For the Markov chain model of Section 4 6.1, namely, j=1,.,-1, i>1, suppose that the initial state

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For the Markov chain model of Section 4 6.1, namely, j=1,.,-1, i>1, suppose that the initial state is N = where nm. Show that when n, m, and nm are large the number of steps to reach 1 from state N has approximately a Poisson distribution with mean m [clog clog - 1 + log(c - 1 + log(c 1)], where cn/m. (Hint Use Stirling's approximation.)

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Stochastic Processes

ISBN: 9780471120629

2nd Edition

Authors: Sheldon M. Ross

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