E2 202o – Random Processes, Fall 2022

Homework # 4
1. Distribution Functions (2 marks)
A chicken lays n eggs. Each egg hatches independently with probability p. For each
egg that hatches, the chick within survives to adulthood (independent of all the other
eggs) with probability s. Let H be (the random variable denoting) the number of
eggs which hatch, X be the number of chicks which survive and Y be the number of
chicks which hatch but do not survive. Find the joint pmf of X and Y . Are X and Y
independent random variables?
2. Random Variables (2 + 3 = 5 marks)
(a) A man wanders around randomly in a large space. At each step, he moves one
unit of distance North, South, East, or West with equal probabilities, indepen-
dent of the past. Choose coordinates such that his initial position is (0, 0). If he
is at (x, y) at some time, then one step later he could be at (x, y + 1), (x, y − 1),
(x + 1, y) or (x − 1, y), with each outcome being equally likely. Let (Xn ,Yn ) and
Rn be his position and distance from the origin after n steps, respectively. Is Xn
independent of Yn ? State your reasoning clearly.
(b) Let X1 , . . . , Xn be independent random variables with Xi ∼ exp(λi ), i = 1, . . . , n.
λ1
(i) Show that P [X1 < X2 ] = λ1 +λ2 .
(ii) Let Z = min(X1 , . . . , Xn ). Find its pmf.
(iii) Let J be a random variable defined by J = arg min1≤i≤n Xi . In other words,
J = k if Xk happens to be the minimum among X1 , X2 , . . . , Xn . Find the pmf
of J.
3. Expectation and linearity (1 + 1 + 1 = 3 marks)
Linearity of expectation is often a powerful tool when other combinatorial (pure
counting-based) approaches prove cumbersome. As an example, consider a problem
where n students’ pens are randomly and uniformly shuffled and given back to the
students (in particular, this implies that any particular student gets back a pen that is
uniformly distributed among all the pens). We want to find the expected number of
students who got back their own pens.
• Denote by Ak the event that the kth student got back his/her pen, and by Xk its
indicator random variable. What is the expected value of Xk ?
• Denote by X the number of students who got back their own pens. Find a
relation between X and X1 , . . . , Xn
• Use the relation you found above, along with linearity of expectation, to find
E [X].

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4. Uncorrelated and independent random variables (1 + (1 + 1) = 3 marks)
Suppose X and Y are jointly discrete random variables.

(a) Show that if X and Y are independent, then they are uncorrelated, i.e., E [XY ] =
E [X] E [Y ].
(b) Is the converse of this statement true, i.e., are uncorrelated X and Y always
independent? Let us investigate further. Take X to be a random variable which
takes values -1, -2, 1 and 2 with equal probability. Let Y = X 2 .
i. Are X and Y uncorrelated?
ii. Are X and Y independent?

5. Convergence (2 marks)
Take the sample space Ω = [0, 1], together with the Borel σ -algebra and the uniform
probability measure. Consider the sequence of random variables (Xn )n∈N given by

2 1
n ω
 if 0 ≤ ω < 2n ,
2 1 1 1


Xn (ω) = n n − ω if 2n ≤ ω ≤ n ,

0 otherwise.


Check if the Xn converge. If so, then in what sense (almost sure, in probability, in
mean square, in distribution) and to which random variable do they converge?

6. Stochastic approximation (1 + 1 + 1 = 3 marks)

Suppose W1 ,W2 , . . . is a sequence of independent random variables with expectation
0 and variance 1, and a1 , a2 , . . . is a sequence of real numbers. Let Xn = ∑∞
i=n aiWi .
We want to study what happens to Xn as n → ∞.
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(a) Suppose ai = √
i
for every i ∈ N. Does Xn → 0 in the mean square sense?
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(b) Suppose ai = i for every i ∈ N. Does Xn → 0 in the mean square sense?
(c) Can you give a general condition on the sequence (ai )i∈N so that Xn → 0 in the
mean square sense?

(Note: A general version of this situation arises in a widely-used optimization algo-

rithm called stochastic approximation.)

7. Sum of random variables (1 + 1 = 2 marks)

Let X1 and X2 be the number of calls arriving at a switching centre from two different
localities at a given instant of time. X1 and X2 are modelled as independent Poisson
random variables with parameters λ1 and λ2 respectively.

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(a) Find the pmf of the total number of calls arriving at the switching centre.
(b) Find the conditional pmf of X1 given the total number of calls arriving at the
switching centre is n.