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Assignment 5
Random Processes, Markov Chains and Markov Proccesses

Random Process
Question 1. If ( ) cos sin = + U t X t Y t and ( ) cos sin = + V t Y t X t , where X and Y are
independent random variables such that
( ) ( ) 0; = = E X E Y
( ) ( )
2 2
1 = = E X E Y .
Show that {U(t)} and {V(t)} are individually stationary in the wide sense, but they
are not jointly wide sense stationary.
Question 2. Consider a random process ( ) ( ) ( ) cos sin = Z t X t Y t e e where X and
Y are independent Gaussian random variables with zero mean and variance
2
o .
Find E(Z) and E(Z
2
).
Question 3. If ( ) ( ) 5cos 10 = + X t t u and ( ) ( ) 20sin 10 = + Y t t u where u is a random
variable uniformly distributed in ( ) 0, 2t , prove that the process {X(t)} and {Y(t)}
are jointly wide-sense stationary.

Markov Chains and Markov Processes
Question 4. The transition probability matrix of a Markov chain {X
n
}, n=1,2,3
having three states 1, 2 and 3 is



with the initial distribution is
Find (i) and (ii)

Question 5. Consider a Markov chain with state space {0, 1, 2} and the transition
probability matrix


(i) Find P
2
and show that it is equal to P
4
.
(ii) Find
0.1 0.5 0.4
0.6 0.2 0.2
0.3 0.4 0.3
(
(
=
(
(

P
( )
( )
0
0.7, 0.2, 0.1 = p
( )
2
3 = P X ( )
3 2 1 0
2, 3, 3, 2 = = = = P X X X X
0 1 0
1 0
0 1 0
(
(
=
(
(

P p p
, 1 >
n
P n


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Question 6. A house wife buys three kinds of cereals: A, B, C. She never buys the
same cereal on successive weeks. If she buys cereal A, then the next week she
buys cereal B. However, if she buys B or C, then next week she is three times as
likely to buy A as the other brand. Find the transition matrix. In the long run, how
often she buys each of three brands?
Question 7. A salesmans territory consists of three cities. A, B, C. He never sells
in the same city on successive days. If he sells in city A, then the next day he
sells in city B. However, if he sells in either B or C, then the next day he is twice
as likely to sell in city A as in the other city. In the long run how often does he sell
in each of the cities?
Question 8. A fair die is tossed repeatedly. If X
n
denote the maximum of the
numbers occurring in the first n tosses, find the transition probability matrix P of
the Markov chain {X
n
}. Also find and .

Question 9. Three children (denoted by 1, 2, 3) arranged in a circle play a game
of throwing a ball to one another. At each stage the child having the ball is
equally likely to throw the ball to any one of the other two children. Suppose that
X
0
denotes the child who had the ball initially and denotes the child
who had the ball after n throws. Find P. Calculate



Question 10. A grocer stocks his store with three types of detergents A, B and C.
When brand A is sold out the probability is 0.7 that he stocks up with brand A
again. When he sells out brand B, the probability is 0.8 that he will stock up again
with brand B. Finally when he sells out brand C, the probability is 0.6 that he will
stock up with brand C again. When he switches to another detergent he does so
with equal probability for the remaining two brands. Find the transition matrix. In
the long run how does he stock up with detergents?
2
P
( )
2
6 = P X
( ) 1 >
n
X n
( )
2 0
1| 1 ; = = P X X
( )
2 0
2| 3 ; = = P X X ( )
3 0
3| 2 . = = P X X


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Question 11. The school of international studies for population found out by its
survey that the mobility of the population of a state to the village, town, city is in
the following percentage

From To
Village Town City
Village 50% 30% 20%
Town 10% 70% 20%
City 10% 40% 50%

What will be the proportion of population in village, town and city after two years,
given that the present population has proportion of 0.7, 0.2, 0.1 in the village,
town and city, respectively? What will be the respective proportions in the long
run?