Consider the two-state Markov chain of Example 5.8(A), with X(0) = 0 (a) Compute Cov(X(s), X(y)) (b)

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Consider the two-state Markov chain of Example 5.8(A), with X(0) = 0

(a) Compute Cov(X(s), X(y))

(b) Let S,(t) denote the occupation time of state 0 by t. Use

(a) and (5.84) to compute Var(S(t)). = -

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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 the two-state Markov chain of Example 5.8(A), with X(0) = 0 (a) Compute Cov(X(s), X(y)) (b)

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Stochastic Processes

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