Stochastic processes (with either discrete or continuous time dependence) on a discrete (finite or countably infinite) state space in which the distribution of the next state depends only on the current state. For Markov processes on continuous state spaces please use (markov-process) instead.

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Using Strong Markov Property

Let $X_n$ be a DTMC, with transition matrix P and state-space I. Let $Y_m=X_{T_m}$ for $m \in \mathbb{N}$. Define $T_0=\inf\{n\geq0:X_n\in J\subset I\}$ and $T_{m+1}=\inf\{n> T_{m}:X_n\in J\subset ...
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188 views

Show $S_N = \sum\limits_{n=1}^{N} \text{sign}(Y-X_n)$ is Markov, $(X_n),Y $ iid Uniform(0,1)

Let $(X_n)$ and Y be i.i.d. Uniform$(0,1)$ random variables and let $$S_N = \sum\limits_{n=1}^{N} \text{sign}(Y-X_n)$$ Show that $S_n$ is a Markov Chain and find its transition probabilities. Any ...
3
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1answer
151 views

Frog on infinitely many lily pads (Markov chain)

A frog on pad $i$ hops to one of the pads $(1,2,...,i,i+1)$ with equal probability. I know that if the frog starts on pad $k$ the expected number of times the frog jumps, before returning for the ...
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2answers
89 views

Markov chains diagram - what are the numbers above arrows?

Most if not all articles describe the numbers above arrows as probabilities of a transition in that direction, such as this one, or this one. But here, for example, something really weird is ...
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28 views

non-stationary Markov chain n-step

When I search for the long term behaviour of a stationary markov chain I just multiply the transition matrix with itself for the number of steps: P(n) = P(0)^n. But how do you go about doing it ...
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43 views

$ X_n = 2 Y_n + Y_{n+1} $ (non)Markov Chain

Let $Y_1,Y_2,\dots$ be iid random variables with $P(Y_n=0)=1-p,\; P(Y_n=1)=p$ where $p\in(0,1)$. Define $$ X_n = 2 Y_n + Y_{n+1} $$ The question is, whether $\{X_n\}$ is a Markov chain or not. ...
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100 views

Markov Property Confusion

I feel like I'm being very dense/employing some sort of circular reasoning, but I'm having trouble understanding the Markov Property. According to Durrett (ISBN-10:1461436141), $X_n$ is a Markov chain ...
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67 views

An irreducible Markov chain is a martingale

Let $\{X_n\}$ be an irreducible Markov chain. Does exist example of such $\{X_n\}$ which is also a martingale given that: a. $\{X_n\}$ is recurrent with finite number of states (but bigger ...
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50 views

Periodicity of Markov chains under cartesian product

Suppose that you have a finite state Markov chain, with $n$ states and characterized by $p_{i,j}$ the probability of reaching state $j$ from state $i$. Consider the new Markov chain with $n^2$ states ...
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136 views

Prove or disprove: If $h$ is harmonic on $E$, then $h$ is constant on each $C_i$

For a general finite Markov chain $(X_n)_{n\in\mathbb{N}_0}$ with state space $E$ and transition matrix $P=(p_{x,y})_{x,y\in E}$, not necessarily irreducible, we define the linear space of ...
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67 views

Why a positive recurrent Markov chain implies positive limiting probability?

Let $X=\{X_0,X_1,\ldots\}$ be an irreducible, positive recurrent, and aperiodic Markov chain with the state space $S=\{0,1,2,\ldots\}$ then how do we show that the probability $$ ...
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41 views

A basic doubt on Markov chain/ergodicity

Consider a finite state (no. of state $N$) Markov chain $\{X_n\}$ (all the random variables are bounded) such that there is a state $i*$ such that $$ \sum_{i=1}^{N}p_{ii*}^{(n)} > 0$$ for all ...
3
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1answer
245 views

2D random walk variation

If a point on a 2D lattice is allowed to take a random walk by taking a unit step either up, down, left or right, there is probability $1$ of reaching any point (including the starting point) as the ...
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213 views

Markov Chain Alternate Expectation

Consider a Markov chain defined by transition matrix $P$ such that for each transition from state $i\rightarrow j$ the probability is $p_{ij}$. Now say there is an associated value for each transition ...
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1answer
129 views

Dice probability of a winning more than $X\%$ of the time over $Y$ Throws

I have a die with three possible outcomes. The three outcomes are win (+1), draw (0) and lose (-1). $P(w) + P(d) + P(l) = 1$. (1) If I throw the die Y times, what is the probability I will win $X$ ...
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79 views

simple proof of the $L^2$ weak law for discrete-time ergodic Markov processes

Let $\{X_t\}_{t\in\mathbb{Z}}$ be a stationary and ergodic stochastic process with finite second moment. Von Neuman's ergodic theorem implies that the time average $(1/N)\sum_{j=0}^{N-1} X_j$ ...
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114 views

SLLN of Markov chains .

