Problems on

Stochastic Processes
1. What is the difference between a random variable and a stochastic process?

2. What is the difference between a SSS process and a W SS process?

3. In the fair-coin experiment, we define the process X(t) as follows:

{
sin πt, if head shows
X(t) =
2t, if tail shows

Find (i) E {X(t)} and (ii) F (x, t) for t = 0.25, 0.5, 1.

e−λt (λt)r
4. Show that the Poisson process {X(t)} given by P (X(t) = r) = , r = 0, 1, 2, ... is not
r!
stationary.

5. The process {X(t)} whose probability distribution under certain conditions is given by

(at)n−1

 , n = 1, 2, ...
P {X(t) = n} = (1 + at)n+1

 at , n = 0
1 + at
show that {X(t)} is not stationary.

6. The random process {X(t)} given by X(t) = A cos(w0 t + x) is a WSS process, if A and w0 are
constants and X is uniformly distributed random variable in (0, 2π).

7. The process {X(t)} given by X(t) = A cos λt + B sin λt (where A and B are random variables) is
a W SS process, if- (i) E(A) = E(B) = 0 (ii) E(A2 ) = E(B 2 ) (iii) E(AB) = 0.

8. If a random process is WSS, then show that it must also be co-variance stationary.

9. Given the characteristic function 2

ϕ(ω) = E{eiωY } and a random process

X(t) = cos(λt + Y )

show that {X(t)} is WSS if ϕ(1) = ϕ(2) = 0

10. If {X(t)} is a stochastic process with the auto correlation function Rx (τ ) and if

Y (t) = X(t + a) − X(t − a),

then show that

Ry (τ ) = 2Rx (τ ) − Rx (τ + 2a) − Rx (τ − 2a)

11. Show that Y (t) = X(t)cos(ω0 t + θ) is a WSS process, where X(t) is a WSS process, θ is uniformly
distributed random variable in (−π, π) and ω0 is a constant.

12. Show that the process X(t) = Acosλt + Bsinλt, t ≥ 0 is a WSS process where A and B are
independent normal variate N (0, σ 2 ).

13. Show that the process

X(t) = Acosλt + Bsinλt, t ≥ 0
where A and B are independent random variables and assuming the values −2 and 1 with proba-
bilities 1/3 and 2/3 respectively, is WSS but not SSS.

14. If X(t) = A cos(ωt + ϕ), where A and ϕ are independent random variables and ϕ is uniformly
distributed in (−π, π), then show that the random process {X(t)} is a W SS process.
2 Fourier transform of the density function
15. If X(t) = Y cos t + Z sin t for all t where Y and Z are independent binary random variables, each
of which assumes values −1 and 2 with probabilities 2/3 and 1/3 respectively, prove that {X(t)}
is a W SS process.
16. Show that the process {X(t)} given by X(t) = 5 cos(2t+x) is a W SS process, where X is uniformly
distributed random variable in (0, 2π).

17. If X(t) = P + Qt, where P and Q are independent random variables with E(P ) = p, E(Q) =
q, V ar(P ) = σ12 , V ar(Q) = σ22 , find E {X(t)} , R(t1 , t2 ) and C(t1 , t2 )? Is the process stationary?
18. If X(t) = R cos(ωt + ϕ), where R and ϕ are independent RV s and ϕ is uniformly distributed in
1
(0, 2π), then R(t1 , t2 ) = E(R2 ) × cos ω(t1 − t2 ).
2
19. If the 2n random variables Ar and Br are uncorrelated with zero mean and E{A2r } = E{Br2 } = σr2 ,
show that the process
∑n
X(t) = (Ar cosωr t + Br sinωr t)
r=1

is WSS.

20. Show that the process X(t) = Acos(Y t + ϕ) is a WSS process where Y is a random variable with
density function f (y) and ϕ is a uniformly distributed random variable in (−π, π) independent of
Y.
21. Show that R(τ ) is an even function of τ.

22. Show that R(τ ) is maximum at τ = 0.

23. Calculate the auto-correlation function of the process X(t) = A sin(ω0 t + ϕ), where A and ω0 are
constants and ϕ is a uniformly distributed RV in (−π, π).
24. Show that R(τ ) is an even function of τ.

25. Show that R(τ ) is maximum at τ = 0.

26. If the auto-correlation function R(τ ) of a real stationary process {X(t)} is continuous at τ = 0, it
is continuous at every other point.
27. If R(τ ) is the auto-correlation function of a stationary process {X(t)} with no periodic component,
then lim R(τ ) = µ2 , provided the limit exists.
τ →∞

28. Suppose that X(t) is a process with mean µ(t) = 3 and auto-correlation R(t1 , t2 ) = 9+4e−0.2|t1 −t2 | ,
determine the mean, variance and the co-variance of the random variables Z = X(5) and W =
X(8).
29. Find the mean and the variance of the stationary process whose ACF is given by

25τ 2 + 36
R(τ ) =
6.25τ 2 + 4

30. Show that if R(τ ) is the auto-correlation function of a stationary process {X(t)} with no periodic
component, then lim R(τ ) = µ2 , provided the limit exists. Also find the mean and the variance
τ →∞
9
of the process whose auto-correlation function is R(τ ) = 16 + .
1 + 6τ 2