How do I show that the mean recurrence time for transient states is infinity?

Multi tool use
$begingroup$
The random variable $T_i$, the "Hitting Time of $i$" is defined to be the first $n$ such that $X_n=i$ given that $X_0=i$.
By the mean recurrence time of $T_i$, I mean the expected value of this random variable.
I wish to show that if $i$ is transient, then the expectation does not converge to any finite real number. While this, intuitively makes sense, I do not know how to formally prove this and any help is appreciated.
probability markov-chains
$endgroup$
add a comment |
$begingroup$
The random variable $T_i$, the "Hitting Time of $i$" is defined to be the first $n$ such that $X_n=i$ given that $X_0=i$.
By the mean recurrence time of $T_i$, I mean the expected value of this random variable.
I wish to show that if $i$ is transient, then the expectation does not converge to any finite real number. While this, intuitively makes sense, I do not know how to formally prove this and any help is appreciated.
probability markov-chains
$endgroup$
$begingroup$
A given state $i$ is transient iff $P_i(T_i=+infty)ne0$. Then $E_i(T_i)geqslant E_i(T_imathbf 1_{T_i=+infty})=+inftycdot P_i(T_i=+infty)=+infty$, as desired.
$endgroup$
– Did
Jan 9 at 0:07
add a comment |
$begingroup$
The random variable $T_i$, the "Hitting Time of $i$" is defined to be the first $n$ such that $X_n=i$ given that $X_0=i$.
By the mean recurrence time of $T_i$, I mean the expected value of this random variable.
I wish to show that if $i$ is transient, then the expectation does not converge to any finite real number. While this, intuitively makes sense, I do not know how to formally prove this and any help is appreciated.
probability markov-chains
$endgroup$
The random variable $T_i$, the "Hitting Time of $i$" is defined to be the first $n$ such that $X_n=i$ given that $X_0=i$.
By the mean recurrence time of $T_i$, I mean the expected value of this random variable.
I wish to show that if $i$ is transient, then the expectation does not converge to any finite real number. While this, intuitively makes sense, I do not know how to formally prove this and any help is appreciated.
probability markov-chains
probability markov-chains
asked Nov 14 '18 at 18:24
Agnishom ChattopadhyayAgnishom Chattopadhyay
1,6121818
1,6121818
$begingroup$
A given state $i$ is transient iff $P_i(T_i=+infty)ne0$. Then $E_i(T_i)geqslant E_i(T_imathbf 1_{T_i=+infty})=+inftycdot P_i(T_i=+infty)=+infty$, as desired.
$endgroup$
– Did
Jan 9 at 0:07
add a comment |
$begingroup$
A given state $i$ is transient iff $P_i(T_i=+infty)ne0$. Then $E_i(T_i)geqslant E_i(T_imathbf 1_{T_i=+infty})=+inftycdot P_i(T_i=+infty)=+infty$, as desired.
$endgroup$
– Did
Jan 9 at 0:07
$begingroup$
A given state $i$ is transient iff $P_i(T_i=+infty)ne0$. Then $E_i(T_i)geqslant E_i(T_imathbf 1_{T_i=+infty})=+inftycdot P_i(T_i=+infty)=+infty$, as desired.
$endgroup$
– Did
Jan 9 at 0:07
$begingroup$
A given state $i$ is transient iff $P_i(T_i=+infty)ne0$. Then $E_i(T_i)geqslant E_i(T_imathbf 1_{T_i=+infty})=+inftycdot P_i(T_i=+infty)=+infty$, as desired.
$endgroup$
– Did
Jan 9 at 0:07
add a comment |
2 Answers
2
active
oldest
votes
$begingroup$
Note that state $i$ is persistent iff,
$$ P(X_n = i text{ for some } n geq 1| X_0 = i) = 1$$
Each state is transient or persistent.
The hitting time of state $i$, $T_i$, is a random variable defined as the first time we visit state $i$:
$$ T_i = min {n | n geq 1, X_n = i} $$
where $T_i$ is defined as $infty$ if this visit never happens.
We now show that $ P(T_i = infty | X_0 = i) > 0 $ iff state $i$ is transient.
Then, the required result on the mean recurrence time follows, because the mean recurrence time $mu_i$ is defined as:
$$mu_i = E(T_i| X_0 = i) $$
Suppose state $i$ is transient. Then,
$$
begin{align} P(T_i = infty | X_0 = i) & = P(X_n neq i text{ for all } n geq 1 | X_0 = i) \
& = 1 - P(X_n = i text{ for some } n geq 1 | X_0 = i) \
& > 1 - 1 = 0.
end{align}
$$
Suppose state $i$ is persistent. Then,
$$
begin{align} P(T_i = infty | X_0 = i) & = P(X_n neq i text{ for all } n geq 1 | X_0 = i) \
& = 1 - P(X_n = i text{ for some } n geq 1 | X_0 = i) \
& = 1 - 1 = 0.
end{align}
$$
This shows both directions, and completes the proof.
