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LNMB EXAM Introduction to Stochastic Processes (ISP)

Saturday October 7, 2006, 11.00-14.00 hours.

EXERCISE 1
a. [3 pt.] {1, 2, 5}, {3, 4}, {6}.
1
b. [3 pt.] Let Tij = P (ever in j|X0 = i). Then T41 = 10 T31 + 12 1+ 25 0 and T31 = 25 + 12 + 10
1
T41 .
95 59
Hence T31 = 99 and T41 = 99 .
c. [4 pt.] Starting from {1, 2, 5}: V1 = {3/10, 5/10, 0, 0, 2/10, 0}.
Starting from 6: V6 = {0, 0, 0, 0, 0, 1}.
95 4
Starting from 3: 99 V1 + 99 V6 .
59 40
Starting from 4: 99 V1 + 99 V6 .

EXERCISE 2
a. [2 pt.] e(200+100)0.01 = e3 .
b. [2 pt.] 1+
1
2
= 13 .
c. [2 pt.] 1 e1 t 1 te1 t = 1 3e2 .
K
d. [2 pt.] +s is the LST of the time until one task has arrived, so ( +s ) is the LST
i i
of the time until K tasks have arrived. Now use that E[TK ] equals (1) times the i-th
K
derivative of the latter LST to derive that the variance equals 90000 .
R n
1 t P 2 t (2 t) n 1
e. [2 pt.] 0 1 e n=0 e n!
z dt = 1 +2 (1z) with 1 = 2 = 200.

EXERCISE 3
i
a. [2 pt.] E[Z] = 1p
p
and E[Xi ] = E[Z]i = (1p)pi
.
b. [2 pt.] Clearly 0 = 1 for 2 p 1 (since then E[Z] 1). If 0 p < 12 , then 0 is the
1

root in [0, 1) of

p
P [Z = i]0i =
X
0 = ,
i=0 1 (1 p)0
yielding
p
0 = .
1p

EXERCISE 4
a. [2 pt.] The transition rate matrix Q is

2 2 0


.
0 2 2

b. [2 pt.] Let Ti (i = 1, 2) denote the time, starting from state i, it takes to enter state 0.

1
Then
1 1
E[T1 ] = + E[T2 ], E[T2 ] = + E[T1 ].
+ + 2
Solving these equations gives
2 +
E[T1 ] = .
22

c. [2 pt.] The balance equations are:


2P0 = P1 ,
P1 = 2P2 .

from which, together with the normalization equation, follows that


!2

P0 = .
+
Alternatively, this can be obtained by noting that both workers are working independently,
and the probability that a working is working is /( + ).
d. [2 pt.] Now only two states are possible, state 0 and 1. Balance of flow gives
2P0 = P1 ,
and thus

P0 = .
+ 2

EXERCISE 5
a. [2 pt.] The mean time between replacements is 76 year. Hence the system is replaced 6
7
times per year.
b. [2 pt.] The long-run average cost per year is 1400 76 = 1200 euro.
c. [2 pt.] The mean time between two events is
2
Z
3 1 5 Z t 7
(t + )et dt + e dt = e2/3 = 0.653.
t=0 6 6 t= 3
2 6

d. [2 pt.] The mean cost of an event is 1400 P [L < 32 ] + 200 P [L > 23 ] + 600 P [ 23 < L <
5
6
] = 831 euro. Hence the mean cost per year is
831
= 1273 euro.
0.653