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Sigma-Fields in Probability Theory

This document provides 17 probability problems related to concepts like sigma fields, probability spaces, independent and dependent events, and conditional probability. The problems cover topics such as identifying sigma fields, properties of probability measures, computing probabilities of unions and intersections of events, limits of sequences of events, and assessing positive and negative associations between events. Solutions to these problems help strengthen understanding of fundamental probability concepts.

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RAHUL CHOUDHARY
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27 views5 pages

Sigma-Fields in Probability Theory

This document provides 17 probability problems related to concepts like sigma fields, probability spaces, independent and dependent events, and conditional probability. The problems cover topics such as identifying sigma fields, properties of probability measures, computing probabilities of unions and intersections of events, limits of sequences of events, and assessing positive and negative associations between events. Solutions to these problems help strengthen understanding of fundamental probability concepts.

Uploaded by

RAHUL CHOUDHARY
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd

NPTEL- Probability and Distributions

MODULE 1
PROBABILITY
PROBLEMS

1. Let 𝛺 = {1, 2, 3, 4}. Check which of the following is a sigma-field of subsets of


𝛺:
(i) ℱ1 = 𝜙, 1, 2 , 3, 4 ;
(ii) ℱ2 = 𝜙, 𝛺, 1 , 2, 3, 4 , 1, 2 , 3, 4 ;
(iii) ℱ3 = 𝜙, 𝛺, 1 , 2 , 1, 2 , 3, 4 , 2, 3, 4 , 1, 3, 4 .

2. Show that a class ℱ of subsets of 𝛺 is a sigma-field of subsets of 𝛺 if, and only


if, the following three conditions are satisfied: (i) 𝛺 ∈ ℱ; (ii) 𝐴 ∈ ℱ ⇒ 𝐴𝐶 = 𝛺 −
𝐴 ∈ ℱ; (iii) 𝐴𝑛 ∈ ℱ, n = 1, 2, ⋯ ⇒ ∞ 𝑛=1 𝐴𝑛 ∈ ℱ.

3. Let ℱ𝜆 : 𝜆 ∈ 𝛬 be a collection of sigma-fields of subsets of 𝛺.


(i) Show that 𝜆∈𝛬 ℱ𝜆 is a sigma-field;
(ii) Using a counter example show that ∪𝜆∈𝛬 ℱ𝜆 may not be a sigma-field;
(iii) Let 𝒞 be a class of subsets of 𝛺 and let ℱ𝜆 : 𝜆 ∈ 𝛬 be a collection of all
sigma-fields that contain the class 𝒞. Show that 𝜎 𝒞 = 𝜆∈𝛬 ℱ𝜆 , where 𝜎 𝒞
denotes the smallest sigma-field containing the class 𝒞 (or the sigma-field
generated by class 𝒞).

4. Let 𝛺 be an infinite set and let 𝒜 = 𝐴 ⊆ 𝛺: 𝐴 is finite or 𝐴𝐶 is finite .


(i) Show that 𝒜 is closed under complements and finite unions;
(ii) Using a counter example show that 𝒜 may not be closed under countably
infinite unions (and hence 𝒜 may not be a sigma-field).

5. (i) Let 𝛺 be an uncountable set and let


ℱ = 𝐴 ⊆ 𝛺: 𝐴 is countable or 𝐴𝐶 is countable .
(a) Show that ℱ is a sigma-field;
(b) What can you say about ℱ when 𝛺 is countable?
(ii) Let 𝛺 be a countable set and let 𝒞 = { 𝜔 : 𝜔 ∈ 𝛺}. Show that 𝜎 𝒞 = 𝒫 𝛺 .

6. Let ℱ = 𝒫 𝛺 =the power set of 𝛺 = 0, 1, 2, … . In each of the following cases,


verify if 𝛺, ℱ, 𝑃 is a probability space:

Dept. of Mathematics and Statistics Indian Institute of Technology, Kanpur 1


NPTEL- Probability and Distributions

(i) 𝑃 𝐴 = 𝑥∈𝐴 𝑒 −𝜆 𝜆𝑥 𝑥! , 𝐴 ∈ ℱ, 𝜆 > 0;


(ii) 𝑃 𝐴 = 𝑥∈𝐴 𝑝 1 − 𝑝 𝑥 , 𝐴 ∈ ℱ, 0 < 𝑝 < 1;
(iii) 𝑃 𝐴 = 0, if 𝐴 has a finite number of elements, and 𝑃(𝐴) = 1 , if 𝐴 has
infinite number of elements, 𝐴 ∈ ℱ.

