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D UE T HURSDAY, D EC 4, 2014
(1) Let (Xn ) be a random walk on {0, 1, . . . , M } with two reflecting barrier at 0 and at M > 1. That is,
the transition matrix of (Xn ) is
Pi,j
1 p
=
in this case?
(3) A particle performs a random walk on the non-negative integers {0, 1, . . .} as follows. At each step,
it moves right with probability p and left with probability q = 1 p, except that, if it is at 0 now,
it moves right with probability p and remains at 0 with probability q. This called a simple random
walk on D = {0, 1, 2, . . .} with a (not instanteneously) reflecting barrier at 0.
Let Xn be the particles position after the nth step. Then, (Xn )n0 is a Markov chain with state space
D.
(a) Write down the transition probabilities Pi,j = P [Xn+1 = j | Xn = i].
(b) Classify the states when p > q.
(c) Classify the states when p < q.
(d) Find the invariant distribution = (i )i0 when p < q.
(e) Let T = min {n 0 : Xn = 0}. Compute E [T | X0 = i] for i 1, when p < q.
Hint. What is the relationship between E [T | X0 = i] and E [T | X0 = 1]?
(4) Let (Xn )n0 be a Markov chain with state space D = {a, b, c, d, e} and transition matrix
0 0 0 0 1
1 0 0 0 0
1
1
P =
/2 /2 0 0 0
1/3 1/3 1/3 0 0
1/4 1/4 1/4 1/4 0
(a) Classify the states.
(b) Compute the invariant distribution = (a , b , c , d , e ).
(c) Let T = min {n 1 : Xn is b or c}. Compute
" T 1
#
X
E
f (Xn ) X0 = a .
n=0
2 if i = a and j = e,
g(i, j) = 3 if i = e and j = a,
0 otherwise.
Compute
n
1X
lim
g(Xk1 , Xk ).
n n
k=1
Each problem is worth 25 points. Write your name at the top right corner of each page you submit.
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