Probability Pitman Solutions
Probability Pitman Solutions
Probability Pitman Solutions
xexp(x)dx
_
exp(x
2
/2)dx
SOLUTION. For the rst integral, by the fundamental theorem of calculus and the power rule,
_
1
0
x
3
dx =
x
4
4
1
0
=
1
4
For the second integral, note that the integrand is the product of two functions: x and exp(x), one
of which gets simpler with dierentiation and the other of which is easy to integrate. Hence this
type of integral can be addressed through integration-by-parts.
Also, as x , xexp(x) 0 (write the expression as a quotient and use Lh opitals rule). We
derive
_
0
xexp(x)dx = [xexp(x)]|
0
_
0
exp(x)dx = 1
5
The last integral requires a bit of ingenuity. Let us rst observe that
_
exp(x
2
/2)dx =
_
exp(y
2
/2)dy;
that is, in a denite integral, the particular choice of letter to represent the variable of integration
is irrelevant. Hence we get
__
exp(x
2
/2)dx
_ __
exp(y
2
/2)dy
_
=
__
exp(x
2
/2)dx
_
2
Now, consider the double integral
_
exp
_
(x
2
+ y
2
)/2
dxdy
This is an iterated integralrst we integrate with respect to the variable x, and then with respect
the variable y. A priori, we cannot say that the iterated integral and the product of the two
separate integrals are equal. But since exp
_
(x
2
+ y
2
)/2
= exp(x
2
/2) exp(y
2
/2), the function
f(x, y) = exp
_
(x
2
+ y
2
)/2
exp
_
(x
2
+ y
2
)/2
dxdy =
_
exp(y
2
/2)
__
exp(x
2
/2)dx
_
dy
=
__
exp(x
2
/2)dx
_ __
exp(y
2
/2)dy
_
=
__
exp(x
2
/2)dx
_
2
From the above chain of equalities, we see that if we can evaluate the double integral over the whole
plane, then we can determine the value of the integral we want. The double integral over the whole
plane
_
exp
_
(x
2
+ y
2
)/2
dxdy
can be evaluated by changing to polar coordinates: x = r cos , y = r sin, where 0 r < ,
0 2. By the change-of-variables formula for multiple integrals, in a change of variables from
(x, y) to (r, ), the area dierential dxdy is transformed to the dierential drd multiplied by the
absolute value of the determinant of the Jacobian matrix of the change-of-coordinate map
(x,y)
(r,)
.
You can compute this matrix (in fact you should!), and you will nd its determinant to be r, which
is always nonnegative. Hence the area dierential dxdy is transformed under this change of variable
to rdrd. The double integral in the new (r, ) coordinates is
_
exp
_
(x
2
+ y
2
)/2
dxdy =
_
2
0
_
0
exp
_
r
2
/2
rdrd
Since the function being integrated does not depend on , this becomes
2
_
0
exp
_
r
2
/2
rdr
6
which can be evaluated by simple substitution. The nal answer for the double integral is 2, so
the nal answer for the original integral is
2.
Problem 10. Perform the following dierentiations:
d
dx
(x
4
)
d
dx
(x
2
exp(x))
d
dx
(ln(x
2
))
SOLUTION. These are straightforward and we omit the details: the rst dierentiation is an appli-
cation of the power rule; the second an application of the product rule; the third an application of
the chain rule. We get
d
dx
(x
4
) = 4x
3
d
dx
(x
2
exp(x)) = (2x x
2
) exp(x)
d
dx
(ln(x
2
)) =
2
x
Problem 11. Evaluate the following innite sums:
k=1
_
1
4
_
k
k=1
3
k
k!
SOLUTION. The rst series is the sum of a geometric series whose rst term is
1
4
and whose ratio
is
1
4
. Hence its sum is
1/4
11/4
=
1/4
3/4
= 1/3. The second series is almost the series expansion for the
exponential function exp(x), except the rst term in that series,
3
0
0!
= 1, is not included. Hence the
numerical value of the innite sum is exp(3) 1.
Problem 12. Draw a picture of the region of the xy-plane were both x and y are between 0 and 1
and y x
2
. Find the area of this region.
SOLUTION. The area is represented by the integral
_
1
0
[1 x
2
]dx = [x x
3
/3]
1
0
= 2/3
Problem 13. Evaluate the integral
_
4
0
_
2
y
2
e
x
2
dxdy
Hint: Draw the region over which you are integrating and change the order of integration.
SOLUTION. The region is {y/2 x 2, 0 y 4}. In order to change the order of integration, we
need to express the limits rst in terms of y (so the y limits depend on x), and then in terms of x,
so the x limits are then two numbers. We see that if y/2 x 2 and 0 y 4, then 0 y 2x,
and 0 x 2. (Draw these two regions separately and check that they are the same region!) By
interchanging the order of integration, we get
_
4
0
_
2
y
2
e
x
2
dxdy =
_
2
0
_
2x
0
e
x
2
dydx
=
_
2
0
2xe
x
2
dx
= exp(x
2
)
2
0
= exp(4) 1
7