$endgroup$
add a comment |
$begingroup$
I don't think you have the definition quite right. The first passage time $T_i$ is the minimum $n$ such that $X_n = i$ given $X_0 = i$, and is defined to be $infty$ if no such $n$ exists.
In that light, we just need to know that a state $i$ is transient if there's some other state $j$ such that $i rightarrow j$, but $j notrightarrow i$. That is, if a (finite-state, discrete-time) Markov chain initialized at state $i$ reaches state $j$ it almost surely never returns to $i$. Because $i rightarrow j$, this happens with positive probability and thus $T_i = infty$ with positive probability. (Which implies $mathbb{E}[T_i] = infty$).
One reference you may find useful is these lecture notes.
$endgroup$
$begingroup$
Your definition of transience is wrong. Most transient Markov chains are such that $ito j$ and $jto i$ for every $i$ and $j$ in their state space.
$endgroup$
– Did
Jan 9 at 0:06
$begingroup$
But only in the case of an infinite state space, right? I was only talking about the finite-state case (and probably should have said that more clearly).
$endgroup$
– Will Brannon
Jan 9 at 3:52
$begingroup$
Then you are describing (non-)communicability between states rather than transience.
$endgroup$
– Did
Jan 9 at 6:48
add a comment |
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2 Answers
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2 Answers
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votes
$begingroup$
Note that state $i$ is persistent iff,
$$ P(X_n = i text{ for some } n geq 1| X_0 = i) = 1$$
Each state is transient or persistent.
The hitting time of state $i$, $T_i$, is a random variable defined as the first time we visit state $i$:
$$ T_i = min {n | n geq 1, X_n = i} $$
where $T_i$ is defined as $infty$ if this visit never happens.
We now show that $ P(T_i = infty | X_0 = i) > 0 $ iff state $i$ is transient.
Then, the required result on the mean recurrence time follows, because the mean recurrence time $mu_i$ is defined as:
$$mu_i = E(T_i| X_0 = i) $$
Suppose state $i$ is transient. Then,
$$
begin{align} P(T_i = infty | X_0 = i) & = P(X_n neq i text{ for all } n geq 1 | X_0 = i) \
& = 1 - P(X_n = i text{ for some } n geq 1 | X_0 = i) \
& > 1 - 1 = 0.
end{align}
$$
Suppose state $i$ is persistent. Then,
$$
begin{align} P(T_i = infty | X_0 = i) & = P(X_n neq i text{ for all } n geq 1 | X_0 = i) \
& = 1 - P(X_n = i text{ for some } n geq 1 | X_0 = i) \
& = 1 - 1 = 0.
end{align}
$$
This shows both directions, and completes the proof.
$endgroup$
add a comment |
$begingroup$
Note that state $i$ is persistent iff,
$$ P(X_n = i text{ for some } n geq 1| X_0 = i) = 1$$
Each state is transient or persistent.
The hitting time of state $i$, $T_i$, is a random variable defined as the first time we visit state $i$:
$$ T_i = min {n | n geq 1, X_n = i} $$
where $T_i$ is defined as $infty$ if this visit never happens.
We now show that $ P(T_i = infty | X_0 = i) > 0 $ iff state $i$ is transient.
Then, the required result on the mean recurrence time follows, because the mean recurrence time $mu_i$ is defined as:
$$mu_i = E(T_i| X_0 = i) $$
Suppose state $i$ is transient. Then,
$$
begin{align} P(T_i = infty | X_0 = i) & = P(X_n neq i text{ for all } n geq 1 | X_0 = i) \
& = 1 - P(X_n = i text{ for some } n geq 1 | X_0 = i) \
& > 1 - 1 = 0.
end{align}
$$
Suppose state $i$ is persistent. Then,
$$
begin{align} P(T_i = infty | X_0 = i) & = P(X_n neq i text{ for all } n geq 1 | X_0 = i) \
& = 1 - P(X_n = i text{ for some } n geq 1 | X_0 = i) \
& = 1 - 1 = 0.
end{align}
$$
This shows both directions, and completes the proof.
