National Taiwan University - Calculus 3 for Economics and Management

Worksheet : Applications in Probability II

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Introduction.
Given n random variables Xi (i = 1, 2, · · · , n) that take values on real numbers and a non-negative function
f (x1 , x2 , . . . , xn ) defined on Rn such that
Z Z
(1) · · · f (x1 , . . . , xn ) dx1 · · · dxn = 1.
Rn
(2) For any subset V ⊂ Rn , the probability of (X1 , . . . , Xn ) ∈ V is
Z Z
P((X1 , . . . , Xn ) ∈ V ) = · · · f (x1 , . . . , xn ) dx1 · · · dxn .
V
Then f (x1 , . . . , xn ) is called the joint probability density function (joint p.d.f.) of the random variables X1 , · · · , Xn .
• Suppose that each random variable Xi has a probability density function fi (xi ) and the joint p.d.f. of
X1 , · · · , Xn satisfies
f (x1 , . . . , xn ) = f1 (x1 ) · f2 (x2 ) · · · fn (xn ),
then the random variables X1 , . . . , Xn are called mutually independent.
• For mutually independent random variables X1 , . . . , Xn , we are interested in the new random variable

Z = X1 + X2 + · · · + Xn .

In particular, we would like to derive the p.d.f. of Z. To do this, we will first find its distribution function,
F (z) = P(Z ≤ z), and techniques of multiple integrals and change of variables are will be used, as we shall
see in this worksheet.
Question 1. Given random variables X, Y are independentZwith
Z p.d.f. fX (x) and fY (y) respectively. Set Z = X + Y .
(a) Represent P(Z ≤ z) as a double integral fX (x)fY (y)dA. Sketch the region S.
S

∂(x, y)
(b) Consider the change of variables u = x + y, v = x. Compute its Jacobian .
∂(u, v)
Z bZ d
Use it to rewrite P(Z ≤ z) as g(u, v) dvdu.
a c

Z ∞
d
(c) Derive the p.d.f. of Z. Show that P(Z ≤ z) = fX (v)fY (z − v) dv
dz −∞

1
 Z ∞
d
(d) Show that P(Z ≤ z) = fX (z − v)fY (v) dv. (Hint: Use the substitution u = x + y, v = y.)
dz −∞

Question 2. (Examples with Gaussian (normal) distributions.)

2 2
1 − x2 1 − y2
(a) Suppose that fX (x) = √ e 2σ1
, and fY (y) = √ e 2σ2
. Find the p.d.f. of Z = X + Y .
2πσ1 2πσ2

1 x2
i
(b) Suppose that fXi (xi ) = √ e− 2σ2 , for 1 ≤ i ≤ n, and X1 , . . . , Xn are mutually independent. Find
2πσ
the p.d.f. of Z = X1 + X2 + · · · + Xn .


e−xi if xi ≥ 0
Question 3. Suppose that for 1 ≤ i ≤ n, fXi (xi ) = and X1 , . . . Xn are mutually independent.
f (x ) = 0 if x < 0
Xi i i
Find the p.d.f. of Z2 = X1 + X2 and Zn = X1 + · · · + Xn .