (X) ❡t g(Y ) s♦♥t ❞❡s ✈❛r✐❛❜❧❡s
❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s✳
✷✳ ❖♥ s✉♣♣♦s❡ X ❡t Y ✐♥té❣r❛❜❧❡s✳ ▼♦♥tr❡r q✉❡ XY ❡st ✐♥té❣r❛❜❧❡ ❡t E[XY ] = E[X]E[Y ]✳
✸✳ ❖♥ s✉♣♣♦s❡ X ❡t Y ✐♥té❣r❛❜❧❡s✳ ▼♦♥tr❡r q✉❡ Var(X + Y ) = Var(X) + Var(Y )✳
2 2

✹✳ ●é♥ér❛❧✐s❡r ❝❡s rés✉❧t❛ts à n ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s X1 , . . . , Xn ✐♥❞é♣❡♥❞❛♥t❡s✳

❊①❡r❝✐❝❡ ✺ ❙✐ X ❡st ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ✐♥❞é♣❡♥❞❛♥t❡ ❞❡ Y ❡t s✐ Y ❡st ✐♥❞é♣❡♥❞❛♥t❡

❞❡ Z ✱ ❡st✲❝❡ q✉❡ X ❡st ✐♥❞é♣❡♥❞❛♥t❡ ❞❡ Z ❄
▲♦✐s ✉s✉❡❧❧❡s ❡t ✐♥❞é♣❡♥❞❛♥❝❡
❊①❡r❝✐❝❡ ✻ ■♥t❡r♣rét❛t✐♦♥ ❞❡s ❧♦✐s ✉s✉❡❧❧❡s
❖♥ ❝♦♥s✐❞èr❡ ✉♥❡ s✉✐t❡ ❞✬❡①♣ér✐❡♥❝❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞♦♥t ❧✬✐ss✉❡ ❡st ✉♥ s✉❝❝ès ❛✈❡❝ ♣r♦✲
❜❛❜✐❧✐té p ❡t ✉♥ é❝❤❡❝ ❛✈❡❝ ♣r♦❜❛❜✐❧✐té 1 − p✳
✶✳ ▼♦♥tr❡r q✉❡ ❧❡ ♥♦♠❜r❡ ❞❡ s✉❝❝ès ♣❛r♠✐ ❧❡s n ♣r❡♠✐èr❡s ❡①♣ér✐❡♥❝❡s s✉✐t ✉♥❡ ❧♦✐ ❜✐♥♦✲
♠✐❛❧❡ ❞❡ ♣❛r❛♠ètr❡s n ❡t p✳
✷✳ ▼♦♥tr❡r q✉❡ ❧✬✐♥st❛♥t ♦ù ❛ ❧✐❡✉ ❧❡ ♣r❡♠✐❡r s✉❝❝ès s✉✐t ✉♥❡ ❧♦✐ ❣é♦♠étr✐q✉❡ ❞❡ ♣❛r❛♠ètr❡
p✳

❊①❡r❝✐❝❡ ✼ ❙♦✐t X ✱ Y ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s s✉✐✈❛♥t ❞❡s ❧♦✐s ❣é♦♠étr✐q✉❡s
❞❡ ♣❛r❛♠ètr❡s r❡s♣❡❝t✐❢s pX ❡t pY ✳ ❖♥ ❞é✜♥✐t Z = min(X, Y )✳
✶✳ ❈❛❧❝✉❧❡r ❧❡s ❢♦♥❝t✐♦♥s ❞❡ ré♣❛rt✐t✐♦♥ ❞❡ X ✱ Y ✱ Z ✳
✷✳ ❊♥ ❞é❞✉✐r❡ ❧❛ ❧♦✐ ❞❡ Z ✳

❈♦♥❞✐t✐♦♥♥❡♠❡♥t
❊①❡r❝✐❝❡ ✽ ❋♦r♠✉❧❡ ❞❡ ❇❛②❡s
✶✳ ❙♦✐t (Ω, P) ✉♥ ❡s♣❛❝❡ ❞❡ ♣r♦❜❛❜✐❧✐té ❞✐s❝r❡t✱ ❡t (H1 , . . . , Hn ) ✉♥❡ ♣❛rt✐t✐♦♥ ❞❡ Ω ❡♥ n
é✈é♥❡♠❡♥ts ❞❡ ♣r♦❜❛❜✐❧✐té ♥♦♥ ♥✉❧❧❡✳ ▼♦♥tr❡r q✉❡✱ ♣♦✉r i = 1, . . . , n✱ s✐ A ❡st ✉♥ é✈é♥❡♠❡♥t
❞❡ ♣r♦❜❛❜✐❧✐té ♥♦♥ ♥✉❧❧❡ ✿
P(A|Hi )P(Hi )
P(Hi |A) = Pn .
j=1 P(A|Hj )P(Hj )

✷✳ ❯♥❡ ♠❛❧❛❞✐❡ ▼ ❛✛❡❝t❡ ✉♥❡ ♣❡rs♦♥♥❡ s✉r ✶✵✵✵ ❞❛♥s ✉♥❡ ♣♦♣✉❧❛t✐♦♥ ❞♦♥♥é❡✳ ❖♥ ❞✐s♣♦s❡
❞✬✉♥ t❡st s❛♥❣✉✐♥ q✉✐ ❞ét❡❝t❡ ▼ ❛✈❡❝ ✉♥❡ ✜❛❜✐❧✐té ❞❡ ✾✾✪ ❧♦rsq✉❡ ❝❡tt❡ ♠❛❧❛❞✐❡ ❡st ❡✛❡❝✲
t✐✈❡♠❡♥t ♣rés❡♥t❡✳ ❈❡♣❡♥❞❛♥t✱ ♦♥ ♦❜t✐❡♥t ❛✉ss✐ ✉♥ rés✉❧t❛t ❢❛✉ss❡♠❡♥t ♣♦s✐t✐❢ ♣♦✉r ✵✱✷✪
❞❡s ♣❡rs♦♥♥❡s s❛✐♥❡s t❡sté❡s✳ ◗✉❡❧❧❡ ❡st ❧❛ ♣r♦❜❛❜✐❧✐té q✉✬✉♥❡ ♣❡rs♦♥♥❡ s♦✐t ré❡❧❧❡♠❡♥t
♠❛❧❛❞❡ ❧♦rsq✉❡ s♦♥ t❡st ❡st ♣♦s✐t✐❢ ❄
❊①❡r❝✐❝❡ ✾
❙♦✐❡♥t X1 ❡t X2 ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s✱ ✐♥❞é♣❡♥❞❛♥t❡s✱ ❞❡ ❧♦✐ ❞❡ P♦✐ss♦♥ ❞❡ ♣❛r❛♠ètr❡s
λ1 ❡t λ2 r❡s♣❡❝t✐✈❡♠❡♥t✳
✶✳ ❈❛❧❝✉❧❡r ❧❛ ❧♦✐ ❞❡ X1 + X2 ✳
✷✳ ❈❛❧❝✉❧❡r ❧❛ ❧♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❞❡ X1 s❛❝❤❛♥t X1 + X2 ✳ ■❞❡♥t✐✜❡r ✉♥❡ ❧♦✐ ❝♦♥♥✉❡✳
 ❈♦rr❡❝t✐♦♥ ❞❡ ❧❛ ❢❡✉✐❧❧❡ ❞❡ ❚❉ ✸

❊①❡r❝✐❝❡ ✶ ❋♦♥❝t✐♦♥s ✐♥❞✐❝❛tr✐❝❡s

✶✳ ❖♥ ❛ ❢❛❝✐❧❡♠❡♥t 1Ac = 1 − 1A ❡t 1A∩B = 1A 1B ✳
✷✳ ❉✬❛♣rès ❧❡s ❞é✜♥✐t✐♦♥s✱

X X
E[1A ] = 1A (ω)P({ω}) = P({ω}) = P(A).
ω∈Ω ω∈A

✸✳ ❖♥ r❡♠❛rq✉❡ q✉❡ ✿ ♣♦✉r t♦✉t ω ∈ Ω✱

X(ω) ∞
X X
X(ω) = 1= 1{X≥k} (ω),
k=1 k=1

❞✬♦ù ♣❛r t❤é♦rè♠❡ ❞❡ ❝♦♥✈❡r❣❡♥❝❡ ❞♦♠✐♥é❡ ✭❧❡s s♦♠♠❡s ♣❛rt✐❡❧❧❡s s♦♥t ✐♥❢ér✐❡✉r❡s à X ✱
✐♥té❣r❛❜❧❡✮ ✭♦✉ ❝♦♥✈❡r❣❡♥❝❡ ♠♦♥♦t♦♥❡✮ ✿
∞
X ∞
X
E[X] = E[1{X≥k} ] = P(X ≥ k).
k=1 k=1

■♥❞é♣❡♥❞❛♥❝❡
❊①❡r❝✐❝❡ ✷ ■♥❞é♣❡♥❞❛♥❝❡ ❡♥tr❡ ✸ é✈é♥❡♠❡♥ts
▲✬❡s♣❛❝❡ ❞❡s é♣r❡✉✈❡s ❡st Ω = {1, . . . , 6}2 ✱ ♦ù ❧❛ ♣r❡♠✐èr❡ ❝♦♠♣♦s❛♥t❡ r❡♣rés❡♥t❡ ❧❛ ✈❛❧❡✉r
❞✉ ♣r❡♠✐❡r ❞é✱ ❡t ❧❛ s❡❝♦♥❞❡ ❝❡❧❧❡ ❞✉ s❡❝♦♥❞ ❞é✳ ▲❡s ❝♦✉♣❧❡s ❞❡ rés✉❧t❛ts s♦♥t éq✉✐♣r♦❜❛❜❧❡s✱
❞♦♥❝ ♦♥ ♠✉♥✐t Ω ❞❡ ❧❛ ❧♦✐ ✉♥✐❢♦r♠❡ P✳
✶✳ ❖♥ ❛ Card(A) = 3 · 6 = 18 = Card(B) ❡t Card(C) = 6 · 3 = 18 ❞♦♥❝ P(A) = P(B) =
P(C) = 1/2✳ ❉✬❛✉tr❡ ♣❛rt✱ ♦♥ ✈♦✐t q✉❡ A ∩ C = {❞❡✉① ❧❛♥❝❡rs ♣❛✐rs} = B ∩ C = A ∩ B ❡t
P(A ∩ B) = (3 · 3)/36 = 1/4✳
✷✳ ❖♥ ❛ ✿ A ∩ B ∩ C = A ∩ B ❞♦♥❝ P(A ∩ B ∩ C) = 1/4 6= 1/8 = P(A)P(B)P(C)✳

❊①❡r❝✐❝❡ ✸ ■♥❞é♣❡♥❞❛♥❝❡ ❡t ♣❛ss❛❣❡ ❛✉ ❝♦♠♣❧é♠❡♥t❛✐r❡

✶✳ P♦✉r t♦✉s 2 ≤ i1 < . . . < ik ≤ n✱ ♦♥ ❛ ✿

P(Ac1 ∩ Ai1 ∩ · · · ∩ Aik ) = P(Ai1 ∩ · · · ∩ Aik ) − P(A1 ∩ Ai1 ∩ · · · ∩ Aik ) = (1 − P(A1 ))P(Ai2 ) · · · P(Ain )
= P(Ac1 )P(Ai2 ) · · · P(Aik )

❡t P(Ai1 ∩ · · · ∩ Aik ) = P(Ai1 ) · · · P(Aik )✳

✷✳ ❖♥ r❛✐s♦♥♥❡ ♣❛r ré❝✉rr❡♥❝❡ ✿ ♦♥ s❛✐t q✉❡ ❧❡s é✈é♥❡♠❡♥ts B1 , A2 , . . . , An s♦♥t ✐♥❞é♣❡♥✲
❞❛♥ts ❣râ❝❡ à ❧❛ q✉❡st✐♦♥ ✶ ✭♦✉ tr✐✈✐❛❧❡♠❡♥t s✐ B1 = A1 ✮✱ ❞♦♥❝ ♦♥ ♣❡✉t ❧❡✉r ❛♣♣❧✐q✉❡r ❧❛
q✉❡st✐♦♥ ✶ ♣♦✉r ✈♦✐r q✉❡ B1 , B2 , A3 , . . . , An s♦♥t ✐♥❞é♣❡♥❞❛♥ts✱ ❡t❝✳
✸✳ ❙✉♣♣♦s♦♥s ❧❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s 1A1 , . . . , 1An ✐♥❞é♣❡♥❞❛♥t❡s✳ ❆❧♦rs✱ ♣♦✉r t♦✉s 1 ≤
i1 < · · · < ik ≤ n✱

P(Ai1 ∩ · · · Aik ) = E[1Ai1 ∩···∩Aik ] = E[1Ai1 ] · · · E[1Aik ]

= P(Ai1 ) · · · P(Aik )
❞✬♦ù ❧✬✐♥❞é♣❡♥❞❛♥❝❡ ❞❡s é✈é♥❡♠❡♥ts✳ ❙✉♣♣♦s♦♥s ré❝✐♣r♦q✉❡♠❡♥t ❧❡s é✈é♥❡♠❡♥ts A1 , . . . , An
✐♥❞é♣❡♥❞❛♥ts✳ P♦✉r t♦✉t é✈é♥❡♠❡♥t A✱ ❧♦rsq✉❡ x ♣❛r❝♦✉rt R✱ ❧✬é✈é♥❡♠❡♥t {1A = x} ❡st
♦✉ ❜✐❡♥ é❣❛❧ à A ♦✉ à Ac ✳ ■❧ ❛♣♣❛r❛ît ❞♦♥❝ q✉❡ ❧✬é✈é♥❡♠❡♥t {Ai1 = c1 , . . . , Aik = ck } ❡st
❞❡ ❧❛ ❢♦r♠❡ ❞❡ ❝❡✉① ❝♦♥s✐❞érés ❞❛♥s ❧✬❡①❡r❝✐❝❡ ✸✱ ❞✬♦ù ✿

P(1Ai1 = c1 , . . . , 1Aik = ck ) = P(Bi1 ) · · · P(Bik ) = P(1Ai1 = c1 ) · · · P(1Aik = ck ),

♦ù Bi = Ai s✐ ci = 1✱ Bi = Aci s✐ ci = 0✳ ❉✬♦ù ❧✬✐♥❞é♣❡♥❞❛♥❝❡ ❞❡ 1A1 , . . . , 1An ✳

❊①❡r❝✐❝❡ ✹
✶✳ ❖♥ ❛✱ ♣♦✉r a, b ∈ R ✭♦✉ ∈ f (X(Ω)) ❡t g(Y (Ω)) ✿

P(f (X) = a, g(Y ) = b) = P(X ∈ f −1 (a), Y ∈ g −1 (b)) = P(X ∈ f −1 (a))P(Y ∈ g −1 (b)) = P(f (X) = a)P(g

✷✳ ❖♥ ❛ ✿ ✭♦♥ ♣❡✉t ❝❤❛♥❣❡r ❧✬é♥♦♥❝é ❡t ♣r❡♥❞r❡ X ❡t Y à ✈❛❧❡✉rs ❞❛♥s Z ♣♦✉r ❝♦❧❧❡r ❛✉

❝♦✉rs✮
X X
E[|XY |] = |kl|P(X = k, Y = l) = |kl|P(X = k)P(Y = l)
k∈X(Ω),l∈Y (Ω) k∈X(Ω),l∈Y (Ω)
X X
= |k|P(X = k) |l|P(Y = l) = E[|X|]E[|Y |] < ∞
k∈X(Ω) l∈Y (Ω)

❞♦♥❝ XY ❡st ✐♥té❣r❛❜❧❡✱ ❡t ❡♥ r❡❢❛✐s❛♥t ❧❡ ❝❛❧❝✉❧ s❛♥s ❧❡s ✈❛❧❡✉rs ❛❜s♦❧✉❡s ✭❥✉st✐✜é ♣❛r
❋✉❜✐♥✐✮✱ ♦♥ tr♦✉✈❡ E[XY ] = E[X]E[Y ]✳
✸✳ ❖♥ ❛ ✿

Var(X+Y ) = E[(X+Y )2 ]−E[X+Y ]2 = E[X 2 +Y 2 +XY ]−(E[X]+E[Y ])2 = E[X 2 ]−E[X]2 +E[Y 2 ]−E[Y ]2

❡♥ ❞é✈❡❧♦♣♣❛♥t ❡t ❡♥ ✉t✐❧✐s❛♥t ❧❛ q✉❡st✐♦♥ ♣ré❝é❞❡♥t❡✳

✹✳ P❛s ❞❡ ✈r❛✐❡ ❞✐✣❝✉❧té ♣♦✉r ❣é♥ér❛❧✐s❡r✱ s✐♥♦♥ ❞❛♥s ❧✬é❝r✐t✉r❡✳ ❖♥ r❡♠❛rq✉❡ q✉❡ ❧❛
q✉❡st✐♦♥ ❝✐✲❞❡ss✉s r❡q✉✐❡rt ❥✉st❡ ❧✬✐♥❞é♣❡♥❞❛♥❝❡ ❞❡s ✈❛r✐❛❜❧❡s ✷ à ✷✳

❊①❡r❝✐❝❡ ✺ Pr❡♥❞r❡ ✉♥ ❝♦♥tr❡✲❡①❡♠♣❧❡✳

▲♦✐s ✉s✉❡❧❧❡s ❡t ✐♥❞é♣❡♥❞❛♥❝❡

❊①❡r❝✐❝❡ ✻ ■♥t❡r♣rét❛t✐♦♥ ❞❡s ❧♦✐s ✉s✉❡❧❧❡s
❖♥ ❝♦♥s✐❞èr❡ ✉♥❡ s✉✐t❡ ❞❡ ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s X1 , X2 , . . . ✐♥❞é♣❡♥❞❛♥t❡s✱ t❡❧❧❡ q✉❡ P(Xi =
1) = p ✭♦♥ r❡♣rés❡♥t❡ ❧❡ s✉❝❝ès ♣❛r ✶✮ ❡t P(Xi = 0) = 1 − p ✭❡t ❧✬é❝❤❡❝ ♣❛r ✵✮✳
✶✳ ❖♥ ♥♦t❡ S ❧❡ ♥♦♠❜r❡ ❞❡ s✉❝❝ès ♣❛r♠✐ ❧❡s n ♣r❡♠✐èr❡s ❡①♣ér✐❡♥❝❡s✳ P♦✉r t♦✉t k ∈
{1, . . . , n} ✿
X
P(S = k) = P(∀i ∈ S, Xi = 1, ∀i ∈
/ S, Xi = 0)
S⊂{1,...,n},Card(S)=k
 
X
k n−k n k
= p (1 − p) = p (1 − p)n−k .
k
S⊂{1,...,n},Card(S)=k
✷✳ ▲✬✐♥st❛♥t N ❞❡ ♣r❡♠✐❡r s✉❝❝ès ❡st t❡❧ q✉✬✐❧ ❡st ♣ré❝é❞é ❞❡ N −1 é❝❤❡❝s✱ ❞✬♦ù✱ ♣♦✉r

k≥1 ✿

P(N = k) = P(X1 = 0, . . . , Xk−1 = 0, Xk = 1) = (1 − p)k p.

❆✉tr❡♠❡♥t ❞✐t✱ N s✉✐t ❧❛ ❧♦✐ ❣é♦♠étr✐q✉❡ ❞❡ ♣❛r❛♠ètr❡ p✳

❊①❡r❝✐❝❡ ✼ ❙♦✐t k ✉♥ ❡♥t✐❡r ♥♦♥ ♥✉❧✳

k k
✶✳ P(X ≤ k) = 1 − P(X > k) = (1 − pX ) ❞♦♥❝ FX (x) = 1 − (1 − pX ) s✐ x > 0 ❡t
k ≤ x < k + 1 ❀ ✵ s✐♥♦♥✳
k
❉❡ ♠ê♠❡ FY (y) = 1 − (1 − pY ) s✐ y > 0 ❡t k ≤ y < k + 1 ❀ ✵ s✐♥♦♥✳

P(Z ≤ z) = 1 − P(Z > z) = 1 − P(X > z, Y > z) = 1 − P(X > z)P(Y > z) =
1 − (1 − pX )k (1 − pY )k s✐ z > 0 ❡t k ≤ z < k + 1 ❀ ✶ s✐♥♦♥✳
✷✳ Z ❡st ❞❡ ❧♦✐ ●é♦♠étr✐q✉❡ ❞❡ ♣❛r❛♠ètr❡ pZ = 1 − (1 − pX )(1 − pY ) = pX + pY − pX pY ✳
❈♦♥❞✐t✐♦♥♥❡♠❡♥t
❊①❡r❝✐❝❡ ✽ ❋♦r♠✉❧❡ ❞❡ ❇❛②❡s✳

✶✳ ❖♥ ❛✱ ❡♥ r❡♠❛rq✉❛♥t q✉❡ A ❡st ❧❛ ré✉♥✐♦♥ ❞✐s❥♦✐♥t❡ ❞❡s é✈é♥❡♠❡♥ts A∩H1 , . . . , A∩Hn ✿

P(Hi ∩ A) P(A ∩ Hi ) P(A|Hi )P(Hi )

P(Hi |A) = =P =P .
P(A) j P(A ∩ Hj ) j P(A|Hj )P(Hj )

✷✳ ■❝✐✱ Ω ❡st ❧❛ ♣♦♣✉❧❛t✐♦♥ ❝♦♥s✐❞éré❡✱ ❞♦♥t ✉♥❡ ♣❛rt✐❡ E ❡st ❛tt❡✐♥t❡ ♣❛r ❧❛ ♠❛❧❛❞✐❡ ▼✱

❡t ❞♦♥t ✉♥❡ ♣❛rt✐❡ T ❛ ✉♥❡ ré❛❝t✐♦♥ ♣♦s✐t✐✈❡ ❛✉ t❡st✳ P❛r ❤②♣♦t❤ès❡✱ P(E) = 1/1000✱
P(T |E) = 0, 99 ❡t P(T |E c ) = 0, 002✱ ❞✬♦ù ✭❝❛s ♣❛rt✐❝✉❧✐❡r ❞❡ ❧❛ ❢♦r♠✉❧❡ ❞❡ ❇❛②❡s ♣♦✉r ❧❛
c
♣❛rt✐t✐♦♥ ❞❡ Ω ❡♥ E ❡t E ✮ ✿

P (E)P (T |E) 1/1000 · 0, 99

P(E|T ) = c c
= ≃ 0, 33
P (E)P (T |E) + P (E )P (T |E ) 1/1000 · 0, 99 + 0, 999 · 2/1000

❆✐♥s✐✱ ❧❡ t❡st ❛ ❞❡✉① ❝❤❛♥❝❡s s✉r tr♦✐s ❞❡ ❞♦♥♥❡r ✉♥❡ ré♣♦♥s❡ ♣♦s✐t✐✈❡ à ✉♥❡ ♣❡rs♦♥♥❡

s❛✐♥❡✱ ❝❡ q✉✐ ❡st ❧♦✐♥ ❞✬êtr❡ ♥é❣❧✐❣❡❛❜❧❡ ✦

❊①❡r❝✐❝❡ ✾
✶✳ ❙✐ X ✭r❡s♣✳ Y✮ s✉✐t ❧❛ ❧♦✐ ❞❡ P♦✐ss♦♥ ❞❡ ♣❛r❛♠ètr❡ λ1 ✭r❡s♣✳ λ2 ✮✱ ❛❧♦rs ✿

GX+Y (s) = GX (s)GY (s) = eλ1 (1−s) eλ2 (1−s) = e(λ1 +λ2 )(1−s) ,

❞♦♥❝ X +Y s✉✐t ❧❛ ❧♦✐ ❞❡ P♦✐ss♦♥ ❞❡ ♣❛r❛♠ètr❡ λ1 + λ 2 ✳

Pk Pk λj1 −λ1 λj2 −λ2
▼ét❤♦❞❡ ❞✐r❡❝t❡ ✿ P(X + Y = k) = j=0 P(X = j)P(Y = k − j) = j=0 e e
j! j!
k −(λ1 +λ2 )
= (λ1 + λ2 ) /k!e ✳ ❈✬❡st ❜✐❡♥ ❧❛ ❧♦✐ ❞❡ P♦✐ss♦♥ ❞❡ ♣❛r❛♠ètr❡ ❧❛ s♦♠♠❡ ❞❡s ♣❛r❛✲

♠ètr❡s ❞❡ X ❡t Y ✳
P(X = j)P(Y = k − j) λj1 −λ1 λk−j
2 k!
✷✳ P(X = j|X+Y = k) = = e e−λ2
P(X + Y = k) j! (k − j)! (λ1 + λ2 )k e−(λ1 +λ2 )
 j  k−j
λ1 λ1
= Ckj
λ1 + λ 2 λ1 + λ 2
λ1
P❛r ❝♦♥séq✉❡♥t✱ ❧❛ ❧♦✐ ❞❡ X s❛❝❤❛♥t X +Y = k s✉✐t ❧❛ ❜✐♥♦♠✐❛❧❡ ❞❡ ♣❛r❛♠ètr❡ (k, )✳
λ1 + λ2
❯♥✐✈❡rs✐té ❈❧❛✉❞❡ ❇❡r♥❛r❞ ▲②♦♥ ✶ Pr♦❜❛❜✐❧✐tés
❆♥♥é❡ ✉♥✐✈❡rs✐t❛✐r❡ ✷✵✵✽✲✷✵✵✾

❋❡✉✐❧❧❡ ❞❡ ❚❉ ✹

❙♦♠♠❡ ❞❡ ✈✳❛✳ ✐♥❞é♣❡♥❞❛♥t❡s ❡t ❢♦♥❝t✐♦♥ ❣é♥ér❛tr✐❝❡

❊①❡r❝✐❝❡ ✶ ❙♦✐t (Ω, P) ✉♥ ❡s♣❛❝❡ ❞❡ ♣r♦❜❛❜✐❧✐té ❞✐s❝r❡t✱ ❡t X, Y ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s

✐♥❞é♣❡♥❞❛♥t❡s ❞é✜♥✐❡s s✉r Ω✱ à ✈❛❧❡✉rs ❞❛♥s N✳
✶✳ ❊①♣r✐♠❡r ❧❛ ❧♦✐ ❞❡ X + Y ❡♥ ❢♦♥❝t✐♦♥ ❞❡ ❝❡❧❧❡s ❞❡ X ❡t Y ✳
✷✳ ▼♦♥tr❡r q✉❡✱ ♣♦✉r t♦✉t s ∈ [−1, 1]✱ GX+Y (s) = GX (s)GY (s)✳ ✭♦♥ ♣♦✉rr❛ ❞♦♥♥❡r ❞❡✉①
♣r❡✉✈❡s✮
✸✳ ●é♥ér❛❧✐s❡r ❝❡ q✉✐ ♣ré❝è❞❡ ❛✉ ❝❛s ❞❡ n ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s X1 , . . . , Xn ✳
✹✳ ◗✉❡❧❧❡ ❡st ❧❛ ❧♦✐ ❞❡ ❧❛ s♦♠♠❡ ❞❡ n ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ ❞❡ ❇❡r♥♦✉❧❧✐
❞❡ ♣❛r❛♠ètr❡ p ❄ ❘❡tr♦✉✈❡r ❛❧♦rs ❧✬❡s♣ér❛♥❝❡ ❡t ❧❛ ✈❛r✐❛♥❝❡ ❞❡ ❝❡tt❡ ❧♦✐✳
✺✳ ◗✉❡❧❧❡ ❡st ❧❛ ❧♦✐ ❞❡ ❧❛ s♦♠♠❡ ❞❡ ✿
✕ ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ ❜✐♥♦♠✐❛❧❡ ❞❡ ♣❛r❛♠ètr❡s (n, p) ❡t
(m, p) ❄
✕ ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ ❞❡ P♦✐ss♦♥ ❞❡ ♣❛r❛♠ètr❡ λ ❡t µ ❄

❊①❡r❝✐❝❡ ✷ ❉és tr✉q✉és

✶✳ ◗✉❡❧❧❡ ❡st ❧❛ ❢♦♥❝t✐♦♥ ❣é♥ér❛tr✐❝❡ ❞❡ ❧❛ ❧♦✐ ✉♥✐❢♦r♠❡ s✉r {2, . . . , 12} ❄
✷✳ ❙♦✐t X1 ❡t X2 ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s à ✈❛❧❡✉rs ❞❛♥s {1, . . . , 6}✳ ❊♥
ét✉❞✐❛♥t ❧❡s r❛❝✐♥❡s ❞✉ ♣♦❧②♥ô♠❡ GX1 GX2 ✱ ♠♦♥tr❡r q✉❡ ❧❛ ❧♦✐ ❞❡ X1 + X2 ♥❡ ♣❡✉t ♣❛s êtr❡
❧❛ ❧♦✐ ✉♥✐❢♦r♠❡ s✉r {2, . . . , 12}✳
■♥❞✐❝❛t✐♦♥ ✿ ♦♥ r❡♠❛rq✉❡r❛ q✉❡ ♦ù ❡st ✉♥ ♣♦❧②♥ô♠❡ à ❝♦❡✣❝✐❡♥ts ré❡❧s
GXi (s) = sϕi (s) ϕi
❞❡ ❞❡❣ré ✐♠♣❛✐r✱ q✉✐ ❛❞♠❡t ❞♦♥❝ ✉♥❡ r❛❝✐♥❡ ré❡❧❧❡ ✭♣♦✉rq✉♦✐❄✮✳
✸✳ P❡✉t✲♦♥ ♣✐♣❡r ❞❡✉① ❞és ✐♥❞é♣❡♥❞❛♥ts ❞❡ ❢❛ç♦♥ à r❡♥❞r❡ t♦✉t❡s ❧❡s s♦♠♠❡s ❡♥tr❡ ✷ ❡t
✶✷ éq✉✐♣r♦❜❛❜❧❡s ❄

▲♦✐s ❝♦♥t✐♥✉❡s ✉s✉❡❧❧❡s

❊①❡r❝✐❝❡ ✸ ❈❛❧❝✉❧❡r ❧✬❡s♣ér❛♥❝❡ ❡t ❧❛ ✈❛r✐❛♥❝❡ ❞❡ X ❧♦rsq✉❡ X ❡st ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡

✶✳ ❞❡ ❧♦✐ ✉♥✐❢♦r♠❡ U([a, b]) s✉r ❧✬✐♥t❡r✈❛❧❧❡ [a, b] ⊂ R ❀
✷✳ ❞❡ ❧♦✐ ♥♦r♠❛❧❡ N (m, σ) ❞❡ ♣❛r❛♠ètr❡ m ∈ R, σ > 0 ❀
✸✳ ❞❡ ❧♦✐ ❡①♣♦♥❡♥t✐❡❧❧❡ E(λ) ❞❡ ♣❛r❛♠ètr❡ λ > 0✳

❊①❡r❝✐❝❡ ✹ ❙♦✐t X ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ❞❡ ❞❡♥s✐té f (x) = a

π(a2 +x2 )
❛✈❡❝ a > 0✳ ▲❛ ❧♦✐ ❞❡
X ❡st ❛♣♣❡❧é❡ ❧♦✐ ❞❡ ❈❛✉❝❤② ❞❡ ♣❛r❛♠ètr❡ a✳
❱ér✐✜❡r q✉❡ f ❡st ❜✐❡♥ ✉♥❡ ❞❡♥s✐té✳ P♦✉r q✉❡❧❧❡s ✈❛❧❡✉rs ❞❡ α ∈ R ❧❛ ✈❛r✐❛❜❧❡ |X|α ❡st✲❡❧❧❡
✐♥té❣r❛❜❧❡ ❄

❊①❡r❝✐❝❡ ✺ ❯♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ♣♦s✐t✐✈❡ X ❡st s❛♥s ♠é♠♦✐r❡ s✐

P(X > t + s|X > t) = P(X > s), ∀t, s ≥ 0.
▼♦♥tr❡r q✉✬✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ♣♦s✐t✐✈❡ ❞♦♥t ❧❛ ❧♦✐ ❛❞♠❡t ✉♥❡ ❞❡♥s✐té ❡st s❛♥s ♠é♠♦✐r❡
s✐✱ ❡t s❡✉❧❡♠❡♥t s✐ ❡❧❧❡ s✉✐t ✉♥❡ ❧♦✐ ❡①♣♦♥❡♥t✐❡❧❧❡✳

❊①❡r❝✐❝❡ ✻ ❙♦✐t X ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ré❡❧❧❡✳

✶✳ ❙✉♣♣♦s♦♥s q✉❡ X ❛ ♣♦✉r ❞❡♥s✐té f ✳ ◗✉❡❧ ❧✐❡♥ ② ❛✲t✲✐❧ ❡♥tr❡ f ❡t ❧❛ ❢♦♥❝t✐♦♥ ❞❡ ré♣❛rt✐t✐♦♥
FX ❄
✷✳ ❘é❝✐♣r♦q✉❡♠❡♥t✱ ❞♦♥♥❡r ✉♥❡ ❝♦♥❞✐t✐♦♥ s✉r FX ♣♦✉r q✉❡ ❧❛ ❧♦✐ ❞❡ X ❛❞♠❡tt❡ ✉♥❡
❞❡♥s✐té✳
✸✳ ❙♦✐t r ✉♥ ré❡❧ > 0✳ ❖♥ s✉♣♣♦s❡ X à ✈❛❧❡✉rs ♣♦s✐t✐✈❡s✳ ▼♦♥tr❡r q✉❡

Z ∞
r
E[X ] = rxr−1 P(X > x)dx,
0

♦ù ❧❡s ❞❡✉① ♠❡♠❜r❡s s♦♥t ✜♥✐s ♦✉ ✐♥✜♥✐s✳ ❖♥ ♣♦✉rr❛ ❞♦♥♥❡r ✉♥❡ ♣r❡✉✈❡ ❞❛♥s ❧❡ ❝❛s à
❞❡♥s✐té ✭à ❧✬❛✐❞❡ ❞❡ ❝❡ q✉✐ ♣ré❝è❞❡✮✱ ❡t ✉♥❡ ♣r❡✉✈❡ ❞❛♥s ❧❡ ❝❛s ❣é♥ér❛❧ ✭❞❛♥s ❧✬❡s♣r✐t ❞❡ ❧❛
q✉❡st✐♦♥ ✶✳✸ ❞❡ ❧❛ ❢❡✉✐❧❧❡ ✸✮✳

❊①❡r❝✐❝❡ ✼ ❙♦✐t X1 , . . . , Xn ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ E(λ) ❞❡ ♣❛r❛✲

♠ètr❡ λ > 0✳
✶✳ ❈❛❧❝✉❧❡r ❧❛ ❧♦✐ ❞❡ maxi=1,...,n Xi ✳ ✭■♥❞✐❝❛t✐♦♥ ✿ ❝❛❧❝✉❧❡r ❧❛ ❢♦♥❝t✐♦♥ ❞❡ ré♣❛rt✐t✐♦♥✳✮
✷✳ ❈❛❧❝✉❧❡r ❧❛ ❧♦✐ ❞❡ mini=1,...,n Xi ✳
 ❈♦rr❡❝t✐♦♥ ❞❡ ❧❛ ❢❡✉✐❧❧❡ ❞❡ ❚❉ ✹

❙♦♠♠❡ ❞❡ ✈✳❛✳ ✐♥❞é♣❡♥❞❛♥t❡s ❡t ❢♦♥❝t✐♦♥ ❣é♥ér❛tr✐❝❡

❊①❡r❝✐❝❡ ✶ ❙♦♠♠❡ ❞❡ ✈✳❛✳ ✐♥❞é♣❡♥❞❛♥t❡s ❡t ❢♦♥❝t✐♦♥s ❣é♥ér❛tr✐❝❡s

✶✳ ▲✬é✈é♥❡♠❡♥t {X + Y = n} ❡st ❧❛ ré✉♥✐♦♥ ❞✐s❥♦✐♥t❡ ❞❡s {X = k, Y = l} ♣♦✉r k, l ∈ N

t❡❧s q✉❡ k + l = n✱ ❞✬♦ù ✿
X X
P(X + Y = n) = P(X = k, Y = l) = P(X = k)P(Y = l),
k,l∈N,k+l=n k+l=n

s♦✐t ✿ µX+Y ({n}) = nk=1 µX ({k})µY ({n − k}).

P
✷✳ ❖♥ r❡❝♦♥♥❛ît ❞❛♥s ❧❛ ❢♦r♠✉❧❡ ♣ré❝é❞❡♥t❡ ❧✬❡①♣r❡ss✐♦♥ ❞❡s ❝♦❡✣❝✐❡♥ts ❞❡ ❧❛ sér✐❡ ❡♥✲
t✐èr❡ ♣r♦❞✉✐t ❞❡ GX ❡t GY ✳ ❈♦♠♠❡ ❝❡s ❞❡✉① sér✐❡s ❡♥t✐èr❡s ❝♦♥✈❡r❣❡♥t s✉r [−1, 1]✱ ♦♥
❛ ❞♦♥❝✱ ♣♦✉r t♦✉t s ∈ [−1, 1]✱ GX+Y (s) = GX (s)GY (s)✳ ❆✉tr❡ ♠ét❤♦❞❡ ✿ X ❡t Y s♦♥t
✐♥❞é♣❡♥❞❛♥t❡s✱ ❞♦♥❝ sX ❡t sY ❛✉ss✐✱ ❡t ❝❡❧❧❡s✲❝✐ s♦♥t ✐♥té❣r❛❜❧❡s ♣♦✉r s ∈ [−1, 1]✱ ❞✬♦ù ✿

GX+Y (s) = E[sX+Y ] = E[sX sY ] = E[sX ]E[sY ] = GX (s)GY (s).

✸✳ ▲❛ ❣é♥ér❛❧✐s❛t✐♦♥ à n ✈❛r✐❛❜❧❡s ♥❡ ♣♦s❡ ♣❛s ❞❡ ♣r♦❜❧è♠❡✳

✹✳ ❙♦✐t X1 , . . . , Xn ❞❡s ✈❛r✐❛❜❧❡s ❞❡ ❇❡r♥♦✉❧❧✐ ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ♣❛r❛♠ètr❡ p✳ ❖♥ ❛ GX1 (s) =
· · · = GXn (s) = p + (1 − p)s✱ ❞✬♦ù✱ ♣♦✉r t♦✉t s ✿

GX1 +···+Xn (s) = GX1 (s) · · · GXn (s) = (p + (1 − p)s)n = GS (s),

♦ù S ❡st ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ❞❡ ❧♦✐ ❜✐♥♦♠✐❛❧❡ ❞❡ ♣❛r❛♠ètr❡s n ❡t p✳ ❈♦♠♠❡ ❧❛ ❢♦♥❝t✐♦♥

❣é♥ér❛tr✐❝❡ ❝❛r❛❝tér✐s❡ ❧❛ ❧♦✐✱ Y = X1 + · · · + Xn s✉✐t ✉♥❡ ❧♦✐ ❜✐♥♦♠✐❛❧❡ ❞❡
P♣❛r❛♠ètr❡s n ❡t
n
p✳ ❊♥ ♣❛rt✐❝✉❧✐❡r✱ ❧✬❡s♣ér❛♥❝❡ ❞❡ ❝❡tt❡ ❧♦✐ ❡st ✿ E[Y ] = E[X1 +· · ·+Xn ] = Pi=1 E[Xi ] = np,
❡t s❛ ✈❛r✐❛♥❝❡ ❡st ✭✈✉ ❧✬✐♥❞é♣❡♥❞❛♥❝❡✮ ✿ Var(Y ) = Var(X1 + · · · + Xn ) = ni=1 Var(Xi ) =
np(1 − p). ❘❡♠❛rq✉♦♥s q✉❡ ❧✬❡①❡r❝✐❝❡ ♣ré❝é❞❡♥t ❞♦♥♥❛✐t ❞é❥à ❧❛ ❧♦✐ ❧♦✐ ❜✐♥♦♠✐❛❧❡ ❝♦♠♠❡
s♦♠♠❡ ❞❡ ❇❡r♥♦✉❧❧✐s ✐♥❞é♣❡♥❞❛♥t❡s✳
✺✳
✕ ❙✐ X ✭r❡s♣✳ Y ✮ s✉✐t ❧❛ ❧♦✐ ❜✐♥♦♠✐❛❧❡ ❞❡ ♣❛r❛♠ètr❡s n ❡t p ✭r❡s♣✳ m ❡t p✮✱ ❛❧♦rs ✿

GX+Y (s) = GX (s)GY (s) = (p + (1 − p)s)n (p + (1 − p)s)m = (p + (1 − p)s)m+n ,

❞♦♥❝ X + Y s✉✐t ❧❛ ❧♦✐ ❜✐♥♦♠✐❛❧❡ ❞❡ ♣❛r❛♠ètr❡s m + n ❡t p ✭❝❡ q✉✐ s❡ ❝♦♠♣r❡♥❞ ❜✐❡♥

♣❛r ❧✬✐♥t❡r♣rét❛t✐♦♥ ♣ré❝é❞❡♥t❡✮✳
✕ ❙✐ X ✭r❡s♣✳ Y ✮ s✉✐t ❧❛ ❧♦✐ ❞❡ P♦✐ss♦♥ ❞❡ ♣❛r❛♠ètr❡ λ ✭r❡s♣✳ µ✮✱ ❛❧♦rs ✿

GX+Y (s) = GX (s)GY (s) = eλ(1−s) eµ(1−s) = e(λ+µ)(1−s) ,

❞♦♥❝ X + Y s✉✐t ❧❛ ❧♦✐ ❞❡ P♦✐ss♦♥ ❞❡ ♣❛r❛♠ètr❡ λ + µ✳

❊①❡r❝✐❝❡ ✷ ❉és tr✉q✉és
✶✳ ❙♦✐t X ✉♥❡ ✈❛r✐❛❜❧❡ ❞❡ ❧♦✐ ✉♥✐❢♦r♠❡ s✉r {2, . . . , 12}✳ P♦✉r s ∈ [−1, 1] ✭♦✉ R✮✱

12
X 1 i s 1 − s11
GX (s) = s = .
i=2
11 11 1 − s

✷✳ ❙✉♣♣♦s♦♥s q✉❡ ❧✬♦♥ ❛✐t GX1 GX2 = GX ✭❞♦♥♥é ❝✐✲❞❡ss✉s✮✳ ❘❡♠❛rq✉♦♥s q✉❡✱ ♣♦✉r i =
1, 2✱
6
X
GXi (s) = P(Xi = j)sj = sϕi (s),
j=1

♦ù ϕi ❡st ✉♥ ♣♦❧②♥ô♠❡✱ à ❝♦❡✣❝✐❡♥ts ré❡❧s✱ ❡t q✉❡ ❧❛ ❝♦♥❞✐t✐♦♥ P(X1 + X2 = 12) = 1/11

✐♠♣❧✐q✉❡ 1/11 = P(X1 = 6, X2 = 6) = P(X1 = 6)P(X2 = 6) ❡t ❞♦♥❝ q✉❡ ϕi ❡st ❞❡ ❞❡❣ré
✺✱ ✐♠♣❛✐r✳ P❛r ✉♥ ❛r❣✉♠❡♥t ❞❡ ✈❛❧❡✉rs ✐♥t❡r♠é❞✐❛✐r❡s✱ ❧❡s ♣♦❧②♥ô♠❡s ϕ1 ❡t ϕ2 ♦♥t ❞♦♥❝
❝❤❛❝✉♥ ❛✉ ♠♦✐♥s ✉♥❡ r❛❝✐♥❡ ré❡❧❧❡✳ ❖r ✿
1 − s11
11sϕ1 (s)ϕ2 (s) = ,
1−s
❡t ❧❡ ♣♦❧②♥ô♠❡ ❞✉ ♠❡♠❜r❡ ❞❡ ❞r♦✐t❡ ❛ ♣♦✉r r❛❝✐♥❡s ❧❡s r❛❝✐♥❡s ♦♥③✐è♠❡s ❞❡ ❧✬✉♥✐té ❛✉tr❡s
q✉❡ ✶✱ ❞♦♥t ❛✉❝✉♥❡ ♥✬❡st ré❡❧❧❡ ✿ ❝♦♥tr❛❞✐❝t✐♦♥✳
✸✳ ❚❛♥t q✉❡ ❧❡s ❞és s♦♥t ✐♥❞é♣❡♥❞❛♥ts✱ ♦♥ ♥❡ ♣❡✉t ❞♦♥❝ ❧❡s ♣✐♣❡r ✭✐✳❡✳ ♠♦❞✐✜❡r ❧❡✉r ❧♦✐✮
❞❡ ❢❛ç♦♥ à r❡♥❞r❡ t♦✉t❡s ❧❡s s♦♠♠❡s ❡♥tr❡ ✷ ❡t ✶✷ éq✉✐♣r♦❜❛❜❧❡s✳

▲♦✐s ❝♦♥t✐♥✉❡s ✉s✉❡❧❧❡s

1[a,b] (x) x−a
❊①❡r❝✐❝❡ ✸ ❯◆■❋❖❘▼❊ ❧❛ ❞❡♥s✐té ❡st ❡t ❧❛ ❢✳r✳ ❡st F (x) = 1[a,b[ (x) +
b−a b−a
1[b,∞[ (x).
max(|a|, b)r
P♦✉r t♦✉t r > 0✱ ❧❛ ❢♦♥❝t✐♦♥ |x|r fX (x) ❡st ❜♦r♥é❡ ♣❛r ✐♥té❣r❛❜❧❡ s✉r [a, b] ❞♦♥❝
b−a
a+b (b − a)2
X ❛❞♠❡t ❞❡s ♠♦♠❡♥ts ❞❡ t♦✉t ♦r❞r❡✳ ❊♥ ♣❛rt✐❝✉❧✐❡r E(X) = ❡t V ar(X) = ✳
2 12
❖♥ ♣❡✉t é❣❛❧❡♠❡♥t ♥♦t❡r q✉❡ s✐ X ∼ U (0, 1) ❛❧♦rs Y = (b − a)X + a ∼ U (a, b)✳ ❖♥ ❡♥
❞é❞✉✐t ❢❛❝✐❧❡♠❡♥t ❧❡s ♠♦♠❡♥t ❞❡ Y à ♣❛rt✐r ❞❡ ❝❡✉① ❞❡ X ✳
exp(−(x − m)2 /(2σ 2 )
◆❖❘▼❆▲❊ ▲❛ ❞❡♥s✐té ❡st fm,σ (x) = √ ✱ ❧❛ ❢♦♥❝t✐♦♥ ❞❡ ré♣❛rt✐t✐♦♥
2πσ
♥✬❛ ♣❛s ❞✬❡①♣r❡ss✐♦♥ ❡①♣❧✐❝✐t❡✱ s❡✉❧❡♠❡♥t ❧❛ ❢♦r♠❡ ✐♥té❣r❛❧❡ −∞ fm,σ (y)dy ✳
Rx
2 R∞
❈✬❡st ❜✐❡♥ ✉♥❡ ❧♦✐ ❞❡ ♣r♦❜❛ ✿ I = −∞ fm,σ (y)dy = −∞ f0,1 (y)dy = √ 0 e−x dx ♣❛r
R∞ R∞ 2

