Past exam of the options II course of the University of Oxford / 2010 / M / M5 / e / i / Solution

For $i\ge 1$, the stationarity equation iswhich rearranges to the stated recurrence. At zero,Define the adjacent probability current $J_i=a{\pi }_i-b{\pi }_{i+1}$. The recurrence says $J_i=J_{i-1}$, and the boundary equation says $J_0=0$. Hence ${\pi }_{i+1}=(a/b){\pi }_i$ for all $i$. Since $\rho =a/b<1$, normalization givesThe adjacent balance equations also verify stationarity directly. If $a=0$, this formula means the point mass at zero; otherwise the birth-death chain is irreducible and this is its unique stationary probability distribution.