Consider the continuous Markov chain of Example 11.17: A chain with two states S = {0, 1} and λ₀ = λ₁ = λ > 0. In that example, we found that the transition matrix for any t ≥ 0 is given by

Find the stationary distribution π for this chain.

Example 11.17

Consider a continuous Markov chain with two states S = {0, 1}. Assume the holding time parameters are given by λ₀ = λ₁ = λ > 0. That is, the time that the chain spends in each state before going to the other state has an Exponential(λ) distribution.

Transcribed Image Text:

P(t) = -2xt +½e-² -2xt 27/27-12- 7-10-2417 -2xt 1 2+e-2xt