Essentials of Analysis and Probability Problems, 1st Semester 2010-2011 You are encouraged to hand in a solution to problem 1 at the

lecture on 1st October.

1. In each case below, determine whether or not A is an algebra of subsets of . (i) = N, A is the collection of all subsets A of N such that, whenever n A we have n + 5 A, and also n 5 A if n > 5. (ii) = R, A is the collection of all subsets of R which are nite unions of closed intervals. (iii) = R, A is the collection of all subsets A of R such that either A is nite or R\A is nite. 2. Let be the sample space associated with two throws of a die. Let A be the algebra of sets which depend only on knowledge of the maximum of the two numbers thrown. Describe the corresponding partition of . How many sets are in the partition? 3. Let be the sample space associated with three tosses of a coin. Let A be the algebra of sets which depend only on the number of heads obtained. Describe the corresponding partition of . 4. Let be a set with 4 elements. Show that there are exactly 15 dierent algebras of subsets of . (This is a matter of counting partitions). 5. Let B be a collection of subsets of a set . Let C be the collection of all nite intersections of the c c form C = B1 B2 Bk Bk +1 Bn where B1 , , Bn B . Then let A be the collection of all sets of the form C1 Cn where C1 Cn C . Show that A is an algebra (and hence is the algebra generated by B ). 6. Which of the following sets are countable? (i) the set of all triples (a, b, c) of rational numbers. (ii) the set of all irrational numbers in the interval (0, 0.1). (iii) the set of all sequences (mn )n=1,2, of integers which are eventually 0 (i.e. such that there is n0 such that mn = 0 for n > n0 ). 7. Let C be the collection of all subsets A of R such that either A is countable or R\A is countable. Show that C is a -algebra. Deduce that C is the -algebra generated by the collection A considered in problem 1(iii). 8. Show that the -algebra generated by the collection of all open intervals in R is the -algebra B of Borel sets in R. 9. let be a set and let (A1 , A2 , ) be a sequence of disjoint sets with union . If E is a subset of N let AE = j E Aj . Then let A be the collection of all sets AE for E N. Show that A is a -algebra. Show also that the -algebra of Borel sets on R cannot arise in this way from a sequence of disjoint sets with union R. 10. Let (fn ) be a sequence of continuous real-valued functions on R. Let A be the set of x R such that the sequence fn (x) is bounded. Show that A is a Borel set. 11. Show that the union of any family of open subsets of Rd is open. Deduce that the intersection of any family of closed sets is closed. 12. Show that the Cantor middle-third set is a closed subset of R (use problem 11). 13. Dene a real-valued function f on R as follows: f (x) = Show that f is a Borel function. x, x R\Q x, x Q

Essentials of Analysis and Probability Problems, 1st Semester 2010-2011 You are encouraged to hand in a solution to problem 21 at the lecture on 19th October.

14. Show that if h : R R is a Borel function and k (x) = h(x)2 then k is also a Borel function. Deduce that if f and g are Borel functions on R then f g is also Borel. (Use 1 fg = 4 {(f + g )2 (f g )2 }). 15. Let A be an algebra of subsets of and suppose that, whenever (An ) is a sequence of disjoint subsets of A, we have n An A. Show that A is a -algebra. 16. Let f : R R and let C be the -algebra from problem 7. Show that f is measurable w.r.t. C if and only if there is a countable set E R such that f is constant on E c . 17. Dene f on R by f (x) = x2 . Let A be the -algebra on R generated by all sets of the form {x : f (x) > a} for a R. Show that A is the collection of Borel sets A which are symmetric in the sense that x A implies x A. 18. Let A be the algebra of all subsets A of N such that either A is nite or Ac is nite. Dene a set function on A as follows: (A) = 0 if A is nite, and (A) = 1 if Ac is nite. Show that is additive but not countably additive. 19. Show that there is a nite measure on the -algebra of all subsets of Q such that, if r = with q N and p is a non-zero integer prime to q , then ({r}) = (|p|3 + q 3 )1 .
p q

