MIE 1605 - Stochastic Processes

Homework # 1
Due September 19, 09:00AM

Solve the following problems. You may only work individually. You must cite any references (texts, papers or
websites) you have used to help you solve these problems.

1. Suppose that A1 , A2 , . . . are events with A1 A2 A3 . . .. Using the basic properties of probability
measures show that
lim P(An ) = P(
n=1 An )
n

2. You play a game with two dice. If you roll at most 5 (i.e. the sum of the two numbers is 2,3,4, or 5) then
you win, if you roll 7 or 10 then you lose, otherwise you have to roll again.

(a) What is the probability that the game ends after exactly four rolls?

(b) What is the expected length of the game?

(c) What is the probability that you will win?

3. You choose five cards randomly (and uniformly) out of a deck of 52. What is the expected number of aces?

4. You roll two dice. What is the probability that the first die lands on a higher value than the second?

5. Assume that in a randomly chosen family with three children, the genders of the children are independent
of each other and can be girl or boy with probability 0.5.

(a) What is the probability that all the children in the family are girls given that the oldest child is a girl?

(b) What is the probability that all the children in the family are girls given that at least one of them is a
girl?

6. Let X be an exponentially distributed random variable with parameter 1. Find a real number a < 1 so that
the events {X [0, 1]} and {X [a, 2]} are independent.

7. Evaluate the following infinite series:

i
2k
n2 3n
3i , k! , .
i=0 k=0 n=0 n!

8. Let p (0, 1) and let X be a random variable with probability mass function P(X = k) = (1 p)k1 p for
k 1. Show that P(X = n + k|X > n) = P(X = k).

9. Let X and Y be independent random variables with E[X] = E[Y ] = and Var(X) = Var(Y ) = 2 . Express
Var(XY ) in terms of and .