Universidad del Rosario

Programación y Modelamiento Estocástico.

Ejercicios

Ejercicio 1. Dado el espacio de probabilidad (Ω, F, P) y el conjunto A ∈ F tal que P(A) 6=

0, demuestre que P2 (·) = P(·|A) define una probabilidad en (Ω, F).

Solución.
(i) Veamos que P2 (Ω) = 1

P(Ω ∩ A) P(A)
P2 (Ω) = P(Ω | A) = = =1
P(A) P(A)

(ii) 0 ≤ P(·) ≤ 1
P(∅ ∩ A) P(∅)
P(∅) = P(∅ | A) = = =0
P(A) P(A)
Pues por σ aditiva en P. Tomando todos los Ai = ∅ tenemos que
∞ ∞ ∞
!
[ X X
0 ≤ P(∅) = P Ai = P(Ai ) = P(∅) ≤ 1
i=1 i=1 i=1

que solo se cumple con P(∅). Además,

P(Ωc ) = 1 − P(Ω)
P(∅) = 1 − P(Ω)
=1−1
= 0.

Ası́, como P2 (Ω) = 1 y P2 (∅) = 0. Si A ⊆ Ω entonces P2 (·) ≤ P(Ω) = 1 y si ∅ ⊆ ·

entonces 0 = P(∅) ≤ P(·), suponiendo · =
6 ∅. Concluimos que 0 ≤ P2 (·) ≤ 1.
Para {An }n≥1 , donde Ai ∩ Aj = ∅ para todo i 6= j (disjuntos dos a dos) y P2 (∪∞
(iii) P i=1 Ai ) =
∞
i=1 P2 (Ai ), tenemos

∞ ∞
! !
P2 (( ∞
S
i=1 Ai ) ∩ A)
[ [
P2 Ai = P2 Ai | A =
P(A)
i=1 i=1
∞
1 X
= P(Ai ∩ A)
P(A)
i=1
∞
X P(Ai ∩ A)
=
P(A)
i=1
X∞
= P2 (Ai )
i=1
Ejercicio 2. Suppose each of 100 professors in a large mathematics departament picks at ran-
dom one of 200 courses. What is the probability that two professors pick the same course?.

Solución.
1

b−a si X ∈ (a, b)
X ∼ Unif(a, b) ⇒ r(X) =
0 en otro caso

Tomando a Xi como los profesores que escojan el grupo, tenemos

1

200 si X ∈ (1, 200)
f (Xi ) =
0 en otro caso

Cuando el evento se realiza muchas veces ∼ binomial, entonces se tendrá éxito cuando 2 profe-
sores tomen el mismo curso
  
1 1
p= = 2, 5 × 10−5 ; q = 0, 99975
200 200
por lo que,  
100 2 98
P (Xi = 2) = p q = 0, 000003.
2

Ejercicio 3. A classroom has 100 members, 30 of whom are professionals in finance. 25 of the
members are liars, while 55 are neither professionals in finance nor liars.

(a) How many of the professionals in finance are liars?

Solución. Definiendo
100 alumnos = Ω
30 profesionales en finanzas = a
25 mentirosos = b
55 no son profesionales en finanzas ni mentirosos c = (a)c ∩ (b)c

Ω = a ∪ b ∪ (a ∪ b)c
Ω = [a + b − (a ∩ b) + (a ∪ b)c ]
100 = [20 + 25 − (a ∩ b) + 55]
100 = 110 − a ∩ b

entonces a ∩ b = 10
(b) A liar is chosen at random. What is the probability that he is a prodessional in finance?

Solución.
P(a ∩ b) 10 2
P(a = b) = P(a | b) = = = .
P(b) 25 5
Ejercicio 4. Demuestre que P(A ∪ B) = P(A) + P(B) − P(A ∩ B).

Solución. Primero se debe tener en cuenta que P(B ∩ C c ) = P(B) − P(A ∩ B), además
A ∪ B = A ∪ (B ∩ Ac ) = (A ∪ B) ∩ (A ∪ Ac ), entonces

P(A ∪ B) = P(A) + P(B) − P(A ∩ B)

P(A ∪ B) = P(A) + P(B ∩ Ac )

Tenemos que B = B ∩ (A ∪ Ac ) = (B ∩ A) ∪ (B ∩ Ac ), entonces

P(B) = P(B ∩ A) + P(B ∩ Ac )

de donde

P(B ∩ Ac ) = P(B) − P(B ∩ A)

reemplazando

P(A ∪ B) = P(A) + P(B) − P(A ∩ B)

Ejercicio 5. Let Z+ be the set of all positive integers and P be a prbability measure defined
by P(B) = 32n for all n ∈ Z+ . What is the probability that a number chosen at random from
Z+ will be even?

