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Introduction to Probability Models
Introduction to
Probability Models
Thirteenth Edition

Sheldon M. Ross
University of Southern California
Los Angeles, CA, United States of America
Academic Press is an imprint of Elsevier
125 London Wall, London EC2Y 5AS, United Kingdom
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Typeset by VTeX
Contents

Preface xiii

1 Introduction to Probability Theory 1

1.1 Introduction 1
1.2 Sample Space and Events 1
1.3 Probabilities Defined on Events 3
1.4 Conditional Probabilities 6
1.5 Independent Events 9
1.6 Bayes’ Formula 11
1.7 Probability Is a Continuous Event Function 14
Exercises 15
References 21

2 Random Variables 23
2.1 Random Variables 23
2.2 Discrete Random Variables 26
2.2.1 The Bernoulli Random Variable 28
2.2.2 The Binomial Random Variable 28
2.2.3 The Geometric Random Variable 30
2.2.4 The Poisson Random Variable 31
2.3 Continuous Random Variables 32
2.3.1 The Uniform Random Variable 33
2.3.2 Exponential Random Variables 35
2.3.3 Gamma Random Variables 35
2.3.4 Normal Random Variables 35
2.4 Expectation of a Random Variable 37
2.4.1 The Discrete Case 37
2.4.2 The Continuous Case 39
2.4.3 Expectation of a Function of a Random Variable 41
2.5 Jointly Distributed Random Variables 44
2.5.1 Joint Distribution Functions 44
2.5.2 Independent Random Variables 52
2.5.3 Covariance and Variance of Sums of Random Variables 53
Properties of Covariance 55
2.5.4 Joint Probability Distribution of Functions of Random
Variables 62
2.6 Moment Generating Functions 64
vi Contents

2.6.1 The Joint Distribution of the Sample Mean and Sample

Variance from a Normal Population 73
2.7 Limit Theorems 76
2.8 Proof of the Strong Law of Large Numbers 82
2.9 Stochastic Processes 86
Exercises 88
References 101

3 Conditional Probability and Conditional Expectation 103

3.1 Introduction 103
3.2 The Discrete Case 103
3.3 The Continuous Case 106
3.4 Computing Expectations by Conditioning 111
3.4.1 Computing Variances by Conditioning 122
3.5 Computing Probabilities by Conditioning 126
3.6 Some Applications 150
3.6.1 A List Model 150
3.6.2 A Random Graph 152
3.6.3 Uniform Priors, Polya’s Urn Model, and Bose–Einstein
Statistics 159
3.6.4 Mean Time for Patterns 163
3.6.5 The k-Record Values of Discrete Random Variables 168
3.6.6 Left Skip Free Random Walks 171
3.7 An Identity for Compound Random Variables 177
3.7.1 Poisson Compounding Distribution 179
3.7.2 Binomial Compounding Distribution 180
3.7.3 A Compounding Distribution Related to the Negative
Binomial 181
Exercises 182

4 Markov Chains 201

4.1 Introduction 201
4.2 Chapman–Kolmogorov Equations 205
4.3 Classification of States 213
4.4 Long-Run Proportions and Limiting Probabilities 223
4.4.1 Limiting Probabilities 240
4.5 Some Applications 241
4.5.1 The Gambler’s Ruin Problem 241
4.5.2 A Model for Algorithmic Efficiency 245
4.5.3 Using a Random Walk to Analyze a Probabilistic Algorithm
for the Satisfiability Problem 247
4.6 Mean Time Spent in Transient States 253
4.7 Branching Processes 255
4.8 Time Reversible Markov Chains 258
Contents vii

4.9 Markov Chain Monte Carlo Methods 269

4.10 Markov Decision Processes 273
4.11 Hidden Markov Chains 277
4.11.1Predicting the States 281
Exercises 283
References 299

5 The Exponential Distribution and the Poisson Process 301

5.1 Introduction 301
5.2 The Exponential Distribution 301
5.2.1 Definition 301
5.2.2 Properties of the Exponential Distribution 303
5.2.3 Further Properties of the Exponential Distribution 310
5.2.4 Convolutions of Exponential Random Variables 317
5.2.5 The Dirichlet Distribution 321
5.3 The Poisson Process 322
5.3.1 Counting Processes 322
5.3.2 Definition of the Poisson Process 323
5.3.3 Further Properties of Poisson Processes 328
5.3.4 Conditional Distribution of the Arrival Times 334
5.3.5 Estimating Software Reliability 344
5.4 Generalizations of the Poisson Process 347
5.4.1 Nonhomogeneous Poisson Process 347
5.4.2 Compound Poisson Process 353
Examples of Compound Poisson Processes 353
5.4.3 Conditional or Mixed Poisson Processes 358
5.5 Random Intensity Functions and Hawkes Processes 361
Exercises 364
References 381

6 Continuous-Time Markov Chains 383

6.1 Introduction 383
6.2 Continuous-Time Markov Chains 383
6.3 Birth and Death Processes 385
6.4 The Transition Probability Function Pij (t) 392
6.5 Limiting Probabilities 402
6.6 Time Reversibility 409
6.7 The Reversed Chain 417
6.8 Uniformization 422
6.9 Computing the Transition Probabilities 425
Exercises 428
References 437