Let $X_1$, $X_2$,... be a finite state, irreducible and aperiodic Markov chain with initial state $X_0=i$. It is known that \begin{equation} \mathrm{P}\Big\{\lim_{n\rightarrow\infty} ...
3
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1answer
106 views

expected hitting time with two absorbing states

Consider a Markov chain in a finite space and with two absorbing states, each of which is accessible from the other, transient states. Is the expected number of transitions to reach any single ...
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139 views

Prove the 2 definitions of the periodicity of Markov Chain are equivalent.

In many textbooks, there are basically 2 ways of defining the periodicity of Markov Chain. One is by partitioning the graph in to subgraph such that transition in one group of state leads to the other ...
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245 views

Monotonic convergence of powers of a stochastic matrix

Let $P$ be a stochastic matrix (nonnegative and each row summing to 1). Assuming that $P^n$ converges to $\textbf{1}\pi$ as $n \rightarrow \infty$, where $\pi$ is a row vector (stationary distribution ...
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110 views

maximum renewal rate of a Markov chain

Consider a Markov chain $(X_t)$ on a state-space with a countably generated $\sigma$-algebra and assume this Markov chain allows for small sets of order one. This means there exist sets $\mathfrak{S}$ ...
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30 views

Ruin time with a maximum purse size

Imagine I have a gambler's ruin scenario where I start with $m$ dollars and I cannot have more than $N$ dollars. For each of however many rounds, I flip a coin, and with probability $p$ I win a ...
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154 views

Generalization of Dobrushin's Ergodic Decomposition for continuous Markov Chains

Let $T$ be the shift transformation. Let $P$ be invariant for $T$ and also define a discrete state space Markov Chain. Let $C_{1},\ldots,C_{n}$ be the connected components of the Markov Chain. It ...
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34 views

Name for maximum transition probability

Let $p(x,y)$ denote the transition probability of a markov chain. Similarly, let $p^n(x,y)$ be the n-step transition probability. My question is, is there a formal name for $S(x,y):=\sup_n p^n(x,y)$. ...
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67 views

When is this reversible diffusion on the integer lattice non-exploding?

Let $U\in C^{\infty}(\mathbb R^n;\mathbb R)$ and consider a continuos time Markov chain on the scaled integer lattice $\delta\mathbb Z^n$ with jump rates given by $r_{\delta}(x,y) := \begin{cases} ...
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2answers
3k views

What values makes this Markov chain aperiodic?

Let the following transition matrix represent a $4$ state Markov chain $$\begin{pmatrix} 0 & a & 0 & b \\ \frac{1}{2} & 0 & \frac{1}{3}+c & d \\ 0 & a & 0 & ...
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2answers
94 views

Under what conditions does $(I-N)^{-1}$ exist?

Given an nxn matrix N and $I=I_n$, under what conditions does $(I-N)^{-1}$ exist? On one hand $(I-N)(I + N + N^2 + ...) = (I + N + N^2 + ...) - (N + N^2 + ...) = I?$ On the other hand, $(I-N)(I + N ...
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3answers
553 views

The second largest eigenvalue for Perron-Frobenius matrix

The Perron-Frobenius theorem is about the largest eigenvalue and eigenvector of a non-negative (irreducible) matrix. My question: Is there any estimation of the difference between the first and ...
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1answer
7k views

Expected number of steps/probability in a Markov Chain?

Can anyone give an example of a Markov Chain and how to calculate the expected number of steps to reach a particular state? Or the probability of reaching a particular state after T transitions? I ...
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2answers
2k views

Can Markov Chain state space be continuous?

I looked for a formal definition of Markov chain and was confused that all definitions I found restrict chain's state space to be countable. I don't understand purpose of such a restriction and I have ...
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3answers
120 views

Find expected value of time to reach a state in Markov chain, by simulation

Consider a time homogeneous Markov chain $ (X_n)_{n=0} $ with state space $E$, initial distribution $p(0)$ and transition probability matrix $P$ given by $E = \{0, 1, 2\}, p(0) = [1\;\; 0\;\; 0]$ and ...
2
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1answer
69 views

Is every PMF on the set of non-negative integers the stationary distribution of some birth-death process?

