Stochastic processes (with either discrete or continuous time dependence) on a discrete (finite or countably infinite) state space in which the distribution of the next state depends only on the current state. For Markov processes on continuous state spaces please use (markov-process) instead.

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Exercise on Markov chains

I'm preparing my Probability exam and I'm having trouble with exercise 2 here. The question is to consider the random walk on $E$ with transition matrix $p$ and find the communication classes (or ...
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Proving criterion for a transient state in Markov Chain

Let $\{X_n\}_n$ be a homogenous Markov chain. Prove that if exist a connected subset of states (means set of states which exist positive probability to move between them), $S$ which is not closed, ...
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continuous markov chain generator

I am trying to learn Markov process with my own. I am a little confused about the generator of markov process. I understand that Markov process consists of embbedded Markov chain matrix and the ...
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20 views

Proof of “strong law of large numbers” in Markov Chains

I have been given a theorem stating an analogue of the strong law of large numbers for Markov chains. It states that if $X=(X_n)_{n\in\mathbb{N}}$ is a Markov chain with transition matrix $p$ and ...
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18 views

Conditional independence given elementary events implies conditional independence given $\sigma $-algebra

Proposition: Let $X$ be a continuous markov chain with discrete state space $S$. Let $Z$ be the corresponding jump chain and $\left\{ {{W_i},i \in \mathbb{N}} \right\}$ its holding times. Let ...
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Periodicity of Markov chains under cartesian product

Suppose that you have a finite state Markov chain, with $n$ states and characterized by $p_{i,j}$ the probability of reaching state $j$ from state $i$. Consider the new Markov chain with $n^2$ states ...
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50 views

Markov chain doesn't sum up to 1

Let $\{X_n\}$ be a Markov chain on $S=\{1,2,3,4,5,6\}$ with the matrix suppose we define a new sequence $\{Y_n\}$ by $$Y_n=\cases{1\quad X_n=1\vee X_n=2\\2\quad X_n=3\vee X_n=4\\3\quad ...
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Marcov Chain confirmation

I am currently having some problems on the following question: Given is the function $f(x)$: $f(x) = 0,1,2$ with probability $\frac{1}{3}$ for each. I have to give the state space, transition ...
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14 views

Proof of theorem on markov chains

If $X=(X_n)_{n\in\mathbb N}$ is a Markov chain on a space $E$, it has an initial distribution $(\lambda_i)_{i\in E}$ such that $\sum\lambda_i=1$ and a transition matrix $(p_{ij})_{i,j\in E}$ such that ...
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12 views

Why does from Perron-Frobenius follow that that constant functions are the only harmonic functions here?

in our reading we had the following example for a Markov chain. State Space $E=\left\{1,2,3,4\right\}$ and Transition Matrix $$ P=\frac{1}{3}\begin{pmatrix}0 & 1 & 1 & 1\\1 ...
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Calculate all harmonic functions

Let $E$ befinite and suppose that $P$ is irreducible and strictly sub-stochastic. Calculate all harmonic functions. To my understanding, $P$ strictly sub-stochastic means that $\sum_{y\in ...
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8 views

non-integer powers of transition matrices with complex eigenvalues and resulting negative probabilities

I am currently working on a Markov Chain model for transition probabilities of a certain set of states. I am trying to figure out how to scale my transition matrix to arbitrary time periods by raising ...
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11 views

Memory less property of a Markov chain- Validation methods

Are there any tests to check the memory less property of a discrete time homogeneous Markov chain? I found a chi squared test to verify the time homogeneity of a Markov chain constructed from a set of ...
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5 views

Hastings algorithm

Let $Q=\begin{pmatrix} 0 & 1 & 0 & 0 & 0\\0.5 & 0 & 0.5 & 0 & 0\\ 0 & 0.5 & 0 & 0.5 & 0\\ 0 & 0 & 0.5 & 0 & 0.5\\ 0 & 0 & 0 ...
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1answer
11 views

Transition probability matrix of Markov chain

Given that $g(x)=\begin{cases} 1/3 \quad\text{for } x=0\\ 1/3 \quad \text{for } x=1\\ 1/3 \quad \text{for } x=2\end{cases}$ Explain why independent draws $X_1,X_2,\dots$ from $g(x)$ ...
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15 views

question with marknow chain on finding happenings after unspecified amount of time.

I am attaching the questions and what i have done so far. I am having doubt in question from 16. Can anyone please explain me how to solve the rest? question 9 P23 that is equal to 0.1 ...
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21 views

Markov chain general help

If I have an absorbing state markov chain (with 2 absorbing states, graduate and dropout), and I know how many people I have in each state (say total for all states is 1000), how would I work out what ...
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19 views

$L^2$ Bounds for Markov Chains.