π
x−m √
❝❤❛♥❣❡♠❡♥t ❞❡ ✈❛r✐❛❜❧❡ x− > ✱ ❧❛ ♣❛r✐té ♣✉✐s ❧❡ ❝❤❛♥❣❡♠❡♥t ❞❡ ✈❛r✐❛❜❧❡ x− > 2x✳
σ
❉✬❛✉tr❡
R ♣❛rt ✿
2 RR R  R 
−x2 −x2 −y 2
RR −r 2 ∞ −r 2 π/2
R+
e dx = R+ ×R+
e dxdy = R+ ×[0,π/2]
e rdrdθ = 0
e rdr 0
dθ =
2 p
1/2×π/2 = π/4✳ ❉♦♥❝ I = √ π/4 = 1✳ ❈❡tt❡ ❧♦✐ ❛❞♠❡t ❞❡s ♠♦♠❡♥ts ❞❡ t♦✉s ❧❡s ♦r❞r❡s✳
π
❊♥ ❡✛❡t✱ ♣♦✉r t♦✉t r > 0✱ ♦♥ ❛ |x|r fm,σ (x) ❡st ✐♥té❣r❛❜❧❡✳
 X −m
❖♥ ♣❡✉t é❣❛❧❡♠❡♥t ♠♦♥tr❡r q✉❡ s✐ X ∼ N (m, σ)∼ N (0, 1)✳ ❖♥ ❡♥
❛❧♦rs Y =
σ
2
❞é❞✉✐t ❢❛❝✐❧❡♠❡♥t q✉❡ E(X) = m + E(Y )σ ❡t V ar(X) = σ V ar(Y )✳ ■❧ s✉✣t ❞❡ ❝❛❧❝✉❧❡r ❧❡s
m
♠♦♠❡♥ts ❞❡ ❧❛ N (0, 1)✳ P❛r ♣❛r✐té✱ ♦♥ ❛ q✉❡ ♣♦✉r t♦✉t m ❡♥t✐❡r ✐♠♣❛✐r✱ E(Y ) = 0✳ ❙♦✐t
m
R m−1 R m−2
♠❛✐♥t❡♥❛♥t ✉♥ ❡♥t✐❡r ♣❛✐r✳ ❖♥ ❛ E(Y ) = y yf0,1 (y)dy = (m − 1) y f0,1 (y)dy ❡♥
m m−2
✐♥té❣r❛♥t ♣❛r ♣❛rt✐❡s✳ ❉♦♥❝ ♦♥ ♦❜t✐❡♥t ❧❛ r❡❧❛t✐♦♥ E(Y ) = (m − 1)E(Y ) ❧♦rsq✉❡ m
❡st ♣❛✐r✳
(2k)!
❈♦♠♠❡ E(Y 2 ) = 1 ♦♥ ♦❜t✐❡♥t E(Y m ) = 1 . . . 3 . . . (m − 1) = ❡♥ ♣♦s❛♥t m = 2k ✳
2k k!
−λx
❊❳P❖◆❊◆❚■❊▲▲❊ ▲❛ ❞❡♥s✐té ❡st fλ (x) = λe 1x∈R+ ✳ ❉♦♥❝ ❧❛ ❢✳r✳ ❡st Fλ (x) = 1−
−λx
e 1x∈R+ ✳ ▲❛ ❧♦✐ ❡①♣♦♥❡♥t✐❡❧❧❡ s❡rt à ♠♦❞é❧✐s❡r ❧❡s ❞✉ré❡s ❞❡ ✈✐❡✳ ❖♥ ❛ E(X) = 1/λ ❡t
V ar(X) = 1/λ2 ✳

❊①❡r❝✐❝❡α ✹
a|x|
✶✳
π(a2 +x2 )
❡st ✐♥té❣r❛❜❧❡ ss✐ α − 2 < −1✱ ✐✳❡✳ α < 1✳
R0 R∞ 1 1 2
e−|t| eiξt dt = −∞ e−t(1+iξ) dt + 0 e−t(1+iξ) dt =
R
✷✳ + = ✳
1 − iξ 1 + iξ 1 + ξ2
✸✳ ❖♥ ❞é❞✉✐t ❞❡ ❧❛ q✉❡st✐♦♥ ♣ré❝é❞❡♥t❡ ❡t ❞❡ ❧❛ tr❛♥s❢♦r♠é❡ ❞❡ ❢♦✉r✐❡r ✐♥✈❡rs❡ q✉❡
−|t| 1 R 2
e = 2
eiξt dξ ✳ ❊♥ ♣❛rt✐❝✉❧✐❡r✱ ❧❛ ❢♦♥❝t✐♦♥ ❝❛r❛❝tér✐st✐q✉❡ ❞❡ ❨ ✉♥❡ ✈❛r✐❛❜❧❡
2π 1 + ξ
❞❡ ❧♦✐ ❞❡ ❝❛✉❝❤② ❞❡ ♣❛r❛♠ètr❡ ✶ ❡st e−|t| .
❉❡ ♣❧✉s✱ ✐❧ ❢❛✉t ♥♦t❡r q✉❡ s✐ X ❡st ❞❡ ❧♦✐ ❝❛✉❝❤② ❞❡ ♣❛r❛♠ètr❡ a ❛❧♦rs Y = X/a ❡st ❞❡ ❧♦✐
❝❛✉❝❤② ❞❡ ♣❛r❛♠ètr❡ ✶✳
R ax a
Rx a
Rx 1
❊♥ ❡✛❡t✱ P(X/a ≤ x) = P(X ≤ ax) = −∞ π(a2 +x2 )
dx = −∞ π(a2 +(ay)2 )
ady = −∞ π(1+y 2 )
dy ✳
−1 X
E(eitX ) = E(eitaa ) = E(eitaY ) = e −|ta|
= e−a|t| .

❊①❡r❝✐❝❡ ✺
R∞
❙♦✐t f ❧❛ ❞❡♥s✐té ❞❡ ♥♦tr❡ ✈❛r✐❛❜❧❡ ❡t ♣♦s♦♥s F̄ (x) = 1 − F (x) = x
f (t)dt✳
′
F̄ ❡st ❞✐✛ér❡♥t✐❛❜❧❡ ❛✈❡❝ ❞ér✐✈é❡ F̄ (x) = −f (x)✳ ▲❛ ♣r♦♣r✐été ✑s❛♥s ♠é♠♦✐r❡✑ s✬é❝r✐t
F̄ (s + t) = F̄ (t)F̄ (s)✳ ❉ér✐✈❡r ❝❡tt❡ ❡q✉❛t✐♦♥ ♣❛r r❛♣♣♦rt à t ❡♥ t = 0 ❞♦♥♥❡ ❧✬❡q✉❛t✐♦♥
❞✐✛ér❡♥t✐❡❧❧❡
′
F̄ (s) = −f (0)F̄ (s)
q✉✐ ❛ ❝♦♠♠❡ s♦❧✉t✐♦♥ F̄ (s) = ce−f (0)s ✳ ❉♦♥❝ f (t) = cf (0)e−f (0)t ❡t c=1 ❡st ❞ét❡r♠✐♥é
♣❛r ❧❛ ♥♦r♠❛❧✐s❛t✐♦♥✳ ❖♥ ♦❜t✐❡♥t ❞♦♥❝ ❧❡s ❧♦✐s ❡①♣♦♥❡♥t✐❡❧❧❡s✳

❊①❡r❝✐❝❡ ✻ ❙♦✐t X R+ ❞❡ ❞❡♥s✐té f ❡t r > 0✳

✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ à ✈❛❧❡✉rs ❞❛♥s
Z ∞ Z ∞Z ∞ Z ∞Z y Z ∞
r−1 r−1 r−1
rx P(X > x)dx = rx f (y)dydx = rx f (y)dxdy = xr f (y)dy = E(X r ).
0 0 y 0 0 0

❖♥ ♣❡✉t ❥✉st✐✜❡r ❧✬é❝❤❛♥❣❡ ❞✬✐♥té❣r❛t✐♦♥ ❞❛♥s ❧❡ ❝❛s ♦ù E(X r ) ❡st ✜♥✐ ❝❛r ❝❡tt❡ ✜♥✐t✉❞❡
❡st ❧✬❤②♣♦t❤ès❡ ❞❛♥s ❧❡ ❚❤♠ ❞❡ ❚♦♥❡❧❧✐✳
r
❙✐ E(X ) ❡st ✜♥✐ ❛❧♦rs
Z b Z b
r r r
E(X ) = lim x F {dx} = −b (1 − F (b)) + rbr−1 (1 − F (x))dx
b→∞ 0 0

❡♥ ❛♣♣❧✐q✉❛♥t ❛✈❡❝ G=1−F ❧❛ ❢♦r♠✉❧❡

Z b Z b
′
u(x)G{dx} = u(b)G(b) − u(a)G(a) − u (x)G(x)dx.
a a
❖♥ s❛✐t q✉❡ lim xr F {dx} ✜♥✐❡ ❞♦♥❝ b∞ xr F {dx} ≥ br (1 − F (b)) ♣❡r♠❡t ❞❡ ❞é❞✉✐r❡ q✉❡
R R

❧❛ ❧✐♠✐t❡ ❞✉ t❡r♠❡ ❞❡ ❞r♦✐t❡ ✈❛✉t ✵✳ ■❧ s✉✐t ❧❡ rés✉❧t❛t✳ ❖♥ ❛ ❞✬❛✉tr❡ ♣❛rt 0b xr F {dx} ≤

R
R b r−1
0
rb (1 − F (x))dx ❝❛r ♣♦✉r b ♣♦s✐t✐❢
R ∞ r−1 ♦♥ ❛ br (1 − F (b)) ♣♦s✐t✐❢✳ ❉♦♥❝ ❧♦rsq✉❡ E(X r ) ❡st
✐♥✜♥✐ ❛❧♦rs ✐❧ ❡♥ ❡st ❞❡ ♠ê♠❡ ❞❡ 0 rb (1 − F (x))dx✳

❊①❡r❝✐❝❡ ✼ P♦✉r ✉♥❡ ❧♦✐ ❡①♣♦♥❡♥t✐❡❧❧❡ ❞❡ ♣❛r❛♠ètr❡ λ > 0✱ ♦♥ ❛ ✉♥❡ ❞❡♥s✐té f (x) =
λe−λx 1x>0 ❡t ✉♥❡ ❢♦♥❝t✐♦♥ ❞❡ ré♣❛rt✐t✐♦♥ F (x) = 1 − e−λx s✐ x > 0 ❡t F (x) = 0 s✐♥♦♥✳
■❧ s✉✐t P(maxi=1,...,n Xi ≤ x) = P(X ≤ x)n = (1 − e−λx )n ✳
❉✬❛✉tr❡ ♣❛rt✱ P(mini=1,...,n Xi ≤ x) = 1 − P(mini=1,...,n Xi > x) = 1 − P(X > x)n =
1 − e−nλx ✳
❯♥✐✈❡rs✐té ❈❧❛✉❞❡ ❇❡r♥❛r❞ ▲②♦♥ ✶ Pr♦❜❛❜✐❧✐tés
❆♥♥é❡ ✉♥✐✈❡rs✐t❛✐r❡ ✷✵✵✽✲✷✵✵✾

❋❡✉✐❧❧❡ ❞❡ ❚❉ ✺

❖❜t❡♥✐r ✉♥❡ ❧♦✐ à ♣❛rt✐r ❞✬✉♥❡ ❛✉tr❡

❊①❡r❝✐❝❡ ✶ ❙♦✐t X ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ à ✈❛❧❡✉rs ❞❛♥s E ⊂ R ❡t f : E → R ✉♥❡ ❢♦♥❝t✐♦♥

♠❡s✉r❛❜❧❡✳ ❙♦✐t Y ❧❛ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ❞é✜♥✐❡ ♣❛r Y = f (X)✳
✶✳ ❖♥ s✉♣♣♦s❡ q✉❡ X ❛❞♠❡t ✉♥❡ ❞❡♥s✐té ❡t q✉❡ f ❡st ✐♥❥❡❝t✐✈❡ ❡t C ♣❛r ♠♦r❝❡❛✉✳
1

❉ét❡r♠✐♥❡r ❧❛ ❞❡♥s✐té ❞❡ Y à ❧✬❛✐❞❡ ❞✬✉♥ ❝❤❛♥❣❡♠❡♥t ❞❡ ✈❛r✐❛❜❧❡✳

✷✳ ❖♥ s✉♣♣♦s❡ q✉❡ ❧❛ ❧♦✐ ❞❡ X ❡st ✉♥✐❢♦r♠❡ s✉r [0, 1] ❡t f (x) = − ln x✳ ◗✉❡❧❧❡ ❡st ❧❛ ❧♦✐
❞❡ Y ❄
✸✳ ❙✐ X ❡st ❞❡ ❧♦✐ ♥♦r♠❛❧❡ N (m, σ)✱ tr♦✉✈❡r ✉♥❡ ❢♦♥❝t✐♦♥ f t❡❧❧❡ q✉❡ Y ❡st ❞❡ ❧♦✐ ♥♦r♠❛❧❡
N (0, 1)✳
✹✳ ❙♦✐t U ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ❞❡ ❧♦✐ ✉♥✐❢♦r♠❡ s✉r [0, π]✳ ❉♦♥♥❡r ❧❛ ❧♦✐ ❞❡ sin(U )✳
✺✳ ❙♦✐t U ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ❞❡ ❧♦✐ ✉♥✐❢♦r♠❡ s✉r [−1, 1]✳ ❉♦♥♥❡r ❧❛ ❧♦✐ ❞❡
1 1+U
✭❛✮ |U | ✭❜✮ U 2 ✭❝✮ ln ✳
2 1−U
❊①❡r❝✐❝❡ ✷ ❙♦✐t X, Y ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ ♥♦r♠❛❧❡ N (0, 1)✳
✶✳ ❈❛❧❝✉❧❡r ❧❛ ❧♦✐ ❞❡ ❧❛ ✈❛r✐❛❜❧❡ ✳
X
Y
✷✳ ❊♥ ❞é❞✉✐r❡ ❧❛ ❧♦✐ ❞❡ Z s✐ Z ❡st ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ❞❡ ❧♦✐ ❞❡ ❈❛✉❝❤②✳
−1

❊①❡r❝✐❝❡ ✸ ❙♦✐t X ❡t Y ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ ♥♦r♠❛❧❡ N (m, σ 2 )✳

❈❛❧❝✉❧❡r✱ ❡♥ ❢♦♥❝t✐♦♥ ❞❡ m ❡t σ ✱ ❧✬❡s♣ér❛♥❝❡ E[(X + Y )2 ]✳

◗✉❡❧q✉❡s ✐♥é❣❛❧✐tés

❊①❡r❝✐❝❡ ✹ ❙♦✐t X ❡t Y ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ♣♦s✐t✐✈❡s ❞❡ ❝❛rré ✐♥té❣r❛❜❧❡ s✉r (Ω, A, P)✳
✶✳ ❆ q✉❡❧❧❡ ❝♦♥❞✐t✐♦♥ ❛✲t✲♦♥ E(X ) = 0 ❄ ❖♥ ❡①❝❧✉t ❝❡tt❡ ♣♦ss✐❜✐❧✐té ❞❛♥s ❧❛ s✉✐t❡✳
2

✷✳ ❊♥ ❝♦♥s✐❞ér❛♥t ❧❛ ❢♦♥❝t✐♦♥ λ 7→ E [(X + λY ) ]✱ r❡tr♦✉✈❡r ❧✬✐♥é❣❛❧✐té ❞❡ ❈❛✉❝❤②✲❙❝❤✇❛r③

2

E(XY )2 ≤ E(X 2 )E(Y 2 ).

✸✳ ▼♦♥tr❡r q✉❡ ♣♦✉r t♦✉t a ∈ [0, 1] ✿

(1 − a)E(X) ≤ E X1[aE(X),∞[ (X) .

✹✳ ❊♥ ❞é❞✉✐r❡ q✉❡ ♣♦✉r t♦✉t a ∈ [0, 1] ✿

E(X)2
P(X ≥ aE(X)) ≥ (1 − a)2 .
E(X 2 )
❊①❡r❝✐❝❡ ✺ ▲✬✐♥é❣❛❧✐té ❞❡ ❏❡♥s❡♥

❙♦✐t f : E ⊂ R → R ✉♥❡ ❢♦♥❝t✐♦♥ ❝♦♥✈❡①❡ ❞é✜♥✐❡ s✉r ✉♥ ✐♥t❡r✈❛❧❧❡ E q✉✐ ❝♦♥t✐❡♥t ❧❡s
✈❛❧❡✉rs ❞✬✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ X✳ ❖♥ s✉♣♣♦s❡ q✉❡ X ❡t f (X) s♦♥t ✐♥té❣r❛❜❧❡s✳ ▼♦♥tr❡r
q✉❡
f (E(X)) ≤ E(f (X)).
▼♦♥tr❡r q✉❡ s✐ f ❡st str✐❝t❡♠❡♥t ❝♦♥✈❡①❡✱ ❛❧♦rs ❧✬é❣❛❧✐té f (E(X)) = E(f (X)) ✐♠♣❧✐q✉❡
q✉❡ X ❡st ❝♦♥st❛♥t❡ s✉r ✉♥ é✈é♥❡♠❡♥t ♣r❡sq✉❡ sûr ✭❝✬❡st✲à✲❞✐r❡ ❞❡ ♠❡s✉r❡ ✶ ♣♦✉r P✮✳

❊①❡r❝✐❝❡ ✻ ❙♦✐t Ω ✉♥ ❡♥s❡♠❜❧❡ ✜♥✐✳ X

▲✬❡♥tr♦♣✐❡ ❞✬✉♥❡ ♣r♦❜❛❜✐❧✐té P s✉r Ω ❡st H(P ) = − P ({ω}) log2 P ({ω}), ♦ù log2 ❡st
ω∈Ω
❧❡ ❧♦❣❛r✐t❤♠❡ ❡♥ ❜❛s❡ ✷ ❡t ♦♥ ❛❞♦♣t❡ ❧❛ ❝♦♥✈❡♥t✐♦♥ 0 log2 0 = 0✳ P♦✉r P, Q ♣r♦❜❛❜✐✲
❧✐tés s✉r Ω Q({ω}) 
❛✈❡❝ > 0 ♣♦✉r t♦✉t ω ∈ Ω✱ ❧❡✉r ❡♥tr♦♣✐❡ r❡❧❛t✐✈❡ ❡st D(P kQ) =
X P ({ω})
P ({ω}) log2 .
ω∈Ω
Q({ω})
✶✳ ▼♦♥tr❡r à ❧✬❛✐❞❡ ❞❡ ❧✬✐♥é❣❛❧✐té ❞❡ ❏❡♥s❡♥ q✉❡ D ❡st ♣♦s✐t✐✈❡ ❡t q✉❡ D(P kQ) = 0 ✐♠✲
♣❧✐q✉❡ P = Q✳
✷✳ ❊♥ ❞é❞✉✐r❡ q✉❡✱ ♣❛r♠✐ ❧❡s ♣r♦❜❛❜✐❧✐tés s✉r Ω✱ ❧✬❡♥tr♦♣✐❡ ❡st ♠❛①✐♠❛❧❡ ♣♦✉r ❧❛ ❧♦✐ ✉♥✐✲
❢♦r♠❡ s✉r Ω ❡t ✉♥✐q✉❡♠❡♥t ♣♦✉r ❝❡❧❧❡✲❝✐✳

❊♥tr♦♣✐❡
❙♦✐t (Ω, P) ✉♥ ❡s♣❛❝❡ ❞❡ ♣r♦❜❛❜✐❧✐té ✜♥✐✳ ▲✬❡♥tr♦♣✐❡ ✭s✉r ❧❛ ❜❛s❡ b✮ ❞❡ ❧❛ ❞✐str✐❜✉t✐♦♥
P ❡st ❧❛ ✈❛❧❡✉r X
Hb (P) := − P({ω}) logb (P({ω}))
ω∈Ω

♦ù b>0 0 logb (0) = 0✳

❡st ❧❛ ❜❛s❡ ❞✉ ❧♦❣❛r✐t❤♠❡✳ ■❝✐ ♦♥ ❞é✜♥✐t
❘❡♠❛rq✉❡ ✿ ❊♥ t❤é♦r✐❡ ❞❡ ❧✬✐♥❢♦r♠❛t✐♦♥ ♦♥ ✉t✐❧✐s❡ s✉rt♦✉t b = 2✱ ❝✬❡st ❧✬❡♥tr♦♣✐❡ ❜✐♥❛✐r❡

q✉✬♦♥ ✈❛ ♥♦t❡r H ✳ ❆✉tr❡♠❡♥t ❞✐t✱ ❧✬❡♥tr♦♣✐❡ ❜✐♥❛✐r❡ H ❡st ❧✬❡s♣ér❛♥❝❡ ❞❡ ❧❛ ✈❛r✐❛❜❧❡ ❛❧é❛✲
t♦✐r❡ Z(ω) = − log2 (P({ω}))✳ ▲✬❡♥tr♦♣✐❡ ❜✐♥❛✐r❡ ❞❡ ❧❛ ❧♦✐ µX ❞✬✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ✜♥✐❡
X ❡st ♥♦té❡ H(µX ) ♦✉ ❜✐❡♥ H(X) ✳

❊①❡r❝✐❝❡ ✼ ❖♥ ❝♦♥s✐❞èr❡ ✉♥ ❥❡✉① ❞❡ 32 ❝❛rt❡s ❡t ❧❛ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ X ❞é✜♥✐❡ ♣❛r



 a s✐ ❧❛ ❝❛rt❡ ❡st ♥♦✐r
b s✐ ❧❛ ❝❛rt❡ ❡st ✉♥ ❝♦❡✉r

X(❝❛rt❡) =

 c s✐ ❧❛ ❝❛rt❡ ❡st ❧❡ 7, 8, 9, 10 ❞❡ ❝❛rr❡❛✉
d ♣♦✉r ❧❡s ❛✉tr❡s ❝❛rt❡s


♦ù a, b, c, d s♦♥t q✉❛tr❡ ré❡❧s ❞✐st✐♥❝ts✳

✶✳ ❉ét❡r♠✐♥❡r H(X)✳
C ❡t ❞❡♠❛♥❞❡ ❇♦❜ ❞❡ ❞ét❡r♠✐♥❡r
✷✳ ❆❧✐❝❡ ❡t ❇♦❜ ❥♦✉❡♥t ❛✉ ❥❡✉ s✉✐✈❛♥t ✿ ❆❧✐❝❡ t✐r❡ ✉♥❡ ❝❛rt❡
❧❛ ✈❛❧❡✉r X(C) ❡♥ ♣♦s❛♥t ❞❡s q✉❡st✐♦♥s ❞❡ t②♣❡ ✏ X(C) ❛♣♣❛rt✐❡♥t✲✐❧ à A ❄✑ ♦ù A ❡st ✉♥❡
♣❛rt✐❡ ❞❡ {a, b, c, d}✳ ❙✉♣♣♦s♦♥s q✉❡ ❇♦❜ ❝❤♦✐s✐t ❧❡s q✉❡st✐♦♥s ✏ X(C) = a ❄✑✱ ✏ X(C) = b ❄✑
❡t ✏ X(C) = c ❄✑ ❞❛♥s ❝❡t ♦r❞r❡✳ ▼♦♥tr❡r q✉❡ ❧❛ ✈❛❧❡✉r ♠♦②❡♥♥❡ ❞✉ ♥♦♠❜r❡ ❞❡ q✉❡st✐♦♥s
q✉❡ ❇♦❜ à ❜❡s♦✐♥ ❞❡ ♣♦s❡r ✈❛✉t H(X)✳
❊①❡r❝✐❝❡ ✽ ❙♦✐t ♠❛✐♥t❡♥❛♥t P ❡t P′ ❞❡✉① ♣r♦❜❛❜✐❧✐tés s✉r Ω✳ ▲✬❡♥tr♦♣✐❡ r❡❧❛t✐✈❡ ♥♦té❡
D(PkP′ ) ❡st ❞é✜♥✐❡ ❝♦♠♠❡ ❧✬❡s♣ér❛♥❝❡ ❞❡ ❧❛ ✈❛r✐❛❜❧❡ ω → log2 (P({ω})) − log2 (P′ ({ω}))
♣❛r r❛♣♣♦rt à P ✿
X P({ω})
D(PkP′ ) = P({ω}) log2 ( ).
ω∈Ω
P′ ({ω})

✶✳ ▼♦♥tr❡r à ❧✬❛✐❞❡ ❞❡ ❧✬✐♥é❣❛❧✐té ❞❡ ❏❡♥s❡♥ q✉❡ D ❡st ♣♦s✐t✐❢ ❡t q✉❡ D(PkP′ ) = 0 ✐♠♣❧✐q✉❡
P = P′ ✳
✷✳ ❙♦✐t u ❧❛ ❞✐str✐❜✉t✐♦♥ ✉♥✐❢♦r♠❡ s✉r Ω✳ ▼♦♥tr❡r q✉❡

D(Pku) = H(u) − H(P).

