A probabilistic proof of Cooper and Frieze's First Visit Time Lemma

We present an alternative proof of the so-called First Visit Time Lemma (FVTL), originally presented by Cooper and Frieze in its first formulation in Cooper and Frieze (2005), and then used and refined in a list of papers by Cooper, Frieze and coauthors. We work in the original setting, considering a growing sequence of irreducible Markov chains on n states. We assume that the chain is rapidly mixing and with a stationary measure with no entry being either too small nor too large. Under these assumptions, the FVTL shows the exponential decay of the distribution of the hitting time of a given state x—for the chain started at stationarity—up to a small multiplicative correction. While the proof by Cooper and Frieze is based on tools from complex analysis, and it requires an additional assumption on a generating function, we present a completely probabilistic proof, relying on the theory of quasi-stationary distributions and on strong-stationary times arguments. In addition, under the same set of assumptions, we provide some quantitative control on the Doob’s transform of the chain on the complement of the state x.