7 Renewal Theory and Its Applications 439

7.1 Introduction 439
viii Contents

7.2 Distribution of N (t) 440

7.3 Limit Theorems and Their Applications 444
7.4 Renewal Reward Processes 459
7.4.1 Renewal Reward Process Applications to Markov Chains 468
7.4.2 Renewal Reward Process Applications to Patterns of Markov
Chain Generated Data 471
7.5 Regenerative Processes 473
7.5.1 Alternating Renewal Processes 476
7.6 Semi-Markov Processes 482
7.7 The Inspection Paradox 485
7.8 Computing the Renewal Function 488
7.9 Applications to Patterns 490
7.9.1 Patterns of Discrete Random Variables 491
7.9.2 The Expected Time to a Maximal Run of Distinct Values 498
7.9.3 Increasing Runs of Continuous Random Variables 499
7.10 The Insurance Ruin Problem 501
Exercises 507
References 518

8 Queueing Theory 519

8.1 Introduction 519
8.2 Preliminaries 520
8.2.1 Cost Equations 520
8.2.2 Steady-State Probabilities 521
8.3 Exponential Models 524
8.3.1 A Single-Server Exponential Queueing System 524
8.3.2 A Single-Server Exponential Queueing System Having
Finite Capacity 534
8.3.3 Birth and Death Queueing Models 539
8.3.4 A Shoe Shine Shop 546
8.3.5 Queueing Systems with Bulk Service 548
8.4 Network of Queues 552
8.4.1 Open Systems 552
8.4.2 Closed Systems 556
8.5 The System M/G/1 562
8.5.1 Preliminaries: Work and Another Cost Identity 562
8.5.2 Application of Work to M/G/1 563
8.5.3 Busy Periods 565
8.6 Variations on the M/G/1 566
8.6.1 The M/G/1 with Random-Sized Batch Arrivals 566
8.6.2 Priority Queues 568
8.6.3 An M/G/1 Optimization Example 571
8.6.4 The M/G/1 Queue with Server Breakdown 575
8.7 The Model G/M/1 577
8.7.1 The G/M/1 Busy and Idle Periods 581
Contents ix

8.8 A Finite Source Model 582

8.9 Multiserver Queues 586
8.9.1 Erlang’s Loss System 586
8.9.2 The M/M/k Queue 587
8.9.3 The G/M/k Queue 588
8.9.4 The M/G/k Queue 590
Exercises 591

9 Reliability Theory 603

9.1 Introduction 603
9.2 Structure Functions 603
9.2.1 Minimal Path and Minimal Cut Sets 606
9.3 Reliability of Systems of Independent Components 609
9.4 Bounds on the Reliability Function 613
9.4.1 Method of Inclusion and Exclusion 614
9.4.2 Second Method for Obtaining Bounds on r (p) 622
9.5 System Life as a Function of Component Lives 624
9.6 Expected System Lifetime 632
9.6.1 An Upper Bound on the Expected Life of a Parallel System 636
9.7 Systems with Repair 638
9.7.1 A Series Model with Suspended Animation 642
Exercises 644
References 651

10 Brownian Motion and Stationary Processes 653

10.1 Brownian Motion 653
10.2 Hitting Times, Maximum Variable, and the Gambler’s Ruin
Problem 657
10.3 Variations on Brownian Motion 658
10.3.1 Brownian Motion with Drift 658
10.3.2 Geometric Brownian Motion 658
10.4 Pricing Stock Options 659
10.4.1 An Example in Options Pricing 659
10.4.2 The Arbitrage Theorem 662
10.4.3 The Black–Scholes Option Pricing Formula 665
10.5 The Maximum of Brownian Motion with Drift 670
10.6 White Noise 675
10.7 Gaussian Processes 677
10.8 Stationary and Weakly Stationary Processes 679
10.9 Harmonic Analysis of Weakly Stationary Processes 684
Exercises 686
References 691

11 Simulation 693
11.1 Introduction 693
x Contents

11.2 General Techniques for Simulating Continuous Random Variables 697

11.2.1 The Inverse Transformation Method 697
11.2.2 The Rejection Method 698
11.2.3 The Hazard Rate Method 702
11.3 Special Techniques for Simulating Continuous Random Variables 705
11.3.1 The Normal Distribution 705
11.3.2 The Gamma Distribution 708
11.3.3 The Chi-Squared Distribution 709
11.3.4 The Beta (n, m) Distribution 709
11.3.5 The Exponential Distribution—The Von Neumann
Algorithm 710
11.4 Simulating from Discrete Distributions 712
11.4.1 The Alias Method 715
11.5 Stochastic Processes 719
11.5.1 Simulating a Nonhomogeneous Poisson Process 720
11.5.2 Simulating a Two-Dimensional Poisson Process 726
11.6 Variance Reduction Techniques 728
11.6.1 Use of Antithetic Variables 729
11.6.2 Variance Reduction by Conditioning 733
11.6.3 Control Variates 737
11.6.4 Importance Sampling 739
11.7 Determining the Number of Runs 744
11.8 Generating from the Stationary Distribution of a Markov Chain 744
11.8.1 Coupling from the Past 744
11.8.2 Another Approach 746
Exercises 747
References 755

12 Coupling 757
12.1 A Brief Introduction 757
12.2 Coupling and Stochastic Order Relations 757
12.3 Stochastic Ordering of Stochastic Processes 760
12.4 Maximum Couplings, Total Variation Distance, and the Coupling
Identity 763
12.5 Applications of the Coupling Identity 766
12.5.1 Applications to Markov Chains 766
12.6 Coupling and Stochastic Optimization 772
12.7 Chen–Stein Poisson Approximation Bounds 776
Exercises 783

13 Martingales 787
13.1 Introduction 787
13.2 The Martingale Stopping Theorem 789
13.3 Applications of the Martingale Stopping Theorem 791
Contents xi

13.3.1 Wald’s Equation 791

13.3.2 Means and Variances of Pattern Occurrence Times 791
13.3.3 Random Walks 793
13.4 Submartingales 795
Exercises 796

Solutions to Starred Exercises 799

Index 843
Preface

This text is intended as an introduction to elementary probability theory and stochas-

tic processes. It is particularly well suited for those wanting to see how probability
theory can be applied to the study of phenomena in fields such as engineering, com-
puter science, management science, the physical and social sciences, and operations
research.
It is generally felt that there are two approaches to the study of probability theory.
One approach is heuristic and nonrigorous and attempts to develop in the student an
intuitive feel for the subject that enables him or her to “think probabilistically.” The
other approach attempts a rigorous development of probability by using the tools of
measure theory. It is the first approach that is employed in this text. However, because
it is extremely important in both understanding and applying probability theory to be
able to “think probabilistically,” this text should also be useful to students interested
primarily in the second approach.

