1 Homework 1 Solutions

Exercise 1.1. 1. If F
i
are -algebras for each i I then
iI
F
i
is a -algebra. (recall that
this was the property that allowed us to dene (A))
2. If F and G are -algebreas, F G is not necessarily a -algebra.
Solution:
1. The intersection is nonempty because it contains .
(a) Now, if A
iI
F
i
then A F
i
for each i, so A
c
F
i
for each i, so A
c

iI
F
i
.
(b) if A
n

iI
F
i
for each n running over a countable set, then A
n
F
i
for each i, n,
so
n
A
n
F
i
for each i, so
n
A
n

i
F
i
.
2. Consider = {1, 2, 3, 4} and F = {, {1, 2}, {3, 4}, } and G = {, {1, 3}, {2, 4}, }
and note that {1} = {1, 2} {1, 3} / F G.
Exercise 1.2. A -algebra is always a -system. A -system which is closed under intersection
is a -algebra.
Solution: This is just an easy exercise involving the denitions.
Exercise 1.3. Which of the following are -algebras on R?
1. F = {A R : 0 A}.
2. F = {A R : A is nite}.
3. F = {A R : A is nite, or A
c
is nite}.
4. F = {A R : A is countable or A
c
is countable}.
5. F = {A R : A is open}.
6. F = {A R : A is open or A is closed}.
Note: Countable means nite or the cardinality of N.
Solution:
1. this is not a sigma-algebra: A = {0} F but A
c
/ F
2. same as above
3. this is not a sigma-algebra: consider A
n
= {n}, n = 0, 1, 2, . . . . Then A
n
F for each
n but
n
A
n
/ F
4. this is a sigma-algebra. If A F then A
c
F by denition. Also, if A
n
F
for n = 1, 2, . . . then either all A
n
are countable so
n
A
n
is countable, or there is
at least an n
0
such that A
n
0
is uncountable which means that A
c
n
0
is countable, so
(
n
A
n
)
c
A
c
n
0
is also countable. In either case,
n
A
n
F.
5. this is not a sigma-algebra since {0} =
n
(1/n, 1/n) is not open.
6. this is not a sigma algebra: for each q Q we have {q} F, but Q =
q
{q} is neither
closed nor open.
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Exercise 1.4. Recall that the class of Borel sets in R
d
(denoted by R
d
) is the -algebra
generated by the open sets. For the case d = 1, we denote by R = R
1
.
1. show that R is generated by the class of all open intervals (a, b), a < b (the intervals
can also be chosen closed, or open at any of the left or right ends)
2. show that R
d
is generated by the class of all open rectanlges (a
1
, b
1
) (a
d
, b
d
)
(with a similar note as above)
3. show that R
d
= R R (recall the denition of the product -algebra)
Solution:
1. Denote by S the sigma-algebra generated by open intervals. Since any open interval
is an open set, we have S R. Now, any open set can be written as the union of
all open balls (centered intervals) with rational center and rational radius which are
contained in the set. In other words, any open set is a COUNTABLE union of open
balls (intervals) so any open set is in S. This implies that R S
2. basically the same proof as item 1
3. From item 2, we know that R
d
is generated by the open RECTANGLES, which are in
R R by denition, so R
d
R R. Now let L the set of all subsets of R
such that AR R R
d
. It is easy to proof that L is a -system. In addition,
it contains all open interval (from item 2). We can now use the Theorem to
conclude that AR R R
d
for each A R. Permuting the order and taking
intersection we conclude that all sets of the form A
1
. . . A
d
with A
i
R are actually
in R
d
, so R R R
d
.
Exercise 1.5. (we use the notation from Durrett and from class here) Let A an algebra, and
: A [0, ] a set function such that () = 0.
1. Assume is a measure (on this algebra) i.e if A
n
A and A = +
n1
A
n
A then
(A) =

n1
(A
n
). Show that is (countably) subadditive, which means that, if
A, A
n
A and A
n1
A
n
then (A)

n1
(A
n
).
2. Assume is only a nite additive measure, i.e., if A
i
A and A = +
n
i=1
A
i
then (A) =
n

i=1
(A
i
). Show that is (nite) sub-additive, which means that, if A, A
i
A and
A
n
i=1
A
i
then (A)
n

