Question: 6.1. Let Y,,, n = 0, 1, . . . , be a discrete time Markov chain with transition probabilities P = lPA, and let

6.1. Let Y,,, n = 0, 1, . . . , be a discrete time Markov chain with transition probabilities P = lPA, and let {N(t); t ? 0) be an independent Poisson process of rate A. Argue that the compound process X(t) = Y,N(,), t ? 0, is a Markov chain in continuous time and determine its infinitesimal parameters.

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