New to This Edition

The thirteenth edition includes new text material, examples, and exercises in almost
every chapter. For instance, record values are introduced in Example 3.9, with the
density function of the nth record value being derived. Example 3.26 on the best prize
problem is extended to the case where the number of prizes to be presented is un-
known. Example 3.27 supposes that two contestants are playing a match consisting of
a sequence of games, with each game being won by one of the players with probabil-
ity p and by the other with probability 1 − p, and with the match ending when one
of the players has had k more wins than the other. This example not only derives the
match win probabilities but also proves the interesting result that the number of games
played and the match winner are independent.
Section 3.6.4 is expanded to derive the variance, as well as a recursive equation
for the probability mass function, of the occurrence time of a pattern that does not
have any overlap, when the data consists of a sequence of independent and identically
distributed discrete random variables. The new section 7.4.1 shows how many of the
important results of Markov chains can be easily established by applying results from
Renewal Theory. Section 7.4.2 uses renewal reward processes to obtain the mean time
until a given pattern occurs when the data are generated from a Markov chain.
The biggest change in the current edition is the addition of Chapter 13 on martin-
gales. This chapter focuses on showing how martingales can be effectively used when
studying stochastic systems. For instance, the important martingale stopping theorem
is introduced and applied in a variety of situations.
xiv Preface

Course
Ideally, this text would be used in a one-year course in probability models. Other
possible courses would be a one-semester course in introductory probability theory
(involving Chapters 1–3 and parts of others) or a course in elementary stochastic
processes. The textbook is designed to be flexible enough to be used in a variety of
possible courses. For example, I have used Chapters 5 and 8, with smatterings from
Chapters 4 and 6, as the basis of an introductory course in queueing theory.

Examples and Exercises

Many examples are worked out throughout the text, and there are also a large num-
ber of exercises to be solved by students. More than 100 of these exercises have been
starred and their solutions provided at the end of the text. These starred problems can
be used for independent study and test preparation. An Instructor’s Manual, contain-
ing solutions to all exercises, is available free to instructors who adopt the book for
class.

Organization
Chapters 1 and 2 deal with basic ideas of probability theory. In Chapter 1, an axiomatic
framework is presented, while in Chapter 2, the important concept of a random vari-
able is introduced. Section 2.6.1 gives a simple derivation of the joint distribution of
the sample mean and sample variance of a normal data sample. Section 2.8 gives a
proof of the strong law of large numbers, with the proof assuming that both the ex-
pected value and variance of the random variables under consideration are finite.
Chapter 3 is concerned with the subject matter of conditional probability and con-
ditional expectation. “Conditioning” is one of the key tools of probability theory, and
it is stressed throughout the book. When properly used, conditioning often enables us
to easily solve problems that at first glance seem quite difficult. The final section of
this chapter presents applications to (1) a computer list problem, (2) a random graph,
and (3) the Polya urn model and its relation to the Bose–Einstein distribution. Sec-
tion 3.6.5 presents k-record values and the surprising Ignatov’s theorem.
In Chapter 4, we come into contact with our first random, or stochastic, process,
known as a Markov chain, which is widely applicable to the study of many real-world
phenomena. Applications to genetics and production processes are presented. The
concept of time reversibility is introduced and its usefulness illustrated. Section 4.5.3
presents an analysis, based on random walk theory, of a probabilistic algorithm for
the satisfiability problem. Section 4.6 deals with the mean times spent in transient
states by a Markov chain. Section 4.9 introduces Markov chain Monte Carlo methods.
In the final section, we consider a model for optimally making decisions known as a
Markovian decision process.
In Chapter 5, we are concerned with a type of stochastic process known as a count-
ing process. In particular, we study a kind of counting process known as a Poisson
process. The intimate relationship between this process and the exponential distri-
bution is discussed. New derivations for the Poisson and nonhomogeneous Poisson
Exploring the Variety of Random
Documents with Different Content
houses, bats flew in and out A soft wind met them. They felt the turf
beneath their tread and stepped out on to the ruined battlements.
Wild thyme mingled with the smell of lavender. The memory of
forsaken gardens and forgotten ecstasies was in the air. Three
towers, Roman, Saracen and French, pointed mutilated fingers at
eternity. They halted, drinking in the silence, and lifted their eyes to
the stars wheeling overhead. Far away, through mists across the
plain, Marseilles struck sparks on the horizon and the moon rose red.
She turned in his embrace. “I’m not half as sweet as you would
make me out, I’m not. Oh, won’t you believe me?”
His tranquillity gave way; he caught her to him, raining kisses on
her throat, her eyes, her mouth.
“You’re crushing me!” Her breath came stifled and sobbing.
Tenderness stamped out his passion. As his grip relaxed, she
slipped from him. She was running; he followed. On the edge of the
precipice, the red moon swinging behind her like a lantern, she
halted. Her hands were held ready to thrust him back.
“It would be better for you that I should throw myself down than
—than——”
He seized her angrily and drew her roughly to him. “You little
fool,” he panted.
With a sudden abandon she urged herself against him. As he bent
over her, her arms reached up and her lips fell warm against his
mouth.
“I do love you. I do. I do,” she whispered. “Take care of me. Be
good to me. I daren’t trust myself.”
The hotel was asleep when they got back. They fumbled their way
up the crooked stairs. Outside her room, as in the darkness they
clung together, she took his face between her hands. “And you said I
hadn’t any passion!—You’re good, Meester Deck. God bless you.”
 Her door closed. He waited. He heard the lock turn.
“When I kiss you without your asking me, you’ll know then,” she
had said. His heart sang. All night, in his dreaming and waking, he
was making plans.
When he came down next morning, he found the table spread on
the terrace. He walked over to it, intending while he waited for her,
to sit down and smoke a cigarette. One place had been already
used. He hadn’t known that another guest had been staying at the
hotel. Calling the inn-keeper, he asked him to have the place reset.
“But for whom?”
“For Mademoiselle.”
“Mademoiselle! But Mademoiselle——” The man looked blank.
“But Mademoiselle, a six hours she left this morning with the
carriage.”
 CHAPTER XXII—SHE RECALLS HIM

