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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18 views

Formal argument on independence of consecutive hitting times of a Markov chain.

I'm refering to the question: Differences of consecutive hitting times. I'm interested in the independence of consequtive hitting times of certain values of a Markov chain. And I do "understand" the ...
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1answer
76 views

Expectation and Variance of random walks

Consider random walks of fixed length (e.g. $5$) starting at node $u$ in an undirected and connected graph with $N$ vertices. If a node $k$ has $N_k$ edges, the probability of the walk reaching any of ...
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1answer
44 views

What is the probability there will be no failures?

"A machine has 4 components and the machine cannot operate when any one of these components fail. At the beginning of each day, the machine starts running. During any day component $i$ fails with ...
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0answers
19 views

$ X_n = 2 Y_n + Y_{n+1} $ (non)Markov Chain

Let $Y_1,Y_2,\dots$ be iid random variables with $P(Y_n=0)=1-p,\; P(Y_n=1)=p$ where $p\in(0,1)$. Define $$ X_n = 2 Y_n + Y_{n+1} $$ The question is, whether $\{X_n\}$ is a Markov chain or not. ...
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1answer
30 views

Calculating the information per symbol of a markov chain source

I have a 4-state 2nd order markov chain source with symbols 0 and 1. I have all the transition probabilities and have worked out the probabilities of each state. How do I go about finding the amount ...
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20 views

Markov chains for a two players with a coin, how can I find pij and transition matrix?

There are two players: A and B and there are N bill of one dollar, and at any stage of the game A has k and B has N-k of them. In turn either of them flips a fair coin, starting with A. If it comes up ...
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34 views

The value of a stochastic game

I understand why a stochastic game with discounted payoff has a value $v$ and optimal strategies over the set of stationary strategies. But why is $v$ also the game's value over the set of behavioral ...
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35 views

Transition probability matrix for $X_1 = \# heads$, *flip heads* $X_2 = \# tails$ * flip tails* $X_3 = \# heads$

Three fair coins are tossed, and we let $X_1$ denote the number of heads that appear. Those coins that were heads on the first trial (there were $X_1$ of them) we pick up and toss again, and now we ...
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22 views

Decide whether a class is recurrent or transient (Example)

Consider the Markov chain $(X_n)_{n\geqslant 0}$ with state space $E=\left\{1,2,3,4\right\}$ and transition matrix $$ T=\begin{pmatrix}0 & 1/3 & 1/3 & 1/3\\0 & 0 & 1 ...
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1answer
34 views

Transience in a simple Markov chain

Consider the following simple game from a textbook called "Competitive Markov Processes" by Filar & Vrieze (Springer 1996). This is a two player game with two states. In the first state (the ...
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15 views

Explicit Probability for Markov Chain on Power Set

A have a Markov chain $F_t$ in discrete time on the power set of a finite totally ordered set $A$. Its probably easiest to explain the transition probabilities in a small example, since they are easy ...
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2answers
42 views

If a Markov chains converges then the limit is a stationary distribution

Let $p$ be a transition function of a Markov Chain on a countable state $S$ and $i \in S$. Assume for every $j \in S$, $$ \lim_{n\to \infty} p^n(i,j) = \pi(j)$$ Show that $\pi$ is a stationary ...
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35 views

Show that this Markov chain is recurrent or transient

Consider the Markov chain $(X_n)_{n\geq 0}$ with state space $E=\left\{1,2,3,4,5\right\}$ and transition matrix $$ T=\frac{1}{2}\begin{pmatrix}0 & 1 & 1 & 0 & 0\\0 & 0 ...
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2answers
26 views

why are the recurrent classes closed?

i've recently started studying about markov chain, we call a communication class a recurrent one in a markov chain if by starting from that class we infinitely return to it with probability 1,with ...
3
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1answer
70 views

Markov Property Confusion

I feel like I'm being very dense/employing some sort of circular reasoning, but I'm having trouble understanding the Markov Property. According to Durrett (ISBN-10:1461436141), $X_n$ is a Markov chain ...
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49 views

Why are inter arrival times in the continuous version of discrete-time Markov chains always exponentially distributed?

I am curious whether there exist continuous time Markov processes for which the times between jumping times (which I call inter arrival times) are not exponentially distributed, but have some other ...
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0answers
25 views

Prove that $E_x[T_y]<\infty$ for irreducible positive recurrent Markov chains.

