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Diagonal of (self) product of doubly stochastic transition matrix

Mathematics Asked by lovemath on December 20, 2021

By doubly stochastic and transition, I mean each row sum and column sum of a matrix is 1 and each element of the matrix is in [0, 1]. Here, I am considering the matrix is n by n where n is finite.
I’m curious to know that if P and Q are doubly stochastic transition matrices, can we say something about the diagonal elements of PQ? (something like they are positive.)
What about the diagonal elements of $P^2$ where P is a doubly stochastic transition matrix?
(Eventually, I want them to be greater than zero to show that for discrete-time Markov chain with doubly stochastic transition matrix and finite state space, all states are recurrent.)

Edit: As suggested by @kimchilover, there is an example that doesn’t do what I want a doubly stochastic transition matrix to do. However, the particular example gives an irreducible finite MC, so it eventually does what I want to show which is that all states are recurrent. Is this always the case? If it is, how do I go about showing this?
Thanks!

One Answer

If $ P $ is an $ ntimes n $ doubly stochastic matrix then $$ mathbb{1}^top P= mathbb{1}^top . $$ Therefore, $ frac{1}{n} mathbb{1}^top $ is a stationary distribution of the corresponding Markov chain. But if $ i $ is a transient state of a Markov chain then every stationary distribution $ pi $ of that chain must have $ pi_i=0 $. It follows that no Markov chain with a doubly stochastic transition matrix can have any transient states.

Answered by lonza leggiera on December 20, 2021

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