Ask Question, Ask an Expert

+61-413 786 465

info@mywordsolution.com

Ask Advanced Statistics Expert

Suppose A and B are each ergodic Markov chains with transition prob- abilities {PAi,Aj } and {PBi,Bj } respectively. Denote the steady-state probabilities of A and B by {πAi } and {πBi } respectively. The chains are now connected and modified as shown below. In particular, states A1  and B1  are connected and the new transition probabilities P∗ for the combined chain are given by

A1,B1   = ε,      PA1,Aj   = (1 - ε)PA1,Aj                for all Aj;

P∗                         ∗

B1,A1   = δ,      PB1,Bj   = (1 - δ)PB1,Bj                for all Bj.

P∗                         ∗

All other transition probabilities remain the same. Think intuitively of ε and δ as being small, but do not make any approximations in what follows. Give your answers to the following questions as functions of εδ, {πA} and {πB}.

207_Markov Chains Network.png

  Chain A                          Chain B

(a) Assume that E > 0, δ = 0 (i.e., that is a set of transient states in the combined chain). Starting in state A1, find the conditional expected time to return to A1 given that the first transition is to some state in chain A.

(b) Assume that E > 0, δ = 0. Find TA,B, the expected time to first reach state B1 starting from state A1. Your answer should be a function of and the original steady-state probabilities {πA} in chain A.

(c) Assume ε > 0, δ > 0. Find TB,A, the expected time to first reach state A1, starting in state B1. Your answer should depend only on δ and {πB}.

(d) Assume  ε  >  0  and  δ   >  0.  Find  P∗(A),  the  steady-state  probability  that  the combined chain is in one of the states {Aj} of the original chain A.

(e) Assume ε > 0, δ = 0. For each state A/= A1 in A, find vA, the expected number of visits to state Aj, starting in state A1, before reaching state B1. Your answer should depend only on ε and {πA}.

(f) Assume ε > 0, δ > 0. For each state Ain A, find π ∗ , the steady-state probability of being in state Ain the combined chain. Hint: Be careful in your treatment of state A1.

Text Book: Stochastic Processes: Theory for Applications By Robert G. Gallager.

Advanced Statistics, Statistics

  • Category:- Advanced Statistics
  • Reference No.:- M91582519

Have any Question?


Related Questions in Advanced Statistics

Question 1before beginning a study investigating the

QUESTION 1 Before beginning a study investigating the ability of a drug to lower cholesterol, baseline values of total serum cholesterol were measured for a sample of 30 healthy controls thought not to be at risk forcard ...

  • 4,153,160 Questions Asked
  • 13,132 Experts
  • 2,558,936 Questions Answered

Ask Experts for help!!

Looking for Assignment Help?

Start excelling in your Courses, Get help with Assignment

Write us your full requirement for evaluation and you will receive response within 20 minutes turnaround time.

Ask Now Help with Problems, Get a Best Answer

Why might a bank avoid the use of interest rate swaps even

Why might a bank avoid the use of interest rate swaps, even when the institution is exposed to significant interest rate

Describe the difference between zero coupon bonds and

Describe the difference between zero coupon bonds and coupon bonds. Under what conditions will a coupon bond sell at a p

Compute the present value of an annuity of 880 per year

Compute the present value of an annuity of $ 880 per year for 16 years, given a discount rate of 6 percent per annum. As

Compute the present value of an 1150 payment made in ten

Compute the present value of an $1,150 payment made in ten years when the discount rate is 12 percent. (Do not round int

Compute the present value of an annuity of 699 per year

Compute the present value of an annuity of $ 699 per year for 19 years, given a discount rate of 6 percent per annum. As