The yearly levels of water in the river Camse are independent random variables X1,X2,…, with a given continuous distribution function F(x)=P(Xi⩽x),x⩾0 and F(0)=0. The levels have been observed in years 1,…,n and their values X1,…,Xn recorded. The local council has decided to construct a dam of height
Yn=max[X1,…,Xn]
Let τ be the subsequent time that elapses before the dam overflows:
τ=min[t⩾1:Xn+t>Yn]
(a) Find the distribution function P(Yn⩽z),z>0, and show that the mean value EYn=∫0∞[1−F(z)n]dz.
(b) Express the conditional probability P(τ=k∣Yn=z), where k=1,2,… and z>0, in terms of F.
(c) Show that the unconditional probability
P(τ=k)=(k+n−1)(k+n)n,k=1,2,…
(d) Determine the mean value Eτ.