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Problem Set 10

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13 views2 pages

Problem Set 10

Uploaded by

C.Z Fu
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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STAT 333 - Problem Set 10

Exercises marked with an asterisk ∗ are considered to be recommended exercises. The non-
asterisk exercises are intended to serve as extra practice exercises.

Section 4.2
Exercise 4.2.1. Vehicles cross a certain point on Highway 401 in accordance with a Poisson
process at rate λ = 10 per minute. If a deer blindly runs across the highway, then what is
the probability that the deer will be unhurt if the amount of time that it takes to cross the
highway is c seconds? Assume that if the deer is on the highway when a vehicle drives by,
then the deer will be hurt. Calculate this probability for c = 2, 4, 8, and 12.

Exercise 4.2.2.∗ Patients arrive to a walk-in clinic according to a Poisson process with a
rate of 6 patients per hour. However, the doctor only begins to examine patients when the
third patient has arrived.
(a) Calculate the mean and variance of the time from the opening of the clinic until the
first patient starts to be examined.
(b) In the opening first hour, what is the probability that the doctor does not start exam-
ining at all?

Exercise 4.2.3.∗ Suppose that events occur according to a Poisson process at rate λ = 0.75.
(a) What is the probability that the 5th event occurs more than 2 time units after the 4th
event occurs?
(b) What is the probability that the 5th event occurs more than 3 time units after the 3rd
event occurs?
(c) Calculate the joint probability that exactly 1 event occurs in the time interval [1, 4]
and exactly 3 events occur in the time interval [3, 5].

Exercise 4.2.4.∗ Two individuals, A and B, both require liver transplants. If a new liver is
not received, then A will die following an exponentially distributed time with rate µA , and
B after an exponentially distributed time with rate µB . New livers arrive in accordance with
a Poisson process at rate λ. It has been decided that the first liver will go to A (or to B if
B is alive and A is not at that time) and the next one to B (if B is still alive).
(a) What is the probability that A obtains a new liver?
(b) What is the probability that B obtains a new liver?
(c) What is the probability that neither A nor B obtains a new liver?
(d) What is the probability that both A and B obtain new livers?

1
Exercise 4.2.5. Let Z(t) denote the price of a security at time t. A commonly-used model
for the process {Z(t), t ≥ 0} assumes that the price remains unchanged until a “shock”
occurs, at which time the price is multiplied by a random factor. Specifically, if N (t) rep-
resents the number of shocks by time t and Xi represents the ith multiplicative factor, then
the model under consideration is given by
N (t)
Y
Z(t) = Z(0) Xi ,
i=1

where Z(0) = s > 0 and N


Q (t) ∞
i=1 Xi is equal to 1 when N (t) = 0. Suppose that {Xi }i=1 are iid
EXP(µ) rvs and {N (t), t ≥ 0} is a Poisson process with rate λ. Assume that {N (t), t ≥ 0}
is independent of each rv Xi .
(a) Determine E[Z(t)].

(b) Determine Var(Z(t)).

Exercise 4.2.6.∗ Customers arrive at a service facility according to a Poisson process at


rate λ = 2 customers per hour. Let N (t) be the number of customers that have arrived up
to time t.
(a) What is the probability that at least 3 customers arrive between the morning hours of
8:00 am and 10:00 am (of the same day)?

(b) Suppose that after 15 minutes, the first customer has yet to arrive at the service facility.
What is the probability that at most an additional 10 minutes goes by without the
arrival of the first customer?

(c) Calculate E[N (3)|N (1) = 2].

(d) Calculate P (N (1) = 2|N (3) = 6).

(e) What is the probability that the 7th customer arrival occurs more than 45 minutes
after the 5th customer arrival?

Exercise 4.2.7. An alternative derivation of the Poisson distribution for N (t), the number
of arrivals in a Poisson process up to time t, can be obtained in the following manner. Let
λ be the underlying rate of the process. Also, let Sn be the arrival time of the nth event,
n ∈ Z+ .
(a) For n ∈ Z+ , determine P (N (t) = n|Sn = s) ∀ s ≤ t.

(b) Using the result in part (a) and the fact that Sn ∼ Erlang(n, λ), determine P (N (t) =
n).

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