UNIVERSITY OF COPENHAGEN

Stochastic processes 2 (Stok2)

Reexam 2017-18
February 1st 2018

3 hours written exam. All aids are allowed (including a computer without
connection to the internet). In addition to pens, you are allowed to use pencils
and erasers.

The problem set consists of 4 pages. There are 2 problems with a total of 11
questions. The 11 questions carry the same weight in the final grading.

Note the convention that all limits are understood as for n → ∞ if nothing
else is stated.

Problem 1

Consider an array of real-valued random variables

X11
X21 X22
X31 X32 X33
.. .. .. ..
. . . .

The variables are not necessarily independent, but we assume that they are
independent within each row. We assume that Xnm has the same distribu-
tion as X11 for every n ∈ N and m = 1, . . . , n. We furthermore assume that
E |X11 | < ∞ and that E X11 = 0.

We consider the rowsums n

X
Sn = Xnm
m=1

We will investigate various forms of convergence of n1 Sn .

1
 2
Question 1.1. Assume that E X11 < ∞. Show that
1 P
Sn −→ 0
n
Hint: Find E Sn2 .

If Z1 , . . . , Zm are independent with E Zi4 < ∞, and E Zi = 0 for all i, it holds

that
 !4 
Xn X n Xn Xn
4 2
E Zk2



E  Zm  = E Zm + 3 E Zm (1)
m=1 m=1 m=1
k=1
k 6= m

It is elementary - but somewhat tedious - to establish (1). You are not asked
to show this, but you are free to use the formula.

4
Question 1.2. Assume that E X11 < ∞. Show that there is a
constant C > 0 such that

E Sn4 ≤ Cn2 for n ∈ N

and conclude that

1 L4
Sn −→ 0
n

4
Question 1.3. Assume still that E X11 < ∞. Show that
1 a.s.
Sn → 0
n
Hint: Borel-Cantelli’s lemma.

Question 1.4. Let us repeat the initial moment-assumptions of

the problem: We assume that E |X11 | < ∞ and that E X11 = 0.
Assuming no more than this, show that
1 P
Sn −→ 0.
n

2
 Hint: Let Y1 , Y2 , . . . be independent and identically distributed,
where each Yn -variable has the same distribution as X11 . Define
∗
a new array (Xnm ) by
∗
Xnm = Ym for n ∈ N , m = 1, . . . n .
∗
Denote the rowsums of the (Xnm )-array by Sn∗ . Establish and use
that
1 ∗ D
Sn −→ 0
n

Problem 2

Let X1 , X2 , . . . be independent real-valued random variables, and assume that

P (Xn = 1) = pn , P (Xn = 0) = 1 − pn
where we assume that pn ∈ (0, 1) for each n ∈ N. Let
n
X Sn − E Sn
Sn = Xi Tn = √ .
i=1
V Sn

Question 2.1. Find E Sn and V Sn . Find also E Tn and V Tn .

Question 2.2. Assume that the sequence (pn )n∈N of success-

probabilities satisfies that
n
1 X
pi (1 − pi ) → ∞ (2)
n2/3 i=1

Use Lyapounov’s CLT to show that

D
Tn −→ N (0, 1)

Question 2.3. Assume that the sequence (pn )n∈N of success-

probabilities satisfies that
∞
X
pn (1 − pn ) = ∞ . (3)
n=1

Use Lindeberg’s CLT to show that

D
Tn −→ N (0, 1)

3
It can be shown (you are not asked to do this) that (3) is actually a necessary
D
condition for Tn −→ N (0, 1).

Question 2.4. Show that (2) implies (3).

Construct a sequence (pn )n∈N of success-probabilities where (3)
is satisfied, but where (2) is not.

Question 2.5. Assume that the sequence (pn )n∈N of success-

probabilities satisfies that
∞
X
pn < ∞ (4)
n=1

Show that Sn converges almost surely and in L1 to some limit

variable S.

Question 2.6. Assume that the sequence (pn )n∈N of success-

probabilities satisfies (4). Show that Tn converges almost surely
and in L1 to some limit variable T .

P
Question 2.7. Assume that Sn → S for some limit variable S.
D
Show that there is a variable T such that Tn → T . Show also that
T cannot be N (0, 1)-distributed.