Professional Documents
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Spring 2009
Recurrence/Transience
From last time: look at the simple random walk on Z with p q . Sn := a + X1 + + Xn . Compute: u2n = P0 (S2n = 0) f2n = P0 (T0 = 2n) T0 = rst return time to 0 = inf {n : Sn = 0} (= if no such n exists) We already know that 1 q P0 (T0 < ) = p p + q 1 = 2q p q q + p 1 = 2p To see this, P1 (T0 < ) =
q p
if p = q = if p > q if p < q
1 2
if p q if p < q
2n (pq )n n
E0 N0 =
n=0
2n c (1/2)2n n n then E0 N0 = 1 0
<
if p = q if p = q
In fact, P0 (N0 = ) =
for p = q . for p = q
Obviously, E0 N0 < = P0 (N0 < ) = 1, but E0 N0 = does not so obviously imply P0 (N0 = ) = 1. Idea: Look at the rst return probability.
f :=
n=1
f2n =
n=1
E0 N0 =
1 1 f
< =
i f < 1 i f = 1
2 1 3
4 5
Summary: If P0 (T0 < ) < 1, then E0 N0 < . If P0 (T0 < ) = 1, then E0 N0 = . How to nd a formula for f2n = P0 (T0 = 2n)? Idea: Develop a relation between sequences f2n (unknown) and u2n (known). For every n = 1, 2, 3, . . . , u2n = P0 (S2n = 0)
n
=
m=1 n
Idea: Handle a sequence by its generating function. Try the generating function derived from u2n :
U (z ) =
n=0
u2n z 2n .
Also F (z ) =
f2n z 2n
n=1
Look at
F (z )U (z ) = ( = =
n=1
f2m z (
2m
)(
k=0
u2k z 2k )
m=1 n
f2m u2n2m )z 2n
n=1 m=1
u2n z 2n
= U (z ) 1 Progress: We have turned the nasty looking convolution formula into a nicer relation of generating functions F (z )U (z ) = U (z ) 1 or F (z ) = 1 U (z ) 1 =1 . U (z ) U (z )
U (1) =
n=0
1 2 . See k e.g. Fellers book, An introduction to probability theory and its applications Vol I, Page 96. Recall that
n
(1 + x) =
k=0
n k x k
generalizes to (1 + x) =
a
k=0
a k x k
Claim: Proof:
2n n
= 2 (1)
2n
1 2 . n
2n n
1 2n(2n 1) (n + 1)(n)(n 1) n! n(n 1) 1 1 = 2(2n 1)2(2n 3)2 (5)2(3)2(1) n! 1 = 2n 1 3 (2n 1) n! 1 1 1 1 1 = 22n ( )( + 1)( + 2) ( + n 1) n! 2 2 2 2 1 2n 1 1 1 = 2 (1)n ( )( 1) ( n + 1) n! 2 2 2 1 2 = 22n (1)n n =
U (z ) :=
n=0
u2n z
2n
=
n=0
2n 2n 2n 2 z n
1 2 (z 2 )n n
1
=
n=0
= (1 z 2 ) 2
F (z ) =
n=1
f2n z 2n ,
F (z ) = 1 U (z )1 = 1 (1 z 2 ) 2
=1
n=0
1 2
(z 2 )n
=
n=1
1 2
(1)n1 z 2n
u2n 2n 1
1 1
For n = 2,
f4 2/8 1 = = u4 6/8 3
n=2
n=1
0
0
Up (z ) =
n=0
1 2 (4pq )n (z 2 )n n
1
= (1 4pqz 2 ) 2
Fp (z ) = 1 (1 4pqz 2 ) 2 In particular, P0 (T0 < ) = Fp (1) = 1 (1 4pq ) 2 = 1 |1 2p| Check: For p q , P0 (T0 < ) = pP1 (T0 < ) + q P1 (T0 < ) = p q/p + q 1 = 2q = 2 2p. And similarly for p < q .
(p) (p) (p) (p)
1