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handout_week15_a - Stochastic Signals and Systems Markov...

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Stochastic Signals and Systems Markov Chains Virginia Tech Fall 2008 Markov Chains: Introduction Markov processes represent the simplest generalization of independent processes by permitting the outcome at any instant to depend only on the outcome that precedes it and none before that. Thus in a Markov process X ( t ) , the past has no influence on the future if the present is specified. That is, if for arbitrary times t 1 < t 2 < . . . < t k < t k + 1 , P [ X ( t k + 1 ) = x k + 1 | X ( t k ) = x k , . . . , X ( t 1 ) = x 1 ] = P [ X ( t k + 1 ) = x k + 1 | X ( t k ) = x k ] if X ( t ) is discrete-valued, and P [ a < X ( t k + 1 ) b | X ( t k ) = x k , . . . , X ( t 1 ) = x 1 ] = P [ a < X ( t k + 1 ) b | X ( t k ) = x k ] if X ( t ) is continuous-valued.
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Markov Chains: Introduction One-dimensional random walk Sum process S n = X 1 + X 2 + . . . + X n = S n - 1 + X n P [ S n + 1 = s n + 1 | S n = s n , . . . , S 1 = s 1 ] = P [ S n + 1 = s n + 1 | S n = s n ] Markov Chains: Introduction If X ( t ) is a Markov process, then P [ X ( t 3 ) = x 3 , X ( t 2 ) = x 2 , X ( t 1 ) = x 1 ] = P [ X ( t 3 ) = x 3 | X ( t 2 ) = x 2 , X ( t 1 ) = x 1 ] P [ X ( t 2 ) = x 2 , X ( t 1 ) = x 1 ] = P [ X ( t 3 ) = x 3 | X ( t 2 ) = x 2 ] P [ X ( t 2 ) = x 2 , X ( t 1 ) = x 1 ] = P [ X ( t 3 ) = x 3 | X ( t 2 ) = x 2 ] P [ X ( t 2 ) = x 2 | X ( t 1 ) = x 1 ] P [ X ( t 1 ) = x 1
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This note was uploaded on 05/05/2010 for the course ECECS 5605 taught by Professor Dasilver during the Fall '08 term at Virginia Tech.

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handout_week15_a - Stochastic Signals and Systems Markov...

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