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Past exam of the mathematics course of the University of Cambridge

2024

Paper 2

Put $Q=\sum_{j=1}^nq_j$. Since the variables have continuous distributions, the minimum is unique almost surely. Integrating over its possible value gives
$$
\begin{aligned}
\mathbb P(K=k,T\geq t)
&=\int_t^\infty q_ke^{-q_ks}
 \prod_{j\ne k}\mathbb P(S_j>s)\,ds\\
&=\int_t^\infty q_ke^{-Qs}\,ds
=\boxed{\frac{q_k}{Q}e^{-Qt}}.
\end{aligned}
$$
This is the joint tail calculation for <competing exponential clocks>.

Solution

Past exam of the mathematics course of the University of Cambridge / 2024 / ia / Paper 2 / 9F / i / Solution

Past exam of the mathematics course of the University of Cambridge / 2024 / ia / Paper 2 / 9F / i / Solution

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Past exam of the mathematics course of the University of Cambridge / 2024 / ia / Paper 2 / 9F / i / Solution

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