Asc486 2
Asc486 2
Asc486 2
CS/JAN 2013/ASC486
COURSE
COURSE CODE
ASC486
EXAMINATION
JANUARY 2013
TIME
3 HOURS
INSTRUCTIONS TO CANDIDATES
1.
2.
Answer ALL questions in the Answer Booklet. Start each answer on a new page.
3.
Do not bring any material into the examination room unless permission is given by the
invigilator.
4.
Please check to make sure that this examination pack consists of:
)
)
)
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CS/JAN 2013/ASC486
QUESTION 1
a)
A restaurant receives table reservations throughout the day, beginning at 9am. Each
reservation is for a table for one, with probability 0.1, a table for two, with probability
0.3, a table for three or four, with probability 0.3, a table for five or more, with
probability 0.3, independently of its arrival time. Assuming that the reservations
follow Poisson process with rate 3 per hour, find the probabilities that:
i)
ii)
iii)
b)
Let {x{t),t > 0 } b e a Poisson process having rate parameter A = 4 . Determine the
following expectations:
m2
i)
ii)
iii)
E X(1)X(2)]
N)} ]
(6 marks)
QUESTION 2
A Markov chain {Xn} has the following transition probability matrix:
0
P =
a)
Compute P{XQ=0,X]=\,X2=2}andiP{xi=l,X2=\\X0=o}}
If it is known that the process starts in state 1, determine P{X0 =\,XX = 0,X2 = 2}
andP{X2 =2}.
(5 marks)
c)
What is the probability that the Markov chain is absorbed in state 3 if it starts in state
0? Also, compute the mean time to absorption.
(8 marks)
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d)
CS/JAN 2013/ASC486
Based on the results for c) explain in detail the probability of the Markov chain and
mean time to absorption.
(2 marks)
QUESTION 3
a)
Son's Class
L
0.4 0.5
P = Father's Class M 0.05 0.7
U 0.05 0.5
U
0.1
0.25
0.45
where
State L: Lower
State M: Middle
State U: Upper
Find the long run fraction of the population in each class.
(10 marks)
b)
Early arrival;
On-time arrival;
Late arrival.
Suppose that the successive states form a Markov chain with transition probability
matrix
1 0.5 0.4
0.1
P = 2 0.2 0.5
0.3
3 0.1 0.2
0.7
Over a long period of time, what fraction of stops can be expected to be late?
(10 marks)
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CS/JAN 2013/ASC486
QUESTION 4
a)
Define
i)
ii)
Stochastic process
Markov chain
(4 marks)
b)
c)
List all the criteria or assumptions of Markov chain transition probability matrix.
(8 marks)
QUESTION 5
a)
be a Brownian
(6 marks)
b)
Suppose you invest RM1000 in a stock. Assuming that stock price can be modeled
using Geometric Brownian motion (GBM) with average daily return of 0.05% and
standard deviation of 1.02%.Find the probability that you
i)
ii)
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CS/JAN 2013/ASC486
APPENDIX 1
z
0.0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1.0
1.1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
1.9
2.0
2.1
2.2
2.3
2.4
2.5
2.6
2.7
2.8
2.9
3.0
0.00
0.5000
0.4602
0.4207
0.3821
0.3446
0.3085
0.2743
0.2420
0.2119
0.1841
0.1587
0.1357
0.1151
0.0968
0.0808
0.0668
0.0548
0.0446
0.0359
0.0287
0.0228
0.0179
0.0139
0.0107
0.0082
0.0062
0.0047
0.0035
0.0026
0.0019
0.0013
0.01
0.4960
0.4562
0.4168
0.3783
0.3409
0.3050
0.2709
0.2389
0.2090
0.1814
0.1562
0.1335
0.1131
0.0951
0.0793
0.0655
0.0537
0.0436
0.0351
0.0281
0.0222
0.0174
0.0136
0.0104
0.0080
0.0060
0.0045
0.0034
0.0025
0.0018
0.0013
0.02
0.4920
0.4522
0.4129
0.3745
0.3372
0.3015
0.2676
0.2358
0.2061
0.1788
0.1539
0.1314
0.1112
0.0934
0.0778
0.0643
0.0526
0.0427
0.0344
0.0274
0.0217
0.0170
0.0132
0.0102
0.0078
0.0059
0.0044
0.0033
0.0024
0.0018
0.0013
0.03
0.4880
0.4483
0.4090
0.3707
0.3336
0.2981
0.2643
0.2327
0.2033
0.1762
0.1515
0.1292
0.1093
0.0918
0.0764
0.0630
0.0516
0.0418
0.0336
0.0268
0.0212
0.0166
0.0129
0.0099
0.0075
0.0057
0.0043
0.0032
0.0023
0.0017
0.0012
0.04
0.4840
0.4443
0.4052
0.3669
0.3300
0.2946
0.2611
0.2296
0.2005
0.1736
0.1492
0.1271
0.1075
0.0901
0.0749
0.0618
0.0505
0.0409
0.0329
0.0262
0.0207
0.0162
0.0125
0.0096
0.0073
0.0055
0.0041
0.0031
0.0023
0.0016
0.0012
0.05
0.4801
0.4404
0.4013
0.3632
0.3264
0.2912
0.2578
0.2266
0.1977
0.1711
0.1469
0.1251
0.1056
0.0885
0.0735
0.0606
0.0495
0.0401
0.0322
0.0256
0.0202
0.0158
0.0122
0.0094
0.0071
0.0054
0.0040
0.0030
0.0022
0.0016
0.0011
0.06
0.4761
0.4364
0.3974
0.3594
0.3228
0.2877
0.2546
0.2236
0.1949
0.1685
0.1446
0.1230
0.1038
0.0869
0.0721
0.0594
0.0485
0.0392
0.0314
0.0250
0.0197
0.0154
0.0119
0.0091
0.0069
0.0052
0.0039
0.0029
0.0021
0.0015
0.0011
0.07
0.4721
0.4325
0.3936
0.3557
0.3192
0.2843
0.2514
0.2206
0.1922
0.1660
0.1423
0.1210
0.1020
0.0853
0.0708
0.0582
0.0475
0.0384
0.0307
0.0244
0.0192
0.0150
0.0116
0.0089
0.0068
0.0051
0.0038
0.0028
0.0021
0.0015
0.0011
0.08
0.4681
0.4286
0.3897
0.3520
0.3156
0.2810
0.2483
0.2177
0.1894
0.1635
0.1401
0.1190
0.1003
0.0838
0.0694
0.0571
0.0465
0.0375
0.0301
0.0239
0.0188
0.0146
0.0113
0.0087
0.0066
0.0049
0.0037
0.0027
0.0020
0.0014
0.0010
0.09
0.4641
0.4247
0.3859
0.3483
0.3121
0.2776
0.2451
0.2148
0.1867
0.1611
0.1379
0.1170
0.0985
0.0823
0.0681
0.0559
0.0455
0.0367
0.0294
0.0233
0.0183
0.0143
0.0110
0.0084
0.0064
0.0048
0.0036
0.0026
0.0019
0.0014
0.0010
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