Homework 3

Math 455 Stochastic Calculus, Spring 2023

Question 1. Let Ω = {1, 2, . . . , 12} and F be the power set of Ω, and let P be the
probability measure defined on F such that P({ω}) = 1/12 for all ω ∈ Ω. Define random
variables X and Y by


 1 if ω = 1, 2,

2 if ω = 3, 4,
 

1 if ω = 1, 2, 3, 4,


 
3 if ω = 5, 6,
Y (ω) = 2 if ω = 5, 6, 7, 8, and X(ω) =
  4 if ω = 7, 8,
3 if ω = 9, 10, 11, 12
 




 5 if ω = 9, 10,

6 if ω = 11, 12.


Let H = σ(X) and G = σ(Y ).

(a) Find G.

(b) Is Y G-measurable? Is Y H-measurable? Is X G-measurable? Is X H-measurable?

(c) Find E(X|G), E(X|H), E(Y |G) and E(Y |H).

(d) Let I = σ({{1, 5, 9}, {3, 7, 11}}). Find a conditional expectation of Y given I.

Question 2. Show that E(E(Y |G)|B) = E(Y |B) if B ∈ G. (Hint: Recall the definition
of E(X|B) where X is any random variable and B is an event with P(B) ̸= 0.)

Question 3. Let Ω = {1, 2, . . . , 8} and F be the power set of Ω, and the probability
measure is given by P({ω}) = 1/10 for ω ≤ 4 and P({ω}) = 3/20 for ω > 4. Let
X = I{1,2,3,4} + 2I{5,6,7,8} and Y = I{1,5} + 2I{2,3,4,6,7,8} . (Recall the definition of the
indicator r.v.) Let G = σ({{1, 2}, {3, 4}}) and H = σ({{1, 2, 3, 4}}). Show that

E(E(XY |G) | H) = XE(Y ) a.s.

Hint: (For your understanding, try to solve in both ways.)

ˆ Method 1 Using the rules of the conditional expectations we covered in class.

ˆ Method 2 (more direct but more time consuming method) Use the fact that if
two random variables X, Y are any F-measurable and E(XIA ) = E(Y IA ) for each
A ∈ F, then X = Y almost surely (a.s.), and that XY = I{1} + 2I{2,3,4,5} + 4I{6,7,8} .