Math 710 Homework 7

Austin Mohr
December 2, 2010

Problem 1
Let (Ω, F, P ) be a probability space, and let {An } and A belong to F. Let X be
a random variable defined on this probability space with X ∈ L1 .

Proposition 1. Z
lim XdP = 0
n→∞ |X|>n

Proof. Define the sequence of random variables Xn for n ∈ N via

(
X(ω) if |X(ω)| > n
Xn (ω) =
0 otherwise.

Observe that, for all n,

Z Z
XdP = Xn dP.
|X|>n Ω

Since
Z  Z
 
 Xn dP  ≤ |Xn |dP,
 
Ω Ω
R
it suffices to show that Ω |Xn |dP → 0.
Now, |Xn | → 0 almost everywhere, since |X| is finite almost everywhere.
Moreover, |Xn | ≤ |X| for all n. Thus, by the Dominated Convergence Theorem,
Z Z
lim |Xn |dP = lim |Xn |dP
n→∞ Ω n→∞
ZΩ
= 0dP
Ω
= 0.

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Proposition 2. If
lim P (An ) = 0,
n→∞

then Z
lim XdP = 0.
n→∞ An

Proof. Define the sequence of random variables Xn for n ∈ N via Xn = X · 1An .

Observe that, for all n, Z Z
XdP = Xn dP.
An Ω

Since Z  Z
 
 Xn dP  ≤ |Xn |dP,
 
Ω Ω
R
it suffices to show that Ω |Xn |dP → 0.
Now, |Xn | → 0, since P (An ) → 0. Moreover, |Xn | ≤ |X| for all n. Thus, by
the Dominated Convergence Theorem,
Z Z
lim |Xn |dP = lim |Xn |dP
n→∞ Ω n→∞
ZΩ
= 0dP
Ω
= 0.

Proposition 3. Z
|X|dP = 0
A
if and only if
P {A ∩ [X > 0]} = 0.
Proof. Observe first that
Z Z Z
|X|dP = |X|dP + |X|dP
A A∩[|X|>0] A∩[|X|=0]
Z
= |X|dP + 0.
A∩[|X|>0]
R R
Thus, A |X|dP = 0 if and only if A∩[|X|>0] |X|dP = 0 if and only if P {A ∩
[|X| > 0]} = 0 (since we integrate over those ω ∈ Ω for which |X(ω)| > 0).
Proposition 4. Let X ∈ L2 . If V (X) = 0, then P [X = E(X)] = 1.

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Proof. Let  > 0. By Chebychev’s Inequality,
V (X)
P [|X − E(X)| ≥ ] ≤
2
= 0.

Equivalently,
P [|X − E(X)| < ] = 1
for all  > 0. Therefore,
P [X = E(X)] = 1.

Problem 2
If X and Y are independent random variables and E(X) exists, then, for all
B ∈ B(R), Z
XdP = E(X)P {Y ∈ B}.
[Y ∈B]

Proof. For ease of notation, let A = [Y ∈ B]. Thus,

Z Z
XdP = XdP
[Y ∈B] A
Z
= X · 1A dP
Ω
= E(X · 1A ).

Now, write X = X + −X − . Since each of X + and X − is measurable, we can find

sequences of nonneagtive, simple random variables {Xn+ } and {Xn− } with Xn+ ↑
X + and Xn− ↑ X − . By the Monotone Convergence Theorem, E(Xn+ ) ↑ E(X + )
and E(Xn− ) ↑ E(X − ). Thus, by linearity of expectation, E(Xn+ − Xn− ) →
E(X). Moreover, E(Xn+ · 1A − Xn− · 1A ) → E(X · 1A ). We show next that
E(Xn+ ·1A −Xn− ·1A ) → E(X)P (A) and so conclude that E(X ·1A ) = E(X)P (A).
For each n, we have
n
X
Xn+ = ai 1Ai ,
i=1

where the ai are constants and the Ai partition Ω. It follows that

n
X
Xn+ · 1A = ai 1Ai 1A
i=1
Xn
= ai 1Ai ∩A ,
i=1

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and so
n
X
E(Xn+ · 1A ) = ai P (Ai ∩ A)
i=1
Xn
= ai P (Ai )P (A) (by independence of X and Y )
i=1
n
X
= P (A) ai P (Ai )
i=1
= P (A)E(Xn+ )
→ P (A)E(X + ).

Similarly, E(Xn− · 1A ) → P (A)E(X − ), and so

E(Xn+ · 1A − Xn− · 1A ) = E(Xn+ · 1A ) − E(Xn− · 1A )

→ P (A)E(X + ) − P (A)E(X − )
= P (A)E(X + − X − )
= P (A)E(X),

as desired.