Let $f(.)$ be a probability mass function on the non-negative integers such that $0<f(n)<1$ and $f(0)+f(1)+...=1$. Then does there exist an irreducible birth-death process with stationary ...
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1answer
353 views

Probability of a substring occurring in a string

Consider a random string of length $n<\infty$ where each digit can be between 0-9 with equal probability and a substring of length $k<n$ consisting of only zeros. What is the probability of ...
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2answers
196 views

Using Markov - Chain to find average and probability

Suppose a computer generate a random vector of n positions where each position appears on of the numbers from 1 to n. The generation is performed uniformly on the $n!$ possibilities. In the problem we ...
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2answers
597 views

Professor has 4 umbrellas, Markov chain and Probability

OK this problem is making me tear my hair out. I need someone to walk me through this in baby-steps method like 1 + 1 = 2. I am trying to figure out what I don't understand. I know this is going to be ...
2
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2answers
730 views

Expected number of steps between states in a Markov Chain

Suppose I am given a state space $S=\{0,1,2,3\}$ with transition probability matrix $\mathbf{P}= \begin{bmatrix} \frac{2}{3} & \frac{1}{3} & 0 & 0 \\[0.3em] \frac{2}{3} ...
2
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1answer
1k views

Example of a Markov chain transition matrix that is not diagonalizable?

It is well-known that every detailed-balance Markov chain has a diagonalizable transition matrix. I am looking for an example of a Markov chain whose transition matrix is not diagonalizable. That is: ...
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2answers
150 views

Independence of the first passage time of a Markov chain being less than or equal to $n$ and $X_n$

I am reading my lecture notes on Markov chains, and in the proof of one proposition the following statement is made: "For $n = 1,2, \dots$ the event $\{n \leq T_k\}$ depends only on $X_0, \dots, ...
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2answers
59 views

Is there a proof that the observations of a hidden Markov chain is not itself a Markov chain?

Suppose $\{X_n\}$ is the hidden Markov chain, and $\{Y_n\}$ is the series of observations, where $\mathbb{P}\{Y_n = j| X_n = i\}$ is the same for all $n$ (please correct me if I have not stated the ...
2
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1answer
835 views

example of irreductible transient markov chain

Can anyone give me a simple example of an irreductible (all elements communicate) and transient markov chain? I can't think of any such chain, yet it exists (but has to have an infinite number of ...
2
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1answer
483 views

Markov Process: Have you seen this notation and do you know what it means?

Ok, I've already posted this a minute ago, but my text deleted itself while I was editing it :-( So next try: Can you help me to understand the notation my professor uses to describe Markov ...
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1answer
598 views

Finite State Markov Chain Stationary Distribution

How does one show that any finite-state time homogenous Markov Chain has at least one stationary distribution in the sense of $\pi = \pi Q$ where $Q$ is the transition matrix and $\pi$ is the ...
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1answer
763 views

A problem on Expected value using the survival function

Let $X$ be a random variable denoting the number of times needed to roll ( including the last roll) a fair six-sided die until we obtain 4 consecutive six's. I would like help in computing ...
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1answer
71 views

Random walk on connected graph: show $E_vT_w \ne E_wT_v$

Let $G$ be a connected graph on at least 3 vertices in which the vertex $v$ has only one neighbor, namely $w$. Let $(X_t)_{t \ge 0}$ be a simple random walk on $G$, where $X_t$ is the current vertex ...
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1answer
293 views

Continuous Time Markov Chains

What are some techniques to convert Continuous Time Markov Processes into Discrete time Markov Processes? (for purposes of simulations)
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45 views

Markov Process: predict the weather using a stochastic matrix

I have the following stochastic matrix $$ P = \begin{pmatrix} P(S \mid S) = 0.5 & P(F \mid S) = 0.2 & P(R \mid S) = 0.3 \\ P(S \mid F) = 0.2 & P(F \mid F) = 0.7 & P(R \mid F) = 0.1 ...
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2answers
140 views

Equilibrium distribution of Ehrenfest's urn

(I'll post my own answer to this, but others may be of interest, so post your own if you have one.) (PS: In reply to comments posted below: Stackexchange encourages posting an answer to one's own ...
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2answers
49 views

finding the generating function $\phi(s) = \mathbb{E}(s^{H_0})$.

i just started the course of markov chains and i'm having a few problems with one of the excercises. Let $Y_1,Y_2, \dots$ be i.i.d random variables with: $\mathbb{P}(Y_1 = 1) = \mathbb{P}(Y_1 = -1) ...
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1answer
200 views

Finding the probability of ever visiting a transient state for a zero-seeking device for a Markov Chain?

A zero-seeking device operates as follows: if it is in state $j$ at time $n$, then at time $n+1$, its position is $0$ with probability $\frac{1}{j}$ or $k$ with probability $\frac{2k}{j^2}$, where $k$ ...
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1answer
79 views

Proving that a HMC state is recurrent or transient?

Looking at the HMC $$\begin{bmatrix} 1-\alpha & \alpha \\ 0 & 1 \end{bmatrix} $$ How do I prove that the state 2 is recurrent and that state 1 is transient? What does it actually mean by ...