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Stationary cycle occupation formula

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Probability theory Markov process Markov chain
Created 2026-09-24 Updated 2026-09-24  0 By others on same topic  0 Discussions Create my own version
For an irreducible positive-recurrent Markov chain with invariant distribution π, the expected number of visits to j during one return cycle from i to i is
π(i)π(j)​.
(1)
Combining this with the two-state excursion visit law gives
Pj​(Ti​<Tj​)Pi​(Tj​<Ti​)​=π(i)π(j)​.
(2)

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  • Past exam of the mathematics course of the University of Cambridge / 2022 / ib / Paper 2 / 18H / c / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2024 / ib / Paper 1 / 19H / c / Solution

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