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482概率中等数值题medium

First Passage Through a Randomizing State

题目

A Markov chain on {0,1,2}\{0, 1, 2\} has the transition matrix P=(1001403412120).P = \begin{pmatrix} 1 & 0 & 0 \\ \tfrac{1}{4} & 0 & \tfrac{3}{4} \\ \tfrac{1}{2} & \tfrac{1}{2} & 0 \end{pmatrix}. State 00 is absorbing. Starting from state 11, let T=inf{n1:Xn=0}T = \inf\{n \ge 1 : X_n = 0\}.

(a) Compute E[TX0=1]E[T \mid X_0 = 1].

(b) Compute E[TX0=2]E[T \mid X_0 = 2].

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你的答案

a

b