Paper 4, Section I, H

Markov Chains | Part IB, 2012

Let (Xn)n0\left(X_{n}\right)_{n \geqslant 0} be an irreducible Markov chain with pij(n)=P(Xn=jX0=i)p_{i j}^{(n)}=P\left(X_{n}=j \mid X_{0}=i\right). Define the meaning of the statements:

(i) state ii is transient,

(ii) state ii is aperiodic.

Give a criterion for transience that can be expressed in terms of the probabilities (pii(n),n=0,1,)\left(p_{i i}^{(n)}, n=0,1, \ldots\right).

Prove that if a state ii is transient then all states are transient.

Prove that if a state ii is aperiodic then all states are aperiodic.

Suppose that pii(n)=0p_{i i}^{(n)}=0 unless nn is divisible by 3 . Given any other state jj, prove that pjj(n)=0p_{j j}^{(n)}=0 unless nn is divisible by 3 .

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