1 pn x y y to state the next resultp need a denition

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Unformatted text preview: sider now the basketball chain (Example 1.10): HH HM MH MM HH 3/4 0 2/ 3 0 HM 1/4 0 1/3 0 MH 0 2/3 0 1 /2 MM 0 1 /3 0 1 /2 26 CHAPTER 1. MARKOV CHAINS Lemma 1.17 implies that HH and MM are aperiodic. Since this chain is irreducible it follows from Lemma 1.18 that HM and MH are aperiodic. ******* We now come to the main results of the chapter. We first list the assumptions. All of these results hold when S is finite or infinite. • I : p is irreducible • A : aperiodic, all states have period 1 • R : all states are recurrent • S : there is a stationary distribution ⇡ Theorem 1.19. Convergence theorem. Suppose I , A, S . Then as n ! 1, pn (x, y ) ! ⇡ (y ). To state the next resultP need a definition. We day that µ(x) we 0 is a stationary measure if x µ(x)p(x, y ) = µ(y ). If S is finite we can normalize µ to be a stationary distribution. Theorem 1.20. Suppose I and R. Then there is a stationary measure with µ(x) > 0 for all x. The next result describes the “limiting fraction of time we spend...
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This document was uploaded on 03/06/2014 for the course MATH 4740 at Cornell University (Engineering School).

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