Technical University of Munich Probability Theory

Center for Mathematical Sciences Winter Term 2022

Chair for Probability Gantert/Reis

Exercise Sheet 5
Homework Exercises should be uploaded in
Moodle before November 28.
Students may ask the tutors for hints on homework exercises.

Tutorial Exercises

Problem 5.1
Let X1 , X2 , . . . be random variables. Show that there exists a sequence (cn )n∈N ⊂ (0, ∞) such
that
Xn cn → 0 almost surely as n → ∞.

Problem 5.2
Let X1 , X2 , . . . be independent Bernoulli random variables with P (Xn = 1) = pn . Show that

(i) Xn → 0 in probability as n → ∞ if and only if pn → 0 as n → ∞.

P∞
(ii) Xn → 0 almost surely as n → ∞ if and only if n=1 pn < ∞.

Homework Exercises

Problem 5.3
Let (Xi )i≥1 be a sequence of independent random variables and (Yi )i≥1 be another sequence of
independent random variables. We do not assume that (Xi )i≥1 and (Yi )i≥1 are independent.
The distribution of Xi is given by
1
P[Xi = 1] = = 1 − P[Xi = 0] , ∀ i ≥ 1 . (1)
i
The distribution of Yi is given by
1
P[Yi = 1] = = 1 − P[Yi = 0] , ∀ i ≥ 1 . (2)
i2
Show that
" #
\ [
P {Xk = Yk } = 1 , (3)
n≥1 k≥n
" #
[ \
P {Xk = Yk } = 0 . (4)
n≥1 k≥n

Please turn the page!

Problem 5.4
Let n ∈ N and Ωn be the space of all permutations of {1, . . . , n}. Let Pn be the uniform
distribution on Ωn . For a permutation π consider the sequence 1, π(1), π(π(1)), . . .. Even-
tually, π k (1) = 1. In this case, we say the first cycle is completed and has length k. To
start the second cycle, we pick the smallest integer i which is not in the first cycle and look
at i, π(i), π(π(i)), . . . until we return to i. This procedure is repeated until all elements are
accounted.
For k = 1, . . . , n define

1, if k is the last element of its cycle,
Xn,k := 
0, otherwise.

Show that Xn,1 , . . . , Xn,n are independent and that

1
P[Xn,k = 1] = , 1 ≤ k ≤ n. (5)
n−k+1