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First Passage with Parity-Dependent Transitions

题目

Consider a Markov chain on {0,1,2,3}\{0, 1, 2, 3\} where states 00 and 33 are absorbing. The transition probabilities for transient states depend on the parity of the state:

  • From any odd state ii: p(i,i1)=34p(i, i-1) = \tfrac{3}{4}, p(i,i+1)=14p(i, i+1) = \tfrac{1}{4}.
  • From any even transient state ii (i.e., i=2i = 2): p(i,i1)=14p(i, i-1) = \tfrac{1}{4}, p(i,i+1)=34p(i, i+1) = \tfrac{3}{4}.

Compute E[TX0=1]E[T \mid X_0 = 1] where T=inf{n0:Xn{0,3}}T = \inf\{n \ge 0 : X_n \in \{0, 3\}\}.

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