N
ow that she had gone from him, he realized how mistaken he
had been in his chivalry. From the first, instead of begging, he
ought to have commanded. She was a girl with whom it paid
to be rough. It was only on the precipice, when he had seized her
savagely, that her passion had responded. In the light of what had
happened, her last words seemed a taunt—an echo of her childish
despising of King Arthurs: “And you said I hadn’t any passion I—
You’re good, Meester Deek.” Had he been less honorable in her hour
of weakness, he would still have had her.
“That ends it!” he told himself. Nevertheless he set out hot-footed
for Arles. There he hunted up the cocher who had driven them to
Les Baux, and learnt that she had taken train for Paris. In Paris he
inquired at The Oxford and Cambridge. He searched the registers of
a dozen hotels. Tramping the boulevards of the city of lovers, he
revisited all the places where they had been together; he hoped that
a whim of sentiment might lead her on the same errand.
A new thought struck him: she had written to Eden Row and his
mother didn’t know his address. All the time that he had been
wasting in this intolerable aloneness her explanation had been
waiting for him. He returned posthaste, only to be met with her
unconquerable silence. He hurried to Orchid Lodge; her father might
know her whereabouts. There he was told that Hal had sailed for
New York—with what motive he could guess. This lent the final
derisive touch to his tragedy.
It was the end of July, nearly a year to the day since he had made
his great discovery at Glastonbury. He had spent a month of torture.
Since the key had turned in her lock at the Hôtel de la Reine Jeanne,
he had had no sign of her. He came down to breakfast one sunshiny
morning; lying beside his plate was a letter in her hand. He slipped it
into his pocket with feigned carelessness, till he should be alone;
then he opened it and read:
Dearest Teddy:
I need you.
Savoy Hotel,
The Strand.
Come at once.
Your foolish Desire.
She needed him! It was the first time she had owned as much.
From her that admission in three words was more eloquent than
many pages. Had her slavery to freedom become irksome? Had it
got her into trouble?
He reached the Savoy within the hour. As he passed his card
across the desk he was a-tremble. It was a relief when the clerk
gave him no bad news but, having phoned up, turned and said, “The
lady will see you in her room, sir.”
The passage outside her door was piled with trunks; painted on
them, like an advertisement, in conspicuous white letters, was Janice
Audrey. He tapped. As he waited he heard laughter. In his high-
wrought state of nerves the sound was an offense.
The handle turned. “Hulloa, Teddy! I’ve heard about you. I’m
going to leave you two scatter-brains to yourselves.”
Fluffy was in her street-attire—young, eager and caparisoned for
conquest. She seemed entirely unrelated to the shuddering Diana in
the Tyrolese huntsman’s costume, whom he had last seen breaking
her heart in the dressing-room of The Belshazzar. He stepped aside
to let her pass; then he entered.
 He found himself in a large sunlit room in a riot of disorder—
whether with packing or unpacking it was difficult to tell. Evidently
some one had gone through a storm of shopping. Frocks were
strewn in every direction; opera-cloaks and evening-gowns lay on
the floor, on the bed, on the backs of chairs. Hats were half out of
milliners’ boxes. Shoes and slippers lay jumbled in a pile in a suit-
case. It was fitting that he and Desire should meet again in a hired
privacy, like transients.
She stood against a wide window, looking down on the
Embankment She was wearing a soft green peignoir trimmed with
daisies. It was almost transparent, so that in the strong sunlight her
slight figure showed through it It was low-cut and clinging—a match
in color to the Guinevere costume which she had been wearing
when he had discovered her at Glastonbury. Had she intended that it
should waken memories? As he watched he was certain that that
had been her intention, for she was adorned with another reminder:
a false curl had usurped the place of the old one she had given him.
It danced against her neck, quivering with excitement, and seemed
to beckon.
Her back was towards him. She must have heard Fluffy speaking
to him. She must know that he was on the threshold. He closed the
door quietly and halted.
“Meester Deek, are you glad to see me?” She spoke without
turning. \
Her question went unanswered. In the silence it seemed to repeat
itself maddeningly. She drummed with her fingers on the pane, as
though insisting that until he had answered he should not see her
face.
At last her patience gave out She glanced across her shoulder.
Something in his expression warned her. Running to him, she caught
his hands and pressed against him, laughing into his eyes. She
waited submissively for his arms to enfold her. When he remained
unmoved, she whispered luringly, “I’m as amiable as I ever shall be.”
“Are you?”
She pouted. “Once if I’d told you that——
“Are you!”
“Is that all after a whole month?”
“A whole month!” His face seemed set in a mask. “To me it has
seemed a century.”
For the first time she dimly realized what he had suffered. She
drew her fingers across his cheek. Her hands ran over him like white
mice. The weariness in his way of talking frightened her. “I’m—I’m
sorry that I’m not always nice. It wasn’t quite nice of me to leave
you, was it?”
His lips grew crooked at her understatement “From my point of
view it wasn’t.”
She thought for a moment; she was determined not to
acknowledge that he was altered. Slipping her arm into his
