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24 views3 pages

Sma 460

Uploaded by

ivyckutswa
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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MACHAKOS UNIVERSITY

University Examinations 2018/2019

SCHOOL OF PURE AND APPLIED SCIENCES

DEPARTMENT OF MATHEMATICS, STATISTICS AND ACTUARIAL SCENCE

THIRD YEARSPECIAL/SUPPLEMENTARY EXAMINATION FOR

BACHELOR OF SCIENCE IN MATHEMATICS AND COMPUTER SCIENCE


BACHELOR OF SCIENCE IN STATISTICS AND PROGRAMMING
BACHELOR OF SCIENCE IN MATHEMATICS
BACHELOR OF ECONOMICS AND STATISTICS
BACHELOR OF EDUCATION
BACHELOR OF ARTS
SMA 460: STOCHASTIC PROCESSES
DATE: 26/7/2019 TIME: 8:30 – 10:30 AM

INSTRUCTIONS: Answer question ONE and any other TWO questions.


QUESTION ONE (COMPULSORY) (30 MARKS)
a) Given the difference, differential equations for a pure birth process is:

Pn (t ) = −λ n Pn (t ) + λ n −1 Pn −1 (t ) , n ≥ 1
'

and
P0 (t ) = − λ0 P0 (t ) , n=0
'

Write down the difference differential equations when:

i. λ n = nλ (2 marks)
 1 + an 
ii. λn = λ  (2 marks)
1 + λ at 
b) Define the following terms as used in Markov chains:
i. Persistent state.
ii. Transient state
iii. Ergodic markov chain (6 marks)

Examination Irregularity is punishable by expulsion Page 1 of 3


c) Let X have the distribution of the geometric form given by
Pk = Pr{ X = k } = q k p , k = 0,1, 2, ... and q = 1 − p
i. Find the probability generating function of X. (3 marks)
ii. Hence determine the mean and the variance of X. (5 marks)

d) Let X and Y be two independent random variables with probability generating functions
(P.g.f) PX ( s ) and PY ( s) respectively. Find the p.g.f of the random variable Z = X − Y

(4 marks)
e) A markov chain whose states are has the following transition probability matrix. Classify the
states.
 1 1
0 2 2
1 1
P= 0  (8 marks)
2 2
1 1
0
 2 2 

QUESTION TWO
a) Given the difference, differential equations for a Poisson process are:
Pn (t ) = −λPn (t ) + λPn −1 (t ) , n ≥ 1
'

and
P0 (t ) = − λP0 (t ) , n=0
'

Use Feller’s method to determine the mean and variance of this process, given the initial
conditions are Pn (0) = 1 for n = 0 and zero otherwise. (11 marks)

b) Consider the two state Markov chain:

1 − a a 
P=  , 0 < a,b < 1
 b 1 − b
Obtain the stationary distribution. (9 marks)

QUESTION THREE
a) Define the following terms :
i. Stochastic matrix. (2 marks)
ii. An irreducible markov chain (3 marks)

b) Classify the states of the following Markov chain.


0 0 0 1
0 0 
0 1
P = 1 1 (15 marks)
 0 0
2 2 
 0 0 1 0

Examination Irregularity is punishable by expulsion Page 2 of 3


QUESTION FOUR
a) Consider the difference, differential equations of the Yule-furry process i.e:
Pn (t ) = − nλPn (t ) + (n − 1)λPn −1 (t ) , n ≥ 1
'

and
P0 (t ) = 0 , n=0
'

Given the initial conditions are Pn (0) = 1 when n = 1 and zero otherwise.
Show by the generating function method, that the solution of the equation is given by
Pn (t ) = e − λt (1 − e − λt ) n −1 , n ≥ 1 (14 marks)

b) Using probability generating function of the distribution in (a) show that the mean and
variance are e λt and e λt (e λt − 1) respectively. (6 marks)

QUESTION FIVE

a) Let { X n : n = 1, 2, 3, ....} be a stochastic process with probability distribution given by


p q k −1 , k =1, 2, 3, ... and q = 1 − p
Pr{ X n = k} =
0 , otherwise
Find the probability generating function of { X n } .Hence obtain the mean and the variance of
the process. (8 marks)

b) The joint distribution of two random variables X and Y is given by


p 2 q j + k , j , k = 0,1, 2, 3, ... and q = 1 − p
Pjk = Pr{ X = j , Y = k } =
0 , otherwise

Obtain
i. the bivariate probability generating function of X and Y. (3 marks)

ii. the Covariance of X and Y. (9 marks)

Examination Irregularity is punishable by expulsion Page 3 of 3

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