Past exam of the probability course of the University of Oxford / 2023 / 3 / b / ii

We use the stationary weights of a reflected birth-death chain, also verifying why they decide the question. If a stationary distribution $\pi$ exists, its equation at zero is ${\pi }_0={\pi }_1{d}_1={\pi }_0{u}_0$. At $k\ge 1$, stationarity givesThus the edge flow is constant, and its value at the boundary is zero. Every stationary distribution must therefore satisfy detailed balance on each edge. Since irreducibility forces ${\pi }_0>0$, it must be proportional toConversely, if ${\sum }_k{w}_k<\infty$, normalizing these positive weights gives a probability distribution satisfying detailed balance, hence a stationary distribution. Existence of a stationary distribution for an irreducible Markov chain on a countable state space is equivalent to positive recurrence.

The ratio isFor $p<1/2$, the limit is less than one, so the ratio test gives summability. For $p\ge 1/2$, observe that $u_k=p+\theta q/(k+\theta )>p\ge 1/2$, whereas $d_{k+1}<q\le 1/2$. Thus $w_{k+1}/w_k>1$ for every $k$, so the weights cannot be summable. This also resolves $p=1/2$ without making an inconclusive appeal to the limiting ratio. Therefore