7. Let (𝛺, ℱ, 𝑃) be a probability space and let 𝐴, 𝐵, 𝐶, 𝐷 ∈ ℱ. Suppose that 𝑃 𝐴 =


0.6, 𝑃 𝐵 = 0.5, 𝑃 𝐶 = 0.4, 𝑃 𝐴 ∩ 𝐵 = 0.3, 𝑃 𝐴 ∩ 𝐶 = 0.2, 𝑃 𝐵 ∩ 𝐶 =
0.2, 𝑃 𝐴 ∩ 𝐵 ∩ 𝐶 = 0.1, 𝑃 𝐵 ∩ 𝐷 = 𝑃 𝐶 ∩ 𝐷 = 0, 𝑃 𝐴 ∩ 𝐷 =
0.1 and 𝑃 𝐷 = 0.2.
Find:
(i) 𝑃 𝐴 ∪ 𝐵 ∪ 𝐶 and 𝑃 𝐴𝐶 ∩ 𝐵 𝐶 ∩ 𝐶 𝐶 ;
(ii) 𝑃 (𝐴 ∪ 𝐵) ∩ 𝐶 and 𝑃 𝐴 ∪ (𝐵 ∩ 𝐶 );
(iii) 𝑃 (𝐴𝐶 ∪ 𝐵 𝐶 ) ∩ 𝐶 𝐶 and 𝑃 (𝐴𝐶 ∩ 𝐵 𝐶 ) ∪ 𝐶 𝐶 ;
(iv) 𝑃 𝐵 ∩ 𝐶 ∩ 𝐷 and 𝑃 𝐴 ∩ 𝐶 ∩ 𝐷 ;
(v) 𝑃 𝐴 ∪ 𝐵 ∪ 𝐷 and 𝑃 𝐴 ∪ 𝐵 ∪ 𝐶 ∪ 𝐷 ;
(vi) 𝑃 𝐴 ∩ 𝐵 ∪ (𝐶 ∩ 𝐷) .

8. Let 𝛺, ℱ, 𝑃 be a probability space and let 𝐴 and 𝐵 be two events (i.e., 𝐴, 𝐵 ∈ ℱ).
(i) Show that the probability that exactly one of the events 𝐴 or 𝐵 will occur is
given by 𝑃 𝐴 + 𝑃 𝐵 − 2𝑃 𝐴 ∩ 𝐵 ;
(ii) Show that 𝑃 𝐴 ∩ 𝐵 − 𝑃 𝐴 𝑃 𝐵 = 𝑃 𝐴 𝑃 𝐵𝐶 − 𝑃 𝐴 ∩ 𝐵 𝐶 =
𝑃 𝐴𝐶 𝑃 𝐵 − 𝑃 𝐴𝐶 ∩ 𝐵 = 𝑃 𝐴 ∪ 𝐵 𝐶 − 𝑃 𝐴𝐶 𝑃 𝐵𝐶 .

9. Suppose that 𝑛 ≥ 3 persons 𝑃1 , … , 𝑃𝑛 are made to stand in a row at random.


Find the probability that there are exactly 𝑟 persons between 𝑃1 and 𝑃2 ; here
𝑟 ∈ 1, 2, … , 𝑛 − 2 .

10. A point 𝑋, 𝑌 is randomly chosen on the unit square 𝑆 = 𝑥, 𝑦 : 0 ≤ 𝑥 ≤ 1, 0 ≤


𝑦 ≤ 1 (i.e., for any region 𝑅 ⊆ 𝑆 for which the area is defined, the probability that
area of 𝑅
𝑋, 𝑌 lies on 𝑅 is ). Find the probability that the distance from 𝑋, 𝑌 to
area of 𝑆
1
the nearest side does not exceed 3 units.

