MATH424 HOMEWORK ANSWER 5

Homework 7.

Exercise 1.3
Solution: Since X and Y are independent Poisson distributed random
variable with parameter α and β, we know X + Y is also a Poisson random
variable with parameter α + β (See theorem 1.1 in page 268). Therefore,
we have for k = 0, 1, . . . , n

P(X = k|X + Y = n)
P(X = k, X + Y = n)
=
P(X + Y = n)
P(X = k, Y = n − k)
=
P(X + Y = n)
P(X = k)P(Y = n − k)
= (since X and Y are independent)
P(X + Y = n)
αk βn−k
exp {−α} exp {−β}
k! (n − k)!
=
(α + β)n
exp {−(α + β)}
n!
! !k !n−k
n α β
=
k α+β α+β
!
α
that is, conditioned on X + Y = n, X is a B n, distributed random
α+β
variable. 2

Exercise 1.5
xn
Solution: Since P(X = n|λ = x) = e−x , we have
n!
Z ∞
xn
P(X = n) = e−x θe−θx dx
n!
Z0 ∞ n
x −(θ+1)x
= θe dx
0 n!
Z ∞
θ
= ((θ + 1)x)n e−(θ+1)x d(θ + 1)x
(θ + 1)n+1 n! 0
Z ∞
θ
= xn e−x dx
(θ + 1)n+1 n! 0
θ
= Γ(n + 1) (Since Γ(n + 1) = n!)
(θ + 1)n+1 n!
!n
θ θ 1
= =
(θ + 1)n+1 1 + θ θ + 1
6 MATH424 HOMEWORK ANSWER

θ
that is, X is geometrically distributed with parameter 2
1+θ
Exercise 1.6
Solution: (a) P(X12 − X8 = 0) = P(X4 = 0) = e−3×4 = e−12
(b) Let T := the first afternoon message arrive time. Then
Method 1. (Recommended)

P(T > t) = P(Xt = 0) = e−3t

by taking derivative with respect to t, we get the probability density func-

tion of T :

fT (t) = P(T ≤ t)0

= (1 − P(T > t))0
= 3e−3t

from this we know T is an exponential distributed random variable with

parameter 3.

Method 2.

P(t − ∆t < T ≤ t)
= P(Xt−∆t = 0, Xt = 1)
= P(Xt−∆t = 0, Xt − Xt−∆t = 1)
= P(Xt−∆t = 0)P(Xt − Xt−∆t = 1)
= P(Xt−∆t = 0)P(X∆t = 1)
= e−3(t−∆t) · 3∆te−3∆t
= 3∆te−3t
P(t − ∆t < T ≤ t)
therefore, we have fT (t) = lim = 3e−3t , that is, T is an
∆t→0+ ∆t
exponential distributed random variable with parameter 3. 2

Problem 1.1
Solution: Since ξ1 , . . . , ξk are i.i.d. exp(1)-distributed random variables,
we have ξ := ξ1 + · · · + ξk has gamma density
(λx)k−1 −λx
fk (x) = λ e for x > 0
(k − 1)!
 MATH424 HOMEWORK ANSWER 7

Therefore,

P(X = k) = P(ξ ≤ 1, ξ + ξk+1 > 1)

Z 1
= P(ξk+1 > 1 − x) fk (x)dx
0
Z 1 Z ∞
(λt)k−1 −λt
!
−λt
= λe dt λ e dx
0 1−x (k − 1)!
Z 1
(λx)k−1 −λx
= e−λ(1−x) λ e dx
0 (k − 1)!
Z 1
λk
= e −λ
xk−1 dx
(k − 1)! 0
λk 1
= e−λ ·
(k − 1)! k
λk
= e−λ
k!
that is, X is a Poisson distributed random variable with parameter λ. 2

Problem 1.6
Solution: For k = 0, 1, . . . , n

P(X(t) = k|X(t + s) = n)
P(X(t) = k, X(t + s) = n)
=
P(X(t + s) = n)
P(X(t) = k, X(t + s) − X(t) = n − k)
=
P(X(t + s) = n)
P(X(t) = k)P(X(s) = n − k)
= (since X and Y are independent)
P(X(t + s) = n)
(λt)k (λs)n−k
exp {−λt} exp {−λs}
k! (n − k)!
=
(λ(t + s))n
exp {−λ(t + s)}
!  n!k 
n t s n−k
=
k t+s t+s
 t 
that is, conditioned on X(t+ s) = n, X(t) is a B n, distributed random
t+s
variable. 2

Problem 1.11
Solution:
8 MATH424 HOMEWORK ANSWER

Method 1. (Recommended)
k−1
X (λt) j
P(T > t) = P(Xt ≤ k − 1) = e−λt
j=0
j!
taking derivative with respect to t, we have the probability density function
of T is
fT (t) = (P(T ≤ t))0
= (1 − P(T > t))0
 k−1
0
j
 X (λt) 
= 1 − e−λt 
j!
j=0
k−1
(λt) j−1 −λt (λt) j −λt
X !
−λt
= λe − λ e −λ e
j=1
( j − 1)! ( j)!
k−1
(λt)
= λ e−λt
(k − 1)!
that is, T is a Γ(k − 1, 1/λ) distributed random variable.

Method 2.
P(t − ∆t < T ≤ t)
= P(Xt−∆t = k − 1, Xt = k)
= P(Xt−∆t = k − 1, Xt − Xt−∆t = 1)
= P(Xt−∆t = k − 1)P(Xt − Xt−∆t = 1)
= P(Xt−∆t = k − 1)P(X∆t = 1)
(λ(t − ∆t))k−1 −λ(t−∆t)
= e · λ∆te−λ∆t
(k − 1)!
(λ(t − ∆t))k−1
= λ∆te−λt
(k − 1)!
P(t − ∆t < T ≤ t) (λt)k−1 −λt
therefore, we have fT (t) = lim =λ e , that is,
∆t→0+ ∆t (k − 1)!
T is a Γ(k − 1, 1/λ) distributed random variable. 2