September 14, 2024

IE 621: Probability and Stochastic Processes 1

Assignment 2

1. I have 4 umbrellas, some at home, some in the office. I keep moving between home and office. I take
an umbrella with me only if it rains. If it does not rain I leave the umbrella behind (at home or in the
office). It may happen that all umbrellas are in one place, I am at the other, it starts raining and must
leave, so I get wet.
(a) If the probability of rain is p, what is the probability that I get wet?
(b) Current estimates show that p = 0.6 in Mumbai. How many umbrellas should I have so that, if I
follow the strategy above, the probability I get wet is less than 0.1?

2. You decide to take part in a roulette game, starting with a capital of |C0 . At each round of the game you
gamble |1000. You lose this money if the roulette gives an even number, and you double it (so receive
|2000) if the roulette gives an odd number. Suppose the roulette is fair, i.e. the probabilities of even
and odd outcomes are exactly 21 . What is the probability that you will leave the casino broke?

3. In the experiment of infinite coin tossing, let Sn denote the number of occurrences of heads in n trials
i.e., Sn = X1 + X2 + · · · + Xn . Show that
 
n 1
P (Sn = k) = .
k 2k

Also find ESn .

4. For a random variable taking values in N, show that

∞
X
EX = P (X ≥ n).
n=1

5. Consider the following probability model: Ω = [0, 1]2 , P (A) = Area of A. Thus ω = (x, y), where
x, y ∈ [0, 1]. Define X(ω) = x and Y (ω) = y. Show that X and Y are independent random variables.

6. Consider the experiment of infinite coin tossing. Let Xn be random number obtained at the nth toss.
Show that each Xn is a random variable.

7. Let X be a real valued random variable with a p.d.f. f (x) and let Y be non-negative integer valued
random variable with the distribution P (Y = k) = pk , k ≥ 0. Find the p.d.f. of Z = X + Y when X
and Y are independent.

Aug - Nov, 2020 IEOR@IITB

IE 621: Assignment 2

8. Any point in the interval [0, 1) can be represented by its decimal expansion 0.x1 x2 x3 · · · . Suppose a
point is chosen at random from the interval. Let X be the first digit in the decimal expansion represent-
ing the point. Compute the density of X.

be the Lebesgue measure. Define An = [0, n1 ]. Verify that An , n = 1, 2, · · · , are

9. Let Ω = [0, 1] and PP
not independent and ∞n=1 P (An ) = ∞, but P (An occurs i.o.) = P (0) = 0.

10. What values of x, y, z will make the following matrices transition probabilities?
   
.5 .1 x x .1 .7
P =  y .2 .4 Q = .2 .3 y 
.3 z .1 .6 z .2

11. A red urn contains 2 red marbles and 3 blue marbles. A blue urn contains 1 red marble and 4 blue
marbles. A marble is selected from an urn, the marble is returned to the urn from which it was drawn
and the next marble is drawn from the urn with the color that was drawn. Is this a Markov chain and if
so what is the transition probability matrix for this chain? Suppose the first marble is drawn from the
red urn. What is the probability that the third one will be drawn from the blue urn?
12. A person is flipping a coin repeatedly. Let Xn be the outcome of the two previous coin flips at time n,
for example the state might be HT to indicate that the last flip was T and the one before that was H.
Compute the transition probability for this chain and the two-step tranition probability matrix.
13. Two teams, A and B, meet each other in a series of games until either of the teams has won three games
in a row. Each game results in a win for either of the teams (no draw possible). The outcomes of the
games are independent of each other. Define an appropriate Markov chain to determine the probability
distribution of the length of the match when the two teams are equally strong.
14. A company issues n different types of coupons. A collector desires a complete set. We suppose each
coupon he acquires is equally likes to be each of the coupons. How many coupons must he obtain so
that his collection contains all n types?
15. Let {Sn , n ≥ 0} be a simple random walk with S0 = 0. Show that Xn = |Sn | defines a Markov chain.
Find the transition probability.
16. A stochastic matrix P is called doubly stochastic if the column sum is 1 for all columns. Show that, if
P is doubly stochastic, so is P n for any n ≥ 0.
17. A tourist wants to visit capitals A, B, C, D. He travels first to one of them randomly. He then selects
one of the other three uniformly. In subsequent turns also he choses between the other three except
the visited capital due to his short memory. Develop a Markov chain model and find communicating
classes.
18. A person is flipping a coin repeatedly. Let Xn be the outcome of the two previous coin flips at time n,
for example the state might be HT to indicate that the last flip was T and the one before that was H.
Compute the transition probability for this chain and the two-step tranition probability matrix.

- BC-

Aug - Nov, 2020 IEOR@IIT Bombay