Chapter 3: Problem 7
Consider a finite population (of fixed size \(N\) ) of individuals of possible
types \(A\) and \(a\) undergoing the following growth process. At instants of time
\(t_{1}
Chapter 3: Problem 7
Consider a finite population (of fixed size \(N\) ) of individuals of possible
types \(A\) and \(a\) undergoing the following growth process. At instants of time
\(t_{1}
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Get started for freeIf \(\mathbf{P}\) is a finite Markov matrix, we define \(\mu(\mathbf{P})=\max _{i_{1}, i_{2} j}\left(P_{i_{1}, j}-P_{I_{2}, j}\right)\). Suppose \(P_{1}, P_{2}, \ldots, P_{k}\) are \(3 \times 3\) transition matrices of irreducible aperiodic Markov chains. Asbume furthermore that for any set of integers \(\alpha_{i}\left(1 \leq \alpha_{l} \leq k\right)\), \(i=1,2, \ldots, m, \Pi_{i=1}^{m_{1}} \mathbf{P}_{\alpha_{i}}\) is also the matrix of an aperiodic irreducible Markov chain. Prove that, for every \(\varepsilon>0\), there exists an \(M(\varepsilon)\) such that \(m>M\) implies $$ \mu\left(\prod_{i=1}^{m} \mathbf{P}_{\alpha_{i}}\right)<\varepsilon \quad \text { for any set } \alpha_{i}\left(1 \leq \alpha_{i} \leq k\right) \quad i=1,2, \ldots, m $$
Consider an irreducible Markov chain with a finite set of states \(\\{1,2, \ldots, N\\}\). Let \(\left\|P_{i j}\right\|\) be the transition probability matrix of the Markov chain and denote by \(\left\\{\pi_{j}\right\\}\) the stationary distribution of the process. Let \(\left\|P_{i j}^{(m)}\right\|\) denote the \(m\)-step transition probability matrix. Let \(\varphi(x)\) be a concave function on \(x \geq 0\) and define $$ E_{m}=\sum_{j=1}^{N} \pi_{j} \varphi\left(P_{j t}^{(m)}\right) \quad \text { with } l \text { fixed. } $$ Prove that \(E_{m}\) is a nondecreasing function of \(m\), i.e., \(E_{m+1} \geq E_{m}\) for all \(m \geq 1\)
Consider a discrete time Markov chain with states \(0,1, \ldots, N\) whose matrix has elements $$ P_{i j}=\left\\{\begin{array}{cc} \mu_{i}, & j=i-1 \\ \lambda_{i}, & j=i+1 ; \quad i, j=0,1, \ldots, N . \\ 1-\lambda_{i}-\mu_{i}, & j=i \\ 0, & |j-i|>1 \end{array}\right. $$ Suppose that \(\mu_{0}=\lambda_{0}=\mu_{N}=\lambda_{N}=0\), and all other \(\mu_{i}^{\prime} s\) and \(\lambda_{i}\) 's are positive, and that the initial state of the process is \(k\). Determine the absorption probabilities at 0 and \(N\).
Generalized Pólya Urn Scheme. In an urn containing \(a\) white and \(b\) black balls we select a ball at random. If a white ball is selected we return it and add \(\alpha\) white and \(\beta\) black to the urn and if a black ball is selected we return it and add \(\gamma\) white and \(\delta\) black, where \(\alpha+\beta=\gamma+\delta\). The process is repeated. Let \(X_{n}\) be the number of selections that are white among the first \(n\) repetitions. (i) If \(P_{n, k}=\operatorname{Pr}\left\\{X_{n}=k\right\\}\) and \(\varphi_{n}(x)=\sum_{k=0}^{n} P_{n, k} x^{k}\) establish the identity $$ \begin{array}{r} \varphi_{n}(x)=\frac{(\alpha-\gamma)\left(x^{2}-x\right)}{(n-1)(\alpha+\beta)+a+b} \varphi_{n-1}^{\prime}(x) \\ +\frac{\\{x[(n-1) \gamma+a]+b+(n-1) \delta\\}}{(n-1)(\alpha+\beta)+a+b} \varphi_{n-1}(x) \end{array} $$ (ii) Prove the limit relation \(E\left(X_{n} / n\right) \rightarrow \gamma /(\beta+\gamma)\) as \(n \rightarrow \infty\).
Consider the following random walk: $$ \begin{array}{llll} P_{i, i+1} & =p & \text { with } \quad 0
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