Probability and Stochastic Processes (ENCS 6161)

SOLUTIONS – ASSIGNMENT NO. 3

Problem No. 4.11

𝑋 is uniformly distributed in interval [−1, 2]
The pdf is as follow:
1 1
= −1 ≤ 𝑥 ≤ 2
𝑓𝑋 (𝑥) = {2 − (−1) 3
0 𝑥 < −1 𝑎𝑛𝑑 𝑥 > 2

Therefore, the cdf in interval [−1, 2] is as follow:

𝑥 𝑥
1 1 𝑥 1
𝐹𝑋 (𝑥) = ∫ 𝑓𝑋 (𝑡)𝑑𝑡 = ∫ 𝑑𝑡 = 𝑡) = (𝑥 + 1)
−∞ −1 3 3 −1 3
We can write:
0 𝑥 < −1
1
𝐹𝑋 (𝑥) = { (𝑥 + 1) −1 ≤ 𝑥 ≤ 2
3
1 𝑥>2

1
𝑃[𝑋 ≤ 0] = 𝐹𝑋 (0) =
3
1 1
𝑃 [|𝑋 − | < 1] = 𝑃 [−1 < 𝑋 − < 1]
2 2

Page 1 of 16
 1 3
= 𝑃 [− < 𝑋 < ]
2 2
3 1
= 𝐹𝑋 ( ) − 𝐹𝑋 (− )
2 2
1 3 1 1 1 4 2
= ( + 1) − (− + 1) = ( ) =
3 2 3 2 3 2 3
1 1 1 1 1 5
𝑃 [𝑋 > − ] = 1 − 𝑃 [𝑋 ≤ − ] = 1 − 𝐹𝑋 (− ) = 1 − (− + 1) =
2 2 2 3 2 6

Page 2 of 16
Problem No. 4.17
(a)
2
𝑓𝑋 (𝑥) = {𝑐(1 − 𝑥 ) −1 ≤ 𝑥 ≤ 1
0 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
1 1
2 )𝑑𝑥
𝑥3 2 2 4
1 = 𝑐 ∫ (1 − 𝑥 = 𝑐 [𝑥 − ] = 𝑐 [ − (− )] = 𝑐
−1 3 −1 3 3 3
3
𝑐=
4
Therefore,
3 2
𝑓𝑋 (𝑥) = {4 (1 − 𝑥 ) −1 ≤ 𝑥 ≤ 1
0 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

(b) The cdf in interval [−1, 1] is as follow

𝑥
𝐹𝑋 (𝑥) = ∫ 𝑓𝑋 (𝑡)𝑑𝑡
−∞

3 𝑥
𝐹𝑋 (𝑥) = ∫ (1 − 𝑡 2 )𝑑𝑡
4 −1
𝑥
3 𝑡3
= [𝑡 − ]
4 3 −1

3 𝑥3 1 3 1 2
= [𝑥 − − (−1 + )] = [𝑥 − 𝑥 3 + ] , − 1 ≤ 𝑥 ≤ 1
4 3 3 4 3 3

Page 3 of 16
 0 𝑥 < −1
1 3 1
𝐹𝑋 (𝑥) = { + 𝑥 − 𝑥 3 −1 ≤ 𝑥 ≤ 1
2 4 4
1 𝑥>1

𝐹𝑋 (𝑥)

(c)
𝑃[𝑋 = 0] = 𝐹𝑋 (0) − 𝐹𝑋 (0− ) = 0

𝑃[0 < 𝑥 < 0.5] = 𝐹𝑋 (0.5) − 𝐹𝑋 (0)

1 3 1 1 1 3 1 11
= [ + ( )− ( ) ]− =
2 4 2 4 2 2 32
1 1 1 1 1 1 3
𝑃 [|𝑋 − | < ] = 𝑃 [− < 𝑋 − < ] = 𝑃 [ < 𝑋 < ]
2 4 4 2 4 4 4
3 1
= 𝐹𝑋 ( ) − 𝐹𝑋 ( )
4 4
1 3 3 1 3 3 1 3 1 1 1 3
= ( + ( )− ( ) )−( + ( )− ( ) )
2 4 4 4 4 2 4 4 4 4
35
= = 0.273
128

