Exercise 1 (Borel-Cantelli)

\[ \sum_{n =1} ^{\infty} p_{ss}(n) < \infty\] then the state \(s\) is transient.


Solution.

We just have to recall what infinitely often means and observe that if something does not occur infinitely often, it stops happening!


Exercise 2 Let \(X\) be an irreducible aperiodic Markov chain on a finite number of states, started at the state \(s\). Show without using any fancy limit theorems, that \(\mathbb{E} T < \infty\), where

\[T = \inf\{ n \geq 1: X_n =s\}.\]

Solution. We go back to basics. If \(P\) is the transition matrix, then by the assumptions of irreducibility and aperiodicity, we know that \(P^M\) has all positive entries for some \(M>0\); let \(\delta >0\) be the smallest entry. Hence every \(M\) steps, we have a non-zero probability \(\delta >0\) of getting to the state \(s\). Thus \[ \mathbb{P}(T > kM) \leq (1- \delta)^k\] from which we easily deduce that \(T\) has finite expectation.


Exercise 3 Let \(N\) be a Poisson process on \([0, \infty)\). Fix \(T >0\). Show that \(R(t) = N(T-t)\) is a Poisson process on \([0, T]\). Hint: appeal to appropriate construction of Poisson processes.

Solution. We use the construction of Poisson processes are uniform random variables. Suppose we are dealing with a Poisson process of intensity \(\lambda\). Specifically, we divide \([0, \infty)\) into intervals of length \(T\), where we independently place a Poisson number, with mean \(T \lambda\), of independent random variables that are uniformly distributed in the interval of length \(T\). There is no real notation of direction in this construction; moreover if \(U\) is uniformly distributed in \([0, T]\), then \(T-U\) is still uniformly distributed in \([0,T]\). Thus the desired reversibility is obvious.

Exercise 4 By brute force, show that for a \(M(\lambda)/M(\mu)/1\) queue that is started with at stationarity, so that the number of items in the system at time any time \(t\) has distribution

\[\mathbb{P}(Q(t) = n) = \rho^n(1-\rho)\]

has the property that an arrival waits time \(W\) until being served, where \(W\) has law

\[ \mathbb{P}(W \leq x) = 1- \rho e^{-x(\mu - \lambda)}.\]


Solution. An arrival arrives at time \(t\) to a queue with \(n\) items in front with probability \(\rho^n(1-\rho)\), will have to wait for these \(n\) items to clear, taking time which is a sum of exponentials, giving a gamma distribution.

We have for \(x \geq 0\), that

\[\begin{eqnarray*} \mathbb{P}(W \leq x) &=& 1-\rho + \sum_{n=1} ^{\infty} \mathbb{P}(W \leq x | N(t)= n) \mathbb{P}(N(t) =n) \\ &=& 1-\rho + \sum_{n=0} ^{\infty} \int_0 ^x \Big( \frac{\mu^n t^{n-1} }{\Gamma(n)} e^{-\mu t} dt \Big) \rho^n(1-\rho) \\ &=& 1-\rho + (1- \rho)\int_0 ^x e^{-\mu t} \sum_{n=1} ^{\infty} \frac{\lambda^n t^{n-1} }{(n-1)!} dt \\ &=& 1-\rho + (1-\rho) \int_0 ^x \lambda e^{-\mu t} \sum_{n=0} ^{\infty} \frac{ (\lambda t)^n }{n!} dt \\ &=& 1-\rho + (1-\rho) \int_0 ^x \lambda e^{-\mu t} e^{\lambda t} dt \\ &=& 1-\rho + \rho (1- e^{-(\mu - \lambda)x} ) \\ &=& 1- \rho e^{-x(\mu - x)} \end{eqnarray*}\]

Exercise 5 We say that a continuous-time Markov chain with generator-(Q matrix) \(G\) is reversible with respect to the probability measure \(\pi\) if

\[ \pi_i g_{ij} = \pi_j g_{ji}\]

for all states \(i,j\).

Solution.

Hence we easily verify that for \(n \geq 1\), we have

\[ \pi_n g(n,n+1) = \rho^n(1-\rho) \lambda\] and \[ \pi_{n+1} g(n+1,n ) = \rho^{n+1}(1-\rho) \mu.\] Thus recalling that \(\rho = \lambda/\mu\), we obtain the equality \[ \pi_n g(n, n+1 ) = \pi_{n+1} g(n+1, n).\] Similarly, \[ \pi_n g(n, n-1 ) = \pi_{n-1} g(n-1, n).\] For the case \(n=0\), we have

\[\pi_0g(0,1) = (1- \rho)\lambda\] and \[ \pi_1g(1,0) = (1- \rho)\rho \mu\] so that \[ \pi_0 g(0,1) = \pi_1 g(1,0).\]

Thus we have verified the reversibility conditions.