Grinstead-Snell-Probability · Problem 11.4.5

Markov Chains

Mathematics · fundamental-limit-theorem-extension-regular

Problem

The theorem that Pn→W\mathbf{P}^n \to \mathbf{W} was proved only for the case that P\mathbf{P} has no zero entries. Fill in the details of the following extension to the case that P\mathbf{P} is regular. Since P\mathbf{P} is regular, for some NN, PN\mathbf{P}^N has no zeros. Thus, the proof given shows that MnN−mnNM_{nN} - m_{nN} approaches 0 as nn tends to infinity. However, the difference Mn−mnM_n - m_n can never increase. (Why?) Hence, if we know that the differences obtained by looking at every NNth time tend to 0, then the entire sequence must also tend to 0.

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