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    1819sem2-St4238 Ma4251

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    1819sem2-St4238 Ma4251

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    1819SEM2-ST4238_MA4251

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    1819sem2-St4238 Ma4251

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    NATIONAL UNIVERSITY OF SINGAPORE

    MA4251/ST4238 — Stochastic Processes II

    (Semester II: 2018–2019)

    Time Allowed : 2 Hours

    INSTRUCTIONS TO CANDIDATES

    1. This examination paper contains Six (6) questions on TWO (2) pages including
    the cover page.

    2. Answer ALL the questions for a TOTAL of 100 marks.

    3. All NOTATIONS used here are the same as those used in the lecture notes.

    4. Write your answers neatly ON THE ANSWER BOOK.

    5. Write your student number only on the answer book. Do not write your name.

    6. This is a closed textbook and notes examination. The students are allowed to bring
    one A4-sized help sheet.

    7. Only non-programmable calculators are allowed.

    1
    MA4251/ST4238
    1. (10%)(a). Determine the stationary distribution for a birth and death process having
    the respective birth and death parameters λn = α(n + 1) and µn = βn2 for n =
    0, 1, 2, · · · , where 0 < α < β.
    (10%)(b). Consider a birth and death process with the respective birth and death
    parameters λn = θ < 1, and µn = n/(n + 1) for n = 0, 1, 2, · · · . Determine the
    stationary distribution.
    2. (20%) Let X1 (t) and X2 (t) be independent two-state Markov chains having the
    infinitesimal matrix ( )
    −λ λ
    A= .
    µ −µ
    The states of X1 (t) and X2 (t) are assumed to be 0 and 1. Determine the transition
    probabilities P00 (t) and P11 (t) for X1 (t) + X2 (t).
    3. (20%) Consider a standard Brownian motion {B(t); t ≥ 0} at times 0 < u < u + v <
    u+v +w.
    ∫ 1 ∫Suppose B(0) = 0. Evaluate E[B(u)B(u+v)B(u+v +w)B(u+v +w +x)]
    1
    and E[ 0 0 B (u)B 2 (u + v)dudv], where x > 0.
    2

    4. (15%) Customers arrive at a facility according to a Poisson process {X(t), t ≥ 0}


    with rate λ > 0. Each customer pays $ 1 on arrival, and it is desired to evaluate the
    expected value of the total sum collected during the interval (0, t] discounted back
    ( ∑X(t) −βW )
    to time 0. This quantity is given by M = E i=1 e
    i
    , where β is the discount
    ∑ −βWi
    rate, Wi is the arrival time of the i-th customer. (If X(t) = 0, then X(t)
    i=1 e is
    defined as 0.) Prove that
    λ
    M = (1 − e−βt ).
    β
    ∫T
    5. (15%) Let {X(t); t ≥ 0} be a Poisson process with rate λ. Define ξT = T −1 0
    X(t)dt,
    where T is a positive constant.
    ( )
    (a). Calculate E X(1)3 .
    (b). Calculate EξT and V arξT .

    6. (10%) Let {N (t), t ≥ 0} be a renewal process whose lifetimes X1 , X2 , · · · between


    successive events are independent and identically distributed random∑variables with
    distribution function F . Denote the distribution function of Wk = ki=1 Xi by Fk ,
    where k ≥ 1. Suppose that each event is recorded with probability 1 − p ∈ (0, 1).
    Let Z be the time of the first recorded event. Find the distribution function of Z.
    (Express your answer in terms of p and Fk .)

    ——End of the Paper——

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