Consider a continuous Markov chain with two states S = {0, 1}. Assume the holding time parameters
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Consider a continuous Markov chain with two states S = {0, 1}. Assume the holding time parameters are given by λ0 = λ1 = λ > 0. That is, the time that the chain spends in each state before going to the other state has an Exponential(λ) distribution.
a. Draw the state diagram of the embedded (jump) chain.
b. Find the transition matrix P(t). You might want to use the following identities
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a There are two states in the chain and none of them are absorbing since 0 Since we do not allow sel...View the full answer
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Related Book For
Introduction To Probability Statistics And Random Processes
ISBN: 9780990637202
1st Edition
Authors: Hossein Pishro-Nik
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