International Master in Mathematics.

Probability Examination (3h).

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probability measures on lR and p be a probability measure on lR. r ""qrluo""tf Assumethatforallo{bRthenu*Qa,fl--p(la,bl).Showthat,forallaelR'p"(l - oo'al) -p(l - *'"1)'

Exercise 1: Iet (p") b"

Exercise 2: In this exercice, X, Xt, Xz .... a.re random variables defined on a probability spa.ce (Q,"4,F) taking values in the interval [-1, +1]. lB will denote the expectation with respect to lP. We assume that for all i > 1, lE(x) : E(x.) : 0.

PART
Let

: a concentration inequality for sums of random variables

cosh(z)
eE r : :j:

p-x

and sinh(c)

e. - e-n
z

be the hyperbolic sine and cosine functions.

1. Show that for all

) > 0, we have
cosh()) <

exp(;)

12

(You may use series expansions.)

2. Show that for all

) > 0 and t

[-1,+1] then

e)' < cosh()) + c sinh(.\) < *p(*) "2

3. Let X be a centered random variable with
values

rsinh(.\)

in [-1, +1].

Show theit for all ,\

0,

P["'*] < e*p(]) a''a E[e-rx] < expl]; ^2.

4. Show that for all a

\2

0,

F[x
all a

a]

"*p(-+)

and IF[X 5 -o] 3

exp(-{).
I-1,+fl.
Stton'

5. Let Xi be independent centered random

0 we

have

r,n"riables

with ralues in

that for all n and

rerrl $x,r t "^/n?

'
.?=r

'(*t)' ''-'-or . 2"*o.

o''

PART

II

: an optimal bound

1. Let

"-+ and o(z) = / d@):"_ \/2T J,*

rr

4(t)dt.

2. Show that

1a()-9,4

as ,r -+ co. (You may use some integration by paxts axgument.)

Does there exist constanh n > | and .4 > 0 such that for all squences of centered independent random va.riables Xi witb values in [-1,+1], for all o ) 0 and all n'

Ptl+txrl >al< Aexp(- na2)? ' \ln

-*

Exercise 3: L. Let X be a random va.riable whose characteristic function

(we do not make any claim about the values of Hint: note that IE(cos(tX)) :7lort [-a;o].

outside [-4, c])'

is equal to 1 on
Show

that P(X = 0) =

[-o,a] for

some o

l'

>0

2. Deduce that if
law, then lP(X

= 0) :

a.nd

Y
1.

are independent random variables such that

x+y

and Y have the same

Exercise 4: Let (e'1)",11 be a sequence of sqrrare integrable independent random variables, with the same distribution, such that lE(e1) : o and E[(er)2] : 1' For all z 2 1' let us deffne

Xs=0, X*= QN^-t16^,

where d lR. The questions of this exercise can be treated separately'

1. In this question, l0l < 1. Assume that the law of e1 is 3{(0, 1). what is the law of X" ? show that the law of X" weaklY converges. 2. In this question' ldl < 1. Set M* : D;=t|i-Iei for n 2 1 and M6 = 0' Prove that for all n" X'" weakly has the same distribution as M". Provd tliat M' a.s. converges. Deduce that the law of X"
converges.

3. Assume that IAI > 1. Prove that T-nXo a.s' conrges' 4. Assume that ldl : 1. Find a real sequence (a6)4>1, such that the law of o"X" weakly coaverges to some non degenerate law that you will specify.