Hw4 - ORIE 361/523 : Introduction to Stochastic Processes...

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ORIE 361/523 : Introduction to Stochastic Processes Summer2007 Problem Set 4 Due in one week, on July 27 in class . 1. (10 points, page 266, problem 20) A transition matrix P is said to be doubly stochastic if the sum over each column equals one; that is, X i P ij = 1 , for all j . If such a chain is irreducible and aperiodic and consists of M + 1 states 0 , 1 ,...,M , show that the limiting probabilities are given by π j = 1 M + 1 , j = 0 , 1 ,...,M 2. (10 points) In unprofitable times, corporations sometimes suspend dividend payments. Sup- pose that after a dividend has been paid, the next one will be paid with probability 0.9, while after a dividend is suspended the next one will be suspended with probability 0.6. In the long run, what is the fraction of dividends that will be paid? 3. (15 points) Harry and the comely young lady. Harry, the famous restaurateur, has his eye on a comely young lady whom he originally spotted at a high cholesterol cooking course. However, during the course Harry never had the courage to introduce himself as a famous
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Hw4 - ORIE 361/523 : Introduction to Stochastic Processes...

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