Question: PROBABILITY AND STOCHASTIC PROCESS QUESTION 3 Consider a Markov chain with three states 0, l, 2. Suppose that when the chain is in state 1'

PROBABILITY AND STOCHASTIC PROCESS

QUESTION 3 Consider a Markov chain with three states 0, l, 2. Suppose that when the chain is in state 1' (i = l, 2, 3), the probability of moving to the other states are the same and these probabilities are one half the probability of staying in state i . (3.1) Write down the transition probability matrix P. (3) (3.2) Explain why P is doubly stochastic. (1)

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