PH5619 Stochastic Processes 2021

Problem Set 1A

1. Compute the generating function G(z) = ∞ n

P
n=0 z pn for the following
distributions, and hence calculate the first and second cumulants.
n
(a) pn = e−α αn! α > 0, n ≥ 0 (Poisson distribution)
 
N
(b) pn = n
αn (1−α)N −n 0 < α < 1, 0 ≤ n ≤ N (binomial distribution)

In the second case, the sum in the generating function terminates at

N.
Additional exercise: By treating n as a continuous variable, de-
termine its most probable value in (a). You may also use Stirling’s
approximation to simplify n!.

2. Consider the Cauchy-Lorentz (also known as Lorentz) distribution

a 1
P (x) =
π (x + a2 )
2

defined in the range −∞ < x < ∞.

(i) Show, by direct integration none of its moments (except the zero’th
one, of course) exist.
(ii) Compute the characteristic (generating) function G(k) for k < 0
and k > 0 separately. Why is this separation necessary? Discuss the
behaviour of the function near k = 0 and connect with the property
discussed earlier.

3. Consider the probability distribution P (x) = λe−λx defined for x ∈

[0, ∞), while P (x) = 0 for x < 0 (here, λ > 0). Find its cumulant
generator and hence the first two cumulants.

4. The geometric distribution pn = (1 − γ)γ n is defined for n ≥ 0, and

γ < 1. Derive a general expression for its m’th cumulant, where m ≥ 1.

5. Consider P (x) = n pn δ(x − xn ) with n pn = 1 and n denote a set of

P P

integers. Derive a general expression for the variance of x.