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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Justify your answers; show your work. 1. Poisson Process and Transforms (30 points) Let {N (t) : t 0} be a Poisson process with rate (intensity) . (a) Give expressions for: (i) the probability mass function (pmf ) of N (t), pN (t) (k ) P (N (t) = k ); (ii) the probability generating function (pgf ) of N (t), p N (t)(z ); the moment generating function (mgf ), N (t) (u) and (iv) the characteristic function (cf ) of N (t), N (t) (u). (b) Show how the mgf N (t) (u) can be used to derive the mean and variance of N (t). (c) Use the mgf p N (t) (z ) to prove or disprove the claim: If [a, b] and [c, d] are two disjoint subintervals of the positive haline [0, ), then the sum (N (d) N (c)) + (N (b) N (a)) has a Poisson distribution. (d) What is the probability P (N (t) is even) P (N (t) {2k : k 0})? Prove that this probability is always greater than 1/2 and converges to 1/2 as t . Let {Xk : k 1} be a sequence of i.i.d. continuous real-valued random variables with probability density function (pdf ) f (x), mean m and variance 2 . Let

N (t)

Y (t)

k=1

Xk ,

t 0.

(e) Give an expression for the cf of Y (t). (f) Derive the mean and variance of Y (t). (g) Does there exist a nite random variable L with a non-degenerate probability distribution (such that P (L = c) = 1 for any c) and constants a and b such that Y (t) at L as t , bt where denotes convergence in distribution? If so, what are a, b and L? (h) Give a detailed proof to support your answer in part (g). 2. Conditional Remaining Lifetimes (30 points) Let a random lifetime be represented by a nonnegative continuous random variable X x with pdf f (x), cumulative distribution function (cdf ) F (x) 0 f (s) ds and complementary cdf (ccdf ) F c (x) 1 F (x) P (X > x) satisfying F c (x) > 0 for all x 0. For t 0, the associated conditional remaining lifetimes are the random variables X (t) with ccdf F c (x; t) P (X (t) > x) P (X > t + x|X > t), t 0, x 0, (1)

x 0 f (s; t) ds).

(a) Give an explicit expression for r(t) in terms of the pdf f of X . (b) Suppose that r(t) = 7, t 0. Does that imply that the pdf f of X is well dened and that we know it? If so, what is it? (c) Suppose that r(t) = t, t 0. Does that imply that the pdf f of X is well dened and that we know it? If so, what is it? Now let Xi , i = 1, 2, be two independent random lifetimes dened as above, having pdfs fi (x), cdfs Fi (x), ccdfs Fic (x). Let Xi (t) be the associated conditional remaining lifetimes with cdfs Fic (x; t) and pdfs fi (x; t). Let ri (t) fi (0; t) (d) Prove or disprove: P (X1 < X2 | min {X1 , X2 } = t) = r1 (t) . r1 (t) + r2 (t)

Now suppose that r1 (t) r2 (t) for all t 0. Prove or disprove each of the following statements: (e) F1 (t) F2 (t) for all t 0,

3 ] E [X 3 ], (f) E [X1 2

(g) P (X1 X2 ) = 1). 3. Independent Random Variables. (20 points) Let {Xn : n 1} and {Yn : n 1} be independent sequences of independent random variables with Xn distributed the same as Yn for all n 1 and P (Xn = n) = 1 P (Xn = 0) = Let Zn Xn Yn and Dn Xn Yn , n 1. 1 n for all n 1.

(a) What are the mean and variance of Zn ? (b) What is the probability that the sum Z1 + Z2 + + Zn converges to a nite limit as n ? (c) What is the probability that the sum D1 + D2 + + Dn converges to a nite limit as n ? (d) Are there deterministic constants an and bn with an , bn and an /bn such that (Z1 + + Zn ) an L as n , bn where L is a nondegenerate random variable (dened in problem 1 above) and again denotes convergence in distribution? If so, specify a random variable L and constants an and bn that do the job.

4. Cars on a Highway Segment During Rush Hour (20 points) Two car-detection devices have been placed on a segment of a one-way highway without exits or entrances in between. Let N (t) be the number of cars that pass the rst detection point during [0, t]. Suppose we consider a rush hour period in the morning. Thus, we let {N (t) : t 0} be a nonhomogeneous Poisson process with rate function (t) = 12t over an initial time interval [0, 6]. However, the rst detection device does not work perfectly. Indeed, each car is detected by the initial detection device only with probability 2/3, independently of the history up to the time it passes the detection device. However, The second detection device works perfectly. As a simplifying assumption, assume that the cars do not interact, so that the length of time that the cars remain in the highway segment can be regarded as i.i.d. random variables, independent of the times that they pass the detection device. These times are regarded as random variables, because the cars travel at dierent speeds. Suppose that the length of time each car remains in the highway segment is uniformly distributed over the interval [1, 3]. (a) What is the expected number of cars that pass the rst detection point on the highway during the interval [0, 5] and are detected by the detection device? (b) What is the probability that precisely 50 cars pass the rst detection point on the highway during the interval [0, 5] and are detected by the detection device? (c) Give a convenient approximate expression for the probability that more than 120 cars pass the rst detection point on the highway during the interval [0, 5] and are detected by the detection device. (d) Let C (t) be the number of cars that are detected by the detection device up to time t and remain in the highway segment at time t. Give an expression for the probability distribution of C (4)? (e) What is the covariance between C (3) and C (6)? (f) Let D(t) be the number of cars that are detected by the detection device and have departed by time t. Give an expression for the joint distribution of C (4) and D(4).

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