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The document is a problem sheet for a course on Stochastic Processes, detailing exercises related to probability spaces, random variables, and measurable functions. It includes tasks such as verifying events from coin toss sequences, showing properties of random variables, and establishing the Borel nature of nondecreasing functions. Additionally, it covers concepts related to measurable maps and σ-algebras.

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5 views

sheet4

The document is a problem sheet for a course on Stochastic Processes, detailing exercises related to probability spaces, random variables, and measurable functions. It includes tasks such as verifying events from coin toss sequences, showing properties of random variables, and establishing the Borel nature of nondecreasing functions. Additionally, it covers concepts related to measurable maps and σ-algebras.

Uploaded by

qq1812016515
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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STAT3004/4018/6018 Stochastic Processes, Sem 1

Problem Sheet 4

1 Let ({0, 1}N , P({0, 1})⊗N , Pp ) be the probability space of infinite and independent tossing
a fair coin with success probability p ∈ (0, 1). Here {0, 1}N = {(ω1 ω2 . . . ) : ωk ∈ {0, 1}} are
{0, 1}-sequences, with 0 and 1 encoding head and tail, respectively. The canonical event
system on {0, 1}N is the σ-algebra P({0, 1})⊗N = σ( n∈N {Aa1 ,...,an : a1 , . . . , an ∈ {0, 1}}),
S

generated by cylinder sets of the form Aa1 ,...,an := nk=1 {(ω1 ω2 . . . ) ∈ {0, 1}N : ωk = ak },
T

as associated to n ∈ N and a1 , . . . , an ∈ {0, 1}. The probability measure Pp is determined


by the probabilities of those cylinder sets as
Pn Pn
Pp (Aa1 ,...,an ) = (1−p)n− k=1 ak
p k=1 ak
, n ∈ N, a1 , . . . , an ∈ {0, 1} .

(a) Verify F, G are events where (i) F = {(ω1 ω2 . . . ) : ω1 = 1, ω2 = 0, ω3 = 1)} and


(ii) G =“the outcome is the alternating sequence 010101010 . . . ”.
(b) Determine the probabilities (i) Pp (F ) and (ii) Pp (G) of the events in (a) under the
assumption that the underlying coin is fair.
2 Let (Ω, F, P) be a probability space, and X : Ω → R be a random variable and c ∈ R.
Show that c + X is also a random variable.
3 Let f : R → R be a nondecreasing (=weakly increasing) function, i.e., for all x, y ∈ R,
x ≤ y ⇒ f (x) ≤ f (y). Show that f is a Borel function. Conclude monotonic functions
are Borel functions.
4 Let Ω is a non-empty set, (Ω0 , F 0 ) is a measurable space, X : Ω → Ω0 is a map, and set
σ(X) := {{X ∈ F 0 } : F ∈ F 0 }. Verify
(a) (i) {X ∈ Ω0 } = Ω, (ii) if F 0 ∈ P(Ω0 ), then {X ∈ F 0 }c = {X ∈ F 0c };
(iii) if F10 , F20 , . . . ∈ P(Ω0 ), then ∞
S 0
S∞ 0
n=1 {X ∈ F n } = {X ∈ n=1 Fn };
(b) σ(X) is a σ-algebra on Ω;
(c) if F is a σ-algebra on Ω and, in addition, X is F/F 0 -measurable, then σ(X) ⊆ F.
5? Let Ω, Ω0 be nonempty sets and Z : Ω → Ω0 a map. If F ⊆ P(Ω), let A0 = A0 (Z, F) ⊆
P(Ω0 ) be defined by A0 := A0 (Z, F) := {A0 ⊆ Ω0 : {Z ∈ A0 } ∈ F}. Verify
(a) if T is a non-empty index set and, for t ∈ T , Ft0 ∈ P(Ω0 ), then
n [ o [
Z∈ Ft0 = {Z ∈ Ft0 } ;
t∈T t∈T

(b) if F satisfies (S3) on Ω, then so does A0 on Ω0 ;


(c) if F is a σ-algebra on Ω, then so is A0 on Ω0 .

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