comfortably, she led him across the room. “Let’s sit down. I’ve so
much to tell you.”
He helped her to push a couch to the window that they might shut
out the sight of the room’s disorder. When she had seated herself in
a corner, she patted the place beside her. He sat himself at the other
end and gazed out at the gray-gold stretch of river, where steamers
churned back and forth between Greenwich and Westminster.
“Fluffy’s going to America; we ran over from Paris to get some
clothes. It’s all rubbish to get one’s clothes in Paris; London’s just as
good and not one-half as expensive. She has to return to Paris in a
day or two to see a play. Simon Freelevy thinks it will suit her. After
that she sails from Cherbourg.—Meester Deek, are you interested in
Fluffy’s doings?”
“I was looking at the river. I scarcely heard what you were saying.”
“Well, then, perhaps this will interest you. She says that, if I like,
she’ll see that I get a place in her company at The Belshassar.—Still
admiring the view?—I wish you’d answer me sometimes, Teddy.”
“So you’re going to become another Fluffy?”
Her tone sank to a honeyed sweetness. “You’re most awfully far
away. If you don’t come nearer, we might just as well——”
“As I came along the passage,” he said, “I heard you laughing. I
haven’t done much laughing lately.”
A frown crept into her eyes. “That was because I was going to see
you.”
He wished he could believe her.
In a desperate effort to win him to pleasantness, she closed up
the space that separated them. His coldness piqued her. Through
her filmy garment her body touched him; it was burning. “And I—I
haven’t done much laughing lately, either; but one can’t be always
tragic.” Her voice was tremulous and sultry. She brushed against him
and peered into his face reproachfully. “You aren’t very sympathetic.”
“Not very.”
She tried the effect of irritation. “I wish you wouldn’t keep on
catching at what I say.” Then, with a return to her sweetness: “Do
be kind, Meester Deck. You don’t know how badly I need you.”
Something deep and emotional stirred within him. Perhaps it was
memory—perhaps habit All his life he had been waiting for just that
—for her to need him; it had begun years ago when Hal had told
him of the price that she would have to pay. Perhaps it was love
struggling in the prison that her indifference had created for it It
might be merely the sex response to her closeness.
“I came because you wrote that you needed me. But your
laughing and the way you met me——”
“I was nervous and—and you don’t know why.”
He shook his head. “After all that’s happened, after all the
loneliness and all the silence—— My dear, I don’t know what’s the
matter with me; I think you’ve killed something. I’m not trying to be
unkind.”
She crouched her face in her hands. At last she became earnest
“And just when I need you!”
“Tell me,” he urged gravely; “I’ll do anything.”
“You promise—really anything?”
“Anything.”
She smiled mysteriously, making bars of her fingers before her
eyes. She knew that, however he might deny it, he was again
surrendering to her power. “Even if I were to ask you to marry me?”
“Anything,” he repeated, without fervor.
“Then I’ll ask a little thing first.” She hesitated. “It would help if
you put your arm about me.”
He carried out her request perfunctorily.
“Ask me questions,” she whispered; “it will be easier to begin like
that.”
“Where did you go when you left me?”
“To Paris.”
“I know. I followed you.”
 She started. “But you didn’t see me?”
He kept her in suspense, while he groped after the reason for her
excitement. “No. I didn’t see you. Whom were you with?”
“Fluffy.”
“Any one else?”
“Yes.” She caught at his hands, as though already he had made a
sign to leave her. “I didn’t know he was to be there.”
“Ah!” He knew whom she meant: the man with whom she had
flirted in California and whom a strange chance had led to her hotel
in Paris. He would have withdrawn his arm if she had not held it.
“But none of this explains your leaving me and then not writing.”
A hardness had crept into his tones. His jealousy had sprung into
a flame. He remembered those photographs of Tom in her bedroom.
There had always been other men at the back of her life. How did he
know whom she met or what she did, when he was away from her?
“Meester Deek,” she clutched at him, “don’t You—you frighten me.
I’ve done nothing wrong. I haven’t I’ve spent every moment with
Fluffy.”
“That didn’t keep you from writing.”
“No.” She laid her face against his pleadingly. “That didn’t prevent
It was—— Oh, Meester Deek, won’t you understand—you’ve always
been so unjudging? At Les Baux that night you wakened something
—something that I’d never felt. I didn’t dare to trust myself. It
wasn’t you that I distrusted. I wanted to go somewhere alone—
somewhere where I could think and come to myself. If I’d written to
you, or received letters from you——”
“Desire, let’s speak the truth. We promised always to be honest
You say you went with Fluffy to be alone; you know you didn’t.
Fluffy’s never alone—she’s a queen bee with the drones always
buzzing round her. You went away to get rid of me, and for the fun
of seeing whether you could recall me.”
“Not that. Truly not that” She paused and drew a long breath, like
a diver getting ready for a deep plunge. “It was because I was afraid
that, if I stopped longer, we might have to marry. A girl may be cold
—she mayn’t even love a man, but if she trifles too long with his
affections, she herself sometimes catches fire. That was how my
mother—with my father.”
“Then why did you send for me?” His tone was stern and puzzled.
For a time she was silent. It seemed to him that she was
