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- Show that the random process X(t) =cos(2π fot + θ) Where θ is an random variable uniformly distributed in the range {0, π/2, π, π/3} is a wide sense stationary process .1 Suppose that X is a stochastic process with dynamics dXt = µdt +σdWt , where W is a P-Brownian motion. The drift µ and the volatility σ are both constants. Find if there is a measure Q such that the drift of process X under Q is η(∈ R) instead of µ.Let the stochastic process {Xt} be defined as Zt ; if t is even (Z2t-1 -1)=21/2; if t is uneven, where {Zt} is identically and independently distributed as Zt is N(0, 1). Show that {Xt} is WN(0, 1), but not IID (0,1).
- LetX1,X2,...,Xn be a sequence of independent and identically distributed random variables having the Exponential(λ) distribution,λ >0, fXi(x) ={λe−λx, x >0 0, otherwise Define the random variable Y=X1+X2+···+Xn. Find E(Y),Var(Y)and the moment generating function ofY.Let {N_1(t)} and {N_2(t)} be two independent Poisson processes with rates λ1=1 and λ2=2, respectively. Find the probability that the second arrival in N_1(t) occurs before the third arrival in N_2(t). Round answer to 4 decimals.Suppose Xn is an IID Gaussian process, withµX[n]=1, and σ2 X[n]=1Now, another stochastic process Yn = Xn − Xn−1. Please find:(a) The mean µY (n).(b) The variance σ2Y (n).(c) The auto-correlation RY (n, k)
- Consider the geometric Brownian motion with σ = 1: dS = μSdt + SdX, and consider the function F(S) = A + BSα. Find any necessary conditions on A, B, and α such that the function F(S) follows a stochastic process with no drift.Prove the following property of the compound Poisson process:1. E(xt) = λ t E(Y).Let {N(t), t ≥ 0} be a Poisson process with rate λ. Let Sn denote the time of the nth event. Find(a) E[N(5) − N(4)|N(2) = 3]. (b) E[N(5)|S3 = 2]. (c) E[S3].
- Let X1,X2,... be a sequence of identically distributed random variables with E|X1|<∞ and let Yn = n−1max1≤i≤n|Xi|. Show that limnE(Yn) = 0If X is exponentially distributed with parameter λ and Y is uniformly distributed on the interval [a, b], what is the moment generating function of X + 2Y ?Let {Xt : t > 0} be a compound Poisson process of parameter λ. Suppose that each of the summands of this process is constant equal to k ∈ IN . Find the distribution of Xt.