Stochastic Models I (for first-year doctoral students)

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Stochastic Models I (for first-year doctoral students)

Attribution Non-Commercial (BY-NC)

- midtermTwoF07sols
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Problems from Chapter 3 of Stochastic Processes, second edition, by Sheldon Ross. Problem 3.12 (Hint: Just nd an appropriate function h.) Problem 3.13 Problem 3.14 Problem 3.15 Problem 3.16 Problem 3.17 (answer in back) Problem 3.18 Problem 3.22 (Hint: See Example 3.5A on page 125.) Problem 3.23 (Hint: See Example 3.5A on page 125.) Problem 3.21 (Hint: Use Example 3.5A plus Walds equation.) Problem 3.24 (answer in back) Problem 3.25 (Hints: (a) There are two standard approaches: The rst standard approach is to condition on the time of the rst renewal and uncondition. That produces a renewal equation (an integral equation) of the form

t

g (t) = h(t) +

0

g (t x) dF (x) ,

t

g (t) = h(t) +

0

h(t x) dM (x) ,

M (t) E [N (t)] =

n=1

P (Sn t) =

n=1

Fn (t) ,

and Fn is the cdf of X1 + + Xn , with Xi being IID with cdf F . For the second step, we can use Laplace transforms. In that step, observe that (s) M

0

esx M (x) dx

0

esx dM (x)

Indeed,

(s) = m M (s)/s.

The second approach is to condition on the time of the last renewal before time t and directly obtain the solution above, as is done in the proof of Lemma 3.4.3 on page 113. (b) Apply the key renewal theorem. Problem 3.27 (answer in back) Problem 3.28

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