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)

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SOLUTIONS to Homework Assignment 7

Problem 3.12 Take h(t) = 1

(0,a]

(t).

Problem 3.13 Since the state circulates the state space {1, 2, , n} in the same order. Hence

we can dene the alternating renewal process by on when it is in the state i and o when

it is among {1, , i 1, i + 1, , n}. Dene

i

=

_

F

i

(t)dt. Then

P(process is in i)

E[on]

E[on] +E[off]

=

i

n

j=1

j

.

Problem 3.14 (a) [t x, t]

(b) [t, t +x]

(c) P(Y (t) > x) = P(A(t +x) > x)

(d) See Problem 3.3.

Problem 3.15 (a)

P(Y (t) > x|A(t) = s) = P(X

N(t)+1

> x +s|time at t since the last renewal = s)

=

F(x +s)

F(s)

.

(b) Using (a),

P(Y (t) > x|A(t +x/2) = s) =

_

_

_

0 if s <

x

2

F(s+x/2)

F(s)

if s

x

2

.

(c)

P(Y (t) > x|A(t +x) > s) =

_

1 if s x

P(no events in [t, t +x s]) = e

(xs)

if s < x

.

(d)

P(Y (t) > x, A(t) > y) = P(Y (t y) > x +y) = P(A(t +x) > x +y) .

(e)

A(t)

t

=

t S

N(t)

t

= 1

S

N(t)

N(t)

N(t)

t

1

1

= 0 .

1

Problem 3.16

lim

t

E[Y (t)] =

E[X

2

]

2

=

n

_

1

_

2

+

_

n

_

2

2

n

=

1 +n

2

.

To get it without any computations, consider a Poisson process with rate and say the a

renewal occurs at the Poisson events numbered n, 2n, . Now at time t, t large, it is equally

likely that the most recent event was an event of the formi+kn, i = 0, 1, 2, , n1. That is,

modulo n, the number of the most recent Poisson event is equally likely to be n, 1, , n1.

Conditioning on the value of this quantity gives that for the renewal process

lim

t

E[Y (t)] =

1

n

_

1

+ +

n

_

=

n + 1

2

.

Problem 3.18 (a) Delayed renewal process.

(b) Neither.

If F is exponential,

(a) Delayed renewal process.

(b) Renewal process.

Problem 3.21 Let X

i

equal 1 if the gambler wins bet i, and let it be 0 otherwise. Also, let N

denote the rst time the gambler has won k consecutive bets. Then X =

N

i=1

X

i

is equal

to the number of bets that he wins, and X(N X) = 2XN is his winnings. By Walds

equation

E[X] = pE[N] = p

k

i=1

p

i

.

Thus

(a) E[2X N] = 2E[X] E[N] = (2p 1)E[N] = (2p 1)

k

i=1

p

i

(b) E[X] = p

k

i=1

p

i

Problem 3.22 (a)

E[T

HHTTHH

] = E[T

HH

] +p

4

(1 p)

2

= E[T

H

] +p

2

+p

4

(1 p)

2

= p

1

+p

2

+p

4

(1 p)

2

2

(b) E[T

HTHTT

] = p

2

(1 p)

3

E[N

B|A

] = E[N

HTHTT|H

] = E[N

HTHTT

] E[N

H

] = 32 2 = 30, E[N

A|B

] = E[N

A

] =

64 + 4 + 2 = 70 and E[N

B

] = 32.

(c) P

A

= (32 + 70 70)/(30 + 70) = 0.32

(d) E[M] = 32 30(0.32) = 22.4

Problem 3.23 Let H denote the rst k ips and is the set of all possible H. Conditioning on

H gives:

E[number until repeat] =

H

E[number until repeat|H]P(H)

=

H

1

P(H)

P(H) = || = 2

k

Problem 3.25 (a) First note that

E[N

D

(t)|X

1

= x] =

_

1 +E[N(t x)] if x t

0 if x > t

.

m

D

(t) = E[N

D

(t)] =

_

0

E[N

D

(t)|X

1

= x]dG(x)

=

_

t

0

(1 +E[N(t x)])dG(x)

= G(t) +

_

t

0

m(t x)dG(x)

(b)

E[A

D

(t)] = E[A

D

(t)|S

N

D

(t)

= 0]

G(t) +

_

t

0

E[A

D

(t)|S

N

D

(t)

= s]

F(t s)dm

D

(s)

= t

G(t) +

_

t

0

(t s)

F(t s)dm

D

(s)

t

_

0

t

=

1

_

0

t

_

t

dF(s)dt

=

_

0

s

2

dF(s)

2

_

0

sdF(s)

(c) t

G(t) = t

_

t

dG(x)

_

t

s dG(s)

t

0 since

_

0

s dG(s) < .

(Here we used the so-called dominated convergence theorem.

_

n

s dG(s) =

_

0

s1

[n,)

(s) dG(s)

n

_

0

lim

n

s1

[n,)

(s) dG(s) =

_

0

0 dG(s)

3

since s1

[n,)

(s) s and s is integrable with respect to G() from

_

0

s dG(s) < and

s1

[n,)

(s) 0 for each s in pointwise sense. (Check the conditions for the dominated

convergence theorem.) Now we extend n to t using monotonicity of the integral. Wow!

This is a good example showing that if you are familiar with a little rigorous analysis,

then its O.K. with only one line. But if not, you should practice the underlying logic

whenever you encounter them.)

Problem 3.28 Using the uniformity of each Poisson arrival under given N(t),

E[Cost of a cycle|N(T)] = K +N(T) c

T

2

and so

E[Cost]

E[Time]

=

K +cT

2

/2

T

=

K

T

+

cT

2

which is minimized at T

=

_

2K/c and minimal average cost is thus

2Kc. On the

other hand the optimal value of N is (using calculus) N

=

_

2K/c and the minimal

average cost is

2cK

c

2

.

4

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