Thursday, November 24, 2016

random variable takes only rational values with probability one



I have found an old exercise that seems very interesting: let X1,X2,... be i.i.d. bernoullian random variables with P(Xn=1)=P(Xn=0)=1/2. Define Sn:=X1+...+Xn. It is to show that the random variable



M:=sup
with probability 1 only takes rational values in the intervall (1/2,1]. Anyone has an idea, how to prove it?



Answer




Lemma Let f: \mathbb{N} \to \mathbb{Q} \cap [0,1] be a mapping such that \lim_{n \to \infty} f(n) = c \in (0,1) exists. Then M := \sup_{n \in \mathbb{N}} f(n) satisfies M \in \{c\} \cup (\mathbb{Q} \cap [c,1]).




Proof: Since \lim_{n \to \infty} f_n = c we clearly have M \geq c. If M=c we are done, and therefore we will from now assume that M>c. Since $\lim_{n \to \infty} f(n)=c




By the strong law of large numbers, we can apply the above lemma to f(n) := S_n(\omega)/n with c:=1/2. This proves the assertion.



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