Home Work 1

MTH 412
Applied Stochastic Process

1. Let N denote a non-negative integer valued random variable. Show that

X
X
E[N ] = P (N k) = P (N > k).
k=1 k=0

In general show that if X is a non-negative random variable with the distribution

function F (x) and the PDF f (x), then
Z
E(x) = (1 F (x))dx.
0

2. If X is a continuous random variable having a distribution function F (x), show that

(a) F (X) is uniformly distributed over (0, 1).

(b) If U is uniformly distributed then F 1 (U ) has the distribution function F (x).

3. Find the transition probability matrix P of the following stochastic process (it is called
Markov Chain also). Consider a sequence of tosses of a coin with the probability of
head p. At time n, after n tosses of the coin, the state of the process is the number of
heads in the n tosses minus the number of tails.

4. Find the transition probability matrix P of the following Markov Chain. N black balls
and N white balls are placed in two urns so that each urn contains N balls. At each
step one ball is selected at random from each urn, and the two balls are interchanged.
The state of the system is the number of white balls in the first urn.

5. Let F be a continuous distribution function and let U uniform(0, 1). Show that
Y = log(U ) is an exponential random variable with mean 1.

6. For a Poisson process show that for s < t

!  
s k
nk
n s
P (N (s) = k|N (t) = n) = 1 ; k = 0, 1, . . . , n.
k t t

7. Let {N (t), t 0} be a Poisson process with rate . Calculate E(N (t)N (t + s)).

8. Suppose {N1 (t), t 0} and {N2 (t), t 0} are independent Poisson processes with
rates 1 and 2 , respectively. Show that N1 (t) + N2 (t) is also a Poisson process with
rate 1 + 2 .