Stochastic Dynamical Models A.A.

2022-2023

Exercise Session 2

Keywords: Recurrence relations.

Exercise 1. Consider a discrete-time Markov chain (Xn )n≥0 with state space I = N
and transition matrix
 
0 1 0 0 0 0 0 0 ···
 0
 0 1 0 0 0 0 0 · · ·
 /3 1/3 0 1/3 0 0 0 0 · · ·
1 
 
 0 1/3 1/3 0 1/3 0 0 0 · · ·
P =0 .
 
 0 1/3 1/3 0 1/3 0 0 · · ·
 0

0 0 1/3 1/3 0 1/3 0 · · ·
 0 0 0 0 1/3 1/3 0 1/3 · · ·
 
.. .. .. .. .. .. .. .. ..
 
. . . . . . . . .

Compute its invariant distributions if they exist.