Problem 3
Proposition 5. For all n ≥ 1, let Xn and X be uniformly bounded random
variables. If
lim Xn = X,
n→∞
then
lim E|Xn − X| = 0.
n→∞

Proof. The random variable that is identically K belongs to L1 , since

Z
KdP = K · P (Ω)
Ω
= K.

Thus, the identically K random variable is a dominating random variable for

the Xn , and so by the Dominated Convergence Theorem, E|Xn − X| → 0.

Problem 4
On the Lebesgue interval (Ω = [0, 1], B([0, 1]), P = λ) define the random vari-
ables
n
Xn = I 1.
log n 0, n

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Proposition 6. For Xn defined as above,
lim Xn = 0
n→∞

and
lim E(Xn ) = 0,
n→∞
yet the Xn are unbounded.
Proof. For any x ∈ [0, 1], we can choose N such that N1 < x. Thus, XN (x) = 0,
/ [0, N1 ]. As x was arbitrary, we conclude that Xn → 0.
since x ∈
Next, observe that, for all n,
 
n 1
E(Xn ) = λ 0,
log n n
n 1
= ·
log n n
1
= ,
log n
and so E(Xn ) → 0.
Finally, logn n → ∞, and so the Xn are unbounded. Hence, Xn → 0 and
E(Xn ) → 0, yet the condition in the Dominated Convergence Theorem fails.

Problem 5
Proposition 7. Let Xn ∈ L1 for all n ≥ 1 satisfying
sup E(Xn ) < ∞.
n

If Xn ↑ X, then X ∈ L1 and E(Xn ) → E(X).

Proof. Since Xn ↑ X, we see that Xn+ ↑ X + and Xn− ↓ X − . Since each of Xn+
and Xn− belongs to L1 for all n, we have by the Monotone Convergence Theorem
that E(Xn+ ) → E(X + ) and E(Xn− ) → E(X − ). By linearity of expectation,
this implies that E(Xn ) → E(X). Since supn E(Xn ) is finite, so is E(X) by
uniqueness of limits.
To show that X ∈ L1 , it remains to rule out the case that E(X + ) =
E(X − ) = ∞ (if only one of them is infinite, then E(X) = ±∞, but supn E(Xn ) <
∞). Observe, however, Xn− ↓ X − . Thus, if E(X − ) = ∞, E(Xn− ) = ∞ for all
n, contradicting the fact that Xn− ∈ L1 for all n.

Problem 6
Proposition 8. For any positive random variable X,
Z
E(X) = P (X > t)dt.
[0,∞)

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Proof. We may view the area of integration as a subset A of the product space
Ω × [0, ∞) where
A = {(ω, t) | X(ω) > t}.
with product measure
P 0 = P × µ.
Now, by Fubini’s Theorem,
Z Z Z
0
1A dP = 1A (ω, t)dtdP
Ω×[0,∞) Ω [0,∞)
Z
= X(ω)dP
Ω
= E(X).

On the other hand,

Z Z Z
1A dP 0 = 1A (ω, t)dP dt
Ω×[0,∞) [0,∞) Ω
Z
= P {ω | X(ω) > t}dt
[0,∞)
Z
= P (X > t)dt.
[0,∞)

Proposition 9. For any positive random variable X and any constant α > 0,
Z
E(X α ) = α tα−1 P (X > t)dt.
[0,∞)

R X(ω)
Proof. By direct computation, we have X α (ω) = 0
αtα−1 dt. It follows that
Z
E(X α ) = X(ω)P (dω)
Ω
Z Z X(ω)
= αtα−1 dtP (dω)
ZΩ∞ 0Z
= αtα−1 P (dω)dt (by Fubini’s Theorem)
0 {P (X>t)}
Z ∞
= αtα−1 P (X > t)dt.
0

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Problem 7
Proposition 10. Let X be a nonnegative random variable and let δ > 0, 0 <
β < 1, and C be constants. If

P {X > nδ} ≤ Cβ n

for all n ≥ 1, then E(X α ) < ∞ for all α > 0.

Proof. By the previous problem, it is equivalent to show that α [0,∞) tα−1 P (X >
R

t)dt is finite.
To begin, pick N such that tα−1 P (X > t) is strictly decreasing in t for all
t ≥ N . Such an N exists, as tα−1 is a polynomial in t and P (X > t) decays
exponentially. It follows that
Z ∞
X
α tα−1 P (X > t)dt ≤ α δ · (nδ)α−1 P (X > nδ) (since tα−1 P (X > t) is strictly decreasing)
[N,∞) n=N
∞
X
α
≤ αδ nα−1 Cβ n
n=N
∞
X
α
= Cαδ nα−1 β n
n=N
<∞ (by the ratio test).

Since [0,N ] tα−1 P (X > t)dt is also finite, we conclude that [0,∞] tα−1 P (X >
R R

t)dt is finite.