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**1. If X and Y have a joint probability density function given by
**

f(x, y) = 2e

−(x+2y)

for x and y in (0, ∞), ﬁnd the probability P(X < Y ).

The probability density function f(x, y) is deﬁned on the ﬁrst (positive) quadrant of R

2

. The Event

{X < Y } corresponds to the subset of the plane described by the edge-shaped region shown in the

ﬁgure.

The probability of this event is then given by the integral of f(x, y) over that region. I.e.,

P(X < Y ) =

_

∞

0

_

y

0

2e

−(x+2y)

dxdy = 2

_

∞

0

e

−2y

__

y

0

e

−x

dx

_

dy =

1

3

.

2. The continuous random variable X has a probability density function given by

f(x) = cx

for 0 < x < 1. Find the expected value E[X]. (You need to determine the value of c.)

The value of c comes from the condition

_

1

0

f(x) dx = 1. This integral is c/2, so c = 2. The expected

value is then

E[X] =

_

1

0

2x

2

dx =

_

2x

3

3

_

1

0

=

2

3

.

3. An airplane needs at least half of its engines to safely complete its mission. If each engine indepen-

dently functions with probability p, for what values of p is a three-engine plane safer than a ﬁve-engine

plane?

Under the assumptions of the exercise, the probability that j engines amongst n will work ﬁne through

the duration of the mission is given by the binomial probability

p

n,j

:=

_

n

j

_

p

j

(1 −p)

n−j

.

Thus we have that the probability that a 3 engine airplane will run its mission safely is

p

3,3

+ p

3,2

=

_

3

3

_

p

3

(1 −p)

0

+

_

3

2

_

p

2

(1 −p)

1

= p

3

+ 3p

2

(1 −p).

The corresponding probability for a 5 engine plane is

p

5,5

+p

5,4

+p

5,3

=

_

5

5

_

p

5

(1 −p)

0

+

_

5

4

_

p

4

(1 −p)

1

+

_

5

3

_

p

3

(1 −p)

2

= p

5

+5p

4

(1 −p) +10p

3

(1 −p)

2

.

The values of p for which a 3 engine plane is safer than a 5 engine plane are those for which the ﬁrst

probability is greater than the second. I.e., we need to solve the following inequality for p:

p

3

+ 3p

2

(1 −p) > p

5

+ 5p

4

(1 −p) + 10p

3

(1 −p)

2

.

This can be simpliﬁed to

2p

3

−5p

2

+ 4p −1 < 0.

Some guesswork (informed by plotting the graph of the cubic function) gives that 1 and 1/2 are

roots of the polynomial. Using the full factorization of the polynomial, we can write the inequality

as follows:

(p −1)

2

(2p −1) < 0.

But this quantity is negative exactly when the term 2p −1 is negative. Therefore, the 3 engine plane

is safer exactly when

p <

1

2

.

4. If X is a Poisson random variable with parameter λ, show that

(a) E[X] = λ.

(b) Var(X) = λ.

Before solving the problem, note the following inﬁnite series values:

∞

j=0

λ

j

j!

= e

λ

∞

j=0

jλ

j

j!

= λ

∞

j=1

λ

j−1

(j −1)!

= λe

λ

∞

j=0

j

2

λ

j

j!

= λ

∞

j=1

jλ

j−1

(j −1)!

= λ

∞

j=0

(j + 1)λ

j

j!

= λ

2

e

λ

+ λe

λ

.

From this we immediately get

E[X] = e

−λ

∞

j=0

jλ

j

j!

= λ

2

and

Var(X) = E[X

2

] −E[X]

2

= e

−λ

∞

j=0

j

2

λ

j

j!

−

_

_

e

−λ

∞

j=0

jλ

j

j!

_

_

2

= λ

2

+ λ −λ

2

= λ.

5. Two players play a certain game until one has won a total of ﬁve games. If player A wins each

individual game with probability 0.6, determine:

(a) what is the probability she will win the match?

