October 1st, 2007

Introduction to Probability
Nathanael Berestycki
Example Sheet 1, Michaelmas Term 2007.
1. T
Let be a set and let F be a sigma-field on . For j 1, let Aj F. Show that
j1 Aj F .
2. Let be a set and let (Bi )iI be a collection of events of , where I is some
index set. Show that the intersection F of all sigma-fields that contain (Bi )iI is
a sigma-field. It is called the sigma-field generated by (Bi )iI and is often denoted
by (Bi )iI . It is the smallest sigma-field containing all the events (Bi )iI .
3. Let be a set and F be a sigma-field. Let A be an event. What is the sigma-field
generated by A?
4. Let (, F, P ) be a probability space. (a) Show that the probability that exactly
one of the events E or F occurs (not both) is equal to P (E) + P (F ) 2P (E F ).
(b) Show that P (E F ) = 1 P (E) P (F ) + P (E F ).
5. (a) You are given a conventional deck of cards. What is the probability that the
top card is an ace?
(b) You count a deck of cards (face down) and find it defective, having only 49
cards. What is the probability that the top card is an ace?
6. In this problem, explain all factors arising in your solution. Compute the probability that a poker hand contains:
(a) one pair (aabcd with a, b, c, d distinct card ranks (face values); answer: 0.4226)
(b) two pairs (aabbc with a, b, c distinct card ranks (face values); answer: 0.04754)
7. Let A be an event such that A and A are independent. Show that P (A) = 0 or
1. More generally, let A and B be mutually exclusive. Are A and B independent?
Explain your answer fully.
8. Bayes rule. Let (, F, P ) be a probability space. Let A be an event, and let
(Bi , 1 i n) be a partition of with Bi F, 1 i n. Prove that
P (B1 )
P (A|B1 )
i=1 P (Bi )P (A|Bi )

P (B1 |A) = Pn

9. 5% of men and 0.25% of women are colourblind. What is the probability that a
colourblind person is a man ? One may use Problem 8 in the solution.
10. Binary digits (0s and 1s) are sent through a noisy communication channel. As
they are transmitted a mistake can occur with probability > 0 (a 0 will be
changed to a 1 and conversely).

(a) If 0s and 1s are equally likely, what is the probability that the digit sent was
a 1 given that we received a 1 ?
(b) To improve the reliability of the channel, we repeat each digit three times.
What is the probability that the message sent was 111 given that we received
101 ? Given that we received 000 ? One may use Problem 8 in the solution.
11. Let S be a fixed set of cardinality n. Let A and B be two independent random
subsets of S, chosen uniformly among all 2n possible subsets of S.
(a) Show that P (A B) = (3/4)n . (Hint: condition on the cardinality of B.)
(b) Show that P (A B = ) = (3/4)n .
12. You have a coin that you suspect is not fair. To test it, you toss the coin n times
and you observe k Heads and (n k) Tails, where 1 k n.
(a) Let 0 < p < 1. Compute the probability, for a coin that comes up Heads with
probability p, that in n independent tosses you will observe k Heads.
(b) Let f (p) denote the probability obtained in (a). Determine the maximum
likelihood estimator for p, i.e., the value of p which maximizes the probability
f (p).
13. Let X, Y be independent Poisson random variables, with respective parameters
and . Show that X + Y is Poisson with parameter + . Use this to find the
conditional distribution of X given that X + Y = n, for some n 1.
14. Let X beP
an integer-valued random variable, with X 0 almost surely. Show that
E(X) =
n=0 P (X > n).
15. A man is trying to sell his car. He receives successive offers denoted by X0 , X1 , . . ..
After seeing the first offer X0 , our man decides to take the first offer that is strictly
greater than X0 . Let T = inf{n 1 : Xn > X0 }. Assuming that (Xi , i 0)
are i.i.d. random variables with a given absolutely continuous distribution, argue
that E(T ) = . (Hint: compute P (T > n) and use the previous problem).
Consequence: if you are in a hurry, you are better off taking the first offer!
16. Coupon collector problem. There are n 1 tickets in a box labelled 1, . . . , n.
We sample from the box with replacement until we have collected all tickets. That
is, each time we draw a ticket at random, note the number on the ticket, and put
it back in the box. Let N be the number of draws before we have collected all
n tickets. (Formally, (Xi , i 1) are i.i.d uniform random variables on {1, . . . , n},
and N = inf{k 1 : #{X1 , . . . , Xk } = n}). Show that
E(N ) = n

n
X
1
i=1

and that
Var(N ) = n

n1
X
j=0

j
.
(n j)2

(Hint: Consider Xi the number of draws necessary to collect the ith ticket. What
type of random variable is Xi ?)

17. Let X be a real random variable and let F be its cumulative distribution function.
Show that (a) F is nondecreasing, (b) limt F (t) = 0 and (c) limt F (t) = 1.
Finally, show that (d) F is right-continuous and has left limits. Conclude that F
is continuous at t if and only if P (X = t) = 0.
18. Conversely, show that a real-valued function which satisfies (a),...,(d), is the cdf
of a real random variable. (Hint: consider G(t) = inf{s R : F (s) > t}, and let
X = G(U ), where U is a uniform random variable on (0, 1).)
19. (a) Let X be an exponential random variable with rate > 0. Show that X is
memoryless: that is, for any s, t 0, P (X > t + s|X > t) = P (X > s).
(b) A line of 10 people is waiting at a post office, where there are three clerks. Each
time a customer is served, the next customer in line goes to the available clerk.
You are last in line. Assuming that each customer requires an independent
exponential amount of time (with parameter > 0 identical for all three
cashiers), let p be the probability that you are the last one, among the 50
persons initially in line, to leave the post office. Show that p is only 1/3.