4 views

Uploaded by Songya Pan

Stochastic Models I (for first-year doctoral students)

- directvariation-1111
- Assignment RM
- God and the Beginning of Time
- Rsearch Methodology
- Doctrinal and Non-Doctrinal Research.docx
- Solution Set Math II
- Cauchy Scharz Master Class_Errata
- V. Borschev and B. Partee- Lecture 5: Infinities
- ZERO, INFINITY AND NOCER
- Quantitative Research
- Research Methods
- 2-16-BivariateRVs
- Practical Research
- Theory of Creation
- Bus. Maths-3
- Analyzing Problems in Landmark Fort Hotel Through Customer Feedback Survey
- Report Writing Guidelines (1)
- Corr 1
- Circledrawing_24_aug_18 (1)
- Syllabus of 17 Posts_2

You are on page 1of 3

Solutions to Homework Assignment 12 due on Thursday, November 29

Problem 5.3 (a) Let N(t) denote the number of transitions be t. It is easy to show in this case

that

P(N(t) n)

j=n

e

Mt

(Mt)

j

j!

and thus P(N(t) < ) = 1.

(b) Let X

n+1

denote the time between the n-th and (n+1)-st transition and let J

n

denote

the n-th state visited. Also if we let

N(t) sup{n : X

1

+ + X

n

t}

then N(t) denotes the number of transitions by t. Now let j be the rst recurrent state

that is reached and suppose it was reached at the n

0

-th transition (n

0

must be nite

by assumption). Let n

1

, n

2

, be the successive integers n at which J

n

= j. (Such

integers exist since j is recurrent.) Set T

0

= X

1

+ + X

n

0

, and

T

k

X

n

k1

+1

+ + X

n

k

.

In other words, T

k

denote the amount of time between the k-th and (k +1)-th visit to

j. Therefore it follows that {T

k

, k 1} forms a renewal process, and so

k=1

T

k

=

with probability 1. Since

n=1

X

n

=

k=0

T

k

it follows that

n=1

X

n

= .

Problem 5.4 Let T

i

denote the time to go from i to i + 1, i 0. Then

N1

i=0

T

i

is the time to

go from 0 to N. Now T

i

is exponential with rate

i

and the T

i

are independent. Hence

E

_

e

s

N1

i=0

T

i

_

=

N1

i=0

i

s

.

We may use it to compute the mean and variance or we can do directly and mean =

1/

0

+ + 1/

N1

, variance = 1/

2

0

+ + 1/

2

N1

.

1

Problem 5.9

P

ij

(t + s) =

k

P(X(t + s) = j | X

0

= i, X(t) = k)P(X(t) = k | X

0

= i)

=

k

P

kj

(s)P

ik

(t) .

Problem 5.10 (a)

lim

t0

1 P(t)

t

= v

0

.

(b) The rst inequality follows from exercise 5.9 and

P(t + s) = P(X(t + s) = 0|X(0) = 0, X(s) = 0)P(s)

+P(X(t + s) = 0|X(0) = 0, X(s) = 0)(1 P(s))

P(t)P(s) + 1 P(s) .

(c) From (b)

P(s)P(t s) P(t) P(s)P(t s) + 1 P(t s)

or

P(s) + P(t s) 1 P(t) P(s) + 1 P(t s)

where the left hand inequality follows from

P(s)(1 P(t s)) 1 P(t s) .

lim

st

P(s t) = 1 implies the continuity of P.

Problem 5.13

i+k1

j=i

j

+

j

.

Problem 5.15 (a) Birth and death process.

(b)

n

= n + ,

n

= n.

(c) Set M(t) = E[X(t)|X(0) = i]. Then

E[X(t + h)|X(t)] = X(t) + (X(t) + )h X(t)h + o(h)

and so M(t+h) = M(t)+()M(t)h+h+o(h). Therefore, M

(t) = ()M(t)+

or e

()t

[M

(t) ( )M(t)] = e

()t

. Integrating both sides gives

e

()t

M(t) =

e

()t

+ C

2

or

M(t) = Ce

()t

.

As M(0) = i we obtain

M(t) =

_

e

()t

1

_

+ ie

()t

.

Problem 5.21 With the number of customers in the shop as the state, we get a birth and death

process with

0

=

1

= 3,

1

=

2

= 4. Therefore P

1

=

3

4

P

0

, P

2

=

3

4

P

1

=

_

3

4

_

2

P

0

. And

since P

0

+ P

1

+ P

2

= 1, we get P

0

= 16/37.

(a)

P

1

+ 2P

2

=

_

3

4

+ 2

_

3

4

_

2

_

P

0

=

30

37

(b) The proportion of customers that enter the shop is

(1 P

2

)

= 1 P

2

= 1

9

37

=

28

37

.

(c) = 8, and so P

0

=

64

97

. So the proportion of customers who now enter the shop is

1 P

2

= 1

_

3

8

_

2

64

97

=

88

97

.

The rate of added customers is therefore

88

97

28

37

0.45 .

The business he does would improve by 0.45 customers per hour.

