Question: 3.1. A two state Markov chain has the transition probability matrix (a) Determine the first return distribution (b) Verify equation (3.2) when i = 0.

3.1. A two state Markov chain has the transition probability matrix

P = 0 1 01-a a 19 b 1-b

(a) Determine the first return distribution

image text in transcribed

(b) Verify equation (3.2) when i = 0. (Refer to III, (5.2).)

P = 0 1 01-a a 19 b 1-b

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