Problems

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Solution:

1. \(\,\) \begin{align*} && \mathbb{E}(Z| a < Z < b) &= \mathbb{E}(Z\mathbb{1}_{(a,b)}) /\mathbb{E}(\mathbb{1}_{(a,b)}) \\ &&&= \int_a^b z \phi(z) \d z \Big / (\Phi(b) - \Phi(a)) \\ &&&= \frac{\int_a^b \frac{1}{\sqrt{2 \pi}}z e^{-\frac12 z^2} \d z}{\Phi(b) - \Phi(a)} \\ &&&= \frac{\frac1{\sqrt{2\pi}} \left [-e^{-\frac12 z^2} \right]_a^b}{\Phi(b) - \Phi(a)} \\ &&&= \frac{\frac1{\sqrt{2\pi}} \left (e^{-\frac12 a^2}-e^{-\frac12 b^2} \right)}{\Phi(b) - \Phi(a)} \\ \end{align*}
2. \(\,\) \begin{align*} && \mathbb{E}(X |X > 0) &= \mathbb{E}(\mu + \sigma Z | \mu + \sigma Z > 0) \\ &&&= \mathbb{E}(\mu + \sigma Z | Z > -\tfrac{\mu}{\sigma}) \\ &&&= \mathbb{E}(\mu| Z > -\tfrac{\mu}{\sigma})+ \sigma \mathbb{E}(Z | Z > -\tfrac{\mu}{\sigma})\\ &&&= \mu+ \sigma \mathbb{E}(Z | Z > -\tfrac{\mu}{\sigma})\\ \end{align*} Hence \begin{align*} &&\mathbb{E}(|X|) &= \mathbb{E}(X | X > 0)\mathbb{P}(X > 0) - \mathbb{E}(X | X < 0)\mathbb{P}(X < 0) \\ &&&=\left ( \mu+ \sigma \mathbb{E}(Z | Z > -\mu /\sigma)\right)(1-\Phi(-\mu/\sigma)) - \left ( \mu+ \sigma \mathbb{E}(Z | Z < -\mu /\sigma)\right)\Phi(-\mu/\sigma) \\ &&&= \mu(1 - 2\Phi(-\mu/\sigma)) + \sigma \frac{e^{-\frac12\mu^2/\sigma^2}}{\sqrt{2\pi}(1-\Phi(-\mu/\sigma))}(1-\Phi(-\mu/\sigma)) + \sigma \frac{e^{-\frac12\mu^2/\sigma^2}}{\sqrt{2 \pi} \Phi(-\mu/\sigma)} \Phi(-\mu/\sigma) \\ &&&= \mu(1 - 2\Phi(-\mu/\sigma)) + \sigma \sqrt{\frac{2}{\pi}} \exp(-\tfrac12 \mu^2/\sigma^2) \end{align*} Finally, \begin{align*} && \textrm{Var}(|X|) &= \mathbb{E}(|X|^2) - [\mathbb{E}(|X|)]^2 \\ &&&= \mu^2 + \sigma^2 - m^2 \end{align*}

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Solution:

1. \(\,\) \begin{align*} && 1 &= \frac{a}{x} + \frac{b}{y} \\ \frac{\d}{\d x}: && 0 &= -\frac{a}{x^2} - \frac{b}{y^2} \frac{\d y}{\d x} \\ \Rightarrow && \frac{\d y}{\d x} &= -\frac{ay^2}{bx^2} \\ \\ (p,q): && -\frac{aq^2}{bp^2} &= -\frac{a}{b} \\ \Rightarrow && p^2 &= q^2 \\ \Rightarrow && p &= \pm q \\ \\ \Rightarrow && ap \pm b p &= 1 \\ \Rightarrow && (a\pm b)p &= 1 \\ \Rightarrow && \frac{a}{p} \pm \frac{b}{p} &= 1 \\ \Rightarrow && (a \pm b)\frac{1}{p} &= 1 \\ \Rightarrow && (a \pm b)^2 &= 1 \end{align*}
2. \(\,\) \begin{align*} && 1 &= \frac{a}{x} - \frac{b}{y} \\ \Rightarrow && \frac{\d y}{\d x} &= \frac{ay^2}{bx^2} \\ \Rightarrow && \frac{aq^2}{bp^2} &= \frac{b}{a} \\ \Rightarrow && aq &= \pm bp \\ \Rightarrow && 1 &= \frac{a}{p} - \frac{b}{q} \\ &&&= \frac{aq-bp}{pq} \\ \Rightarrow && aq &= -bp \\ \Rightarrow && 1 &= \frac{2aq}{pq} \\ \Rightarrow && p &= 2a \\ \Rightarrow && q &= -2b \\ \Rightarrow && 1 &= 2a^2-2b^2 \\ \Rightarrow && \frac12 &= a^2-b^2 \end{align*}

