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1200hw3

The document outlines Assignment #3 for APMA 1200, due on February 21, which includes problems related to random walks and Markov chains. Students are allowed to submit handwritten solutions and are encouraged to collaborate, but must write their own answers. The assignment consists of tasks involving the properties of random walks, calculating probabilities, and understanding Markov chains and their transition matrices.

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10 views

1200hw3

The document outlines Assignment #3 for APMA 1200, due on February 21, which includes problems related to random walks and Markov chains. Students are allowed to submit handwritten solutions and are encouraged to collaborate, but must write their own answers. The assignment consists of tasks involving the properties of random walks, calculating probabilities, and understanding Markov chains and their transition matrices.

Uploaded by

lisahuntchocoluv17
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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APMA 1200: Assignment #3 (Due Feb 21 Friday, 11:59pm)

Please submit your solutions through Gradescope. It is NOT required that


you type up your solution. Handwritten solutions are completely fine. You
are encouraged to work in groups or talk to TAs/me about the homework,
but it is your responsibility to write up your own solution.

1. Let S = { S0 , S1 , S2 , . . .} be a simple random walk starting at the ori-


gin. That is,
n
Sn = ∑ Yi , S0 = 0
i=1
where Y1 , Y2 , . . . are independent and identically distributed (iid) ran-
dom variables with
.
P(Yi = 1 ) = p, P(Yi = − 1 ) = q = 1 − p.
(a) Explain that Sn can only take values of the form 2k − n, where
k = 0, 1, 2, . . . , n. Furthermore,
 
n k n−k
P ( Sn = 2k − n ) = p q .
k
(b) Let T be the first time that the random walk reaches 1. That is,
T = min{ n ≥ 0 : Sn = 1 }. Compute P ( T = 1 ), P ( T = 3 ),
P ( T = 5 ), and P ( T is an even number).
2. Argue that for any Markov chain X = { Xn }, “the past is independent
of the future, given the present”, that is,
P( Xn+k = jk , . . . , Xn+1 = j1 , Xn−1 = in−1 , . . . , X0 = i0 | Xn = i)
= P( Xn+k = jk , . . . , Xn+1 = j1 | Xn = i)
· P( Xn−1 = in−1 , . . . , X0 = i0 | Xn = i)

3. Let X = { Xn } be a Markov chain with state space S and transition


probability matrix P = [ Pij ]. Let Y be a Markov chain with state
space W and transition probability matrix Q = [ Qkl ]. Furthermore,
assume that X and Y are independent. Then the two-dimensional
.
process Z = { Zn } with Zn = ( Xn , Yn ) is also a Markov chain (you do
not need to prove this, but at least try to understand it intuitively).
(a) Identify the state space of Z.
(b) Identify the transition probability matrix of Z.

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