searching for a plausible motive. Then, “I think because I wanted to
see a good man.”
He tried to smile cynically. She had fooled him too many times for
him to allow himself to be caught so easily as that. The scales had
fallen from his eyes. She had always made whatever uprightness he
possessed a reproach to him.
“You don’t believe me?” She scanned his face wistfully. “You never
did understand me or—or any girls.”
The new argument which her accusation suggested was tempting;
no man, however inexperienced, likes to be told that he is ignorant
of women. That he refused to allow himself to be diverted was proof
to her of her loss of power.
“I believe you in a sense,” he said. “I don’t doubt that at this
moment you imagine that you want to see a good man—not that I’m
especially good; I’m just decent and ordinary. But you’re not really
interested in good men; you don’t find them exciting. Long ago, as
children, you told me that. Don’t you remember—I like Sir Launcelot
best?”
She twisted her hands. Her face had gone white. When she spoke
her voice was earnest and tired. “You force me to tell you.—I did
want to see a good man—a good man who loved me. You’ll never
guess why. It was to get back my self-respect That man—that man
whom I led on in California, he saw us together in Paris. He
misunderstood. He thought vile things. After I’d left you and joined
Fluffy, I met him again and he asked me to be—— I can’t say it; but
when a man like that misunderstands things about a girl——” Self-
scorn consumed her. “It wasn’t only because he’d seen us together—
it wasn’t only that.” Her voice sank to a bitter whisper. “I’m the
daughter of a woman who was never married—he found that out; so
he asked me to become his——”
“My God! Don’t say it.”
He tried to draw her to him. Tears blinded his eyes. She scoffed at
herself rebelliously. “It’s true. I deserved it That’s the way I act—like
a man’s mistress. I don’t act like other girls. That’s why you never
mentioned me in your letters from New York to your mother. You
made excuses for me in your own mind, and you tried not to be
ashamed of me and, because you were chivalrous, you were sorry
for me. I hated you for being sorry. But men, like that man in Paris—
all they see in me is an opportunity——”
“The swine!” He clenched his hands and sat staring at the carpet.
“No.” She shook her head sadly. “I’m fair game. I see it all now. I
used to think I was only modern, and used to laugh at you for being
old-fashioned. You were always trying to tell me. I’m taking back
everything unkind that I ever did or said. D’you hear me, Teddy? It’s
the way I’ve been brought up. I’m what Horace calls ‘a Slave of
freedom.’ I fascinate and I don’t play fair. I’m rotten and I’m
virtuous. I accept and accept with my greedy little hands. I lead men
on to expect, and I give nothing.”
She waited for him to say something—something healing and
generous—perhaps that he would marry her. He was filled with pity
and with doubt—and with another emotion. What she had told him
had roused his passion. In memory he could feel the warmth of her
body. Why had she dressed like this to meet him? Why did she touch
him so frequently? Passion wasn’t love; it would burn itself out He
knew that, if he stayed, he would shatter the idol she had created of
him. He would become like that man whom he had been despising.
His silence disappointed her. She ceased from caressing him. She
had come to an end of all her arts and blandishments. In trying to
be sincere, she had made her very sincerity sound like coquetry. She
realized that this man, who had been absolutely hers at a time when
she had not valued him, had grown reserved and cautious at this
crisis when she needed him more than anything in the world. A
desperate longing came into her eyes. Struggling with her pride, in
one last effort to win him back, she stretched out her arms timidly,
resting her hands on his shoulders with a tugging pressure. “I
guess,” her voice came brokenly, “I guess you’re the only living man
who would ever have dreamt of marrying me.”
Jumping up, he seized his hat
“You’re going?”
He faced her furiously. It seemed to him that he was gazing into a
furnace. “If I stay, you’ll have me kissing you.”
She scarcely knew whether she loved or hated him, yet she held
out her arms to him languorously. For a moment he hesitated. Then
he hurried past her. As his hand was on the door, he heard a thud.
She had fallen to her knees beside the couch in the sunlight Her face
was buried in her hands.
Slowly he came back. Stooping over her, he brushed his lips
against her hair.
She lifted her sad eyes. “I tried to be fair to you; I warned you.
You should have stuck to your dream of me. You were never in love
with the reality.”
“I was.” He denied her vehemently.
 She smiled wearily. “The past tense! Will you ever be kind to me
again, I wonder? I—I never had a father, Teddy.”
The old excuse—the truest of all her excuses! It struck the chord
of memory. He picked her up gently, holding her so closely that he
could feel the shuddering of her breath.
“In spite of everything,” she whispered, “would you still marry
me?”
He faltered. “Yes, I’d still marry you. But, Desire, we’ve forgotten:
you haven’t told me truly why you sent for me.”
She slipped from his arms and put the couch between them. “I
sent for you to tell you that—that I’m that, though I’ve tried, I can’t
live without you.”
He leant out to touch her. She avoided him. “First tell me that you
love me.”
“I do.”
Her gray eyes brimmed over. “You don’t. You’re lying. I’ve never
lied to you—with all my faults I’ve never done that.”
His arms fell to his side. When confronted by her truth his passion
