ECE541

Fall 2009
Assignment #1
Due on Sep. 10, 2009
Exercise 1.
Let B be the collection of all Borel sets in R.. For any such Borel set U, define B U
as the collection of all intersections between U and the members of B, that is B U =
{B U: B B}. Show that B U is a -algebra in U.
Exercise 2.
Recall the dart experiment discussed in the notes and class. Let (,F) be the
corresponding measurable space. Consider the random variable X2 defined as by
X2 () =

2
1
0

if Ds
if D\ Ds
if = miss

where D={(x,y)2: x2+y2 1} and Ds={(x,y)2: x2+y2 1/4}.

Describe the -algebra generated by X, i.e., what is (X)?
Exercise 3.
Let P be a probability measure defined on (,F). We proved in the notes that if A1

A2 A3... F, then limn P(An) = P( An ). Use this fact to show that if A1 A2

n =1

A3 ..., then limn P(An) = P( An ) . (Hint: Use set complementation.)

n =1

Exercise 4.
Consider a probability space (,F, P) and a random variable X defined on it. We
define the distribution of X, denoted by X, as a function on the set of Borel sets B as
follows: X(B) = P(X-1(B)), BB. Show that X defines a probability measure on B.
Exercise 5.
Show that X is a random variable if and only if X-1((a,b))F for every a, bR..
Exercise 6.
Show that X is a random variable if and only if X-1(U)F for open U inR . [Hint: use
the fact that every open set inR is necessarily a countable union of open intervals.]
Exercise 7.
Consider a probability space (,F, P) and a random variable X defined on it. Show
that the collection of subsets {X-1(B): BB} is a sub -algebra of F.