Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2005/ii/paper-4/6e/b/iii/solution

Averaging the fast fluctuations in gives
Thus a nonzero steady vector satisfies
Its direction is an eigenvector of the input second-moment matrix, and its magnitude is the square root of that eigenvalue. The zero vector is also a steady state and satisfies the displayed relation with . This is an averaged steady state; the microscopic fluctuating update need not vanish at each instant.

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