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Constant nonzero drift is impossible on a finite Markov chain (Pf−f≡−δ(δ>0))

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Markov process Markov chain Finite Markov chain
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For a real function f on a finite state space, a state minimizing f satisfies Pf≥f, so strictly negative drift cannot hold at every state. Equivalently, telescoping the expected value would give Ex​f(Xn​)=f(x)−nδ, contradicting boundedness of f. Constant negative drift is useful before a target is reached; it must be restricted to the states outside that target.

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  1. Finite Markov chain
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  • Past exam of the mathematics course of the University of Cambridge / 2009 / iii / Paper 101 / 3 / b / Solution

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