This is an exercise from Durret's "Probability: Theory and Examples". Suppose $p$ is a irreducible and positive recurrent Markov chain. Then $E_x[T_y]<\infty$ for all $x,y$. I had the following ...
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1answer
49 views

Stochastic matrices with orthogonal eigenvectors

I stumbled across an odd fact while thinking about Markov chains, and I have an odd proof for it. Claim: Let $P$ be the transition matrix of a finite irreducible aperiodic Markov chain, and assume ...
2
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1answer
68 views

Prove that the absolute value of the difference of two invariant distributions on a Markov chain is invariant

If we have $a(x)$, $b(x)$ which are invariant distributions on a Markov chain $X_n$ with state space $S$, how can I prove that $|a(x)-b(x)|$ is also invariant? I know that I must show that: ...
4
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2answers
102 views

When are stable continuous time Markov chains Feller? Always?

This is a question is similar to this 2 year-old one that never got answered (truthfully it's pretty much the same question except that I'm adding a bit more detail and the assumption that the $Q$ ...
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1answer
20 views

Markov chain knowing future

I was wondering whether or not P(X1 = S1 | X0 = S0) and P(X1 = S1 | X0 = S0 and X2 = S2) are the same? What I mean is can we get some information from the future states? Thanks!
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1answer
66 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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12 views

Is Markov Chain sampled at stopping times a Markov chain?

Given a Markov hain $\{X_n\}$ and $T_n$ be an increasing sequence of stopping times, is $\{X_{T_n}\}$ Markov chain ?
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2answers
40 views

Limiting Distribution of a Markov Chain

I'm having trouble understanding how to find a limiting distribution. If I have a Markov Chain whose transition probability matrix is: $$ \mathbf{P} = \matrix{~ & 0 & 1 & 2 & 3 & ...
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0answers
23 views

Mean and Variance of an offspring

If I have that the number of offspring of an individual in a population is $0$, $1$, or $2$ with respective probabilities $a>0$, $b>0$ and $c>0$, where $a+b+c=1$, how would I express the mean ...
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3answers
100 views

A recursive formula to approximate $e$. Prove or disprove.

Let the sequence $\{x_n, n=1,2,...\}$ be defined as follows: Let $x_2=x_1=1$ and for $n>2$ let $$x_{n+1}=x_n-\frac{1}{n}x_{n-1}.$$ This sequence, generated by the recursion above, tends to zero ...
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45 views

emails arriving in a Poisson process

Emails arrive according to a Poisson process with rate $λ=2/hour$. You check your inbox (instantly reading all new emails) at time $t=5$ hours and also at some uniformly distributed random time ...
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0answers
14 views

a reference for problems and exercises in markov chains with solutions

i've started studying markov chains from the book of Lawler,i've solved its exercise but i want a solution for Lawler in order to check my answers. can any one help me finding? any other resource ...
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0answers
31 views

Multiclass Markov process

There are two car M/M/1 queues Q1 and Q2. Arrival rate of Red car and Green car in Q1 is $\lambda_{1R}$ and $\lambda_{1G}$ respectively. Similarly arrival rate of red car and green car in Q2 is ...
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1answer
37 views

Electrical components failing in a Poisson process

A machine has infinitely many identical components. They fail according to a Poisson process with rate $\lambda = 4$/hour. A repairman arrives at time $t$ and instantly repairs all of the broken ...
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1answer
31 views

Measurability of a stopping time in a Markov chain

Suppose you have a finite-state continuous-time inhomogeneous Markov chain with transition rate $Q(t)$. Further, let us suppose that $Q(t)$ is a piecewise continuous function of $t$. Two questions: ...
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16 views

Converse of Perron Frobenius Theorem: Necessary and Sufficient Conditions for positivity (or non negativity)

As I understand, Perron Frobenius theorem asserts only in one direction, i.e. if Matrix A is positive then there is a perron eigenvalue, eigenvector etc. What I wanted to know is what are the ...
0
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1answer
22 views

Strategy for Unbalnaced Gamber Ruin

A gambler plays the following game: A fair coin is tossed until getting three times continuously head. When that happens the Gambler gets 20$\$$. Each round costs the gambler 1$ (even if he won the ...
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1answer
27 views

Definition of Stationary Distributions of a Markov Chain

I'm having a lot of trouble understanding the definition of the stationary distribution of a Markov Chain from Hoel, Port, Stone's Introduction to Stochastic Processes. They define the stationary ...
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1answer
62 views

Eigenvalue range of $P+P^T$ (P is a transition matrix)

$P$ is a transition matrix of dimension $N\times N$. I know $\lambda_1=1$ and $|\lambda_i|<1, 2\leq i \leq N$. I want to know the eigenvalue range of $P+P^T$. Because $P$ is not symmetric, so I ...
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38 views

