PSTAT 160A. Stochastic Processes. Autumn 2015.

Homework 7, due December 3

Homework 7, due December 3

Problem 1. Using the martingale inequality with p = 2 and > 0, find
the upper estimate for
P (max(S0 , . . . , Sn ) )
where S0 := 0, Sn := X1 + . . . + Xn , where X1 , X2 , . . . are i.i.d. random
variables which take values 1 and 1 with equal probability 1/2.
Problem 2. Consider the Markov chain

0.3 0 0.7
A= 1 0 0
0 0.2 0.8
Is it irreducible? aperiodic? Find its recurrent and transient states. Find the
stationary distribution.
Problem 3. For the branching process with geometric probability distribution of offsprings with parameter p, find the probability of extinction.
Problem 4. Consider the process on the set of integers which moves in
one step either up by 2 with probability 1/2, or stays at the same place
with probability 1/3, or moves down by 1 with probability 1/6. It moves
independently of the past. Suppose it starts at 0. Find the probability that
it hits the integer 2 or greater before it hits the integer 2.
Problem 5. Suppose there are N1 = 10000 safe houses in the city, each of
which can catch fire with probability p1 = 0.02% during the next year. Also,
there are N2 = 2000 not-so-safe houses, each of which can catch fire with
probability p2 = 0.1% next year. All houses catch fire independently. What
is the approximate probability that more than three houses will be on fire?
Problem 6. (Python) In this problem simulate N = 100 random variables
with the density function
f (x) =

2x
, x0
(1 + x2 )2

by (i) inverse transformation method (see Example 11.3) and also (ii) by
rejection method (see Example 11.4). Calculate the mean of by simulation.
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