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489概率困难derivationlong

Splitting Probability and Expected Hitting Time with Two Targets

题目

Consider a Markov chain on {0,1,2,3,4}\{0, 1, 2, 3, 4\} with transition probabilities for interior states: p(1,0)=12,p(1,2)=12,p(2,1)=13,p(2,3)=23,p(3,2)=14,p(3,4)=34.p(1,0) = \tfrac{1}{2}, \quad p(1,2) = \tfrac{1}{2}, \quad p(2,1) = \tfrac{1}{3}, \quad p(2,3) = \tfrac{2}{3}, \quad p(3,2) = \tfrac{1}{4}, \quad p(3,4) = \tfrac{3}{4}. States 00 and 44 are absorbing. Let T=inf{n0:Xn{0,4}}T = \inf\{n \ge 0 : X_n \in \{0, 4\}\}.

(a) Starting from state 22, compute P(XT=4X0=2)P(X_T = 4 \mid X_0 = 2).

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

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你的答案

a

b