grandes-ecoles 2018 Q10

grandes-ecoles · France · centrale-maths2__psi Probability Generating Functions Explicit computation of a PGF or characteristic function

Let $n$ be a non-zero natural integer. For $i \in \llbracket 1 , n \rrbracket$, $X _ { i }$ is a random variable on $(\Omega , \mathcal { A } , \mathbb { P })$ following a Bernoulli distribution with parameter $\lambda / n$. We assume that $X _ { 1 } , X _ { 2 } , \ldots , X _ { n }$ are mutually independent and we set $S _ { n } = \sum _ { i = 1 } ^ { n } X _ { i }$.
For $t \in \mathbb { R }$, calculate $\lim _ { n \rightarrow + \infty } M _ { S _ { n } } ( t )$.

Let $n$ be a non-zero natural integer. For $i \in \llbracket 1 , n \rrbracket$, $X _ { i }$ is a random variable on $(\Omega , \mathcal { A } , \mathbb { P })$ following a Bernoulli distribution with parameter $\lambda / n$. We assume that $X _ { 1 } , X _ { 2 } , \ldots , X _ { n }$ are mutually independent and we set $S _ { n } = \sum _ { i = 1 } ^ { n } X _ { i }$.

For $t \in \mathbb { R }$, calculate $\lim _ { n \rightarrow + \infty } M _ { S _ { n } } ( t )$.

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