Selected Exercises on Expectations and Some Probability Inequalities

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1 Selected Exercises on Expectations and Some Probability Inequalities # If E(X 2 ) = and E X a > 0, then P( X λa) ( λ) 2 a 2 for 0 < λ <. [Compare Cauchy-Schwartz and Ceby sev.] #2 Show the identity: (exp( exp( (x+a))) exp( exp( x)))dx = a, [generalization is sometimes much easier.] #3 If {X n } is a sequence of identically distributed random variables with finite mean, then calculate E( max n X ) n #4 If X and Y are independent and for some p > 0, E X + Y p < then E X p < and E Y p <. #5 For arbitrary events {E }, show for each n N, n P( n =E ) P(E ) P(E E k ), = k n n n P( n =E ) ( P(E )) 2 /E(( E ) 2 ). = = (Bonferroni) If for each n, E (n), =,..., n are independent and P( n =E (n) ) 0 as n, then P( n =E (n) ) n = P(E(n) ). If = P(E ) = and there exists c > 0 such that we have for any m < n, then P( sup E n ) > 0. P(E m E n ) cp(e m )P(E n ), #6 Suppose that (B(t)) is a one dimensional Brownian motion. What is ( t B(s)ds)? Well 0 defined? #7 If E(Y 2 F) = X 2 and E(Y F) = X for two random variables X, Y where F is a σ field, then Y = X a.e. #8 Suppose S is distributed in exponential i.e. P(S > t) = e t, t > 0. Compute E(S S t) and E(S S t) for each t. Selected Exercises on Martingales #9 For integrable random variable, if E(X n+ X,..., X n ) = n (X X n ) = Y n, then Y n is a martingale.

2 #0 Suppose X n is a uniformly integrable submartingale, then for any stopping time τ, show (i) X τ n is a uniformly integrable submartingale, and (ii) EX EX τ sup n EX n. # Consider a simple random walk X 0 = 0 and X n = n = ξ for n with I.I.D. symmetric Bernoulli increments: P(ξ = ±) = /2 for. Define the moment generating function φ(θ) = E(e θξ ) = cosh θ and a stopping time T a = inf{k 0 X k = a} of filtration F n = σ(x, n). Show for any stopping time τ, (φ(θ)) n e θx n is a martingale. Then show P(T a < ) =, E(e λt ) = e λ e 2λ and calculate P(T = 2m ), m. Moreover, P(T a < T b ) = b/(a + b), E(T a T b ) = ab for a, b > 0. [What happens if P(ξ = ) = p = P(ξ = ) /2? How about Brownian motion analogue?] #2 If {X n, F n } is a square integrable martingale, show X n + f(< X > n ) = 0, a.e. on {< X > = } for every increasing function f : [0, ) [0, ) with 0 du < where (+f(u)) 2 < X > n is the nondecreasing predictable random variables such that X 2 n < X > n becomes a martingale. [Is it true for Brownian motion?] #3 (Azuma(967)-Hoeffding(963) inequality) If {X n, F n } is a martingale with increments ξ n = X n X n satisfying ξ n < r n < a.s. for some positive sequence {r n }, then show for λ > 0 ( ) P( X n λ) 2 exp λ 2 2 k = r2 k [ Show for e xy cosh y + x sinh y on x [, ] for fixed y > 0. Take x = ξ k /r k and y = tr k to obtain cosh y + ξ k /r k sinh r k e tr k for t 0. Finally, find a bound for E(e t P ξ k) and use P(Xn λ) E(e t P ξ k)/e λt. For an application to long common subsequence problem, see Steele(997) pp 4] #4 Suppose X, X 2,... are independent positive non degenerate random variables such that E(X ) = for. Define M 0 =, M n = n = X. Show M n is martingale and M = n M n exists in R. [in this context the following are equivalent: (a) EM =, (b) n E M n M = 0, (c) {M n } is uniformly integrable, (d) = a > 0 where a = E X, (e) = ( a ) <. This is due to Kakutani. An application of this result is consistency of the likelihood ratio test.] #5 Suppose {X n, F n } is a square integrable martingale with X 0 = 0 and so is {Xn 2 < X > n, F n }. Here < X > n is the predictable nondecreasing sequence. Show if E < X > <, E(sup n τ X n ) 3E < X > τ for any stopping time τ. [This is valid if we replace < X > by [X] n := n = (X X ) 2. Indeed X 2 [X] is a martingale. For this quadratic variation process [X], derive the lower bound for E(sup k τ X k ) (Davis Inequality). Also see Burkholder-Gundy Inequality.] 2.