Solución.
2
Ω = Z+ ; Pn = ∀n ∈ Zn
3n
A = {n | n = 2k ∀k ∈ Z+ }

Entonces (Ω, S(), P), tenemos que

∞ ∞
!
[ X
P Ai = P(Ai )
i=1 i=1
∞
X 2
=
3ni
i=1
n
X 2
=
32k
k=1
∞
X 2
=
9k
k=1
∞
!
X 1 1
=2 −1 = .
9k 4
k=0
Ejercicios 6. You are given P(A ∪ B) = 0,7 and P(A ∪ B c ) = 0,9. Determine P(A).

Solución. Tenemos que P(A) + P(Ac ) = 1, además P(A) = P(A ∩ B) + P(A ∩ B c ), P(A ∪ B) =
P(A) + P(B) − P(A ∩ B) y P(A ∪ B c ) = P(A) + P(B c ) − P(A ∩ B c ), entonces

0, 9 = P(A) + P(B c ) − P(A ∩ B c )

0, 7 = P(A) + P(B) − P(A ∩ B),

ası́,

0, 9 + 0, 7 = P(A) + P(A) + P(B c ) + P(B) − P(A ∩ B c )

1, 6 = 2P(A) + 1 − P(A ∩ B c ) − P(A ∩ B)
0, 6 = 2P(A) − P(A ∩ B c ) − P(A ∩ B)
0, 6 = 2P(A) − P(A)
0, 6 = P(A).

Ejercicio 7. In modeling the number of claims filed by an individual under an auto-mobile

policy during a three-year period, an actuary makes the simplifying assumption that for all
integers n ≥ 0, pn+1 = 51 pn , where pn represents the probability that the policyholder files n
claims during the period. Under this assumption, what is the probability that a policyholder
files more than one claim during the period?

Solución. Teniendo que Pn es la probabilidad de presentar n reclamaciones durante un perio-

do, entonces

P(X > 1) = 1 − P(X = 0) − P(X = 1)

1
= 1 − P0 − P0
5
1
= 1 − P0 .
5
Además,

∞
X 1
P0 = 1
5n
n=0
1
P0 = P∞ 1
n=0 5n
1
= 1
1−1/5
4
=
5
Calculando la probabilidad

  
6 4 1
P(X > 1) = 1 − =
5 5 25

Ejercicios 8. A computer manufacturer buys cables from three firms. Firm A supplies 50 %
of all cables and has a 1 % defective rate. Firm B supplies 30 % of all cables and has a 2 %
defective rate. Firm C supplies the remaining 20 % of cables and has a 5 % defective rate.
(a) What is the probability that a randomly selected cable that the computer manufacturer
has purchased is defective (that is what is the overall defective rate of all cables they purcha-
se)?

Solución.

P(D) = P(A ∩ B) + P(B ∩ D) + P(C ∩ D)

= P(B | A)P(A) + P(D | B)P(B) + P(D | C)P(C)
= (0, 01)(0, 5) + (0, 02)(0, 3) + (0, 05)(0, 2)
= 0, 021.

(b) Given that a cable is defective, what is the probability it came from Firm A? From Firm
B? From Firm C?

Solución.
P(A ∩ D) P(D | A)P(A) (0, 01)(0, 5)
P(A | D) = = = = 0, 23.
P(D) P(D) 0, 021

P(B ∩ D) P(B | D)P(B) (0, 02)(0, 5)

P(B | D) = = = = 0, 14.
P(D) P(D) 0, 021

P(c ∩ D) P(c | D)P(D) (0, 05)(0, 2)

P(c | D) = = = = 0, 47.
P(D) P(D) 0, 021

Ejercicio 9. Dados A, B eventos con probabilidad no nula, demuestre

P(A | B)P(B)
P(B | A) =
P(A)

Solución. Primero notemos que

P(A ∩ B)
P(A | B) =
P(B)

de donde,
 P(A | B)P(B) = P(A ∩ B)
entonces obtenemos,

P(B ∩ A) P(A | B)P(B)

P(B | A) = = .
P(A) P(A)

Ejericio 10. The members of a consulting firm rent cars from three rental companies: 60 %
from company 1, 30 % from company 2, and 10 % from company 3. Past statistics show that
9 % of the cars from company 1, 20 % of the cars from company 2, and 6 % of the cars from
company 3 need a tune-up. If a rental car delivered to the firm needs a tune-up, what is the
probability that it came from company 2?

Solución. Teniendo en cuenta los datos, se establece que

P(T | A) = 0, 09

P(T | B) = 0, 2
P(T | C) = 0, 1.
además,

P(T ) = 0, 09(0, 6) + 0, 2(0, 3) + 0, 1(0, 1) = 0, 129.

