Question: Problem 3.2 (10 points) Consider a two-state continuous time Markov chain with state space S = {1,2} and transition function P(t) = uthe-( tu)t 1-

Problem 3.2 (10 points) Consider a two-state continuous time Markov chain with state space S = {1,2} and transition function P(t) = uthe-( tu)t 1- de-() tu)t ) (M - Me-(Atu)t ) + ue-(1 + 1)t (t > 0). (a) Find P[Xo.75 = 2 | Xo = 1]. (b) Find P[X5.1 = 1, X2.3 = 2 | X1.4 = 1]

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