$$
\text{i: current-state}\Bigg\{\begin{matrix}0 \\ 1 \\ 2\end{matrix}\underbrace{\begin{bmatrix}P_{00} & P_{01} & P_{02} \\ P_{10} & P_{11} & P_{12} \\ P_{20} & P_{21} & P_{22}\end{bmatrix}}_{\text{j: next-state: 0, 1 ,2 }}
$$
What's the best way to create a matrix with rows and columns numbered...
\Bigg{
should probably be\Biggl\{
) and there is only one row in this matrix. Please try to explain the problem better.$$
. Rather use\[
...\]
.nicetabular
(see tex.stackexchange.com/questions/512393/… or answer below) orblkarray
(see example tex.stackexchange.com/questions/335444/…).