Page 4 of 16
Problem No. 4.33
𝑋 exponential random variable
0 𝑥<0
𝐹𝑋 (𝑥) = { −𝜆𝑥
1−𝑒 𝑥≥0
0 𝑥<0
𝑓𝑋 (𝑥) = { −𝜆𝑥
𝜆𝑒 𝑥≥0
(a)
𝑃[{𝑋 ≤ 𝑥}⋂{𝑋 > 𝑡}] 𝑃[𝑡 < 𝑋 ≤ 𝑥]
𝐹𝑋 (𝑥|𝑋 > 𝑡) = =
𝑃[𝑋 > 𝑡] 𝑃[𝑋 ≥ 𝑡]
0 𝑥<𝑡
𝐹𝑋 (𝑥|𝑋 > 𝑡) = {𝐹𝑋 (𝑥) − 𝐹𝑋 (𝑡)
𝑥≥𝑡
1 − 𝐹𝑋 (𝑡)
0 𝑥<𝑡
−𝜆𝑥 −𝜆𝑡
𝐹𝑋 (𝑥|𝑋 > 𝑡) = {(1 − 𝑒 ) − (1 − 𝑒 )
𝑥≥𝑡
1 − (1 − 𝑒 −𝜆𝑡 )
0 𝑥<𝑡
𝐹𝑋 (𝑥|𝑋 > 𝑡) = {𝑒 −𝜆𝑡 − 𝑒 −𝜆𝑥
= 1 − 𝑒 −𝜆(𝑥−𝑡) 𝑥≥𝑡
𝑒 −𝜆𝑡
𝐹𝑋 (𝑥|𝑋 > 𝑡) is a delayed version of 𝐹𝑋 (𝑥)

(b) Assuming
0 𝑥<𝑡
𝐹𝑋 (𝑥|𝑋 > 𝑡) = {𝐹𝑋 (𝑥) − 𝐹𝑋 (𝑡)
𝑥≥𝑡
1 − 𝐹𝑋 (𝑡)

Page 5 of 16
 The conditional pdf is found by differentiating with respect to x:
𝑓𝑋 (𝑥)−0
𝑓𝑋 (𝑥|𝑋 > 𝑡) = , 𝑥≥𝑡
1−𝐹𝑋 (𝑡)

𝜆𝑒 −𝜆𝑥
= ,𝑥 ≥ 𝑡
𝑒 −𝜆𝑡
= 𝜆𝑒 −𝜆(𝑥−𝑡) , 𝑥 ≥ 𝑡

0 𝑥<𝑡
𝑓𝑋 (𝑥|𝑋 > 𝑡) == { −𝜆(𝑥−𝑡)
𝜆𝑒 𝑥≥𝑡

(c)
𝑃[{𝑋 > 𝑡 + 𝑥}⋂{𝑋 > 𝑡}] 𝑃[{𝑋 > 𝑡 + 𝑥}]
𝑃[𝑋 > 𝑡 + 𝑥|𝑋 > 𝑡] = =
𝑃[𝑋 > 𝑡] 𝑃[𝑋 > 𝑡]
1 − 𝐹𝑋 (𝑡 + 𝑥) 1 − (1 − 𝑒 −𝜆(𝑡+𝑥) )
= =
1 − 𝐹𝑋 (𝑡) 1 − (1 − 𝑒 −𝜆𝑡 )
= 𝑒 −𝜆𝑥 , 𝑥≥0
𝑃[𝑋 > 𝑥] = 1 − 𝐹𝑋 (𝑥) = 1 − (1 − 𝑒 −𝜆𝑥 ) = 𝑒 −𝜆𝑥 , 𝑥≥0
Then, 𝑃[𝑋 > 𝑡 + 𝑥|𝑋 > 𝑡] = 𝑃[𝑋 > 𝑥].
The expression on the left side is the probability of having to wait at least 𝑥 additional seconds
given that one has already been waiting 𝑡 seconds. The expression on the right side is the
probability of waiting at least 𝑥 seconds when one first begins to wait. Thus, the probability of
waiting at least an additional 𝑥 seconds is the same regardless of how long one has already been
waiting! This is called memoryless property, since the additional waiting time does not depend
on the time already spent waiting.

