Homework # 3

7.1. By additivity

p(An ) = P

n=1

[

n=1


An 1

This leads to lim P (An ) = 0.

n

7.11. First, the integral

P (A) =

f (x)dx

A B(R)

defines an probability measure on (R, B(R)) with the continuous distribution function
Z x
F (x) =
f (u)du x R

Second, for any integer n 1, {x0 } (x0 n1 , x0 ]. Subsequently,

0 P ({x0 }) P (x0 n1 , x0 ] = F (x0 ) F (x0 n1 ) n = 1, 2,
By continuity of F at x0 , the right hand side tends to 0 as n . So we have P ({x0 }) = 0.
7.14. Null set in a complete probability space (, A, P ) means a set A A with
P (A) = 0. In this case, we have P (An ) = 0 for n = 1, 2, . By sub-additivity
P (B)

P (An ) = 0

n=1

So B is null set.
Without completness of (, A, P ), there are Cn A such that An Cn and P (Cn ) =

[
0 for n = 1, 2, . Let C =
Cn . Then C A and B C. By sub-additivity
n=1

P (C)

P (Cn ) = 0

n=1

So B is null set.
7.15. Since is countable, X has at most countable many values, say, x1 , , xn , .
X
0 = E|X| =
|xn |P {X = xn }
n

This leads to P {X = xn } = 0 for xn 6= 0. In other words,

P {X 6= 0} =

P {X = xn } = 0

xn 6=0

In general, we can not conclude {X 6= 0} = . For example, randomly pick up a point

in (, ) and assume the picked number obeys the standard normal distribution.
Write the sample space = {0 , 1 }, where
0 = { is not an integer} and 1 = { is an integer},
Define X(0 ) = 0 and X(1 ) = 1. Then E|X| = 0 and {X = 1} = { is an integer} =
6 .
9.2* Let x R be fixed but arbiotrary. By assumption {X x} F and {X x}
G. Therefore,


F (x) = P {X x} = P {X x} {X x} = P {X x} P {X x} = F 2 (x)
Thus, for any x, F (x) = 0 or 1. By the property of distribution function, F () is nondecreasing and right continuous on R and
lim F (x) = 0 and

lim F (x) = 1

Therefore, there is a constant c such that F (x) = 0 for x < c and F (x) = 1 for x > c.
We now claim that P {X = c} = 1. Indeed,
n
\
1
1o
{X = c} =
c < X c+
n
n
n=1

By continuity theorem,
n
\

n
1
1 o
1o
1
= lim P c < X c +
<X c+
n
n
n
n
n
n=1
n 


o
1
1
= lim F c +
F c
= lim (1 0) = 1
n
n
n
n

P {X = c} = P