2013-43.md

course	course_year	question_number	tags	title	year
Markov Chains	IB	43	IB 2013 Markov Chains	Paper 4, Section I, H	2013

Suppose $P$ is the transition matrix of an irreducible recurrent Markov chain with state space $I$. Show that if $x$ is an invariant measure and $x_{k}>0$ for some $k \in I$, then $x_{j}>0$ for all $j \in I$.

Let

$$\gamma_{j}^{k}=p_{k j}+\sum_{t=1}^{\infty} \sum_{i_{1} \neq k, \ldots, i_{t} \neq k} p_{k i_{t}} p_{i_{t} i_{t-1}} \cdots p_{i_{1} j}$$

Give a meaning to $\gamma_{j}^{k}$ and explain why $\gamma_{k}^{k}=1$.

Suppose $x$ is an invariant measure with $x_{k}=1$. Prove that $x_{j} \geqslant \gamma_{j}^{k}$ for all $j$.