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In fact a bit of thought shows that ni the total

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Unformatted text preview: t is, 1 X Ni = I fXn = ig: n=0 1.36 Theorem. The state i is recurrent if and only if E i Ni  = 1. Proof: We already know that if i is recurrent, then Pi fNi = 1g = 1; that is, starting from i, the chain visits i in nitely many times with probability one. But of course the last display implies that E i Ni  = 1. To prove the converse, suppose that i is transient, so that q := Pi fTi = 1g 0. Considering the sample path of the Markov chain as a succession of cycles" as in the proof of Theorem 1.35, we see that each cycle has probability q of never ending, so that there are no more cycles, and no more visits to i. In fact, a bit of thought shows that Ni , the total number of visits to i including the visit at time 0 , has a geometric distribution with success probability" q, and hence expected value 1=q, which is nite, since q 0. 1.37 Corollary. If j is transient, then limn!1 P n i; j  = 0 for all states i. Proof: Supposing j is transient, we know that E j Nj  state i 6= j , we have Stochastic Processes E i Nj  = Pi 1. Starting from an arbitrary fTj 1gE i Nj j Tj 1: J. Chang, March 30, 1999 1.6. IRREDUCIBILITY, PERIODICITY, AND RECURRENCE Page 1-19 However, E i Nj j Tj 1 = E j Nj ; this is clear intuitively since, starting from i, if the Markov chain hits j at the nite time Tj , then it probabilistically restarts" at time Tj . Exercise:P a formal argument. Thus, E i Nj   E j Nj  1, so that in fact we have give E i Nj  = 1 P n i; j  1, which implies the conclusion of the Corollary. n=1 1.38 Example A drunk man will find his way home, but a drunk bird may get lost forever," or, recurrence and transience of random walks . The quotation is from Yale's own professor Kakutani, as told by R. Durrett in his probability book. We'll consider a certain model of a random walk in d dimensions, and show that the walk is recurrent if d = 1 or d = 2, and the walk is transient if d  3. In one dimension, our random walk is the simple, symmetric" random walk on the integers, which takes steps of +1 and ,1 with probability 1 2 each. That is, letting X1 ; X2 ; : : : be iid taking the values 1 with probability 1 2, we de ne the position of the random walk at time n to be Sn = X1 +    + Xn . What is a random walk in d dimensions? Here is what we will take it to be: the position of such a random walk at time n is Sn = Sn 1; : : : ; Snd 2 Zd; where the coordinates Sn 1; : : : ; Sn d are independent simple, symmetric random walks in Z. That is, to form a random walk in Zd, simply concatenate d independent one-dimensional random walks into a d-dimensional vector process. Thus, our random walk Sn may be written as Sn = X1 +    + Xn , where X1 ; X2 ; : : : are iid taking on the 2d values 1; : : : ; 1 with probability 2,d each. This might not be the rst model that would come to your mind. Another natural model would be to have the random walk take a step by choosing one of the d coordinate directions at random probability 1=d each and then taking a step of +...
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