2.II.20C

Markov Chains
Part IB, 2006

Consider the Markov chain (Xn)n0\left(X_{n}\right)_{n \geq 0} on the integers Z\mathbb{Z} whose non-zero transition probabilities are given by p0,1=p0,1=1/2p_{0,1}=p_{0,-1}=1 / 2 and

pn,n1=1/3,pn,n+1=2/3, for n1pn,n1=3/4,pn,n+1=1/4, for n1\begin{gathered} p_{n, n-1}=1 / 3, \quad p_{n, n+1}=2 / 3, \quad \text { for } n \geq 1 \\ p_{n, n-1}=3 / 4, \quad p_{n, n+1}=1 / 4, \quad \text { for } n \leqslant-1 \end{gathered}

(a) Show that, if X0=1X_{0}=1, then (Xn)n0\left(X_{n}\right)_{n \geq 0} hits 0 with probability 1/21 / 2.

(b) Suppose now that X0=0X_{0}=0. Show that, with probability 1 , as nn \rightarrow \infty either XnX_{n} \rightarrow \infty or XnX_{n} \rightarrow-\infty.

(c) In the case X0=0X_{0}=0 compute P(Xn\mathbb{P}\left(X_{n} \rightarrow \infty\right. as n)\left.n \rightarrow \infty\right).