Problem 5 A₁ = {wen: i-1≤X(w)

A First Course in Probability (10th Edition)
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ISBN:9780134753119
Author:Sheldon Ross
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Chapter1: Combinatorial Analysis
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Problem 5
A₁ = {wen: i-1≤X(w)<i}.
a. Show that for all wen
Let X be random variable which takes non-negative values only. Let
Σ(i-1) 1A, (w) ≤X(w) < [i 1A, (w).
i=1
i=1
b. Suppose the expectation EX exists. Show that
P{Xzi} SEX < 1+2 P{X≥ i}.
i=1
i=1
Hint: You may use that for any two random variables Y, Z with Y(w) ≤ Z(w) (or Y <Z) for
all w, we have EY <EZ (or EY <EZ) if the expectations exist.
Transcribed Image Text:Problem 5 A₁ = {wen: i-1≤X(w)<i}. a. Show that for all wen Let X be random variable which takes non-negative values only. Let Σ(i-1) 1A, (w) ≤X(w) < [i 1A, (w). i=1 i=1 b. Suppose the expectation EX exists. Show that P{Xzi} SEX < 1+2 P{X≥ i}. i=1 i=1 Hint: You may use that for any two random variables Y, Z with Y(w) ≤ Z(w) (or Y <Z) for all w, we have EY <EZ (or EY <EZ) if the expectations exist.
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