E1 222 Stochastic Models and Applications
Assignment 3
Submission Deadline: 29 November 9 PM
You need to submit solutions to three problems
The specific three problems would be communicated to you through Teams
at 6 PM on 29 November.
1. Let X1 , X2 , · · · be a sequence of discrete random variables with Xn
being geometric with parameter λ/n where we have 0 < λ < 1. Let
Zn = Xn /n. Does Zn converge in distribution?
2. Let Xn , n = 1, 2, · · · be discrete random variables taking values in
P
{0, 1, 2, · · · , K}, K < ∞. Suppose Xn → 0. Then show that the
sequence converges in rth mean to zero.
3. Let X1 , X2 , · · · be iid random variables which are all uniform over (0, 1).
Q 1 P
Let Zn = ( ni=1 Xi ) n . Show that Zn → c and find the constant c.
(Hint: Use (i) the weak law of large numbers and (ii). the fact that if
P P
Xn → X then g(Xn ) → g(X) for any continuous g).
4. Each of two switches is either ON or OFF during a day. On day n,
each switch would independently be ON with proability (1 + mn−1 )/4
where mn−1 is the number of switches that are ON on day n − 1. What
is the fraction of days on which both switches are (i). ON, (ii). OFF.
5. Let {Xn , n ≥ 0} be a Markov Chain. Let s0 , s1 , s2 be some specific
three states. Suppose the probabilities of transition out of s0 are given
by: P (s0 , s0 ) = 0.3; P (s0 , s1 ) = 0.2; P (s0 , s2 ) = 0.5. Suppose the chain
is started in s0 . Let T denote the first time instant when the chain
left state s0 . (That is, T = min{n : n ≥ 1, Xn 6= s0 }). Find the
distribution of T and XT .
6. Consider the following situation. There is a box with a number of
particles. At each time instant, n, we introduce ξn new particles into the
box. We assume that ξn , n = 1, 2, · · · are iid having Poisson distribution
with parameter λ. Each particle in the box at time instant n will,
independently of all other particles and independently of all ξn , leave
the box by time instant n + 1 with probability p, 0 < p < 1. With
probability (1 − p), the particle will stay in the box. Let Xn denote
1
the number of particles in the box at time n with X0 being the initial
number of particles in the box. Show that {Xn , n ≥ 0} is a Markov
chain and calculate its transition probabilities.
(This model is useful in some applications. For example, the box could
be a cell in a cellular network and the particles could be calls in progress.
We count time by discrete intervals and in each time interval some
random number of new calls are added and some random number of
current calls would end).
7. Let {N (t), t ≥ 0} be a Poisson process with rate λ and assume that it is
independent of a non-negative random variable, T . Suppose the mean
of T is µ and its variance is σ 2 . Find (i). E[N (T )], (ii). Var(N (T ))
8. Let {N (t), t ≥ 0} be a Poisson process with rate λ. Let X0 be a
discrete random variable that is independent of N (t) and with mass
function P [X0 = +1] = P [X0 = −1] = 0.5. Define a stochastic process:
X(t) = X0 (−1)N (t) . Find the mean and autocorrelation function of
X(t). Is this process wide-sense stationary?