✸✳ ❊♥ ❞é❞✉✐r❡ q✉❡ ❧✬❡♥tr♦♣✐❡ ❜✐♥❛✐r❡ ❞✬✉♥❡ ❞✐str✐❜✉t✐♦♥ s✉r Ω ♣r❡♥❞ s❡s ✈❛❧❡✉rs ❡♥tr❡ 0 ❡t
log2 |Ω| ❡t q✉❡ ❧❛ ❞✐str✐❜✉t✐♦♥ ✉♥✐❢♦r♠❡ ❡st ❧✬✉♥✐q✉❡ ♣♦✐♥t ♠❛①✐♠❛❧ ❞❡ H ✳
 ❈♦rr❡❝t✐♦♥ ❞❡ ❧❛ ❢❡✉✐❧❧❡ ❞❡ ❚❉ ✺

❖❜t❡♥✐r ✉♥❡ ❧♦✐ à ♣❛rt✐r ❞✬✉♥❡ ❛✉tr❡

❊①❡r❝✐❝❡ ✶ X ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ à ✈❛❧❡✉rs ❞❛♥s E ⊂ R ❡t f : E → R ✉♥❡ ❢♦♥❝t✐♦♥

❙♦✐t
♠❡s✉r❛❜❧❡✳ ❙♦✐t Y = f (X)✳
✶✳ P(Y ∈ A) = P(f (X) ∈ A) = P(X ∈ f −1 (A))✳ ❊♥ ♣❛rt✐❝✉❧❛r P(Y ∈ R) = P(X ∈ R) = 1
❡t ❧❡s ❛✉tr❡s ❛①✐♦♠❡s✳
✷✳ ρX ❧❛ ❞❡♥s✐té ❞❡ X ✳ ❖♥ r❡❣❛r❞❡ ❧❡ ❝❛s ♦ù f ❡st
❙♦✐t ✐♥❥❡❝t✐✈❡ ❡t C 1✳
−1 (s))
P(Y ∈ A) = 1A (f (t))ρX (t)dt = 1A (s) |fρX′ (f(f−1 (s))|
R R
ds✳
−1 ′
❉♦♥❝ ρY (s) = |fρX′ (f(f−1 (s))|
(s))
✭♦✉ ρY = |f −1 |ρX ◦ f −1 ✮✳
−1 ′
✸✳ ρX = 1[0,1] ✱ f (s) = e−s ✱ f −1 (s) = −e−s ✳ ❉♦♥❝ ρY (s) = e−s 1[0,∞[ (s)✱ ❝❡ q✉✐ ❡st ❧❛ ❧♦✐
❡①♣♦♥❡♥t✐❡❧❧❡ ❞❡ ♣❛r❛♠ètr❡ 1✳
−1
✹✳ ❘é♣♦♥s❡ ✿ f (x) = σ (x − m)✳
✺✳ P❛r ❛♣♣❧✐❝❛t✐♦♥ ❞✉ t❤é♦rè♠❡ ❞✉ tr❛♥s❢❡rt✱ s✐ g ❡st ✉♥❡ ❢♦♥❝t✐♦♥ ♠❡s✉r❛❜❧❡ ❜♦r♥é❡ ❞❡ R
❞❛♥s R✱ ❛❧♦rs Z
E(g(sin(U ))) = g(sin(u))µU (du)
R
❡t Z
E(g(sin(U ))) = g(t)µsin(U ) (dt).
R

❖♥ s❛✐t q✉❡ U ❛ ♣♦✉r ❞❡♥s✐té ♣❛r r❛♣♣♦rt à ❧❛ ♠❡s✉r❡ ❞❡ ▲❡❜❡s❣✉❡ 1/π1[0,π] (u)✳ ❉♦♥❝

π π/2
1 2
Z Z Z
g(sin(u))µU (du) = g(sin(u))du = g(sin(u))du.
R π 0 π 0

❊♥ ♣♦s❛♥t t = sin(u) ♦♥ ❛ u = arcsin(t) ❡t

1
2 1
Z
E(g(sin(U ))) = g(t) √ dt.
π 0 1 − t2
2 1
P❛r ❝♦♥séq✉❡♥t✱ µsin(U ) (dt) =√ 1[0,1] (t)dt✱ ❞♦♥❝ ❧❛ ❞❡♥s✐té ❞❡ sin(U ) ❛✉ ♣♦✐♥t t ♣❛r
π 1 − t2
2 1
r❛♣♣♦rt à ❧❛ ♠❡s✉r❡ ❞❡ ▲❡❜❡s❣✉❡ ❡st √ 1[0,1] (t)✳
π 1 − t2
✻✳ P♦✉r |U | ❡t U 2 ✱ ✐❧ ❡st ♣❧✉s ❞✐r❡❝t ❞❡ ♣❛ss❡r ♣❛r ❧❛ ❢♦♥❝t✐♦♥ ❞❡ ré♣❛rt✐t✐♦♥✳ ❖♥ tr♦✉✈❡ q✉❡
|U | ❡st ❞❡ ❧♦✐ ✉♥✐❢♦r♠❡ s✉r [0, 1]✱ U 2 ❛ ♣♦✉r ❞❡♥s✐té ❛✉ ♣♦✐♥t t ♣❛r r❛♣♣♦rt à ❧❛ ♠❡s✉r❡ ❞❡
1 1 1+u
▲❡❜❡s❣✉❡ √ 1[0,1] (t)✳ P♦✉r ❧❛ tr❛♥s❢♦r♠❛t✐♦♥ ♣❛r h(u) := ln ✱ ♦♥ ♣❡✉t r❡♠❛rq✉❡r
2 t 2 1−u
q✉❡ ❝❡tt❡ ❢♦♥❝t✐♦♥ ❡st str✐❝t❡♠❡♥t ❝r♦✐ss❛♥t❡ ❞❡ ]−1, 1[ ✈❡rs R✳ ❖♥ ♣❡✉t ❧❡✉r ❢❛✐r❡ ❛♣♣❧✐q✉❡r
2e2t
❝❡ q✉✐ ♣r❡❝❡❞❡✱ ♦♥ ♦❜t✐❡♥t ✉♥❡ ❞❡♥s✐té ❛✉ ♣♦✐♥t t ❞♦♥♥é❡ ♣❛r ✳
(e2t + 1)2
❊①❡r❝✐❝❡ ✷ X, Y ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ ♥♦r♠❛❧❡ N (0, 1)✳
❙♦✐t
1 − 12 (t21 +t22 )
✶✳ ▲❛ ❞❡♥s✐té ❞❡ (X, Y ) ❡st ρ(t1 , t2 ) = e ✳ ❆❧♦rs
2π
X t1 1 − 1 (t21 +t22 ) 1 1 2 2
Z Z
P( ∈ A) = 1A ( ) e 2 dt1 dt2 = 1A (s) e− 2 (s +1)t2 ds|t2 |dt2 .
Y R2 t2 2π R2 2π
P❛r ❋✉❜✐♥✐ ♦♥ ♣❡✉t ❡✈❛❧✉❡r

1 1
Z
1 2 +1)t2
e− 2 (s 2 |t2 |dt2 =
2π R π(1 + s2 )
❝❡ q✉✐ ❡st ❞♦♥❝ ❧❛ ❞❡♥s✐té ❞❡ ❧❛ ❧♦✐ ❞❡ Y✳
✷✳ ❙✐ Z ❡st ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ❞❡ ❧♦✐ ❞❡ ❈❛✉❝❤② ❛❧♦rs s❛ ❧♦✐ ❡st ❧❛ ♠ê♠❡ q✉❡ ❝❡❧❧❡ ❞❡
X Y X
Y
✳ P❛r s②♠♠❡tr✐❡
X
❛ ❧❛ ♠ê♠❡ ❧♦✐ q✉❡
Y
✳ ❉♦♥❝ Z −1 ❛ ❧❛ ♠ê♠❡ ❧♦✐ q✉❡ Z✳
❊①❡r❝✐❝❡ ✸ ❖♥ tr♦✉✈❡ E[(X +Y )2 ] = E[X 2 ]+E[Y 2 ]+2E[XY ] = m2 +σ 2 +m2 +σ 2 +2m2 =
2 2
4m + 2σ ✳

◗✉❡❧q✉❡s ✐♥é❣❛❧✐tés
❊①❡r❝✐❝❡ ✹ ❙♦✐t X ❡t Y (Ω, A, P)✳
❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ♣♦s✐t✐✈❡s ❞❡ ❝❛rré ✐♥té❣r❛❜❧❡s s✉r

✶✳ ▲❛ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ X2 E(X 2 ) = 0 s✐ ❡t s❡✉❧❡♠❡♥t s✐ X 2

❡st ♣♦s✐t✐✈❡ ♦✉ ♥✉❧❧❡ ❞♦♥❝

❡st ♥✉❧❧❡ ♣r❡sq✉❡ sûr❡♠❡♥t ♦✉ ❡♥❝♦r❡ s✐ ❡t s❡✉❧❡♠❡♥t s✐ X ❡st ♥✉❧❧❡ ♣r❡sq✉❡ sûr❡♠❡♥t✳
2 2 2 2
✷✳ ▲❛ ❢♦♥❝t✐♦♥ λ → E [(X + λY ) ] = E(X ) + 2λE(XY ) + λ E(Y ) ❡st ✉♥ tr✐♥ô♠❡ ❞✉
2
s❡❝♦♥❞ ❞❡❣ré t♦✉❥♦✉rs ♣♦s✐t✐❢✳ P❛r ❝♦♥séq✉❡♥t s♦♥ ❞✐s❝r✐♠✐♥❛♥t ❡st ♥é❣❛t✐❢ ✿ 4E(XY ) −

4E(X 2 )E(Y 2 ) ≤ 0 ❛✉tr❡♠❡♥t ❞✐t✱ E(XY )2 ≤ E(X 2 )E(Y 2 )✳

✸✳ ❈♦♠♠❡ X ❡st ✉♥❡ ✈❛r✐❛❜❧❡ ♣♦s✐t✐✈❡ ♦♥ ❛ 1[aE(X),∞[ (X) = 1 − 1[0,aE(X)[ (X)✳
❖r E(X1[0,aE(X)[ (X)) ≤ aE(X) ❞♦♥❝ E(X1[aE(X),∞[ (X)) ≥ E(X) − aE(X)✳

✹✳ ❊♥ ✉t✐❧✐s❛♥t ❧❡s ❞❡✉① q✉❡st✐♦♥s ♣ré❝é❞❡♥t❡s ♦♥ ❛ ✿

(1 − a)2 E(X)2 ≤ E(X1[aE(X),∞[ (X))2 ≤ E(X 2 )P(X ≥ aE(X)).

❊①❡r❝✐❝❡ ✺ ▲✬✐♥é❣❛❧✐té ❞❡ ❏❡♥s❡♥ ❆ ❢❛✐r❡

❊①❡r❝✐❝❡ ✻ P (ω)(− log Q(ω) ) ≥ − log P (ω) Q(ω)

P P
✶✳ ❆♣♣❧✐q✉❡r ❏❡♥s❡♥ à − ln ❡t ❧❛ ♠❡s✉r❡ P ✿ P (ω) P (ω)
=
0✱ ♦✉ ❛❧♦rs à x 7→ x ln x q✉✐ ❡st str✐❝t❡♠❡♥t ❝♦♥✈❡①❡ ✭❞ér✐✈é❡ ln x+1 str✐❝t❡♠❡♥t ❝r♦✐ss❛♥t❡✮
P P (ω)
(− log Q(ω)
PP PP
❡t à ❧❛ ♠❡s✉r❡ Q ✿
Q(ω) P (ω)
)Q(ω) ≥ ( Q Q) ln( Q Q) = 0✳ ▲❡ ❝❛s ❞é❣❛❧✐té ❝♦r✲
P
r❡s♣♦♥❞ à ❝♦♥st❛♥t Q✲♣✳s✳✱ ❝✬❡st✲à✲❞✐r❡ ♣♦✉r t♦✉t ω ❝❛r Q > 0✳ ▲❛ ❝♦♥st❛♥t❡ ❞♦✐t êtr❡ ✶
Q
♣✉✐sq✉❡ ❝❡ s♦♥t ❞❡s ♣r♦❜❛s✳
P P (ω)
✷✳ Pr❡♥❞r❡ ♣♦✉r Q ❧❛ ♠❡s✉r❡ ✉♥✐❢♦r♠❡ ✿ ❧✬✐♥é❣❛❧✐té ❞❡✈✐❡♥t 0 ≤ P (ω) log 1/|Ω| =
−H(P ) + log |Ω| = −H(P ) + H(u) ✭u ♣r♦❜❛ ✉♥✐❢♦r♠❡✮✱ ❞✬♦ù H(P ) ≤ H(u) ❡t ❧✬é❣❛✲
❧✐té ❞♦♥♥❡ ✉♥❡ é❣❛❧✐té ❞❛♥s ❧❛ q✉❡st✐♦♥ ❞✬❛✈❛♥t ❞♦♥❝ P = u✳

❊♥tr♦♣✐❡
❊①❡r❝✐❝❡ ✼ ❖♥ ❝♦♥s✐❞èr❡ ✉♥ ❥❡✉① ❞❡ 32 ❝❛rt❡s ❛✈❡❝ ❧❛ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ X ♦ù


 a s✐ ❧❛ ❝❛rt❡ ❡st ♥♦✐r

b

s✐ ❧❛ ❝❛rt❡ ❡st ❝♦❡✉r
X(carte) =

 c s✐ ❧❛ ❝❛rt❡ ❡st ❝❛rr❡❛✉ 7, 8, 9, 10
d

♣♦✉r ❧❡s ❛✉tr❡s ❝❛rt❡s
♦ù a, b, c, d s♦♥tPq✉❛tr❡ ♥♦♠❜r❡s ❞✐✛ér❡♥ts✳
1 1 1
✶✳ H(X) = − i∈{a,b,c,d} P(X = i) log2 (P(X = i)) = 2 log2 (2) + 4 log2 (4) + 2 8 log2 (8) =
1, 75✳
✷✳ ❆❧✐❝❡ ❡t ❇♦❜ ❥♦✉❡♥t ✉♥ ❥❡✉ ✿ ❆❧✐❝❡ t✐r❡ ✉♥❡ ❝❛rt❡ C ❡t ❞❡♠❛♥❞❡ ❇♦❜ ❞❡ ❞ét❡r♠✐♥❡r ❧❛
✈❛❧❡✉r X(C) ❡♥ ♣♦s❛♥t ❞❡s q✉❡st✐♦♥s ❞❡ t②♣❡ ✑ X(C)✱ ❛♣♣❛rt✐❡♥t✲✐❧ à A ❄✑ ♦ù A ❡st ✉♥❡
♣❛rt✐❡ ❞❡ {a, b, c, d}✳ ❙✉♣♣♦s♦♥s q✉❡ ❇♦❜ ❝❤♦✐s✐t ❧❡s q✉❡st✐♦♥s ✑ X(C) = a ❄✑✱ ✑ X(C) = b ❄✑✱
✑ X(C) = c ❄✑✱ ❞❛♥s ❝❡t ♦r❞r❡✳ ❉ét❡r♠✐♥❡r ❧❛ ✈❛❧❡✉r ♠♦②❡♥♥❡ ❞❡ ♥♦♠❜r❡ ❞❡ q✉❡st✐♦♥s q✉❡
❇♦❜ à ❜❡s♦✐♥ ❞❡ ♣♦s❡r✳
❙♦✐t L
❧❛ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ❞❡ ♥♦♠❜r❡ ❞❡ q✉❡st✐♦♥s ❇♦❜ ❛ ❞✉ ❞❡♠❛♥❞❡r ♣♦✉r ❝♦♥♥❛îtr❡ ❧❡
1 1 1 1
r❡s✉❧t❛t✳ ❆❧♦rs E(L) = 1 + 2 + 3 + 3 = 1, 75 = H(X)✳
2 4 8 8

❊①❡r❝✐❝❡ ✽ ❱♦✐r ❝♦♣✐❡ ❞❡ ❧✬❛♥ ♣❛ss❡✳

❯♥✐✈❡rs✐té ❈❧❛✉❞❡ ❇❡r♥❛r❞ ▲②♦♥ ✶ Pr♦❜❛❜✐❧✐tés
❆♥♥é❡ ✉♥✐✈❡rs✐t❛✐r❡ ✷✵✵✽✲✷✵✵✾

❋❡✉✐❧❧❡ ❞❡ ❚❉ ✻

❊①❡r❝✐❝❡ ✶ ●é♥ér❛❧✐s❛t✐♦♥ ❞✬✐♥é❣❛❧✐tés ❞✉ ❝♦✉rs

❙♦✐t X ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ré❡❧❧❡ ❞❡ ❝❛rré ✐♥té❣r❛❜❧❡ s✉r (Ω, A, P)✳
✶✳ ❙♦✐t g : R → R+ t❡❧❧❡ q✉❡ g(x) ≥ b > 0 ♣♦✉r t♦✉t x ∈ I ⊂ R✳ ▼♦♥tr❡r q✉❡

P(X ∈ I) ≤ b−1 E(g(X)).

✷✳ ❘❡tr♦✉✈❡r à ❧✬❛✐❞❡ ❞✉ rés✉❧t❛t ♣ré❝é❞❡♥t ❧❡s ✐♥é❣❛❧✐tés ❞❡ ▼❛r❦♦✈ ❡t ❚❝❤❡❜②❝❤❡✛✳

✸✳ ❊♥ ✉t✐❧✐s❛♥t ❧❛ ❢♦♥❝t✐♦♥ g(x) = (x + c)2 ♣♦✉r c > 0 ♠♦♥tr❡r q✉❡ s✐ E(X) = 0 ❡t
❱❛r(X) = σ 2 ❛❧♦rs ♣♦✉r t♦✉t t > 0✱
σ2
P(X > t) ≤ .
σ 2 + t2
❊①❡r❝✐❝❡ ✷ ▲♦✐ ●❛♠♠❛
P♦✉r a > 0 ❡t λ > 0✱ ♦♥ ❞é✜♥✐t ❧❛ ❧♦✐ γa,λ ♣❛r s❛ ❞❡♥s✐té r❡❧❛t✐✈❡♠❡♥t à ❧❛ ♠❡s✉r❡ ❞❡
▲❡❜❡s❣✉❡ ✿
λa
fa,λ (x) = exp(−λx)xa−1 1R+ (x).
Γ(a)
✶✳ ❱ér✐✜❡r q✉❡ ❝❡tt❡ ❢♦♥❝t✐♦♥ ❞é✜♥✐t ❜✐❡♥ ✉♥❡ ❞❡♥s✐té✳
✷✳ ❉ét❡r♠✐♥❡r ❧✬❡s♣ér❛♥❝❡ ❞❡ ❝❡tt❡ ❧♦✐✳

❙♦✐t V1 , V2 , . . . , Vn ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ré❡❧❧❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ E(λ)✳

✸✳ ▼♦♥tr❡r ♣❛r ré❝✉rr❡♥❝❡ q✉❡ ❧❛ ❧♦✐ ❞❡ ❧❛ s♦♠♠❡ V1 + · · · + Vn ❡st ❧❛ ❧♦✐ γn,λ ✳

❙♦✐t X ❡t Y ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ré❡❧❧❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ γa,λ ✳

✹✳ ❉ét❡r♠✐♥❡r ❧❛ ❧♦✐ ❞❡ λX ✳
✺✳ ▼♦♥tr❡r q✉❡ X + Y ❡t X/Y s♦♥t ❞❡s ✈✳❛✳ ✐♥❞é♣❡♥❞❛♥t❡s ❞♦♥t ♦♥ ❝❛❧❝✉❧❡r❛ ❧❡s ❧♦✐s✳
✻✳ ▼♦♥tr❡r q✉❡ X + Y ❡t X/(X + Y ) s♦♥t ❞❡s ✈✳❛✳ ✐♥❞é♣❡♥❞❛♥t❡s✳ ❈❛❧❝✉❧❡r ❧❛ ❧♦✐ ❞❡
X/(X + Y )✳

❙♦✐t X ❡t Y ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ré❡❧❧❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ γa,λ ❡t γb,λ r❡s♣❡❝t✐✲
✈❡♠❡♥t✳
✼✳ ❉ét❡r♠✐♥❡r ❧❛ ❧♦✐ ❞❡ X + Y ✳

❙♦✐t Z1 , Z2 , . . . , Zn ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ré❡❧❧❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ N (0, 1)✳

✽✳ ▼♦♥tr❡r q✉❡ Z12 s✉✐t ✉♥❡ ❧♦✐ γ1/2,1/2 ✳
✾✳ ▼♦♥tr❡r q✉❡ Z12 + · · · + Zn2 s✉✐t ✉♥❡ ❧♦✐ γn/2,1/2 ✳ ✭▲❛ ❧♦✐ γn/2,1/2 ❡st é❣❛❧❡♠❡♥t ❛♣♣❡❧é❡
❧♦✐ χ2 (n)✮✳

❊①❡r❝✐❝❡ ✸ ▲♦✐ ◆♦r♠❛❧❡

❙♦✐t X ❡t Y ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ré❡❧❧❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ N (0, 1)✳
✶✳ ◆♦t♦♥s ΦX (t) = E(e ) ❧❛ ❢♦♥❝t✐♦♥ ❝❛r❛❝tér✐st✐q✉❡ ❞❡ X ✳ ❉♦♥♥❡r Re (ΦX (t)) ❡t
itX
Im (ΦX (t)) ♣✉✐s ♠♦♥tr❡r à ❧✬❛✐❞❡ ❞✬✐♥té❣r❛t✐♦♥s ♣❛r ♣❛rt✐❡s q✉❡ Φ′X (t) = −tΦX (t)✳ ❊♥

❞é❞✉✐r❡ ❧✬❡①♣r❡ss✐♦♥ ❞❡ ΦX ✳
✷✳ ❙♦✐t θ ∈ [0, 2π]✳ ❉ét❡r♠✐♥❡r ❧❛ ❧♦✐ ❞❡ Xθ = X cos(θ) + Y sin(θ) ❡t Yθ = −X sin(θ) +
Y cos(θ)✳
✸✳ ▲❡s ✈❛r✐❛❜❧❡s Xθ ❡t Yθ s♦♥t✲❡❧❧❡s ✐♥❞é♣❡♥❞❛♥t❡s ❄

❊①❡r❝✐❝❡ ✹ ❊①tr❛✐t ❞✉ ♣❛rt✐❡❧ ❞✬❛✈r✐❧ ✷✵✵✽

✶✳ ❙♦✐❡♥t X ❡t Y ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ N (m, σ 2 ) ❡t N (m′ , σ ′2 )✳

◗✉❡❧❧❡ ❡st ❧❛ ❧♦✐ ❞❡ X +Y ❄
✷✳ ❙♦✐❡♥t X1 , . . . , Xn ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s✱ t♦✉t❡s ❞❡ ❧♦✐ N (m, σ 2 )✳ ◗✉❡❧❧❡
X1 + · · · + Xn
❡st ❧❛ ❧♦✐ ❞❡ X n = ❄
√ n
n
✸✳ ▼♦♥tr❡r q✉❡ (X n − m) s✉✐t ✉♥❡ ❧♦✐ N (0, 1)✳
σ
✹✳ ❙♦✐t α ∈]0, 1[✱ ♠♦♥tr❡r q✉✬✐❧ ❡①✐st❡ ✭s❛♥s ❧✬❡①♣❧✐❝✐t❡r✮ ✉♥ ✉♥✐q✉❡ ♥♦♠❜r❡ ré❡❧ ♣♦s✐t✐❢ φα
t❡❧ q✉❡
φα
dx
Z
2 /2
e−x √ = 1 − α.
−φα 2π

Iα = [m − t, m + t]✱ ❛✈❡❝ t à ♣ré❝✐s❡r ❡♥ ❢♦♥❝t✐♦♥

✺✳ ❊♥ ❞é❞✉✐r❡ q✉✬✐❧ ❡①✐st❡ ✉♥ ✐♥t❡r✈❛❧❧❡
P (X n ∈ Iα ) = 1 − α✳
❞❡s ❝♦♥st❛♥t❡s ❞❡ ❧✬❡①❡r❝✐❝❡✱ t❡❧ q✉❡

