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    Mie1605 HW2

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    Jessica Tang
    This document contains 10 homework problems about stochastic processes. The problems cover topics like: [1] generating functions of random sums; [2] using generating functions to check a variance formula; [3] determining if dice can be labeled in a certain way; [4] probabilities involving compound experiments; [5] recursions for generating functions of branching process totals; [6] extinction probabilities in branching processes; [7] variances in branching processes; [8] random walks and hitting time distributions; [9] showing a joint process is a Markov chain; and [10] showing a related maximum process is Markov. Students are instructed to cite any references used to solve the problems.

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    Mie1605 HW2

    Uploaded by

    Jessica Tang
    162 views2 pages
    This document contains 10 homework problems about stochastic processes. The problems cover topics like: [1] generating functions of random sums; [2] using generating functions to check a variance formula; [3] determining if dice can be labeled in a certain way; [4] probabilities involving compound experiments; [5] recursions for generating functions of branching process totals; [6] extinction probabilities in branching processes; [7] variances in branching processes; [8] random walks and hitting time distributions; [9] showing a joint process is a Markov chain; and [10] showing a related maximum process is Markov. Students are instructed to cite any references used to solve the problems.

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    This document contains 10 homework problems about stochastic processes. The problems cover topics like: [1] generating functions of random sums; [2] using generating functions to check a variance formula; [3] determining if dice can be labeled in a certain way; [4] probabilities involving compound experiments; [5] recursions for generating functions of branching process totals; [6] extinction probabilities in branching processes; [7] variances in branching processes; [8] random walks and hitting time distributions; [9] showing a joint process is a Markov chain; and [10] showing a related maximum process is Markov. Students are instructed to cite any references used to solve the problems.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    162 views2 pages

    Mie1605 HW2

    Uploaded by

    Jessica Tang
    This document contains 10 homework problems about stochastic processes. The problems cover topics like: [1] generating functions of random sums; [2] using generating functions to check a variance formula; [3] determining if dice can be labeled in a certain way; [4] probabilities involving compound experiments; [5] recursions for generating functions of branching process totals; [6] extinction probabilities in branching processes; [7] variances in branching processes; [8] random walks and hitting time distributions; [9] showing a joint process is a Markov chain; and [10] showing a related maximum process is Markov. Students are instructed to cite any references used to solve the problems.

    Copyright:

    © All Rights Reserved
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    of 2

    MIE 1605 - Stochastic Processes

    Homework # 2
    Due October 10, 09:00AM

    Solve the following problems. You may only work individually. You must cite any references (texts, papers or
    websites) you have used to help you solve these problems.

    1. Let N be a random variable with P(N = k) = pk (1 p) for k = 0, 1, . . .. Let X1 , X2 , . . . be a sequence of iid


    random variables, independent of N, with P(X1 = 1) = = 1 P(X1 = 0). Let Z = Ni=1 Xi .

    (a) Find the generating function of Z

    (b) Find the probability mass function of Z.

    2. Let {Xn , n 1} be iid non-negative integer valued random variables independent of the non-negative integer
    valued random variable N and suppose

    E[X1 ] < , Var(X1 ) < , E[N] < , Var(N) < .

    Set Sn = ni=1 Xi . Use generating functions to check

    Var(SN ) = E[N]Var(X1 ) + (E[X1 ])2Var(N).

    3. Use generating functions to decide if it is possible to write positive integer numbers on the face of two dice
    in a way that

    (a) we do not get two regular dice (i.e., we do not write 1, 2, . . . , 6 on the face of both dice) and

    (b) when we roll the dice twice and add up the two numbers, the result behaves the same way (i.e., it has
    the same distribution) as the sum on two regular dice.

    4. (a) Suppose X is a non-negative integer valued random variable. Conduct a compound experiment. Ob-
    serve X items and mark each of the X items independently with probability s where 0 < s < 1. What
    is the probability that all X items are marked?

    (b) Suppose X is a non-negative integer valued random variable with mass function {pk }. Suppose T is a
    geometric random variable independent of X with

    P(T n) = sn , 0<s<1

    Compute P(T X).

    5. For a branching process {Zn }, let S = 1 +


    n=1 Zn be the total population ever born. Find a recursion

    (i.e., an equation) which the generating function of S satisfies. Solve this in the case P(s) = q + ps and
    P(s) = p/(1 qs).

    1
    6. (a) Suppose that in a branching process the number of offspring per member has a binomial distribution
    with parameters (2, p). Starting with one member, Z0 = 1, calculate the probability of extinction.

    (b) In part (a), suppose that instead of starting with Z0 = 1, the initial population Z0 has a Poisson dis-
    tribution with parameter . Show that for the case p > 1/2 the probability of extinction is given
    by
    12p
    2
    =e p .

    7. Given that {Zn , n = 0, 1, . . .} is a branching process, with Z0 = 1, m = E[Z1 ] and 2 = Var(Z1 ) show that

    mn 1
    Var(Zn ) = 2 m(n1) for m 6= 1
    m1

    Var(Zn ) = n 2 for m = 1.

    8. Suppose {Xn , n 1} is an iid collection given by:

    P(X1 = j 1) = p j , j = 0, 1, 2, . . .

    where j=0 p j = 1 and f (s) = j=0 s j p j . Let S0 = 1, and for n 1 define the random walk

    Sn = Sn1 + Xn .

    The random walk starts at 1. In each step, it either makes a negative jump (of size 1) or a positive jump. Let

    N = min{n : Sn = 0}.

    Let P(s) = E[sN ]. Show that P(s) = s f (P(s)). Find P(s) for the case of p j = (1 p) j p for j = 0, 1, 2, . . ..

    9. Let {Xn } and {Yn } be two independent Markov chains, each with the same discrete state space S and same
    transition probabilities. Define the process {Zn } = {(Xn ,Yn )} with state space S S. Show {Zn } is a Markov
    chain and give the transition probability matrix.

    10. Let Sn be a simple random walk started from S0 = 0 (i.e., Sn = X1 + . . . + Xn with Xi iid 1 with probability
    1/2 1/2). We denote by Mn the maximum of the walk in the first n steps: Mn = maxkn Sk .
    Show that Mn is not a Markov chain and that Yn = Mn Sn is a Markov chain.

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