Page 6 of 16
Problem No. 4.39
Refer to problem 4.17
3
𝑓𝑋 (𝑥) = (1 − 𝑥 2 ) for − 1 ≤ 𝑥 ≤ 1
4
(a)
∞
𝐸[𝑋] = ∫ 𝑥 𝑓𝑋 (𝑥)𝑑𝑥
−∞
1
3 1 2 )𝑑𝑥
3 𝑥2 𝑥4
𝐸[𝑋] = ∫ 𝑥(1 − 𝑥 = [ − ] =0
4 −1 4 2 4 −1
(b)
∞
𝐸[𝑋 2 ] = ∫ 𝑥 2 𝑓𝑋 (𝑥)𝑑𝑥
−∞
1
2]
3 1 2 2 )𝑑𝑥
3 𝑥3 𝑥5 3 2 2 1
𝐸[𝑋 = ∫ 𝑥 (1 −𝑥 = [ − ] = [ − ]=
4 −1 4 3 5 −1 4 3 5 5
Therefore,
1
𝑉𝐴𝑅[𝑋] = 𝐸[𝑋 2 ] − (𝐸[𝑋])2 =
5

Page 7 of 16
Problem No. 4.46
Gaussian random variable
1 (𝑥−𝑚)2
−
𝑓𝑋 (𝑥) = 𝑒 2𝜎2
√2𝜋𝜎 2
(a)
∞ (𝑥−𝑚)2
𝑥 −
𝐸[𝑋] = ∫ 𝑒 2𝜎2 𝑑𝑥
2
−∞ √2𝜋𝜎

Let 𝑦 = 𝑥 − 𝑚
∞ 𝑦2
1 −
𝐸[𝑋] = ∫ (𝑦 + 𝑚)𝑒 2𝜎2 𝑑𝑦
√2𝜋𝜎 2 −∞
∞ 𝑦2 ∞ 𝑦2
1 − 1 −
= ∫ (𝑦)𝑒 2𝜎2 𝑑𝑦 +𝑚∫ 𝑒 2𝜎2 𝑑𝑦
√2𝜋𝜎 2 −∞ −∞ √2𝜋𝜎 2
⏟
𝑡ℎ𝑒 𝑝𝑑𝑓 𝑜𝑓 𝑎 𝐺𝑎𝑢𝑠𝑠𝑖𝑎𝑛
⏟ 𝑚𝑒𝑎𝑛=0 𝑎𝑛𝑑 𝑣𝑎𝑟=𝜎2
𝑖𝑛𝑡𝑒𝑔𝑟𝑎𝑙 𝑜𝑓 𝑃𝐷𝐹
𝑜𝑣𝑒𝑟 𝑡ℎ𝑒 𝑒𝑛𝑡𝑖𝑟𝑒 𝑠𝑝𝑎𝑐𝑒=1
∞
−𝜎 2 𝑦2
− 2
𝐸[𝑋] = [𝑒 2𝜎 ] +𝑚 ×1
√2𝜋𝜎 2 −∞

𝐸[𝑋] = 0 + 𝑚 = 𝑚
(b)
∞
𝑉𝐴𝑅[𝑋] = 𝐸[(𝑋 − 𝐸[𝑋])2 ] = 𝐸[(𝑋 − 𝑚)2 ]=∫−∞(𝑥 − 𝑚)2 𝑓𝑋 (𝑥)𝑑𝑥

