Created by Knut M. Synstadfrom the Noun Project

Recurrent

Definition (Recurrent)

A set A⊂XA\subset \mathbb{X} is said to be recurrent if the Markov chain visits AA infinitely often in expectation, when the process starts in AA: EX[ηA]=E[ηA∣X0=X]=∞,  ∀x∈A\mathbb{E}_{X}[\eta_{A}]=\mathbb{E}[\eta_{A}|X_{0}=X]=\infty, \ \ \forall x\in A where ηA\eta_{A} is the Occupation Time.

Theorem (Equivalent definition of Recurrence)

Let i∈Si\in S be a recurrent state, this is equivalent to ∑n=0∞(Pn)ii=∞\sum\limits_{n=0}^{\infty}(P^{n})_{ii}=\infty

Lemma (Recurrence & Transience are Class Properties)

Let i,ji,j be two distinct states. Assume they communicate (i↔ji\leftrightarrow j). Then ii and jj are either both recurrent or both transient.

Remark

As a result, all states in a Communicating Class are either all recurrent or all transient.

Linked from