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Stochastic Processes Let {X,, n 2 0} be a Markov chain on states {0, 1, 2, ...} with a one-step transition probability matrix P satisfying

Stochastic Processes

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Let {X,, n 2 0} be a Markov chain on states {0, 1, 2, ...} with a one-step transition probability matrix P satisfying CiPui = ai + b for all i. Show that E[Xi] = aE[Xo] + b. Hint. Introduce the initial distribution

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