Exercises - Weeks 1/2 - Random series of Functions

March 28, 2018

Due date: Sunday April 8, 2018

The following references are used:

KAH - Kahane J.-P., Some random series of functions (2nd ed., 1985)

Common notation:
• {εn } - Rademacher sequence (independent random variables, taking values ±1 with probability
1
2 each).

• {gn } - (standard) normal sequence (independent random variables, normally distributed with
2
density √12π e−x /2 ).

• kuk - denotes the norm of the vector u (in some Banach space depending on the context).

1. Let {ξn } be a sequence of independent (complex valued) random variables on some measure
space Ω.

(a) Consider the Taylor series

∞
X
F (z) = ξn z n .
n=0

Prove that rF : Ω → [0, ∞] the radius of convergence of F is measurable, and that it is

almost surely a constant (possibly ∞).
(b) Assume ξn are identically distributed and that P [ξ0 = 0] < 1. Prove that rF ≡ 1 a.s. if and
only if E log (1 + |ξ0 |) < ∞.
2. KAH - Chapter 2 - Exercises 1, 2
P
3. Let {un } be a sequence of (fixed) vectors in some Banach space B. Prove that εn un converges
a.s. if and only if
n
X
lim E εj uj
= 0.
n>m→∞
j=m
Hint: PIn one direction see the remark on page 17 of KAH. In the other, first show that if
S := εn un converges a.s., and Sm are the partial sums of the series, then they converge to S
in mean (that is, E kS − Sm k converges to 0 as m tends to infinity).

1
 N
4. Let F : R+ → R+ be a convex non-decreasing function, and let {un }n=1 be a finite sequence in
a Banach space B.

(a) For any real numbers {αn }, such that |αn | ≤ 1 for all n show that
N ! N !
X X
αn εn un ≤ EF εn un ,

EF

n=1 n=1

and that for any t > 0,

N ! N !
X X
αn εn un > t ≤ 2 · P εn un > t .

P

n=1 n=1

Hint: For the second part, reduce to the case when α1 ≥ α2 ≥ · · · ≥ αN .

N
(b) Let {ηn }n=1 be a sequence of independent, symmetric, real valued random variables, such
that E |ηn | < ∞ for all n. Then
! N !
XN X
EF inf E |ηn | · εn un ≤ EF ηn un .


n
n=1 n=1
q
2
Remark: In the special case where ηn = gn , we have E |ηn | = π and
N ! r N !
X π X
εn un ≤ EF gn un .

EF
2


n=1 n=1
P P
In particular, this implies that if n gn un converges a.s., then so does n εn un .
(c) Show that there is an absolute constant C, such that
N
XN p X
gn un ≤ C (log (N + 1)) · E εn un .

E

n=1 n=1
p
Hint: Show that E maxn=1,...,N |gn | ≤ C log (N + 1).
Remark: By considering B = l∞ , and un the standard basis vectors, it is not difficult to
check that this inequality cannot be improved for a general Banach space B.