Practical Way to Detect a Markov Chain is Regular Given the Transition Matrix

I understand that a Markov Chain is reducible if, given its transition matrix $P$, there exists $n$ such that every element of $P^n$ is greater than 0. However, I am wondering that if there is an ...
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1answer
57 views

Markov chain for two players with two coins [closed]

Two players A and B toss two fair coins independently. Whoever gets the smaller number of heads will pay that many dollars to the other player. For example, if player A tosses two coins and gets 2 ...
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3answers
170 views

Probability of going into an absorbing state

If I have a random walk Markov chain whose transition probability matrix is given by $$ \mathbf{P} = \matrix{~ & 0 & 1 & 2 & 3 \\ 0 & 1 & 0 & 0 & 0 \\ ...
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0answers
13 views

Estimating Markov transition matrix for regularization

Suppose that I have a sequence of discrete distributions: $$ p_j = (p_{1j},...,p_{Cj}), \: j=1...D,\\ p_{ij}>0 \:\: \forall i,j,\: \sum_{k=1}^Cp_{kj}=1\:\:\forall j. $$ I suppose that these ...
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0answers
17 views

Showing which classes are recurrent and which are transient

If I have a Markov chain on states {0,1,2,3,4,5} $$ \mathbf{a} = \matrix{~ & 0 & 1 & 2 & 3 & 4 & 5 \\ 0 & 1/3 & 0 & 2/3 & 0 & 0 & 0 \\ ...
2
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1answer
149 views

The expected time until reaching a specified set in a Markov chain

I am reading an article in which they discuss a specific Markov chain in an example, and it turns out I need to sharpen up my Markov knowledge. First the setup. I have a continuous time Markov chain ...
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1answer
50 views

Markov chain - Can anyone explain me why this is the solution?

Customers arrive according to a Poisson process at a rate of four customers per hour. A customer who finds four other customers in already waiting gives up and leaves. Some clients in the 3rd ...
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30 views

diffusion- stuck

In a round room of radius R, a large number of coins N of diameter d are randomly dispersed upon the floor. A ladybird starts from the centre of the room, crawling at speed v. Suppose that every time ...
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1answer
25 views

Show that the process created from taking kth steps of a markov chain is markov.

Suppose $(X_n)_{n\geq0}$ is a Markov chain with transition probability matrix $P$ and initial distribution $\lambda$. Show that the process $Y_n = (X_{kn})_{n\geq0}$ with $k$ fixed is Markov with ...
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3answers
53 views

How to solve $h(i) = \frac{i^2}{(n-i)^2+i^2}h(i-1) + \frac{(n-i)^2}{(n-i)^2+i^2}h(i+1)$

$h(i) = $P(reach n eventually| the initial state = i) $h(0) = 0$ $h(n) = 1$ 0 and n are stopping time. For $ 0 < i < n$, $$h(i) = \frac{i^2}{(n-i)^2+i^2}h(i-1) + ...
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18 views

Changing the index of the sums when changing the sums - why this way?

Let $(X_n)_{n\in\mathbb{N}_0}$ be a Markov chain with state space $E$. For $i,j\in E$ set $$ h_i(j):=\mathbb{P}_i(H(j)<\infty):=\mathbb{P}(H(j)<\infty|X_o=i), $$ where $H(j)\colon ...
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1answer
29 views

Show $\sum^n_{j=0} P_{ij} = \sum^n_{j=0} P(X_1 =j | X_0 = i) = 1 $

Let $P$ be the one step transition matrix of a Markov chain with states {$0,1,...,n$}. Show $\sum^n_{j=0} P_{ij} = \sum^n_{j=0} P(X_1 =j | X_0 = i) = 1 $ I understand that this is the row sum, but ...
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1answer
24 views

Adding distances/weights to absorbing markov chain

in presence of an absorbing state, I want to calculate mean/expected 'distance' from any state to that absorbing state. What I mean by distance is that I want to give different lengths from one ...
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2answers
804 views

Forming the transition matrix for Markov chain, given a word description of transition probabilities

I have just started learning about Markov chain and have a trouble determining appropriate transition matrix: Suppose that whether or not it rains today depends on previous weather conditions ...
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20 views

expected value - last $k$ flips of coin are same

we flip a normal coin $n$ times. We mark $k=0.5log(n)$ and we mark the $i$'th value in $Xi$. $Y$ will be the number of times where the last $k$ flips were the same. What is $E[Y]$? I think this has ...