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Ee
ex dx = 1 (e 1)
n=1
{|X| 1/n}.
n=1
{|X| 1/n}.
On the other hand, for each {X 6= 0}, X() 6= 0 implies that there is a sufficiently
large n0 such that |X()| 1/n0 so
{|X| 1/n0 }
n=1
{|X| 1/n}.
n=1
{|X| 1/n}.
[
n=1
{|X| 1/n}
n=1
P {|X| 1/n} = 0
n=1
Xn =
n=1
EXn .
()
N
X
N
X
Xn =
n=1
EXn
n=1
Since both sides are non-decreasing, the limit exists (possibly as extended number) for
both sides. Thus,
N
N
X
X
X
EXn =
EXn
lim E
Xn = lim
N
n=1
n=1
n=1
N
X
Xn
N = 1, 2,
n=1
lim E
Xn = E lim
n=1
N
X
Xn = E
n=1
Xn
n=1
n=1
E|Xn | <
n=1
n=1
EXn+ <
Xn+ =
n=1
So
E
Xn = E
n=1
n=1
Xn+ and E
n=1
(Xn+
n=1
EXn+
n=1
n=1
Xn )
EXn =
=E
X
n=1
n=1
Xn
X
Xn =
n=1
Xn+
E(Xn+ Xn ) =
n=1
Xn
n=1
EXn
X
X
E
|Xn | =
E|Xn | <
n=1
n=1
In particular,
n=1
n=1
|Xn | <
a.s.
Write
SN =
N
X
Xn and Y =
n=1
n=1
|Xn |
Xn
a.s.
n=1
N
X
Xn = lim ESN = E
N
n=1
Xn
n=1
N
X
n=1
Xn =
N
X
EXn
n=1
()
Proof. Notice that the function h(x) = ex is positive and increasing. Applying
Markov inequality to h(X) = eX ,
P {X > t} = P {h(X) > h(t)}
1
Eh(X) = et EeX
h(t)
7. (optional). In the context of problem 6, compute EeX and minimize the right
hand side of (**) by choosing an optimal .
Solution.
X
Ee
1
=
2
x x2 /2
e e
Write
1
dx =
2
n
1 2o
exp x x dx
2
1
1
2
x x2 = (x )2 +
2
2
2
We have
X
Ee
2
1
= e /2
2
exp
2
1
(x )2 o
dx = e /2
2
2
exp
2
y2 o
dy = e /2
2
t +
2 o
2
t2 o
2
2
2
reaches its