Consider a Markov chain {X,, n 0} with PNN 0 Let P(i) denote the probability that this

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Consider a Markov chain {X,, n 0} with PNN 0 Let P(i) denote the probability that this chain eventually enters state N given that it starts in state i Show that {P(X), n = 0} is a martingale.

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Stochastic Processes

ISBN: 9780471120629

2nd Edition

Authors: Sheldon M. Ross

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Question Posted: Sep 06, 2024 09:04 AM

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Consider a Markov chain {X,, n 0} with PNN 0 Let P(i) denote the probability that this

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Stochastic Processes

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