My Math Forum  

Go Back   My Math Forum > Science Forums > Economics

Economics Economics Forum - Financial Mathematics, Econometrics, Operations Research, Mathematical Finance, Computational Finance

LinkBack Thread Tools Display Modes
October 12th, 2014, 01:12 PM   #1
Joined: Oct 2014
From: Switzerland

Posts: 6
Thanks: 0

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.
WittgensteinFan is offline  
October 13th, 2014, 11:46 AM   #2
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
WittgensteinFan is offline  

  My Math Forum > Science Forums > Economics

markov, process

Thread Tools
Display Modes

Similar Threads
Thread Thread Starter Forum Replies Last Post
Do you know Markov chain? Hemantha Probability and Statistics 1 July 7th, 2014 01:57 PM
Proof that sum of N Markov processes is a Markov process jjkraak Advanced Statistics 5 November 30th, 2011 06:35 AM
Continuous Time Markov Chain - Immigration-Birth Process tottijohn Advanced Statistics 0 September 6th, 2011 07:55 AM
Markov Chains inequality Algebra 11 November 26th, 2009 04:12 AM
Help about markov chains? aldors Advanced Statistics 1 November 17th, 2009 10:22 AM

Copyright © 2019 My Math Forum. All rights reserved.