1

INDIAN INSTITUTE OF TECHNOLOGY BOMBAY

Department of Mathematics
SI 417 (Probability Theory)
Tutorial Sheet-V

All random objects are in (Ω, F, P ) unless told otherwise.

1. Let A, B, C ∈ F be such that A, C are independent and B, C are

independent. Is IA + IB independent of IC ? Justify your answer.

2. Let X, Y be independent random variables. Also let f : R → R is a

continuous function. Show that f ◦ X and f ◦ Y are independent.

3. Find all random variables which are independent of itself.

4. Let X, Y be random variables such that

P {X ≤ x, Y ≤ y} = P {X ≤ x} P {Y ≤ y}, for all x, y ∈ R .

show that

P {X < x, Y < y} = P {X < x} P {Y < y}, for all x, y ∈ R .

5. Give an example of random variables X, Y, Z which are pairwise inde-

pendent but not independent.

6. Give an example of random variables X1 , X2 , X3 and X4 which are

independent.

7. Give an example of {An } such that

lim inf An 6= lim sup An .

n→∞ n→∞

8. Let {An }, {Bn } be sequences of subsets of a non empty set Ω. Show

that [
lim sup An lim sup Bn = lim sup(An ∪ Bn ) .
n→∞ n→∞ n→∞

9. Let {An }, {Bn } be sequences of subsets of a non empty set Ω. Show

that \
lim sup(An Bn ) ⊆ lim sup An lim sup Bn .
n→∞ n→∞ n→∞
2

10. Give an example of sequences of sets {An }, {Bn } such that

\
lim sup(An Bn ) 6= lim sup An lim sup Bn .
n→∞ n→∞ n→∞

11. Let {An } be a sequence of subsets of a non empty set Ω. Show that
lim sup(An Acn+1 ) = lim sup An \ lim inf An .
n→∞ n→∞ n→∞

12. Let {An }, {Bn } be sequences of subsets of a non empty set Ω such
that
lim sup An = lim inf An
n→∞ n→∞

and
lim sup Bn = lim inf Bn .
n→∞ n→∞

Show that
lim sup(An ∪ Bn ) = lim inf (An ∪ Bn ) = lim sup An ∪ lim sup Bn .
n→∞ n→∞ n→∞ n→∞

13. Let {An }, {Bn } be sequences of subsets from F such that

   
P lim sup An = P lim sup Bn = 1 .
n→∞ n→∞

Show that  
P lim sup An Bn = 1 .
n→∞

14. Let {An } be a sequence of events from F satisfying the following.

(i)The events Ai1 , Ai2 , . . . , Ain are independent if |ik − ij | ≥ 2, n ≥ 2.
(ii)
X∞
P (An ) = ∞ .
n=1
Show that  
P lim sup An = 1.
n→∞

15. Let {An } be a sequence of events from F such that

∞
X
P (AAn ) = ∞ for all A ∈ F with P (A) > 0 .
n=1

Show that  
P lim sup An = 1 .
n→∞