Se obtiene,

P(B ∩ T )
P(B | T ) =
P(T )
P(T | B)P(B)
=
P(T )
0, 2(0, 3)
= = 0, 4838.
(0, 124)

Ejercicio 11. Ten percent of a company as life insurance policyholders are smokers. The rest
are nonsmokers. For each nonsmoker, the probability of dying during the year is 0.01. For each
smoker, the probability of dying during the year is 0.05. Given that a policyholder has died,
what is the probability that the policy-holder was a smoker?

Solución. Sabiendo que

P(D | B) = 0, 01
y
P(D | A) = 0, 05
. Tenemos que,
P(D) = 0, 05(0, 1) + 0, 01(0, 9) = 0, 014.
Calculando la probabilidad

P(A ∩ D)
P(A | D) =
P(D)
P(D | A)P(A)
=
P(D)
(0, 05)(0, 10)
= = 0, 35.
0, 014

Ejercicio 12. Let A and B be two independent events such that P(B | A ∪ B) = 2/3 and
P(A | B) = 1/2. What is P(B)?

Solución. Tenemos que

2 P(B ∩ (A∪)B)
=
3 P(A ∪ B)
P(B) ∩ P(A ∪ B)
=
P(A ∪ B)
P(B)
= .
P(A ∪ B)

P(A ∩ B)
P(A | B) =
P(B)
P(A)P(B)
=
P(B)
1
= P(A) = .
2

P(B) P(B) 2
= = .
P(A ∪ B) P(A) + P(B) − P(A ∩ B) 3
entonces,
 2 P(B)
=
3 P(A) + P(B) − P(A ∩ B)
2 P(B)
=
3 1 − P(A ∩ B)
2
[1 − P(A)P(B)] = P(B)
3
2 P(B)
[1 − ] = P(B)
3 2
2 P(B)
− = P(B)
3 3
2 P(B)
= P(B) +
3 3
2 4
= P(B)
3 3

por lo que
2 3 1
P(B) = · = .
3 4 2

Ejercicio 13. Draw two cards from a deck. Let A = “The first card is a spade”, and B =
“The second card is a spade”. Show that A and B are dependent.

Solución. La cantidad de cartas es de 52 y tenemos que 13 son de espadas. En el segundo

evento la cantidad de cartas es de 51 y la cantidad de espadas será de 12 ó la cantidad de car-
tas será de 51 y de espadas es de 13. Por lo que, calculamos la probabilidad sin remplazo, de
donde
13 13 1
· = ,
52 52 16
el evento con remplazo es,
13 12 1
· =
52 51 17
1 1
entonces dado que 16 6= 17 concluimos que son independientes.

Ejercicio 14. An urn contains 10 balls: 4 red and 6 blue. A second urn contains 16 red balls
and an unknown number of blue balls. A single ball is drawn from each urn. The probability
that both balls are the same color is 0:44. Calculate the number of blue balls in the second
urn.

Solución.
6 3 9 2
P(U1A ) = = ; P(U1R ) = = .
10 5 10 5

x 16
P(U2A ) = ; P(U2R ) = .
16 + x 16 + x
de donde,

0, 94 = P(U1A )P(U2A ) + P(U1R )P(U2R )

   
3 x 2 16
0, 44 = +
5 16 + x 5 16 + x
3x 32
0, 44 = +
80 + 5x 80 + 5x
0, 44(80 + 5x) = 3x + 32
35, 2 + 2, 2x = 3x + 32
35, 2 − 3, 2 = 3x − 2, 2x
3, 2 = 0, 8x
3, 2
x=
0, 8
x = 4.

Ejercicio 15. Workplace accidents are categorized into three groups: minor, moderate and se-
vere. The probability that a given accident is minor is 0.5, that it is moderate is 0.4, and that
it is severe is 0.1. Two accidents occur independently in one month. Calculate the probability
that neither accident is severe and at most one is moderate.

Solución. Definiendo PA = 0,5, PB = 0,4, PC = 0,1 entonces

P = (PA PB ) + (PB PA ) + (PA PA )

P = (0, 5)(0, 4) + (0, 4)(0, 5) + (0, 5)(0, 5)
P = 0, 65.

Ejercicio 16. Roll two dice, and let the random variable X denote the number of even num-
bers that appear. Find the probability mass function of X.

Solución. Definiendo 0 como impares, 2 como pares y 1 como par-impar, entonces

d2 \d1 1 2 3 4 5 6
1 0 1 0 1 0 1
2 1 2 1 2 1 2
3 0 1 0 1 0 1
4 1 2 1 2 1 2
5 0 1 0 1 0 1
6 1 2 1 2 1 2

de donde la función de probabilidad f (X), viene dada por

  1

 4 si X = 0



1
si X = 1


 2
f (X) =
1
4 si X = 2






 0 o.c


Ejercicio 17. Let c be a constant and let X be a random variable with mean E(X) and va-
riance var(X) < 1. Prove that

(a) g(c) = E[(Xc)2 ] = V ar(X) + (cE(X))2 .

