Let {X, n 0} be a Markov chain with stationary probabilities #,, j 0. Suppose that X

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Let {X, n 0} be a Markov chain with stationary probabilities #,, j 0. Suppose that X = i and define T = Min{n: n > 0 and X = i}. Let YX, 0, 1, ., T. Argue that {Y,,j = 0, ., T} is distributed as the states of the reverse Markov chain (with transition probabilities PP/) starting in state 0 until it returns to 0

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Stochastic Processes

ISBN: 9780471120629

2nd Edition

Authors: Sheldon M. Ross

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