EEEC10006: Probability Ming-Chun Lee

515000 Homework 3, Spring 2025

Problem 1
A stock market trader buys 190 shares of stock A and 764 shares of stock B. Let
X and Y be the price changes of A and B, respectively. Over a certain time period,

and assume that the joint PMF of X and Y is uniform over the set of integers x

and y satisfying
1 y x 4, 2 y 1

(a) Find the marginal PMFs and the means of Y. (3 pts)

(b) Find the marginal PMFs and the means of X . (3 pts)

(c) Find the mean of the trader’s profit. (4 pts)

Problem 2
Let random variables X and Y have the joint PMF
2 2
(x y ) (x y)
, if x {1, 2} and y {1, 9},
p X ,Y (x , y ) 4(c 2)
0 , o.w.
(a) What is the value of the constant c? (1 pts)
(b) What is P(Y ≤ X)? (1 pt)
(c) What is P(Y ≥ X)? (1 pt)
(d) What is P(Y = X)? (1 pt)
(e) What is P(Y = 9)? (1 pt)
(f) Find the marginal PMFs pX(x) and pY(y). (2 pts)
(g) Find the expectations E[X], E[Y] and E[XY]. (2 pts)
(h) Find the variances Var(X), Var(Y) and Var(X + Y). (1 pts)

(i) Let A denote the event X Y. Find E[X | A] and Var(X | A). (1 pts)

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EEEC10006: Probability Ming-Chun Lee

Problem 3
Discrete random variable X has probability mass function.

0.2 , x 8
0.5 , x 0
pX (x )
0.3 , x 8
0 , otherwise.

Let A denote the event that X 0 .

Problem 4

Suppose that n people have their hats returned at random. Let X i 1 if the i-

n
th person gets his or her own hat back and 0 otherwise. Let S n X i Then
i 0

S n is the total number of people who get their own hats back. Please calculate

the followings.
(a) E[ X i2 ] . (2pts)

(b) E[X i X j X k ] for i  j  k. (2pts)

(c) E[S n2 ] . (2pts)

(d) Var(S n ) . (2 pts)

(e) X i and X j are independent or not (for i  j)? Why? (2 pts)

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EEEC10006: Probability Ming-Chun Lee

Problem 5

Let X and Y be ternary random variables taking values 1, 2, and 3 with joint

probabilities pX ,Y (i, j ) given by the matrix.

1 1
0
8 8
1
0 0
2
1 1
0
8 8

(a) Find pX (i ) and pY ( j ) for i, j 1, 2, 3. (2 pts)

(b) Compute P(X Y ) . (2 pts)

(c) Determine whether X and Y are independent. (1 pt)

1 1 1
24 6 24
1 1 1
. (5 pts)
12 3 12
1 1 1
24 6 24

Problem 6

Let X ∼ Poisson ( ) , and suppose that given X = n, Y ∼ Bernoulli(1/(n+1)).

(a) Find P(X = n | Y = 1) (5 pts)

(b) Find E [XY]. (5 pts)

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 EEEC10006: Probability Ming-Chun Lee

Problem 7

Let X ∼ Poisson ( ) , and suppose that given X = n, Y ∼ binomial(n, p). Find

P(X = n | Y = k ) for n ≥ k. (10 pts)

Problem 8

Let X and Y be independent with X ~ geometric 0 (p ) and Y ~ geometric 0 (q ) .

(a) Put T := X −Y, and find P(T = n) for all n. (6 pts)

Problem 9
Alice passes through five traffic lights on her way to work, and each light is
equally likely to be green or red . independent of the others.
(a) What is the PMF, the mean, and the variance of the number of red lights
that Alice encounters? (5 pts)
(b) Suppose that each red light delays Alice by exactly two minutes. What is
the variance of Alice's commuting time? (5 pts)

Problem 10
Consider 2m persons forming m couples who live together at a given time.
Suppose that at some later time, the probability of each person being alive is p,
independent of other persons. At that later time. let A be the number of persons
that are alive and let S be the number of couples in which both partners are alive.

For any survivor number a, find E[S | A = a ] . (10 pts)

Problem 11 (Bonus)
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EEEC10006: Probability Ming-Chun Lee

Recall that a real-valued function g defined on an interval I is convex if for all x,y

∈ I and all 0 ≤λ ≤ 1,

g ( x + (1 −  )y )   g (x ) + (1 −  )g (y )

Let g be a convex function, and let X be a discrete random variable taking finitely
many values, say n values, all in I. Derive Jensen’s inequality,
E[g (x )]  g (E[X ]) . (3 pts)

(Hint: Use induction on n)