✻✳ ❊♥ ❞é❞✉✐r❡ q✉❡ ♣♦✉r t♦✉t t > 0 ♦♥ ❛ limn→∞ P (|X n − m| > t) = 0✳

✼✳ ❖♥ ❛♣♣❧✐q✉❡ ✺✮ ❛✉ ❝❛s ♦ù m = 1/2, σ = 1/2✱ n = 1000 ❡t α = 0, 05✳ ❖♥ ❛ φα = 1, 96
❞❛♥s ❝❡ ❝❛s✳ ◗✉❡ ♣❡✉t✲♦♥ ❞✐r❡ ❞❡ P(X n ≤ 0, 45) ❄
 ❈♦rr❡❝t✐♦♥ ❞❡ ❧❛ ❢❡✉✐❧❧❡ ❞❡ ❚❉ ✻

❊①❡r❝✐❝❡ ✶ ●é♥ér❛❧✐s❛t✐♦♥ ❞✬✐♥é❣❛❧✐tés ❞✉ ❝♦✉rs

❙♦✐t X ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ré❡❧❧❡ ❞❡ ❝❛rré ✐♥té❣r❛❜❧❡ s✉r (Ω, A, P)✳
✶✳ g ♣♦s✐t✐✈❡ ❞♦♥♥❡ E(g(X)1X ∈I / ) ≥ 0 ❡t g ♠✐♥♦ré❡ ♣❛r b s✉r I ❞♦♥♥❡ E(g(X)1X∈I ) ≥
bP(X ∈ I)✳
✷✳ ▼❛r❦♦✈ ✿ X ♣♦s✐t✐✈❡✱ t > 0✱ g(x) = x ❡t I = [t, ∞[✳
❚❝❤❡❜②❝❤❡✛ ✿ t > 0✱ g(x) = (x − E(X))2 ❡t I =] − ∞, E(X) − t] ∪ [E(X) + t, +∞[✳
✸✳ P♦✉r g(x) = (x + c) ♣♦✉r c > 0✱ ♦♥ ❛ ❜✐❡♥ g(x) ≥ 0 ♣♦✉r t♦✉t x ❡t g(x) ≥ (t + c)
2 2

♣♦✉r x ≥ t > 0✳ ❉♦♥❝

1  2

P(X ≥ t) ≤ E (X + c) .
(t + c)2
❙✐ E(X) = 0 ❡t E(X 2 ) = σ 2 ✱ ❝❡❧❛ ❞♦♥♥❡ ✿
σ 2 + c2
P(X ≥ t) ≤ .
(t + c)2

▲❡ t❡r♠❡ ❞❡ ❞r♦✐t❡ ❡st ✉♥❡ ❢♦♥❝t✐♦♥ ❡♥ c q✉✐ ❛tt❡✐♥t s♦♥ ♠✐♥✐♠✉♠ ❛✉ ♣♦✐♥t c = σ 2 /t > 0
❡t ❞♦♥♥❡ ❧❡ rés✉❧t❛t ❛tt❡♥❞✉✳
❊①❡r❝✐❝❡ ✷ ▲♦✐ ❯♥✐❢♦r♠❡

❊①❡r❝✐❝❡ ✸ ▲♦✐ ●❛♠♠❛

✶✳ ❉✐r❡❝t✳
✷✳ ❖♥ ✉t✐❧✐s❡ ❧❡ ❢❛✐t q✉❡ Γ(a + 1) = aΓ(a) ♣♦✉r ♦❜t❡♥✐r q✉❡ ❧✬❡s♣ér❛♥❝❡ ❞❡ ❝❡tt❡ ❧♦✐ ❡st
a/λ✳
✸✳ P♦✉r n = 1✱ ♦❦✳ ❙✉♣♣♦s♦♥s n ≥ 2 ❡t S := V1 + . . . + Vn−1 ❞❡ ❧♦✐ γn−1,λ ✳ ❙♦✐t g ✉♥❡
❢♦♥❝t✐♦♥ ♠❡s✉r❛❜❧❡ ❜♦r♥é❡ ❞❡ R ❞❛♥s R✳ ❖♥ ❛
Z
E(g(V1 + . . . + Vn )) = E(g(S + Vn )) = g(x + y)µ(S,Vn ) (dx, dy)
R

❡t Z
E(g(V1 + . . . + Vn )) = g(t)µV1 +...+Vn (dt).
R

❈♦♠♠❡ f (v1 , . . . , vn−1 ) = v1 + . . . + vn−1 ❡t g(vn ) = vn2 ♠❡s✉r❛❜❧❡s ♦♥ ❡♥ ❞é❞✉✐t q✉❡ S ❡t

Vn s♦♥t ✐♥❞é♣❡♥❞❛♥t❡s ❝❛r (V1 , . . . , Vn−1 ) ❡t Vn ❧❡ s♦♥t✱
∞ ∞
λn−1 −λt n−2
Z Z Z
g(x + y)µ(S,Vn ) (dx, dy) = dx dtg(t) e x
Γ(n − 1)
R
Z0 ∞ x
λn−1 t
e−λt xn−1 /(n − 1) 0 dt

= g(t)
Γ(n − 1)
Z0
λn
= g(t) exp(−λt)tn−1 1R+ (t)dt
R Γ(n)

✹✳ ❖♥ ♣❡✉t ✉t✐❧✐s❡r ❧❛ ❢♦♥❝t✐♦♥ ❞❡ ré♣❛rt✐t✐♦♥✳ ❆✈❡❝ ✉♥ ❝❤❛♥❣❡♠❡♥t ❞❡ ✈❛r✐❛❜❧❡ ♦♥ ✈♦✐t

q✉❡ λX ∼ γa,1 ✳
✺✳ ❙♦✐t g ✉♥❡ ❢♦♥❝t✐♦♥ ♠❡s✉r❛❜❧❡ ❜♦r♥é❡ ❞❡ R ❞❛♥s R ✳ ❖♥ ❛
2 2
Z
E(g(X + Y, X/Y )) = g(u, v)µ(X+Y,X/Y ) (du, dv)
R2

❡t Z
E(g(X + Y, X/Y )) = g ◦ f (x, y)µ(X,Y ) (dx, dy)
R2
♦ù f (x, y) = (x + y, x/y) ❞é✜♥✐❡ ❞❡ (R∗+ )2 ✈❡rs (R∗+ )2 ✳ ❈♦♠♠❡ ❧❡s ✈❛r✐❛❜❧❡s X ❡t Y s♦♥t
✐♥❞é♣❡♥❞❛♥t❡s✱ ❧❡ ❝♦✉♣❧❡ (X, Y ) ❛ ♣♦✉r ❞❡♥s✐té µX (dx)µY (dy) ♣❛r r❛♣♣♦rt à ❧❛ ♠❡s✉r❡ ❞❡
▲❡❜❡s❣✉❡ s✉r R2 ✳
❖♥ ❢❛✐t ❛❧♦rs ❧❡ ❝❤❛♥❣❡♠❡♥t ❞❡ ✈❛r✐❛❜❧❡ u = x + y ✱ v = x/y ✱ ♣♦✉r x > 0 ❡t y > 0 ❀
❈❡❝✐ ❡st éq✉✐✈❛❧❡♥t à x = uv/(v + 1) ❡t y = u/(v +1) ♣♦✉r u > 0 ❡t v > 0✳
 v/(v + 1) u/(v + 1)  u
❖♥ ❛ ❞❡ ♣❧✉s |J(u, v)| =  2  =
 ✳ ■❧ s✉✐t
1/(v + 1) −u/(v + 1) (v + 1)2
v a−1 λ2a
Z
E(g(X + Y, X/Y )) = g(u, v)u2a−1 e−λu 1u>0 1v>0 dudv.
R2 (v + 1)2a Γ(a)2
λ2a 2a−1 −λu
▲❡s ✈❛r✐❛❜❧❡s s♦♥t ✐♥❞é♣❡♥❞❛♥t❡s✱ µX+Y (du) = u e 1u>0 du ❡t µX/Y (dv) =
Γ(2a)
Γ(2a) v a−1
1v>0 dv ✳
Γ(a)2 (v + 1)2a
✻✳ ❙♦✐t g ✉♥❡ ❢♦♥❝t✐♦♥ ♠❡s✉r❛❜❧❡ ❜♦r♥é❡ ❞❡ R ❞❛♥s R ✳ ❖♥ ❛
2 2
Z
E(g(X + Y, X/(X + Y ))) = g(u, v)µ(X+Y,X/(X+Y )) (du, dv)
R2

❡t Z
E(g(X + Y, X/(X + Y ))) = g ◦ f (x, y)µ(X+Y,X/(X+Y )) (dx, dy)
R2
♦ù f (x, y) = (x + y, x/(x + y)) ❞é✜♥✐❡ ❞❡ (R∗+ )2 ✈❡rs (R∗+ )2 ✳ ❈♦♠♠❡ ❧❡s ✈❛r✐❛❜❧❡s X ❡t
Y s♦♥t ✐♥❞é♣❡♥❞❛♥t❡s✱ ❧❡ ❝♦✉♣❧❡ (X, Y ) ❛ ♣♦✉r ❞❡♥s✐té µX (dx)µY (dy) ♣❛r r❛♣♣♦rt à ❧❛
♠❡s✉r❡ ❞❡ ▲❡❜❡s❣✉❡ s✉r R2 ✳
❖♥ ❢❛✐t ❛❧♦rs ❧❡ ❝❤❛♥❣❡♠❡♥t ❞❡ ✈❛r✐❛❜❧❡ u = x + y ✱ v = x/(x + y)✱ ♣♦✉r x > 0 ❡t y > 0 ❀
❈❡❝✐ ❡st éq✉✐✈❛❧❡♥t à x = uv ❡t y = u(1
 − v) ♣♦✉r u > 0 ❡t v ∈ (0, 1)✳
v u
❖♥ ❛ ❞❡ ♣❧✉s |J(u, v)| =   = u✳ ■❧ s✉✐t
 
1 − v −u 

λ2a 2a−1 −λu Γ(2a)

Z
E(g(X +Y, X/(X +Y ))) = g(u, v) u e 1u>0 (v(1 − v))a−1 10<v<1 dudv.
R2 Γ(2a) Γ(a)2
Γ(2a)
▲❡s ✈❛r✐❛❜❧❡s s♦♥t ✐♥❞é♣❡♥❞❛♥t❡s ❡t ♦♥ ❛ ❞❡ ♣❧✉s µX/(X+Y ) (dv) = 2
(v(1 − v))a−1 10<v<1 dv ✳
R t a−1 Γ(a)R
a+b−1 1 a−1
✼✳ ▲❡ s❡✉❧ ♣♦✐♥t ❞é❧✐❝❛t ❡st ❞❡ ❝❛❧❝✉❧❡r
b−1
0
x (t − x) dx = t 0
y (1 − y)b−1 dy =
ta+b−1 Ca,b ✳ ▲❛ ❝♦♥st❛♥t❡ Ca,b ❡st ❢♦r❝é♠❡♥t é❣❛❧❡ à Γ(a)Γ(b)/Γ(a + b) ❡♥ t❡♥❛♥t ❝♦♠♣t❡
❞❡ ❧❛ ♥♦r♠❛❧✐s❛t✐♦♥✳
✽✳ ❙✐ Z1 ❡st ❞❡ ❧♦✐ N (0, 1) ❡t g ✉♥❡ ❢♦♥❝t✐♦♥ ♠❡s✉r❛❜❧❡ ❜♦r♥é❡ ❞❡ R ❞❛♥s R✳ ❖♥ ❛

1
Z Z Z
2 2 2 2 /2
E(g(X )) = g(u)µX 2 (du) E(g(X )) = g(x )µX (dx) = √ g(x2 )e−x dx.
R R 2π R
 2 R∞ 2 R∞ dy
P❛r ♣❛r✐té ❞❡ x 7→ g(x2 )e−x ♦♥ ❛ E(g(X 2 )) = √
2 /2 2 −x2
0
g(x )e dx = √ 0
g(y)e−y/2 √
2π 2π 2 y
1 −y/2 −1/2
❞♦♥❝ µX 2 (dx) = √ e y 1R+ (y)✳
2π
✾✳ ❖♥ ❧❡ ♠♦♥tr❡ ♣❛r ré❝✉rr❡♥❝❡✳ P♦✉r n = 1 ❝✬❡st ✈r❛✐✳ ❙✉♣♣♦s♦♥s q✉❡ Sn−1 = Z12 +
2
. . . + Zn−1 ∼ γ n−1 , 1 ❡t Zn ∼ N (0, 1)✳ ❖♥ ❛ Sn = Sn−1 + Zn2 ✳ ❈♦♠♠❡ f (z1 , . . . , zn−1 ) =
2 2
z12 + . . . + zn−1
2
❡t g(xn ) = zn2 ♠❡s✉r❛❜❧❡s ♦♥ ❡♥ ❞é❞✉✐t q✉❡ Sn−1 ❡t Zn2 s♦♥t ✐♥❞é♣❡♥❞❛♥t❡s
❝❛r (Z1 , . . . , Zn−1 ) ❡t Zn ❧❡ s♦♥t✳ ❖♥ ✉t✐❧✐s❡ ❡♥s✉✐t❡ ❧❛ q✉❡st✐♦♥ ✼ ❡t ✽ ❞♦♥♥❛♥t Sn s✉✐t ✉♥❡
γ n−1 + 1 , 1 = γ n , 1 ✳
2 2 2 2 2

❊①❡r❝✐❝❡ ✹ ▲♦✐ ◆♦r♠❛❧❡

❙♦✐t X ❡t Y ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ré❡❧❧❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ N (0, 1)✳
✶✳ ❖♥ ♠♦♥tr❡ ❛✈❡❝ ❧❡s ✐♥❞✐❝❛t✐♦♥s q✉❡ ΦX (t) = −tΦX (t)✳ ❊♥ ✉t✐❧✐s❛♥t ❧❡ ❢❛✐t q✉❡ ΦX (0) = 1
′

♦♥ ♦❜t✐❡♥t q✉❡ log(ΦX (t)) = −t2 /2 ❡t ΦX (t) = exp(−t2 /2)✳

✷✳ ❊♥ ✉t✐❧✐s❛♥t ❧✬✐♥❞é♣❡♥❞❛♥❝❡ ❡t ❧❛ q✉❡st✐♦♥ ♣ré❝é❞❡♥t❡ ♦♥ tr♦✉✈❡ ΦXθ (t) = ΦYθ (t) =
exp(−t2 /2)✳ ❈❡s ✈❛r✐❛❜❧❡s s♦♥t ❞♦♥❝ ❞❡ ❧♦✐ N (0, 1)✳
✸✳ ❖♥ ❞é✜♥✐t hθ (x, y) = (x cos(θ) + y sin(θ), −x sin(θ) + y cos(θ)) s✉r R ✳ P❛r ❛♣♣❧✐❝❛t✐♦♥
2

❞✉ t❤é♦rè♠❡ ❞✉ tr❛♥s❢❡rt✱ s✐ g ❡st ✉♥ ❢♦♥❝t✐♦♥ ♠❡s✉r❛❜❧❡ ❜♦r♥é❡ ❞❡ R ❞❛♥s R2 ✱ ❛❧♦rs

2

Z
E(g(Xθ , Yθ )) = g(u, v)µ(Xθ ,Yθ ) (du, dv)
R2

❡t Z
E(g(Xθ , Yθ )) = E(g ◦ hθ (X, Y )) = g ◦ hθ (x, y)µ(X,Y ) (dx, dy).
R2

X ❡t Y s♦♥t ✐♥❞é♣❡♥❞❛♥t❡s ❞♦♥❝ (X, Y ) ❛ ♣♦✉r ❞❡♥s✐té e−(x +y )/2 /(2π) ♣❛r r❛♣♣♦rt à ❧❛
2 2

♠❡s✉r❡ ❞❡ ▲❡❜❡s❣✉❡ s✉r R2 ✳ ❖♥ ❢❛✐t ❧❡ ❝❤❛♥❣❡♠❡♥t ❞❡ ✈❛r✐❛❜❧❡ u = x cos(θ) + y sin(θ)✱

v = −x sin(θ) + y cos(θ) ♣♦✉r (x, y) ∈ R2 ✳ ❈❡❝✐ ❡st éq✉✐✈❛❧❡♥t à x = u cos(θ) − v sin(θ) ❡t
y = u sin(θ) + v cos(θ) ♣♦✉r (u,  v) ∈ R ✳
2

 cos(θ) − sin(θ) 
▲❡ ❥❛❝♦❜✐❡♥ ✈❛✉t |J(u, v)| =    = 1✳ ❖♥ ♦❜t✐❡♥t✱ ❡♥ ✉t✐❧✐s❛♥t ❧❡ ❢❛✐t q✉❡
sin(θ) cos(θ) 
x 2 + y 2 = u2 + v 2 ✱
Z
2 2
E(g ◦ hθ (X, Y )) = g(u, v)e−(u +v )/2 /(2π)dudv.
R2

P❛r ❝♦♥séq✉❡♥t✱ µ(Xθ ,Yθ ) = µXθ ⊗ µYθ ✳ ❈❡s ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s s♦♥t ✐♥❞é♣❡♥❞❛♥t❡s✳

❊①❡r❝✐❝❡ ✺ ❱♦✐r ❚❡st ♣❛rt✐❡❧ ❞✉ ✶✶ ❛✈r✐❧ ✷✵✵✽

❯♥✐✈❡rs✐té ❈❧❛✉❞❡ ❇❡r♥❛r❞ ▲②♦♥ ✶ Pr♦❜❛❜✐❧✐tés
❆♥♥é❡ ✉♥✐✈❡rs✐t❛✐r❡ ✷✵✵✽✲✷✵✵✾

❋❡✉✐❧❧❡ ❞❡ ❚❉ ✼

❋♦♥❝t✐♦♥ ❝❛r❛❝tér✐st✐q✉❡
❊①❡r❝✐❝❡ ✶ ▲♦✐s s②♠étr✐q✉❡s✱ ❢♦♥❝t✐♦♥ ❝❛r❛❝tér✐st✐q✉❡

▲❛ ❧♦✐ ❞✬✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ré❡❧❧❡ X ❡st ❞✐t❡ s②♠étr✐q✉❡ ❧♦rsq✉❡ X ❡t −X ♦♥t ♠ê♠❡

❧♦✐✳

✶✳ ➚ q✉❡❧❧❡ ❝♦♥❞✐t✐♦♥ ✉♥❡ ❧♦✐ ❞❡ ❞❡♥s✐té f ♣❛r r❛♣♣♦rt à ❧❛ ♠❡s✉r❡ ❞❡ ▲❡❜❡s❣✉❡ ❡st✲❡❧❧❡

s②♠étr✐q✉❡ ❄

✷✳ ❙♦✐t X ❡t Y ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ♠ê♠❡ ❧♦✐✳ ❊①♣r✐♠❡r ❡♥ ❢♦♥❝t✐♦♥

❞❡ ❧❛ ❢♦♥❝t✐♦♥ ❝❛r❛❝tér✐st✐q✉❡ ΦX ❞❡ X ❧❡s ❢♦♥❝t✐♦♥s ❝❛r❛❝tér✐st✐q✉❡s s✉✐✈❛♥t❡s ✿ Φ−X ✱

ΦX+Y ✱ ΦX−Y ✳
✸✳ ▼♦♥tr❡r q✉❡ ❧❛ ❧♦✐ ❞✬✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ré❡❧❧❡ X ❡st s②♠étr✐q✉❡ s✐✱ ❡t s❡✉❧❡♠❡♥t s✐✱

♣♦✉r t♦✉t t ∈ R✱ ΦX (t) ∈ R✳

✹✳ ❙♦✐t Y ✉♥❡ ✈✳❛✳ ré❡❧❧❡✱ ❡t Z ✉♥❡ ✈✳❛✳ ✐♥❞é♣❡♥❞❛♥t❡ ❞❡ Y ❡t ❞❡ ❧♦✐ ❞♦♥♥é❡ ♣❛r ✿

1
P(Z = 1) = = P(Z = −1).
2
▼♦♥tr❡r q✉❡ ❧❛ ❧♦✐ ❞❡ X = ZY ❡st s②♠étr✐q✉❡ ❡t ❝❛❧❝✉❧❡r s❛ ❢♦♥❝t✐♦♥ ❝❛r❛❝tér✐st✐q✉❡ ✭❡♥

❢♦♥❝t✐♦♥ ❞❡ ΦY ✮✳ ❙✐ Y ❛❞♠❡t ✉♥❡ ❞❡♥s✐té f✱ q✉❡❧❧❡ ❡st ❧❛ ❧♦✐ ❞❡ X❄

❊①❡r❝✐❝❡ ✷ ❈❛❧❝✉❧s ❞❡ ❢♦♥❝t✐♦♥s ❝❛r❛❝tér✐st✐q✉❡s

✶✳ ❈❛❧❝✉❧❡r ΦX ♦ù X s✉✐t ❧❛ ❧♦✐ E(λ)✳ ❊♥ ❞é❞✉✐r❡ ΦZ ♦ù Z s✉✐t ❧❛ ❧♦✐ γn,λ ♣♦✉r n ∈ N∗ ✳

✷✳ ❙♦✐t X ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ s✉✐✈❛♥t ❧❛ ❧♦✐ ❞❡ ▲❛♣❧❛❝❡✱ ❝✬❡st✲à✲❞✐r❡ q✉❡ ❧❛ ❧♦✐ ❞❡ X ❛

♣♦✉r ❞❡♥s✐té x 7→ 12 e−|x| s✉r R✳ ▼♦♥tr❡r q✉❡✱ ♣♦✉r t ∈ R✱ ΦX (t) = 1

1+t2
✳ ✭♦♥ ♣♦✉rr❛ ✉t✐❧✐s❡r

❧❛ ❞❡r♥✐èr❡ q✉❡st✐♦♥ ❞❡ ❧✬❡①❡r❝✐❝❡ ♣ré❝é❞❡♥t✮

✸✳ ❊♥ ❞é❞✉✐r❡ ❧❛ ❢♦♥❝t✐♦♥ ❝❛r❛❝tér✐st✐q✉❡ ❞✬✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ s✉✐✈❛♥t ✉♥❡ ❧♦✐ ❞❡ ❈❛✉❝❤②
1
❞❡ ♣❛r❛♠ètr❡ ✶ ✭❞❡♥s✐té f (x) = π(1+x2 )
✮✳ ◗✉❡❧❧❡ ❡st ❧❛ ❧♦✐ ❞❡ ❧❛ ♠♦②❡♥♥❡ ❞❡ ❞❡✉① ✈❛r✐❛❜❧❡s

❛❧é❛t♦✐r❡s ❞❡ ❧♦✐ ❞❡ ❈❛✉❝❤② ❞❡ ♣❛r❛♠ètr❡ ✶ ✐♥❞é♣❡♥❞❛♥t❡s ❄

✹✳ ❙♦✐t X1 , X2 , X3 , X4 ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ N (0, 1)✳ ❘❛♣♣❡❧❡r ❧❛

✈❛❧❡✉r ❞❡ ΦXi (t)✳ ❈❛❧❝✉❧❡r ΦX1 X2 ✭❡♥ ✉t✐❧✐s❛♥t ❧❡ t❤é♦rè♠❡ ❞❡ ❋✉❜✐♥✐✮✱ ♣✉✐s ΦX1 X2 +X3 X4 ✱
❡t ❡♥ ❞é❞✉✐r❡ ❧❛ ❧♦✐ ❞❡ X1 X2 + X3 X4 ✳

▲♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ✭❝❛s ❣é♥ér❛❧✱ ❝❛s à ❞❡♥s✐té✮

❊①❡r❝✐❝❡ ✸ X ❡t Y ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ré❡❧❧❡s ✐♥❞é♣❡♥❞❛♥t❡s✳ ◗✉❡❧❧❡ ❡st ❧❛ ❧♦✐
❙♦✐t
2
❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❞❡ X s❛❝❤❛♥t Y ❄ P❧✉s ❣é♥ér❛❧❡♠❡♥t✱ ♣♦✉r ϕ : R → R ♠❡s✉r❛❜❧❡✱ q✉❡❧❧❡

