I would create using tikz package this Markov chain but I encountered many problems. Who can post the right code to create the follow Markov chain?

positioning library\documentclass[tikz]{standalone}
\usetikzlibrary{automata,positioning}
\begin{document}
\begin{tikzpicture}
\node[state] (0) {0};
\node[state,right=of 0] (1) {1};
\node[state,right=of 1] (2) {2};
\coordinate[draw=none,right=of 2] (2-g);
\node[state,right=of {2-g},text depth=0pt] (g) {g};
\draw[
>=latex,
% every node/.style={above,midway},% either
auto=right, % or
loop above/.style={out=75,in=105,loop},
every loop,
]
(g) edge[loop above] node {$p_{gg}$} (g)
edge node {$p_{gg-1}$} (2-g)
(2-g) to node {$p_{32}$} (2)
edge[loop above] node {$p_{22}$} (2)
(2) edge node {$p_{21}$} (1)
(1) edge[loop above] node {$p_{11}$} (1)
edge node {$p_{10}$} (0)
(0) edge[loop above] node {$p_{00}$} (0);
\end{tikzpicture}
\end{document}

Replacing the \coordinate line with
\node[draw=none,right=of 2] (2-g) {text};
you get:

chains library\documentclass[tikz]{standalone}
\usetikzlibrary{automata,chains}
\begin{document}
\begin{tikzpicture}[start chain=going right]
\node[state, on chain] (0) {0};
\node[state, on chain] (1) {1};
\node[state, on chain] (2) {2};
\node[on chain] (2-g) {text};
\node[state, on chain, text depth=0pt] (g) {g};
% The \draw path is like the one above.
\end{tikzpicture}
\end{document}

\text is, unless otherwise defined, a math-mode macro defined by amstext that allows to pick up the text font outside the current math mode. You could place your usual \node, just like the others, replacing the \coordinate with \node[right=of 2] (2-g) {<text>};. See my updated answer.
– Qrrbrbirlbel
Jan 07 '13 at 01:59
nodebetween2andgbut without any content ordraw. You probably meant to use acoordinate. – Qrrbrbirlbel Jan 07 '13 at 01:19draw-this-for-mequestion on the site; one down vote is enough. Please see http://meta.tex.stackexchange.com/questions/2879/consistent-policy-about-downvoting-and-asking-the-op-to-show-what-they-have-tri for further discussion – cmhughes Jan 07 '13 at 01:56