A Theory of Probability Homework 4 Solutions
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k=0 E|X|IAk = E|X|IA <∞ , namely, EXIAn is absolutely summable. 2. Q(A) ≥ 0 and Q(Ω) = 1, with countable additivity of Q shown in part (a). 3. Per our assumption EX = EY . If EX = EY = 0 then both X = 0 a.s. and Y = 0 a.s. so we are done. Otherwise, the probability measures QX(A) = EXIA/EX and QY (A) = EY IA/EY of part (b) agree on the π-system A, hence they must agree on F = σ(A). Considering the events An = {ω : X(ω)− Y (ω) ≥ 1/n} we thus have that for every n,
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k=0 E|X|IAk = E|X|IA <∞ , namely, EXIAn is absolutely summable. 2. Q(A) ≥ 0 and Q(Ω) = 1, with countable additivity of Q shown in part (a). 3. Per our assumption EX = EY . If EX = EY = 0 then both X = 0 a.s. and Y = 0 a.s. so we are done. Otherwise, the probability measures QX(A) = EXIA/EX and QY (A) = EY IA/EY of part (b) agree on the π-system A, hence they must agree on F = σ(A). Considering ...
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تاریخ انتشار 2015