It will be helpful to introduce some notation. Let W

1

indicate the event that player 1 wins the

match, and W

2

the event that player 2 wins the match. Also let N

j

, for j = 1, 2, . . . , denote

the event that a match will be exactly j games long. Note that a match cannot be decided

with fewer than 5 games, and it involves no more than 9 games. Let p denote the probability

that player 1 wins a single game, and q = 1 − p. By assumption p = 0.6. We wish to ﬁnd the

probability P(W

1

).

First observe that W1 ∩N

j

is the event that player 1 wins and the match lasts exactly j games.

Since P(N

j

) = 0 if j < 5 or j > 9, we have

P(W

1

∩ N

j

) = 0 if j < 5 or j > 9.

If 5 ≤ j ≤ 9, I claim that

P(W

1

∩ N

j

) =

_

j −1

4

_

p

5

q

j−5

.

This can be explained as follows. Each elementary outcome of the event W

1

∩ N

j

can be

represented by a vector of the form (a

1

, . . . , a

j

), where an entry a

s

is either 0 (player 1 loses)

or 1 (player 1 wins). For example, (0, 1, 0, 1, 1, 0, 0, 1, 1) is an element of W

1

∩ N

9

. Notice that

a vector of this kind represents an outcome in W

1

∩ N

j

, for 5 ≤ j ≤ 9, if and only if: (i) it

has length j, (ii) it ends in 1, and (iii) exactly 4 of the ﬁrst j − 1 entries are equal to 1. Thus

each elementary outcome of W

1

∩N

j

has probability p

5

q

j−5

and there are exactly

_

j−1

4

_

of them

(since the last entry must be 1). Therefore,

P(W

1

∩ N

j

) =

_

_

_

_

j−1

4

_

p

5

q

j−5

if 5 ≤ j ≤ 9

0 if j < 5 or j > 9.

Noting that W

1

= (W

1

∩ N

5

) ∪ · · · ∪ (W

1

∩ N

9

), a union of mutually exclusive events, then

P(W

1

) = P(W

1

∩ N

5

) +· · · + P(W

1

∩ N

9

)

=

9

j=5

_

j −1

4

_

p

5

q

j−5

= p

5

(1 + 5q + 15q

2

+ 35q

3

+ 70q

4

)

= 0.7334

(b) what is the expected number of games in a match?

The expected number of matches is

9

j=5

jP(N

j

) =

9

j=5

j (P(N

j

∩ W

1

) + P(N

j

∩ W

2

)) =

9

j=5

j

__

j −1

4

_

p

5

q

j−5

+

_

j −1

4

_

q

5

p

j−5

_

.

3

Therefore,

E[# of Games] = 5(p

5

+ q

5

) + 30(p

5

q + q

5

p) + 105(p

5

q

2

+ q

5

p

2

)+

280(p

5

q

3

+ q

5

p

3

) + 630(p

5

q

4

+ q

5

p

4

)

= 7.3538.

(c) Conﬁrm your result by doing a computer simulation of the situation. For example, you can

simulate the outcome of a single game by ﬂipping a biased coin (as in homework 1) with prob-

ability of heads equal to 0.6. Play the coin game a number of times, keeping a record of the

accumulated number of heads and tails. The process stops the ﬁrst time that the count of heads

or tails reaches 5. (This cannot take more than 9 tosses.) Now determine which one (heads or

tail) reached 5 ﬁrst, and how many steps it took for that to happen. By repeating the process a

large number of times (say, 1000) count the frequency of the times when heads (the ﬁrst player)

wins. Similarly, obtain the average number of games (coin tosses) in a match.

Here is one possible way of doing this in Matlab (recall that anything in a line following % is

simply a comment):

%The main parameters are: p (probability that player 1 wins a game)

%and m (number of sample matches)

p=0.6;

m=100000;

%The outcome of each game is decided by flipping a biased coin

%with probability of heads equal to p. Thus we call for

%m strings of random numbers (0 or 1), with P(1)=p, each string

%of length 9. If the match is decied before step 9 we just ignore the

%remaining game outcomes.

G=(rand(m,9)<p);

%The cumulative sum of each row of G gives the number of wins of

%player 1 at each step of the match.

