DEPARTMENT OF MATHEMATICS

INDIAN INSTITUTE OF TECHNOLOGY GUWAHATI

MA225 Probability Theory and Random Processes July - November 2017
Problem Sheet 12 NS

1. The number of customers arriving at a grocery store can be modelled by a Poisson process with
intensity λ = 10 customers per hour. Find the probability that there are 2 customers between 10 : 00
and 10 : 20 hrs. Also, find the probability that there are 3 customers between 10 : 00 and 10 : 20 and
7 customers between 10 : 20 and 11 : 00 hrs.
Answer: (approx.) 0.2, 0.0325.

2. Find the covariance function of a Poisson process {N (t), t ≥ 0} with rate λ.

Answer: λ min{s, t}

3. Let {N (t), t ≥ 0} be a Poisson process with rate λ, and X1 be its first arrival time. Show that given
N (t) = 1, X1 is uniformly distributed in (0, t], i.e., show that P {X1 ≤ x|N (t) = 1} = xt for 0 ≤ x ≤ t.
P {X1 ≤x,N (t)=1} λxe−λt
Answer: P {X1 ≤ x|N (t) = 1} = P {N (t)=1} = λte−λt
= xt .

4. Consider a continuous Markov chain with two states S = {0, 1}. Assume the holding time parameters
are given by λ0 = λ1 = λ > 0. That is, the time that the chain spends in each state before going to
the other state has an Exponential(λ) distribution. Draw the transition rate diagram of the CTMC.
Find the transition probability matrix P (t) of the CTMC. Find the infinitesimal generator matrix Q.
Can you derive P (t) from Q? What are the limiting and stationary distributions of the CTMC?
(λt)2n
Answer: Note that p00 (t) = P {an even number of arrivals in [0, t]} = e−λt ∞
P
n=0 (2n)! and hence we
 1 1 −2λt 1 1 −2λt 
+ e − e
have, for any t ≥ 0, P (t) = 21 12 −2λt 21 21 −2λt .
2 − 2 e 2 + 2e
The limiting as well as the stationary distribution is {1/2, 1/2}.

5. A small barbershop, operated by a single barber, has room for at most two customers. Potential
customers arrive at a Poisson rate of three per hour, and the successive service times are independent
exponential random variables with mean 15 minutes. What is the average number of customers in the
shop? What is the proportion of potential customers that enter the shop? If the barber could work
twice as fast, how much more business would he do?
Answer: This is a birth and death process with λi = 3 and µi = 4. Alternatively, you may also
directly write the transition rates for the CTMC. Solving for limiting or stationary distribution, we have
{16/37, 12/37, 9/37}. Using this, we can compute the answers.
The average number of customers in the shop is 30/37. The proportion of potential customers that
enter the shop is λ(1 − π2 )/λ = 28/37. If the barber could work twice as fast (i.e., µ = 8 now), the π0
becomes 64/97 and 1 − π2 is 88/97. The rate of added customers is therefore λ(88/97) − λ(28/37) =
0.45 (i.e., the business would improve by 0.45 customers per hour).

6. Potential customers arrive at a full-service, one-pump gas station at a Poisson rate of 20 cars per hour.
However, customers will only enter the station for gas if there are no more than two cars (including
the one currently being attended to) at the pump. Suppose the amount of time required to service a
car is exponentially distributed with a mean of five minutes.
(a) What fraction of the attendants time will be spent servicing cars?
(b) What fraction of potential customers are lost?
Answer: (a) 1 − π0 = 245/272 (b) π3 = 125/272.