A path of length k in a Markov chain {X,,n= 0,1,...} is a sequence of states visited from step n to step n+k. Let pij be the transition probability from state i to state j. Show that starting from state i,, the probability that the chain follows a particular path i, - in - innz -... - it is given by %3D n+1 n+2 = Pda Piatar (": = "x | **! = **X…* = *"x = "X)d ...

A First Course in Probability (10th Edition)
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Chapter1: Combinatorial Analysis
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A path of length k in a Markov chain {X,,n= 0,1,...} is a sequence of states
visited from step n to step n+k. Let pij be the transition probability from
state i to state j. Show that starting from state i,, the probability that the chain
follows a particular path i, - i„.1 - in2 - ... - i,t is given by
%3D
"x*\":= "X)d
= i2.,Xpsk = inrk | X, = i,)
n+1
n+l>
n+2
n+k
= P Pu.
Transcribed Image Text:A path of length k in a Markov chain {X,,n= 0,1,...} is a sequence of states visited from step n to step n+k. Let pij be the transition probability from state i to state j. Show that starting from state i,, the probability that the chain follows a particular path i, - i„.1 - in2 - ... - i,t is given by %3D "x*\":= "X)d = i2.,Xpsk = inrk | X, = i,) n+1 n+l> n+2 n+k = P Pu.
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