3 #6 Fatou equation let X 0, X,..., be a sequence of random variables adapted to a filtration {F n } n=0 with E[sup n X n ] <. Denote by S the collection of stopping times of this filtration. Then show sup EX τ := inf τ S σ S sup τ σ,τ S EX τ = E( sup X n ) n #7 Suppose W is standard Brownian motion. Consider the dyadic rational partitions = t2 n of interval [0, t]. Show t (n) 2 n = (W t (n) W (n) t ) 2 = t, 2 n = W t (n) W (n) t =. #8 Show W t t W 0 s/sds, 0 t and W t t (W 0 W s )/( s)ds, 0 t are Brownian motion if W is standard Brownian motion. #9 Let Φ be the cumulative distribution function of normal random variable. Show Φ(W t / t), 0 t is a martingale, whereas Φ( W t / t), 0 t is a submartingale. #20 For a < 0 < b define T b := inf{t 0 : W t = b}, T ab := inf{t 0 : W t (a, b)}for standard Brownian motion W with W 0 = 0. Calculate P(W Tab = b), E(T ab ), P(T b < ), E(T b ). [if W is Brownian motion with drift, then how will they be adusted?] State the reflection principle. Show is Brownian motion. { Wt 0 t < T W := b 2b W t T b t < 3

4 #2 X,... i.i.d EX = µ (0, ). Define N c = sup{n : S n cn α }, where c > 0 and 0 < α <. Then Nc α /c /µ a.s. # 22 X,... independent E(X 2 n) =, EX n = 0 for each n. Then n = X n(log n) /2+ε = 0, a.s. # 23 Y n 0 in probability if and only if there exists Eg(Y n ) 0 where g(x) = x /( + x ). # 24 If X n /b n 0 as n for strictly increasing b n, then b n max n X 0. # 25 X,..., i.i.d. E X <, S n = n = X. For a > EX, show (i) P(S n > na) = 0 (ii) P(S n > na)p(s m > ma) P(S n+m > (m + n)a). (iii) P(S n na) exp(nγ(a)) where γ(a) = n P(S n > na). # 26 X i i.i.d. EX = 0, EX 2 =, EX 4 = ν, 0 < ν <. Suppose N(t)/t converges in probability to some positive constant c as t. Find the it i N(t) X ix /N(t) as t. # 27 X i i.i.d. E X r < for some r. Then S n /n converges to EX almost surely and also in L. # 28 2Ef(X +X 2 )f(x +X 3 ) Ef 2 (X +X 2 )+E 2 f(x +X 2 ) for any bounded measurable function f and i.i.d. r.v. X i, i =, 2, 3. # 29 f(x, x 2 ) is bivariate normal density if and only if both conditional densities f(x x 2 ) and f(x 2 x ) are normal. Prove or disprove. # 30 {X n, M n } bivariate discrete Markov chain with transition probabilities are defined by P(X n+ = M n+, M n, X n ) = ( Mn+ ) { } { ( + σ)xn Mn X n M n + σx n M n + σx n } Mn+ for = 0,..., M n+, σ > 0 and M n as n. Show Y := n Y n n X n /M n exists and Y ( Y ) = 0. P # 3 Explain the relationship among (a) X n X (b) X n ε) < for ε > 0, (d) X n L X. a.s. X, (c) n P( X n X > # 32 Suppose X,..., X n i.i.d. Then E X < if and only if P( X n > n i.o.) = 0. # 33 X,... i.i.d. with common distribution function F. Let F n be the empirical distribution of X,..., X n. Show that (a) P( F n (t) F (t) > x) 2e Cnx2 for some C > 0 and t R. (b) F n (t) F (t) = O([(log n)/n] /2 ). Is it true for uniformly in t? 4

