• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

poisson cars

radosr

Baruch MFE Faculty
Joined
7/18/07
Messages
660
Points
73
If a car passes at the crosswalk on average every 10 seconds and you need 20 seconds to pass the road, how long does it take you on average to cross the road?
 
The process is Markov, so we can condition on the next car passing. The time to cross the road is 20 seconds if no cars pass for 20 seconds. Otherwise, the expected time to cross is the time the car passes plus the original expectation. The time a car passes is distributed as Exp(lambda = 1/10).

(E[T]=\int_0^{20}{(t+E[T])dP(\tau=t)}+\int_{20}^{\infty}{20dP(\tau=t)})
(E[T]=\int_0^{20}{t\lambda e^{-\lambda t}dt}+E[T]\int_0^{20}{dP(\tau=t)}+20\int_{20}^{\infty}{dP(\tau=t)})
(E[T]=10-20e^{-2}-10e^{-2}+E[T](1-e^{-2})+20e^{-2})
(E[T]=10(e^2-1)=63.89)
 
Back
Top