Solution Manual for Stochastic Processes with R: An Introduction, 1st Edition by Olga Korosteleva | Complete Solutions and Explanations

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SOLUTIONS MANUAL

, TABLE OF CONTENTS
CHAPTER 1 ……………………………………………………………………………………. 3
CHAPTER 2 ……………………………………………………………………………………. 31
CHAPTER 3 ……………………………………………………………………………………. 41
CHAPTER 4 ……………………………………………………………………………………. 48
CHAPTER 5 ……………………………………………………………………………………. 60
CHAPTER 6 ……………………………………………………………………………………. 67
CHAPTER 7 ……………………………………………………………………………………. 74
CHAPTER 8 ……………………………………………………………………………………. 81
CHAPTER 9 ……………………………………………………………………………………. 87




2

, CHAPTER 1
0.3 0.4 0.3
EXERCISE 1.1. For a Markov chain with a one-step transition probability matrix � 0.2 0.3 0.5 �
0.8 0.1 0.1
we compute:

(a) 𝑃𝑃(𝑋𝑋3 = 2 |𝑋𝑋0 = 1, 𝑋𝑋1 = 2, 𝑋𝑋2 = 3) = 𝑃𝑃(𝑋𝑋3 = 2 | 𝑋𝑋2 = 3) (by the Markov property)
= 𝑃𝑃32 = 0.1.
(b) 𝑃𝑃(𝑋𝑋4 = 3 |𝑋𝑋0 = 2, 𝑋𝑋3 = 1) = 𝑃𝑃(𝑋𝑋4 = 3 | 𝑋𝑋3 = 1) (by the Markov property)
= 𝑃𝑃13 = 0.3.
(c) 𝑃𝑃(𝑋𝑋0 = 1, 𝑋𝑋1 = 2, 𝑋𝑋2 = 3, 𝑋𝑋3 = 1) = 𝑃𝑃(𝑋𝑋3 = 1 | 𝑋𝑋0 = 1, 𝑋𝑋1 = 2, 𝑋𝑋2 = 3) 𝑃𝑃(𝑋𝑋2 = 3 |𝑋𝑋0 = 1,
𝑋𝑋1 = 2) 𝑃𝑃(𝑋𝑋1 = 2 | 𝑋𝑋0 = 1) 𝑃𝑃(𝑋𝑋0 = 1) (by conditioning)
= 𝑃𝑃(𝑋𝑋3 = 1 | 𝑋𝑋2 = 3) 𝑃𝑃(𝑋𝑋2 = 3 | 𝑋𝑋1 = 2) 𝑃𝑃(𝑋𝑋1 = 2 | 𝑋𝑋0 = 1) 𝑃𝑃(𝑋𝑋0 = 1) (by the Markov property)

= 𝑃𝑃31 𝑃𝑃23 𝑃𝑃12 𝑃𝑃(𝑋𝑋0 = 1) = (0.8)(0.5)(0.4)(1) = 0.16.
(d) We first compute the two-step transition probability matrix. We obtain

0.3 0.4 0.3 0.3 0.4 0.3 0.41 0.27 0.32
𝐏𝐏(2) = � 0.2 0.3 0.5 � � 0.2 0.3 0.5 � = � 0.52 0.22 0.26�.
Now we write 0.8 0.1 0.1 0.8 0.1 0.1 0.34 0.36 0.30
𝑃𝑃(𝑋𝑋0 = 1, 𝑋𝑋1 = 2, 𝑋𝑋3 = 3, 𝑋𝑋5 = 1) = 𝑃𝑃(𝑋𝑋5 = 1 | 𝑋𝑋0 = 1, 𝑋𝑋1 = 2, 𝑋𝑋3 = 3) 𝑃𝑃(𝑋𝑋3 = 3 |𝑋𝑋0 = 1,
𝑋𝑋1 = 2) 𝑃𝑃(𝑋𝑋1 = 2 | 𝑋𝑋0 = 1) 𝑃𝑃(𝑋𝑋0 = 1) (by conditioning)
= 𝑃𝑃(𝑋𝑋5 = 1 | 𝑋𝑋3 = 3) 𝑃𝑃(𝑋𝑋3 = 3 | 𝑋𝑋1 = 2) 𝑃𝑃(𝑋𝑋1 = 2 | 𝑋𝑋0 = 1) 𝑃𝑃(𝑋𝑋0 = 1) (by the Markov property)
(2) (2) 𝑃𝑃(𝑋𝑋 = 1) = (0.34)(0.26)(0.4)(1) = 0.03536.
𝑃𝑃

= 𝑃𝑃31 𝑃𝑃23 12 0

EXERCISE 1.2. (a) We plot a diagram of the Markov chain.

#specifying transition probability matrix
tm<- matrix(c(1, 0, 0, 0, 0, 0.5, 0, 0, 0, 0.5, 0.2, 0, 0, 0, 0.8,
0, 0, 1, 0, 0, 0, 0, 0, 1, 0), nrow=5, ncol=5, byrow=TRUE)

#transposing transition probability matrix
tm.tr<- t(tm)

#plotting diagram
library(diagram)
plotmat(tm.tr, arr.length=0.25, arr.width=0.1, box.col="light blue",
box.lwd=1, box.prop=0.5, box.size=0.12, box.type="circle", cex.txt=0.8,
lwd=1, self.cex=0.3, self.shiftx=0.01, self.shifty=0.09)




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