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Advanced Stochastic Processes

1. The document contains 7 problems related to applied stochastic processes and Poisson processes. The problems cover topics like the conditional probability distribution of a Poisson process, expected values, combining independent Poisson processes, machine uptime modeling, and generating exponential and Poisson random variables from uniform distributions.

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ROHIT NARAYANI
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115 views1 page

Advanced Stochastic Processes

1. The document contains 7 problems related to applied stochastic processes and Poisson processes. The problems cover topics like the conditional probability distribution of a Poisson process, expected values, combining independent Poisson processes, machine uptime modeling, and generating exponential and Poisson random variables from uniform distributions.

Uploaded by

ROHIT NARAYANI
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd

Home Work 7

MTH 412A
Applied Stochastic Process

1. For a Poisson process show that for t < s,


!  
n k
s s
n−k
P (N (s) = k|N (t) = n) = 1− ; k = 0, 1, . . . , n.
k t t

2. If {N (t); t ≥ 0} is a Poisson process with rate λ, calculate E(N (t) × N (t + s)).

3. Suppose that {N1 (t); t ≥ 0} and {N2 (t); t ≥ 0} are independent Poisson processes with
rates λ1 and λ2 , respectively. Show that {N1 (t) + N2 (t); t ≥ 0} is a Poisson process
with rate λ1 + λ2 . Also show that the first event of the combined process comes form
λ1
{N1 (t); t ≥ 0} is , independently of the time of the event.
λ1 + λ2
4. A machine needs two types of components in order to function. We have a stock pile
of n Type-1 component and m Type-2 components. Type-i components last for an
exponential time with mean rate µi before failing. Compute the mean length of time
that the machine is operative if a failed component is replaced by one of the same type
from stockpile.

5. Compute the joint distribution function of S1 , S2 and S3

6. Busses arrive at a certain stop according to a Poisson process with rate λ. If you take
a bus from that stop then it takes a time R, measured from the time at which you
entered the bus to arrive home. If you walk from the bus stop then it takes time W to
arrive home. Suppose that your policy when arriving at the bus stop is to wait up to
time s, and if the bus has not arrived by that time then you walk home.

(a) Compute the expected time from when you arrive at the bus stop until you reach
home.
(b) Find s so that the expected time is minimized.

7. Let U1 , U2 , . . . be independent uniform (0,1) random variables. Show that Xi =


(− ln Ui )/λ is exponentially distributed with parameter λ. Show that if N is a dis-
crete random variable defined as follows
N NY
+1
Ui ≥ e−λ >
Y
Ui ,
i=1 i=1

0
Y
where Ui = 1, then N is a Poisson random variable.
i=1

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