11. Three numbers 𝑎, 𝑏 and 𝑐 are chosen at random and with replacement from the set
1, 2, … ,6 . Find the probability that the quadratic equation 𝑎𝑥 2 + 𝑏𝑥 + 𝑐 = 0
will have real root(s).

12. Three numbers are chosen at random from the set 1, 2, … ,50 . Find the
probability that the chosen numbers are in
(i) arithmetic progression;

Dept. of Mathematics and Statistics Indian Institute of Technology, Kanpur 2


NPTEL- Probability and Distributions

(ii) geometric progression.

13. Consider an empty box in which four balls are to be placed (one-by-one)
according to the following scheme. A fair die is cast each time and the number of
dots on the upper face is noted. If the upper face shows up 2 or 5 dots then a
white ball is placed in the box. Otherwise a black ball is placed in the box. Given
that the first ball placed in the box was white find the probability that the box will
contain exactly two black balls.

14. Let 0, 1 , ℱ, 𝑃 be a probability space such that ℱ is the smallest sigma-field


containing all subintervals of 𝛺 = 0, 1 and 𝑃( 𝑎, 𝑏 ) = 𝑏 − 𝑎, where 0 ≤ 𝑎 <
𝑏 ≤ 1 (such a probability measure is known to exist).
∞ 1
(i) Show that 𝑏 = 𝑛=1 𝑏 − 𝑛 +1 , 𝑏 , ∀𝑏 ∈ 0, 1 ;
(ii) Show that 𝑃 𝑏 = 0, ∀𝑏 ∈ 0, 1 and 𝑃 0, 1 = 1 (Note that here
𝑃 𝑏 = 0 but 𝑏 ≠ 𝜙 and 𝑃 0, 1 = 1 but 0, 1 ≠ 𝛺);
(iii) Show that, for any countable set 𝐴 ∈ ℱ, 𝑃 𝐴 = 0;
1 1 1
(iv) For 𝑛 ∈ ℕ, let 𝐴𝑛 = 0, 𝑛 and 𝐵𝑛 = + 𝑛+2 , 1 . Verify that 𝐴𝑛 ↓, 𝐵𝑛 ↑,
2
𝑃 Lim𝑛→∞ 𝐴𝑛 = lim𝑛→∞ 𝑃 𝐴𝑛 and 𝑃 Lim𝑛→∞ 𝐵𝑛 = lim𝑛 →∞ 𝑃 𝐵𝑛 .

15. Consider four coding machines 𝑀1 , 𝑀2 , 𝑀3 and 𝑀4 producing binary codes 0 and
1 3
1. The machine 𝑀1 produces codes 0 and 1 with respective probabilities and .
4 4
The code produced by machine 𝑀𝑘 is fed into machine 𝑀𝑘+1 𝑘 = 1, 2, 3 which
may either leave the received code unchanged or may change it. Suppose that
3
each of the machines 𝑀2 , 𝑀3 and 𝑀4 change the received code with probability 4.
Given that the machine 𝑀4 has produced code 1, find the conditional probability
that the machine 𝑀1 produced code 0.

16. A student appears in the examinations of four subjects Biology, Chemistry,


Physics and Mathematics. Suppose that probabilities of the student clearing
1 1 1 1
examinations in these subjects are , , and respectively. Assuming that the
2 3 4 5
performances of the students in four subjects are independent, find the probability
that the student will clear examination(s) of
(i) all the subjects; (ii) no subject; (iii) exactly one subject;

(iv) exactly two subjects; (v) at least one subject.

17. Let 𝐴 and 𝐵 be independent events. Show that

Dept. of Mathematics and Statistics Indian Institute of Technology, Kanpur 3


NPTEL- Probability and Distributions

𝑐
4
max 𝑃 𝐴 ∪ 𝐵 , 𝑃 𝐴 ∩ 𝐵 , 𝑃 𝐴Δ𝐵 ≥ ,
9
where 𝐴Δ𝐵 = 𝐴 − 𝐵 ∪ 𝐵 − 𝐴 .

