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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Finding a One Step Transition Matrix for a Markov Process? (Gambling Application)

I need help finding what a one step transition matrix would look like for the following gambling scenario: Using the bold strategy, say you have a certain amount of money x at any time and you're ...
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39 views

Beginner's questions to Hidden Markov Models

I have started reading about Hidden Markov Models, and have some (more or less) minor questions about things I am not sure I understood correctly. I hope asking here is fine: (1) Assumption about the ...
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58 views

How to calculate this integral?

I got confused with this Markov Chain problem: suppose the kernel $Q$ is $Q_x=N(cx,1)$, $c$ is a fixed constant with $|c|<1$ and the stationary distribution is $\pi=N(0,\frac{1}{1-c^2})$. I want ...
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1answer
60 views

Show that a Markov Chain is ergodic

Let $Y_n$ be iid random variables with values 1,2,3..n so that $P[Y_i=j]=p_j>0$, where $i\leq1$ and $1\leq j\leq n$. I think I managed to show that $Y_n$ is a Markov chain using the definition, ...
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37 views

Stronger version of Markov Chain

I have just started looking into the concept of Markov chains and I was wondering if anyone could help me with this problem. Let $X_1, X_2, ...$ be a Markov chain with the state space $S$. I need ...
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Expected time of reaching 0 of a simple symmetric random walk

Consider the symmetric, simple random walk on $S = \{0, 1, \ldots , k\}$ for $k \in \mathbb N$. Let $$T = \min \{ n \in \mathbb N_0|X_n = 0\}$$ be the first time where the process reaches $0$ and ...
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37 views

Stochastic kernel as linear operator

Let $K$ be a stochastic kernel for a set $S$ equipped with a countably generated $\sigma$-Algebra $B(S)$, i.e. $K:S\times B(S)\rightarrow [0,1]$ such that $K(\cdot,A)$ is a measurable function for ...
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1answer
88 views

Probability of extinction in branching process

Consider a branching process where the offspring distribution is given by $$P(X = k) = \frac{1}{2^{k+1}}$$ what is the probability that the process becomes extinct at exactly at the nth generation? ...
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31 views

Two-state Markov Chains

If I have a two-state Markov chian $V(t)$ with transition probabilities: $P_{00}(t)=(1-\pi) + \pi e^{-\tau t}$ $P_{01}(t)= \pi - \pi e^{-\tau t}$ $P_{10}(t)=(1-\pi) - (1-\pi)e^{-\tau t}$ ...
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Random DFS properties

Have there been any work analyzing some properties of random DFS walks? By that I mean a DFS search, which chooses the next node to visit with uniform probability. i.e, it still refrains from visiting ...
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Aperiodicity of Markov chain

If a markov chain which has many states but only one state has a self-loop edge, then does it mean that the markov chain is aperiodic? Or every state in the markov chain has to have self-loop? For ...
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60 views

Can You Help Me With This Continuous Markov Chain Question?

Consider 2 machines, both of which have an exponential lifetime with mean $\frac{1}{\lambda}$. There is a single repairman that can service machines at an exponential rate $\mu$. Set up the ...
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how to determine transient and recurrent state from transition matrix

I wonder how can I determine the transient and recurrent state from transition matrix ? I mean if I have 10 states It would be very hard to draw diagram for them so how to analyse the matrix? For ...
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41 views

Limiting probability of a successful bid

I'm having trouble completing the above question, as my working knowledge of "limiting probabilities" is not very good. For the 1-step transition matrix, I have $$P= \begin{pmatrix} 0.0 & 0.0 ...
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1answer
89 views

PageRank (power iteration method) convergence rate?

I could not get my head around the idea that the second eigenvalue is the convergence rate. Since the matrix in this application is a Markov matrix (rows/columns sum to one), the largest eigenvalue ...
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1answer
29 views

Trying to find the markov chain and adjacency matrix of this graph?

This is graph of the problem: Suppose animal x is at node 3 of the graph. It chooses small path labelled s with 2 times probability then long path l. If length is same then probability is same ...
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1answer
24 views

Period of a Markov Chain: Why is this one aperiodic?

