Applied probability, Lent 2025.

EP.to
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Example Sheet 1

1. Arrivals of the Number 1 bus form a Poisson process of rate 1 bus per hour, and arrivals
of the Number 7 bus form an independent Poisson process of rate 7 buses per hour.
(a) What is the probability that exactly 5 buses pass by in 1 hour?
(b) What is the probability that exactly 3 Number 7 buses pass by while I am waiting for
a Number 1?
(c) When the maintenance depot goes on strike half the buses break down before they
reach my stop. What then is the probability that I wait for 30 minutes without seeing a single
bus?
2. Let T1 , T2 , . . . be independent
!n exponential random variables of parameter ω. Show that,
for all n → 1, the sum S = i=1 Ti has the probability density function

ωn xn→1 →ωx

MGF
fS (x) = e , x > 0.
(n ↑ 1)!

This is called the Gamma (n, ω) distribution.

Let N be an independent geometric random variable with

P(N = n) = ε(1 ↑ ε)n→1 , n = 1, 2, . . . .

!
Show that T = N i=1 Ti has exponential distribution of parameter ωε. Deduce another proof
of the thinning property of Poisson processes.
3. Customers arrive in a supermarket as a Poisson-process of rate N . There are N aisles
in the supermarket and each customer selects one of them at random, independently of the
other customers. Let XtN denote the proportion of aisles which remain empty at time t and
let T N denote the time until half the aisles are busy (have at least one customer). Show that

XtN ↓ e→t , T N ↓ log 2

in probability as N ↓ ↔.
4. A pedestrian wishes to cross a single lane of fast-moving tra!c. Suppose the number of
vehicles that have passed by time t is a Poisson process of rate ω, and suppose it takes time
a to walk across the lane. Assuming the pedestrian can foresee correctly the times at which
vehicles will pass by, how long on average does it take to cross over safely?
Hint: Let T be the time to cross and J1 the time at which the first car passes. Identify
the contributions to E T from the events {J1 > a} and {J1 < a}.
How long on average does it take to cross two similar lanes (a) when one must walk
straight across, (b) when an island in the middle of the road makes it safe to stop half way?
(Assume the tra!c is independent in each direction and has same rate ω).
5. Customers enter a supermarket as a Poisson process of rate 2. There are two salesmen
near the door who o”er passing customers samples of a new product. Each customer takes
an exponential time of parameter 1 to think about the new product, and during this time
occupies the full attention of one salesman. Having tried the product, customers proceed

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straight in. Assuming that both salesmen are free at time 0, find the probability that both
are busy at a later time t.

6. (a) Let (Nt , t → 0) be a Poisson process with rate ω > 0 and let (Xi )i↑0 be a sequence of
i.i.d. random variables, independent of N . Show that if g(s, x) is a function and Tj are the
jump times of N then
Nt
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E[exp{ϑ g(Tj , Xj )}] = exp{ω (E(eεg(s,X) ) ↑ 1)ds}.
j=1 0

This is called Campbell’s theorem.

(b) Cars arrive at the beginning of a long road in a Poisson stream of rate ω from time
t = 0 onwards. A car has a fixed velocity V miles per hour, where V > 0 is a random
variable. The velocities of cars are independent and identically distributed, and independent
of the arrival process. Cars can overtake each other freely. Show that the number of cars on
the first x miles of the road at time t has a Poisson distribution with mean ωE[min{t, x/V }].

7. A bi-infinite Poisson process (Nt : t ↗ R) with N0 = 0 is a process with independent and

stationary increments over R. Moreover, for all ↑↔ < s ↘ t < ↔, the increment Nt ↑ Ns has
the Poisson distribution with parameter ω(t ↑ s). Prove that such a process exists.
8. For a simple birth process (Xt ) of parameter ω starting with one individual, find E(Xt ).
9. Each bacterium in a colony splits into two identical bacteria after an exponential time of
parameter ω, which then split in the same way but independently. Let Xt denote the size
of the colony at time t, and suppose X0 = 1. Show that the probability generating function
ϖ(t) = E(z Xt ) satisfies
# t
→ωt
ϖ(t) = ze + ωe→ωs ϖ(t ↑ s)2 ds
0

and deduce that, for q = 1 ↑ e→ωt , and n = 1, 2, . . .,

P(Xt = n) = q n→1 (1 ↑ q) .

!
10. Let (qk )k↑1 be a sequence of positive numbers such that q = k qk < ↔. Let (Ek )k↑1
be a sequence of independent exponential random variables where the rate (i.e., parameter)
of Ek is qk . Let E = inf{Ek } and let K = arg min{Ek }, with K = ↔ if the inf is not attained.
Compute P(K = k, E > t) for all t > 0 and k → 1, and hence identify the joint distribution
of K and E.
Let Q be a Q-matrix on a countable state space S. After recalling the first two construc-
tions of a Markov chain based on the holding times and jump chain, deduce from the above
that the two constructions are equivalent.
11. Let Q be a Q-matrix on a finite state space S, and let f (t) = det P (t) where P (t) is
the associated transition matrix. Show that f (t + s) = f (t)f (s). Deduce that f (t) is of the
form etq , and identify q by taking t ↓ 0.

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Let ϖ(t) = Ex (f (Xt )), where (Xt , t → 0) is the Markov chain with Q-matrix given by Q.
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