题目
Consider a Markov chain on {1,2,3,4,5}\{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}.P=213100021041000320000021213100412132.
Let B={4,5}B = \{4, 5\}B={4,5} and TB=inf{n≥0:Xn∈B}T_B = \inf\{n \ge 0 : X_n \in B\}TB=inf{n≥0:Xn∈B}.
(a) Show that E[TB∣X0=i]<∞E[T_B \mid X_0 = i] < \inftyE[TB∣X0=i]<∞ for all i∈{1,2,3}i \in \{1, 2, 3\}i∈{1,2,3}.
(b) Compute E[TB∣X0=1]E[T_B \mid X_0 = 1]E[TB∣X0=1].
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