Unformatted text preview: Deﬁne, X n = max { Z 1 ,Z 2 ,...,Z n } . Show that, { X n ,n ≥ 1 } is a Markov Chain and give its transition matrix P. 3. We are given the Markovian stochastic process ( X n ) ,n ≥ 0 with onestep transition probabilities matrix P = . 2 0 . 5 0 . 3 . 3 0 . 1 0 . 6 . 1 0 . 1 0 . 8 . Calculate the following probabilities: P ( X 3 = 2  X 2 = 1 ,X 1 = 3) P ( X 3 = 2  X 1 = 3) 1...
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 Spring '07
 LEWIS,M.
 Markov chain, Xn, black balls, transition probabilities

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