went from him. “But I shall. I shall love you, Desire. It’ll all come
back.”
She shook her head. “It might never. And without it—— You told
me that I’d killed something. I believe I have.”
“If you would only let me kiss you,” he pleaded.
She darted across the room and flinging wide the door, waited for
him in the passage.
She took his hands in hers. They gazed at each other
inarticulately.
 “I can’t tell you—can’t tell you,” he panted. “All the time I may be
loving you.”
“And just when I needed you, Meester Deek,” she whispered, “just
when I want to be good so badly!”
She broke from him. Again, as at Les Baux, he heard the key in
her lock turning.
No sooner was he without her than the change commenced.
During his month of intolerable waiting, when he had thought that
he had lost her forever, he had tried to heal the affront to his pride
with a dozen hostile arguments. He had persuaded himself that the
break with her was for the best. He had told himself that
carelessness towards men was in her blood—a taint of sexlessness
inherited from her mother. He had assured himself repeatedly that
he could live without her. He had fixed in his mind as a goal to be
envied his old pursuits, with their unfevered touch of bachelor
austerity. This had been his mood till he had received her message:
“I need you. Come at once.”
Having seen her, his yearning had returned like a lean wolf the
more famished by reason of its respite. Was it love? If he lied to her,
she would detect him. Until he could convince her that he loved her,
he was exiled by her honesty. He knew now that throughout the
weeks of waiting his suffering had been dulled by its own intensity.
His false self-poise had been a symptom of the malady.
All day he tramped the streets of London in the scorching heat of
midsummer. He went up the Strand and back by the Embankment,
round and round, taking no time for food or rest. He felt throughout
his body a continual vibration, an eager trembling. He dared not go
far from her.
In spirit she was never absent She rose up crouching her chin
against her shoulder and barricading her lips with her hand. He
relived their many partings—the ecstasies, kisses, wavings down the
stairs—those prolonged poignant moments when her tenderness had
atoned for hours of coldness. She had become a habit with him—a
part of him. His physical self cried out for her. It was knit with hers.
A year almost to the day since she had said so lightly, “Come to
America”! And now she was so near, and he could not go to her.
Evening. He sat wearily on the Embankment, gazing up at the
back of her hotel, trying to guess which window was hers. In the
coolness of the golden twilight he had arrived at the first stage in his
exact self-knowledge: that waiting for her had become his mission—
without her his future would be purposeless. If he made her his
wife, he might live to regret it Her faults went too deep for even love
to cure. Any emotion of shame which she had owned to was only for
the moment. Whether he lost her or won her, he was bound to
suffer. Marriage with her might spell intellectual ruin; but to shirk the
risk because of that would be to shatter his idealism forever. To save
her from herself and to shelter her in so far as she would allow, had
become his religion and the inspiration of his work. And wasn’t that
the highest sort of love?
He determined to set himself a test He walked to Charing Cross
Station, entered a telephone-booth and called up the Savoy.
“Miss Jodrell, please. No, I don’t know the number of the room.”
The trepidation with which he waited brought all his New York
memories back.
Her voice. “Hulloa! Yes. This is Miss Jodrell.”
He was at a loss for words. He couldn’t bring himself to tell her
across the wire. While he hesitated, he heard her receiver hung up.
He was certain of himself now. He was shaking like a leaf. If her
voice could thrill and unnerve him when her body was absent, this
must be more than passion.
He sat down till he had grown quiet, then jumping into a taxi he
told the man to drive quickly. He could have walked the distance in
little over five minutes; but after so much delay, every second saved
was an atonement. As he whirled out of the Strand into the
courtyard of the Savoy, Big Ben was booming for nine.
For the second time that day he passed his card across the desk.
“I want Miss Jodrell.”
The clerk handed him back his card. “She’s left.”
“But she can’t have. I’ve had her on the phone within half an
hour.”
“I’m sorry, sir. I wonder she didn’t tell you. You must have spokes
with her the last minute before she left. She caught the nine o’clock
boat-train from Charing Cross to Dover.”
He went faint and reached out to steady himself. “From Charing
Cross! Why, I’ve just come from there. We must have passed. We
——”
The man saw that something serious was the matter. He dropped
his perfunctory manner. “She’s sure to have left an address for the
forwarding of her letters. I’ll look it up if you’ll wait a moment.” He
returned. “Her letters were to be addressed Poste Restante to the
General Post-office, Paris. I don’t know whether that will help you.”
Before leaving the hotel he sat down and wrote her. Then he went
out and sent her a telegram:
“Yours exclusively. Telegraph your address. Will come at once and
fetch you.”
He hurried home to Eden Row and packed his bag. He was up
early next morning, waiting for her reply. In the evening he sent her
a more urgent telegram and another letter. No answer. He thought
that she must have received his messages, for he had marked his
letters to be returned within a day if not called for. He cursed himself
for his ill-timed coldness.
 CHAPTER XXIII—HIS WAITING
ENDS

