Technical University of Munich Probability Theory

Center for Mathematical Sciences Winter Term 2022

Chair for Probability Gantert/Reis

Exercise Sheet 1
Homework Exercises should be uploaded in
Moodle before October 31.

Tutorial Exercises

Problem 1.1
Let X be a random variable. Compute the expectation and the variance (if they exist) of X
in the following cases:
(i) (Exponential Distribution) Let λ > 0 and assume that X has density

f (x) = λe−λx 1{x>0} , x ∈ R.

(ii) (Poisson Distribution) Let λ > 0 and assume that

λk −λ
P (X = k) = e , k = 0, 1, . . . .
k!

(iii) (Cauchy Distribution) Assume that X has density

1
f (x) = , x ∈ R.
π(1 + x2 )

Problem 1.2
Let Ω be a nonempty set, I be a nonempty index set and (Fi )i∈I be a sequence of σ-fields1
on Ω.
Fi is a σ-field.
T
(i) Show that i∈I

(ii) Show that i∈I Fi is not necessarily a σ-field.

S

Hint: One can find a counterexample for I = {1, 2}.

Problem 1.3
Let (Ω, F) be a measurable space and consider the measurable space (R, B(R)) where B(R)
is the Borel sigma-field. Let f : Ω → R be a function. Show that the following are equivalent:
(i) f is F-measurable.

(ii) For all t ∈ R

{f ≤ t} := {ω ∈ Ω : f (ω) ≤ t} ∈ F.
1
In the English literature the terms “σ-algebra” and “σ-field” are used as synonyms.

Please turn the page!

Hint: Show that
{A ∈ B(R) : f −1 (A) ∈ F}
is a σ-field.

Problem 1.4
Let (Ω, F) be a measurable space and let X, Y : Ω → R. Prove or disprove:

(i) If X, Y are random variables, then also X + Y is a random variable.

(ii) If X + Y is a random variable, then also X, Y are random variables.

Homework Exercises

Problem 1.5
Let F : R → [0, 1] be a distribution function, i.e. an increasing and right-continuous function
such that
lim F (x) = 1 − lim F (x) = 0.
x→−∞ x→+∞

Define
F −1 (t) := inf{x̃ ∈ R : t ≤ F (x̃)}, t ∈ (0, 1).

(i) Show that F −1 is Borel measurable.

(ii) Let U be a random variable with uniform distribution on (0, 1). Determine the distri-
bution function of F −1 (U ).

Hint: Increasing functions have only discontinuities of the first kind, i.e. jump discontinuities.

Problem 1.6
Let X : Ω1 → Ω2 be a map between two sets Ω1 and Ω2 . Prove or disprove that:

(i) If B is a σ-algebra on Ω2 , then

A := {X −1 (B) : B ∈ B}

is a σ-algebra on Ω1 .

(ii) If A is a σ-algebra on Ω1 , then

B̃ := {X(A) : A ∈ A}

is a σ-algebra on Ω2 .

Problem 1.7
A σ-field F is said to be countably generated if there exists a countable collection A ⊂ F
such that σ(A) = F. Prove that B(R) is countably generated.