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Lecture 3 Redon variables © Random voriable A numovar quantiy grncaied te phat owreme [Te mony Preble, we de net Gre the plyeren! outeome reef Unchead we aire abvir Some fartaim of the euecme ] (1) Example. A fir coin i tossed twice: © = (HH, HT, TH, TT, For € @, let X() be the number of heads, so that xp X(HT) = XCTH) X(T) =0. [Now suppose that a gambler wagers his fortune of £'1 on the result of this experiment. He ‘gambles cumulatively sothat his fortune is doubled each time abead appears, and is annihilated ln the appearance ofa til. His subsequent fortune W isa random variable given by WHE) =4, WOT) = WOTH) = WerT) =0. . Eg. We rardamly cut a rope of Length 1 ae Certarn peru, thes Re Coad Comsidey tha Ungth of the sherter ome Levys min fw wl [ Lee $f. oR be a fereren Sine wie bande fier se also often random Then at first plone, TH would be natural 4. consider the probebiliry ef the evens fiw equals te some Tem Hewever, the qrobebilinee of she evens of the Oheus type ia net 50 informative . etfeelly om the Cramp of rope. Hera, oe eal be ware nederal be ack ahewe the Prthal of se on Certain coterwat + Bef (condom variable) A random vartable ra a function XD aR with the property thar fee: Xursxl efe for exch com Such a fumenion ts cad te he Jo mecrurable, Rok . Dente by We fueR, XmveAl tr PRAER Th ead 6 Je ter all x, we ales hove ivan Fe fe all ask wee YA (Cae fee wh ok eR Rk The vemcar why wt require X 4s be Je—menurabh is Piven) = Pl tw: kuereay) = Pixar) YTCA has +s be in Fey Otherwise we Cannet talk abrur PUKEAY $07 mg interval A Bue this prebeblig 35 whar We ave inberested in [Belen ts 0 mene meen way of undarstanding (XU. 5. PD —* ine Pex") With the original Prebeliiey spew (a. RD and the vy, X . we Gan construct a new Probebiley tpee The measuvalle spau of this new probability spaw is always CRB) where B. Borel c= feldzs G-freld generated by ali. open sets Pex" a = POC), vAct Q. Prove thes Pe is q prbabilig measure om (B,6) [werk some abuse of netahon, we often write pox”! as pac wen] G1: Why done we take — X(2) as the new sample spou? A. we could do tha. Bur ois a mere unrfed chew We cm simple negardl and event which belongs re B\ xin) as null event Br. why de we cheore & 4e be the o- fret? A. Beouse 54 8s natural 4e ask fer the Probably of K te be in am interval,