Assignment #1 (Due on May 31 in class)

1. X1 , X2 , , Xn , is a sequence of i.i.d. continuous variables. We say an record occurs at step n if Xn > max(X1 , , Xn1 ). Show that (a) P ([a record at time n]) = P ([Xn > max(X1 , , Xn1 )]) = 1/n (hint: use a symmetry argument here). (b) E (number of records by the end of step n) = records as a sum of indicator variables.)
n k=1 1/k .

(hint: express the number of

k1 (c) V ar(number of records by the end of step n) = n k=1 k2 . (hint: give a symmetry argument showing that the indicator variables discussed above in (b) are independent)

(d) Now let N = min{n > 1| a record occurs at time n}. In other words, N is the waiting time (number of steps) until the rst real record occurs (it does not count step 1 because X1 is automatically a record). Using the independence of the indicators discussed above, show that i. N is a proper waiting time. ii. N is a null proper waiting time. 2. Suppose two messages are to be decoded sequentially. The probability that the rst message is decoded on any attempt is p, where 0 < p < 1. (Assume that attempts act independently.) Once the rst message is decoded, we begin trying to decode the second message. The tries here are also independent. However, if it required k attempts to decode the rst message, the probability of decoding the second message on any try is p/k . Let T be the total number of attempts required to decode both messages. (a) Using the expression T = T1 + T2 , where T1 = number of attempts required to decode the rst message, and T2 = number of attempts required to decode the second message, evaluate E (T ). [hint: condition on the outcome of T1 .] Why does your answer prove that T is a short proper waiting time variable? (b) Derive the probability mass function f (n) = P (T = n) for n = 2, 3, 4, . (hint: use the expression T = T1 + T2 . Your answer for f (n) should come out as a nite sum. (It is not necessary to evaluate the sum. If you can do it, Ill give you bonus marks.) 3. A mouse is at the center of a maze. Three doors lead out of the maze. Door 1 leads back to the center after 5 minutes of scampering. Door 2 leads back to the center after 4 minutes of scampering. Door 3, however, after 6 minutes of scampering, splits into two tunnels, Tunnel A and Tunnel B . If the mouse chooses Tunnel A, she gets out of the maze after 1 minutes. If the mouse chooses Tunnel B , she gets out of the maze after 3 minutes. Let X = number of minutes for the mouse to get out of the maze. (a) If the mouse always chooses at random between any door (or tunnel) at each opportunity, nd E (X ) and V ar(X ). Show all your steps. (b) Suppose now that we have an unusually smart mouse with a good memory who will not pick a door previously chosen if it led back to the center of the maze. Repeat (a) under this assumption. (For part (a), when you calculate the variance, please note that the extra variation brought by choosing the tunnel, this is the dierence between the problem I presented 1

in the class and this question. For part (b), the best way is not to use the conditioning idea, because at this stage, the renewal property is not applicable.) 4. A gambler insists on playing a sequence of independent identical games until he winds one. On each game the has the probability p = 0.1 of winning. Also on each game he must pay an amount Xi (in dollars) in order to play, where Xi has a continuous uniform distribution over (0,100). Assume that the amounts he plays on dierent games are independent of each other and of the total N of games played. Let X be the total amount he pays in order to paly. (a) Express X in terms of N and X1 , X2 , . . .. (b) Find E (X ) and V ar(X ). 5. A coin is randomly chosen. The probability of a randomly chosen coin showing head follows a uniform distribution over the unit interval (0,1). Suppose the randomly chosen coin are tossed 10 times. Let X = the number of heads in 10 tosses. (Note that only 1 coin is chosen for the 10 tosses.) Use double averaging and the conditional variance formula to obtain E (X ) and V ar(X ). 6. Let X1 , X2 , . . . be a sequence of i.i.d. random variable with mean 0 and variance 2 . Let N be a non-negative integer-valued random variable independent of the Xj s. Dene
N

Z=
j =1

Xj

(this is a random product).

(a) Prove that E (Z ) = 0. (b) Prove that V ar(Z ) = E ( 2N ). (hint: conditional on the value of N .) 7. The joint probability density function of X and Y is given as f (x, y ) = 1, 0 < x < 1, 0 < y < 2, 0 < x + y/2 < 1.

The above distribution is a uniform distribution over a triangle determined by (0,0), (0,2) and (1,0). Find P (X < Y ).