3.I.9C

Markov Chains | Part IB, 2007

Consider a Markov chain (Xn)n⩾0\left(X_{n}\right)_{n \geqslant 0} with state space S={0,1}S=\{0,1\} and transition matrix

P=(α1−α1−ββ)P=\left(\begin{array}{cc} \alpha & 1-\alpha \\ 1-\beta & \beta \end{array}\right)

where 0<α<10<\alpha<1 and 0<β<10<\beta<1.

Calculate P(Xn=0∣X0=0)\mathbb{P}\left(X_{n}=0 \mid X_{0}=0\right) for each n⩾0n \geqslant 0.

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