20. Let (x1 , x2 , ) be a sequence of distinct points of R, let b > 0 and let (an ) be a sequence of positive numbers such that an b. Let C be the -algebra dened in problem 7, and dene a set function on C as follows: if A is countable, then (A) = n:xn A an , and (Ac ) = b (A). Show that is a nite measure. Show also that every nite measure on C is of this form. 21. Consider the set of outcomes = (s1 , s2 , ) of innitely many tosses of a coin, where s1 , can be H or T . Let G be the algebra on dened in section 1.2. For each nite sequence (s1 , , sn ) let A(s1 , , sn ) be the set of outcomes starting with (s1 , , sn ). Show that there is a (unique) nitely additive set function on G such that (A(s1 , , sn )) = 2n for each n and each choice of (s1 , , sn ). Now suppose that, for some (s1 , , sn ) we have a sequence E1 , E2 , G such that m A(s1 , , sn ) k=1 Ek . Show that for some m we have A(s1 , , sn ) k=1 Ek . (Hint: suppose the contrary, then nd sn+1 , sn+2 , such that, for each r > n, there is no m such that A(s1 , , sr ) m k=1 Ek . Then deduce a contradiction). Hence show that is countably additive (so that, by the Carath eodory theorem, it extends to a measure on the -algebra generated by G ). 22. Let E be the Cantor middle third set, with associated sets En as dened in section 1.4. Use problem 21 to show that there is a measure on the -algebra BE of Borel subsets of E such that if I is any one of the 2n constituent intervals of En , we have (E I ) = 2n . 23. Let A be an algebra of subsets of , let be a countably additive set function on A, and let be the associated outer measure. Let F be the -algebra generated by A. Show that, if A is a subset of , then one can nd E F such that A E and (E ) = (A). 24. Let F be a -algebra and (En ) a sequence of sets in F such that En+1 En for each n, and let E = n En . Let be a measure on F such that (E1 ) < . Show that (En ) (E ) as n . 25. Let be the measure dened on the -algebra of all subsets of N by ({k }) = 1 for each k N. Let En = {m N : m n}. Show that (En ) = for each n but (n En ) = 0. (This shows that in problem 24 the requirement (E1 ) < cannot be dropped).

Essentials of Analysis and Probability Problems, 1st Semester 2010-2011 You are encouraged to hand in a solution to problem 29 at the lecture on 5th November.

26. Show that almost every x R (i.e. all x outside some set of Lebesgue measure 0) has innitely many 7s in its decimal expansion. Similarly, show that almost every x has the sequence 9876543210 innitely often in its decimal expansion. Finally, generalise this to show that, for almost every x, every possible nite sequence of digits from {0, 1, , 9} occurs innitely often in the decimal expansion of x. , 27. In the notation of the Tosses of fair coin section on page 8 of the notes, show that, if 0 < < 1 2 1 1 1 n the minimum value of (s) is 2 (1 ) and deduce that P(Xn n) {2 (1 ) } . 28. (Repeated tosses of biassed coin). Consider the algebra G on the set of outcomes of innitely many coin tosses, as dened in section 1.2. Let 0 < p < 1 and let q = 1 p. Show that there is a countably additive set function P on G such that P(A(s1 , , sn )) = pk q nk whenever s1 sn is a sequence of outcomes consisting of k H s and n k T s (and hence by the Carath eodory theorem P extends to a measure on F ). 29. Let 0 < < p < 1 and let q = 1 p. Show that, if X is a random variable with a binomial q p B (n, p) distribution, then P(X n) un where u = ( 1 )1 ( ) < 1 (see problem 27 where 1 this is done for p = 2 ). Hence show that, in the situation of Problem 28, P(n1 Xn p) = 1 where Xn is the number ). of heads in the rst n tosses. (Modify the argument given in lectures for the case p = 1 2 30. Let 0 < p < 1. Show that there is a measure on the Cantor set E such that, for any sequence of k 2s and n k 0s, the set of x E whose ternary expansion starts with this sequence has -measure pk (1 p)nk . (Use problem 28). 31. Let : R R be a continuous strictly increasing function. Show that there is a Borel measure on R such that ([a, b]) = (b) (a) whenever a, b R with a < b. (one way of doing this is to construct from Lebesgue measure by applying the mapping in a suitable way). 32. This question concerns Lebesgue measure 2 on R2 . (i) Show that, for any E L2 , we have 2 (E ) = inf k 2 (Qk ), the inmum being taken over all sequences of closed squares Qk , with sides parallel to the axes, such that E k Qk . (ii) Show that, if E L2 and c R2 and a > 0 then 2 ({x + c : x E }) = 2 (E ) and 2 ({ax : x E }) = a2 2 (E ). (Note that this is true when E is a square with sides parallel to the axes and apply (i)). (iii) Let R denote the operation of rotation through an angle anticlockwise about the origin in R2 . Let Q be the square of unit side, centred at the origin, with sides parallel to the axes. Then 2 (E ) = 1. Fix and let a = 2 (R (Q)). Show a = 1 as follows: rst show 2 (R (Q )) = a2 (Q ) for any square Q with sides parallel to the axes using (ii), then show that 2 (R (E )) = a2 (E ) for any E L2 using (i). Then apply this to show that 2 (Rn (Q)) = an , and hence (by contradiction) that a = 1. Finally deduce that 2 (R (E )) = 2 (E ) for any E L2 .
k 33. Let 0 < p < 1 and let P be the probability measure from problem 28. Let X = k=1 2 Yk where Yk is 1 if the k th toss is a head and 0 if a tail. Find a sequence of simple functions increasing to X and deduce the value of EX .

