Some solutions, Stochastic processes II

Chapter 5
5.3 X is exponentially distributed and therefore memoryless. This implies that for all
t, s > 0, we have
P(X > t + s|X > t) = P(X > s).
In particular, this implies that for any continuous function f : R+ → R+ (or any other
nice enough function), we have

E[f (X)|X > t] = E[f (X + t)].

So,
E[X 2 |X > 1] = E[(X + 1)2 ] = E[X 2 ] + 2E[X] + 1,
which is only equal to E[X 2 ]+1 if E[X] = 0 (which is never for an exponental distribution),
and equal to
(1 + E[X])2 = (E[X])2 + 2E[X] + 1
if E[X 2 ] = (E[X])2 (i.e. if V ar(X) = 0), which is also never. So only 3(a) is true.
5.8 Let X have density function fX (t) = λe−λt and Y have density function fY (t) = µe−µt ,
both for t ≥ 0. Furthermore X and Y are independent.
We compute
R∞R∞
P(X > t, X ≤ Y ) fY (y)fX (x)dydx
P(X > t|X ≤ Y ) = = Rt∞ Rx∞
P(X ≤ Y ) 0 x
fY (y)fX (x)dydx
R ∞ R ∞ −µy −λx R ∞ −λx −µx
µe λe dydx λe e dx
λ
λ+µ
e−(λ+µ)t
Rt Rx
= ∞ ∞ −µy −λx t
= ∞ −λx −µx =
R λ
= e−(λ+µ)t ,
0 0
µe λe dydx 0
λe e dx λ+µ

which is equal to P(min(X, Y ) > t). (See page 288).

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5.36 Let {N (t), t ≥ 0} be a homogeneous Poisson Process with rate λ and let for
i = 1, 2, · · · the random variables Xi be independent identically distributed exponen-
tial random variables with mean 1/µ, which are independent of {N (t), t ≥ 0}. Define
S(t) = s N
Q (t)
i=1 Xi . Then using the “telescoping property of expectations”

N (t) N (t) N (t) N (t)

Y Y Y Y
E[S(t)] = E[ Xi ] = E[E[ Xi |N (t)]] = E[ E[Xi |N (t)]] = E[ (1/µ)] = E[(1/µ)N (t) ],
i=1 i=1 i=1 i=1

where we used the independence of the Xi ’s for the third identity. We may now use that
N (t) is Poisson distributed with expectation λt and thus that
∞ ∞
X X (λt)k
E[(1/µ) N (t)
]= P(N (t) = k)(1/µ) = k
e−λt (1/µ)k = e−λ(1−1/µ)t .
k=0 k=0
k!

Similarly, using that E[(Xi )2 ] = V ar(Xi ) + (E[Xi ])2 = 1/µ2 + 1/µ2 = 2/µ2 , we obtain
N (t) N (t) N (t)
2
Y Y Y
2
E[(S(t)) ] = E[( 2
Xi ) ] = E[E[ 2
(Xi ) |N (t)]] = E[ (2/µ2 )] = E[(2/µ2 )N (t) ] = e−λ(1−2/µ )t .
i=1 i=1 i=1

5.40 Use definition 5.2 (page 299) and see that

(1) N1 (0) + N2 (0) = 0,
(2) for all 0 ≤ t1 < t2 < t3 < t4 . N1 (t2 ) − N1 (t1 ), N1 (t4 ) − N1 (t3 ), N2 (t2 ) − N2 (t1 ) and
N2 (t4 ) − N2 (t3 ) are independent and therefore, N1 (t2 ) + N2 (t2 ) − N1 (t1 ) − N2 (t1 ) and
N1 (t4 ) + N2 (t4 ) − N1 (t3 ) − N2 (t3 ) are independent, and we have independent increments,
(3)

P(N1 (t + h) + N2 (t + h) − N1 (t) − N2 (t) = 1)

=P(N1 (t + h) − N1 (t) = 1, N2 (t + h) − N2 (t) = 0)
+ P(N1 (t + h) − N1 (t) = 0, N2 (t + h) − N2 (t) = 1)
=(λ1 h + o(h))(1 − λ2 h + o(h)) + (1 − λ1 h + o(h))(λ2 h + o(h))
=(λ1 + λ2 )h + o(h)

while (4)

P(N1 (t + h) + N2 (t + h) − N1 (t) − N2 (t) ≥ 2)

=P(N1 (t + h) − N1 (t) = N2 (t + h) − N2 (t) = 1)
+ P(N1 (t + h) − N1 (t) ≥ 2 ∪ N2 (t + h) − N2 (t) ≥ 2)
≤P(N1 (t + h) − N1 (t) = N2 (t + h) − N2 (t) = 1)
+ P(N1 (t + h) − N1 (t) ≥ 2) + P(N2 (t + h) − N2 (t) ≥ 2)
=(λ1 h + o(h))(λ2 h + o(h)) + o(h) + o(h)
=o(h).

Where we have used that the product of two functions which are linear in h is o(h). This
finishes the proof.

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5.45 Let {N (t), t ≥ 0} be a homogeneous Poisson Process with rate λ, which is indepen-
dent of T (≥ 0), which has mean µ and variance σ 2 . Note that

Cov(T, N (T )) = E[T N (T )] − E[T ]E[N (T )].

