IE 523 Homework 5 Fall 2023

Due: 24 October 2023 Tuesday, 17:30, through MOODLE.

Submit a single portable document file with a name formatted as follows:

<Lastname><Firstname>HW5.pdf

For instance, SinaiYakovHW5.pdf.

Write your solutions legibly and explain your mathematical arguments in full.
You are welcome to discuss the homework problems with your classmates but you
have to write down your own solutions.

The numbered references in the questions are from the lecture notes on MOODLE.

Q. 1. (20 pts)

S (Ω, F, µ) be a measure space. If A1 , A2 , . . . ∈ F are null sets, then show

(a) (5) Let
that i∈N Ai is also a null set. (“A countable union of null sets is null.”)
(b) (15) State and prove an “almost everywhere version” of dominated convergence
theorem.
Q. 2. (15 pts) Let (Ω, F, P) be a probability space and X : Ω → R a random variable.
Prove that
 
rx
 −rX 
E erX
1 − inf e E e ≤ P {X > x} ≤ inf
r∈R+ r∈R+ erx
for every x ∈ R.
Hint: Start with the second inequality. Reformulate it without using infimum.
Q. 3. (20 pts) Let (Ω, F, P) be a probability space and X : Ω → R̄ a random variable.
Suppose that P{|X| < +∞} = 1 and let ε > 0. Then, show that there exists some
bounded random variable Y : Ω → R such that P{X 6= Y } < ε.
Q. 4. (10 pts) Solve Exercise 2.3.27.
Hint: Use the fact that
[
{X > Y } = {X > r > s > Y } ,
r,s∈Q,r>s

where Q is the set of all rationals.

Q. 5. (20 pts)

(a) (10) Solve Exercise 2.5.27.

(b) (10) Solve Exercise 2.5.28.

1
Q. 6. (15 pts) Let (Ω, F, P) be a probability space, (E, E) a measurable space, X : Ω →
E a random variable. Prove that a measure ν on (E, E) is the distribution of X under
P if and only if Z
Ef ◦ X = f dν
E
for every bounded measurable function f : E → R.