$endgroup$
add a comment |
$begingroup$
Note that state $i$ is persistent iff,
$$ P(X_n = i text{ for some } n geq 1| X_0 = i) = 1$$
Each state is transient or persistent.
The hitting time of state $i$, $T_i$, is a random variable defined as the first time we visit state $i$:
$$ T_i = min {n | n geq 1, X_n = i} $$
where $T_i$ is defined as $infty$ if this visit never happens.
We now show that $ P(T_i = infty | X_0 = i) > 0 $ iff state $i$ is transient.
Then, the required result on the mean recurrence time follows, because the mean recurrence time $mu_i$ is defined as:
$$mu_i = E(T_i| X_0 = i) $$
Suppose state $i$ is transient. Then,
$$
begin{align} P(T_i = infty | X_0 = i) & = P(X_n neq i text{ for all } n geq 1 | X_0 = i) \
& = 1 - P(X_n = i text{ for some } n geq 1 | X_0 = i) \
& > 1 - 1 = 0.
end{align}
$$
Suppose state $i$ is persistent. Then,
$$
begin{align} P(T_i = infty | X_0 = i) & = P(X_n neq i text{ for all } n geq 1 | X_0 = i) \
& = 1 - P(X_n = i text{ for some } n geq 1 | X_0 = i) \
& = 1 - 1 = 0.
end{align}
$$
This shows both directions, and completes the proof.
$endgroup$
Note that state $i$ is persistent iff,
$$ P(X_n = i text{ for some } n geq 1| X_0 = i) = 1$$
Each state is transient or persistent.
The hitting time of state $i$, $T_i$, is a random variable defined as the first time we visit state $i$:
$$ T_i = min {n | n geq 1, X_n = i} $$
where $T_i$ is defined as $infty$ if this visit never happens.
We now show that $ P(T_i = infty | X_0 = i) > 0 $ iff state $i$ is transient.
Then, the required result on the mean recurrence time follows, because the mean recurrence time $mu_i$ is defined as:
$$mu_i = E(T_i| X_0 = i) $$
Suppose state $i$ is transient. Then,
$$
begin{align} P(T_i = infty | X_0 = i) & = P(X_n neq i text{ for all } n geq 1 | X_0 = i) \
& = 1 - P(X_n = i text{ for some } n geq 1 | X_0 = i) \
& > 1 - 1 = 0.
end{align}
$$
Suppose state $i$ is persistent. Then,
$$
begin{align} P(T_i = infty | X_0 = i) & = P(X_n neq i text{ for all } n geq 1 | X_0 = i) \
& = 1 - P(X_n = i text{ for some } n geq 1 | X_0 = i) \
& = 1 - 1 = 0.
end{align}
$$
This shows both directions, and completes the proof.
answered Feb 13 at 7:00
AmeyaAmeya
113
113
add a comment |
add a comment |
$begingroup$
I don't think you have the definition quite right. The first passage time $T_i$ is the minimum $n$ such that $X_n = i$ given $X_0 = i$, and is defined to be $infty$ if no such $n$ exists.
In that light, we just need to know that a state $i$ is transient if there's some other state $j$ such that $i rightarrow j$, but $j notrightarrow i$. That is, if a (finite-state, discrete-time) Markov chain initialized at state $i$ reaches state $j$ it almost surely never returns to $i$. Because $i rightarrow j$, this happens with positive probability and thus $T_i = infty$ with positive probability. (Which implies $mathbb{E}[T_i] = infty$).
One reference you may find useful is these lecture notes.
$endgroup$
$begingroup$
Your definition of transience is wrong. Most transient Markov chains are such that $ito j$ and $jto i$ for every $i$ and $j$ in their state space.
$endgroup$
– Did
Jan 9 at 0:06
$begingroup$
But only in the case of an infinite state space, right? I was only talking about the finite-state case (and probably should have said that more clearly).
$endgroup$
– Will Brannon
Jan 9 at 3:52
$begingroup$
Then you are describing (non-)communicability between states rather than transience.
$endgroup$
– Did
Jan 9 at 6:48
add a comment |
$begingroup$
I don't think you have the definition quite right. The first passage time $T_i$ is the minimum $n$ such that $X_n = i$ given $X_0 = i$, and is defined to be $infty$ if no such $n$ exists.
In that light, we just need to know that a state $i$ is transient if there's some other state $j$ such that $i rightarrow j$, but $j notrightarrow i$. That is, if a (finite-state, discrete-time) Markov chain initialized at state $i$ reaches state $j$ it almost surely never returns to $i$. Because $i rightarrow j$, this happens with positive probability and thus $T_i = infty$ with positive probability. (Which implies $mathbb{E}[T_i] = infty$).