❡st ❧❛ ❧♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❞❡ ϕ(X, Y ) s❛❝❤❛♥t Y ❄

❊①❡r❝✐❝❡ ✹ ❙♦✐t X ❡tY ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ N (0, 1)✳ ❉ét❡r♠✐✲
♥❡r ❧❛ ❧♦✐ ❞✉ ❝♦✉♣❧❡ (X, X + Y )✱ ❡t ❡♥ ❞é❞✉✐r❡ ❧❛ ❧♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❞❡ X s❛❝❤❛♥t X + Y ✳
❊①❡r❝✐❝❡ ✺ ❙♦✐t X, Y ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ N (0, 1)✳
✶✳ ❉ét❡r♠✐♥❡r ❧❛ ❧♦✐ ❞✉ ❝♦✉♣❧❡ (X, Z) = (X, X + Y )✳
2 2

✷✳ ❊♥ ❞é❞✉✐r❡ ❧❛ ❧♦✐ ❞❡ X + Y ♣✉✐s ❧❛ ❧♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❞❡ X s❛❝❤❛♥t X 2 + Y 2 ✳

2 2

✸✳ ❈❛❧❝✉❧❡r E[ |X| |X + Y ]✳
2 2
√
✹✳ ❖♥ ♥♦t❡ R = Z ❡t ♦♥ ❞é✜♥✐t Θ ∈ [0, 2π[ ♣❛r ❧❡s éq✉❛t✐♦♥s X = R cos Θ ❡t
Y = R sin Θ✳ ❉ét❡r♠✐♥❡r ❧❛ ❧♦✐ ❞✉ ❝♦✉♣❧❡ (R, Θ)✳ ❈❡s ✈❛r✐❛❜❧❡s s♦♥t✲❡❧❧❡s ✐♥❞é♣❡♥❞❛♥t❡s ❄
❘❡tr♦✉✈❡r ❛❧♦rs r❛♣✐❞❡♠❡♥t ❧❡ rés✉❧t❛t ❞❡ ❧❛ q✉❡st✐♦♥ ♣ré❝é❞❡♥t❡✳
❊①❡r❝✐❝❡ ✻ ▲♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❛✉t♦✉r ❞❡ ❧❛ ❧♦✐ ❞❡ P♦✐ss♦♥
❙♦✐❡♥t X1 ❡t X2 ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s✱ ✐♥❞é♣❡♥❞❛♥t❡s✱ ❞❡ ❧♦✐ ❞❡ P♦✐ss♦♥ ❞❡ ♣❛r❛♠ètr❡
λ1 ❡t λ2 r❡s♣❡❝t✐✈❡♠❡♥t✳
✶✳ ❈❛❧❝✉❧❡r ❧❛ ❧♦✐ ❞❡ X1 + X2 ✳
✷✳ ❈❛❧❝✉❧❡r ❧❛ ❧♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❞❡ X1 s❛❝❤❛♥t X1 + X2 ✳ ■❞❡♥t✐✜❡r ✉♥❡ ❧♦✐ ❝♦♥♥✉❡ ♣✉✐s
✐♥t❡r♣rét❡r✳

❊①❡r❝✐❝❡ ✼ ▲♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❛✉t♦✉r ❞❡ ❧❛ ❧♦✐ ❞❡ ❇❡r♥♦✉❧❧✐

❙♦✐❡♥t X1 , . . . , Xn ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ❞❡ ❇❡r♥♦✉❧❧✐ ✐♥❞é♣❡♥❞❛♥t❡s t♦✉t❡s ❞❡ ♠ê♠❡ ❧♦✐ ✿
P(Xi = 1) = p✱ P(Xi = 0) = 1 − p ♣♦✉r ✉♥ p ∈]0, 1[✳ ❙♦✐t Sn = X1 + . . . + Xn ✳
✶✳ ◗✉❡❧❧❡ ❡st ❧❛ ❧♦✐ ❞❡ Sn ❄
✷✳ ◗✉❡❧❧❡ ❡st ❧❛ ❧♦✐ ❞✉ ❝♦✉♣❧❡ (X1 , Sn ) ❄
✸✳ ◗✉❡❧❧❡ ❡st ❧❛ ❧♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❞❡ X1 s❛❝❤❛♥t Sn ❄
✹✳ ◗✉❡❧❧❡ ❡st ❧❛ ❧♦✐ ❞❡ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❞❡ Sn s❛❝❤❛♥t X1 ❄

❊①❡r❝✐❝❡ ✽ ▲♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❛✉t♦✉r ❞❡ ❧❛ ❧♦✐ ❡①♣♦♥❡♥t✐❡❧❧❡

❙♦✐❡♥t T1 ❡t T2 ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s✱ ✐♥❞é♣❡♥❞❛♥t❡s✱ ❞❡ ❧♦✐ Exp(λ)✳
✶✳ ❈❛❧❝✉❧❡r ❧❛ ❧♦✐ ❞❡ T1 + T2 ✳
✷✳ ❈❛❧❝✉❧❡r ❧❛ ♣r♦❜❛❜✐❧✐té ❝♦♥❞✐t✐♦♥♥❡❧❧❡ P(T1 ∈ [a, b]|T1 ≤ t ≤ T1 + T2 ) ✿ ◗✉✬❡♥ ❝♦♥❝❧✉❡③✲
✈♦✉s ❄
 ❈♦rr❡❝t✐♦♥ ❞❡ ❧❛ ❢❡✉✐❧❧❡ ❞❡ ❚❉ ✼

❋♦♥❝t✐♦♥ ❝❛r❛❝tér✐st✐q✉❡
❊①❡r❝✐❝❡ ✶ ▲♦✐s s②♠étr✐q✉❡s✱ ❢♦♥❝t✐♦♥ ❝❛r❛❝tér✐st✐q✉❡
▲❛ ❧♦✐ ❞✬✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ré❡❧❧❡ X ❡st ❞✐t❡ s②♠étr✐q✉❡ ❧♦rsq✉❡ X ❡t −X ♦♥t ♠ê♠❡
❧♦✐✳
✶✳ X ❞❡ ❧♦✐ f (x)dx✳ ■❧ ❢❛✉t ❡t ✐❧ s✉✣t q✉❡ f s♦✐t ♣❛✐r❡ ✭♦✉ ♣❧✉tôt✱ s♦✐t é❣❛❧❡ ▲❡❜❡s❣✉❡✲
♣r❡sq✉❡✲♣❛rt♦✉t à ✉♥❡ ❢♦♥❝t✐♦♥ ♣❛✐r❡✮ ♣♦✉r q✉❡ ❧❛ ❧♦✐ ❞❡ X s♦✐t s②♠étr✐q✉❡✳ ❊♥ ❡✛❡t ❧❛
❧♦✐ ❞❡ −X ❡st R❞❡ ❞❡♥s✐té −fR ❀ ❡t s✐ ❞❡✉① ❞❡♥s✐tés f ❡t g ❢♦✉r♥✐ss❡♥t ❧❛ R ♠ê♠❡ ❧♦✐✱ ❡❧❧❡s
s♦♥t t❡❧❧❡s q✉❡ A f (x)dx = A g(x)dx ♣♦✉r t♦✉t ❜♦ré❧✐❡♥ A✱ ❞✬♦ù 0 = {f −g>0} (f − g) −
(f − g) = R |f (x) − g(x)|dx ❡t ❞♦♥❝ f (x) = g(x) dx✲♣r❡sq✉❡ ♣❛rt♦✉t✳
R R
{f −g<0}
✷✳ Φ−X (t) = ΦX (−t) = ΦX (t) ✭❝❛r X(ω) ∈ R✮✱ ΦX+Y = (ΦX ) ✱ ΦX−Y = |ΦX | ✳
2 2

✸✳ ΦX (t) ∈ R ss✐ ΦX (t) = ΦX (t) ss✐ ΦX (t) = Φ−X (t)✳

✹✳ ▲❛ ✈❛r✐❛❜❧❡ Z ❡st s②♠étr✐q✉❡✱ ❡t ❡st ✐♥❞é♣❡♥❞❛♥t❡ ❞❡ Y ✳ ❉♦♥❝ ❧❡ ❝♦✉♣❧❡ (−Z, Y ) ❛
♠ê♠❡ ❧♦✐ q✉❡ (Z, Y )✳ ❉♦♥❝ −ZY ❡t ZY ♦♥t ♠ê♠❡ ❧♦✐✳ ❊t✱ ❡♥ ❞é❝♦✉♣❛♥t s❡❧♦♥ ❧❡s ✈❛❧❡✉rs
❞❡ Z ✱ ΦX (t) = 21 (E[eitY ] + E[e−itY ]) = Re(ΦY (t))✳ ❙✐ Y ❛ ♣♦✉r ❞❡♥s✐té f ✱ −Y ❛ ♣♦✉r
❞❡♥s✐té y 7→ f (−y)✱ ❞♦♥❝ ΦX (t) = 21 (ΦY (t) + Φ−Y (t)) = eity f (y)+f2 (−y) dy ♣♦✉r t♦✉t t✱ ❝❡
R

q✉✐ ♠♦♥tr❡ q✉❡ X ❛ ♣♦✉r ❞❡♥s✐té f (y)+f2 (−y) ✳

❊①❡r❝✐❝❡ ✷ ❈❛❧❝✉❧s ❞❡ ❢♦♥❝t✐♦♥s ❝❛r❛❝tér✐st✐q✉❡s
✶✳ ❙✐ X s✉✐t ❧❛ ❧♦✐ E(λ)✱ ΦX (t) = ✳ ❈♦♠♠❡ ✭✈♦✐r ✜❝❤❡ ✹✮ ❧❛ ❧♦✐ γn,λ ❡st ❧❛ ❧♦✐ ❞❡ ❧❛
λ
λ−it
s♦♠♠❡ ❞❡ n ✈❛r✐❛❜❧❡s ❞❡ ❧♦✐ ❡①♣♦♥❡♥t✐❡❧❧❡ ✐♥❞é♣❡♥❞❛♥t❡s✱
 n
n λ
ΦZ (t) = (ΦX (t)) = .
λ − it

✷✳ ❖♥ ♣❡✉t ✈♦✐r q✉❡✱ s✐ ♦♥ ♥♦t❡ f (x) = e−x 1R+ (x) ❧❛ ❞❡♥s✐té ❞❡ ❧❛ ❧♦✐ ❡①♣♦♥❡♥t✐❡❧❧❡ ❞❡
♣❛r❛♠ètr❡ ✶✱ ❛❧♦rs 12 e−|x| = f (x)+f2 (−x) ✱ ❞♦♥❝ X s❡ ❞é❞✉✐t ❞✬✉♥❡ ✈❛r✐❛❜❧❡ Y ❞❡ ❧♦✐ E(1) ❞❡
❧❛ ♠ê♠❡ ❢❛ç♦♥ q✉✬à ❧❛ ✜♥ ❞❡ ❧✬❡①❡r❝✐❝❡ ✶✳ ❆✐♥s✐✱ ♦♥ ❛ ΦX (t) = Re( 1−it 1 1
) = 1+t 2✳

✸✳ ❈♦♠♠❡ ΦX ❡st ✐♥té❣r❛❜❧❡ s✉r R ♦♥ ❛✱ ♣❛r ❧❛ ❢♦r♠✉❧❡ ❞✬✐♥✈❡rs✐♦♥ ❞❡ ❋♦✉r✐❡r ✭♦✉ ❈♦r♦❧✲
❧❛✐r❡ ■■✳✶✹ ❞✉ ❝♦✉rs ✼✮✱ 21 e−|x| = 2π1 R e−itx ΦX (t)dt ♦ù X ❡st ❝♦♠♠❡ à ❧❛ q✉❡st✐♦♥ ❞✬❛✈❛♥t✳
R

❊♥ réé❝r✐✈❛♥t ❝❡tt❡ é❣❛❧✐té✱ ♦♥ ❛ e−itx π(1+t dt

2) = e
−|x|
✱ ❝✬❡st✲à✲❞✐r❡ ΦY (t) = e−|t| s✐ Y
❡st ❞❡ ❧♦✐ ❞❡ ❈❛✉❝❤② ❞❡ ♣❛r❛♠ètr❡ ✶✳ ❙♦✐t X1 , X2 ❞❡ ❧♦✐ ❞❡ ❈❛✉❝❤② ❞❡ ♣❛r❛♠ètr❡ ✶✳
Φ X1 +X2 (t) = E[ei 2 (X1 +X2 ) ] = ΦX1 (t/2)2 = e−|t| = ΦX1 (t)✳ ❉♦♥❝ ❧❛ ❧♦✐ ❞❡ X1 +X ❡st ❝❡❧❧❡ ❞❡
t
2
2
2
X1 ✳
✹✳ ❖♥ ❛ ✿
Z Z 
−itxy − y2 dy
2 x2 dx
ΦX1 X2 (t) = e e √ e− 2 √
2π 2π
dx
Z 2
x
= ΦX2 (tx)e− 2 √
2π
dx
Z 2
2 x
= e−(t +1) 2 √
2π
1
= √ .
1 + t2
P✉✐s ΦX1 X2 +X3 X4 (t) = √ 1 ✱ ❡t ❧❛ q✉❡st✐♦♥ ♣ré❝é❞❡♥t❡ ♠♦♥tr❡ q✉❡ X1 X2 + X3 X4 s✉✐t ❧❛
1+t2
1 −|t|
❧♦✐
2
e dt✳

▲♦✐s ❝♦♥❞✐t✐♦♥♥❡❧❧❡s
❊①❡r❝✐❝❡ ✸ ❡①❛♠❡♥ ❞❡ r❛ttr❛♣❛❣❡ ❞✉ ✷✺ ❥✉✐♥ ✷✵✵✽✳ P♦✉r t♦✉t❡ f : R → R ♠❡s✉r❛❜❧❡

❜♦r♥é❡✱ ♦♥ ❛ ✿

Z Z Z 
E[f (ϕ(X, Y ))] = f (ϕ(x, y))dµ(X,Y ) (x, y) = f (ϕ(x, y))dµX (x) dµY (y)
Z Z 
= f (φ)dµϕ(X,y) (φ) dµY (y),

❞♦♥❝ ❧❛ ❧♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❞❡ ϕ(X, Y ) s❛❝❤❛♥t Y =y ❡st ❧❛ ❧♦✐ ❞❡ ϕ(X, y)✳

x2 (z−x)2
❊①❡r❝✐❝❡ ✹ ❖♥ tr♦✉✈❡ (X, Z) = (X, X + Y ) 1
❞❡ ❞❡♥s✐té
2π
e− 2 e−
✱ ❡t ❝♦♠♠❡ Z ❛ 2

x2 (z−x)2 2
− 2 − 2 + z4 √1
♣♦✉r ❧♦✐ N (0, 2)✱ ❧❛ ❧♦✐ ❞❡ X ❝♦♥❞✐t✐♦♥♥❡❧❧❡♠❡♥t à Z ❛ ♣♦✉r ❞❡♥s✐té e ❡t
π
2 2 z 2 z
❧✬❡①♣♦s❛♥t s✬é❝r✐t −(x − zx + z /4) = −(x − ) ✱ ❞♦♥❝ ❝✬❡st ❧❛ ❧♦✐ N ( , 2)✳
2 2

❊①❡r❝✐❝❡ ✺ ▲♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❛✉t♦✉r ❞❡ ❧❛ ❧♦✐ ♥♦r♠❛❧❡

❙♦✐t X, Y ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ N (0, 1)✳
2
✶✳ P♦✉r t♦✉t❡ ❢♦♥❝t✐♦♥ ❜♦r♥é❡ f : R → R✱ ♦♥ ❛ ✿
dx dy
Z Z
2 2
E[f (X, Z)] = f (x, x2 + y 2 )e−x /2 e−y /2
R R 2π
Z Z ∞
2 2 dy dx
= 2 f (x, x2 + y 2 )e−x /2 e−y /2
2π
ZR Z0 ∞
dz dx
= 2 f (x, z)e−z/2 √
R x2 2 z − x2 2π
e−z/2
Z Z
= f (x, z)1{z≥x2 } √ dx dz,
R R 2π z − x2
−z/2
e√
❞♦♥❝ ❧❛ ❧♦✐ ❞✉ ❝♦✉♣❧❡ (X, Z) ❡st ❞❡ ❞❡♥s✐té f(X,Z) (x, z) = 1 2
2π z−x2 {z≥x }
♣❛r r❛♣♣♦rt à ❧❛
2
♠❡s✉r❡ ❞❡ ▲❡❜❡s❣✉❡ s✉r R ✳

✷✳ ❆❧♦rs ❧❛ ❧♦✐ ❞❡ Z ❡st ❞❡ ❞❡♥s✐té ✿

√
z
e−z/2 dx 1
Z Z
fZ (z) = f(X,Z) (x, z)dx = 1R+ (z) √
√ = e−z/2 1R+ (z)
R 2π − z z−x 2 2

✭❡♥ r❡❝♦♥♥❛✐ss❛♥t ❧❛ ❞ér✐✈é❡ ❞❡ arcsin √xz ❞❛♥s ❧✬✐♥té❣r❛❧❡✮✱ ❛✉tr❡♠❡♥t ❞✐t Z s✉✐t ❧❛ ❧♦✐

❡①♣♦♥❡♥t✐❡❧❧❡ ❞❡ ♣❛r❛♠ètr❡ ✶✴✷✳ ❉♦♥❝ ❧❛ ❧♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❞❡ X s❛❝❤❛♥t Z ❡st p(z, dx) =
fX|Z=z (x)dx ♦ù✱ ♣♦✉r z>0 ✿

f(X,Z) (x, z) 1{|x|≤√z} 1

fX|Z=z (x) = = √ ,
fZ (z) z − x2 π
❡t fX|Z=x (x) = 0 s✐ z ≤ 0✳
✸✳ ❆❧♦rs ✿
Z
E[ |X| |Z] = |x|fX|Z (x)dx
R
Z √Z
2 x
= √ dx
π 0 Z − x2
2h √ i√Z
= − Z − x2
π√ x=0
2 Z
= .
π

✹✳ ❱♦✐r ❝♦rr✐❣é ❞❡ ❧✬❡①❛♠❡♥✱ ♦✉ ✿ ❖♥ ♥♦t❡ φ : (x, y) 7→ (r, θ) ❧✬❛♣♣❧✐❝❛t✐♦♥ ❞❡ ♣❛ss❛❣❡ ❡♥

❝♦♦r❞♦♥♥é❡s ♣♦❧❛✐r❡s ❀ ❝✬❡st ✉♥ C 1 ✲❞✐✛é♦ ❞❡ R2 \ (R+ × {0}) ❞❛♥s ]0, +∞[×]0, 2π[✱ ❛✈❡❝
|Jφ−1 (r, θ)| = r✳ P♦✉r t♦✉t❡ ❢♦♥❝t✐♦♥ ♠❡s✉r❛❜❧❡ ❜♦r♥é❡ f : R2 → R✱ ♦♥ ❛ ❞♦♥❝ ✿

dx dy
Z Z
2 2 )/2
E[f (R, Θ)] = E[f (φ(X, Y ))] = f (φ(x, y))e−(x +y
R R 2π
Z ∞ Z 2π
2 dθ
= f (r cos θ, r sin θ)e−r /2 r dr ,
0 0 2π

❞♦♥❝ (R, Θ) ❛ ♣♦✉r ❞❡♥s✐té re−r /2 1]0,+∞[ (r) ]0,2π[ ✳ R ❡t Θ s♦♥t ✐♥❞é♣❡♥❞❛♥t❡s✱ ❞❡ ❧♦✐s
2 1 (θ)
2π
r❡s♣❡❝t✐✈❡s re −r2 /2
1]0,+∞[ (r)dr ❡t ❧❛ ❧♦✐ ✉♥✐❢♦r♠❡ s✉r
√ [0, 2π]✳ ▲❛ ❧♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❞❡ X
s❛❝❤❛♥t Z ❡st ❧❛ ❧♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡
√ ❞❡ R cos Θ = Z cos Θ s❛❝❤❛♥t Z ✳ ❖r Z ❡t Θ s♦♥t
✐♥❞é♣❡♥❞❛♥t❡s√❝❛r R = Z ❡t Θ ❧❡ s♦♥t✳ P❛r ❧✬❡①❡r❝✐❝❡ ✸✱ ❧❛ ❧♦✐ ❞❡ X s❛❝❤❛♥t Z = z ❡st
❞♦♥❝ ❧❛ ❧♦✐ ❞❡ z cos Θ✳ ◆♦t❛♠♠❡♥t✱ ♦♥ ❛ ❞♦♥❝ ✿
π/2 √
√ √ dθ 2 z
Z
E[ |X| |Z = z] = z E[ | cos Θ| ] = 4 z cos θ = ,
0 2π π

❝♦♠♠❡ ♦❜t❡♥✉ ♣❧✉s ❤❛✉t✳ ❖♥ ♣♦✉rr❛✐t ❛✉ss✐ r❡tr♦✉✈❡r ❧❛ ❞❡♥s✐té fX|Z=z (x)✳
❊①❡r❝✐❝❡ ✻ ▲♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❛✉t♦✉r ❞❡ ❧❛ ❧♦✐ ❞❡ P♦✐ss♦♥
❡①❛♠❡♥ ❞✉ ✾ ❥✉✐♥ ✷✵✵✽
❊①❡r❝✐❝❡ ✼ ▲♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❛✉t♦✉r ❞❡ ❧❛ ❧♦✐ ❞❡ ❜❡r♥♦✉❧❧✐
t❡st ♣❛rt✐❡❧ ❞✉ ✶✶ ❛✈r✐❧ ✷✵✵✽
❊①❡r❝✐❝❡ ✽ ▲♦✐ ❝♦♥❞✐t✐♦♥♥❡❧❧❡ ❛✉t♦✉r ❞❡ ❧❛ ❧♦✐ ❞❡ ❡①♣♦♥❡♥t✐❡❧❧❡
❡①❛♠❡♥ ❞❡ r❛ttr❛♣❛❣❡ ❞✉ ✷✺ ❥✉✐♥ ✷✵✵✽
❯♥✐✈❡rs✐té ❈❧❛✉❞❡ ❇❡r♥❛r❞ ▲②♦♥ ✶ Pr♦❜❛❜✐❧✐tés
❆♥♥é❡ ✉♥✐✈❡rs✐t❛✐r❡ ✷✵✵✽✲✷✵✵✾

❋❡✉✐❧❧❡ ❞❡ ❚❉ ✽

▼♦❞❡s ❞❡ ❝♦♥✈❡r❣❡♥❝❡ ❡t ❧❡♠♠❡ ❞❡ ❇♦r❡❧✲❈❛♥t❡❧❧✐

◗✉❡❧q✉❡s ❘❛♣♣❡❧s

P❛r ❞é✜♥✐t✐♦♥ [ \
lim inf An = Ak ,
n
n≥1 k≥n

❞♦♥❝ ω ∈ lim inf n An ⇔ ✐❧ ❡①✐st❡ n t❡❧ q✉❡ ω ∈ Ak ♣♦✉r t♦✉t k ≥ n✳ lim inf n An ❝♦♥t✐❡♥t
❧❡s é❧é♠❡♥ts ω ∈ Ω q✉✐ ❛♣♣❛rt✐❡♥♥❡♥t à t♦✉s ❧❡s An à ♣❛rt✐r ❞✬✉♥ ❝❡rt❛✐♥ r❛♥❣✳ ❉✬❛✉tr❡
♣❛rt \ [
lim sup An = Ak
n
n≥1 k≥n