∞ (𝑥 − 𝑚)2 (𝑥−𝑚)2
−
𝑉𝐴𝑅[𝑋] = ∫ 𝑒 2𝜎2 𝑑𝑥
−∞ √2𝜋𝜎 2
Let 𝑦 = 𝑥 − 𝑚
∞ 𝑦2
1 −
𝑉𝐴𝑅[𝑋] = ∫ 𝑦2𝑒 2𝜎2 𝑑𝑦
√2𝜋𝜎 2 −∞
𝑦2 𝑦2
− −
Using integration by parts with 𝑢 = 𝑦, 𝑑𝑣 = 𝑦𝑒 2𝜎2 𝑑𝑦. Therefore, 𝑑𝑢 = 𝑑𝑦, 𝑣 = −𝜎 2 𝑒 2𝜎2

∫ 𝑢𝑑𝑣 = 𝑢𝑣 − ∫ 𝑣𝑑𝑢

Page 8 of 16
 ∞
1 𝑦2 ∞ 𝑦2
2 − 2 2 −
𝑉𝑎𝑟[𝑋] = ([−𝜎 𝑦𝑒 2𝜎 ] +𝜎 ∫ 𝑒 2𝜎2 𝑑𝑦)
√2𝜋𝜎 2 −∞ −∞

We know that:
𝑦2 𝑦 ∞ 𝐿′𝐻ô𝑝𝑖𝑡𝑎𝑙′𝑠 𝑟𝑢𝑙𝑒 1
−
lim 𝑦𝑒 2𝜎2 = lim = ⇒ = lim 𝑦 2 = 0
𝑦→∞ 𝑦→∞ 𝑦2 ∞ 𝑦→∞
𝑒 2𝜎2 𝑒 2𝜎2
𝑦2 𝑦 −∞ 𝐿′𝐻ô𝑝𝑖𝑡𝑎𝑙′𝑠 𝑟𝑢𝑙𝑒 1
−
lim 𝑦𝑒 2𝜎2 = lim = ⇒ = lim =0
𝑦→−∞ 𝑦→−∞ 𝑦2 ∞ 𝑦→−∞ 𝑦2
𝑒 2𝜎2 𝑒 2𝜎 2

Therefore,

∞ 𝑦2
1 −
𝑉𝑎𝑟[𝑋] = 0 + 𝜎 2 ∫ 𝑒 2𝜎2 𝑑𝑦 = 𝜎 2
⏟
√2𝜋𝜎 2
−∞
𝑡ℎ𝑒 𝑝𝑑𝑓 𝑜𝑓 𝑎 𝐺𝑎𝑢𝑠𝑠𝑖𝑎𝑛
⏟ 𝑚𝑒𝑎𝑛=0 𝑎𝑛𝑑 𝑣𝑎𝑟=𝜎2
𝑖𝑛𝑡𝑒𝑔𝑟𝑎𝑙 𝑜𝑓 𝑃𝐷𝐹
𝑜𝑣𝑒𝑟 𝑡ℎ𝑒 𝑒𝑛𝑡𝑖𝑟𝑒 𝑠𝑝𝑎𝑐𝑒=1

Page 9 of 16
Problem No. 4.63
𝑋 is a Gaussian random variable with 𝑚 = 5, 𝜎 2 = 16. It is known that, the cdf of a Gaussian
𝑥−𝑚
random variable is given by 𝐹𝑋 (𝑥) = Φ ( ), where Φ(𝑥) is the cdf of a Gaussian random
𝜎

variable with 𝑚 = 0, 𝜎 = 1. (We can also use Q(𝑥) = 1 − Φ(𝑥).)