Here is the problem from a stochastic processes book: Consider a Markov Chain on {0,1,2} having transition matrix 0 1 2 0| 0 0 1| 1| 1 0 0| 2|.5 .5 0| ...
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Computing smoothed state distribution in HMM

Suppose we have an HMM with two states: $s_1$ and $s_2$. The transitional model is as follows: $P(s_1|s_1) = 0.5$, and $P(s1|s2) = 0.25$. There are two observations: $P(a|s_1) = 0.25$ and $P(a|s_2) = ...
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58 views

Random walks : Hitting and recurrence Times relation

I have trouble understanding that how $$E\left[T_0|X_{0} = 0\right] = 1 + E[H_0|X_0=1] $$ where $T_0 = \inf\{n \geq 1:X_n = 0 \}$ and $H_A =\inf\{ n\geq 0: X_n \in A \}$. In other words $T_0$ is the ...
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28 views

Learning about Markov Chains

I am trying to learn about how to use markov chains for complicated probability problems. I have been looking for different materials to learn these but haven't had much luck. Does anyone have any ...
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14 views

Mixing time analysis of time inhomogeneous markov chaons

There are common methods to characterize mixing times of time homogeneous Markov chains through coupling, conductance and strongly stationary times. However, suppose there is a time-inhomogeneous ...
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1answer
47 views

Question about HMM

I have this HMM model that I need to solve. Unfortunately, my textbook isn't the best and only describes general cases which I have difficulty working with. Consider an HMM with two states: s1 and ...
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31 views

Markov Chain--starting states

How do we define the starting states in a Markov Chain. For example if we are asked to calculate the transition matrix for different starting states, what does that mean? I am ultimately asked to ...
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94 views

$P^n$ transition matrix of a Markov chain

The setup: We have an unlimited supply of balls and $k$ boxes. In every step, we randomly (all of them have the same probability) choose a box and put a ball in it. Let $X_n$ be the number of ...
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24 views

Proving irreducibility of Markov chain

I have a Markov chain: state: a permutation of n cards transition: taking the top-most card and randomly choose one of the n possible positions for the card I know it is obviously irreducible ...
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DTMC: repairing the machine

A machine works for $Y_0$ time then fails and takes $X_1$ time to repair. Then again works for $Y_1$ time and then fails and takes $X_2$ time to repair and so on. All the $X_n$'s and $Y_n$'s ...
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Getting stuck in a loop or the probability of hitting all points in a random walk around a circle.

Suppose you are walking around a circular path made up of $n$ tiles. Each tile $i$ is assigned a distinct value $r_i$ by a random variable uniformly distributed on the set of integers $\{1,...,k\}$ ...
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1answer
58 views

Random walk : probability of reaching value $i$ without passing by negative value $j$

This is just some question that popped out of nowhere while starting studying random walks, and I don't really know how to approach this. Say I have a random walk that starts at zero, and goes up or ...
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16 views

Dwell times of an absorbing markov chain conditional on reaching specific absorbing state

The fundamental matrix of a discrete time markov chain with absorbing states dictates the expected amount of time spent in each state $j$, given that you started in state $i$. The equation is $$S = ...
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1answer
47 views

Left eigenvector of stochastic matrices with eigenvalue 1

I am only talking about matrices for finite number of states. By the existence of unique equilibrium distribution, this surely means there can only be one of such eigenvector (i.e. the eigenvalue 1 ...
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32 views

Expected success of trial with conditions

Assume that $n$ people want to achieve a task T. One person can try, and is successful with probability $p$. But when a person try all the other have to do an other trial to have the right to ...
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37 views

Markov chains: Condtitional independence implies independence?

In one proof, I encountered the following reasoning: $$P(T_1=n,T_2=m\mid X_0=j)=P(T_1=n\mid X_0=j)P(T_2=m\mid X_0=j)$$ Where $T$s are waiting times between returns to a state, $X_0$ is the state at ...
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1answer
21 views

Markov-Chain with general state space - recurrent sets

I have an irreducible Markov Chain $(z_n )_{n\in \mathbb N } $ with state space $X$ and with transition-probability-kernel $K$, so $K(x,\cdot)$ is a probability measure (on the $\sigma$-Algebra ...
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Plot probability density and calculat a probability from a markov transition matrix

Let's say we have a vector $v_0 = (-10, -1, 0.2, 0.3, 0.7, 1, 1.5, 2, 3)$ where the elements are possible values of a portfolio at time $0$ (denoed $C_0$), and let's say we have a transition matrix ...
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Canonical Construction of a Markov Chain: Intuition

