I'm not sure whether this is right or not.
Consider this discrete-time Markov Chain $(X_{n})_{n \ge 0}$ with infinite state space $E = \{0,1,2,...\}$ with transition probability matrix $P$.
$$
P =
\begin{pmatrix}
1 & 0 & 0 & 0 & 0 & \cdots \\
0.5 & 0 & 0.5 & 0 & 0 & \cdots \\
0 & 0.5 & 0 & 0.5 & 0 & \cdots \\
0 & 0 & 0.5 & 0 & 0.5 & \cdots \\
\vdots & & & & & \ddots
\end{pmatrix}
$$
Let $T = \{ min ( n \ge 1 | X_{n} \in \{0\} )\}$ and $w_{i} = \mathbb{E}[T | X_{0} = i]$ for
$i = 1,2,...$
Using:
$$
w_{i}= 1 + \sum_{j \in \{1,2,...\}} P_{ij}w_{j} $$
I'm getting:
$$
w_{1} = 1 + \frac{1}{2}w_{2}
$$
$$
w_{i} = 1 + \frac{1}{2}w_{i-1} + \frac{1}{2}w_{i+1} \quad \quad i =2,3,..
$$
The solution of the associated homogeneous equation is $w_{i} = A + Bi$, so the solution of the non homogeneous equation will be $ w_{i} = A + Bi + u_{i} $ , where $u_{i}$ is the particular/special solution.
One can find $u_{i} = -i^2 $.
So $w_{i} = A + Bi -i^2$. Setting $w_{0} = 0$ one gets $A = 0$.
But once arrived here i do not know what else to do, my intuition tells me that:
$$
\lim_{i \to +\infty} w_{i} = + \infty
$$
Does this mean that $w_{i} = + \infty $ for $i = 1,2,...$ ?
2026-04-09 07:44:02.1775720642