A
week of silence, and then—— It was eight in the evening. He
was at the top of the house in his bedroom-study—the room
in which he had woven so many gold optimisms. Down the
blue oblong of sky, framed by his window, the red billiard-ball of the
sun rolled smoothly, bound for the pocket of night.
A sharp rat-a-tat. Its meaning was unmistakable. He went leaping
down the stairs, three at a time. He reached the hall just as Jane
was appearing from the basement Forestalling her at the front-door,
he grabbed the pinkish-brown envelope from the telegraph-boy.
Ripping it open, he read:
“Sorry delay. Been Lucerne. Just returned Paris. Received all
yours. Meet me to-morrow Cherbourg on board ‘Wilhelm der Grosse.’
Please start immediately.”
She had forgotten to put her address. He pulled out his watch.
Five minutes past eight! He had no time to consult railway-guides—
no time even to pack. All he knew was that the boat-train left
Charing-Cross for Dover in less than an hour; he could just catch it
Returning to his bedroom, he gathered together what cash he could
find In three minutes he was in the hall again.
“Tell mother when she comes back that I’m off to Paris. Tell her I’ll
write.”
Jane gaped at him. As he hurried down the steps, she began to
ask questions. He shook his head, “No time.”
Throwing dignity to the winds, he set off at a run. As he passed
Orchid Lodge, Mr. Sheerug was coming out. He cannoned into him
and left him gasping. At the top of Eden Row he saw a taxi and
hailed it. He knew now that he was safe to catch his train.
On the drive to the station he unfolded her telegram and re-read it
Irresponsible as ever, yet lovable! What risks she took! He might
have been out; as it was he could barely make the connections that
would get him to Cherbourg in time. No address to which he could
reply! He couldn’t let her know that he was coming. Doubtless she
took that for granted. No information concerning her plans! She had
always told him that wise women kept men guessing. No hint as to
why she had sent for him! Twenty-four hours of conjecturing would
keep him humble and increase his ardor. Then the motive of all this
vagueness dawned on him. She was putting him to the test If he
came in spite of the irresponsibility of her message, it would be
proof to her that he loved her. If ever a girl needed a man’s love,
Desire was that girl.
During the tedious night journey fears began to arise. Why was
she going to Cherbourg? He read her words again, “Meet me to-
morrow Cherbourg on board Wilhelm der Grosse” What would she
be doing on board an Atlantic liner if she wasn’t sailing? She
shouldn’t sail if he could prevent her. If she reached New York, she
would go on the stage and commit herself irrevocably to Fluffyism.
He steamed into the Gare du Nord at a quarter to seven and
learnt, on making inquiries, that the trains for Cherbourg left from
the St Lazare. He jumped into an autotaxi—no leisurely fiacre this
time—and raced through the gleaming early morning. He found at
the St Lazare that the first express that he could catch, departed in
three-quarters of an hour. There was another which left later, but it
ran to meet the steamer and was reserved exclusively for
transatlantic voyagers. The second train would be the one by which
she would travel. He debated whether he should try to intercept her
on the platform. Too risky.
He might miss her. He preferred to take the chance which she
herself had chosen. There would be less than an hour between his
arrival in Cherbourg and the time when the steamship sailed.
Having snatched some breakfast, he found a florist’s and
purchased an extravagant sheaf of roses.
As soon as Paris was left behind, he was consumed with impotent
impatience. It seemed to him that the engine pulled up at every
poky little town in Normandy. He got it on his mind that every
railroad official was conspiring to make him late. He had one
moment of exquisite torture. They had been at a standstill in a
station for an interminable time. He got out and, in his scarcely
intelligible French, asked the meaning of the delay. The man whom
he had questioned pointed; at that moment the non-stop boat-
express from Paris overtook them and thundered by. At it passed, he
glanced anxiously at the carriage-windows, hoping against hope that
he might catch sight of her.
The last exasperation came when they broke down at Rayeux and
wasted nearly an hour. He arrived at his destination at the exact
moment at which the Wilhelm der Grosse was scheduled to sail.
Picking up the flowers he had purchased for her, he dashed out of
the station and shouldered his way to where some fiacres were
standing. Thrusting a twenty-franc note into the nearest cocker’s
hand, he startled the man into energy.
What a drive! Of the streets through which they galloped he saw
nothing. He was only conscious of people escaping to the pavement
and of threats shouted through the sunshine.
When they arrived at the quay, the horse was in a lather. Far off,
at the mouth of the harbor in a blue-gold haze, the liner lay black,
her smoke-stacks smudging the sky. Snuggled against her were the
two tugs which had taken out the passengers. An official-looking
person in a peaked cap was standing near to where they had halted.
Did he understand English? Certainly. To the question that
followed he answered imperturbably: “Too late, monsieur. It is
impossible.”
He gazed round wildly. He must get to her. He must at least let
Desire know that he had made the journey.
Above the wall of the quay a head in a yachting-cap appeared. He
ran towards it. Stone steps led down to the water’s edge. Against
the lowest step a power-boat lay rocking gently with the engine still
running. No time to ask permission or to make explanations! He
sprang down the steps, flung his roses into the boat, turned on the
power and was away.
Shouting behind him grew fainter. Now he heard only the panting
of the engine and the swirl of waves. The liner stood up taller. He
steered for it straight as an arrow. If he could only get there! The
tugs were casting loose. Now they were returning. He wasn’t a
quarter of a mile away. He cleared the harbor. The steamer was
swinging her nose round. He could see her screws churning. His only
chance of stopping her was to cut across her bows.
From crowded decks faces were staring down. Some were
laughing; some were pale at his foolhardiness. An officer with a thick
German accent was cursing him. He could only hear the accent; he
couldn’t make out what the man was saying. What did he care? He
had forced them to wait for him. From all that blur of faces he was
trying to pick out one face.
Making a megaphone of his hands, he shouted. His words were
lost in the pounding of the engines and the lapping of the waves.
Then he saw a face which he recognized—Fluffy’s. She was saying
something to the officer; she was explaining the situation. Leaning
across the rail, laughing, she shook her head. The news of the
reason for his extraordinary behavior was passing from mouth to
mouth along the decks. The laugh was taken up. The whole ship
seemed to hold its sides and jeer at him.
The liner gathered way. The last thing he saw distinctly was Fluffy,
still laughing and shaking her golden head. She was keeping Desire
from him; he knew that she had lied.
The boat rose and fell in the churned-up wake. Like a man whose
soul has suddenly died, he sat very silent.
Slowly he came to himself. Evening was falling. He felt old. It was
all true, then—the lesson that her mother had taught him in his
childhood! There were women in the world whom love could not
conquer.
He flung the roses he had bought for her into the sea. Turning the
head of the boat, he reentered the harbor.

FINIS
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