Past exam of the Probability, statistics and options II course of the University of Oxford / 2009 / M / M5 / b / ii

For $j\ge 1$ the only entrance is from $j-1$, so stationarity requires ${\pi }_j={\pi }_{j-1}\lambda /j$. Induction gives ${\pi }_j={\pi }_0{\lambda }^j/j!$, and normalization using the exponential series gives ${\pi }_0=e^{-\lambda }$. HenceThe remaining zero-state equation also holds: ${\sum }_i{\pi }_i\lambda /(i+1)=e^{-\lambda }(e^{\lambda }-1)=1-{\pi }_0$, so ${\sum }_i{\pi }_i(1-\lambda /(i+1))={\pi }_0$. Thus this normalized Poisson law really is stationary, not just a solution of the positive-state equations. Irreducibility makes the stationary probability law unique.