Consider a non-negative, square stochastic $n \times n$ matrix $P$ (rows sum to one, $P$ is ergodic). We are interested in characterizing the set of $n \times n$ invertible matrices $A$ such that we ...
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36 views

Proof that there exists a non-negative eigenvector corresponding to eigenvalue 1 of stochastic matrix

Let $P \in [0,1]^{n \times n}$ be a [irreducible or reducible] stochastic matrix where its rows sum to 1 i.e. $$ \forall i \in \{ 1 , \dots n \} \quad \sum_{j=1}^{n} P_{ij} = 1 $$ It is easy to show ...
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36 views

Create a Martingale out of a Markov Chain.

Consider a homogeneous finite state Markov chain $\{X_n\}$ with transition matrix $P$ and state set $S$ consisting of real numbers. How to choose the elements of $S$ so that $\{X_n\}$ be a ...
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6 views

Condition under which Markov Chain remains in a compact set a.s.

Let $\{Y_n\}$ be a Marov chain. Is it good question to ask under what conditions this chain will take values from a compact set a.s. ?
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Branching Processes

I would like to have some hints about the following problem: Imagine a descendant tree. We assume that each species can give birth to a new specie in a constant rate $\lambda$. (This rate is called ...
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11 views

Given stochastic matrices D and K, under what conditions can I find stochastic matrices that satisfy a given equality?

Let $D \in \Re^{n \times m}$ and $K \in \Re^{m \times n}$ be two stochastic matrices, with $n > m$. The problem is to determine under which conditions there exist stochastic matrices $P \in \Re^{m ...
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46 views

Couple/Compare two stochastic processes and prove an intuitive proposition

Consider a stochastic process (denoted $X$) $X_0, X_1, X_2, \ldots$ (not necessarily a Markov Chain) over state space $\{0, 1, \cdots, n \}$. The transition probabilities are $$P(X_{i+1} = 1 \mid ...
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Simple Random Walk; Proof hitting theorem; Ballot Theorem

Suppose that $(X_{n}:n\in\mathbb{N})$ is a $\pm1\mbox{-valued sequence.}$ Let $p\in(0,1)$ and $p=\mathbb{P}(X_{i}=1)\mbox{ and}\mathbb{P}(X_{i}=-1)=1-p=q$ . Define the simple random walk ...
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19 views

Stationary solution of a binary Markov chain of order m

Let $X$ be a binary Markov chain of order m. What is the stationary solution of X? In other words, find $\lim_{n\to \infty} P( (X_{n-m+1},X_{n-m},...,X_{n}) =(a_1,a_2,...,a_m))$, for arbitrary values ...
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23 views

Steady state of a specific Markov martirx

Let $n = 2^L$ for an arbitrary integer $L>0$ and let $A=(a_{i,j})$ be an $n \times n$ matrix with the following structure: For $1\leq i \leq \frac{n}{2}$, $a_{i,2i-1} = p_i$, $a_{i,2i} = 1- ...
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1answer
37 views

Eigenvectors of transition matrices in PageRank algorithm

In my probability course, we were discussing applications of Markov Chains to computer science -- in particular, how the PageRank algorithm goes about finding stationary distributions, and thus, ranks ...
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45 views

Probability of a time-dependent set of states in Markov chain

Consider a Markov matrix $P$ defining $m$ states. For each time $n$, define a set of states $S_n$ that contains a predefined subset of the states $\left\{ {1,...,m} \right\}$. For time $n=k$, I would ...
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9 views

hidden Markov model with multiple observations

I am wondering if HMM can be used for the case that in a particular state, there are more than one observations. For instance at time t, we can observe the position, velocity and acceleration at the ...
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27 views

Mixing time for metropolis chain on graph coloring

I'm reading the Markov Chains and Mixing Times by David Levin et al.. In section 5.4 page 71 a proof is given for a bound of mixing time for the Metropolis Chain on graph coloring. In the proof, such ...
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Problem related to variance of first passage matrix of a absorbing Markov chain

Consider the below computations taken from Kemeny/Snell Finite Markov Chains. Here $N=(I-Q)^{-1}$ calculated from some absorbing MC. $N_2$ is the variance matrix of $N$ and $N_{sq}$ is taken by ...
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1answer
25 views