Let $P=(p_{xy})_{x,y \in E}$ be a transition probability matrix over a discrete state space $E$ and $\mu_0$ any distribution over $E$. We proved in the lecture that there is a unique ...
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1answer
36 views

Time sampling an ordinary poisson process

My questions will be given at the end, let me just give some definitions first. The counting process $\{ N(t), t \geq 0 \} $ is said to be a non homogenous Poisson process with intensity function ...
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26 views

Optimal stopping strategy

I try to solve the following problem : Given a series of random variables : X1,X2,... such that each one can get either -1 or 1 with probability 0.5, give a strategy to maximize the expected value of ...
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1answer
27 views

conditional probability density function

If the joint probability density function for the waiting times $W_1$ and $W_2$ is given by: $f(w_1,w_2)=\lambda^2$ $exp(-\lambda w_2)$ for $0<w_1<w_2$. How would I determine the conditional ...
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64 views

Joint density function Poisson Process

We did an example in class that I'm not sure how we came up with the answer. The problem is: If I let X(t) be a Poisson process of rate $\lambda$. I'm supposed to validate the identity ...
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Markov Chains Question

Markov chains are widely used in modeling several natural and social processes. Consider the following three-state Markov chain modeling the daily weather in Boston. Each day can be sunny, partly ...
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45 views

Question about random walk markov chain

For a random walk, let $a$ denote the probability that the markov chain will ever return to state $0$ given that it is currently in state $1$. Because the markov chain will always increase by $1$ with ...
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40 views

Independence of random variables derived from a Random walk

Let $w=(w_x)_{x \in \mathbb Z}$ be i.i.d random variables taking values in $(0,1)$. Let $(X_n)_{n \in \mathbb{N}_0} (\mathbb{N} \cup {0})$ be a Markov chain (more specifically a simple random walk ...
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1answer
29 views

Bayes: markov chain, serial connection, marginalization

Goal is to check if p(a) is unconditionally independent to p(c) in the markov chain - serial connection. $$ p(a,b,c) = p(a) p(b|a) p(c|b) $$ $$ p(a,c) = \sum_b p(a) p(b|a) p(c|b) = p(a) p(c|a) \neq ...
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1answer
23 views

Probability that Markov chain process has particular state after n steps

If we have a Markov chain X with four discrete states, and we want to find the probability the process is in a certain state (one of the four) n iterations later, would we raise X to the nth power and ...
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1answer
29 views

Conditional Probabilities Poisson Process

If I let ${X(t); t>=0}$ be a Poisson process having rate parameter $\lambda = 2$. I'm supposed to determine the probability: Pr{${X(1)>=2 | X(1) >=1}$} My solution: I looked at this as ...
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1answer
24 views

Conditional Distribution Poisson Process

In class, our professor told us to verify this solution on our own time. The problem is: Let $\left\{X(t),t \geq 0 \right\}$ be a Poisson process of rate $\lambda$. For $s,t >0$, determine the ...
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1answer
38 views

Modelling a continious-time queue which behaves differently when there are more or less people being served.

For my research I am trying to model a continuous-time queue which behaves differently when there are more or less people being served. The arrival rate in the queue is constant, however the departure ...
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$T_n$ stopping time, is $\{X_{T_n}\}$ markov chain

Let $\{X_n\}$ be a Markov Chain with finite state space $S$. Let $T_n$ be the $n$-th hitting time of $A \subset S$ i.e. $n$-th time it hits some state from the set $A$. Is $\{X_{T_n}\}$ a Markov chain ...
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1answer
38 views

How do stochastic matrices really converge?

We are given the matrix $A=\begin{bmatrix}0.9&0.5\\0.1&0.5\end{bmatrix}$ and any initial vector $X^{(0)}=\begin{bmatrix}a\\b\end{bmatrix}$. The matrix $A$ has the following eigensystem: ...
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mean recurrence time

$E\left[T_j |X_0=i,X_1=k\right]$ \left\ space{\begin{matrix} 1+U_{kj} \space\ k\neq j & \\ 1 \space\ k=j &\end{matrix}\right. Does this mean that the number of steps it takes to get back to ...