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exercicio

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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

2P0 = P1 ,

P1 = 2P2 .

!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

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