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31 views2 pages

Tutsheet 7 New

Uploaded by

zaidullahkhan2003
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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MTL 106 (Introduction to Probability Theory and Stochastic Processes)

Tutorial Sheet No. 7 (Introduction to Stochastic Processes)


1. Trace the path of the following stochastic processes:
(a) {Wk , k ∈ T } where Wk be the waiting time of the k th customer in the system before receiving service
and T = {1, 2, . . .}.
(b) {Xt , t ∈ T } where Xt be the number of jobs in system at time t, and T = [0, ∞).
(c) {Yt , t ∈ T } where Yt denotes the cumulative service requirements of all jobs in system at time t, and
T = [0, ∞). ANs (a) Discrete time discrete state space.
(b) Continuous time discrete state space.
(c) Continuous time continuous state space.
 
2. Let {Xt , 0 ≤ t ≤ T } be a stochastic process such that E[Xt ] = 0 and E Xt2 = 1 for all t ∈ [0, T ]. Find the
upper bound of |E[Xt Xt+h ]| for any h > 0 and t ∈ [0, T − h].
3. Let {Xt , t ≥ 0} be a stochastic process with Xt = A0 + A1 t + A2 t2 , where A′i s are uncorrelated r.vs.
with mean 0 and variance 1. Find the mean function and covariance function of Xt . Ans E[Xt ] = 0 and

5
Cov[Xt , Xs ] = 1 = st + s2 t2 .

-2
4. Prove that {Xt , t ∈ R} is a second-order process if and only if m(t) is independent of t and C(s, t) depends
only on |t − s|.

4
02
5. Consider the process {Xt , t ≥ 0} with Xt = A cos(wt) + B sin(wt) where w is a positive constant and A and
B are uncorrelated r.v. with mean 0 and variance 1. Check whether {Xt , t ≥ 0} wide-sense stationary or
not? Ans Yes
r2
6. In a communication system, the carrier signal at the receiver is modeled by the process {Yt , t ≥ 0} which is
defined as Yt = Xt cos(2πwt + Θ) where {Xt , t ≥ 0} is a zero-mean and wide-sense stationary process, and Θ
is a uniform distributed random variable in the interval (−π, π) and w is a positive constant. Assume that,
te

Θ is independent of the process {Xt , t ≥ 0}. Is {Yt , t ≥ 0} wide-sense stationary? Ans Yes
es

7. Let Y1 , Y2 be two i.i.d. r.v’s where each follows Yi ∼ N (µ, σ 2 ). Define Xt = Y1 cos(λt)+Y2 sin(λt), −∞ < t <
∞ where λ is a real constant. Show that Xt is a second-order process. Also, show that {Xt , −∞ < t < ∞}
em

is a Gaussian process.
8. Let Y1 , Y2 be two i.i.d. r.v’s where P (Yi = 1) = P (Yi = −1) = 21 , i = 1, 2. Define Xt = Y1 cos(λt) +
Y2 sin(λt), − ∞ < t < ∞ where λ is a real constant. Show that {Xt , −∞ < t < ∞} is a second order
IS

stationary process which is not strictly stationary.


9. Prove that {Xt , −∞ < t < ∞} is a second-order stationary process if for every number τ , the second-order
process Yt defined by Yt = Xt+τ , −∞ < t < ∞ has the same mean and covariance function as of Xt .
10. Consider the random telegraph signal, denoted by X(t), jumps between two states, 0 and 1, according
to the following rules. At time t = 0, the signal X(t) start with equal probability for the two states, i.e.,
P (X(0) = 0) = P (X(0) = 1) = 1/2, and let the switching times be decided by a Poisson process {Y (t), t ≥ 0}
with parameter λ independent of X(0). At time t, the signal
1 
X(t) = 1 − (−1)X(0)+Y (t) , t > 0.
2
Is {X(t), t ≥ 0} covariance/wide sense stationary? Ans Yes

11. Prove that every real-valued stochastic process {Xt , t ≥ 0} with independent increments is a Markov process.
12. Let X and Y be two i.i.d. random variables each having uniform distribution on interval [−π, π]. Define, for
t ≥ 0, Zt = sin(Xt + Y ). Check whether {Zt , t ≥ 0} is covariance stationary or not? Ans Yes

1
13. Let A be a positive random variable that is independent of a strictly stationary random process {Xt , t ≥ 0}.
Show that {Yt , t ≥ 0} where Yt = AXt is also strictly stationary random process.
14. Is the stochastic process {Xt , t ≥ 0} stationary, whose probability distribution under a certain condition, for
n = 0, 1, . . ., given by ( at
n=0
P {Xt = n} = (1+at)
(at)n−1 AnsY es
(1+at)n+1 n = 1, 2, . . . .

15. Let {N (t), t ≥ 0} be a Poisson process with parameter λ. Show that

lim N (t) = ∞ a.s. .


t→∞

Hint: Find the limit of P {N (k) ≥ n} as k → ∞. Write {limt→∞ N (t) = ∞} in terms of {N (k) ≥ n}.
16. Let {N (t), t ≥ 0} be a Poisson process with parameter λ. Show that

P {N (t) is odd} = e(−λt) sinh(λt),

5
P {N (t) is even} = e(−λt) cosh(λt).

-2
Hint: Find the probability that N (t) = 2n + 1 and compare this to the n-th term of the Taylor expansion
of sinh(λt).

4

17. Suppose that X1 , X2 , . . . are i.i.d. random variables each having N 0, σ 2 . Consider, {Sn , n = 1, 2, . . .} is a
stochastic process where Sn = exp
Pn n 2

02
i=1 Xi − 2 σ . Find E [Sn ] for all n. ANs 1
r2
te
es
em
IS

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