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Q120Section III (Statistics)120 of 180

First-passage probabilities and closed classes

Suppose {Xn,n≥0}\{X_n,n\ge0\} is a Markov chain on S={1,2,3,4}S=\{1,2,3,4\} with

P=(120120013023230130014034).P=\begin{pmatrix} \tfrac12 & 0 & \tfrac12 & 0\\ 0 & \tfrac13 & 0 & \tfrac23\\ \tfrac23 & 0 & \tfrac13 & 0\\ 0 & \tfrac14 & 0 & \tfrac34 \end{pmatrix}.

With fijf_{ij} the probability of a first visit to jj from ii, consider (I) f12=0f_{12}=0, (II) f24=1f_{24}=1, (III) f13=1f_{13}=1, (IV) f33<1f_{33}<1.

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