Past exam of the mathematics course of the University of Cambridge / 2019 / ii / Paper 1 / 28K / d / Solution

Let $\nu$ be an invariant distribution for the continuous-time Markov chain. Using $Q=D_g(P-I)$, its stationarity equation $\nu Q=0$ becomesThus the measure with weights ${\nu }_{i}g(i)$ is invariant for the irreducible positive-recurrent jump chain. Its invariant distribution $\pi$ is unique, so ${\nu }_{i}g(i)=c{\pi }_i$. Normalization gives the invariant-measure transfer between a jump chain and a CTMC formulaThe denominator is finite and nonzero because $\epsilon <g(j)<1/\epsilon$. Thus $\nu$ is a probability distribution and $(X_t)$ is positive recurrent.