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HSTS417 Tutorial 1

This document is a tutorial for a course on Stochastic Processes II, focusing on various types of processes such as renewal and Poisson processes. It includes a series of questions that require definitions, proofs, and calculations related to these processes and their properties. Candidates are instructed to attempt all questions, with marks allocated as indicated.

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29 views2 pages

HSTS417 Tutorial 1

This document is a tutorial for a course on Stochastic Processes II, focusing on various types of processes such as renewal and Poisson processes. It includes a series of questions that require definitions, proofs, and calculations related to these processes and their properties. Candidates are instructed to attempt all questions, with marks allocated as indicated.

Uploaded by

tahcuraprospergwengwe
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Department of Mathematics and Computational Sciences

HSTS417
BSc Honours Degree in Statistics & BSc in Actuarial Science Part IV RM

STOCHASTIC PROCESSES II: Tutorial 1

24 April 2023
Time : Unlimited hours

Candidates should attempt ALL questions. Marks will be allocated as indicated.

A1. Define the following terms :

(a) renewal process,


(b) poisson process,
(c) semi-markov chain,
(d) regenerative process, and
(e) renewal reward process.

A2. Let {N1 (t), t ≥ 0} and {N2 (t), t ≥ 0} be independent renewal processes. Let N (t) =
N1 (t) + N2 (t)

(a) Are the interarrival times of {N (t), t ≥ 0} independent?


(b) Are they identically distributed?
(c) Is {N (t), t ≥ 0} a renewal process?

A3. (a) Suppose that the interarrival distribution for a renewal process is Poisson dis-
tributed with mean µ. That is, suppose

µk
P {Xn = N } = eµ , k = 0, 1, ...
k!
(i) Find the distribution of Sn .
(ii) Compute P {Nt = n}.
(b) If the mean-value function of the renewal process {Nt , t ≥ 0} is given by m(t) =
t
2
, t ≥ 0. Find the P {N5 = 0}.

page 1 of 2
HSTS417/RM

A4. Consider a renewal process {Nt , t ≥ 0} having a gamma (r, λ) interarrival distribution.

(a) Prove that,


∞
X e−λt (λt)i
P {Nt ≥ n} =
i=nr
i!

(b) Show that,


∞   −λt
X i e (λt)i
m(t) =
i=r
r i!
i
where r
is the largest integer less than or equal to ri .

A5. (a) Mr. Doe works on a temporary basis. The mean length of each job he gets is
three months. If the amount of time he spends between jobs is exponentially
distributed with mean 2, then at what rate does Mr. Doe get new jobs?
(b) For the renewal process whose interarrival times are uniformly distributed over
(0, 1), determine the expected time from t = 1 until the next renewal.

A6. A worker sequentially works on jobs. Each time a job is completed, a new one is
begun. Each job, independently, takes a random amount of time having distribution
F to complete. However, independently of this, shocks occur according to a Poisson
process with rate λ. Whenever a shock occurs, the worker discontinues working on the
present job and starts a new one. In the long run, at what rate are jobs completed?

END OF TUTORIAL 1

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