Paper 2, Section I, H

Markov Chains
Part IB, 2020

Let (Xn)n0\left(X_{n}\right)_{n \geqslant 0} be a Markov chain with state space {1,2}\{1,2\} and transition matrix

P=(1ααβ1β)P=\left(\begin{array}{cc} 1-\alpha & \alpha \\ \beta & 1-\beta \end{array}\right)

where α,β(0,1]\alpha, \beta \in(0,1]. Compute P(Xn=1X0=1)\mathbb{P}\left(X_{n}=1 \mid X_{0}=1\right). Find the value of P(Xn=1X0=2)\mathbb{P}\left(X_{n}=1 \mid X_{0}=2\right).