Question

Consider a Markov chain with state space S - {1,2), with transition matrix 0.2 0.8 0.6 0.4 and initial state 1 (so Xo - 1 with probability 1). Decide which of the following is a stopping time: (a) Ti mintn 27: Xn 1 12 min{n > 1 : Xn+1-1) (c) T - min^n 2 2 Xn-1 1 (d) T4 - minfn 2 10: Xn - Xn-1)

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Answer #1

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