Stochastic Models I (for first-year doctoral students)

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Stochastic Models I (for first-year doctoral students)

Attribution Non-Commercial (BY-NC)

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Numerical Problems 1.(a) 5 = 0.1667 1.(b) Yes, because the Markov chain is irreducicle and has a nite state space. The stationary probability of being in state 5 is 5 = 0.1667. The stationary probability vector is such that = P . However, there is no limiting probability (i.e., we do not have a limit for P n as n ), because the chain is periodic, with period 2.

2n+1 2n 1.(c) For large n, P1 = 0 and P1 ,5 ,5

25 = 0.3334

1.(d) 1/5 = 6 2.(a) M1 = 14.26303 2.(b) N1,5 = 2.21054 2.(c) B1,10 = 0.3684 Problem 4.18 Let aj = e j /j ! , (a)

N 1

j 0.

P0,j = aj , j < N,

P0,N = 1

j =0

aj

N i

j =0

aj .

(b) Yes, because it is a nite, irreducible Markov chain. (c) As one of the equations is redundant, we can write them as follows :

j +1

j

N

= 0 aj +

i=1

i aj i+1 ,

j = 0, , N 1

j

j =0

= 1.

Problem 4.19 (a) are from state i to state j . (b) go from a state in A to one in Ac . (c) This follows because between any two transitions that go from a state in A to one in Ac there must be a transition from a state in Ac to one in A, and vice-versa. 1

(d) It follows from (c) that the long-run proportion of transitions that are from a state in A to one in Ac must equal the long-run proportion of transitions that go from a state in Ac to one in A; and that is what (d) asserts. Problem 4.31 Let the states be 0 : spider and y at same location 1 : spider at location 1 and y at 2 2 : spider at 2 and y at 1 1 0 0 P = .54 .28 .18 .54 .18 .28 (a)

n P11 = (0.46)n

1 1 + 2 2

28 1 23

which is obtained by rst conditioning on the event that 0 is not entered and then using the fact that for the p 1p 1p p

n = chain P00 1 2 n +1 2 (2p 1) .

More generally, we can nd explicit analytical expressions for n-step transition probabilities by applying the spectral representation of the sub-probability transition matrix Q= a b b a

(The same argument applies without that special structure. See the Appendix of Karlin and Taylor for a textbook review of this part of basic linear algebra.) We want to nd constants such that xQ = x . Those are the eigenvalues of Q. To nd the eigenvalues, we solve the equation det(Q I ) = 0 , where det is the determinant. Here the equation is (a )2 b2 = 0 , which yields two solutions: a + b and a b. We then nd the left eigenvectors of Q. A row vector x is a left eigenvector of Q associated with the eigenvalue 2 (1)

if equation (1) hold. Similarly, the transpose of x, denoted by xT , is a right eigenvector of Q associated with eigenvalue if QxT = xT . We then can nd a spectral representation for Q: Q = RL , (3) (2)

with the following properties: (i) R and L are square matrices with the same dimension as Q, (ii) the columns of R are right eigenvectors of Q; (iii) the rows of L are left eigenvectors of Q, (iv) RL = LR = I , and (v) is a square diagonal matrix with the eigenvalues for its diagonal elements. As a consequence, we have Qn = Rn L for all n 1 , (4)

enabling us to compute Qn , easily because n is a diagonal matrix with diagonal elements n , where is an eigenvector. Here we get eigenvalues of Q equal to a + b and a b. Here we get eigenvector matrices L= and R= 1 1 1 1 1/2 1/2 1/2 1/2

We obtain one of these by directly solving for the eigenvectors (which are not unique). Given L or R, we can obtain the other by inverting the matrix, i.e., L = R 1 . Hence, equation (4) holds Qn = 1 1 1 1 (a + b)n 0 0 (a b)n 1/2 1/2 1/2 1/2

Qn 1,1 =

1 (b) E[N ] = .54 since N is geometric (on the positive integers, not including 0) with p = 0.54.

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