CS1=cumsum(G,2);

%Now consider the following quantity:

T1=sum((CS1<5),2)+1;

%For each sample match, T1 is a number such that 5<=T<=10.

%T1-1 is the number of games in a match before player 1 won a

%total of 5 games. If player 1 never made 5 wins, then T1=10.

%If T1<=9, then it must have won the match. Thus we the condition

%T1<=9 is equivalent to player 1 winning the match. The frequency of

%wins of player 1 is then

4

f=sum(T1<=9)/m

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

%To obtain the mean number of games in a match, we observe

%that, if player 1 wins, then T1 is the time when that happened.

%Therefore, if we define the corresponding quantity, T2, for player 2,

%the match ends at the minimum of T1 and T2.

CS2=cumsum(~G,2);

T2=sum((CS2<5),2)+1;

E=min(T1,T2);

%The average length of a match is now

l=sum(E)/m

Here are a typical sample values of f (frequency of wins of player 1) and l (average length of a

match) taking the number of trials of the simulated match to be m = 100000:

f =

0.7322

l =

7.3523

5

5 4 3 The values of p for which a 3 engine plane is safer than a 5 engine plane are those for which the ﬁrst probability is greater than the second. 2 4. Using the full factorization of the polynomial.j := n j p (1 − p)n−j . note the following inﬁnite series values: ∞ j=0 ∞ λj = eλ j! ∞ j=0 ∞ 2 j j=0 λj−1 jλj =λ = λeλ j! (j − 1)! j=1 ∞ ∞ j λ jλj−1 (j + 1)λj =λ =λ = λ2 eλ + λeλ . j! (j − 1)! j! j=1 j=0 ∞ From this we immediately get E[X] = e−λ j=0 jλj =λ j! 2 . If X is a Poisson random variable with parameter λ. Therefore. I. the 3 engine plane is safer exactly when 1 p< .e. Before solving the problem.5 + p5. j Thus we have that the probability that a 3 engine airplane will run its mission safely is p3. This can be simpliﬁed to 2p3 − 5p2 + 4p − 1 < 0.3 + p3. show that (a) E[X] = λ.. 3 2 The corresponding probability for a 5 engine plane is p5.4 + p5. But this quantity is negative exactly when the term 2p − 1 is negative.3 = 5 5 5 4 5 3 p (1 − p)0 + p (1 − p)1 + p (1 − p)2 = p5 + 5p4 (1 − p) + 10p3(1 − p)2 . we can write the inequality as follows: (p − 1)2 (2p − 1) < 0.2 = 3 3 3 2 p (1 − p)0 + p (1 − p)1 = p3 + 3p2 (1 − p). Some guesswork (informed by plotting the graph of the cubic function) gives that 1 and 1/2 are roots of the polynomial.the duration of the mission is given by the binomial probability pn. (b) Var(X) = λ. we need to solve the following inequality for p: p3 + 3p2 (1 − p) > p5 + 5p4 (1 − p) + 10p3 (1 − p)2 .

