Midterm Exam

Math 523 (Fall 2010)

Name:

1. Let X be uniformly distributed on [0, 1]. Find EeX .

Solution.
X

Ee

ex dx = 1 (e 1)

2. Prove that for any random variable X,

{X 6= 0} =

n=1

{|X| 1/n}.

Proof. Notice that {X 6= 0} {|X| 1/n} for each n. Hence,

{X 6= 0}

n=1

{|X| 1/n}.

On the other hand, for each {X 6= 0}, X() 6= 0 implies that there is a sufficiently
large n0 such that |X()| 1/n0 so
{|X| 1/n0 }

n=1

{|X| 1/n}.

This completes the argument for

{X 6= 0}

n=1

{|X| 1/n}.

3. Assume that P {|X| a} = 0 for every a > 0. Prove that X = 0 a.s.

Proof. Using the conclusion of problem 2,
P {X 6= 0} = P

[

n=1

{|X| 1/n}

n=1

P {|X| 1/n} = 0

where the inequality comes from sub-additivity.

4. Assume Xn 0 be a sequence of non-negative random variables. Prove that
E

n=1

Xn =

n=1

EXn .

()

Proof. For any N > 0, by linearity

E

N
X

N
X

Xn =

n=1

EXn

n=1

Since both sides are non-decreasing, the limit exists (possibly as extended number) for
both sides. Thus,
N

N
X
X
X
EXn =
EXn
lim E
Xn = lim
N

n=1

n=1

n=1

Notice that the random sequence

SN =

N
X

Xn

N = 1, 2,

n=1

is non-decreasing. By monotonic convergence theorem,

N
X

lim E

Xn = E lim

n=1

N
X

Xn = E

n=1

Xn

n=1

5. (optional). Replace the non-negativity of Xn in problem 4 by the assumption

n=1

E|Xn | <

and prove (*).

that

Proof. Write Xn = Xn+ Xn and |Xn | = Xn = Xn+ + Xn . The condition implies

n=1

EXn+ < and

n=1

EXn+ <

Applying the conclusion in problem 4 to {Xn+ } and {Xn }:

E

Xn+ =

n=1

So
E

Xn = E

n=1

n=1

Xn+ and E

n=1

(Xn+

n=1

EXn+

n=1

n=1

Xn )

EXn =

=E

X

n=1

n=1

Xn

X

Xn =

n=1

Xn+

E(Xn+ Xn ) =

n=1

Xn

n=1

EXn

Alternative proof. Applying the conclusion of problem 4 with Xn being replaced

by |Xn |,

X
X
E
|Xn | =
E|Xn | <
n=1

n=1

In particular,

n=1

That is to say, the series

convergent.

n=1

|Xn | <

a.s.

Xn is a.s. absolutely convergent. Therefore, it is a.s.

Write
SN =

N
X

Xn and Y =

n=1

n=1

|Xn |

We have EY < , |SN | Y (N = 1, 2, ) and

lim Sn =

Xn

a.s.

n=1

By dominated convergence theorem

lim E

N
X

Xn = lim ESN = E
N

n=1

Xn

n=1

Letting N on the both sides of the equation

E

N
X

n=1

Xn =

N
X

EXn

n=1

completes the proof.

6. Let the random variable X obey the standard normal distribution N (0, 1). Prove
that for any t > 0 and > 0,
P {X > t} et EeX

()

Proof. Notice that the function h(x) = ex is positive and increasing. Applying
Markov inequality to h(X) = eX ,
P {X > t} = P {h(X) > h(t)}

1
Eh(X) = et EeX
h(t)

7. (optional). In the context of problem 6, compute EeX and minimize the right
hand side of (**) by choosing an optimal .
Solution.
X

Ee

1
=
2

x x2 /2

e e

Write

1
dx =
2

n
1 2o
exp x x dx
2

1
1
2
x x2 = (x )2 +
2
2
2

We have
X

Ee

2
1
= e /2
2

exp

2
1
(x )2 o
dx = e /2

2
2

exp

2
y2 o
dy = e /2
2

Hence, the right hand side of (**) becomes

exp

t +

2 o
2

All we need now is to minimize t + 2 . A simple calculus shows t +

minimum t2 /2 at = t. Thus the optimal form of (**) is
P {X > t} exp

t2 o
2

2
2

reaches its