Question: Let X be a continuous time Markov process with two states {1,2} and P be the transition matrix with entries pij (t). Prove that

Let X be a continuous time Markov process with two states {1, 2} and P be the transition matrix with entries

Let X be a continuous time Markov process with two states {1,2} and P be the transition matrix with entries pij (t). Prove that P(X(t) = 2|X(0) = 1, X (3t) = 1, X(4t) = 1) P12(t)p21 (2t) is equal to

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