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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