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Please drop your answer to Question 2 in the red box on the second ﬂoor of the Maths building by 13:00 on Tuesday 6th March 2012. You are strongly encouraged to attempt at least Questions 1 and 2. Please send comments and corrections to email@example.com. 1. (a) Some revision of Probability Models. Prove the following: If A has a Po(λ) and B has a Po(µ) distribution and A and B are independent random variables, then A + B has a Po(λ + µ) distribution. (b) Recall Lemma 2.2 from the notes: “Let X (t) and Y (t) be independent Poisson processes with rates λ and µ. The stochastic process Z (t) = X (t) + Y (t) is a Poisson process with rate λ + µ.” We proved this lemma using the inﬁnitesimal description of the Poisson process. Now prove Lemma 2.2 again, but this time using the axiomatic description (Deﬁnition 2.1). (c) At Stepney Green Underground station the arrival of Hammersmith and City Line trains forms a Poisson process of rate 6 per hour and the arrival of District Line trains forms a Poisson process of rate 14 per hour. These processes are independent. What can you say about the distribution of arrivals of trains (of both kinds) at Stepney Green station?
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iv. P(C (20) = 3 | C (10) = 1).3 again. but leave powers of e. simplify.1 per 2. What can you say about the distribution of arrivals of Hammersmith and City Line trains at Stepney Green station? 2 . P(C (20) = 3). Customers enter a shop according to a Poisson process with rate 5 minute.1).” We proved this Lemma using the inﬁnitesimal description of the Poisson process. P(C (10) = 1 | C (20) = 3). (d) Divide an hour into 30 “even” minutes 0. 5. ii. . (Your answer should be left involving powers of e but simpliﬁed in all other ways. P(C (10) = 1. With probability 10 7 Hammersmith and City Line train and with 10 a District Line train. C (20) = 3). Now prove Lemma 2. (b) At Stepney Green Underground station the arrival of trains forms a 3 a train is a Poisson process of rate 20 per hour. . v.3 from the notes: “Let X (t) be a Poisson processes with rate λ. Let C (t) be the number of customers who have entered the shop after it has been open for t minutes. independent of the other arrivals. . . 59. Recall Q1(a). Brieﬂy explain your answers with reference to the properties of the Poisson process. 3. P(C (20) = 1 | C (10) = 3). Find the distribution of the number of customers in the shop after it has been open for 1 hour. . The stochastic process X (t) deﬁned by the thinning procedure [in which each event is retained with probability p and rejected with probability 1 − p] is a Poisson process with rate pλ. iii. Find the distribution of the number of customers who arrive during the even minutes on a given hour. (a) Calculate the following: i. 2. 4. Explain your reasoning.) (c) Suppose that each customer spends exactly 10 minutes in the shop. but this time using the axiomatic description (Deﬁnition 2.) (b) What is the probability that the second customer arrives within the ﬁrst 15 minutes. . 3∗ . Hint. . (a) Recall Lemma 2. 58 and 30 “odd” minutes 1. . (Again.