Paper 2, Section II, 27K

Applied Probability | Part II, 2020

(i) Let XX be a Markov chain in continuous time on the integers Z\mathbb{Z} with generator G=(gi,j)\mathbf{G}=\left(g_{i, j}\right). Define the corresponding jump chain YY.

Define the terms irreducibility and recurrence for XX. If XX is irreducible, show that XX is recurrent if and only if YY is recurrent.

(ii) Suppose

gi,i1=3i,gi,i=3i+1,gi,i+1=23i,iZ.g_{i, i-1}=3^{|i|}, \quad g_{i, i}=-3^{|i|+1}, \quad g_{i, i+1}=2 \cdot 3^{|i|}, \quad i \in \mathbb{Z} .

Show that XX is transient, find an invariant distribution, and show that XX is explosive. [Any general results may be used without proof but should be stated clearly.]

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