Jtdylktuy

Why is it that a non-negative integers Markov chain with transition prob. matrix (t.p.m) $P$ given by $p_{i,i+1} = p$ and $p_{i,0} = 1 − p$, has a unique
stationary distribution $π$?

Let $pi$ denote a stationary distribution for the given Markov chain, assuming for the moment such a distribution exists. We may write $pi$ as a vector, thus:

$pi = (pi_0, pi_1, pi_2, ldots, pi_k, pi_{k + 1}, ldots ); tag 1$

also, $pi$ must satisfy the normalization condition

$displaystyle sum_0^infty pi_k = 1, tag 2$

which ensures that $pi$ is in fact a probability distribution on the non-negative integers

$Bbb Z_ge = { z in Bbb Z, ; z ge 0 }. tag 3$

Now it will be recalled that the equations

$p_{i, i + 1} = p, ; p_{i, 0} = 1 - p tag 4$

define the conditional transition probabilities 'twixt the specified states ($i$ and $i + 1$, $i$ and $0$ according to the indices); thus the stationary probabilities $pi_k$ must satisfy

$pi_{i + 1} = p pi_i, tag 5$

and

$pi_0 = (1 - p) pi_i; tag 6$

if we apply (5) repeatedly, starting with $i = 0$ we find

$pi_1 = p pi_0, tag 7$

$pi_2 = ppi_1 = p^2 pi_0, tag 8$

and it is easy to see this pattern leads to

$pi_k = p^k pi_0, ; k in Bbb Z_ge; tag 9$

substituting this into the normalization equation (2) yields

$pi_0 displaystyle sum_0^infty p^k = sum_0^infty p^k pi_0 = sum_0^infty pi_k = 1, tag{10}$

and since

$displaystyle sum_0^infty p^k = dfrac{1}{1 - p}, ; 0 < p < 1; tag{11}$

we may solve (10) and obtain

$pi_0 = 1 - p, tag{12}$

and hence from (9),

$pi_k = p^k(1 - p). tag{13}$

As a consistency check, we may use (13) in the equation for $pi_0$:

$pi_0 = displaystyle sum_0^infty (1 - p)pi_i = sum_0^infty (1 - p)(1 - p)p^k = (1 - p)^2 sum_0^infty p^k = (1 - p)^2 dfrac{1}{1 - p} = 1 - p. tag{14}$

Now since a distribution $pi$ as in (1) is given by (13), we see that a stationary distribution indeed exists; furthermore, it is clear that it is uniquely determined by (9)-(13). Thus the given Markov chain defined by (4) has a unique stationary distribution.

Nota Bene: Of course we should note that the above only applies subject to the condition

$0 < p < 1; tag{15}$

if $p = 1$, then (6) and (9) show that

$pi_k = 0, ; k in Bbb Z_ge, tag{16}$,

which, since such $pi$ can't satisfy (2), is inadmissible as a probability distribution; if $p = 0$, (16) again follows from (5) and (6), and again we arrive at an inadmissible $pi$. So we need to adopt (15) to obtain a unique and sensible result. End of Note.

Algebraically you are trying to solve $pi P = pi$ (or equivalently $pi(P-I) = 0$. Write out a couple of implied equations and you will see how to derive the solution and that it is unique...