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Hitting Time on a Six-State Chain with Paired Coordinates

题目

A Markov chain lives on S={0,1,2}×{0,1}S = \{0, 1, 2\} \times \{0, 1\}. The state (0,y)(0, y) for any yy is absorbing. From state (i,j)(i, j) with i1i \ge 1, the transitions are:

  • Move to (i1,j)(i-1, j) with probability 13\tfrac{1}{3}.
  • Move to (i,1j)(i, 1-j) with probability 13\tfrac{1}{3} (flip the second coordinate).
  • Move to (i+1,j)(i+1, j) with probability 13\tfrac{1}{3}, provided i+12i+1 \le 2; if i=2i = 2, this probability is redistributed equally to the other two moves.

Let A={(0,0),(0,1)}A = \{(0, 0), (0, 1)\} and T=inf{n0:XnA}T = \inf\{n \ge 0 : X_n \in A\}. Compute E[TX0=(1,1)]E[T \mid X_0 = (1, 1)].

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