Problem Set 1

Jos-Luis Montiel-Olea
NYU-Spring 2013
Problem 1: In lecture we presented the definition of a probability measure (or a probability
function). Let m be an element of N. Consider the probability space given by:
= N,

E = 2 ,

P(A) =

P : E [0, 1]

1 if m A
/A

0 if m

Show that P : E [0, 1] as defined above is a probability measure.

Problem 2: Show that if a function P : E [0, 1] defined on some non-empty set E satisfies
the normalization property and -additivity then P satisfies additivity.
Problem 3: Consider the following example. Let = N, E = 2 , and let O be the set of
all odd numbers; i.e.,
O = {m N | m = 2n 1, n N}
Consider the function P : E [0, 1] defined by

1 if O A
P(A) = 0 if O A

Show that P is neither additive nor -additive.

1

Problem 4: Show that any probability measure P satisfies the following properties:
a) P(A) = 1 P(Ac )
b) A B = P(A) P(B)
c) P(A B) = P(A) + P(B) P(A B)

Problem 5: Consider the canonical probability space = [0, 1] discussed in class with
P([a, b]) = b a. What is the c.d.f. of the random variable X() = ln(1 )?