Solución.
E[(Xc)2 ] = E[(c2 )(X 2 )] = c2 E(X 2 ) (1)

por otro lado, tenemos que

V ar(cX) = E(c2 X 2 ) − [Ec(X)]2

E(c2 X 2 ) = c2 V ar(X) + c(E(X))2 (2)

uniendo las ecuaciones (1) y (2)

E((Xc)2 ) = c2 V ar(X) + (cE(X))2

(b) g(c) is minimized at c = E(X)

Solución.

E((Xc)2 ) = V ar(X) + (cE(X))2

c2 E(X 2 ) − c2 [E(X)]2 = V ar(X)
[E(X)]2 E(X 2 ) − [E(X)]2 [E(X)]2 = V ar(X)
[E(X)]2 [E(X 2 ) − [E(X)]2 ] = V ar(X)
[E(X)]2 V ar(X) = V ar(X)

Ejercicio 18. Let X ∼ Bin(n, p), prove that var(X) = np(1 − p).
Solución.
n  
X X n x n−x
E(X) = xp(x) = x p q
x
x
x=0
X n!
E(X) = px q n−x
(n − x)!x!
x=1
X n!
= px q n−x
(n − x)!(x − 1)!
x=1
X (n − 1)!n
= px−1 pq n−x
(n − x)!x!
x=1
X (n − 1)!
= np px−1 q n−x ,
(n − x)!x!

sean m = n − 1 y y = x − 1, entonces
X m!
= np py q m−y
y!(m − y)!
y=0

E(X) = np

la funciones de probabilidad binomial basada en n − 1 pruebas, entonces p(x) = 1. Sabemos

V (X) = E(X 2 ) = E(X)2 , por lo que

E(X 2 ) = E(X(X − 1)) = E(X 2 ) − E(X)

luego E(X 2 ) = E(X(X − 1)) − E(X), entonces

X n!
E(X(X − 1)) = x(x − 1) px q n−x
(n − x)!x!
X n!
= px q n−x
(n − x)!(x − 2)!
X (n − 2)!(n − 1)n
= px−2 p2 q n−x
(n − x)!(x − 2)!
X (n − 2)!
= (n − 1)np2 px−2 q n−2 ,
(n − x)!(x − 2)!
sean m = n − 2 y y = x − 2 tenemos
X 
m! y m−y
= p q (n − 1)np2
(m − y)!y!
= (n − 1)np2 ,

luego E(X 2 ) = (n − 1)np2 + np = np(1 + p(n − 1)), ası́

V (X) = ((n − 1)np2 + np) − (np)2

= (np)2 − np2 + np − (np)2
= np(1 − p)
Ejercicio 19.Assume that the number of defects in a certain type of magnetic tape has a
Poisson distribution and that this type of tape contains, on the average, 3 defects per 1000
feet. Find the probability that a roll of tape 1200 feet long contains no defects. What is the
average number of defects over 1200 feet?

Solución. Se tiene que X ∼ P oisson(1200λ), de donde 3 defectos/1000 = λ, ası́ λ = 3/1000 =

0, 003(1200) = 3, 6 que será el nuevo valor del parametro λ, entonces

e−3,6 3, 6k
P(X = k) =
k!
e−3,6 3, 60
P(X = 0) =
0!
−3,6
=e = 0, 027.

Ejercicio 20. Show that P(X = a) = F (a) − F (a− ).

Solución. Sean A = {s : X(s) ≥ a} y B = {s : X(s) ≤ a}. Es claro que P(A ∪ B) = 1,

entonces

P(X = a) = P(a ≤ X ≤ a) = P(A ∩ B)

= P(A) + P(B) − P(A ∪ B)
  
1
= 1 − lı́m F a − + F (a) − 1
n→∞ n
= F (a) − F (a− )

Ejercicio 21. A random variable X has the cumulative distribution function

ex
F (x) =
ex − 1

(a) Find the probability density function.

Solución.
d ex (ex − 1) − ex (ex )
F (x) =
d(x) (ex − 1)2
entonces, con x 6= 0 se tiene que
−ex
F (x) =
(ex − 1)2

(b) Find P(0 ≤ X ≤ 0).

Solución

P(0 ≤ X ≤ 0) = F (1) − F (0)

e1 e0
= −
e1 − 1 e0 − 1

Ejercicio 22. The lifetime of a machine part has a continuous distribution on the interval (0,
40) with probability density function f , where f (x) is proportional to (10 + x)2 . Calculate the
probability that the lifetime of the machine part is less than 6.

