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AP4

The document contains example problems related to renewal theory and spatial Poisson processes for an applied probability course. It includes scenarios involving cinema movie changes, car lifetimes, barber service times, and bear arrivals modeled as Poisson processes. Additionally, it discusses the Campbell-Hardy theorem and properties of Poisson processes on different geometrical surfaces.

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28 views

AP4

The document contains example problems related to renewal theory and spatial Poisson processes for an applied probability course. It includes scenarios involving cinema movie changes, car lifetimes, barber service times, and bear arrivals modeled as Poisson processes. Additionally, it discusses the Campbell-Hardy theorem and properties of Poisson processes on different geometrical surfaces.

Uploaded by

derekdereklch
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Applied probability, Lent 2025 ss2871@cam.ac.

uk

Example Sheet 4

Renewal theory and applications.


1. A cinema in Camford shows one movie at a time, which is changed after a time uniformly
distributed in [0, 3] (months). Purchasing the rights to a new movie costs £10,000. How much
have they spent after 5 years?
Suppose that a given customer goes to the movies at rate once every two months, but only
walks into the cinema if the movie is less than one month old. In 5 years, how many movies has
she seen? What if the time to change a movie is exponentially distributed with mean 1.5 months?
2. Suppose that the lifetime of a car is a random variable with density function f . Mr. Smith
buys a new car as soon as the old one breaks down or reaches T years. A new car costs £c, while
an additional £a is incurred if the car breaks down before T . In the long-run, how much does Mr.
Smith spend on his cars per unit time?
3. Let (Xt )t≥0 be a renewal process with interarrival times having the Gamma (2, λ) distribution.
Determine the limiting excess distribution. Determine also the expected number of renewals up
to time t.
4. A barber takes an exponentially distributed amount of time, with mean 20 minutes, to complete
a haircut. Customers arrive at rate 2 per hour, but leave if both chairs in the waiting room are
full. Make a Markov chain model on the state space {0, 1, 2, 3}. Then using Little’s formula, find
the average waiting time in the system (including his service time) of a customer.

Spatial Poisson processes.


5. In a certain town at time t = 0 there are no bears. Brown bears and grizzly bears arrive as
independent Poisson processes B and G with respective intensities β and γ.
(a) Show that the first bear is brown with probability β/(β + γ).
(b) Find the probability that between two consecutive brown bears, there arrive exactly r grizzly
bears.

(c) Given that B(1) = 1, find the expected value of the time at which the first bear arrived.

6. Campbell–Hardy theorem. LetPΠ be the points of a non-homogeneous Poisson process on


Rd with intensity function λ. Let S = x∈Π g(x) where g is a smooth function which
R we assume for
convenience to be non-negative. Show that E(S) = Rd g(u)λ(u) du and var(S) = Rd g(u)2 λ(u) du,
R

provided these integrals converge.


7. Let Π be a Poisson process with constant intensity λ on the surface of the sphere of R3 with
radius 1. Let P be the process given by the (X, Y ) coordinates of the points projected on a plane
passing through the centre of the sphere. Show that P is a Poisson process, and find its intensity
function.
8. Repeat the previous exercise, when Π is a homogeneous Poisson process on the ball {(x1 , x2 , x3 ) :
x21 + x22 + x23 ≤ 1}.

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