A randomized stopping time $\tau$ is a when
$$
\mathbb P_x(X_\tau=y,\tau=t)=\pi(y)\mathbb P_x(\tau=t)
$$
for every initial state $x$, state $y$, and time $t$. Equivalently, $X_\tau$ has distribution $\pi$ and is independent of $\tau$.

Solution

Past exam of the mathematics course of the University of Cambridge / 2025 / iii / Paper 215 / 1 / a / Solution

 Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2025/iii/paper-215/1/a/solution