Past exam of the options II course of the University of Oxford / 2007 / M / M5 / b

Stationarity at zero gives ${\pi }_0=q{\pi }_0+q{\pi }_1$, hence ${\pi }_1=(p/q){\pi }_0$. At one, ${\pi }_1=p{\pi }_0+q{\pi }_2$; substituting $p{\pi }_0=q{\pi }_1$ gives $q{\pi }_2=p{\pi }_1$. More generally the interior equations are ${\pi }_i=p{\pi }_{i-1}+q{\pi }_{i+1}$. Induction givesSince $p/q<1$, normalization of this geometric series givesThese probabilities satisfy detailed balance ${\pi }_{i}p={\pi }_{i+1}q$, including the boundary balance with the holding probability. Thus they do define a stationary distribution. Irreducibility then gives its uniqueness.