Show that the series $\sum P \left( S _ { n } = 0 _ { d } \right)$ is divergent if and only if $P ( R \neq + \infty ) = 1$.

Let $X$ be a real and discrete random variable and $m \in \mathbb { R }$. For $n \in \mathbb { N }$ and $h \in \mathbb { R } _ { + } ^ { * }$, we set $g _ { n } ( h ) = \operatorname { sinc } \left( \frac { x _ { n } - m } { h } \right) \mathbb { P } \left( X = x _ { n } \right)$, and $\tilde{g}_n$ denotes its continuous extension to $\mathbb{R}^+$. Show that the function $G = \sum _ { n = 0 } ^ { + \infty } \tilde { g } _ { n }$ is defined and continuous on $\mathbb { R } ^ { + }$.

Let $A > 2$. Deduce that $$\lim_{n \rightarrow +\infty} \frac{1}{n} \mathbb{E}\left(\sum_{\substack{1 \leqslant i \leqslant n \\ |\Lambda_{i,n}| \geqslant A}} |f - P|\left(\Lambda_{i,n}\right)\right) = 0.$$

Let $(X_n)_{n \in \mathbb{N}}$ be a sequence of mutually independent random variables satisfying $\mathbb{P}(X_n = -1) = \mathbb{P}(X_n = 1) = \frac{1}{2}$, and let $S_N = \sum_{n=0}^N X_n a_n$. With the events $$B_{j,m} = \left\{|S_m - S_{\phi(j)}| > 2^{-j} \text{ and } \forall n \in \llbracket \phi(j), m-1 \rrbracket, \; |S_n - S_{\phi(j)}| \leqslant 2^{-j}\right\},$$ $$B_j = \left\{\max_{\phi(j)+1 \leqslant n \leqslant \phi(j+1)} |S_n - S_{\phi(j)}| > 2^{-j}\right\},$$ for all $j \in \mathbb{N}$, prove that the events $B_{j,m}$, for $m$ ranging over $\llbracket \phi(j)+1, \phi(j+1) \rrbracket$, are pairwise disjoint and that we have the equality of events $$B_j = \bigcup_{\phi(j) < m \leqslant \phi(j+1)} B_{j,m}.$$

With the notation and setup of the previous questions (mutually independent Rademacher variables, $S_N = \sum_{n=0}^N X_n a_n$, events $A_j$, $B_j$, $B_{j,m}$), let $m \in \llbracket \phi(j)+1, \phi(j+1) \rrbracket$. Show that the function $$\left|\begin{array}{lll} \mathbb{R} & \rightarrow & \mathbb{R} \\ \alpha & \mapsto & 2^{\phi(j+1)-\phi(j)} \mathbb{P}\left(\left\{\left|\alpha S_{\phi(j+1)} - \alpha S_m + S_m - S_{\phi(j)}\right| > 2^{-j}\right\} \cap B_{j,m}\right) \end{array}\right.$$ takes values in $\mathbb{N}$ and is even.

With the notation and setup of the previous questions (mutually independent Rademacher variables, $S_N = \sum_{n=0}^N X_n a_n$, events $A_j$, $B_j$, $B_{j,m}$), prove that if the event $B_j$ occurs, then there exist $m \in \llbracket \phi(j)+1, \phi(j+1) \rrbracket$ and $\alpha \in \{-1, +1\}$ such that the event $$\left\{\left|\alpha S_{\phi(j+1)} - \alpha S_m + S_m - S_{\phi(j)}\right| > 2^{-j}\right\} \cap B_{j,m}$$ also occurs. One may express $S_m - S_{\phi(j)}$ in terms of the two numbers $\alpha S_{\phi(j+1)} - \alpha S_m + S_m - S_{\phi(j)}$ with $\alpha = \pm 1$.

With the notation and setup of the previous questions (mutually independent Rademacher variables, $S_N = \sum_{n=0}^N X_n a_n$, events $A_j$, $B_j$, $B_{j,m}$), deduce that $$\mathbb{P}(B_j) \leqslant 2\mathbb{P}(A_j).$$

With the notation and setup of the previous questions (mutually independent Rademacher variables, $S_N = \sum_{n=0}^N X_n a_n$, events $B_j$), denote by $B$ the event $\bigcap_{J \in \mathbb{N}} \bigcup_{j \geqslant J} B_j$. Show the equality $\mathbb{P}(B) = 0$.

With the notation and setup of the previous questions (mutually independent Rademacher variables, $S_N = \sum_{n=0}^N X_n a_n$, events $B_j$, $B_{j,m}$), show that the event $$\left\{\exists J \in \mathbb{N}, \quad \forall j \geqslant J, \quad \forall n \in \llbracket \phi(j)+1, \phi(j+1) \rrbracket, \quad |S_n - S_{\phi(j)}| \leqslant 2^{-j}\right\}$$ occurs with probability 1.

With the notation and setup of the previous questions (mutually independent Rademacher variables, $S_N = \sum_{n=0}^N X_n a_n$), deduce that the event $$\left\{\text{the sequence } \left(S_{\phi(j)}\right)_{j \in \mathbb{N}} \text{ is convergent}\right\}$$ also has probability 1. One may examine the series $\sum |S_{\phi(j+1)} - S_{\phi(j)}|$.

With the notation and setup of the previous questions (mutually independent Rademacher variables, $S_N = \sum_{n=0}^N X_n a_n$), conclude that the event $$\left\{\text{the series } \sum X_n a_n \text{ is convergent}\right\}$$ has probability 1.