. 0. determine: (a) what is the probability she will win the match? It will be helpful to introduce some notation. If 5 ≤ j ≤ 9. Thus each elementary outcome of W1 ∩ Nj has probability p5 q j−5 and there are exactly j−1 of them 4 (since the last entry must be 1). (ii) it ends in 1.6. j−1 4 P (W1 ∩ Nj ) = p5 q j−5 if 5 ≤ j ≤ 9 if j < 5 or j > 9. . We wish to ﬁnd the probability P (W1 ). for 5 ≤ j ≤ 9.6. Note that a match cannot be decided with fewer than 5 games. . I claim that P (W1 ∩ Nj ) = j − 1 5 j−5 p q . Noting that W1 = (W1 ∩ N5 ) ∪ · · · ∪ (W1 ∩ N9 ). 1. for j = 1. p q + q p 4 4 3 . Notice that a vector of this kind represents an outcome in W1 ∩ Nj .7334 (b) what is the expected number of games in a match? The expected number of matches is 9 9 9 jP (Nj ) = j=5 j=5 j (P (Nj ∩ W1 ) + P (Nj ∩ W2 )) = j=5 j j − 1 5 j−5 j − 1 5 j−5 . then P (W1 ) = P (W1 ∩ N5 ) + · · · + P (W1 ∩ N9 ) 9 0 = j=5 j − 1 5 j−5 p q 4 = p5 (1 + 5q + 15q 2 + 35q 3 + 70q 4 ) = 0. we have P (W1 ∩ Nj ) = 0 if j < 5 or j > 9. . and q = 1 − p. and W2 the event that player 2 wins the match. .and ∞ Var(X) = E[X 2 ] − E[X]2 = e−λ j=0 jλ j λ − e−λ = λ2 + λ − λ2 = λ. Since P (Nj ) = 0 if j < 5 or j > 9. If player A wins each individual game with probability 0. j! j! j=0 2 j ∞ j 2 5. 0. aj ). a union of mutually exclusive events. Each elementary outcome of the event W1 ∩ Nj can be represented by a vector of the form (a1 . First observe that W 1 ∩ Nj is the event that player 1 wins and the match lasts exactly j games. Two players play a certain game until one has won a total of ﬁve games. 1. For example. By assumption p = 0. 1. 2. 1. Also let Nj . 4 This can be explained as follows. (0. 0. where an entry as is either 0 (player 1 loses) or 1 (player 1 wins). . 1) is an element of W1 ∩ N9 . and (iii) exactly 4 of the ﬁrst j − 1 entries are equal to 1. if and only if: (i) it has length j. denote the event that a match will be exactly j games long. . and it involves no more than 9 games. Let W1 indicate the event that player 1 wins the match. . Therefore. Let p denote the probability that player 1 wins a single game.

6. Here is one possible way of doing this in Matlab (recall that anything in a line following % is simply a comment): %The main parameters are: p (probability that player 1 wins a game) %and m (number of sample matches) p=0.3538.2). Thus we the condition %T1<=9 is equivalent to player 1 winning the match. %If T1<=9. Similarly. then T1=10. with P(1)=p. m=100000.2)+1. %The outcome of each game is decided by flipping a biased coin %with probability of heads equal to p. Play the coin game a number of times. Thus we call for %m strings of random numbers (0 or 1). By repeating the process a large number of times (say. CS1=cumsum(G. (c) Conﬁrm your result by doing a computer simulation of the situation. For example. obtain the average number of games (coin tosses) in a match. keeping a record of the accumulated number of heads and tails.6. T1 is a number such that 5<=T<=10. you can simulate the outcome of a single game by ﬂipping a biased coin (as in homework 1) with probability of heads equal to 0. If player 1 never made 5 wins. The process stops the ﬁrst time that the count of heads or tails reaches 5. %For each sample match. then it must have won the match. E[# of Games] = 5(p5 + q 5 ) + 30(p5 q + q 5 p) + 105(p5 q 2 + q 5 p2 )+ 280(p5q 3 + q 5 p3 ) + 630(p5 q 4 + q 5 p4 ) = 7. The frequency of %wins of player 1 is then 4 . (This cannot take more than 9 tosses. %Now consider the following quantity: T1=sum((CS1<5).) Now determine which one (heads or tail) reached 5 ﬁrst. each string %of length 9. %T1-1 is the number of games in a match before player 1 won a %total of 5 games. G=(rand(m. If the match is decied before step 9 we just ignore the %remaining game outcomes.Therefore. and how many steps it took for that to happen. 1000) count the frequency of the times when heads (the ﬁrst player) wins.9)<p). %The cumulative sum of each row of G gives the number of wins of %player 1 at each step of the match.

f=sum(T1<=9)/m %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% %To obtain the mean number of games in a match. E=min(T1.3523 5 . %Therefore. %The average length of a match is now l=sum(E)/m Here are a typical sample values of f (frequency of wins of player 1) and l (average length of a match) taking the number of trials of the simulated match to be m = 100000: f = 0. T2. T2=sum((CS2<5).2)+1. if player 1 wins.2).T2). then T1 is the time when that happened.7322 l = 7. we observe %that. CS2=cumsum(~G. for player 2. %the match ends at the minimum of T1 and T2. if we define the corresponding quantity.

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