Solución. La función se encuentra definida


 k(10 + x)2 0 ≤ X ≤ 40
f (X) =
 0 o.c

de donde,

Z ∞ Z 40
f (x)dx = k(10 + x)2 dx = 1
−∞ 0
40
(10 + x)3

= k =1
3 0
(10 + 40)3 −(10)3
 
=k − =1
3 3
= k(125000 − 1000) = 3
3
de donde k = 124000 , ası́ la función queda definida como

3
 124000 · (10 + x)2 0 ≤ X ≤ 40
f (X) =
 0 o.c

Ahora calculando la probabilidad P(X < 6)tenemos,

6 6
3(10 + x)2 (10 + x)3
Z  
3
dx =
0 124000 124000 3 0
3 (163 − 103 )
= ·
124000 3
3 (4096 − 1000)
= ·
124000 3
3096
= .
124000
Ejercicio 23. A manufacturera as annual losses follow a distribution with density function
2,5

 2,5(0,6)
x3,5
if x > 0,6
f (x) =
0 otherwise.


To cover its losses, the manufacturer purchases an insurance policy with an annual deducti-
ble of 2. What is the mean of the manufacturera as annual losses not paid by the insurance
policy?

Solución. X perdidas anuales de la productora. Deductible = 2

Z 2 
2,5(0,6)2,5

E(X) = x dx
0,6 x3,5
Z 2
1
= 0, 697137 3,5
dx
0,6 x
 2
2
= 0, 697137
−3x3,5 0,6
= −0, 164316 + 0, 9999
= 0, 835683.

Ejercicio 24. A random variable has a Pareto distribution with parameters α > 0 and x0 > 0
if its density function has the form
 α(x0 )α
xα+1
, if x > x0
f (x) =
0 otherwise.

(a) Show that f (x) is indeed a density function.

Solución. Debemos ver que Z ∞

f (x)dx = 1
−∞
por lo que
∞ Z ∞
α(x0 )α
Z
dx = α(x 0 ) α
x−α−1 dx
x0 xα+1 x0
−α ∞
 
α x
= α(x0 )
α x0
α(x0 )α 1
= lı́m α
−α t→∞x 
α 1 1
= −(x0 ) lı́m α − α
t→α t x0
x α
= 0α = 1
x0
(b)Find E(X) and var(X).

Solución.

∞
α(x0 )α
Z
E(X) = x α+1 dx
x0 x
Z ∞
= αxα0 xα dx
x
 0 −α+1 ∞
x
= αxα0
−α + 1 x0
α(x0 )α h it
= lı́m x−α+1
1 − α t→∞ x0
α(x0 )α
 
1 1
= lı́m −
1 − α t→∞ tα−1 xα−1
0
−α(x0 )α

1
= −
α−1 α(x0 )α−1
0
= =µ
α−1

∞
α(x0 )α
Z
2
E(X ) = x2 dx
x0 xα+2
Z ∞
= α(x0 )α x1−α dx
x0
2−α ∞
 
α x
= α(x0 ) α+2
x x0
 α
t
α(x0 )
= lı́m x2−α
2 − α t→∞ x
α
  0
α(x0 ) 1
= − α−1
2−α x
 0 
−α(x0 )α 1
= α−2
α−2 x0
α(x0 ) 2
=
α−2
 Dado que V ar(X) = E(X 2 ) − [E(X)]2 tenemos que

α(x0 )2 α(x0 ) 2
 
V ar(X) = −
α−2 α−1
α(x0 ) 2 α2 (x0 )2
= −
α−2 (α − 1)2
α2
 
2 α
= x0 −
α − 2 (α − 1)2
2 2
 
2 α(α − 1) − α (α − 2)
= x0
(α − 2)(α − 1)2
2 3 2
 
2 α[α − 2α + 1] − α + 2α
= x0
(α − 2)(α − 1)2
 
2 α
= x0
(α − 2)(α − 1)2

Ejercicio 25. Let X be uniform on (0, 1). Compute E(X n ).

Solución. Siendo Y = X n para 0 < X < 1 entonces 0 < Y < 1, por lo que la función de
acumulación
Z x1/n
Fy (Y ) = P(Y < y) = P(X n < y) = P(X < y 1/n ) = F (X)dx = y 1/n
0
1
. Ahora Fy (Y ) = d
dy [Fy (Y )] = (1/n)y n −1 . De donde
Z 1
E(Y ) = yF (Y )dy
0
Z 1  
1 1 −1
= y yn dy
0 n
Z 1
1 1/n
= y dy
0 n
"  ! #1
1 1 1
+1 1
= 1 yn =
n n +1
n+1
0

Z 1  1
2 n 1 1
E(X ) = x dy = xn + 1 =
0 n+1 0 n+1

Ejercicio 26. An insurance policy is written to cover a loss, X, where X has a uniform distri-
bution on [0, 1000]. At what level must a deductible be set in order for the expected payment
to be 25 % of what it would be with no deductible?
Solución.Y = X − D si D ≤ X ≤ 1000, entonces
Z 1000
F (Y ) = (X − D)Γ(x)dx
0
Z 1000
1
= (X − D) dy
0 1000
(1000 − D)2
 
