Andrew Morse <[EMAIL PROTECTED]> wrote in message news:<[EMAIL PROTECTED]>... > I am doing a self-study of stochastic processes using > Hoel, Port, and Stone's "Introduction to Stochastic > Processes". > > I am having trouble coming up with a formal solution > to problem 13 of chapter 1. Here is the statement > of the problem: > > Let X_n be a Markov chain whose state space is a subset > of {0,1,2,...} and whose transition function P is such > that: > > \Sigma_y yP(x,y) = Ax + B, for some constants A and B. > > Show that E[X_{n+1}] = A*E[X_n] + B, (where E[] denotes > the expected value.) > > Can anyone offer any advicee on how to start this > problem? > > --Andrew > > > > > --
Andrew: Keep trying (you'll get it). VZ . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