5 Some exercises on characteristic functions: in the following define the characteristic function φ µ (ξ) for a probability measure µ with distribution function F. # 34 Show (sin(aξ/2)/(aξ/2)) 2 and ( ξ /a) 0 are characteristic functions. What are the corresponding probability distributions? # 35 Denote n δ be the density of the normal distribution with mean 0 and variance δ 2 and put f δ (x) := (f n δ )(x) f(x y)n δ (y)dy for a bounded uniformly continuous function f. Show as δ 0, f δ f uniformly in R. # 36 Let X be independent random variables each having the normal distribution. Find the characteristic function of n = X2. # 37 Let Re(y) be the real part of a complex variable y. Show the following Re( φ µ (ξ)) 4 Re( φ µ(2ξ)), Re(φ µ (ξ)) ξ 2 d ξ = π 2 x d µ(x). # 38 Show the inversion formula: for x < x 2 µ((x, x 2 )) + 2 µ({x }) + 2 µ({x 2}) = T 2T T T e iξx e iξx 2 φ µ (ξ)d ξ iξ # 39 Show α 0 cos T (x a) d µ(x) = [T (x a)] 2 2T 2 (F (x + u) F (x u))d u = π T T (T ξ )e iξa φ µ (ξ)d ξ, for T > 0, a R, cos αξ ξ 2 e iξx φ µ (ξ)d ξ for α > 0. # 40 Show the distribution function F is continuous if and only if T 2T T T φ µ (ξ) 2 d ξ = 0. # 4 Show the central it theorem: for X,... i.i.d. with finite mean E(X) = µ and variance Var(X) = σ 2, Sn µn σ converges in distribution to the normal. n # 42 φ µ is a characteristic function if and only if it is positive definite, continuous at zero and φ µ (0) =. 5

6 # 43 Let X and Y be independently identically distributed with mean zero and unit variance. If X + Y and X Y are independent, then the common distribution of X and Y is normal. Markov property and Markov chains # 44 Let F, F 2, F 3 are Borel fields such that F F 2 is independent of F 3. Show for each integrable X F, E(X F 2 F 3 ) = E(X F 2 ). # 45 Suppose X and Y are independent r.v. with p.m. µ and ν. Show for each B B(R), P(X + X 2 B X ) = ν(b X ). # 46 Markov property P(X n+ B X 0,..., X n ) = P(X n+ B X n ) for every n = 0,, 2,... and each B B(R). is equivalent to E(Y X,..., X n ) = E(Y X n ) for any integrable Y σ(x,..., X n+ ). # 47 Consider a Markov chain whose state space consists of the integers i = 0, ±, ±2,... and have transition probabilities P i,i+ P(X n+ = i + X n = i) = p = P(X n+ = i X n = i) = P i,i for each n = 0,,... and X 0 = 0 (a) Show the chain is recurrent when p = /2 and transient when p /2. (b) calculate the probability that the chain ever returns to state 0 when p /2. # 48 Consider a Markov chain with states 0,,... n with P 0, =, P i,i+ = p and P i,i = q = p for i n. Let N 0,n be the number of transitions that it takes the chain to go from state 0 to state n. Calculate E(N 0,n ) and V ar(n 0,n ) for each p. # 49 A transition probability matrix (P i ) with M + states 0,,..., M is said to be double stochastic if the sum over each column and row equals one: that is M+ i= P i =, for all and M+ = P i = for all i. If such a chain is irreducible and aperiodic, then the iting probabilities are given by π = /(M + ) for = 0,... M. # 50 Consider an arbitrary connected graph having a number w i associated with the arc (i, ) for each arc. If (i, ) is not arc, assign w i = 0. A particle moves from node to node with transition probability P i = w i / w i if (i, ) is arc and zero otherwise. Calculate the iting probabilities π. 6

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