Question: please solve this question Exercise 5. Let (Xt)to be a Markov chain with finite state space S and with transition matrix P. Given x, y

please solve this question

Exercise 5. Let (Xt)to be a Markov chain with finite state space S and with transition matrix P. Given x, y E 2, consider Ty := min{n 2 1 : Xn = y} the first return time to y, and show that Px[ Ty

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