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Solution: \begin{align*} \int_0^1 \frac{x \e^x}{1+x} \, \d x &= \int_0^1 \frac{(x+1-1) \e^x}{1+x} \, \d x \\ &= \int_0^1 \left ( e^x -\frac{\e^x}{1+x} \right )\, \d x \\ &= \e-1-E \end{align*} \begin{align*} \int_0^1 \frac{x^2 \e^x}{1+x} \, \d x &= \int_0^1 \frac{(x^2+x-x) \e^x}{1+x} \, \d x \\ &= \int_0^1 \left ( xe^x -\frac{x\e^x}{1+x} \right )\, \d x \\ &= \left [xe^{x} \right]_0^1 - \int_0^1 e^x \, \d x -(\e-1-E) \\ &= \e-(\e-1)-(\e -1 -E) \\ &= 2-\e + E \end{align*}

1. Since \(\displaystyle u = \frac{1-x}{1+x},\frac{\d u}{\d x} = \frac{-(1+x)-(1-x)}{(1+x)^2}\), \begin{align*} && \int_0^1 \frac{\e^{\frac{1-x}{1+x}}}{1+x}\, \d x &= \int_{u=1}^{u=0} \frac{e^u}{1+x} \cdot \frac{(1+x)^2}{-2} \d u \\ &&&= \int_0^1 \frac{(1+x) e^u}{2} \d u \\ &&&= \int_0^1 \frac{\left ( 1 + \frac{1-u}{1+u} \right) e^u}{2}\, \d u \\ &&&= \frac12 \int_0^1 \left (e^u + \frac{e^{u}}{1+u} - \frac{ue^u}{1+u} \right) \, \d u \\ &&&= \frac12 \left( \e-1 + E - (\e - 1 - E) \right) \\ &&&= E \end{align*}
2. Since \(\displaystyle u = x^2-1, \d u = 2x \d x\)\begin{align*} \int_1^{\sqrt2} \frac {\e^{x^2}}x \, \d x &= \int_{u=0}^{u=1} \frac{e^{u+1}}{x} \frac{1}{2x} \d u \\ &= \int_0^1 \frac{e^{u+1}}{2(u+1)} \d u \\ &= \frac{\e}{2} E \\ &= \frac{E\e}{2} \end{align*}

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Solution: \begin{align*} && LHS &= 4\sin\theta \sin(\tfrac13\pi-\theta) \sin (\tfrac13\pi+\theta) \\ &&&= 4 \sin \theta \left (\tfrac{\sqrt{3}}{2}\cos \theta - \tfrac12 \sin \theta \right)\left (\tfrac{\sqrt{3}}{2}\cos \theta + \tfrac12 \sin \theta \right) \\ &&&= 4 \sin \theta \left (\tfrac{3}{4}\cos^2 \theta - \tfrac14 \sin^2 \theta \right) \\ &&&= 3\sin \theta - 4\sin^3 \theta \\ &&&= \cos 3 \theta = RHS \end{align*}

