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Aero 630: Introduction to Random Dynamical
Systems
Final Exam, Spring 2009
1) Let X be a random variable with distribution/ density F(x)/f(x) respectively. Assume that F(.) is strictly monotonically
increasing. You have access to a uniformly distributed random variable U in the interval [0, 1]. How can you generate
the random variable X using the uniformly distributed random variable U. Clearly outline your procedure and give
reasons for your answer. [10 points]
2) Let Y = h(X), where X is a random variable such that E[X] = and V ar[X] =
2
, and h(.) is a known function.
We want to estimate E[h(X)] and E[h
2
(X)]. Assume that h can be expanded in a Taylor series expansion and that
derivatives of of order higher than two are small enough to be neglected. Show that:
a) E[h(X)] h() +h
()
2
2
. [5 points]
b) E[h
2
(X)] h
2
() +
2
[(h
())
2
+ 2h()h
()].
[5 points]
3) Let X
1
, X
2
, , X
n
, be a sequence of i.i.d random variables with E[X
i
] = and V ar[X
i
] =
2
. We want to
estimate the mean using the sample average
N
=
1
N
N
i=1
X
i
.
a) Find the man and variance of
N
. [5 points]
b) How large does N have to be such that the prob(
N
 > 0.1) 0.01?
[5 points]
4) Let
X and
Y be vector random variables such that
Y = A
X, where A is a nonsingular matrix. Let the joint pdf of the
vector
X be given by f
X
( x). Show that the pdf of
Y is given by
f
Y
( y) =
1
A
f
X
(A
1
y) = A
1
f
X
(A
1
y), where A represents the determinant of the matrix A. [10 points]
5) Dene S
k
= X
1
+ X
2
+ + X
k
, where the sequence of r.vs {X
n
} is i.i.d and distributed as N(0, 1). Determine the
joint distribution of S
n
and S
m
, 1 m n. [10 points]
6) In this problem, you will derive a sufcient condition for a stochastic integral to exist in the mean square sense.
Consider the stochastic integral I =
b
a
f(t)X(t)dt , where f(.) is a deterministic function of time while X(t) is a
random process with correlation function R(t, s). The integral I is dened as the mean square limit f the nite sum,
I
N
=
N
k=1
f(t
k
)X(t
k
)(t
k+1
t
k
), where t
0
= a and t
N
= b. Show that I exists if
b
a
b
a
R(t, s)f(t)f(s) < .
HINT: I
N
I in m.s. sense if and only if EI
N
I
M

2
0 as M, N .
7) The transition probability matrix of a 4state Markov Chain (with states {1, 2, 3, 4} is given by the matrix:
P =
1 0 0 0
0 1 0 0
1/3 0 1/3 1/3
1/4 1/4 1/4 1/4
1)
i
where (X)
i
represents the i
th
element of a vector X, N = (I Q)
1
is the fundamental matrix and
1 is a vector
of ones. Use this result to nd the mean absorption times from the transient states of the given Markov chain. [10
+ 20(bonus) points].
HINT: Note that
i
(mean absorption time from state i) =
k=1
kPr.[abs. from i @k] =
k=1
k1
m=0
kPr.[abs. from i @k] Interchange the summations between m and k and proceed to obtain
the required result.
Exam due by Monday, May 11, 12 PM. The nal is open notes, open book, however, not open Google.