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A three-state continuous-time Markov chain with state space S =( a, b, c) has distinct holding time parameters qa = 1, qb = 2, and
A three-state continuous-time Markov chain with state space S =( a, b, c) has distinct holding time parameters qa = 1, qb = 2, and qc = 3. From each state, the process is equally likely to transition to the other two states. (a) Exhibit (i) the transition probability matrix for the embedded Markov chain, (ii) the generator matrix, and (iii) the transition rate graph. (b) Find the stationary distribution of the continuous-time Markov chain. (c) Find the stationary distribution of the embedded chain.
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