1. \(\,\) \begin{align*} && 3 \cos 3 \theta &= \sin 3 \theta \left (\cot \theta - \cot (\tfrac13\pi - \theta) + \cot (\tfrac13\pi + \theta) \right) \\ \Rightarrow && 3 \cot 3\theta &= \cot \theta - \cot (\tfrac13\pi - \theta) + \cot (\tfrac13\pi + \theta) \\ \theta = \tfrac{\pi}{9}: && 3\cot \frac{\pi}{3} &= \cot \tfrac{\pi}{9} - \cot \tfrac{2}{9}\pi + \cot \tfrac49 \pi \\ \Rightarrow && \sqrt{3} &= \cot \tfrac{\pi}{9} - \cot \tfrac{2}{9}\pi + \cot \tfrac49 \pi \end{align*}
2. \(\,\) \begin{align*} \theta = \tfrac16\pi - \phi && \sin(\tfrac12\pi - 3\phi) &= 4\sin(\tfrac16\pi - \phi)\sin(\phi+\tfrac16\pi)\sin(\tfrac12\pi - \phi) \\ \Rightarrow && \cos 3\phi &= 4\cos(\phi - \tfrac13\pi)\cos(\tfrac13\pi - \phi)\cos\phi \\ \Rightarrow && \cot 3\theta &= \cot \theta\cot(\phi - \tfrac13\pi)\cot(\tfrac13\pi - \phi) \tag{dividing by (\(*\))} \\ \\ \frac{\d}{\d \theta}:&& -\csc^2 3\phi &= \cot3\phi \left (-\csc^2 \phi\tan \phi+\csc^2 (\tfrac13\pi - \phi) \tan (\tfrac13\pi - \phi) -\csc^2(\phi - \tfrac13\pi)\tan (\phi - \tfrac13\pi) \right) \\ \Rightarrow && \csc^23\phi\tan3\phi & = 2( \csc2\phi- \csc(\tfrac{2}{3}\pi - 2\phi)+\csc(\phi - \tfrac23\pi)) \\ \phi = \frac{1}{18}\pi: && 4\sqrt{3} &= 2(\csc \tfrac{1}{9}\pi - \csc \tfrac59\pi + \csc \tfrac79 \pi) \\ \end{align*} and the result follows.

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Solution: The tangent at \((at^2, 2at)\) can be found \begin{align*} && \frac{\d y}{\d x} &= \frac{\dot{y}}{\dot{x}} \\ &&&= \frac{2a}{2at} = \frac1t \\ \Rightarrow && \frac{y-2at}{x-at^2} &= \frac1t \\ \Rightarrow && ty -x &= at^2 \\ \\ PT: && py - x &= ap^2 \\ QT: && qy - x &= aq^2 \\ \Rightarrow && (p-q)y &= a(p^2-q^2) \\ \Rightarrow && y &= a(p+q) \\ && x &= aq(p+q) - aq^2 \\ &&&= apq \end{align*} By the cosine rule: \begin{align*} && TP^2 &= FT^2 + FP^2 - 2 \cdot FT \cdot FP \cdot \cos \phi \\ && (apq - ap^2)^2 + (a(p+q)-2ap)^2 &= (a-apq)^2+(a(p+q))^2 + \\ &&&\quad + (a-ap^2) + (2ap)^2 - 2 \cdot FT \cdot FP \cdot \cos \phi \\ \Rightarrow && a^2p^2(q-p)^2 + a^2(q-p)^2 &= a^2(1-pq)^2+a^2(p+q)^2 + \\ &&&\quad + a^2(1-p^2)^2+4a^2p^2 - 2 \cdot FT \cdot FP \cdot \cos \phi \\ && a^2(p^2+1)(q-p)^2 &= a^2(1+p^2)(1+q^2) + a^2(1+p^2)^2 + \\ &&&\quad - 2 \cdot a^2(1+p^2)\sqrt{(1+p^2)(1+q^2)} \cos \phi \\ \Rightarrow && \cos \phi &= \frac{a^2(1+p^2)(2+q^2+p^2-(q-p)^2)}{2 a^2 (1+p^2)\sqrt{(1+p^2)(1+q^2)}} \\ &&&= \frac{1+pq}{\sqrt{(1+p^2)(1+q^2)}} \end{align*} As required. Notice that by symmetry, \(\cos \angle TFQ = \frac{1+qp}{\sqrt{(1+q^2)(1+p^2)}} = \cos \phi\). Therefore they have the same angle and \(FT\) bisects \(PFQ\)

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Solution:

Note that the line \(y = x\) is the tangent \((0,0)\) and \(y = \sin x \) is always below it. For any other line through the origin with gradient \(0 < k < 1\) it must start below \(y = \sin x\), but finish above it at \(x = \pi\). It also can only cross once due the the convexity of \(\sin\) in this interval. \begin{align*} && I &= \int_0^\pi | \sin x -kx | \d x \\ &&&= \int_0^\alpha (\sin x -k x) \d x + \int_{\alpha}^\pi (kx - \sin x) \d x \\ &&&= \left [ -\cos x - \frac{kx^2}{2} \right]_0^{\alpha} + \left [ \cos x +\frac{kx^2}{2} \right]_{\alpha}^\pi \\ &&&= -\cos \alpha - \frac{k \alpha^2}{2} +1+(-1)+\frac{k\pi^2}{2} - \cos \alpha - \frac{k\alpha^2}{2} \\ &&&= -2\cos \alpha - k\left (\alpha^2 - \frac{\pi^2}{2} \right) \\ &&&= -2\cos \alpha - \frac{\sin \alpha}{\alpha}\left (\alpha^2 - \frac{\pi^2}{2} \right) \\ &&&= \frac{\pi^2 \sin \alpha}{\alpha} - \alpha \sin \alpha - 2\cos \alpha \end{align*} \begin{align*} && \frac{\d I}{\d \alpha} &= \frac{\pi^2(\alpha \cos \alpha - \sin \alpha)}{2\alpha^2} + 2 \sin \alpha - \sin \alpha - \alpha \cos \alpha \\ &&&= \frac{-2\alpha^3 \cos \alpha + 2\alpha \sin\alpha + \pi^2 \alpha \cos \alpha - \pi^2 \sin \alpha}{2\alpha^2} \\ \\ &&&= \left ( \alpha \cos \alpha - \sin \alpha\right) \left ( \frac{\pi^2}{2\alpha^2}-1 \right)\ \end{align*} Therefore \(I' = 0\) if \(\tan \alpha = \alpha\) or \(\alpha = \frac{\pi}{\sqrt{2}}\). Since \(\tan \alpha = \alpha\) only at \(\alpha = 0\) (between \(0 \leq \alpha < \pi\) (by considering the tangent), we must have a unique turning point when \(\alpha = \frac{\pi}{\sqrt{2}}\). Note that \(I(\frac{\pi}{\sqrt{2}}) = \frac{\pi^2 \sqrt{2} \sin \alpha}{2\pi} - \frac{\pi}{\sqrt{2}} \sin \alpha - 2\cos \frac{\pi}{\sqrt{2}}=- 2\cos \frac{\pi}{\sqrt{2}}\). Notice that \(I(0) = \frac{\pi^2}2 - 2 > 2\) and \(I(\pi) = 2\), but \(-2\cos \frac{\pi}{\sqrt{2}} < 2\) so we must be a at a minimum

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Solution: Notice that the coefficient of \(x^r\) is \((-1)^r\frac{(-3) \cdot (-3-1) \cdots (-3-r+1)}{r!} = (-1)^r \frac{(-1)(-2)(-3)(-4) \cdots (-(r+2))}{(-1)(-2)r!} = (-1)^r(-1)^{r+2}\frac{(r+2)!}{2r!} = \frac{(r+2)(r+1)}2\).

1. The coefficient of \(x^r\) is \begin{align*} && c_r &=\frac{(r+1)(r+2)}{2} - \frac{(r-1+1)(r-1+2)}{2} + 2 \frac{((r-2+1)(r-2+2)}{2} \\ &&&= \frac{r^2+3r+2}{r} - \frac{r^2+r}{2} + \frac{2r^2-2r}{2}\\ &&&= \frac{2r^2+2}{2} = r^2+1 \end{align*} \begin{align*} && S & = 1+\frac22+\frac54+\frac{10}8+\frac{17}{16}+\frac{26}{32}+\frac{37}{64} +\frac{50}{128}+ \cdots \\ &&&= \sum_{r=0}^{\infty} \frac{r^2+1}{2^r} \\ &&&= \frac{1-\tfrac12+2 \cdot \tfrac14}{(1-\tfrac12)^3} \\ &&&= 8 \end{align*}
2. \(\,\) \begin{align*} && S &= 1+2+\frac94+2+\frac{25}{16}+\frac{9}{8}+\frac{49}{64} + \cdots \\ &&&= \sum_{r=0}^{\infty} \frac{(r+1)^2}{2^r} \\ &&&= 2 \sum_{r=0}^{\infty} \frac{(r+1)^2}{2^{r+1}} \\ &&&= 2 \sum_{r=1}^{\infty} \frac{r^2}{2^{r}} \\ &&&= 2 \left (\sum_{r=0}^{\infty} \frac{r^2+1}{2^{r}} - \sum_{r=0}^{\infty} \frac{1}{2^{r}} \right) \\ &&&= 2 (8 - 1) = 14 \end{align*}

