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Is the following statement true:

In a finite Markov chain, if $i$ is a transient state then there is at least one recurrent state $j$ such that $j$ is reachable from $i$.

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2 Answers 2

Yes, for any finite state Markov Chain its state space admits the following Doeblin decomposition $$ S = \sum_{i=1}^n H_i+E $$ where sets $H_i$ are absorbing and recurrent, and $E$ is a set of all transient states. In particular it means that $E$ does not have an absorbing subset and for any $x\in E$ there is $1\leq i\leq n$ such that $H_i$ is reachable from $x$. Since $H_i$ is recurrent, each state of it is reachable from $x$.

This answers your question, however if you will be more precise what is your background on Markov Chains, I could provide an answer that may fir you better.

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I'm not sure if your looking for an algebraic proof, but intuitively I was thinking:

Assume your finite state space is $S = \{1, 2, ... , n\}$. Let $X_i$ denote the state you are in for all $i \in S$.The basic form of a transient "map" would be when

$$X_1 \rightarrow X_2 \rightarrow X_3 \rightarrow ... \rightarrow X_i $$

It is possible that $i = n$. Now when you reach state $i$, you have two options. Either move to another state, or remain in state $i$. There is no option of "nothing happening" in state $i$ as this would just be that you remain in state $i$, i.e the probability of going from $i \rightarrow i = 1$.

Looking at option $1$, if you go from $X_i$ to some other state $X_j$, you have just created a recurrance class between states $X_i$ and $X_j$ and so you have gone from a transient state (say $X_1$) to a recurrant state ($X_i$ or $X_j$).

Looking at option 2, if $X_i \rightarrow X_i$, then clearly state $i$ is recurrant and again, you have gone from a transient state to a recurrant state.

So I think your statement is correct.

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