34. Evaluate

xd (x) where is the measure on the Cantor set E found in problem 30.

Essentials of Analysis and Probability Problems, 1st Semester 2010-2011 You are encouraged to hand in a solution to problem 37 at the lecture on 23rd November.

35. Let F be a -algebra on a set and let f : R be measurable. Let > 0. Show that one can nd a F -measurable function g : R such that |f ( ) g ( )| < for all and such that the range of g is countable.
k 36. In the situation of problem 33, let Y = 2 k=1 3 Yk . Show that the probability distribution of Y is a measure on the Cantor set E . Can you identify this measure?

37. Use integration by parts and induction on p to show that if p and q are nonnegative integers 1 p! then 0 xq (log x)p dx = (1)p (q+1) p+1 . Then use the Monotone Convergence Theorem to show that
1

x dx =
0 n=1

n n

(Write xx = ex log x and expand the exponential). 38. Let the random variable X have uniform distribution on [0, 1]. Find the cumulative distribution function of the random variable Y = X 2 . 39. Let X be a random variable having exponential distribution with expectation 1, i.e. P(X > x) = ex for x 0, and let Y take values 1 or 1 with probabilities p and 1 p respectively, independently of X . Let Z = XY . Find the c.d.f. of Z , and calculate E(eZ/2 ). 40. Identify the -algebra (f ) for f : R R in the following cases: (a) f (x) = |x|; (b) f (x) = x3 ; (c) f (x) = sin x. 41. Let (Xn ) be a sequence of independent random variables each having exponential distribution with expectation 1. Let > 0. Show that P(Xn > log n for innitely many n) = 0 if > 1 and 1 if 1. Now let Yn = max(X1 , , Xn ). Show that if 0 < < 1 then P(Yn < log n) < exp(n1 ) Yn 1 almost surely. and hence so that log n 42. Consider an innite sequence of independent tosses of a fair coin. Let Xn be the length of the longest run of consecutive heads in the rst n tosses. Show that if k is a positive integer then P(Xn k ) n2k and P(Xn < k ) (1 2k )m where m is the integer part of n/k (for the second part, consider m separate blocks of k tosses each). Deduce that, if > 0 and we dene An = { : Xn > (1 + ) log2 n} and Bn = { : Xn < (1 ) log2 n}, then r P(A2r ) < and n P(Bn ) < . Hence show that, with probability 1, we Xn 1 as n . have log n
2

43. Let In = 0 (cos x)2n dx. Write In = In1 0 sin x. sin x(cos x)2n2 dx and by integration 1 by parts show that In = 2n I for n 1. 2n n1 2n1 2 n Show that ( 2n ) < n+1 for n 1 and deduce that In < 2 for n 1. Hence show that if n+1 k is a positive integer then
3 (cos kx)2k 0

/2

/2

<

k3 +1

and deduce that the series

3

(cos kx)2k
k=1

converges a.e. w.r.t. Lebesgue measure, and that if f (x) is its sum then f is integrable on every bounded interval.

Essentials of Analysis and Probability Problems, 1st Semester 2010-2011 44. Which of the following functions are in L1 (), where is Lebesgue measure on R? x x2 1 (iii) f (x) = ee ; (i) f (x) = |x|1/2 (1 + |x|)1 ; (ii) f (x) = x 4 +1 ; (iv) f (x) = exe ;
x

(v) f (x) = (1 + x2 )1

2k 3 . k=1 (cos kx) 1 (1 0

45. By expanding (1 x2 )1/2 in powers of x, and applying the MCT to that 4n 2n = 2 2n + 1 n n=0 46. Show that
1 log(1x) = 1 + 212 + 312 + 412 + . x 0 1 +1 +1 + + n log n. Show that 2 3 n

x2 )1/2 dx, show

1 x n 1 47. Let n = 1 {1 (1 n ) }dx 1 x dx = n (put 0 x x u = 1 n for the rst integral). Use the DCT to deduce that n as n , where 1

=
0

1 (1 ex )dx x

ex dx x

( is known as Eulers constant; to 6 places = 0.577216). 48. Let X1 , X2 , be independent random variables each having uniform distribution [0, 1]. Show that (X1 Xn )1/n e1 almost surely.