Math 219, Stochastic Differential Equations

Problem set 1

January 23,2006

These problems are due on Wed Jan 16th. You can give them to me in class, drop them in my
box. In all of the problems E denotes the expected value with respect to the specified probability
measure P .

Problem 1. Consider the following probability space (Ω, P, F) where Ω = (ω0 , ω1 ) : ωi ∈



{−1, 0, 1} . Take of each of the ωi to be mutually independent with P (ωi = 0) = 1/2 and
P (ωi = ±1) = 1/4. (F is just the σ-algebra generated by the collection of single points, but
this is not important)
For n = 0 or 1 define the random variables Xn by X0 = ω0 and X1 = ω0 ω1 .

a) What is P (X1 = 1) ? What is EX0 ?

b) Let A be the event that {X1 6= 0}. What is σ(A) ?

c) What is σ(X0 ) and σ(X1 ) ?

d) What is E(X1 |A) ? What is E(X1 |X0 ) ?

Problem 2. For a general probability space (Ω, P, F), prove the Chebychev inequality:

E{|X|p }
P {|X| ≥ λ} ≤
λp
for all 1 ≤ p < ∞ as well as its exponential form

E{ek|X| }
P {|X| ≥ λ} ≤
ekλ
when the integrals on the right are finite. Here k and λ are positive constants. (Hint: combine
the facts that P {|X| ≥ λ} = E1{|X| ≥ λ}, 1{|X| ≥ λ}λp ≤ 1{|X| ≥ λ}|X|p , and 1 = 1{|X| ≥
λ} + 1{|X| < λ}. )

Problem 3. Let (Ω, F, P ) be a probabilty space and let Ak , k = 1, 2, 3, ... be a sequence of events
in F for which
X∞
P (Ak ) < ∞
k=1

1
Prove the (first) Borell-Cantelli lemma which says that

P {∩∞ ∞
N =1 ∪k=N Ak } = 0

Interpret this event whose probability is zero. (Say something like “it is the event in which all of
the events Ak happen”. This of course not the right answer.)
Now let us use this result: Let Xk be a sequence of random variables and suppose that there is
another random variable X such that if

Ak = {ω ∈ Ω | |Xk (ω) − X(ω)| > δ}

then
∞
X
P (Ak ) < ∞
k=1

for all δ > 0. Show that Xn → X with probability one. (That is the set of ω so that Xn (ω) → X(ω)
has measure (probability) one.
Basically, the first Borel-Cantelli lemma is the principle means by which information about
expectations can be converted into almost sure information.

Problem 4. Let u0 (x) be a smooth bounded function defined on [0, 2] with u0 (0) = u0 (2) = 0.
Let u(x, t) be a smooth solution to the following equation

∂2u

 ∂u
(x, t) = (x, t) − 5u(x, t)
∂t ∂x2 (1)
u(x, 0) = u0 (x)


with u(0, t) = u(2, t) = 0 for all t ≥ 0. Find an expression for u(x, t) for all positive t > 0 in terms
of u0 . (Hint: Think Fourier series.)