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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 x = 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 , n = 1, 2, ...
P {X (t) = n} = (1 + at)

 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
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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. Show that R (τ ) is an even function of τ.
20. Show that R (τ ) is maximum at τ = 0.
21. 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) .
22. Show that R(τ ) is an even function of τ.

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

24. 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.
25. 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 →∞

26. 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) .
27. Find the mean and the variance of the stationary process whose ACF is given by

25τ 2 + 36
R(τ ) =
6.25τ 2 + 4

28. 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