Paper 2, Section II, H

Markov Chains
Part IB, 2012

Let (Xn)n0\left(X_{n}\right)_{n \geqslant 0} be the symmetric random walk on vertices of a connected graph. At each step this walk jumps from the current vertex to a neighbouring vertex, choosing uniformly amongst them. Let Ti=inf{n1:Xn=i}T_{i}=\inf \left\{n \geqslant 1: X_{n}=i\right\}. For each iji \neq j let qij=P(Tj<TiX0=i)q_{i j}=P\left(T_{j}<T_{i} \mid X_{0}=i\right) and mij=E(TjX0=i)m_{i j}=E\left(T_{j} \mid X_{0}=i\right). Stating any theorems that you use:

(i) Prove that the invariant distribution π\pi satisfies detailed balance.

(ii) Use reversibility to explain why πiqij=πjqji\pi_{i} q_{i j}=\pi_{j} q_{j i} for all i,ji, j.

Consider a symmetric random walk on the graph shown below.

(iii) Find m33m_{33}.

(iv) The removal of any edge (i,j)(i, j) leaves two disjoint components, one which includes ii and one which includes jj. Prove that mij=1+2eij(i)m_{i j}=1+2 e_{i j}(i), where eij(i)e_{i j}(i) is the number of edges in the component that contains ii.

(v) Show that mij+mji{18,36,54,72}m_{i j}+m_{j i} \in\{18,36,54,72\} for all iji \neq j.