Exam in Probability Theory

Department of Mathematics WiSe 2020/2021

Prof. Dr. Volker Betz March 1, 2021

Given Name: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Matriculation Number: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

Family Name: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Degree Program: . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

P
Problem 1 2 3 4 5 Grade
Number of Points 10 6 10 10 6 42
Number of Points Achieved

Important Information
• Fill in the header of the exam immediately in block letters.

• Start each exercise on a new sheet and write your name on all sheets.

• The exam lasts 90 minutes.

• Unless explicitly stated otherwise, all results and intermediate steps have to be justified.

• Do not use pencils or red pens.

• All answers must be in English.

• Allowed auxiliary means: 2 handwritten DIN A4-pages (equivalent to 1 sheet).

Good luck!

1
1. Problem (4+6 points)

A real-valued random variable X is Gamma distributed with parameters a > 0 and b = 1, denoted by X ∼ Γa,1 , if its
distribution has the (Lebesgue) density

1 a−1 −x
pa,1 : R → [0, ∞), x 7→ 1{x>0} x e
Γ (a)

where Γ is the gamma function. For each a > 0, the characteristic function of X ∼ Γa,1 is given by
‹a
1

ϕX : R → C, t 7→ . (∗ )
1 − it

In part (b), you may use this result without proof.

(a) Verify (∗) for a = 2.

Reminder: It is well-known that Γ (2) = 1 holds.

(b) Let (Yk )k∈N be a sequence of independent random variables with Yk ∼ Γ2−k ,1 for each k ∈ N. Moreover, let Y ∼ Γ1,1 .
Pn

Show that k=1 Yk n∈N converges to Y in distribution and deduce

n
‚ Œ
X
lim P Yk ∈ (3, 4] = P(Y ∈ (3, 4]).
n→∞
k=1

2. Problem (2+2+2 points)

In this problem, no justification is needed. In each subproblem, exactly one of the options is correct and the grading
scheme is as follows: 2 points for ticking only the box corresponding to the correct statement and 0 points otherwise.

(a) Let (X k )k∈N be a sequence of i.i.d. random variables such that X 1 is uniformly distributed on [−2, 2]. Then

 Pn
limn→∞ 1n ln(P( 1n k=1 X k ≥ 1)) exists in (−∞, 0].

 lim 1
n→∞ n ln(P( 1n
Pn
k=1 X k ≥ 1)) = −∞ holds.

 lim 1
n→∞ n ln(P( 1n
Pn
k=1 X k ≥ 1)) does not exist.

(b) Let (Yn )n∈N be a sequence of real-valued random variables with supn∈N E(|Yn |) < ∞. Then (Yn )n∈N

 is tight.
 is not necessarily tight but must have a tight subsequence.
 does not necessarily have a tight subsequence.
(c) Let (Mn )n∈N and (Nn )n∈N be independent L 2 -martingales w.r.t. a common filtration. Then (2Mn + Nn )n∈N

 is an L -martingale with 〈2M + N 〉 = 2〈M 〉 + 〈N 〉 for all n ∈ N.

2
n n n n

 is an L -martingale with 〈2M + N 〉 = 4〈M 〉 + 〈N 〉 for all n ∈ N.

2
n n n n

 is not necessarily an L -martingale.

2

2
3. Problem (4+6 points)

(a) Let (X n )n∈N and (Yn )n∈N be submartingales w.r.t. a common filtration (Fn )n∈N . Show that

(X n ∨ Yn )n∈N = (max(X n , Yn ))n∈N

is an (Fn )n∈N -submartingale.

(b) Let (Zk )k∈N be a sequence of i.i.d. random variables with

1
P (Z1 = 3) = = 1 − P (Z1 = 0) .
3
Qn

Prove that the sequence (Mn )n∈N0 := k=1 Zk n∈N0
converges to 0 a.s. and that it is not uniformly integrable.

4. Problem (5+5 points)

(a) Let P be the uniform distribution on ([0, 1], B([0, 1])) and consider the random variable
p
X : [0, 1] → R, t 7→ t.

Determine (a version of) E(X |σ({[0, 41 ]})) and sketch both, X and E(X |σ({[0, 41 ]})), in a common coordinate system.

(b) We consider a sequence (Yn )n∈N of independent real-valued random variables with E(Yn ) = 0 for each n ∈ N and the
filtration (Fn )n∈N := (σ(Y1 , . . . , Yn ))n∈N . Let T be an (Fn )n∈N -stopping time with T ∈ {1, . . . , N } for some constant
N ∈ N. Prove E(YT +1 |F1 ) = 0 a.s.
Hint: Introduce some indicator functions depending on T .

5. Problem (6 points)

Let (X k )k∈N be a sequence of real-valued i.i.d. random variables with E(|X 1 |) < ∞. Prove

2n
1 X
lim X k X k+1 = (E(X 1 ))2 a.s.
n→∞ 2n
k=1