1
=
1000 2
(1000 − D) 2
=
2000
el valor esperado sin deducible es 25 % de 500 lo que es 125, entonces
(1000 − D)2
= 125
2000

Ejercicio 27. Let X be a normal random variable with mean 1 and variance 4. Find P(X 2 −
2X ≤ 8).
x−1
Solución.Dado que X ∼ N (1, 4), entonces Z = 2 ∼ N (0, 1), ası́
P(X 2 − 2X ≤ 8) = P(X − 2x + 1 ≤ 8 + 1)
2

= P(X 2 − 2x + 1 ≤ 9)
= P((X − 1)2 ≤ 32 )
= P(−3 ≤ X − 1 ≤ 3)
 
−3 X −1 3
=P ≤ ≤
2 2 2
= P(−1, 5 ≤ Z ≤ 1, 5) ≈ 0, 86

Ejercicio 28. Show that the exponential distribution has the memoryless property, that is if
X is exponential with parameter λ then prove:
P(X > s + t | X > s) = P(X > t), s, t ≥ 0.

Solución. Tenemos que

P(X > s + t)
,
P(X > t)
si X > s + t entonces x > t, ası́
P(X > s + t)
P(X > s + t | X > s) = ,
P(X > t))
utilizando la función de densidad
P(X > s + t)
P(X > s + t | X > s) =
P(X > t))
e−λ(s+t)
= = e−λs .
e−λt
Ejercicio 29. Let X be a random variable that is uniformly distributed in (0, 1). Find the
probability density function of Y = ln X.

Solución. Dado que X ∼ U (0, 1), F (X) = 1/(b − a) = 1, además si Y = ln X entonces,

eY = X por lo que
Y = g(x) = ln(x)
ası́
dY
= eY
dy
de donde

dY
Fy Y = Fx g −1 (y) = 1(ey ) = ey
dy

Ejercicio 30. An actuary models the lifetime of a device using the random variable Y =
10X 0,8 , where X is an exponential random variable with mean 1 year. Determine the proba-
bility density function fY (y), for y > 0, of the random variable Y .

Solución.

F (y) = P(Y ≤ y) = P(10X 0,8 ≤ y)

10/8
= P(X ≤ (y/10)10/0,8 ) = 1 − e−(y/10)
1  y ( 5/4
= 1/4)e−(y/10)
8 10
1,25
= 0, 125(0, 14)0,25 e−(0,14)

Ejercicio 31. Let X and Y be random variables with joint pdf


0,25 − 1 ≤ x, y ≤ 1
fXY (x, y) =
0 otherwise.

Find

(a) P(X 2 + Y 2 < 1)

Solución. Dada la relación

X2 + Y 2 = 1
Y 2 = 1 − X2
p
Y = 1 − X2

entonces
 √
Z 1 Z 1−X 2
2 2
P(X + Y < 1) = √ 0, 25dydx
−1 − 1−X 2
Z 2π
= (0, 25)drdθ
0
Z 2π 2
r 1
= 0, 25 | dθ
0 2 0
 θ
1
= 0, 25 |2π
0
2
 
1
= 0, 25 (2π)
2
π
= 0, 25π = .
4

(b)P(|X + Y | < 2)

Solución. 
X +Y <2→Y <2−X
P(−2 < X + Y < 2) =
X + Y > 2 → Y > −2 − X
por lo que
Z 1 Z 1
P(|X + Y | < 2) = 0, 25dY dX
−1 −1
Z 1
= 0, 25 Y |1−1 dX
−1
Z 1
= 0, 25 [1 − (−1)]dX
−1
= 0, 25(2)(2) = 1

Ejercicio 32. Let X and Y be continuous random variables with joint density function

15y x2 ≤ y ≤ x

fXY (x, y) =
0 otherwise.

Find the marginal density function of Y .

Solución. Para la primera restricción tenemos que

x2 ≤ y ≤ x
√ √
y≤x≤ y
y≤x
√
y≥ y
√
y≤x≤ y.

de donde
 √
Z y
f (y) = 15ydx
y
√
y
= 15xy|y
= 15y 3/2 (1 − y 1/2 )
por lo que
15y 3/2 (1 − y 1/2 ) 0 ≤ y ≤ 1

f (y) =
0 otherwise.

Ejercicio 33. The joint pdf of the nonegative random variables X and Y is given by

3(x + y) 0 ≤ x + y ≤ 1
fXY (x, y) =
0 otherwise.
Are X and Y independent?

Solución. No es función de densidad.

Ejercicio 34. A man and woman decide to meet at a certain location. If each person indepen-
dently arrives at a time uniformly distributed between 2 and 3 PM, find the probability that
the man arrives 10 minutes before the woman.

Solución.
1
fXY (x, y) = 0 ≤ x, y ≤ 60
3600
entonces
502 25
2
=
60 36

Ejercicio 35. Let X and Y be identically independent Poisson random variables with param-
ter. Find P(X = k | X + Y = n).

