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Tutorial Sheet 1 - Applied Stochastic Processes

This document contains a tutorial on applied stochastic processes with 10 problems. The problems cover topics like calculating the expectation and variance of random variables following certain distributions, finding probabilities conditioned on other random variables, deriving recursive equations, and finding expected values. Useful distribution formulas are also provided for the binomial, Poisson, exponential, and beta distributions.

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Selvanarden Kaveri
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Download as PDF, TXT or read online on Scribd
222 views

Tutorial Sheet 1 - Applied Stochastic Processes

This document contains a tutorial on applied stochastic processes with 10 problems. The problems cover topics like calculating the expectation and variance of random variables following certain distributions, finding probabilities conditioned on other random variables, deriving recursive equations, and finding expected values. Useful distribution formulas are also provided for the binomial, Poisson, exponential, and beta distributions.

Uploaded by

Selvanarden Kaveri
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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J.N.

TUTORIAL 1
Applied Stochastic Processes
BSc (Hons) Actuarial Studies -Year 2
2014/2015
1.

Given that a random variable X follows a beta distribution (Beta(a,b), where a, b > 0) and, a
random variable Y given X follows a binomial distribution Bin(n,X).
Calculate the expectation and the variance of Y.

2.

We consider 2 random variables X and Y : X is uniform over the set {1,2,,6} and
conditionally to X, the random variable Y follows a binomial distribution Bin(X,).
Calculate Prob(X=i |Y=0) for i=1,2,,6.

3.

Suppose that X1, X2, are independent observations of a random variable X and suppose
that N is a non-negative integer value random variable independent of X. Given =

=1 , show that :
() = ()() + 2 ()()

4.

A fair die is tossed a random number of N times (N N) and X denotes the number of sixes
obtained.
What is the distribution of X given N? Show that
() =

5.

5
1
() + ()
36
36

Let X and Y be independent exponential r.v. with parameters and respectively.


Let
1
={
0 >

Show that ( = 1) = +
6.

Suppose we have a collection of N+1 urns, each containing a total of N red and white balls;
the urn k contains k red and N-k white balls for k=0,1,,N.
An urn is chosen at random and n random drawings are made from it, the ball drawn being
replaced each time.
Let A denote the event that all n balls turn out to be red. Let B denote the event that the
next drawing will also yield a red ball.
Calculate Prob(B|A).

7.

Chicken and eggs


The number, N, of eggs laid by a chicken in one week follows a Poisson variable with mean
. Each egg has a probability p of hatching a chick.
Let X be the number of chicks hatched in a week. Find E(X).

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J.N.

8.

A fair die is tossed and a coin is thrown the number of times as the score shown on the die.
If any heads are shown in the throws of the coin, we stop, otherwise, we continue the
experiment of tossing the die and coin until at least one head is shown.
Find the expected number of throws of the coin before we stop.

9.

Suppose that we roll an ordinary die and suppose the number appearing uppermost on
the die is N. We then toss a fair coin N times and observe X, the number of heads obtained.
(i) Calculate Prob(X=5)
(ii) Find E(X)

10.

A miner trapped in a mine containing 3 doors. The first door leads to a tunnel that takes
him to safety after 2 hours of travel. The second door leads to a tunnel that returns him to
the mine after 3 hours of travel. The third door leads to a tunnel that returns him to the
mine after 5 hours of travel.
Assuming that the miner is at all times equally likely to choose any one of the doors, what
is the expected length of time until the miner reaches safety.

11.

An urn contains 3 balls, numbered 1 to 3. A ball is drawn at random from the urn, its
number is recorded, and then the ball is returned to the urn. This experiment is repeated
indefinitely. Let Nk denote the number of draws required until the ball numbered 1 has
been drawn on k consecutive draws, where k1.
(i) Find E(N1)
(ii) By conditioning on Nk-1 , derive a recursive equation for E(Nk) where k>1.
Hence find E(Nk).

Useful distribution functions


1.

Binomial Bin(n,p) where p [0,1]

Prob(X=x) = ( ) (1 ) , x=0,1,2,,n

Mean= np & Variance=np(1-p)

2.

Poisson Po() where >0


Prob(X=x) =

, x=0,1,2,

Mean= & Variance=


3.

Exponential Exp() where >0


p.d.f. : f(x)= , x0
c.d.f. : Prob(X<x) = 1
Mean=

4.

& Variance=

1
2

Beta(,) where , >0


p.d.f. : f(x)=
Mean=

1 (1)1
(,)

, where x [0,1] and (, ) =

()()
(+)

& Variance= (+)2

(++1)

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