Past exam of the options I course of the University of Oxford / 2004 / N / N1

Condition on the state after $m$ steps and use the Markov property and time-homogeneous Markov property:This is the Chapman-Kolmogorov equation, or $P^{m+n}=P^m{P}^n$. A stationary distribution is a probability row vector with nonnegative entries summing to one and $\boxed{\pi P=\pi }$. Inductively $\pi P^n=\pi$, so a chain started with that distribution retains it at every time.

For the given matrix, its first stationary equation is ${\pi }_1={\pi }_1/2+({\pi }_2+{\pi }_3)/3$. Normalization gives ${\pi }_1=2/5$. The third equation gives ${\pi }_3=2{\pi }_2/3+{\pi }_3/3$, hence ${\pi }_3={\pi }_2$. ThereforeDirect multiplication verifies the second equation as well. The finite chain is irreducible, so this stationary probability distribution is unique.