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Stochastic Asignment Group Asignment 2

This document outlines Group Assignment 2 for HASTS416 and HSTS417, focusing on stochastic processes and Markov chains, with a due date of May 30. It includes questions on defining key terms, analyzing Markov chains, and applying transition matrices in various scenarios. Additionally, it covers concepts related to Poisson processes and customer service systems, along with calculations for expected values and variances.

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Elmery Dananai Deve
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7 views3 pages

Stochastic Asignment Group Asignment 2

This document outlines Group Assignment 2 for HASTS416 and HSTS417, focusing on stochastic processes and Markov chains, with a due date of May 30. It includes questions on defining key terms, analyzing Markov chains, and applying transition matrices in various scenarios. Additionally, it covers concepts related to Poisson processes and customer service systems, along with calculations for expected values and variances.

Uploaded by

Elmery Dananai Deve
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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HASTS416 and HSTS 417: Stochastic Processes

All

Department of Mathematics and Computational Sciences

GROUP ASSIGNMENT 2: Due Date Friday 30 May


Candidates should attempt ALL questions. ( 100 MARKS)
1. Define each of the following terms:
(a) Irreducible Markov chain
(b) Time reversible Markov chain
(c) Absorption state
2. Specify the classes for the following Markov chains and determine whether they are
transient or recurrent:
1 3 
4 4
0 0 0
 1 1 0 0 0
2 2 
(a) P =   0 0 1 0 0 

0 0 1 2
3 3
0
1 0 0 0 0
5 1 1

8 4
0 8
1 1 1 1
(b) P =   4 2 8 8
0 0 1 0
0 0 0 1
1 1
0 14

2 4
0 1 1 1 
(c) P =  2 4 4
0 0 1 1 
2 2
0 0 0 1
0 0 12 12
 
1 0 0 0 
(d) P =  0 1 0 0 

0 1 0 0
1 1 
2 2
0 0 0
 1 1 0 0 0
2 2 1 1 
(e) P =  0 0 21 21 0

0 0 0
2 2
1 0 0 0 0

1
 
0 0 0 1
 0 0 0 1
(f) P = 
 1 1 0 0

2 2
1 1
2 2
0 0

3. In a Markov chain model for the progression of a disease, the state space is {1: control,
2: moderate, 3: severe, 4: permanent disability}, and the transition matrix is:
1 1
0 14

2 4
0 1 1 1 
P = 2 4 4
0 0 1 1 
2 2
0 0 0 1

(a) Classify the four states as transient or recurrent. What does this imply about long-run
fate?
(b) Calculate the 2-step transition matrix.
(c) Find the probability that a patient:
• (i) with moderate symptoms becomes permanently disabled after one year.
• (ii) under control has severe symptoms after two years.
• (iii) with moderate symptoms has severe symptoms after four years.
(d) A treatment for state 4 (permanent disability) has a 50% success rate returning to
state 1. Write the new transition matrix and classify states.
(e) Compute the stationary distribution. What proportion of the population will be
treated in the long-run?
(f) If annual costs are: $0 (state 1), $1 (state 2), $2c (state 3), $8c (state 4), find the
expected annual cost per patient in steady state.

4. A frog hops among lily pads. Determine:

(a) Transition matrix from diagram (assumed).


(b) Starting from state 2, find π1 , π2 , π3 .
(c) Compute limiting probabilities.

2
Group assignment 3: Friday 30 May 2025
Candidates should attempt ALL questions. (100 MARKS )

1. Define the following terms:

(a) Poisson process


(b) Homogeneous Poisson process
(c) Non-homogeneous Poisson process
(d) Compound Poisson process

2. Customers are served by three servers, with service times exponentially distributed with
rate µi , i = 1, 2, 3. When a server is free, the longest-waiting customer begins service.

(a) If all servers are busy and no one is waiting when you arrive, find the expected time
until you depart.
(b) If all servers are busy and one person is waiting when you arrive, find the expected
time until you depart.

3. Each customer is served in sequence by server 1, then 2, then 3. Service times are
exponential with rates µ1 , µ2 , µ3 .

(a) Probability server 3 is still busy when you reach server 2.


(b) Probability server 3 is still busy when you reach server 3.
(c) Expected total time in system (wait if a server is busy).
(d) If one customer is at server 2 when you enter, find your expected time in system.

4. Prove that if {N1 (t), t ≥ 0} and {N2 (t), t ≥ 0} are independent Poisson processes with
rates λp and λ(1 − p), then they are independent.

5. Families migrate at a Poisson rate λ = 2 per week. Family sizes (people per family) are
i.i.d. with probabilities: 1 (1/4), 2 (1/4), 3 (1/3), 4 (1/12), 5 (1/12). Compute:

(a) Expected number of individuals migrating in 6 weeks.


(b) Variance of number of individuals migrating in 6 weeks.

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