STOCHASTIC MODELLING – WEEK 7 TUTORIAL

POISSON PROCESS

(1) (easy) The lifetime of a radio is an exponential random variable with mean 5 years. If you buy
a 7-year-old working radio, what is the probability that it still works 2 years later?
(2) (standard) Let {Nt , t ≥ 0} be a PP(3). Let Sn be the time of the nth arrival. Find
(a) ES9
(b) E(S9 |N2 = 5)
(c) E(N5 |N2 = 5)
(3) (standard) You catch fish as a Poisson process with rate 2 per hour. 40% of fish are salmon,
and 60% of fish are trout.
(a) What is the probability that you catch exactly 2 salmons and 3 trouts in the first three
hours?
(b) A salmon is too small with 20% probability, so you have to throw it back. Trouts are all
fine. What is the probability that you can keep at least one fish in the first half hour?
(4) (standard) Copy machine 1 is working now. Machine 2 will be switched on at time t. Suppose
that machine i fails at rate λi with an exponential waiting time. What is the probability that
machine 2 fails first?
(5) (easy) Cars are coming as a PP(6) per minute on a road through a forest. A single deer arrives
at the road and it takes the deer 5 seconds to cross it. If a car is there during that time then
there is a collision. How likely is a collision?
(6) (standard) A lightbulb has a lifetime which is exponential with mean 200 days. When it burns
out a janitor replaces it with an identical bulb immediately. In addition there is a handyman
who comes and replaces the bulb as a PP(0.01) measured in days, as ”preventive maintenance”.
(a) How often is the bulb replaced?
(b) In the long run what fraction of the replacements are due to failure?
(7) (hard) Suppose that we have an irreducable DTMC with one-step transition matrix P . You get
a reward of £c(i, j) each time the DTMC makes a transition from state i to state j. Calculate
the long run average reward you will get per each transition.