[Math] DTMC : Example of Irreducible Aperiodic Null Recurrent Chain

markov chainsstochastic-processes

Can someone give me an example of a Discrete Time Markov Chain (DTMC) which is

  • Irreducible

  • Aperiodic

  • Null Recurrent

I know that a Simple Symmetric Random Walk on Integers is Irreducible Periodic and Null Recurrent but I am having a tough time coming up with a Markov chain which has the aforementioned properties.

Best Answer

Take a random walk on the integers where the jump distribution satisfies $$\mathbb{P}(\xi=-1)=\mathbb{P}(\xi=0)=\mathbb{P}(\xi=1)=1/3.$$ Allowing the walk to sit still with positive probability "kills" the periodicity.

This chain is null for the same reason as the simple, symmetric random walk. If the new chain were positive, it would have a unique invariant probability measure $\pi$. The only non-negative solution to $\pi=\pi P$ is a constant sequence $\pi(k)\equiv c$, which cannot be a probability measure.

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