18. For independent events 𝐴1 , … , 𝐴𝑛 , show that

𝑛
𝑛
𝑃 𝐴𝑐𝑖 ≤ 𝑒 − 𝑖=1 𝑃 𝐴𝑖
.
𝑖=1

19. Let 𝛺, ℱ, 𝑃 be a probability space and let 𝐴1 , 𝐴2 , … be a sequence of events


i. e. , 𝐴𝑖 ∈ ℱ, 𝑖 = 1, 2, … . Define 𝐵𝑛 = ∞ 𝑖=𝑛 𝐴𝑖 , 𝐶𝑛 =
∞
𝑖=𝑛 𝐴𝑖 , 𝑛 = 1,2, … , 𝐷 =
∞ ∞
𝑛=1 𝐵𝑛 and 𝐸 = 𝑛=1 𝐶𝑛 . Show that:
(i) 𝐷 is the event that all but a finite number of 𝐴𝑛 s occur and 𝐸 is the event that
infinitely many 𝐴𝑛 s occur;
(ii) 𝐷 ⊆ 𝐸;
(iii) 𝑃 𝐸 𝑐 = lim𝑛 →∞ 𝑃 𝐶𝑛𝑐 = lim𝑛→∞ lim𝑚 →∞ 𝑃 𝑚 𝑐
𝑘=𝑛 𝐴𝑘 and 𝑃 𝐸 =
lim𝑛→∞ 𝑃 𝐶𝑛 ;
(iv) if ∞ 𝑛=1 𝑃 𝐴𝑛 < ∞ then, with probability one, only finitely many 𝐴𝑛 s will
occur;
(v) if 𝐴1 , 𝐴2 , … are independent and ∞ 𝑛 =1 𝑃 𝐴𝑛 < ∞ then, with probability one,
infinitely many 𝐴𝑛 𝑠 will occur.

20. Let 𝐴, 𝐵 and 𝐶 be three events such that 𝐴 and 𝐵 are negatively (positively)
associated and 𝐵 and 𝐶 are negatively (positively) associated. Can we conclude
that, in general, 𝐴 and 𝐶 are negatively (positively) associated?

21. Let 𝛺, ℱ, 𝑃 be a probability space and let A and B two events i. e., 𝐴, 𝐵 ∈ ℱ .
Show that if 𝐴 and 𝐵 are positively (negatively) associated then 𝐴 and 𝐵 𝑐 are
negatively (positively) associated.

22. A locality has 𝑛 houses numbered 1, … . , 𝑛 and a terrorist is hiding in one of these
houses. Let 𝐻𝑗 denote the event that the terrorist is hiding in house numbered
𝑗, 𝑗 = 1, … , 𝑛 and let 𝑃 𝐻𝑗 = 𝑝𝑗 ∈ 0,1 , 𝑗 = 1, … , 𝑛. During a search operation,
let 𝐹𝑗 denote the event that search of the house number 𝑗 will fail to nab the
terrorist there and let 𝑃 𝐹𝑗 |𝐻𝑗 = 𝑟𝑗 ∈ 0,1 , 𝑗 = 1, … , 𝑛 . For each 𝑖, 𝑗 ∈
1, … , 𝑛 , 𝑖 ≠ 𝑗, show that 𝐻𝑗 and 𝐹𝑗 are negatively associated but 𝐻𝑖 and 𝐹𝑗 are
positively associated. Interpret these findings.

Dept. of Mathematics and Statistics Indian Institute of Technology, Kanpur 4


NPTEL- Probability and Distributions

23. Let 𝐴, 𝐵 and 𝐶 be three events such that 𝑃 𝐵 ∩ 𝐶 > 0. Prove or disprove each of
the following:
(i) 𝑃 𝐴 ∩ 𝐵|𝐶 = 𝑃 𝐴|𝐵 ∩ 𝐶 𝑃 𝐵|𝐶 ;
(ii) 𝑃 𝐴 ∩ 𝐵|𝐶 = 𝑃 𝐴|𝐶 𝑃 𝐵|𝐶 if 𝐴 and 𝐵 are independent events.