One reference you may find useful is these lecture notes.
$endgroup$
$begingroup$
Your definition of transience is wrong. Most transient Markov chains are such that $ito j$ and $jto i$ for every $i$ and $j$ in their state space.
$endgroup$
– Did
Jan 9 at 0:06
$begingroup$
But only in the case of an infinite state space, right? I was only talking about the finite-state case (and probably should have said that more clearly).
$endgroup$
– Will Brannon
Jan 9 at 3:52
$begingroup$
Then you are describing (non-)communicability between states rather than transience.
$endgroup$
– Did
Jan 9 at 6:48
add a comment |
$begingroup$
I don't think you have the definition quite right. The first passage time $T_i$ is the minimum $n$ such that $X_n = i$ given $X_0 = i$, and is defined to be $infty$ if no such $n$ exists.
In that light, we just need to know that a state $i$ is transient if there's some other state $j$ such that $i rightarrow j$, but $j notrightarrow i$. That is, if a (finite-state, discrete-time) Markov chain initialized at state $i$ reaches state $j$ it almost surely never returns to $i$. Because $i rightarrow j$, this happens with positive probability and thus $T_i = infty$ with positive probability. (Which implies $mathbb{E}[T_i] = infty$).
One reference you may find useful is these lecture notes.
$endgroup$
I don't think you have the definition quite right. The first passage time $T_i$ is the minimum $n$ such that $X_n = i$ given $X_0 = i$, and is defined to be $infty$ if no such $n$ exists.
In that light, we just need to know that a state $i$ is transient if there's some other state $j$ such that $i rightarrow j$, but $j notrightarrow i$. That is, if a (finite-state, discrete-time) Markov chain initialized at state $i$ reaches state $j$ it almost surely never returns to $i$. Because $i rightarrow j$, this happens with positive probability and thus $T_i = infty$ with positive probability. (Which implies $mathbb{E}[T_i] = infty$).
One reference you may find useful is these lecture notes.
edited Jan 8 at 23:42
answered Jan 8 at 23:36
Will BrannonWill Brannon
111
111
$begingroup$
Your definition of transience is wrong. Most transient Markov chains are such that $ito j$ and $jto i$ for every $i$ and $j$ in their state space.
$endgroup$
– Did
Jan 9 at 0:06
$begingroup$
But only in the case of an infinite state space, right? I was only talking about the finite-state case (and probably should have said that more clearly).
$endgroup$
– Will Brannon
Jan 9 at 3:52
$begingroup$
Then you are describing (non-)communicability between states rather than transience.
$endgroup$
– Did
Jan 9 at 6:48
add a comment |
$begingroup$
Your definition of transience is wrong. Most transient Markov chains are such that $ito j$ and $jto i$ for every $i$ and $j$ in their state space.
$endgroup$
– Did
Jan 9 at 0:06
$begingroup$
But only in the case of an infinite state space, right? I was only talking about the finite-state case (and probably should have said that more clearly).
$endgroup$
– Will Brannon
Jan 9 at 3:52
$begingroup$
Then you are describing (non-)communicability between states rather than transience.
$endgroup$
– Did
Jan 9 at 6:48
$begingroup$
Your definition of transience is wrong. Most transient Markov chains are such that $ito j$ and $jto i$ for every $i$ and $j$ in their state space.
$endgroup$
– Did
Jan 9 at 0:06
$begingroup$
Your definition of transience is wrong. Most transient Markov chains are such that $ito j$ and $jto i$ for every $i$ and $j$ in their state space.
$endgroup$
– Did
Jan 9 at 0:06
$begingroup$
But only in the case of an infinite state space, right? I was only talking about the finite-state case (and probably should have said that more clearly).
$endgroup$
– Will Brannon
Jan 9 at 3:52
$begingroup$
But only in the case of an infinite state space, right? I was only talking about the finite-state case (and probably should have said that more clearly).
$endgroup$
– Will Brannon
Jan 9 at 3:52
$begingroup$
Then you are describing (non-)communicability between states rather than transience.
$endgroup$
– Did
Jan 9 at 6:48
$begingroup$
Then you are describing (non-)communicability between states rather than transience.
$endgroup$
– Did
Jan 9 at 6:48
add a comment |
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$begingroup$
A given state $i$ is transient iff $P_i(T_i=+infty)ne0$. Then $E_i(T_i)geqslant E_i(T_imathbf 1_{T_i=+infty})=+inftycdot P_i(T_i=+infty)=+infty$, as desired.
$endgroup$
– Did
Jan 9 at 0:07