We fix $K \in \mathbb{N}^{\star}$ and consider a sequence of random variables $(X_n)_{n \in \mathbb{N}}$ satisfying $\mathbb{P}(X_n = -1) = \mathbb{P}(X_n = 1) = \frac{1}{2}$, distinct real numbers $x_1 < \cdots < x_K$ in $[0,1]$, and a sequence of functions $(f_n)$ of class $\mathcal{C}^K$ on $[0,1]$ satisfying: (H1) the function series $\sum f_n^{(K)}$ converges normally on $[0,1]$; (H2') for all $\ell \in \llbracket 1, K \rrbracket$, the numerical series $\sum f_n(x_\ell)^2$ is convergent.
Show that one of the two hypotheses (H2') or (H2) (where (H2) states that for all $\ell \in \llbracket 1, K \rrbracket$ the numerical series $\sum f_n(x_\ell)$ is absolutely convergent) implies the other.

We fix $K \in \mathbb{N}^{\star}$ and consider a sequence of random variables $(X_n)_{n \in \mathbb{N}}$ satisfying $\mathbb{P}(X_n = -1) = \mathbb{P}(X_n = 1) = \frac{1}{2}$ (mutually independent), distinct real numbers $x_1 < \cdots < x_K$ in $[0,1]$, and a sequence of functions $(f_n)$ of class $\mathcal{C}^K$ on $[0,1]$ satisfying hypotheses (H1) and (H2'). Show that the event $$\left\{\text{for all } \ell \in \llbracket 1, K \rrbracket, \text{ the series } \sum X_n f_n(x_\ell) \text{ is convergent}\right\}$$ has probability 1.

We fix $K \in \mathbb{N}^{\star}$ and consider a sequence of random variables $(X_n)_{n \in \mathbb{N}}$ satisfying $\mathbb{P}(X_n = -1) = \mathbb{P}(X_n = 1) = \frac{1}{2}$ (mutually independent), distinct real numbers $x_1 < \cdots < x_K$ in $[0,1]$, and a sequence of functions $(f_n)$ of class $\mathcal{C}^K$ on $[0,1]$ satisfying hypotheses (H1) and (H2'). Let $P_n \in \mathbb{R}_{K-1}[X]$ be a polynomial satisfying $P_n(x_\ell) = f_n(x_\ell)$ for all $\ell \in \llbracket 1, K \rrbracket$ (cf. question 7). Show that the event $$\left\{\begin{array}{l} \text{for all } k \in \llbracket 0, K \rrbracket, \text{ the function series } \sum X_n (f_n - P_n)^{(k)} \text{ is uniformly convergent on } [0,1], \\ \text{the function } \sum_{n=0}^{+\infty} X_n (f_n - P_n) \text{ is of class } \mathcal{C}^K, \\ \text{for all } k \in \llbracket 0, K \rrbracket, \left(\sum_{n=0}^{+\infty} X_n (f_n - P_n)\right)^{(k)} = \sum_{n=0}^{+\infty} X_n (f_n - P_n)^{(k)} \end{array}\right\}$$ has probability 1.

We fix $K \in \mathbb{N}^{\star}$ and consider a sequence of random variables $(X_n)_{n \in \mathbb{N}}$ satisfying $\mathbb{P}(X_n = -1) = \mathbb{P}(X_n = 1) = \frac{1}{2}$ (mutually independent), distinct real numbers $x_1 < \cdots < x_K$ in $[0,1]$, and a sequence of functions $(f_n)$ of class $\mathcal{C}^K$ on $[0,1]$ satisfying hypotheses (H1) and (H2'). Show that the event $$\left\{\begin{array}{l} \text{for all } k \in \llbracket 0, K \rrbracket, \text{ the function series } \sum X_n f_n^{(k)} \text{ is uniformly convergent on } [0,1], \\ \text{the function } \sum_{n=0}^{+\infty} X_n f_n \text{ is of class } \mathcal{C}^K, \\ \text{for all } k \in \llbracket 0, K \rrbracket, \left(\sum_{n=0}^{+\infty} X_n f_n\right)^{(k)} = \sum_{n=0}^{+\infty} X_n f_n^{(k)} \end{array}\right\}$$ has probability 1.

Give an example of an integer $K \in \mathbb{N}^{\star}$ for which the event in question Q33 occurs with the functions $f_n$ defined by $$\left\{\begin{array}{l} f_0 = 0 \\ f_n(x) = \ln\left(1 + \sin\left(\frac{x}{n}\right)\right) \quad \forall n \in \mathbb{N}^{\star}, \forall x \in [0,1]. \end{array}\right.$$

Let $E$ be a countably infinite subset of $\mathbb{R}$. Let $(\Omega, \mathscr{A}, P)$ be a probability space. Let $(X_n)_{n \in \mathbb{N}}$ be a sequence of random variables defined on $(\Omega, \mathscr{A}, P)$, taking values in $E$. We assume that for all $\omega \in \Omega$, the sequence $(X_n(\omega))_{n \in \mathbb{N}}$ is stationary and converges to $X(\omega)$. We also define the random variable: $$L : \Omega \longrightarrow \mathbb{N}, \quad \omega \mapsto \begin{cases} 0 & \text{if } \forall n \in \mathbb{N}, X_n(\omega) = X(\omega) \\ \max\{n \in \mathbb{N}, X_n(\omega) \neq X(\omega)\} & \text{otherwise.} \end{cases}$$
Justify that the map $L$ is well defined.