Consider a Markov chain on {0,1,2,3,4} with transition probabilities for interior states:
p(1,0)=21,p(1,2)=21,p(2,1)=31,p(2,3)=32,p(3,2)=41,p(3,4)=43.
States 0 and 4 are absorbing. Let T=inf{n≥0:Xn∈{0,4}}.
(a) Starting from state 2, compute P(XT=4∣X0=2).
(b) Compute E[T∣X0=2].