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Unformatted text preview: plain why the assumption is important. Problem 2 (14 pts). This problem deals with positive random variables that may
get the value ∞. Let
be a random variable defined on a probability space
. Let ℱ⊂ be a σ-algebra. Prove
a. (6 points)
(Namely, we can write exist, and
ℱ ℱ b. (8 points)
is a random variable that satisfy (ii) of part a, namely:
ℱ then ℱ and Problem 3 (18 pts). Let
be a sequence of integrable random
variables defined on
and let ℱ be an increasing seq...
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This document was uploaded on 03/01/2014 for the course STATS 400 at Michigan State University.
- Spring '12