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Assignment 1

This document outlines the tutorial for Stochastic Processes II, part of the BSc Honours Degree in Statistics and BSc in Actuarial Science. It includes definitions of key terms, problem sets involving renewal processes, and calculations related to job arrival rates and renewal reward processes. The assignment is due on 3 May 2022 and requires candidates to attempt all questions.

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14 views1 page

Assignment 1

This document outlines the tutorial for Stochastic Processes II, part of the BSc Honours Degree in Statistics and BSc in Actuarial Science. It includes definitions of key terms, problem sets involving renewal processes, and calculations related to job arrival rates and renewal reward processes. The assignment is due on 3 May 2022 and requires candidates to attempt all questions.

Uploaded by

timonmaweni99
Copyright
© © All Rights Reserved
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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Department of Mathematics and Computational Sciences

HSTS417
BSc Honours Degree in Statistics & BSc in Actuarial Science Part IV RM
STOCHASTIC PROCESSES II: Tutorial 1

28 April 2022
Time : Due 3 May 12:00 hours

Candidates should attempt ALL questions. Marks will be allocated as indicated.

A1. Define the following terms :


(a) renewal process, [3]
(b) poisson process, [3]
(c) semi-markov chain, [3]
(d) regenerative process, and [3]
(e) renewal reward process. [3]

A2. (a) Suppose that the interarrival distribution for a renewal process is Poisson dis-
tributed with mean µ. That is, suppose
k
µµ
P {Xn = N } = e , k = 0, 1, ...
k!
(i) Find the distribution of Sn . [5]
(ii) Compute P {Nt = n}. [5]
(b) If the mean-value function of the renewal process {Nt , t ≥ 0} is given by m(t) =
t
2
, t ≥ 0. Find the P {N5 = 0}. [5]

A3. (a) Mr. Smith works on a temporary basis. The mean length of each job he gets
is three months. If the amount of time he spends between jobs is exponentially
distributed with mean 2, then at what rate does Mr. Smith get new jobs? [6]
(b) For the renewal process whose interarrival times are uniformly distributed over
(0, 1), determine the expected time from t = 1 until the next renewal. [5]

A4. For a renewal reward process consider


R1 + R2 + ... + Rn
Wn =
X1 + X2 + ... + Xn
where Wn represents the average reward earned during the first n cycles. Show that
Wn → E[R]/E[X] as n → ∞. [9]

END OF ASSIGNMENT 1

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