Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2010/m/m5/a/i/solution

A time-homogeneous Markov chain on a countable state space satisfies, whenever the conditioning event has positive probability,
where the last probabilities do not depend on . Thus the present state contains all the past information relevant to the next transition. Time homogeneity is the convention used here, since the problem specifies a single transition matrix.

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