grandes-ecoles 2020 Q30

grandes-ecoles · France · centrale-maths1__psi Discrete Probability Distributions Markov Chain and Transition Matrix Analysis
Throughout part III, $N$ is a fixed non-zero natural integer and $(X_n)_{n \in \mathbb{N}}$ is a sequence of random variables taking values in $\llbracket 0, N \rrbracket$, forming a homogeneous Markov chain with transition matrix $Q$ where $q_{i,j} = P(X_{n+1} = j \mid X_n = i) > 0$ for all $(i,j) \in \llbracket 0,N \rrbracket^2$. We have $\Pi_{n+1} = Q^\top \Pi_n$. Deduce that the distribution of $X_1$ completely determines the distributions of all random variables $X_n, n \in \mathbb{N}^*$.
Throughout part III, $N$ is a fixed non-zero natural integer and $(X_n)_{n \in \mathbb{N}}$ is a sequence of random variables taking values in $\llbracket 0, N \rrbracket$, forming a homogeneous Markov chain with transition matrix $Q$ where $q_{i,j} = P(X_{n+1} = j \mid X_n = i) > 0$ for all $(i,j) \in \llbracket 0,N \rrbracket^2$. We have $\Pi_{n+1} = Q^\top \Pi_n$. Deduce that the distribution of $X_1$ completely determines the distributions of all random variables $X_n, n \in \mathbb{N}^*$.