❞♦♥❝ ω ∈ lim supn An ⇔ ♣♦✉r t♦✉t n✱ ✐❧ ❡①✐st❡ k(n) ≥ n t❡❧ q✉❡ ω ∈ Ak(n) ❞♦♥❝ lim supn An
❝♦♥t✐❡♥t ❧❡s é❧é♠❡♥ts ω ∈ Ω q✉✐ ❛♣♣❛rt✐❡♥♥❡♥t à ✉♥❡ ✐♥✜♥✐té ❞❡ An ✳
❖♥ s❛✈❛✐t ❞é❥à q✉❡ ♣♦✉r ✉♥❡ s✉✐t❡ ❞✬é✈é♥❡♠❡♥ts (An )n ✿
✯ P(∪∞ n=1 P(An ) ❛✈❡❝ ✉♥❡ é❣❛❧✐té ❞❛♥s ❧❡ ❝❛s ♦ù ❧❡s An s♦♥t ❞❡✉① à ❞❡✉①
P∞
n=1 An ) ≤
❞✐s❥♦✐♥ts✳
✯ limn→∞ P(An ) = P(∪∞ n=1 An ) ❧♦rsq✉❡ (An )n ❡st ❝r♦✐ss❛♥t❡✳
✯ limn→∞ P(An ) = P(∩n=1 An ) ❧♦rsq✉❡ (An )n ❡st ❞é❝r♦✐ss❛♥t❡✳
∞

P♦s♦♥s In = ∩k≥n Ak ❡t Jn = ∪k≥n Ak ✳ ❖♥ ❛ ❞♦♥❝ P(lim supn An ) = limn→∞ P(∪k≥n Ak ) =

limn→∞ P(Jn ) ❡t P(lim inf n An ) = limn→∞ P(∩k≥n Ak ) = limn→∞ P(In )✳
❉❡ ♣❧✉s ♣♦✉r t♦✉t n
In ⊂ An ⊂ Jn
❡t ♣❛r ❝♦♥séq✉❡♥t

P(lim inf An ) = lim P(In ) ≤ lim inf P(An ) ≤ lim sup P(An ) ≤ lim P(Jn ) = P(lim sup An ).
n n→∞ n n n→∞ n

❇♦r❡❧✲❈❛♥t❡❧❧✐ ✿
✯ n P(An ) < ∞ ⇒ P(lim supn An ) = 0✳
P

✯ (An ) ♠✉t✉❡❧❧❡♠❡♥t ✐♥❞é♣❡♥❞❛♥ts ❡t n P(An ) = ∞ ⇒ P(lim supn An ) = 1✳

P

❊①❡r❝✐❝❡ ✶ ❙♦✐t (Xn )n≥0 ✉♥❡ s✉✐t❡ ❞❡ ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ ❡①♣♦♥❡♥✲
t✐❡❧❧❡ ❞❡ ♣❛r❛♠ètr❡ λ > 0✳ ❖♥ ♣♦s❡
Xn
Y = lim sup .
n ln n
 1
▲❡ ❜✉t ❡st ❞❡ ♠♦♥tr❡r q✉❡ Y = λ
♣r❡sq✉❡ s✉r❡♠❡♥t✳

✶✳ ▼♦♥tr❡r q✉❡

    
Xn 1 Xn 1
P lim sup ≥ ≤ P lim sup ≥ .
n ln n λ n ln n λ
 Xn 1
P(Y ≥ λ1 ) = 1✳


✷✳ ▼♦♥tr❡r q✉❡ P lim supn ln n
≥ λ
= 1✳ ❊♥ ❞é❞✉✐r❡ q✉❡

✸✳ ▼♦♥tr❡r q✉❡✱ ♣♦✉r t♦✉t ǫ > 0✱

    
Xn 1+ǫ Xn 1+ǫ
P lim sup > ≤ P lim sup > .
n ln n λ n ln n λ
 Xn 1+ǫ

1+ǫ
✹✳ ▼♦♥tr❡r q✉❡ P lim supn ln n
> λ
= 0✳ ❊♥ ❞é❞✉✐r❡ q✉❡ P(Y > λ
) = 0✳
1
✺✳ ❊♥ ❞é❞✉✐r❡ q✉❡ P(Y = ) = 1✳
λ
Xn
✻✳ ▼♦♥tr❡r q✉❡
ln n
❝♦♥✈❡r❣❡ ✈❡rs 0 ❡♥ ♣r♦❜❛❜✐❧✐té✳ ❈❡tt❡ s✉✐t❡ ❝♦♥✈❡r❣❡✲t✲❡❧❧❡ ♣r❡sq✉❡

sûr❡♠❡♥t ✈❡rs 0❄

❊①❡r❝✐❝❡ ✷ ❙♦✐t (pn )n≥1 ✉♥❡ s✉✐t❡ ❞❛♥s [0, 1] q✉✐ t❡♥❞ ✈❡rs 0✳ ❙♦✐t (Xn )n≥1 ✉♥❡ s✉✐t❡ ❞❡
✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ ❇❡r♥♦✉❧❧✐ ❞❡ ♣❛r❛♠ètr❡ pn ✿ P(Xn = 1) = pn =

1 − P(Xn = 0)✳
✶✳ ▼♦♥tr❡r q✉❡ Xn ❝♦♥✈❡r❣❡ ✈❡rs 0 ❡♥ ♣r♦❜❛❜✐❧✐té✳
P
✷✳ ❙♦✉s q✉❡❧❧❡ ❝♦♥❞✐t✐♦♥ s✉r ❧❛ s♦♠♠❡ n pn ❧❛ s✉✐t❡ (Xn )n≥1 ❝♦♥✈❡r❣❡✲t✲❡❧❧❡ ❛✉ss✐ ♣r❡sq✉❡
sûr❡♠❡♥t ✈❡rs 0❄

❊①❡r❝✐❝❡ ✸ (Un )n∈N ✉♥❡ s✉✐t❡ ❞❡ ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ ❞❡ ❇❡r✲
❙♦✐t

♥♦✉❧❧✐ ❞❡ ♣❛r❛♠ètr❡ p ✭✐✳❡✳ q✉✐ ✈❛❧❡♥t ✶ ❛✈❡❝ ♣r♦❜❛❜✐❧✐té p ❡t ✵ ❛✈❡❝ ♣r♦❜❛❜✐❧✐té q = 1 − p✮✳
P♦✉r t♦✉t n✱ ♦♥ ♥♦t❡ Yn = Un Un+1 ✱ ♣✉✐s Sn = Y1 + . . . + Yn ✳

✶✳ P♦✉r t♦✉t n✱ q✉❡❧❧❡ ❡st ❧❛ ❧♦✐ ❞❡ Yn ❄

✷✳ ❆ q✉❡❧❧❡ ❝♦♥❞✐t✐♦♥ s✉r n ❡t m t❡❧s q✉❡ 1 ≤ n < m ❧❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s Yn ❡t Ym
s♦♥t✲❡❧❧❡s ✐♥❞é♣❡♥❞❛♥t❡s ❄

✸✳ ❈❛❧❝✉❧❡r E[Yn Ym ] E[Sn /n]✳

♣✉✐s ❝❛❧❝✉❧❡r

✹✳ ▼♦♥tr❡r q✉✬✐❧ ❡①✐st❡ ✉♥❡ ❝♦♥st❛♥t❡ C t❡❧❧❡ q✉❡✱ ♣♦✉r t♦✉t n✱ Var[Sn ] ≤ Cn✳

✺✳ ❉é♠♦♥tr❡r q✉❡ ❧❛ s✉✐t❡ Sn /n ❝♦♥✈❡r❣❡ ❡♥ ♣r♦❜❛❜✐❧✐té ✈❡rs ✉♥❡ ❝♦♥st❛♥t❡ à ♣ré❝✐s❡r✳

 ❈♦rr❡❝t✐♦♥ ❞❡ ❧❛ ❢❡✉✐❧❧❡ ❞❡ ❚❉ ✽

❊①❡r❝✐❝❡ ✶
✶✳ ❉❡❝♦✉❧❡ ❞❡ ❧✬ ✐♠♣❧✐❝❛t✐♦♥ s✉✐✈❛♥t❡ ❙♦✐t (xn )n≥0 ✉♥❡ s✉✐t❡ ❞❡ ♥♦♠❜r❡s ré❡❧s✳ ❖♥ r❛♣♣❡❧❧❡
q✉❡ lim supn xn = limn supk≥n xk ✳ ❆❧♦rs ♦♥ ♣❡✉t ♠♦♥tr❡r q✉❡

xn ≥ 0 ♣♦✉r ✉♥❡ ✐♥✜♥✐té ❞❡ n =⇒ lim sup xn ≥ 0

n
 Xn
≥ λ1 ) = P( Xn ≥ lnλn ) = e− ln n = n−1 ✳ ❉♦♥❝

✷✳ ❖♥ ❛ P( ln n

X  Xn 1
 X1
P( ≥ )= = ∞.
n
ln n λ n
n
 Xn 1

❈♦♠♠❡ ❧❡s ✈❛r✐❛❜❧❡s s♦♥t ✐♥❞é♣❡♥❞❛♥t❡s✱ ❇♦r❡❧ ❈❛♥t❡❧❧✐ ✐♠♣❧✐q✉❡ P(lim supn ln n
≥ λ
)=
1
1 ❡t ❞♦♥❝ ❛✈❡❝ ✶✳ P(Y ≥ λ
) = 1✳
✸✳ ❉❡❝♦✉❧❡ ❞❡ ❧✬ ✐♠♣❧✐❝❛t✐♦♥ s✉✐✈❛♥t❡ ❙♦✐t (xn )n≥0 ✉♥❡ s✉✐t❡ ❞❡ ♥♦♠❜r❡s ré❡❧s✳ ❖♥ r❛♣♣❡❧❧❡
q✉❡ lim supn xn = limn supk≥n xk ✳ ❆❧♦rs ♦♥ ♣❡✉t ♠♦♥tr❡r q✉❡

lim sup xn > 0 =⇒ xn > 0 ♣♦✉r ✉♥❡ ✐♥✜♥✐té ❞❡ n.

n

✹✳ ▼❛✐♥t❡♥❛♥t  
X Xn 1+ǫ X
P( > )= n−(1+ǫ) < ∞.
n
ln n λ n
 Xn
> λ1 (1 + ǫ) ) = 0✳ P(Y > λ1 (1 +

❇♦r❡❧ ❈❛♥t❡❧❧✐ ♥♦✉s ❞✐t ❛❧♦rs q✉❡ P(lim supn ❆✈❡❝ ✸✳
ln n
ǫ)) = 0✳
✺✳ ❖♥ ❧❛✐ss❛♥t t❡♥❞r❡ǫ ✈❡rs 0 ♦♥ ♦❜t✐❡♥t ♣❛r σ ✲❝♦♥t✐♥✉✐té q✉❡ P(Y > λ1 ) = limǫ→0 P(Y >
1+ǫ
λ
) = 0✳ ❉♦♥❝ P(Y = λ1 ) = P(Y ≥ λ1 ) − P(Y > λ1 )❂✶✲✵❂✶✳
X
✻✳ ❖♥ ❛ P( n ≥ a) = P(X1 ≥ aln n) → 0✳
ln n

❊①❡r❝✐❝❡ ✷
n→∞
✶✳ ❖♥ ❛ ♣♦✉r t♦✉t ǫ > 0 q✉❡ P(Xn ≥ ǫ) ≤ pn −→ 0T✳ S
✷✳ ❖♥ ♣♦s❡ Λn = {Xn = 1}✳ Λ = lim supn Λn = n k≥n Λk ❡st ❧✬❡♥s❡♠❜❧❡ ❞❡s ♣♦✐♥ts

P∈ Ω ♣♦✉r ❧❡sq✉❡❧❧❡s Xn (ω) ♥❡ ❝♦♥✈❡r❣❡ ♣❛s ✈❡rs 0✳ ❉✬❛♣rès ❇♦r❡❧✲❈❛♥t❡❧❧✐

ω P P(Λ) = 0 ss✐
n P(Λn ) < ∞✳ ❉♦♥❝ (Xn )n ❝♦♥✈❡r❣❡ ♣rèsq✉❡ s✉r❡♠❡♥t ✈❡rs 0 ss✐ n p n < ∞✳

❊①❡r❝✐❝❡ ✸ ❱♦✐r ❡①❛♠❡♥ ❞✉ ✾ ❥✉✐♥ ✷✵✵✽

 ❈♦rr❡❝t✐♦♥ ❞❡ ❧✬❡①❡r❝✐❝❡ ✶ ❞✉ ❚❞ ✽

X
✶✳ ▼♦♥tr♦♥s q✉❡ lim sup{ lnXnn ≥ 1/λ} ⊂ {lim sup n ≥ 1/λ}✳
ln n
❙♦✐t ω ∈ lim sup{ lnXnn ≥ 1/λ}✳ ❆❧♦rs ω ❛♣♣❛rt✐❡♥t à ✉♥❡ ✐♥✜♥✐té ❞✬é✈é♥❡♠❡♥ts { lnXnn ≥ 1/λ}
❝✬❡st✲à✲❞✐r❡ q✉❡ ❧✬❡♥s❡♠❜❧❡ {n ∈ N, Xlnn (ω)
n
≥ 1/λ} ❡st ✐♥✜♥✐✳
P❛r ❝♦♥séq✉❡♥t✱
 Xn lim1 sup
Xn (ω)
ln n
≥ 1/λ ❀ s♦✐t ❡♥❝♦r❡ ω ∈ {lim sup lnXnn ≥ 1/λ}✳
✷✳ ❖♥ ❛ P( ≥ λ ) = P( Xn ≥ lnλn ) = e− ln n = n−1 ✳ ❉♦♥❝

ln n
 
X Xn 1 X1
P( ≥ )= = ∞.
n
ln n λ n
n

❈♦♠♠❡ ❧❡s✈❛r✐❛❜❧❡s s♦♥t ✐♥❞é♣❡♥❞❛♥t❡s✱ ❇♦r❡❧ ❈❛♥t❡❧❧✐ ✐♠♣❧✐q✉❡

Xn
P(lim supn ln n
≥ λ1 ) = 1 ❡t ❞♦♥❝ ❛✈❡❝ ❧❛ q✉❡st✐♦♥ ✶✳ P(Y ≥ λ1 ) = 1✳
Xn
✸✳ ▼♦♥tr♦♥s q✉❡ {lim sup > 1+ǫ
λ
} Xn
⊂ lim sup{ ln n
> 1+ǫ
λ
} ✳
ln n
Xn Xn (ω)
❙♦✐t ω ∈ {lim sup > 1+ǫ
λ
} ♦♥ ❛ ❛❧♦rs lim sup > 1+ǫ
λ
✳
ln n   ln n
Xn (ω) X (ω)
❖r ✐❧ ❡①✐st❡ ✉♥❡ s♦✉s✲s✉✐t❡ ❞❡ q✉✐ ❝♦♥✈❡r❣❡ ✈❡rs lim sup n ✳
ln n n∈N ln n
❉♦♥❝ ❧✬❡♥s❡♠❜❧❡ {n ∈ N, ln n > λ } ❡st ✐♥✜♥✐✳
Xn (ω) 1+ǫ

❈❡ q✉✐ s✐❣♥✐✜❡ q✉❡ ω ∈ lim sup{ lnXnn > 1+ǫ

λ
}✳
✹✳ ▼❛✐♥t❡♥❛♥t
X  Xn 1+ǫ
 X
P( > )= n−(1+ǫ) < ∞.
n
ln n λ n

❇♦r❡❧ ❈❛♥t❡❧❧✐ ♥♦✉s ❞✐t ❛❧♦rs q✉❡ P(lim supn ln n > λ1 (1 + ǫ) ) = 0✳

 Xn

❆✈❡❝ ❧❛ q✉❡st✐♦♥ ✸✳ P(Y > λ1 (1 + ǫ)) = 0✳

✺✳ ❊♥ ❧❛✐ss❛♥t t❡♥❞r❡ ǫ ✈❡rs 0 ♦♥ ♦❜t✐❡♥t ♣❛r σ ✲❝♦♥t✐♥✉✐té q✉❡
P(Y > λ1 ) = limǫ→0 P(Y > 1+ǫλ
) = 0✳ ❉♦♥❝ P(Y = λ1 ) = P(Y ≥ λ1 ) − P(Y > λ1 )❂✶✲✵❂✶✳
✻✳ ❖♥ ❛ P( n ≥ ǫ) = P(X1 ≥ ǫln n) → 0✳
X
ln n
❆✉tr❡♠❡♥t ❞✐t✱ ✐❧ ❡st ❝❧❛✐r q✉❡ ❝❡tt❡ ✈❛r✐❛❜❧❡ ❝♦♥✈❡r❣❡ ❡♥ ♣r♦❜❛❜✐❧✐té ✈❡rs ✵✳
❖♥ ♣❡✉t ♠♦♥tr❡r q✉✬❡❧❧❡ ♥❡ ❝♦♥✈❡r❣❡ ♣❛s ♣s ✈❡rs ✵ ❡♥ ✉t✐❧✐s❛♥t ❧✬éq✉✐✈❛❧❡♥❝❡
Yn →ps Y s✐ ❡t s❡✉❧❡♠❡♥t s✐ ∀ǫ > 0 P(lim sup |Yn − Y | > ǫ) = 0.
n

❊♥ ❡✛❡t✱ ♣♦✉r Yn = Xn / ln n ❡t Y = 0 ✐❝✐✱ ♦♥ ✈♦✐t très r❛♣✐❞❡♠❡♥t ❛♣♣❛r❛îtr❡ ✉♥❡ ❝♦♥tr❛❝✲

❞✐❝t✐♦♥ ❛✈❡❝ ❧❡ rés✉❧t❛t ❞❡ ❧❛ q✉❡st✐♦♥ ✺✳
❯♥✐✈❡rs✐té ❈❧❛✉❞❡ ❇❡r♥❛r❞ ▲②♦♥ ✶ Pr♦❜❛❜✐❧✐tés
❆♥♥é❡ ✉♥✐✈❡rs✐t❛✐r❡ ✷✵✵✽✲✷✵✵✾

❋❡✉✐❧❧❡ ❞❡ ❚❉ ✾

❊①❡r❝✐❝❡ ✶ ❙♦✐t X ❡t Y ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐s r❡s♣❡❝t✐✈❡s E(λ)

❛✈❡❝ λ > 0 ❡t E(µ) ❛✈❡❝ µ > 0✳ ❖♥ ♥♦t❡ Z = min(X, Y )✳
✶✳ ❈❛❧❝✉❧❡r ❧❛ ❢♦♥❝t✐♦♥ ❞❡ ré♣❛rt✐t✐♦♥ ❞❡ Z ✳
✷✳ ❈❛❧❝✉❧❡r P(X ≤ Y )✳
✸✳ ▼♦♥tr❡r q✉❡ ❧❡s ✈❛r✐❛❜❧❡s Z ❡t 1{Z=X} s♦♥t ✐♥❞é♣❡♥❞❛♥t❡s✳
❙♦✐t X ❡t Y ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐s r❡s♣❡❝t✐✈❡s G(p) ❛✈❡❝ p ∈]0, 1[
❡t E(λ) ❛✈❡❝ λ > 0✳ ❖♥ ♥♦t❡ Z = min(X, Y )✳
✹✳ ❈❛❧❝✉❧❡r ❧❡s ❢♦♥❝t✐♦♥s ❞❡ ré♣❛rt✐t✐♦♥ ❞❡ X ❡t Y ✳
✺✳ ❈❛❧❝✉❧❡r P(X ≤ Y )✳
✻✳ P♦✉r k ∈ N ✱ ❝❛❧❝✉❧❡r P(Z = k)✳
⋆

✼✳ P♦✉r ℓ ∈ N✱ a ❡t b ❞❡✉① ré❡❧s t❡❧s q✉❡ ℓ < a < b < ℓ + 1✱ ❝❛❧❝✉❧❡r P(a < Z < b)✳

❊①❡r❝✐❝❡ ✷
✶✳ ❙♦✐t X0 , X1 , . . . , Xn ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❡t ✐❞❡♥t✐q✉❡♠❡♥t ❞✐str✐✲
❜✉é❡s✳ ❙♦✐t N ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ❞❡ ❧♦✐ ❜✐♥♦♠✐❛❧❡ B(n, p) ✐♥❞é♣❡♥❞❛♥t❡ ❞❡ X0 , X1 , . . . , Xn ✳
❖♥ ♣♦s❡
N
X
U= Xi .
i=0

❊①♣r✐♠❡r ❧❛ ❢♦♥❝t✐♦♥ ❝❛r❛❝tér✐st✐q✉❡ ❞❡ U ❡♥ ❢♦♥❝t✐♦♥ ❞❡ ❝❡❧❧❡ ❞❡ X0 ✳

✷✳ ❙♦✐t (Xn )n≥1 ✉♥❡ s✉✐t❡ ❞❡ ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❡t ❞❡ ♠ê♠❡ ❧♦✐ ❞❡ ❇❡r♥♦✉❧❧✐
❞❡ ♣❛r❛♠ètr❡ p✳ ❙♦✐t N ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ❞❡ ❧♦✐ ❞❡ P♦✐ss♦♥ ❞❡ ♣❛r❛♠ètr❡ λ > 0
✐♥❞é♣❡♥❞❛♥t❡ ❞❡ (Xn )n≥1 ✳ ❖♥ ♣♦s❡

0 si N = 0,
V = PN
i=1 Xi si N ≥ 1.

❈❛❧❝✉❧❡r ❧❛ ❢♦♥❝t✐♦♥ ❣é♥ér❛tr✐❝❡ ❞❡ V ✳ ◗✉❡❧❧❡ ❧♦✐ r❡❝♦♥♥❛✐ss❡③✲✈♦✉s ❄

❊①❡r❝✐❝❡ ✸
✶✳ ❙♦✐t (Xn )n≥1 ✉♥❡ s✉✐t❡ ❞❡ ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❡t ❞❡ ♠ê♠❡ ❧♦✐ N (0, 1)✳
1 Pn
▼♦♥tr❡r q✉❡ ❧❛ s✉✐t❡ ❞❡ t❡r♠❡ ❣é♥ér❛❧ X 2 eXi ❝♦♥✈❡r❣❡ ♣r❡sq✉❡ sûr❡♠❡♥t ❧♦rsq✉❡
n i=1 i
n t❡♥❞ ✈❡rs ❧✬✐♥✜♥✐ ✈❡rs ✉♥❡ ❧✐♠✐t❡ q✉❡ ❧✬♦♥ ♣ré❝✐s❡r❛✳
✷✳ ❙♦✐t (Yn )n≥1 ❡t (Zn )n≥1 ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❡t ❞❡ ♠ê♠❡ ❧♦✐ ✉♥✐❢♦r♠❡
s✉r [0, 1]✳ ❉ét❡r♠✐♥❡r ❧❡ ❝♦♠♣♦rt❡♠❡♥t ❧♦rsq✉❡ n t❡♥❞ ✈❡rs ❧✬✐♥✜♥✐ ❞❡ ❧❛ s✉✐t❡ ❞❡ t❡r♠❡
1 Pn
❣é♥ér❛❧ 1{Yi +Zi ≤1} ✳
n i=1
✸✳ ◆♦t♦♥s Mn = max(Y1 , . . . , Yn )✳ ❉ét❡r♠✐♥❡r ❧❛ ❧♦✐ ❞❡ Mn ♣✉✐s ♠♦♥tr❡r q✉❡ Mn ❝♦♥✈❡r❣❡
❡♥ ♣r♦❜❛❜✐❧✐té ✈❡rs 1✳
 ❈♦rr❡❝t✐♦♥ ❞❡ ❧❛ ❢❡✉✐❧❧❡ ❞❡ ❚❉ ✾

❊①❡r❝✐❝❡ ✶ ❙♦✐t X ❡t Y ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐s r❡s♣❡❝t✐✈❡s E(λ)

❛✈❡❝ λ > 0 ❡t E(µ) ❛✈❡❝ µ > 0✳ ❖♥ ♥♦t❡ Z = min(X, Y )✳
✶✳ Z ❡st ✉♥❡ ✈❛r✐❛❜❧❡ ♣♦s✐t✐✈❡✳ P♦✉r z > 0✱ ♦♥ ❛ P(Z ≤ z) = 1 − P(X > z, Y > z) =
1 − P(X > z)P(Y > z) = 1 − e−(λ+µ)z ❞♦♥❝ Z s✉✐t ✉♥❡ ❧♦✐ ❡①♣♦♥❡♥t✐❡❧❧❡ ❞❡ ♣❛r❛♠ètr❡
λ + µ✳
✷✳
R
2
R ∞ R ∞ −µy
−λx
P(X ≤ Y ) = R 1x≤y µ(X,Y ) (dx, dy) =T onelli 0 x
µe dy λe dx =
λ
λ+µ
✳
✸✳ ■❧ ❡st s✉✣s❛♥t ❞❡ ♠♦♥tr❡r q✉❡ ♣♦✉r A ⊂ R ❜♦ré❧✐❡♥ ✿ P(Z ∈ A, 1Z=X = 1) = P(Z ∈
A)P(1Z=X = 1)✳ ❖♥ ❛

P(Z ∈ A, 1Z=X = 1) = P(X ≤ Y, X ∈ A)

Z Z ∞ 
= µe dy λe−λx 1R+ (x)dx
−µy
A
Z x
= λ e−(λ+µ)x 1R+ (x)dx.
A

❉✬❛✉tr❡ ♣❛rt✱ P(Z ∈ A)P(1Z=X = 1) = P(Z ∈ A)P(X ≤ Y ) = RA(λ+µ)e−(λ+µ)z 1R (z)dz λ +λ µ . +

❙♦✐t X ❡t Y ❞❡✉① ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐s r❡s♣❡❝t✐✈❡s G(p) ❛✈❡❝ p ∈]0, 1[
❡t E(λ) ❛✈❡❝ λ > 0✳ ❖♥ ♥♦t❡ Z = min(X, Y )✳
✹✳ X ❡st ✉♥❡ ✈❛r✐❛❜❧❡ à ✈❛❧❡✉rs ❞❛♥s N⋆ ❡t ♣♦✉r x ≥ 1✱ ♦♥ ❛ ✿
[x]
X
P(X ≤ x) = P(X ≤ [x]) = p(1 − p)k−1 = 1 − (1 − p)[x] .
k=1

P♦✉r Y ♦♥ ❛ ♣♦✉r t♦✉t y ✿ P(Y ≤ y) = (1 − e−λy )1R+ (y).

