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Ex8 14

This document contains a summary of exercises from a probability models course offered in August-December 2014 at the Department of Mathematics at the Indian Institute of Science. The exercises cover various topics related to Markov chains, including: (1) finding the probability distribution of a Yule process observed at a random time, (2) deriving and solving differential equations for a pure birth process, (3) determining the parameters of a birth-death process from an underlying Markov chain, and (4) analyzing queueing models and steady-state distributions for Markov chains.

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371 views2 pages

Ex8 14

This document contains a summary of exercises from a probability models course offered in August-December 2014 at the Department of Mathematics at the Indian Institute of Science. The exercises cover various topics related to Markov chains, including: (1) finding the probability distribution of a Yule process observed at a random time, (2) deriving and solving differential equations for a pure birth process, (3) determining the parameters of a birth-death process from an underlying Markov chain, and (4) analyzing queueing models and steady-state distributions for Markov chains.

Uploaded by

nagesha_basappa865
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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MA 261 : Probability Models

August - December 2014


Department of Mathematics, Indian Institute of Science
Exercises 8
15 November, 2014

1. Let X(t) be a Yule process with parameter that is observed at a random time
pk
U , where U is uniformly distributed over (0, 1]. Show that P (X(U ) = k) = k
for k = 1, 2, . . ., with p = 1 e .
2. Let N (t) be a pure birth process for which
P (an event happens in (t, t + h) | N (t) is odd) = h + o(h),
P (an event happens in (t, t + h) | N (t) is even) = h + o(h),
as h 0. Take N (0) = 0. Find the following probabilities:
P0 (t) = P (N (t) is even); P1 (t) = P (N (t) is odd).
[Hint: Derive the dierential equations
P0 (t) = P1 (t) P0 (t) and P1 (t) = P1 (t) + P0 (t),
and solve then using P0 (t) + P1 (t) = 1.]
3. Let n , n = 0, 1, . . . be a two state Markov chain with transition probability
matrix
[
]
0
1
.
1
Let {N (t); t 0} be a Poisson process with parameter . Show that X(t) =
N (t) , t 0, is a two state birth and death process and determine the parameters 0 and 1 in terms of and .
4. Let Yn , n = 0, 1, . . . , be a discrete time nite state Markov chain with transition probabilities P = [pij ], and let {N (t); t 0} be an independent Poisson
process with rate . Show that the process X(t) = YN (t) , t 0, is a continuous
time Markov chain and determine its innitesimal parameters.
5. Let X1 (t), X2 (t), . . . , XN (t) be independent two state Markov chains having
the same innitesimal matrix
[
]

Q=
.
1
Determine the innitesimal matrix for the Markov chain Z(t) = X1 (t) + . . . +
XN (t).
1

6. A facility of m identical machines is sharing a single repair-person. The time to


repair a failed machine is exponentially distributed with mean 1 . A machine,
once operational, fails after a time that is exponentially distributed with mean
1
. All failure and repair times are independent.
(a) Find the steady-state probability that there is no operational machine.
(b) Find the expected number of operational machines in steady-state.
7. An athletic facility has 5 tennis courts. Pairs of players arrive at the courts
according to a Poisson process with rate of one pair per 10 minutes, and use
a court for an exponentially distributed time with mean 40 minutes. Suppose
a pair of players arrive and nds all courts busy and k other pairs waiting in
queue. What is the expected waiting time to get a court?
8. Empty taxis pass by a street corner at a Poisson rate of two per minute and
pick up a passenger if one is waiting there. Passengers arrive at the street
corner at a Poisson rate of one per minute and wait for a taxi only if there are
less than four persons waiting; otherwise they leave and never return. Assume
that the process is in steady-state. A man arrives at the street corner at a
given time. Find his expected waiting time, given that he joins the queue.
9. There are m users who share a computer system. Each user alternates between thinking intervals whose durations are independent exponentially distributed with parameter , and an active mode that starts by submitting
a service request. The server can only serve one request at a time, and will
serve a request completely before serving other requests. The service times of
dierent requests are independent exponentially distributed random variables
with parameter , and also independent of the thinking times of the users.
Construct a Markov chain model and derive the steady-state distribution of
the number of pending requests, including the one presently served, if any.
10. Consider a continuous-time Markov chain in which the transition rates ii =
for all i = 1, 2, . . . , m. Assume that the process has a single recurrent class.
(a) Explain why the sequence Yn of transition times gives rise to a Poisson
process.
(b) Show that the steady-state probabilities of the Markov chain {Xt } are
the same as the steady state probabilities of the embedded Markov chain
{Xn }.

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