A1.1 B1.1

Markov Chains | Part II, 2001

(i) Let X=(Xn:0nN)X=\left(X_{n}: 0 \leqslant n \leqslant N\right) be an irreducible Markov chain on the finite state space SS with transition matrix P=(pij)P=\left(p_{i j}\right) and invariant distribution π\pi. What does it mean to say that XX is reversible in equilibrium?

Show that XX is reversible in equilibrium if and only if πipij=πjpji\pi_{i} p_{i j}=\pi_{j} p_{j i} for all i,jSi, j \in S.

(ii) A finite connected graph GG has vertex set VV and edge set EE, and has neither loops nor multiple edges. A particle performs a random walk on VV, moving at each step to a randomly chosen neighbour of the current position, each such neighbour being picked with equal probability, independently of all previous moves. Show that the unique invariant distribution is given by πv=dv/(2E)\pi_{v}=d_{v} /(2|E|) where dvd_{v} is the degree of vertex vv.

A rook performs a random walk on a chessboard; at each step, it is equally likely to make any of the moves which are legal for a rook. What is the mean recurrence time of a corner square. (You should give a clear statement of any general theorem used.)

[A chessboard is an 8×88 \times 8 square grid. A legal move is one of any length parallel to the axes.]

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