Sequential data such as documents, conversations, and trajectories are naturally partitioned across users, motivating privacy guarantees that protect each user's entire trajectory. We initiate the study of privately estimating the transition matrix of a discrete ergodic Markov chain from N independent trajectories of length T, with arbitrary initial distributions, under maximum row-wise ell 1 error. Besides N, T, and the number of states, our bounds depend on the minimum stationary probability and the pseudo-spectral gap, which govern state coverage and mixing. Under item-level privacy, we give upper and lower bounds that separate the costs of sampling, state occupancy and mixing, and privacy. Under user-level privacy, we reduce the problem for sufficiently long trajectories to private product distribution estimation. Along the way, we establish optimal user-level private bounds for estimating products of discrete distributions, which may be of independent interest. In the user level setting, our bounds are nearly tight in the large T regime, whereas in the item-level setting, our bounds as tight up-to a non-private term.

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