(a)
4−5 1
(i) 𝑃[𝑋 > 4] = 1 − 𝐹𝑋 (4) = 1 − Φ ( ) = 1 − Φ (− 4)
4

1
= Φ ( ) = 0.5985
4
7−5 1
(ii) 𝑃[X≥7]= 1 − 𝐹𝑋 (7) = 1 − Φ ( ) = 1 − Φ (2) = 0.308
4

(iii) 𝑃[6.72 < 𝑋 < 10.16] = 𝐹𝑋 (10.16) − 𝐹𝑋 (6.72)

10.16 − 5 6.72 − 5
= Φ( ) − Φ( )
4 4
= Φ(1.29) − Φ(0.43)
= 0.235
7−5 2−5
(iv) 𝑃[2 < 𝑋 < 7] = 𝐹𝑋 (7) − 𝐹𝑋 (2) = Φ ( ) − Φ( )
4 4

1 3
= Φ ( ) − Φ (− )
2 4
= 0.465

𝑃[6 ≤ 𝑋 ≤ 8] = 𝐹𝑋 (8) − 𝐹𝑋 (6)

8−5 6−5
= Φ( ) − Φ( )
4 4
3 1
= Φ( ) − Φ( )
4 4
= 0.175

(b)
𝑃[𝑋 < 𝑎] = 0.8869
𝑎−5
Φ( ) = 0.8869
4
𝑎−5
= 1.2 ⟹ 𝑎 = 9.8
4

Page 10 of 16
(c)
𝑃[𝑋 > 𝑏] = 0.1131
𝑃[𝑋 > 𝑏] = 1 − 𝑃[𝑋 ≤ 𝑏] = 1 − 𝐹𝑋 (𝑏)
𝑏−5
= 1 − Φ( ) = 0.1131
4
𝑏−5
Φ( ) = .8869
4
𝑏−5
= 1.2 ⟹ 𝑏 = 9.8
4

(d)
𝑃[13 < 𝑋 ≤ 𝑐] = 0.0123
𝑃[13 < 𝑋 ≤ 𝑐] = 𝐹𝑋 (𝑐) − 𝐹𝑋 (13)
𝑐−5 13 − 5 𝑐−5
= Φ( ) − Φ( ) = Φ( ) − Φ(2)
4 4 4
Therefore,
𝑐−5
Φ( ) = Φ(2) + 0.0123 = 0.97725 + 0.0123 = 0.98955
4
𝑐−5
= 2.3 ⟹ 𝑐 = 14.2
4

Page 11 of 16
Problem No. 4.69
Since the passenger inter-arrival time is exponential random variable, the number of passengers
𝑁(𝑡) arriving at the taxi stand in time 𝑡 is a Poisson random variable.
𝑒 −𝜆𝑡 (𝜆𝑡)𝑛
𝑝[𝑁(𝑡) = 𝑛] =
𝑛!
Since seven (7) passengers are required to fill up the van, the event that more than 10 minutes
elapse until the van is full, i.e., the event {𝑋 > 10} is equivalent to the event {𝑁(10) < 7}.
𝑃[𝑋 > 10] = 𝑃[𝑁(10) < 7]
6
(𝜆𝑡)𝑘 − 𝜆𝑡
=∑ 𝑒
𝑘!
𝑘=0

𝜆 = 1 passenger per minute, 𝑡 = 10 minutes

𝜆𝑡 = 10 passengers

6
(10)𝑘 − 10
𝑃[𝑋 > 10] = ∑ 𝑒 = 0.1301
𝑘!
𝑘=0

Page 12 of 16
Problem No. 4.80
𝑌 = 2𝑋 + 3
From Problem No. 4.17:
3 2
𝑓𝑋 (𝑥) = {4 (1 − 𝑥 ) −1 < 𝑥 ≤ 1
0 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒
0 𝑥 < −1
1 3 1
𝐹𝑋 (𝑥) = { + 𝑥 − 𝑥 3 −1 ≤ 𝑥 ≤ 1
2 4 4
1 𝑥>1