3

- directvariation-1111Uploaded byapi-302577842
- Assignment RMUploaded byamandeep651
- God and the Beginning of TimeUploaded bySixto Castro
- Rsearch MethodologyUploaded byaaas
- Doctrinal and Non-Doctrinal Research.docxUploaded byFahim Khan
- Solution Set Math IIUploaded byChristian Lazatin Sabadisto
- Cauchy Scharz Master Class_ErrataUploaded byCarlos Zambrana
- V. Borschev and B. Partee- Lecture 5: InfinitiesUploaded byNine000
- ZERO, INFINITY AND NOCERUploaded byGonzalo A Ordonez
- Quantitative ResearchUploaded bylady chase
- Research MethodsUploaded byAllen Joy Pazhukkathara
- 2-16-BivariateRVsUploaded byMuhammad Al-Shaibah
- Practical ResearchUploaded byKen Denver Maglinte
- Theory of CreationUploaded bymsngr00
- Bus. Maths-3Uploaded byAzad Pandey
- Analyzing Problems in Landmark Fort Hotel Through Customer Feedback SurveyUploaded byDipti Rajeshirke
- Report Writing Guidelines (1)Uploaded byGaurav Srivastava
- Corr 1Uploaded bybrendan_mccue4317
- Circledrawing_24_aug_18 (1)Uploaded byYash Gupta
- Syllabus of 17 Posts_2Uploaded byFitness Freak
- 06. Discrete Probability DistributionsUploaded byZain Al Abidin
- Basics of Social Research 4th Canadian Edition Test BankUploaded byStephanie.Henry1
- researh methaologyUploaded byZunaira Azhar
- Mahoney James y GoertzUploaded bylucianajauregui
- CAT 2009 Quant Test 75Uploaded bycomplore
- ChandUploaded byManish Sharma
- Proposal WritingUploaded bycation1988
- HCS443 Week 5 Critique of Quantative Study FINALUploaded bySandra Kelleher
- 9698_s06_qp_2Uploaded byapi-3718440
- 05 Chapter 6Uploaded byAllen Rosí

- Midterm Two f 07Uploaded bySongya Pan
- Midterm One 6711 f 12Uploaded bySongya Pan
- Lect 0903Uploaded bySongya Pan
- Lect 0905Uploaded bySongya Pan
- midtermTwoF07solsUploaded bySongya Pan
- midtermTwo6711F10solsUploaded bySongya Pan
- midtermTwo6711F12solsUploaded bySongya Pan
- midtermOne6711F10solsUploaded bySongya Pan
- midtermOne6711F08solsUploaded bySongya Pan
- midtermOne6711F12solsUploaded bySongya Pan
- Midterm Two 6711 f 10Uploaded bySongya Pan
- Midterm One 6711 f 08Uploaded bySongya Pan
- Midterm Two 6711 f 12Uploaded bySongya Pan
- Lect 0910Uploaded bySongya Pan
- Midterm One 6711 f 10Uploaded bytabrupt
- homewk7SolsUploaded bySongya Pan
- homewk7Uploaded bySongya Pan
- homewk9SolsUploaded bySongya Pan
- homewk9Uploaded bySongya Pan
- homewk11SolsUploaded bySongya Pan
- homewkLTUploaded bySongya Pan
- homewk13Uploaded bySongya Pan
- homewk10Uploaded bySongya Pan
- homewk12Uploaded bySongya Pan
- homewk10SolsUploaded bySongya Pan
- homewk8Uploaded bySongya Pan
- homewk11Uploaded bySongya Pan
- homewk13SolsUploaded bySongya Pan
- homewk8SolsUploaded bySongya Pan

- Optical DiodeUploaded byDipen Barot
- Linear IzationUploaded byLee
- Chapter Test ElectrostaticsUploaded byamogh kumar
- PLUGS.pdfUploaded byhisaj4u
- Is Philosophy Relevant to CosmologyUploaded bymuhammad nashruloh
- Wind_Turbine_Gearbox.pdfUploaded byeng13
- Finite Element LectureUploaded byKéðìr Åbðürí
- Scalar WeaponsUploaded byzbhabha
- Murray Rothbard: Economic ControversiesUploaded byMises Fan
- CapacitanceUploaded byjakelaker
- Erythrocyte Membrane Cytoskeleton PDFUploaded byRay
- A Short Primer for Using AspenPlusUploaded byAnuj Juneja
- DG4000 UserGuide EnUploaded byAnonymous xTGQYFr
- GDJP QBUploaded byGeorge Oliver
- enzymelabreport-chloeshehuUploaded byapi-337893035
- ADVANCE TOPIC IN KINEMATICS AND MACHINE.pptxUploaded byAnonymous llDjtbBVxC
- Complete and Partial Contour ZirconiaUploaded byFernando Salgado R Meireles
- 7SJ80_7SK80_PA_enUploaded byGiang Cao Tho
- Peer Cfp1 Mimec2015Uploaded byMochamad Safarudin
- 7j1 electric circuits HOMEWORK PACK.docUploaded byMaogageoffrey
- EN-018-$$ALL[1]Uploaded bysistlasv
- Lab Report 4Uploaded byHa Nguyen
- Powerpeg IR Cable Air Sensor DataSheetUploaded byal20040430
- Finite Element Modeling Techniques in MSC NASTRAN and LS DYNA[1]Uploaded byIndranil Bhattacharyya
- Casing DesignUploaded byYudha negara
- Power Electronics BasicsUploaded byiamalways05
- Chemical Engineerings Grand AdventuraUploaded byChino Hpta
- DD3M_RailwayLoadsonConcretePipeUploaded byFlávio Ajeje
- Aude Zel Cdx Sn 7454971Uploaded bycaiogjj
- Fracciones Parciales StewartUploaded bycegale