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E2–202 Random Processes Problem Set 4

This document outlines Problem Set 4 for the course E2–202 Random Processes, due on 31 August 2025, and includes various problems related to random variables and expectation. It encourages collaboration and individual practice for understanding the material. The problems cover topics such as approximation of random variables, expectation, and inequalities in probability theory.

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Vedant Agrawal
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3 views2 pages

E2–202 Random Processes Problem Set 4

This document outlines Problem Set 4 for the course E2–202 Random Processes, due on 31 August 2025, and includes various problems related to random variables and expectation. It encourages collaboration and individual practice for understanding the material. The problems cover topics such as approximation of random variables, expectation, and inequalities in probability theory.

Uploaded by

Vedant Agrawal
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

E2–202 Random Processes Due: 31 August 2025

Problem Set 4
Instructors: Anurag Kumar, Rajesh Sundaresan
TAs: Chandra Chaitanya Sayinedi, Davidson Paul J, Jashaswini Bhuyan
Nekkanti Guna Sai Kiran, Subhajit Majumdar, Sowmya S, Sudharshan TR

Remarks:

ˆ Collaboration, discussion, and working in teams to solve problems is strongly en-


couraged.

ˆ To test your understanding, practice the solution to each problem in your own
words without referring to a friend, text, class notes, or AI engines.

Problems:

1. Approximation of random variables.

(a.) X is simple if there is a finite m ≥ 1, eventsPA1 , . . . , Am that partition Ω,


and real values x1 , . . . , xm , such that X(ω) = m
i=1 xi IAi (ω), for every ω ∈ Ω.
Further, a simple random variable X is in canonical form if the xi are distinct.
Suppose X and Y are two simple random variables. Let a, b ∈ R. Argue that
aX + bY is also simple. Describe its canonical form.
(b.) Define for each n ≥ 1 and r ≥ 0.
n
n2
X k−1
dn (r) := I[ k−1 , k (r) + nI[n,∞) (r), r ≥ 0.
2n 2n 2n )
k=1

Draw dn (r) and compare it with the function f (r) = r for r ≥ 0.


(c.) For the above sequence of functions dn : [0, ∞) → [0, ∞), show that dn ≤ dn+1
for every n ≥ 1. (I.e., for each r ≥ 0, we have dn (r) ≤ dn+1 (r).)
Show also that for each fixed r ≥ 0, we have dn (r) ↑ r.
(d.) Suppose that
n
X k−1
fn (r) := I[ k−1 , k ) (r) + nI[n,∞) (r), r ≥ 0.
k=1
n n n

Draw f2 and f3 and argue that the functional inequality f2 ≤ f3 is not true.
Do you see why powers of 2 helped in (c)?
(e.) Suppose X ≥ 0. Show that X is a random variable if and only if there exists
a sequence of simple random variables Xn such that Xn ↑ X. (Hint: For one
direction, you have a limit of a sequence of random variables. For the other
direction, use Xn = dn (X) = dn ◦ X.)

Problem Set 4-1


2. Expectation

(a.) Show that E[X] exists and is finite (i.e., integrable) if and only if E[|X|] < ∞.
(b.) Let X ≥ 0 be a random variable. Let b ≥ 0. In class, we proved that if there
is an event B such that X(ω) > b for all ω ∈ B, then

E[XIB ] ≥ bP (B).

Use this result now to show that we can relax the strict inequality “X(ω) > b”
to “X(ω) ≥ b”.

(Hint: When b = 0, the desired result is straightforward. When b > 0, try a


bm ↑ b and use the above result for strict inequality, and pass to the limit.)
(c.) Chernoff’s inequality: For t > 0, show that P [X > a] ≤ e−ta · E[etX ].
(d.) Hölder’s inequality: Let p, q > 1 and 1/p + 1/q = 1. Show that

E[|XY |] ≤ (E[|X|p ])1/p (E[|X|q ])1/q

(e.) Do Exercise 1.6 from the reference text.

Problem Set 4-2

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