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This document is a homework assignment for Professor Whitt's IEOR 6711 Stochastic Models I course in the fall of 2012 at Columbia University. It assigns problems from Chapter 2 of Stochastic Processes by Sheldon Ross due on September 25. The assignment includes 10 problems on the Poisson process ranging from simple to more complex, with hints provided for some problems.

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41 views1 page

Homewk 3

This document is a homework assignment for Professor Whitt's IEOR 6711 Stochastic Models I course in the fall of 2012 at Columbia University. It assigns problems from Chapter 2 of Stochastic Processes by Sheldon Ross due on September 25. The assignment includes 10 problems on the Poisson process ranging from simple to more complex, with hints provided for some problems.

Uploaded by

Songya Pan
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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IEOR 6711: Stochastic Models I Fall 2012, Professor Whitt Homework Assignment 3: Tuesday, September 18 The Poisson Process

Due in class on Tuesday, September 25.


Problems from Chapter 2 of Stochastic Processes, second edition, by Sheldon Ross. In all homework and exams, show your work. Problem 2.1 (in Ross) (Hint: et = Problem 2.3 Problem 2.4 Problem 2.5 Problem 2.6 (Hint: The times between successive part failures while the machine is working are IID exponential random variables with mean 1/(1 + 2 ). The identities of the successive parts that fail are IID Bernoulli random variables with the probability part 1 fails being p1 = 1 /(1 + 2 ), which are independent of the failure times.) Problem 2.7 Problem 2.8 Problem 2.9 Problem 2.10 Problem 2.11 Problem 2.13 (Hint: For an easy proof, apply Proposition 2.3.2 in the special case P (s) = p for all s.)
tj j =0 j !

and et =

k tj j =0 j !

+ o(tk ) by Taylors theorem.)

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