Combination of Markov chains, existance of limiting distribution

I have two Markov chains described by the stochastic matrices $P_1$ and $P_2$ for which a limiting distribution exists. Now I combine the two stochastic matrices using the cartesian product, this ...
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How to prove that this stochastic matrix has a limiting distribution

I have the following stochastic matrix with $p_{ij} > 0$ and $\sum_j p_{ij} = 1$ $$ P = \begin{bmatrix} p_{11} & p_{12} & 0 & 0 & 0 & 0 \\ p_{21} & ...
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62 views

Countable state Markov chain with multiple transitions

I'm searching for hints on how to analyze the following Markov chain. I can solve for the steady state probabilities numerically by using a finite transition matrix. However, I would like to have an ...
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23 views

A problem on markov chain

I have seen in a book the following : Let $X_n$ be an ergodic markov chain taking values in a complete separable metric space $S$. Now consider the function $\mu(t) = \delta_{Y_n(\omega)}$ when $t ...
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29 views

Construction of pure birth process

I am considering a Markov chain $\lbrace X(t) \rbrace_{t≥0}$ in continunous time on the countable state space $S=\lbrace 0 \rbrace\cup \lbrace (i,j) \mid i \in \mathcal{A} , j \in \mathbb{N} \rbrace, ...
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1answer
41 views

Variance on the number of steps in an absorbing Markov chain

I've been looking for a proof for the variance on the number of steps before being absorbed in an absorbing Markov chain. The theorem is given on Wikipedia without citation. Following the references ...
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1answer
55 views

Markov Chains where Time Spent in State Matters

I have done a good bit of research on the subject, and cannot seem to find many materials. I was just wondering if you all knew of a good resource regarding chains which are Markov excepting the fact ...
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55 views

Explosion of a Markov chain

I am considering a Markov chain i continunous time on the countable state space $S=\lbrace 0 \rbrace\cup \lbrace (i,j) \mid i \in \lbrace A,B,C,D,E,F \rbrace , j \in \mathbb{N} \rbrace$. The ...
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25 views

Transience question for Markov Chains

Let's suppose I have a countable state discrete time MC that is known to be transient, irreducible and reversible with respect to some measure that assigns positive finite mass to each singleton, but ...
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52 views

How would I find this constant?

I have this equation, and I'm not sure how to solve for the constant $\nu$, since everything else is known: $$\begin{equation} a + \sqrt{a_i + 4 b_i \nu} + \sum^N_{j=1} (\sqrt{a_j + 4 b_j \nu}) ...
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40 views

Rational Thief Problem, optimal stopping strategy

A thief goes out stealing every day and has a chance of $p_j$ of stealing a sum $j$ with $0\leq j \leq N$. But there's also a chance $p$ of getting caught, in which case he loses everything he got ...
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59 views

Equilibrium distribution of Ehrenfest's urn

(I'll post my own answer to this, but others may be of interest, so post your own if you have one.) (PS: In reply to comments posted below: Stackexchange encourages posting an answer to one's own ...
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What is the state space of this markov chain?

Consider a system where two persons sit at a table and share three books. At any point in time both are reading a book, and one book is left on the table. When a person finishes reading his/her ...
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Estimating the discrete laplacian to prove recurrence of simple random walk for d=2

Given a function $f : \mathbb Z\times \mathbb Z \rightarrow \mathbb{R}$ we define the discrete laplacian of $f$, $\triangle_df$, by the following rule $\triangle_df(x,y)= \dfrac{f(x + 1, y)+f(x, y + ...
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1answer
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what are “filtering” and “smoothing” mentioned in hidden Markov model wikipedia article?

the article mentions "filtering" and "smoothing" tasks, see here http://en.wikipedia.org/wiki/Hidden_Markov_model#Filtering . It gives brief explanation but no motivating examples and no references to ...
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2answers
28 views

Are these transient or recurrent states in a Markov chain?

I have the following transition matrix for a Markov chain with states $A, B, C, D, E$ $ \left| \begin{array}{ccc} 0 & 0 & \frac{1}{2} & \frac{1}{2} & 0 \\ \frac{1}{2} & 0 & ...
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29 views

How to define a transition matrix mathematically?

I'm writing my master thesis. Given the adjacency matrix of a graph, I need to define the transition matrix formally. I'm not able to figure out how to define it in mathematical notation. Can you help ...
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25 views

Can a chain with repeated nodes still be considered a Markov chain?

The well-known Markov Property is that $$P(X_n = i | X_{n-1} = k_1, \dots, X_{n-j} = k_n ) = P(X_n = i | X_{n-1} = k_1) $$ Suppose we lay out some stochastic model in the following transition ...