Form a matrix a by taking the rst k 1 columns of p i

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Unformatted text preview: let Ty = min{n 1: Xn = y } and let ⇢xy = Px (Ty < 1) When x 6= y this is the probability Xn ever visits y starting at x. When x = y this is the probability Xn returns to y when it starts at y . We restrict to times n 1 in the definition of Ty so that we can say: y is recurrent if ⇢yy = 1 and transient if ⇢yy < 1. Transient states in a finite state space can all be identified using Theorem 1.5. If ⇢xy > 0, but ⇢yx < 1, then x is transient. Once the transient states are removed we can use Theorem 1.7. If C is a finite closed and irreducible set, then all states in C are recurrent. Here A is closed if x 2 A and y 62 A implies p(x, y ) = 0, and B is irreducible if x, y 2 B implies ⇢xy > 0. The keys to the proof of Theorem 1.7 are: (i) If x is recurrent and ⇢xy > 0 then y is recurrent, and (ii) In a finite closed set there has to be at least one recurrent state. To prove these results, it was useful to know that if N (y ) is the number of visits to y at times n 1 then 1 X pn (x, y ) = Ex N (y ) = n=1...
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