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486概率简单数值题short

Three-State First Passage with Deterministic Return

题目

A Markov chain on {0,1,2}\{0, 1, 2\} has transition probabilities: p(0,1)=1,p(1,0)=25,p(1,2)=35,p(2,2)=1.p(0,1) = 1, \quad p(1,0) = \tfrac{2}{5}, \quad p(1,2) = \tfrac{3}{5}, \quad p(2,2) = 1. Compute E[T2X0=0]E[T_2 \mid X_0 = 0], where T2=inf{n0:Xn=2}T_2 = \inf\{n \ge 0 : X_n = 2\}.

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