(a)
𝑦−3 𝑦−3 𝑦−3
𝐹𝑌 (𝑦) = 𝑃[𝑌 ≤ 𝑦] = 𝑃[2𝑋 + 3 ≤ 𝑦] = 𝑃 [𝑋 ≤ ] = 𝐹𝑋 ( ), −1 ≤ ≤1
2 2 2

1 3 𝑦−3 1 𝑦−3 3 𝑦−3

= 2 + 4( ) − 4( ) , −1 ≤ ≤1
2 2 2

1
= (7 − 15𝑦 + 9𝑦 2 − 𝑦 3 ), 1 ≤ 𝑦 ≤ 5
32

Page 13 of 16
(b)
First way:
1
𝐹𝑌 (𝑦) = (7 − 15𝑦 + 9𝑦 2 − 𝑦 3 ), 1 ≤ 𝑦 ≤ 5
32
𝑑 1
𝑓𝑌 (𝑦) = 𝑑𝑦 𝐹𝑌 (𝑦) → 𝑓𝑌 (𝑦) = 32 (−15 + 18𝑦 − 3𝑦 2 ), 1 ≤ 𝑦 ≤ 5

Second way:
𝑑 𝑑 𝑦−3 𝑑 𝑑𝑢 𝑦−3
𝑓𝑌 (𝑦) = 𝑑𝑦 𝐹𝑌 (𝑦) = 𝑑𝑦 𝐹𝑋 ( ) = 𝑑𝑢 𝐹𝑋 (𝑢) , where 𝑢 =
2 𝑑𝑦 2

𝑑𝑢
= 𝑓𝑋 (𝑢) ×
𝑑𝑦
𝑦−3 1 𝑦−3
= 𝑓𝑋 ( ) (2), −1 ≤ ≤1
2 2

3 𝑦−3 2 1
= 4 (1 − ( ) ) (2), 1 ≤ 𝑦 ≤ 5
2
3
= 32 [4 − (𝑦 − 3)2 ], 1 ≤ 𝑦 ≤ 5
3
= 32 (−5 + 6𝑦 − 𝑦 2 ), 1 ≤ 𝑦 ≤ 5

3 3
→ 𝑓𝑌 (𝑦) = (−5 + 6𝑦 − 𝑦 2 ) = (𝑦 − 1)(5 − 𝑦) 1≤𝑦≤5
32 32

Page 14 of 16
Problem No. 4.102
The characteristic function of a random variable X is defined as follow:
∞
𝑗𝜔𝑥
Φ𝑋 (𝜔) = 𝐸[𝑒 ] = ∫ 𝑓𝑋 (𝑥)𝑒 𝑗𝜔𝑥 𝑑𝑥
−∞

(a) The pdf of a uniform random variable in the interval [−𝑏, 𝑏]:
1 1
= −𝑏 < 𝑥 ≤ 𝑏
𝑓𝑋 (𝑥) = {𝑏 − (−𝑏) 2𝑏
0 𝑒𝑙𝑠𝑒𝑤ℎ𝑒𝑟𝑒

The characteristic function of the uniform random variable in [−𝑏, 𝑏]:

∞ 𝑏 𝑏
1 𝑗𝜔𝑥 1 𝑒 𝑗𝜔𝑥 1
ΦX (𝜔) = ∫ 𝑓𝑋 (𝑥)𝑒 𝑗𝜔𝑥 𝑑𝑥 = ∫ 𝑒 𝑑𝑥 = [ ] = (𝑒 𝑗𝜔𝑏 − 𝑒 −𝑗𝜔𝑏 )
−∞ −𝑏 2𝑏 2𝑏 𝑗𝜔 −𝑏 2𝑗𝜔𝑏

According to the Maclaurin series we can rewrite ΦX (𝜔) as:

1 (𝑗𝜔𝑏)2 (𝑗𝜔𝑏)3 (𝑗𝜔𝑏)2 (𝑗𝜔𝑏)3
ΦX (𝜔) = 2𝑗𝜔𝑏 [(1 + 𝑗𝜔𝑏 + + + ⋯ ) − (1 − 𝑗𝜔𝑏 + − + ⋯ )]
2! 3! 2! 3!

