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In: Statistics and Probability

Q1. Let {Xn|n ≥ 0} is a Markov chain with state space S = {0, 1,...

Q1. Let {Xn|n ≥ 0} is a Markov chain with state space S = {0, 1, 2, 3} and transition probability matrix (pij ). Let τi = min{n ≥ 1 : Xn = i}, i = 0, 1, 2, 3. Define Bij = {Xτj = i}. Is Bij ∈ σ(X0, · · · , Xτj ) ? Q2. Let {Xn|n ≥ 0} is a Markov chain with state space S = {0, 1, 2, 3}, X0 = 0, and transition probability matrix (pij ) given by   2 3 1 3 0 0 1 3 2 3 0 0 0 1 4 1 4 1 2 0 0 1 2 1 2   Let Bij as in Q1. Compute P(Xτ0+2 = 2|B00).

Q4. Let {Xn|n ≥ 0} is a Markov chain with state space S = {0, 1, 2} and transition probability matrix (pij ) given by   2 3 1 3 0 1 3 2 3 0 0 1 4 3 4   Let τ2 = inf{n ≥ 1 : Xn = 2} Find P{τ2 < ∞|X0 = 2}. Q5. Let {Xn|n ≥ 0} is a Markov chain with state space S = {0, 1, 2, 3}, and transition probability matrix (pij ) given by   2 3 1 3 0 0 1 3 2 3 0 0 0 1 4 1 4 1 2 0 0 1 2 1 2   Determine all recurrent states. 1

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