DEPARTMENT OF STATISTICS

STOCHASTIC PROCESSES 1: HSTS416

TUTORIAL WORKSHEET 6

1. Define the following terms:

(a) Counting process
(b) Poisson process
(c) Yule process

2. State the assumptions of a Poisson process.

3. Assume that a device fails when a cumulative effect of 𝑘 shocks occur. If the shocks happen
according to a Poisson process with parameter 𝜇, find the density function for the life 𝑇 of
the device.

4. Let {𝑋(𝑡), 𝑡 ≥ 0} be a Poisson process with intensity parameter λ. Suppose that each
arrival is “registered” with probability p, independent of other arrivals. Let {𝑌(𝑡), 𝑡 ≥
0} be the process of “registered” arrivals. Prove that 𝑌(𝑡) is a Poisson process with
parameter 𝜆𝑝.

5. Let {𝑋(𝑡), 𝑡 ≥ 0} and {𝑌(𝑡), 𝑡 ≥ 0} be independent Poisson processes with parameters

𝜆1 and 𝜆2 respectively. Define 𝑍1 (𝑡) = 𝑋(𝑡) + 𝑌(𝑡) , 𝑍1 (𝑡) = 𝑋(𝑡) − 𝑌(𝑡) and
𝑍3 (𝑡) = 𝑋(𝑡) + 𝑘, where k is a positive integer. Determine which of the processes
are Poisson and find their parameters.

6. Messages arrive at a telegraph office according to the laws of a Poisson process with
mean rate of 3 messages per hour.

(a) What is the probability that no message will have arrived during morning hours (8-
12)?

(b) What is the distribution of the time at which the first afternoon message arrives?

END OF TUTORIAL WORKSHEET 6