Solución. Tomando a Z = X + Y , tenemos que

P(X = k | Z = n) = P((X | Z = n)(k))
P(X = k | Z = n)
=
P(Z = n)
P(X = k)P(Y = n − k)
=
P(Z = n)
Z se distribuye Poisson con media λ1 + λ2 entonces
P(Y = α, Z = n − k)
P((X | Z = n)(k)) =
P(Z = n)
λk1 λ2 λn−k
e λ2 k! e (n−k)1
2

=  n

e(λ1 +λ2 ) (λ1 +λ
n!
2)

  k  n−k
n λ1 λ2
=
k λ1 + λ2 λ1 + λ2
de donde
λ1 n
P(X | X + Y = n) = .
λ1 + λ2

Ejercicio 36. Continuous random variables X and Y are independent if and only if

fX|Y (x | y) = fX (x).

Solución.
Si X, Y son independiente
f (X, Y ) fX (x)fY (y)
= = fX (x)
fY (y) fY (y)

Si fX|Y (x | y) = fX (x) → X, Y son independiente

f (x, y)
f(X,Y ) (x | y) = = fY (y)
fY (y)
por lo que
fX (x)fY (y)
= fX (x)
fY (y)

Ejercicio 37. The joint probability density function of the random variables X and Y is given
by  1
fXY (x, y) = 3 x − y + 1 1 ≤ x ≤ 2, 0 ≤ y ≤ 1
0 otherwise.

(a) Find the conditional probability density dunction of X given Y = y.

Solución. Teneos que

fXY (x, y)
fX|Y (x | y) =
fY (y)
de donde, para 0 ≤ y ≤ 1
Z 2
1
fY (y) = x − y + 1dx
1 3
x2
= − xy + x|21
6
4 1
= − 2y + 2 − + y − 1
6 6
1 3
= +1−y− −1
2 2

3

2−y 0≤y ≤1
fy (y) =
0 otherwise.
 ( 1
x−y+1
3
3 0≤y≤1
fx|y (x | y) = 2
−y
0 otherwise.
 2x−6y+6
9−6y 0≤y≤1
fx|y (x | y) =
0 otherwise.

3 1


(b) Find P X < 2 |Y = 2

Solución.
2x − 6(1/3) + 6
fx|y (x | y = 1/2) =
9 − 6(1/2)
2x − 3 + 6
=
9−3
2x + 3 2
= = x+1
3 3
ahora,

  Z 3/2
3 1 2
P X< |Y = = x + 1dx
2 2 1 3
3/2
2 x2

= · +x
3 2 1
11
= .
12

Ejercicio 38. An auto insurance policy will pay for damage to both the policyholders car and
the other drivers car in the event that the policyholder is responsible for an accident. The size
of the payment for damage to the policyholders car, X, has a marginal density function of 1
for 0 < x < 1. Given X = x, the size of the payment for damage to the other drivers car,
Y , has conditional density of 1 for x < y < x + 1. If the policyholder is responsible for an
accident, what is the probability that the payment for damage to the other drivers car will be
greater than 0.5?

Solución. Tenemos que 

1 0≤x≤1
fx (x) =
0 otherwise.
entonces 
1 x≤y ≤x+1
P(Y | X = x) → fy|x (y | x) =
0 otherwise.
P(Y > 0, 5)
fy|x (y | x) · fx (x) = fy (y) = {1 0 ≤ x ≤ 1, x ≤ y ≤ x + 1.
de donde,
1 − 0, 1280 = 0, 875
 0, 5 − 0, 5
= 0, 1250
2

Ejercicio 39. Show that, if X ≥ 0 and E(X) = 0 then P(X = 0) = 1.

Solución
Z Z ∞ Z
X X
0 = E(X) = xdp = xdp + xdp ≥ P(X > 1) + p2n ≤ x < 2n−1 > 0
x≤1 n=1 2<x 2

por lo que
P(X ≥ 1) = P(2−n ≤ X < 2n+1 )
de donde,
∞
X
1 = P(X ≥ 1) = P(X = 0) + P(X ≥ 1) + = P(2−n ≤ X < 2−n+1 ) = P(X)
n=1

Ejercicio 40.The profit for a new product is given by Z = 3X − Y − 5, where X and Y are
independent random variables with var(X) = 1 and var(Y ) = 2. What is the variance of Z?

Solución. Tomando Z = 3X − Y − 5 entonces, var(Z) = var(3X − Y − 5), ası́

var(Z) = var(3X) − var(Y ) − var(5)

= 9var(X) − var(Y )
= 9(1) − 2
= 7.

Ejercicio 41. Let X and Y be continuous random variables with joint pdf

3x 0 ≤ y ≤ x ≤ 1
fXY (x, y) =
0 otherwise.

