Question: Question 3. [12 Marks]. Consider a Markov process {X (t)}t20 with state space S = {0, 1, 2, 3} and Q-matrix, or genarator, q0 2
![Question 3. [12 Marks]. Consider a Markov process {X (t)}t20 with](https://s3.amazonaws.com/si.experts.images/answers/2024/06/667cf4865d0ba_094667cf486354c4.jpg)

Question 3. [12 Marks]. Consider a Markov process {X (t)}t20 with state space S = {0, 1, 2, 3} and Q-matrix, or genarator, q0 2 0 0 '0 0 1 q3 Determine the following quantities. (a) The expected holding time of each state (i.e. the expected amount of time spent in each state before a jump). (b) The stationary distribution '7TQ associated with Q. (c) The proportion of time the process spends in state 3 in the long run. ((1) The expected return time, mg, for state 2. (e) The transition matrix R of the embedded chain. (f) A stationary distribution 7TB of the embedded chain. Is the stationary distribution 7TR that you found unique? Explain your reasoning
Step by Step Solution
There are 3 Steps involved in it
Get step-by-step solutions from verified subject matter experts
