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I have an exercise with an answer which I don't completely understand:

Here's the exercise: Suppose $p$ is the transition (stochastic) matrix defined by $$p= \begin{pmatrix} 1-\alpha & \alpha \\ \beta & 1- \beta \\ \end{pmatrix}$$

What I need to find is $\Bbb P(X_n=1 | X_0=1)$.

So here's the solution:

Noting that $p^{n+1}=p^np$ this gives:

$$p^{n+1}_{11}= p^{n}_{12}\beta + p^n_{11}(1-\alpha)$$

and since p is a stochastic matrix $$p^n_{11}+p^n_{12}=1$$ for all $n$.

Then we suub the second into the first and solve for $p^n_{11}$ $\Rightarrow$ $$p^{n+1}_{11}=(1-\alpha-\beta)p^n_{11}+\beta$$

So for some reason they also write that $p^0_{11}=1.$

So then the solution is :

$$p^n_{11}= \begin{cases} \frac{\alpha}{\alpha+\beta} + \frac{\alpha}{\alpha+\beta}(1-\alpha-\beta)^n , & \text{for }\alpha+\beta \gt 0\\ 1, & \text{for } \alpha+\beta=0. \end{cases}$$

So how did they deduce the solution?

Is this even a correct solution?

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There are two questions.

  1. Why is $p_{11}^0 = 1$? This concerns powers of the matrix (which I will write as $P$). Because matrix powers may be unfamiliar, here is a quick sketch of the theory. For powers to be useful, they need to have some basic properties, one of which is that $P^1=P$ and another is that for any natural number $n,$ $P^{n+1} = P\,P^n = P^n\, P.$ When $n=0$ this means $$P = P^1 = P^{0+1} = P^0\,P = P\, P^0.$$ There is an obvious universal solution $$P^0 = \mathbb{I} = \pmatrix{1&0\\0&1}.$$ In particular, its upper left hand entry is $$(P^0)_{11} = 1.$$

  2. How does one solve a recursive sequence of equations $$\begin{cases}x_0 &= 1 \\ x_{n+1} &= \rho\, x_n + \lambda, & n \gt 0\end{cases}$$ Here $x_n$ refers to the $1,1$ entry of $P^n;$ that is, to $(P^n)_{11}.$ The argument recounted in the question establishes that $\rho = 1-\alpha-\beta$ and $\lambda=\beta.$

    One way is to simplify this to a "homogeneous" relation by setting $y_n + \mu = x_n$ for some number $\mu$ to be found. Substituting in the recursion gives $$y_{n+1} + \mu = x_{n+1} = \rho\, x_n + \lambda = \rho(y_n + \mu) + \lambda.$$ Equivalently, we may isolate $y_{n+1}$ to give $$y_{n+1} = \rho(y_n + \mu) + \lambda - \mu = \rho\,y_n + (\lambda + (\rho-1)\mu).$$ Thus if we set $$\mu = \frac{\lambda}{1-\rho}$$ (assuming $\rho\ne 1$), this simplifies to $$y_{n+1} = \rho\, y_n.$$ This is a geometric series with the well-known (unique) solution $$y_{n} = \rho^n\, y_0 = \rho^n(x_0 - \mu),\quad n=0, 1, 2, \ldots.$$ Adding $\mu$ back to both sides yields $$x_{n} = y_{n} + \mu = \rho^n(x_0 - \mu) + \mu.$$ In the present application $$\mu = \frac{\lambda}{1-\rho} = \frac{\beta}{\alpha+\beta}.$$ Coupled with the initial condition $x_0 = (P^0)_{11} = 1$ this gives the stated solution when $\rho \ne 1;$ that is, when $\alpha+\beta\ne 0.$ In this last case necessarily $\alpha=\beta=0$ (because these are both transition probabilities), whence the recursion is simply $(P^{n+1})_{11} = (P^{n})_{11}$ whose solution obviously is $(P^{n})_{11}=(P^0)_{11} = 1$ for all $n.$

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  • $\begingroup$ Thank you so much for clarifying! And thanks for editing! $\endgroup$ – user6969 Jan 14 at 18:27
  • $\begingroup$ so $x_n$ would be equal to $\rho^{n-1}(x_0-\mu)+\mu$? Because you defined $x_{n+1}$ to be $p^{n+1}_{11}$ $\endgroup$ – user6969 Jan 14 at 18:41
  • $\begingroup$ As I wrote at the outset, "$x_n$" is shorthand for "$(P^n)_{11}.$" $\endgroup$ – whuber Jan 14 at 18:44
  • $\begingroup$ I understand this, but in the end you wrote how much is $x_{n+1}$ equal to but not $x_n$. So that's why I asked, not because I was confused by your notation. $\endgroup$ – user6969 Jan 14 at 18:48
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    $\begingroup$ oh, okay, I see now. Yes, thank you! $\endgroup$ – user6969 Jan 14 at 18:52

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