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MTL 725 (Stochastic Processes & its Applications)

1. Suppose (N (t))t≥0 is a Poisson process with rate 3. Let Sn denote the time of the nth
arrival. Find (a) E[S12 ], (b) E[S12 |N (2) = 5] (c) E[N (5)|N (2) = 5].

2. Let (N (t))t≥0 be a Poisson process with rate λ. Find the probability that there are two
arrivals in (0, 2] and three arrivals in (1, 4].

3. Customers arrive at a shipping office at times of a Poisson process with rate 3 per hour.
(a) The office was supposed to open at 8 a.m. but the clerk Oscar overslept and came in
at 10 a.m. What is the probability that no customers came in the two hour period? (b)
What is the distribution of the amount of time Oscar has to wait until his first customer
arrives?

4. Let (N (t))t≥0 be a Poisson process with rate λ, and X1 be its first arrival time. Show that
given N (t) = 1, X1 is uniformly distributed in (0, t].

5. Given that N (t) = n, the conditional density function of n arrival times S1 , S2 , . . . Sn , is

given by
n!
f (s1 , s2 , . . . , sn | N (t) = n) = n , 0 < s1 < . . . < sn < t.
t
6. Suppose that the number of calls per hour to an answering service follows a Poisson process
with rate 4. (a) What is the probability that fewer (i.e., <) than 2 calls came in the first
hour? (b) Suppose that 6 calls arrive in the first hour, what is the probability there will
be < 2 in the second hour. (c) Suppose that the operator gets to take a break after she
has answered 10 calls. How long are her average work periods?

7. Traffic on Rosedale Road in Princeton, NJ, follows a Poisson process with rate 6 cars per
minute. A deer runs out of the woods and tries to cross the road. If there is a car passing in
the next five seconds, then there will be a collision. (a) Find the probability of a collision.
(b) What is the chance of a collision if the deer only needs two seconds to cross the road.

8. The number of hours between successive trains is T which is uniformly distributed between
1 and 2. Passengers arrive at the station according to a Poisson process with rate 24 per
hour. Let X denote the number of people who get on a train. Find (a) E[X], (b) var(X).

9. Calls to the Dryden fire department arrive according to a Poisson process with rate 0.5
per hour. Suppose that the time required to respond to a call, return to the station, and
get ready to respond to the next call is uniformly distributed between 1/2 and 1 hour. If
a new call comes before the Dryden fire department is ready to respond, the Ithaca fire
department is asked to respond. Suppose that the Dryden fire department is ready to
respond now. Find the probability distribution for the number of calls they will handle
before they have to ask for help from the Ithaca fire department.

10. Ellen catches fish at times of a Poisson process with rate 2 per hour. 40% of the fish are
salmon, while 60% of the fish are trout. What is the probability she will catch exactly 1
salmon and 2 trout if she fishes for 2.5 hours?

11. Trucks and cars on highway US 421 are Poisson processes with rate 40 and 100 per hour
respectively. 1/8 of the trucks and 1/10 of the cars get off on exit 257 to go to the Bojangle’s

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 in Yadkinville. (a) Find the probability that exactly 6 trucks arrive at Bojangle’s between
noon and 1PM. (b) Given that there were 6 truck arrivals at Bojangle’s between noon
and 1PM, what is the probability that exactly two arrived between 12:20 and 12:40? (c)
Suppose that all trucks have 1 passenger while 30% of the cars have 1 passenger, 50% have
2, and 20% have 4. Find the mean and standard deviation of the number of customers are
that arrive at Bojangles’ in one hour.

12. Traffic on Snyder Hill Road in Ithaca, NY, follows a Poisson process with rate 2/3’s of a
vehicle per minute. 10% of the vehicles are trucks, the other 90% are cars. (a) What is the
probability at least one truck passes in a hour? (b) Given that 10 trucks have passed by
in an hour, what is the expected number of vehicles that have passed by. (c) Given that
50 vehicles have passed by in a hour, what is the probability there were exactly 5 trucks
and 45 cars.

13. A store opens at 8 AM. From 8 until 10 customers arrive at a Poisson rate of four an
hour, and between 10 and 12, they arrive at a Poisson rate of eight an hour. From 12 to
2, the arrival rate increases steadily from eight per hour at 12 to twelve per hour at 2; and
from 2 to 5, the arrival rate drops steadily from twelve per hour at 2 to six per hour at 5.
Determine the probability distribution of the number of customers that enter the store on
a given day.

14. Siegbert runs a hot dog stand that opens at 8 A.M. From 8 until 11 A.M. customers seem
to arrive, on the average, at a steadily increasing rate that starts with an initial rate of
5 customers per hour at 8 A.M. and reaches a maximum of 20 customers per hour at
11 A.M. From 11 A.M. until 1 P.M. the average) rate seems to remain constant at 20
customers per hour. However, the (average) arrival rate then drops steadily from 1 P.M.
until closing time at 5 P.M. at which time it has the value of 12 customers per hour. If
we assume that the numbers of customers arriving at Siegbert’s stand during disjoint time
periods are independent, then what is a good probability model for the preceding? What
is the probability that no customers arrive between 8:30 A.M. and 9:30 A.M. on Monday
morning? What is the expected number of arrivals in this period?