Let (Xn:n⩾0) be a homogeneous Markov chain with state space S and transition matrixP=(pi,j:i,j∈S).
(a) Let Wn=X2n,n=0,1,2,… Show that (Wn:n⩾0) is a Markov chain and give its transition matrix. If λi=P(X0=i),i∈S, find P(W1=0) in terms of the λi and the pi,j.
[Results from the course may be quoted without proof, provided they are clearly stated.]
(b) Suppose that S={−1,0,1},p0,1=p−1,−1=0 and p−1,0=p1,0. Let Yn=∣Xn∣, n=0,1,2,… In terms of the pi,j, find
(i) P(Yn+1=0∣Yn=1,Yn−1=0) and
(ii) P(Yn+1=0∣Yn=1,Yn−1=1,Yn−2=0).
What can you conclude about whether or not (Yn:n⩾0) is a Markov chain?