Question

Consider a Markov chain X0,X1,X2,… described by the transition probability graph shown below. The chain starts at state 1; that is, X0=1.

Find the probability that X2=3.

P(X2=3)=

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Find the probability that the process is in state 3 immediately after the second change of state. (A “change of state" is a transition that is not a self-transition.)

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Find (approximately) P(X1000=2∣X1000=X1001).

P(X1000=2∣X1000=X1001)≈

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Let T be the first time that the state is equal to 3.

E[T]=

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Suppose for this part of the problem that the process starts instead at state 2, i.e., X0=2. Let S be the first time by which both states 1 and 3 have been visited.

E[S]=

Answer 1

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