24. A 𝑘-out-of-𝑛 system is a system comprising of 𝑛 components that functions if, and
only if, at least 𝑘 𝑘 ∈ 1,2, … , 𝑛 of the components function. A 1 -out-of- 𝑛
system is called a parallel system and an 𝑛-out-of-𝑛 system is called a series
system. Consider 𝑛 components 𝐶1 , … , 𝐶𝑛 that function independently. At any
given time 𝑡 the probability that the component 𝐶𝑖 will be functioning is 𝑝𝑖 𝑡 ∈
0,1 and the probability that it will not be functioning at time 𝑡 is 1 − 𝑝𝑖 𝑡 , 𝑖 =
1, … , 𝑛.
(i) Find the probability that a parallel system comprising of components
𝐶1 , … , 𝐶𝑛 will function at time 𝑡;
(ii) Find the probability that a series system comprising of components 𝐶1 , … , 𝐶𝑛
will function at time 𝑡;
(iii) If 𝑝𝑖 𝑡 = 𝑝 𝑡 , 𝑖 = 1, … , 𝑛, find the probability that a 𝑘 -out-of- 𝑛 system
comprising of components 𝐶1 , … , 𝐶𝑛 will function at time 𝑡.

Dept. of Mathematics and Statistics Indian Institute of Technology, Kanpur 5

Common questions

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The performance in each subject examination can be modeled independently if the events of passing each subject are statistically independent, meaning the outcome of one exam does not affect the others. This holds if probabilities for passing exams, say Biology, Chemistry, Physics, and Mathematics, do not influence each other; hence their joint distribution factors into a product of individual probabilities .

In investigative scenarios with event H_j denoting hiding in house j and F_j a failed search event there, negative association implies increased detection probability if hiding there initially as F_j lessens H_j's occurrence. Conversely, independent detection scenarios across different houses lead to positive associations for inter-house searches, where failure to catch in one does not infer presence in the others .

In the probability space where P(a,b) = b-a for 0 ≤ a < b ≤ 1, P assigns zero probability to single points and unity to the entire interval, i.e., P(b) = 0 for any b in (0,1) and P(0,1) = 1. This reflects that in such spaces, only intervals of positive length have non-zero probability .

To calculate the probability of clearing exactly one subject independently with given probabilities, consider the probability of passing one specific subject while failing the rest. If subjects are labeled A, B, C, and D, the probability of passing only A is P(A)(1-P(B))(1-P(C))(1-P(D)), and similarly for others. Sum these probabilities for the requisite single-pass probability .

To show that the union of sigma-fields may not be a sigma-field, consider sigma-fields ℱ_λ over some index set Λ. While each ℱ_λ is a sigma-field, their union ∪_λ∈Λℱ_λ might not satisfy the closure under complements and countable unions, a property required to form a sigma-field. A counterexample can be constructed with finite subsets where union does not retain closure properties .

To determine if the power set ℱ of a sample space Ω with P function forms a probability space, check if P is a probability measure satisfying: non-negativity (P(A)≥0), normalization (P(Ω)=1), and countable additivity (for disjoint sets A_i, P(∪A_i)=∑P(A_i)). Verifying these ensures that (Ω, ℱ, P) is a valid probability space .

In a sequential coding process where starting with machine M1, which produces a code that may be changed by machines M2 to M4 with specific probabilities, the conditional probability of M1 producing a specific final code given the final output, hinges on the given transition probabilities of code alteration at each stage. The dependence and probability multiplication across machines imply complex interactions impacting the final outcome .

For independent events A_1, A_2, ..., the probability of at least one event occurring is 1 minus the probability of none occurring. If P(A_i) is each event's probability, then P(at least one occurs) = 1 - Π(1-P(A_i)). This uses the complementary principle where no events occur .

The class of subsets ℱ where each subset is finite or cofinite (i.e., its complement is finite) is not necessarily a sigma-field as it may not be closed under countably infinite unions. For example, consider an infinite set where each individual subset is finite; their union might not remain finite or cofinite, failing the closure property of sigma-fields .

A class ℱ of subsets of a set Ω is a sigma-field if it satisfies three conditions: (i) Ω∈ℱ; (ii) if A∈ℱ, then its complement A^c=Ω−A is also in ℱ; (iii) if A_n∈ℱ for n=1,2,…, then the union of A_n from n=1 to infinity is also in ℱ .

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