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Solution:

1. \begin{align*} \frac{\d h}{\d t} &= \underbrace{c}_{\text{flow in}} - \underbrace{kh}_{\text{flow out}} \end{align*}. We also know that when \(h = \alpha^2 H\), \(\frac{\d h}{\d t} = 0\), ie \(c - k \alpha^2 H = 0\) therefore: \[ \frac{\d h}{\d t} = k(\alpha^2 H - h) \] \begin{align*} && \frac{\d h}{\d t} &= k(\alpha^2 H - h) \\ && \int \frac{1}{\alpha^2 H - h} \d h &= \int k \d t \\ && - \ln |\alpha^2H -h| &= kt + C \\ t = 0, h = H: && -\ln |(1-\alpha^2 )H| &= C \\ \Rightarrow && kt &= \ln \left | \frac{(\alpha^2-1)H}{h-\alpha^2 H }\right | \\ && kT &= \ln \frac{(\alpha^2-1)H}{\alpha H - \alpha^2 H} \\ &&&= \ln \frac{1+\alpha}{\alpha} \\ &&&= \ln \left (1 + \frac1{\alpha} \right) \\ &&&\approx \frac1{\alpha} - \frac12 \frac1{\alpha^2}\\ &&&\approx \alpha^{-1} \end{align*}
2. \begin{align*} && \frac{\d h}{\d t} &=c(\alpha \sqrt{H} - \sqrt{h}) \\ \Leftrightarrow && c \int_0^{T'} \d t&= \int_{H}^{\alpha H} \frac{1}{\alpha \sqrt{H}-\sqrt{h}} \d h \\ u = \sqrt{h/H}: && cT' &= \int_1^{\sqrt{\alpha}} \frac{1}{\alpha \sqrt{H} - \sqrt{H}u} 2\sqrt{H}u \d u \\ &&&= 2\sqrt{H}\int_1^{\sqrt{\alpha}} \frac{u}{\alpha - u} \d u \\ &&&= 2\sqrt{H}\int_1^{\sqrt{\alpha}} \frac{u - \alpha + \alpha}{\alpha - u} \d u \\ &&&= 2\sqrt{H}\left [-u - \alpha \ln |\alpha - u| \right]_1^{\sqrt{\alpha}} \\ &&&= 2\sqrt{H}\left ( -\sqrt{\alpha} + 1- \alpha \ln (\alpha - \sqrt{\alpha}) + \alpha \ln |\alpha - 1| \right) \\ &&&= 2\sqrt{H}\left (1-\sqrt{\alpha} + \alpha \ln \left ( \frac{\alpha-1}{\alpha - \sqrt{\alpha}} \right)\right)\\ &&&= 2\sqrt{H}\left (1-\sqrt{\alpha} + \alpha \ln \left ( \frac{\sqrt{\alpha}^2-1}{\sqrt{\alpha}(\sqrt{\alpha}-1)} \right)\right)\\ &&&= 2\sqrt{H}\left (1-\sqrt{\alpha} + \alpha \ln \left ( \frac{\sqrt{\alpha}+1}{\sqrt{\alpha}} \right)\right)\\ &&&= \boxed{2\sqrt{H}\left (1-\sqrt{\alpha} + \alpha \ln \left ( 1+\frac{1}{\sqrt{\alpha}} \right)\right)}\\ &&&\approx2\sqrt{H}\left (1-\sqrt{\alpha} + \alpha \left ( \frac{1}{\sqrt{\alpha}}-\frac12 \frac{1}{\alpha} \right)\right) \\ &&&=2\sqrt{H} \left ( 1 - \frac12 \right) \\ &&&= \sqrt{H} \end{align*} as required.

