DEPARTMENT OF MATHEMATICS

INDIAN INSTITUTE OF TECHNOLOGY GUWAHATI

MA225 Probability Theory and Random Processes July - November 2017
Problem Sheet 9 NS

1. You have 1000 rupees to put in a deposit account with interest rate R, compounded annually. That
is, if Xn is the value of the account at year n, then Xn = 1000(1 + R)n , for n = 0, 1, 2, . . . . The value
of R is a random variable that is determined when you put the money in the bank, but it does not not
change after that. In particular, assume that R ∼ U (0.04, 0.05). Find all possible sample functions
for the random process {Xn , n = 0, 1, 2, . . . }. And, find the expected value of your account at year
three, i.e., find E[X3 ].
Find the mean function and the autocovariance function of the random process {Xn , n ≥ 0}.

2. Verify: An independent process {Xt , t ∈ T } is a strictly stationary process. When will X be a Gaussian
process?

3. Consider the random process X = {X(t), t ∈ R} defined as X(t) = cos(t + U ), where U ∼ U (0, 2π).
Show that X is a weakly stationary process.

4. Verify: A covariance stationary process which is also a Gaussian process is a stictly stationary process.

5. For any k ∈ Z (i.e., k is any integer), define the function gk as gK (t) = 1, for k < t ≤ k + 1,
and zero otherwise. Now, consider the continuous time stochastic process {X(t), t ∈ R} defined
as X(t) = ∞
P
k=−∞ Ak gk (t), where . . . , A1 , A2 , . . . are IID random variables with E(Ak ) = 1 and
V ar(Ak ) = 1. Find the mean function and covariance function of the random process. Is the process
stationary in any sense?
Qn
6. Let {Yi , i ≥ 1} be a sequence of IID random variables with E(Yi ) = 1 for all i and let Xn = i=1 Yi .
Is {Xn } a martingale process?

7. (*** For your own practice: Consider various cases of Gambler’s ruin problem and Polya’s urn scheme
and discuss their martingale or submartingale or supermartingale property.)

8. Consider an experiment of throwing a die repeatedly. Let E denote the event of occurrence of 5 in any
trial. What would be the process of number of occurrences of the event E in m trials? What can you
say about the inter-occurrence period of the event E?

9. Verify: A process with independent increments is covariance stationary.

10. For what values of a and b is aW1 (t) + bW2 (t) a (standard) Wiener process, where W1 (t) and W2 (t)
are independent (standard) Brownian motions?