✺✳

∞ ∞ ∞
X X X pe−λ
P(X ≤ Y ) = P(X ≤ Y, X = k) = P(Y ≥ k)P(X = k) = p(1−p)k−1 e−λk = .
k=1 k=1 k=1
1 − e−λ (1 − p)

✻✳ P♦✉r k ∈ N⋆✱ P(Z = k) = P(X = k, Y > k) ❝❛r Y ❡st à ❞❡♥s✐té ❞♦♥❝ P(Z = k) =
p(1 − p)k−1 e−λk ✳
✼✳ P♦✉r ℓ ∈ N✱ a ❡t b ❞❡✉① ré❡❧s t❡❧s q✉❡ ℓ < a < b < ℓ + 1✱ ♦♥ ❛ ✿
P(a < Z < b) = P(a < Y < b, X ≥ ℓ + 1) = P(a < Y < b)P(X ≥ ℓ + 1) = P(a < Y <
b)(1 − P(X ≤ ℓ)) = (e−λa − e−λb )(1 − p)ℓ ✳

❊①❡r❝✐❝❡ ✷
❖♥ ♣♦s❡ U = PNi=0 Xi. φU (t) = E[eitU ] = E[eitU (Pnk=0 1N =k )] = nPnk=0 E[eit X ]P(N =
Pk
j
✶✳ j=0

k) ♦♥ tr♦✉✈❡ ❛❧♦rs ❢❛❝✐❧❡♠❡♥t

 q✉❡ φU (t) = φX (t) (pφX (t) P
0 + 1 − p) ✳
0

❖♥ ♣♦s❡ V = i=1 Xi 1N ≥1✳ GV (s) = E[s ] = E[s ( ∞k=0 1N =k )] = P∞k=0 E[sV 1N =k ] =

P
N V V
✷✳

= eλp(s−1) ✳ ❖♥ r❡❝♦♥♥❛✐t
k
k −λ λ
k
P(N = 0)+ ∞
P P
X −λ
P∞
k=1 E[s j=11 j
N =k ] = e + k=1 (1−p+sp) e
❧❛ ❧♦✐ ❞❡ P♦✐ss♦♥ ❞❡ ♣❛r❛♠ètr❡ λp✳ k!
❊①❡r❝✐❝❡ ✸
✶✳ E[X 2 eX ] = 2e1/2 ✳ ❖♥ ❛ ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ♠ê♠❡ ❧♦✐ ✐♥té❣r❛❜❧❡s

❞♦♥❝ ❞✬❛♣rès ❧❛ ❧♦✐ ❢♦rt❡ ❞❡s ❣r❛♥❞s ♥♦♠❜r❡s ♦♥ ❛ ❧❛ ❝♦♥✈❡r❣❡♥❝❡ ♣s ✈❡rs 2e1/2 ✳
✷✳ E[1Y +Z≤1 ] = 1/2✳ ❖♥ ❛ ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ♠ê♠❡ ❧♦✐ ✐♥té❣r❛❜❧❡s

❞♦♥❝ ❞✬❛♣rès ❧❛ ❧♦✐ ❢♦rt❡ ❞❡s ❣r❛♥❞s ♥♦♠❜r❡s ♦♥ ❛ ❧❛ ❝♦♥✈❡r❣❡♥❝❡ ♣s ✈❡rs 1/2✳
✸✳ ◆♦t♦♥s Mn = max(Y1 , . . . , Yn )✳ ❖♥ ❛ ♣♦✉r x < 0 P(Mn ≤ x) = 0 ❡t ♣♦✉r x > 1
P(Mn ≤ x) = 1✳ P♦✉r x ∈ [0, 1]✱ ♦♥ ❛ P(Mn ≤ x) = P(Y1 ≤ x)n = xn ✳
P(|Mn − 1| > ε) = (1 − ε)n 10<ε≤1 ✳ ❉♦♥❝ ❝❡tt❡ ♣r♦❜❛❜✐❧✐té t❡♥❞ ✈❡rs ✵ ♣♦✉r t♦✉t ε > 0✳
❯♥✐✈❡rs✐té ❈❧❛✉❞❡ ❇❡r♥❛r❞ ▲②♦♥ ✶ Pr♦❜❛❜✐❧✐tés
❆♥♥é❡ ✉♥✐✈❡rs✐t❛✐r❡ ✷✵✵✽✲✷✵✵✾

❋❡✉✐❧❧❡ ❞❡ ❚❉ ✶✵

❊①❡r❝✐❝❡ ✶
▼♦♥tr❡r q✉❡✱ ❞❛♥s ✉♥❡ s✉✐t❡ ❞❡ ❧❛♥❝❡rs ✐♥❞é♣❡♥❞❛♥ts ❞❡ ♣✐è❝❡s ❞❡ ♠♦♥♥❛✐❡ ✐❞❡♥t✐q✉❡s✱ ❧❛
séq✉❡♥❝❡ P❋P❋❋ ✭P✐❧❡✱ ❋❛❝❡✮ ❛♣♣❛r❛ît ✉♥❡ ✐♥✜♥✐té ❞❡ ❢♦✐s✳ Pré❝✐s❡r ❝❡ rés✉❧t❛t à ❧✬❛✐❞❡ ❞❡
❧❛ ❧♦✐ ❢♦rt❡ ❞❡s ❣r❛♥❞s ♥♦♠❜r❡s✳
❊①❡r❝✐❝❡ ✷
❙♦✐t (Xn )n≥1 ✉♥❡ s✉✐t❡ ❞❡ ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s✱ ❞❡ ♠ê♠❡ ❧♦✐✳ ❖♥ ♥♦t❡ X =
X1 ✳ ❖♥ s✉♣♣♦s❡ E[X] = 0 ❡t E[X 4 ] < ∞✳ ▲❡ ❜✉t ❞❡ ❧✬❡①❡r❝✐❝❡ ❡st ❞❡ ❞é♠♦♥tr❡r ❧❛ ❧♦✐ ❢♦rt❡
❞❡s ❣r❛♥❞s ♥♦♠❜r❡s ♣♦✉r ❧❛ s✉✐t❡ (Xn )n ✳ ❖♥ ♥♦t❡✱ ♣♦✉r t♦✉t n✱ Sn = X1 + · · · + Xn ✳
✶✳ ▼♦♥tr❡r q✉❡✱ ♣♦✉r t♦✉t n✱ E[Sn ] = nE[X ] + 3n(n − 1)E[X ] .
4 4 2 2

✷✳ ❊♥ ❞é❞✉✐r❡ q✉❡✱ ♣♦✉r t♦✉t ε > 0✱ n P(|Sn | > nε) ❝♦♥✈❡r❣❡✳

P
✸✳ ❈♦♥❝❧✉r❡✳

❊①❡r❝✐❝❡ ✸ ❙♦✐t (Xn )n≥1 ✉♥❡ s✉✐t❡ ❞❡ ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s✱ ❞❡ ❧♦✐ E(λ)✳
✶✳ ▼♦♥tr❡r ❧❛ ❝♦♥✈❡r❣❡♥❝❡ ❡♥ ♣r♦❜❛❜✐❧✐té s✉✐✈❛♥t❡ ✿

1 (p) 1
max Xk −→ .
ln n 1≤k≤n n λ

✷✳ ❉é♠♦♥tr❡r q✉❡ ❧❛ s✉✐t❡ ❞❡ t❡r♠❡ ❣é♥ér❛❧ max1≤k≤n Xk − ln n

λ
❝♦♥✈❡r❣❡ ❡♥ ❧♦✐ ✈❡rs ✉♥❡
❧✐♠✐t❡ à ❞ét❡r♠✐♥❡r✳
❊①❡r❝✐❝❡ ✹
✶✳ ▼♦♥tr❡r q✉❡ s✐ (Xn )n ❝♦♥✈❡r❣❡ ❡♥ ❧♦✐ ✈❡rs ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ❝♦♥st❛♥t❡ c✱ ❛❧♦rs ❧❛
❝♦♥✈❡r❣❡♥❝❡ ❛ ❧✐❡✉ ❡♥ ♣r♦❜❛❜✐❧✐té✳
✷✳ ❉♦♥♥❡r ✉♥ ❡①❡♠♣❧❡ ❞❡ s✉✐t❡ (Xn )n≥0 q✉✐ ❝♦♥✈❡r❣❡ ❡♥ ❧♦✐ ♠❛✐s ♣❛s ❡♥ ♣r♦❜❛❜✐❧✐té ✭❡t
❞♦♥❝ ♣❛s ♣r❡sq✉❡ sûr❡♠❡♥t✮✳ ■♥❞✐❝❛t✐♦♥ ✿ ✉t✐❧✐s❡r ♣❛r ❡①❡♠♣❧❡ X ❞❡ ❧♦✐ N (0, 1) ❡t −X ✱
q✉✐ ❛ ♠ê♠❡ ❧♦✐✳

❊①❡r❝✐❝❡ ✺ ❙♦✐❡♥t X1 , . . . , Xn ❞❡s ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s ❞❡ ❧♦✐ ❡①♣♦♥❡♥t✐❡❧❧❡

X + · · · + Xn
❞❡ ♣❛r❛♠ètr❡ λ > 0✳ ❖♥ ♣♦s❡ X n = 1 ❡t Zn = 1/X n ✳
n
✶✳ ▼♦♥tr❡r q✉❡ Zn ❝♦♥✈❡r❣❡ ♣r❡sq✉❡ sûr❡♠❡♥t ✈❡rs λ q✉❛♥❞ n t❡♥❞ ✈❡rs ∞✳
✷✳ ❊♥ s✉♣♣♦s❛♥t n s✉✣s❛♠♠❡♥t ❣r❛♥❞ ♣♦✉r q✉❡ ❝❡❧❛ s❡ ❥✉st✐✜❡✱ ♣❛r q✉❡❧❧❡ ❧♦✐ ❣❛✉ss✐❡♥♥❡
♣❡✉t✲♦♥ ❛♣♣r♦❝❤❡r ❧❛ ❧♦✐ ❞❡ X n ❄
✸✳ ❙♦✐t N ✉♥❡ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ❞❡ ❧♦✐ N (0, 1)✱ ♠♦♥tr❡r q✉✬✐❧ ❡①✐st❡ ✉♥ ✉♥✐q✉❡ φ ∈ R t❡❧
+

q✉❡ P(|N | ≤ φ) = 0, 95✳

✹✳ ❊♥ ❞é❞✉✐r❡ ✉♥ ✐♥t❡r✈❛❧❧❡ ❞❡ ❧❛ ❢♦r♠❡ I = [1/λ − β, 1/λ + β]✱ ❛✈❡❝ β à ❞ét❡r♠✐♥❡r✱ t❡❧
q✉❡ P(X n ∈ I) = 0, 95✳
✺✳ ❊♥ ❞é❞✉✐r❡ ❡♥s✉✐t❡ ✉♥ ✐♥t❡r✈❛❧❧❡ ❞❡ ❧❛ ❢♦r♠❡ J = [α1 λ, α2 λ]✱ ❛✈❡❝ α1 , α2 à ❞ét❡r♠✐♥❡r✱
t❡❧ q✉❡ P(Zn ∈ J) = 0, 95✳
✻✳ ❆♣♣❧✐❝❛t✐♦♥ ♥✉♠ér✐q✉❡ ✿ ❝❛❧❝✉❧❡r J ✱ ❡♥ ❢♦♥❝t✐♦♥ ❞❡ λ ✐♥❝♦♥♥✉✱ ♣♦✉r n = 10000 ❡t
φ = 1, 96✳
 ❈♦rr❡❝t✐♦♥ ❞❡ ❧❛ ❢❡✉✐❧❧❡ ❞❡ ❚❉ ✶✵
❊①❡r❝✐❝❡ ✶ (Xn )n≥0 s✉✐t❡ ✐✳✐✳❞✳ ❞❡ ❧♦✐ P(Xn = F ) = 1/2 = 1 − P(Xn = P )✳ ❖♥ ❛♣♣❧✐q✉❡

❇♦r❡❧✲❈❛♥t❡❧❧✐ ❛✉① é✈é♥❡♠❡♥ts ✐♥❞é♣❡♥❞❛♥ts

A5n = {(X5n , X5n+1 , X5n+2 , X5n+3 , X5n+4 ) = (P, F, P, F, F )}

P
q✉✐ ♦♥t t♦✉s ♠ê♠❡ ♣r♦❜❛ ❞❡ s♦rt❡ q✉❡ ❧❛ sér✐❡
n P (A5n ) ❞✐✈❡r❣❡ ❣r♦ss✐èr❡♠❡♥t✳ ▲❛ ❧♦✐ ❞❡s
❣r❛♥❞s ♥♦♠❜r❡s ❞♦♥♥❡ q✉❛♥t à ❡❧❧❡ ❧❛ ❢réq✉❡♥❝❡ ❛s②♠♣t♦t✐q✉❡ ❞✬❛♣♣❛r✐t✐♦♥ ❞❡ ❧❛ séq✉❡♥❝❡ ✿

♣r❡sq✉❡✲sûr❡♠❡♥t✱

1 1 X 1 X
♯{1 ≤ k ≤ n|(Xk , Xk+1 , Xk+2 , Xk+3 , Xk+4 ) = (P, F, P, F, F )} = 1A5k +· · ·+ 1A −
→
n n 1≤5k≤n n 1≤5k+4≤n 5k+4 n

✭♦♥ ❞é❝♦✉♣❡ ❧✬❡♥s❡♠❜❧❡ s❡❧♦♥ ❧❡ rés✐❞✉ ❞❡ k ♠♦❞✉❧♦ ✺ ❞❡ ❢❛ç♦♥ à ❛✈♦✐r ❞❡s ✈✳❛✳ ✐♥❞é♣❡♥✲

❞❛♥t❡s✮✳

❊①❡r❝✐❝❡ ✷
❙♦✐t (Xn )n≥1 ✉♥❡ s✉✐t❡ ❞❡ ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s✱ ❞❡ ♠ê♠❡ ❧♦✐✳ ❖♥ ♥♦t❡ X =

X1 ✳ ❖♥ s✉♣♣♦s❡ E[X] = 0 ❡t E[X 4 ] < ∞✳ ▲❡ ❜✉t ❞❡ ❧✬❡①❡r❝✐❝❡ ❡st ❞❡ ❞é♠♦♥tr❡r ❧❛ ❧♦✐ ❢♦rt❡
❞❡s ❣r❛♥❞s ♥♦♠❜r❡s ♣♦✉r ❧❛ s✉✐t❡ (Xn )n ✳
4 4 2 2
✶✳ ▼♦♥tr❡r q✉❡✱ ♣♦✉r t♦✉t n✱ E[Sn ] = nE[X ] + 3n(n − 1)E[X ] . ✭❞é✈❡❧♦♣♣❡r✳✳✳✮
✷✳ P♦✉r t♦✉t ε > 0✱

E[Sn4 ] 3E[X 2 ]2
P(|Sn | > nε) = P(|Sn |4 > n4 ε4 ) ≤ ∼n .
n 4 ε4 n 2 ε4

✸✳ P♦✉r t♦✉t p ∈ N∗ ✱ ❡♥ ♣r❡♥❛♥t ε = 1/p✱ ♣❛r ❇♦r❡❧✲❈❛♥t❡❧❧✐✱ ✐❧ ❡①✐st❡ ♣✳s✳ n0 t❡❧ q✉❡✱
|Sn |
♣♦✉r n ≥ n0 ✱ n
≤ p1 ✳ ❈♦♠♠❡ ✉♥❡ ✐♥t❡rs❡❝t✐♦♥ ❞é♥♦♠❜r❛❜❧❡ ❞✬é✈é♥❡♠❡♥ts ♣r❡sq✉❡ sûrs
|Sn | 1
❡st ♣r❡sq✉❡ sûr❡✱ ♦♥ ❛ ✿ ♣✳s✳✱ ♣♦✉r t♦✉t p ∈ N∗ ✱ ✐❧ ❡①✐st❡ n0 t❡❧ q✉❡✱ ♣♦✉r n ≥ n0 ✱ n
≤ p
✱

❝✬❡st à ❞✐r❡ q✉❡ ❧❛ s✉✐t❡ (Sn /n)n ❝♦♥✈❡r❣❡ ✈❡rs ✵✳

❊①❡r❝✐❝❡ ✸ ❙♦✐t (Xn )n≥1 ✉♥❡ s✉✐t❡ ❞❡ ✈❛r✐❛❜❧❡s ❛❧é❛t♦✐r❡s ✐♥❞é♣❡♥❞❛♥t❡s✱ ❞❡ ❧♦✐ E(λ)✳
✶✳ ❙♦✐t ε > 0✳ ❖♥ ❛ ✿

1 1 1
P( max Xk − > ε) = P(Xk > ( + ε) ln n)n
ln n 1≤k≤n λ λ
= exp(−n(1 + λε) ln n) →n 0
❡t✱ s✐ ε < 1/λ ✿

1 1 1
P( max Xk − < −ε) = (1 − exp(−(1 − λε) ln n))n = exp(n ln(1 − 1−ελ )) →n 0,
ln n 1≤k≤n λ n
❡t ❝❡tt❡ ♣r♦❜❛ ❡st ♥✉❧❧❡ s✐ ε > 1/λ✳
✷✳ P♦✉r t ≤ 0✱ P(Zn ≤ t) = 0 ❡t ♦♥ ❛✱ ♣♦✉r t♦✉t t>0 ✿

ln n
P(Zn ≤ t) = P(Xk − ≤ t)n
λ
e−λt n −λt
= (1 − ) →n e−e .
n
❉♦♥❝ Zn ❝♦♥✈❡r❣❡ ❡♥ ❧♦✐ ✈❡rs ❧❛ ❧♦✐ ❛②❛♥t ♣♦✉r ❢♦♥❝t✐♦♥ ❞❡ ré♣❛rt✐t✐♦♥ F (t) = e−e 1[0,+∞[ (t)✳
−λt

❊♥ ❞ér✐✈❛♥t✱ ♦♥ ✈♦✐r q✉❡ ❝✬❡st ❛✉ss✐ ❧❛ ❧♦✐ ❞❡ ❞❡♥s✐té λe−λt e−e 1[0,+∞[ (t)✳ ■❧ s✬❛❣✐t ❞✬✉♥❡
−λt

❧♦✐ ❞❡ ●✉♠❜❡❧✳

❊①❡r❝✐❝❡ ✹
✶✳ ❙✐ (Xn )n ❝♦♥✈❡r❣❡ ❡♥ ❧♦✐ ✈❡rs ❧❛ ✈❛r✐❛❜❧❡ ❛❧é❛t♦✐r❡ ❝♦♥st❛♥t❡ c✱ ❛❧♦rs ✿ ♣♦✉r t♦✉t ε > 0✱

P(|Xn − c| > ε) = 1 − P(c − ε < Xn < c + ε) →n 0

♣❛r ❝♦♥✈❡r❣❡♥❝❡ ❞❡s ❢♦♥❝t✐♦♥s ❞❡ ré♣❛rt✐t✐♦♥ ❛✉① ♣♦✐♥ts ❞❡ ❝♦♥t✐♥✉✐té ❞❡ ❧❛ ❧✐♠✐t❡ ✭✐❝✐✱
♣❛rt♦✉t s❛✉❢ ❡♥ c✮✳
✷✳ X ❞❡ ❧♦✐ N (0, 1)✳ ❆❧♦rs −X ❛ ♠ê♠❡ ❧♦✐✱ ❞♦♥❝ ❧❛ s✉✐t❡ Xn = (−1) X ❝♦♥✈❡r❣❡ ❡♥ ❧♦✐
n

✈❡rs X ❀ ♦r Xn − X = 0 s✐ n ❡st ♣❛✐r ❡t −2X s✐ n ❡st ✐♠♣❛✐r ❞♦♥❝ ❧❛ s✉✐t❡ P(|Xn − X| > 1)
♥❡ ❝♦♥✈❡r❣❡ ♣❛s ✈❡rs ✵✳

❊①❡r❝✐❝❡ ✺
✶✳ P❛r ❧❛ ❧♦✐ ❞❡s ❣r❛♥❞s ♥♦♠❜r❡s ✭X1 ✐♥t❡❣r❛❜❧❡✮ ♦♥ ❛ X n → E[X1 ] = 1/λ✳ ❉♦♥❝
ps

Zn → λ ✳
ps

✷✳ P❛r ❧❡ ❚✳❈✳▲✳ s✐ Sn = nX n ❛❧♦rs

Sn − nE[X1 ]
√ ∼ N (0, σ(X1 ))
n
1
❞♦♥❝ X ∼ N (1/λ, √ )✳
nλ
R x −t2 /2 √
✸✳ ▲❛ ❢♦♥❝t✐♦♥ x 7→ e dt/ 2π ❡st ❝♦♥t✐♥✉❡✱ ❝r♦✐ss❛♥t❡ ❞❡ ✵ à ✶ ❞♦♥❝ ❧❡ t❤é♦rè♠❡ ❞❡s
−x
✈❛❧❡✉rs ✐♥t❡r♠é❞✐❛✐r❡s ✭s✐ I ✐♥t❡r✈❛❧❧❡ ❞❡ R ❡t f ❞é✜♥✐❡ s✉r I à ✈❛❧❡✉rs ré❡❧❧❡s ❡t ❝♦♥t✐♥✉❡
❛❧♦rs
√ f (I) ❡st ✉♥ ✐♥t❡r✈❛❧❧❡✳✮
✹✳ nλ(X − 1/λ) ∼ N (0, 1) ❞♦♥❝
√
P( nλ|X − 1/λ| < φ) = 0.95
√ √
❝✬❡st à ❞✐r❡ P(|X√− 1/λ| < φ/( nλ)) =√0.95 ❞♦♥❝ β = φ/( nλ)✳
✺✳ P(1/λ + φ/( nλ) ≤ X ≤ 1/λ + φ/( nλ)) = 0.95 ❡st ❡q✉✐✈❛❧❡♥t à

√ √
P(λ(1/(1 + φ/ n)) ≤ Zn ≤ λ(1/(1 − φ/ n))) = 0.95

❞♦♥❝ ♦♥ ♣♦s❡ √ √
α1 = λ(1/(1 + φ/ n)) et α2 = λ(1/(1 − φ/ n)).
√
✻✳ φ/ n = 0.0196 ❞♦♥❝ α1 = 0.98 ❡t α2 = 1.02 ❞✬♦✉ J = [0.98λ, 1.02λ]✳