Consider a recurrent Markov chain starting in state 0. Let m, denote the expected number of time

Question:

Consider a recurrent Markov chain starting in state 0. Let m, denote the expected number of time periods it spends in state i before returning to 0. Use Wald's equation to show that = " j>0 m = 1. Now give a second proof that assumes the chain is positive recurrent and relates the m, to the stationary probabilities.

Fantastic news! We've Found the answer you've been seeking!

Step by Step Answer:

Related Book For  book-img-for-question

Stochastic Processes

ISBN: 9780471120629

2nd Edition

Authors: Sheldon M. Ross

Question Posted: