Paper 3, Section II, 26H26 \mathrm{H}

Probability and Measure | Part II, 2021

Show that random variables X1,,XNX_{1}, \ldots, X_{N} defined on some probability space (Ω,F,P)(\Omega, \mathcal{F}, \mathbb{P}) are independent if and only if

E(n=1Nfn(Xn))=n=1NE(fn(Xn))\mathbb{E}\left(\prod_{n=1}^{N} f_{n}\left(X_{n}\right)\right)=\prod_{n=1}^{N} \mathbb{E}\left(f_{n}\left(X_{n}\right)\right)

for all bounded measurable functions fn:RR,n=1,,Nf_{n}: \mathbb{R} \rightarrow \mathbb{R}, n=1, \ldots, N.

Now let (Xn:nN)\left(X_{n}: n \in \mathbb{N}\right) be an infinite sequence of independent Gaussian random variables with zero means, EXn=0\mathbb{E} X_{n}=0, and finite variances, EXn2=σn2>0\mathbb{E} X_{n}^{2}=\sigma_{n}^{2}>0. Show that the series n=1Xn\sum_{n=1}^{\infty} X_{n} converges in L2(P)L^{2}(\mathbb{P}) if and only if n=1σn2<\sum_{n=1}^{\infty} \sigma_{n}^{2}<\infty.

[You may use without proof that E[eiuXn]=eu2σn2/2\mathbb{E}\left[e^{i u X_{n}}\right]=e^{-u^{2} \sigma_{n}^{2} / 2} for uRu \in \mathbb{R}.]

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