ALIGARH MUSLIM UNIVERSITY
STM/ORM-2002: STOCHASTIC PROCESSES
Practice Problems -2
1. Let {X(t) : t ≥ 0} be a Poisson process with rate λ. Show that
(a) The mean and the variance of the process are µX (t) = λt and Var(X(t)) = λt.
(b) The auto-covariance function of the process is CXX (t1 , t2 ) = λ min(t1 , t2 ).
(c) The auto-correlation function of the process is RXX (t1 , t2 ) = λ min(t1 , t2 ) +
λ2 t1 t2 .
√
(d) The auto-correlation coefficient of the process is ρXX (t1 , t2 ) = min(t1 , t2 )/ t1 t2 .
2. Define Poisson process. Is it a stationary process? Justify your answer.
3. If {X(t) : t ≥ 0} is a Poisson process,
between X(t) and X(t + h) is
q
t
t+h
.
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then prove that the auto-correlation coefficient
4. Let {X(t) : t ≥ 0} be a Poisson process with rate λ. Show that
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(a) The Poisson process is a Markov process.
(b) The sum of two independent Poisson processes is a Poisson process.
(c) The difference of two independent Poisson process is not a Poisson process.
5. Let {X1 (t) : t ≥ 0} and {X2 (t) : t ≥ 0} be two independent Poisson processes with
rates λ1 and λ2 respectively. Show that the conditional distribution of X1 (t) given
that X1 (t) + X2 (t) is binomial.
6. Show that the inter-arrival time of a Poisson process with intensity (rate) λ obeys
an exponential law with mean 1/λ.
7. Let {X(t) : t ≥ 0} be a Poisson process with rate λ. Suppose that each arrival is
registered with probability p independent of other arrivals. Let {Y (t) : t ≥ 0} be
the process of registered arrivals. Show that {Y (t) : t ≥ 0} is a Poisson process with
rate λp.
8. Suppose that customers arrive at a bank according to a Poisson process with mean
rate of 3 per minute. Find the probability that during a time interval of 2 minutes
(i) exactly 4 customers arrive and (ii) more than 4 customers arrive.
9. The number of particles emitted by a radioactive source is Poisson distributed.
The source emits particles at a rate of 6 per minute. Each emitted particle has
a probability of 0.7 of being counted. Find the probability that 11 particles are
counted in 4 minutes.
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10. A machine goes out of order, whenever a component fails. The failure of this part
follows a Poisson process with a mean rate of 1 per week. Find the probability that
2 weeks have elapsed since last failure. If there are 5 spare parts of this component
in an inventory and that the next supply is not due in 10 weeks, find the probability
that the machine will not be out of order in the next 10 weeks.
11. VLSI chips, essential to the running of a computer system, fail in accordance with
a Poisson distribution with the rate of one chip in about 5 weeks. If there are
two spare chips on hand, and if a new supply will arrive in 8 weeks, what is the
probability that during the next 8 weeks the system will be down for a week or
more, owing to the lack of chips?
12. Queries presented in a computer database are following a Poisson process of rate 6
queries per minute. An experiment consists of monitoring the database for m min-
utes and recording N (m) the number of queries presented. What is the probability
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of (i) no queries in a one-minute interval?
(ii) exactly 6 queries arriving in a one-minute interval?
(iii) less than 3 queries arriving in a half-minute interval?
13. The number of telephone calls arriving at a certain switch board within a time
interval of length (measured in minutes) is a Poisson process X(t) with rate 2. Find
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(i) no telephone calls arriving at this switch board during a 5 minute period.
(ii) more than one telephone call arriving at this switch board during a given 1/2
minute period.
14. A fisherman catches fish at a Poisson rate of 2 per hour from a large pond with lots
of fish. If he starts fishing at 10 : 00 AM, what is the probability that he catches (i)
one fish by 10 : 30 AM, and (ii) three fish by 1 : 00 PM.
15. If customers arrive at a counter in accordance with a Poisson process with a mean
rate of 2 per minute, find the probability that the interval between two consecutive
arrivals is
(i) more than 1 minute
(ii) between 1 minute and 2 minutes
(iii) less than or equal to 4 minutes.
There are no secrets to success. It is the result of preparation, hard work,
and learning from failure. (Gen. Colin L. Powell)