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UNIVERSITY EXAMINATIONS 2019/2020

FOURTH YEAR SUPPLEMENTARY/SPECIAL EXAMINATION FOR THE DEGREE

BACHELOR OF ACTURIAL SCIENCE AND BACHELOR OF SCIENCE IN STATISTICS

SMS 3455: MEASURE AND PROBABILITY

DATE: JANUARY 2021 TIME: 2 HOURS

INSTRUCTIONS: Answer question one and any other two questions

QUESTION ONE (30 MARKS)

(a) Consider the measure space ((0,1),M(0,1),m(0,1)).

(I) Define what is meant by saying that f : (0,1) → R is measurable. (3Marks)

(II) Define what is meant by saying that f : (0,1) → R is integrable. (4marks)

A measurable function f : (0,1) → R is said to be mean-square integrableif R(0,1) f2dm <∞.

(III) Show that every mean-square integrable function is integrable. (12marks)

(b) Consider the measure space (R,M,m).

(I) State the monotone convergence theorem.( 4marks)

(II) (Borel-Cantelli lemma) Suppose {Ek} is a sequence of measurable sets satisfying

Show that m(F) = 0 when F = {x : x belongs to infinitely many sets Ek}.

(Hint: A possible approach is to define , and

show that RR fdm<∞.(7)

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 QUESTION TWO (20 MARKS)

Consider the measure space (R,M,m).

(I) State the dominated convergence theorem.

(II) Evaluate

Consider the probability space ([0,1],M[0,1],m[0,1]). Find FX, the distribution function, and
E(X), the expectation of

a. X : [0,1] → R given by X(ω) = min{ω,1 − ω} (the distance to the nearest

endpoint of the interval [0,1]);

b. X : [0,1]2 → R, the distance to the nearest edge of the square [0,1]2.

QUESTION THREE (20 MARKS)

Consider the (Lebesgue) measurable function f :R2 → R.

aWhat does Fubini’s theorem tell us about RRR2 fdm2?

bEvaluateZy sin(x)e−xydxdy,

whereE = (0,∞) × (0,1), and justify your steps.

Consider the interval [−1,1] with Lebesgue measure m[−1,1]. and let ν be a measure on the
measurable space ([−1,1],B[−1,1]) such that

(
0 if − 1 ≤ x <0
ν([−1,x]) =
1 + x2 if 0 ≤ x ≤ 1.

c. Show that ν is not absolutely continuous with respect to m[−1,1].

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 d. Give the Lebesgue decomposition of ν with respect to m[−1,1], that is,
determine νaand νssuch that and νs⊥ m[−1,1].

e. Determine the Radon-Nikodym derivative of νawith respect to m[−1,1].

QUESTION FOUR (20 MARKS)

Consider the probability space ([0,1],M[0,1],m[0,1]) and set

A Does Xnconverge to 0 uniformly? Pointwise?

B Does Xnconverge to 0 almost surely? In probability?

C Does Xnconverge to 0 in L1-norm?

QUESTION FIVE (20 MARKS)

Define:

i. Measure space
ii. Outer measure
iii. Lebesgueintegrable
iv. Product measure
Show that Lebesgue outer measure is integrable
With examples, clearly indicate applications of product measure

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