i=1
(A
i
). In particular, is monotone : A, B A, A B
implies (A) (B).
3. use monotony to show that if is nite additive and A
n
A and A = +
n1
A
n
A
then (A)

n1
(A
n
). The other inequality may not be satised.
4. using an increasing but not RC function F, construct a counter-example to the reverse
inequality in item 3
2
Solution:
1. If we dene the pairwise disjoint sets B
n
= A
n

n1
i=1
A
i
and substitute them for A
n
s,
we see that it is enough to prove the conclusion with the additional assumption that
A
n
are disjoint. Now, while we do NOT know that

i=1
A
i
A we do know that
A = A (

i=1
A
i
) =

i=1
(A
i
A) A.
In addition, the sets A
i
A are disjoint, as the A
i
s are. Therefore,
(A) =

i=1
(A
i
A)

i=1
(A
i
)
since A
i
A A
i
and we have monotonicity of .
2. If A B and A, B F then (B) = (A) + (B A), so (A) (B) (monotony,
which comes from nite additivity only). Now, we can dene the pairwise disjoint sets
(as above) B
n
= A
n

n1
i=1
A
i
, and apply monotony, together with nite additivity
over B
n
s to get the result.
3. according to monotony obtained above, we have
(A) (
n
i=1
A
i
) =
n

i=1
(A
i
)

n1
(A
n
).
4. Consider the function F(x) = 1
(0,)
(x) and dene the measure of the algebra dened
by intervals as
((a, b]) = F(a) F(b).
Now, we can see that (0, 1] =

n=1
(2
n
, 2
(n1)
] and ((0, 1]) = 1, (2
n
, 2
(n1)
] = 0.
Exercise 1.6. (constructing a random variable with a given distribution function)
Let F : R R which is RC, nondecreasing and F() = 0, F() = 1. Let U be a uinform
on (0, 1). Show that the random variable Y = F
1
(U) has distribution function F. Does it
matter what kind of inverse (RC or LC) do we consider as F
1
?
Notes:
1. The inverse is not unique, since F may not be one-to-one.
2. As long as we have constructed the Lebesque measure on R, we can restrict it to (0, 1)
(the uniform probability measure). This is the simplest way to construct a U as above.
The law of Y constructed above is the Lebesgue-Stieltjes measure corresponding to
the function F. In other words, once we constructed the Lebesgue measure, using this
trick we can construct ANY Lebesgue-Stieltjes measure given F (with the properties
above, but these can be easily removed).
Solutions:
We can either dene the LEFT CONTINUOUS inverse
F
1
L
(y) = inf{x : F(x) y} = sup{x : F(x) < y}
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or the RIGHT CONTINUOUS INVERSE OF F:
F
1
R
(y) = inf{x : F(x) > y} = sup{x : F(x) y},
or any other inverse F
1
L
F F
1
R
. We observe that
[0, F(x)) {y|F
1
(y) x} [0, F(x)].
Having this in mind, we have
{U < F(x)} {F
1
(U) x} {U F(x)}.
Taking probability on all sides above, we obtain
P[F
1
(U) x] = P[U < F(x)] = P[U F(x)] = F(x).
Exercise 1.7. (converse of the above exercise) Consider a random variable X and let F
be its (cummulative) distribution function F(x) = P[X x].
1. show that, if F is continuous, then F(X) is uniformly distributed on (0, 1)
2. is this true if F is not continuous?
Solution:
1. Consider the RIGHT CONTINUOUS INVERSE OF F:
F
1
R
(y) = inf{x : F(x) > y} = sup{x : F(x) y}
and note that
{x : F(x) y} = {x : x F
1
R
(x)}.
Therefore, P(F(X) y) = P(X F
1
R
(y)) = F(F
1
R
(y)) = y, since F is continuous.
2. this is not true if F is not continuous. We can see it either from the above line,
since F(F
1
R
(y)) = y whenever F has a jump interval which contains y, or, using the
fact that F is discontinuous means that there exists x
0
such that P(X = x
0
) > 0, so
P((F(X) = F(x
0
)) > 0, so F(X) cannot be uniform on (0, 1).
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