Question: 6.3.1 Let n;n D 0;1; : : : , be a two-state Markov chain with transition probability matrix Let fN.t/I t 0g be a Poisson

6.3.1 Let n;n D 0;1; : : : , be a two-state Markov chain with transition probability matrix

P= 01 0 11-a 1

Let fN.t/I t 0g be a Poisson process with parameter . Show that X.t/ D N.t/; t 0;
is a two-state birth and death process and determine the parameters 0 and 1 in terms of and .

P= 01 0 11-a 1

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