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Solution:

1. The only way you wont be able to sell to them is if they are first, ie \(\frac1{m+1}\)
2. If \(n=2\), the the only way you fail to sell to them is if one comes first or they both appear before two people with pound coins, ie \(2\) or \(122\). These have probabilities \(\frac{2}{m+2}\) and \(\frac{m}{m+2} \cdot \frac{2}{m+1} \frac{1}{m} = \frac{2}{(m+1)(m+2)}\). Therefore the total probability you don't sell all the tickets is \(\frac{2}{m+2}\left ( 1 + \frac{1}{m+1} \right) = \frac{2}{m+2} \frac{m+2}{m+1} = \frac{2}{m+1}\). Therefore the probability you do sell all the tickets is \(1 - \frac{2}{m+1} = \frac{m-1}{m+1}\)
3. The only ways to fail when \(n=3\) are: \(2\), \(122\), or if all three \(2\)s appear before three \(1\)s. this can happen in \(11222\), \(12122\) These happen with probability: \begin{align*} 2: && \frac{3}{m+3} \\ 122: && \frac{m}{m+3} \cdot \frac{3}{m+2} \cdot \frac{2}{m+1} \\ 11222: && \frac{m(m-1) 6}{(m+3)(m+2)(m+1)m(m-1)} \\ 12122: && \frac{m(m-1) 6}{(m+3)(m+2)(m+1)m(m-1)} \\ \end{align*} Therefore the total probability is: \begin{align*} P &= \frac{1}{(m+3)(m+2)(m+1)} \left (3(m+2)(m+1)+6m + 12 \right) \\ &= \frac{1}{(m+3)(m+2)(m+1)} \left (3(m+1)(m+2) \right) \\ &= \frac{3}{m+1} \end{align*} and the result follows

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Solution: First notice that \begin{align*} && 1 &= \int_{-a}^2 f(x) \d x \\ &&&= 2ka + k\pi \\ \Rightarrow && k &= (\pi + 2a)^{-1} \end{align*}

1. \(\,\) \begin{align*} && \E[X] &= \int_{-a}^2 x f(x) \d x\\ &&&= \int_{-a}^0 2kx \d x + k\int_0^{2} x\sqrt{4-x^2} \d x\\ &&&= \left [kx^2 \right]_{-a}^0 +k \left [-\frac13(4-x^2)^{\frac32} \right]_0^2 \\ &&&= -ka^2 + \frac83k \\ &&&= \frac{\frac83-a^2}{\pi + 2a} \end{align*}
2. Consider \(\mathbb{P}(X < 0)\) then \(d < 0 \Leftrightarrow \mathbb{P}(X < 0) > \frac{9}{10}\) \begin{align*} && \frac{9}{10} &< \mathbb{P}(X < 0) \\ &&&= \int_{-a}^0 2k \d x \\ &&&= \frac{2a}{\pi+2a} \\ \Leftrightarrow && 9\pi &< 2a \\ \\ && \frac{9}{10} &= \int_{-a}^d 2k \d x \\ &&&= \frac{2(d+a)}{\pi + 2a} \\ \Rightarrow && 9\pi &= 2a + 20d \\ \Rightarrow && d &= \frac{2a-9\pi}{20} \end{align*}
3. Suppose \(d=\sqrt 2\) then \begin{align*} && \frac1{10} &= \int_{\sqrt{2}}^2 f(x) \d x \\ &&&= \int_{\sqrt{2}}^2 k\sqrt{4-x^2} \d x \\ &&&= k\left [ 2 \sin^{-1} \tfrac12 x + \tfrac12 x \sqrt{4-x^2}\right]_{\sqrt{2}}^2 \\ &&&= k\left (\pi -\frac{\pi}{2} - 1 \right) \\ \Rightarrow && \pi + 2a &= 5\pi - 10 \\ \Rightarrow && a &= 2\pi-5 \end{align*}

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Solution:

1. 

   + - ↺
   Clearly the only solution is \(x = 1\)
2. 

   + - ↺
   There is clearly only one solution, with \(x \approx -2\) \begin{align*} && 4(1-x) &= 6+2\sqrt{9-x^2} \\ && -2x-1 &=\sqrt{9-x^2} \\ \Rightarrow && 4x^2+4x+1 &= 9-x^2 \\ \Rightarrow && 0 &= 5x^2+4x-8 \\ &&x&= \frac{-2\pm 2\sqrt{11}}{5} \\ \Rightarrow && x &= -\left ( \frac{2+2\sqrt{11}}{5} \right) \end{align*}