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Q120Section III (Statistics)120 of 180

First-visit probabilities into a closed class — when they're forced to be 1, and when they're not

Suppose fijf_{ij} denotes the probability of the first visit to jj from ii in a Markov chain with finite state space. (I) If C is a closed communicating class of persistent states, then for any transient state ii which leads to j,k∈Cj,k\in C, fij=fikf_{ij}=f_{ik}. (II) If C is a single closed communicating class and if i→ji\to j where i∉Ci\notin C and j∈Cj\in C, then fij=1f_{ij}=1.

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