Time-homogeneous Markov chains
A chain satisfies P(Xₙ₊₁=j|X₀,…,Xₙ)=Pᵢⱼ when Xₙ=i, where P has nonnegative entries and each row sums to one.
Key knowledge
A chain satisfies P(Xₙ₊₁=j|X₀,…,Xₙ)=Pᵢⱼ when Xₙ=i, where P has nonnegative entries and each row sums to one. With row-vector initial law μ, the law after n steps is μPⁿ.
Conditions and scope
- The transition probabilities are independent of n.
- Conditional expressions are required only for histories of positive probability; a chosen state description must contain enough information for the Markov property.
Sources · 1
References
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Evidence and review
Section 1.2 Definition 1.2 and joint-law Theorem 1.3; matrix-power consequence.
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