Find Cov(X, Y ) and ρ(X, Y )

Solución.
Cov(x, y) = E(X, Y ) − E(X)E(Y ) de donde
Z Z Z 1Z x
E(X, Y ) = xyf (x, y)dydx = xy3xdydx
0 0
Z 1
y2
= 3x2 |x0 dx
0 2
3 x 5
= · |10
2 5
3
=
10
 Z 1Z x
E(X) = x3xdydx
0 0
Z 1
= 3x2 y|y0 dx
0
Z 1
= 3x3 dx
0
3
=
4
Z 1Z y
E(Y ) = y3xdydx
0 0
Z 1
3xy 2 x
= | dx
0 2 0
Z 1 3
3x
= dx
0 2
3
=
8
entonces Cov(x, y) = 3/10 − (3/4)(3/8) = 3/160.
Cov(x,y)
ρ(x, y) = σx σy de donde,
Z 1Z x
E(X 2 ) = x2 3xdydx
0 0
Z 1Z x
= 3x3 dydx
0 0
3
= .
5
Z 1Z x
2
E(Y ) = y 2 3xdydx
0 0
Z 1 4
3x
= dx
0 5
1
= .
5

por lo que
p
var(X) = (3/5) − (3/4)2 = (3/5) − (9/16) = 3/80 → σx = 3/80
p
var(Y ) = (1/5) − (3/8)2 = (1/5) − (9/64) = 17/320 → σy = 17/320
se obtiene que,
Cov(x, y) 3/160
ρ(x, y) = =p p
σx σy 3/80 17/320 = 0, 39

Ejercicio 42. Suppose X and Y are discrete random variables with values 1, 2, 3, 4 and joint
p.m.f. given by  1
 16 x = y
2
fXY (x, y) = x<y
 16
0 otherwise.
for x, y = 1, 2, 3, 4.

(a) Find the joint probability distribution of X and Y .

Solución.

X\Y 1 2 3 4 P(X =x)

1 1/16 2/16 2/16 2/16 7/16
2 0 1/16 2/16 2/16 5/16
3 0 0 1/16 2/16 5/16
4 0 0 0 1/16 1/16
1/16 3/16 5/16 7/16 1

(b) Find the conditional expectation of Y given X.

Solución
4
X
E(Y | X = x) = yPY |X (Y | X = x)
y=1
PXY (x, 1) PXY (x, 2) PXY (x, 3) PXY (x, 4)
= +2 +3 +4
P(X = x) P(X = x) P(X = x) P(X = x)

Ejercicio 43. Suppose that the joint density of X and Y is given by

e−x/y e−y
fXY (x, y) = , x, y > 0
y

Compute E(X | Y = y).

Solución. Teniendo que

fXY
P(X | Y = y) =
FY (y)
de donde
−(x+y)
Z ∞
e y
FY (y) = dx
0 y
∞
e−u
Z
= ydu
0 y
= −e−u |∞
0
−( x +y) ∞
= −e y |0
−y
=e
 e−x/y
entonces fX|Y (x | y) = y , ası́
∞
xe−x/y
Z
E(X | Y ) = dx
0 y
1
= [−xye−x/y + y(−ye−x/y )]∞ 0
y
1 y2
= [(0 − 0) − (0 − y 2 )] = = y.
y 2

Ejercicio 44. Prove that E(X) = E(E(X | Y ))

Solución.
Z ∞
= E(X | Y = y)fY (y)dy
Z−∞
∞ Z ∞
= xfX|Y (X | Y )dyfY )(y)dy
Z−∞ −∞
∞ Z ∞
= Y fX|Y (x | Y )fY (y)dydx
Z−∞ −∞
∞ Z ∞
= xfX|Y (x | y)dxdy
Z−∞
∞
−∞
Z ∞
= y fXY (x, y)dxdy
Z−∞
∞
−∞

= xdxydy
−∞
= E(X).

Ejercicio 45. Suppose that X and Y have joint distribution


8xy 0 < x < y < 1,
fXY (x, y) =
0 otherwise.
Find E(X | Y ) and E(Y | X).

Solución.

f (x, y)
f (x | y) =
fY (y)
entonces, Z y
fY (y) = 8xydx = 4y 3 (0 < y < 1)
0
se obtiene que
8xy 2y
f (x | y) = = 2
4y 3 y
ası́ que Z 1
2x 2
E(X | Y ) = x 2
dx = 2
0 y 3y
 f (x, y)
f (y | x) =
fX (x)
entonces, Z 1
fX (x) = 8xydx = 4x − 4x3 = 4x(1 − x2 )
x
se obtiene que
8xy 2y
f (y | x) = =
4x(1 − x2 ) (1 − x2 )
ası́ que Z 1
2y 1
E(Y | X) = y 2
dx =
0 (1 − x ) 1 − x2