Paper 4, Section I, H

Markov Chains
Part IB, 2018

Let P=(pij)i,jSP=\left(p_{i j}\right)_{i, j \in S} be the transition matrix for an irreducible Markov chain on the finite state space SS.

(a) What does it mean to say that a distribution π\pi is the invariant distribution for the chain?

(b) What does it mean to say that the chain is in detailed balance with respect to a distribution π\pi ? Show that if the chain is in detailed balance with respect to a distribution π\pi then π\pi is the invariant distribution for the chain.

(c) A symmetric random walk on a connected finite graph is the Markov chain whose state space is the set of vertices of the graph and whose transition probabilities are

pij={1/Di if j is adjacent to i0 otherwise p_{i j}= \begin{cases}1 / D_{i} & \text { if } j \text { is adjacent to } i \\ 0 & \text { otherwise }\end{cases}

where DiD_{i} is the number of vertices adjacent to vertex ii. Show that the random walk is in detailed balance with respect to its invariant distribution.