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October 12th, 2014, 01:12 PM   #1
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Question Markov Process

Good evening,

I have an exercise on Markov Processes which goes as follows :


Consider a Markov process with values x1, x2 and transition
probabilities p11 = p 22 = 1/3 , p12 = p21 = 2/3.

Compute E($\displaystyle X_T^{3} + X_{T-1}^{5}$ | $\displaystyle X_1 = x_1$)


Now, I know that there's a wealth of exercises and lecture notes
on the net, so much so that I am drowning in it, actually.

I am not asking for a solution, it is more important for me to understand
an exercise than just to solve it, is there someone who could give me
a hint ?

Thank you very much for your help

Last edited by WittgensteinFan; October 12th, 2014 at 01:32 PM.
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October 13th, 2014, 11:46 AM   #2
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Solved, finally. In case, that's of interest to anyone : see my solution on Processus de Markov
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