Then observe

E[T N (T )] = E[E[T N (T )]|T ]] = E[T × λT ] = λE[T 2 ] = λ(V ar(T ) + (E[T ])2 ) = λ(σ 2 + µ2 )

and
E[N (T )] = E[E[N (T )]|T ]] = E[λT ] = λE[T ] = λµ.
So,
Cov(T, N (t)) = λ(σ 2 + µ2 ) − µ × λµ = λσ 2 .

The variance of N (T ) can be computed similarly: V ar(N (T )) = E[(N (T ))2 ]−(E[N (T )])2 ,
where

E[(N (T ))2 ] = E[E[(N (T ))2 ]|T ] = E[λT + λ2 T 2 ] = λµ + λ2 (σ 2 + µ2 ).

So,
V ar(N (T )) = λµ + λ2 (σ 2 + µ2 ) − (λµ)2 = λµ + λ2 σ 2 .

5.49 A translation of this problem is to compute P(N (T )−N (s) = 1), where {N (t), t ≥ 0}
be a homogeneous Poisson Process with rate λ. Because if N (T ) − N (s) > 1, then the
first arrival after s is not the last one before T while if N (T ) − N (s) = 0, the first arrival
after s is after T . By definition we have

(λ(T − s))1 −λ(T −s)

P(N (T ) − N (s) = 1) = e = λ(T − s)e−λ(T −s) . (1)
1!
This value is maximized if the derivative with respect to s is 0 or if s = 0 or if s = T . if
s = T , (1) is clearly 0, while if s = 0 this value is λT e−λT , which is easily checked to be at
most e−1 . The derivative of P(N (T )−N (s) = 1) is 0, if λ(λ(T −s)−1)e−λ(T −s) = 0, which
implies that T −s = 1/λ. Filling in this value for s in (1) gives P(N (T )−N (s) = 1) = e−1 ,
which is the maximal probability of winning.
5.60 By the order statistic property we obtain (a) (1/3)2 = 1/9, (b) 1 − (2/3)2 = 5/9.

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5.46 Let {N (t), t ≥ 0} be a homogeneous Poisson Process with rate λ and let for i =
1, 2, · · · the random variables Xi be independent identically distributed random variables
with mean µ, which are independent of {N (t), t ≥ 0}. Then,

N (t) N (t) N (t)

X X X
Cov(N (t), Xi ) = E[N (t) Xi ] − E[N (t)]E[ Xi ]
i=1 i=1 i=1
N (t) N (t)
X X
= E[E[N (t) Xi |N (t)]] − E[N (t)]E[E[ Xi |N (t)]]
i=1 i=1
= E[N (t)µN (t)] − E[N (t)]E[µN (t)] = µ(λt + λ2 t2 ) − λt × µλt = µλt.

5.78 Consider an inhomogeneous process between time 0 and 9, where the time is the
time (in hours) since 8AM. λ(t) = 4 for t ∈ (0, 2]; λ(t) = 8 for t ∈ (2, 4]; λ(t) = 8 + (t − 4)
for t ∈ (4, 6] and λ(t) = 10 − 2(t − 6) for t ∈ (6, 9]. From the theory on inhomogeneous
Poisson processes we know that the total
R 9 number of arrivals of this Poisson Process is
Poisson distributed with expectation 0 λ(t)dt = 8 + 16 + 18 + 21 = 63.
5.81b Use part a), but define G(x) = m(x)/m(t) for x ≤ t and G(x) = 1 for x > t. As-
sume that there are N (t) workers injured before time t. Note that this number is Poisson
distributed with expectation m(t). By part (a), the times of injury are independent and
0
have distribution G(x) and density g(x) = m R t(x)/m(t) for x ≤ t. So, the probability that
a worker is still injured at time t is given by 0 g(x)(1−F (t−x))dx. The expected number
of workers injured at time t is then given by this probability R t times the expected number
of workers injured before time t. This product is given by 0 m0 (x)(1 − F (t − x))dx.
5.95 Let {N (t), t ≥ 0} be a mixed Poisson Process with random rate L. We first want to
compute E[L|N (t) = n]. By the definition of conditional expectation we have
1(N (t) = n)]
E[L1
E[L|N (t) = n] = .
P(N (t) = n)
The latter is equal to
n
1(N (t) = n)|L]]
E[E[L1 E[L (Lt)
n!
e−Lt ] E[Ln+1 e−Lt ]
= n = .
E[P(N (t) = n|L)] E[ (Lt) e−Lt ] E[Ln e−Lt ]
n!

For s > t we obtain

E[N (s)|N (t) = n] = E[E[N (s)|N (t) = n, L]|N (t) = n]

= E[n + E[N (s) − N (t)|L]|N (t) = n] = n + E[L(t − s)|N (t) = n]
= n + (t − s)E[L|N (t) = n].

For s < t we obtain

E[N (s)|N (t) = n] = E[E[N (s)|N (t) = n, L]|N (t) = n] = E[ns/t|N (t) = n] = ns/t,

where we have used the order statistic property for computing E[N (s)|N (t) = n, L].