1 2(𝑗𝜔𝑏)3 2(𝑗𝜔𝑏)5
ΦX (𝜔) = [2𝑗𝜔𝑏 + + +⋯]
2𝑗𝜔𝑏 3! 5!
(𝑗𝜔𝑏)2 (𝑗𝜔𝑏)4
ΦX (𝜔)= 1+ + +⋯
3! 5!

(b) The moment theorem states that the moments of X are given by
1 𝑑𝑛
𝐸[𝑋 𝑛 ] = Φ (𝜔)|
𝑗 𝑛 𝑑𝜔 𝑛 𝑋 𝜔=0

1 𝑑 1 2(𝑗𝑏)𝑗𝜔𝑏 4(𝑗𝑏)(𝑗𝜔𝑏)3
→ 𝐸[𝑋] = Φ𝑋 (𝜔)| = ×( + + ⋯ )| =0
𝑗 𝑑𝜔 𝜔=0 𝑗 3! 5! 𝜔=0

1 𝑑2 ΦX (𝜔) 1 2(𝑗𝑏)2 12(𝑗𝑏)2 (𝑗𝜔𝑏)2 1 2(𝑗𝑏)2 𝑏2

→ 𝐸[𝑋 2 ] = 𝑗2 | = 𝑗2 × ( + + ⋯ )| = 𝑗2 × =
𝑑𝜔 2 𝜔=0 3! 5! 𝜔=0 3! 3

𝑏2 𝑏2
𝑉𝑎𝑟[𝑋] = 𝐸[𝑋 2 ] − (𝐸[𝑋])2 = ( − 0) =
3 3

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Problem No. 4.105
𝜎2 𝜔 2
ΦX (𝜔) = 𝑒 𝑗𝑚𝜔− 2

1 𝑑ΦX (𝜔)
𝐸[𝑋] = |
𝑗 𝑑𝜔 𝜔=0
1 𝑑 𝑗𝑚𝜔− 𝜎2𝜔2
= 𝑒 2 |
𝑗 𝑑𝜔 𝜔=0

1 𝜎2 𝜔 2 1
2 𝑗𝑚𝜔−
= (𝑗𝑚 − 𝜎 𝜔)𝑒 2 | = (𝑗𝑚) = 𝑚
𝑗 𝜔=0
𝑗

1 𝑑2 ΦX (𝜔)
𝐸[𝑋 2 ] = |
𝑗 2 𝑑𝜔 2 𝜔=0

1 𝑑2 𝑗𝑚𝜔− 𝜎2𝜔2
= 2 𝑒 2 |
𝑗 𝑑𝜔 2 𝜔=0

1 𝑑 𝜎2 𝜔 2 𝜎2 𝜔 2
𝑗𝑚𝜔− 2 𝑗𝑚𝜔−
= 2 (𝑗𝑚 𝑒 2 −𝜎 𝜔𝑒 2 )|
𝑗 𝑑𝜔 𝜔=0

1 𝜎2 𝜔 2 𝜎2 𝜔 2
2 𝑗𝑚𝜔− 2 (𝑗𝑚 2 2 𝑗𝑚𝜔− 2
= (−𝜎 𝑒 + − 𝜎 𝜔) 𝑒 )|
𝑗2 𝜔=0
1
= [− 𝜎 2 + 𝑗 2 𝑚2 ] = 𝜎 2 − 𝑚2
𝑗2

𝑉𝑎𝑟[𝑋] = 𝐸[𝑋 2 ] − (𝐸[𝑋])2 = (𝜎 2 − 𝑚2 ) + 𝑚2 = 𝜎 2

Page 16 of 16