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.