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495概率困难derivationlong

Finite Hitting Time Between Communicating Components

题目

Consider a Markov chain on {1,2,3,4,5}\{1, 2, 3, 4, 5\} with transition matrix P=(121200013023000140121400012120001323).P = \begin{pmatrix} \tfrac{1}{2} & \tfrac{1}{2} & 0 & 0 & 0 \\ \tfrac{1}{3} & 0 & \tfrac{2}{3} & 0 & 0 \\ 0 & \tfrac{1}{4} & 0 & \tfrac{1}{2} & \tfrac{1}{4} \\ 0 & 0 & 0 & \tfrac{1}{2} & \tfrac{1}{2} \\ 0 & 0 & 0 & \tfrac{1}{3} & \tfrac{2}{3} \end{pmatrix}.

Let B={4,5}B = \{4, 5\} and TB=inf{n0:XnB}T_B = \inf\{n \ge 0 : X_n \in B\}.

(a) Show that E[TBX0=i]<E[T_B \mid X_0 = i] < \infty for all i{1,2,3}i \in \{1, 2, 3\}.

(b) Compute E[TBX0=1]E[T_B \mid X_0 = 1].

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