Beruflich Dokumente
Kultur Dokumente
Spring 2016
Problem Set 6
Due Date: 4/20
1. Problem 1
(a) Differentiation with respect to t would suggest that the m.s. derivative of X is given by
Xt0 = B + 2Ct. Direct verification:
"
2 #
Xt+h Xt
lim E
(B + 2Ct)
= lim E[h2 C 2 ] = 0
h0
h0
h
(b)
R1
0
1
Xs ds 1 = Q
2. Problem 2
(a) Yes. Let n 1 and t1 < < tn < tn+1 . Note that Ytn+1 = (1)D Ytn where D =
Ntn+1 Ntn . (We write D for brevity, even though it depends on tn and tn+1 ). The
distribution of D is Poisson with mean , where = tn+1 tn . The vector (Yt1 , . . . , Ytn )
is determined by (Nt : 0 t tn ), and is thus independent of D by the independent
increment property of Poisson processes. To summarize, if tn is viewed as the present
time, the future value Ytn+1 is a function of the present value Ytn , and D, which is
independent of the past and has a distribution depending on (tn , tn+1 ) only through the
difference . Thus, Y is a time-homogeneous Markov process.
One way to identify the transition rate matrix Q and the transition probabilities is to
directly find the transition probabilities, as follows. For i, j {1, 1},
i
D
D
P Ytn+1 = j|Ytn = i = P (1) Ytn = j|Ytn = i = P (1) =
j
Since
X
e
( )2k
P (1) = 1 =
(2k)!
D
=
=
=
k=0
e
2
e
X
( )m + ( )m
m!
m=0
e + e
2
1 + e2
,
2
1 + e2
, i=j
2
pij ( ) =
2
1e
, i=
6 j
2
The transition rates are given by qij =
p0ij (0),
yielding Q =
.
2(1e2 )
,
2
1
T
1+e2
2
1
e2T 1
+
,
T
22 T 2
RT
0
3. Problem 3
(a) Since An A, the corollary in Section 2.12 of the notes implies that E[AAn ] E[A2 ]
and E[A2n ] E[A2 ]. Since A and the An are jointly Gaussian, the hint and the statement
just proved imply that:
E[A4 ] = 3E[A2 ]2
E[A4n ] = 3E[A2n ]2 3E[A2 ]2
E[A2n A2 ] = 2E[AAn ]2 + E[A2 ]E[A2n ] 3E[A2 ]2
Therefore E[(A2n A2 )2 ] = E[A4n ] 2E[A2n A2 ] + E[A4 ] 0.
m.s.
m.s.
m.s.
(b) By the assumptions and part (a), A2n A2 and Bn2 B 2 . Furthermore, An + Bn
m.s.
m.s.
A + B and thus (An + Bn )2 (A + B)2 . Then, (An + Bn )2 A2n Bn2 (A + B)2
A2 B 2 , which is equivalent to what is to be proved.
(c) Fix any t. Then for h 6= 0, t+hh t = t+hh t (Xt+h +Xt ) = Ah Bh , where Ah Xt0 m.s.
Y
Y
and Bh 2Xt m.s. as h 0. Therefore, by part (b), t+hh t = Ah Bh 2Xt0 Xt m.s.
That is, if X is mean zero, Gaussian and m.s. differentiable, then X 2 is also m.s. differentiable, and, just as for deterministic functions, (X 2 )0 = 2XX 0 .
4. Problem 4
(a) A stationary Markov chain is also time homogeneous. Hence, the state transition matrix
from t to t + , 0, denoted by H( ), can be obtained by solving
H( )
= H( )Q,
and we have
e2 + 1
2
H( ) =
1 e2
2
1 e2
e2 + 1
2
Then,
RX ( ) = E[Xt+ Xt ]
= E[Xt+ |Xt = 1]P (Xt = 1) E[Xt+ |Xt = 1]P (Xt = 1)
= e2
Hence, the correlation function for general R is RX ( ) = e2| | .
(b) For any 0, RX ( ) is continuous over R. Hence, X is m.s. continuous (Proposition
7.7 on textbook).
0 ( ) = R00 ( ) = 0, for all R. Then, R ( ), R0 ( ), R00 ( ) exist and
(c) When = 0, RX
X
X
X
X
are continuous in . Hence, X is m.s. continuously differentiable (Proposition 7.10 on
0 does not exist at = 0. Hence, X is not m.s. continuously
textbook). When > 0, RX
differentiable.
(d) When > 0, lim RX ( ) = 0, by Proposition 7.18, X is mean ergodic in the m.s.
sense. When = 0, CX ( ) = RX ( ) = 1 (since the Markov chain has zero mean). Then,
lim CX ( ) = 1 6= 0. Hence, X is not mean ergodic in the m.s. sense.
5. Problem 5
(a)
Z
RX (s, t) = E
Zu e
du
Z
0
=
0
Zv e
dv
sZ t
=
Z
0
st
2 euv (u v)dudv
2 e2v dv =
2
(1 e2(st) )
2
(b) No. If the ratio t+hh t converged in the m.s. sense as h 0, its mean square value
2 R t+h
X
X
would converge to a finite number. But E[( t+hh t )2 ] = h2 t e2u du , so the
answer is no.
(c) Yes. Observe from part (a) that lims,t RX (s, t) exists and is finite. Thus, the Cauchy
criterion for m.s. convergence (Proposition 2.11) holds.
6. Problem 6
(a) The sample paths of Y are piecewise linear. The initial slope is zero, and the slope of Y
increases by one at each jump of N .
(b)
Z
E[Yt ] =
Z
E[Ns ]ds =
sds =
0
t2
2
Z
ududv =
v 2 dv =
t3
3
t
t
2 ) exp( 2 )
7. Problem 7
(a) The solution to the differential equation is
Z t
e(th) N (u)du
Xt = et x0 +
0
2 st
e
est
2
CX (s, t) =
(b) Let r < s < t. It must be checked that
2 | |
,
2 e
2 | |
e
.
2
and RX (t + , t) = CX (t + , t) +
8. Problem 8
2
X 0 (t) =
d
X = 0,
dt
00
RX 0 ( ) = RX
( ) = (1 2 )e
2 /2
RT
0
Xt dt = X m.s.
0
Xt dt 0)2 ], we have
"
2 #
Z
1 T
E
Xt dt
T 0
Z T
Z T
1
=
E
Xt dt
Xs ds
T2
0
0
Z TZ T
1
=
RX (s, t)dsdt
T2 0 0
Z TZ T
(st)2
1
2
=
e
dsdt
T2 0 0
we have
1
T2
e
0
(st)2
1
e 2 ds = 1,
2
(st)2
2
1
dsdt 2
T
Z
0
2
2dt =
,
T
6
2
Var(Xt0 ) = RX 0 (0) = 1,
0
Cov(Xt , Xt0 ) = RX 0 X (0) = RX
(0) = 0.
Thus, for fixed t, Xt and Xt0 are independent N (0, 1) random variables.
0 ( ) = e
(d) RX 0 X ( ) = RX
2 /2