Paper 3, Section I, E

Markov Chains
Part IB, 2010

An intrepid tourist tries to ascend Springfield's famous infinite staircase on an icy day. When he takes a step with his right foot, he reaches the next stair with probability 1/21 / 2, otherwise he falls down and instantly slides back to the bottom with probability 1/21 / 2. Similarly, when he steps with his left foot, he reaches the next stair with probability 1/31 / 3, or slides to the bottom with probability 2/32 / 3. Assume that he always steps first with his right foot when he is at the bottom, and alternates feet as he ascends. Let XnX_{n} be his position after his nnth step, so that Xn=iX_{n}=i when he is on the stair i,i=0,1,2,i, i=0,1,2, \ldots, where 0 is the bottom stair.

(a) Specify the transition probabilities pijp_{i j} for the Markov chain (Xn)n0\left(X_{n}\right)_{n} \geqslant 0 for any i,j0i, j \geqslant 0.

(b) Find the equilibrium probabilities πi\pi_{i}, for i0i \geqslant 0. [Hint: π0=5/9.]\left.\pi_{0}=5 / 9 .\right]

(c) Argue that the chain is irreducible and aperiodic and evaluate the limit

limnP(Xn=i)\lim _{n \rightarrow \infty} \mathbb{P}\left(X_{n}=i\right)

for each i0i \geqslant 0.