Grinstead-Snell-Probability · Problem 31

Markov Chains

Mathematics · ergodic-chain-constant-fixed-column-vector

Problem

(Alternate proof of Theorem 11.8) Let P\mathbf{P} be the transition matrix of an ergodic Markov chain. Let x\mathbf{x} be any column vector such that Px=x\mathbf{P}\mathbf{x} = \mathbf{x}. Let MM be the maximum value of the components of x\mathbf{x}. Assume that xi=Mx_i = M. Show that if pij>0p_{ij} > 0 then xj=Mx_j = M. Use this to prove that x\mathbf{x} must be a constant vector.

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