My Math Forum Markov Process

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 October 12th, 2014, 01:12 PM #1 Newbie   Joined: Oct 2014 From: Switzerland Posts: 6 Thanks: 0 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.
 October 13th, 2014, 11:46 AM #2 Newbie   Joined: Oct 2014 From: Switzerland Posts: 6 Thanks: 0 Solved, finally. In case, that's of interest to anyone : see my solution on Processus de Markov

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