Paper 1, Section II, H

Markov Chains | Part IB, 2015

Consider a particle moving between the vertices of the graph below, taking steps along the edges. Let XnX_{n} be the position of the particle at time nn. At time n+1n+1 the particle moves to one of the vertices adjoining XnX_{n}, with each of the adjoining vertices being equally likely, independently of previous moves. Explain briefly why (Xn;n0)\left(X_{n} ; n \geqslant 0\right) is a Markov chain on the vertices. Is this chain irreducible? Find an invariant distribution for this chain.

Suppose that the particle starts at BB. By adapting the transition matrix, or otherwise, find the probability that the particle hits vertex AA before vertex FF.

Find the expected first passage time from BB to FF given no intermediate visit to AA.

[Results from the course may be used without proof provided that they are clearly stated.]

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