Question: In my introduction to stochastic processes course, I'm given a generator matrix as: G = [-1,1,0; 1,-2,1; 2,2,-4] with state space a,b,c. The first question
In my introduction to stochastic processes course, I'm given a generator matrix as: G = [-1,1,0; 1,-2,1; 2,2,-4] with state space a,b,c. The first question was to find the transition matrix of the embedded Markov Chain, which I found to be P = [0,1,0; 1/2,0,1/2; 1/2,1/2,0]. Please verify if I'm correct. The next question asks to find the holding time parameters for each state. Is "vi' the holding time parameter? Cause I already found those in the previous question as va=1, vb=2, vc=4.
Any help would be greatly appreciated, thanks!
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