The following example positions the node with $b_{11}$ below A.south and adds a dashed vector between A.south and the previously created node.
\documentclass{article}
\usepackage{tikz}
\usetikzlibrary{arrows}
\tikzset{state/.style={circle, fill=red,text=white}}
\begin{document}
\begin{tikzpicture}[->,>=stealth',shorten >=1pt,auto,node distance=2.8cm,
semithick,scale=1.5,transform shape]
\tikzstyle{every state}=[fill=red,draw=none,text=white]
\node[state] (A) {$S_1$};
\node[state] (B) [right of=A] {$S_2$};
\path (A) edge [loop above] node {$a_{11}$} (A)
edge [bend left] node {$a_{12}$} (B)
(B) edge [loop above] node {$a_{22}$} (B)
edge [bend left] node {$a_{21}$} (A);
\draw[dashed, ->, inner sep=0pt] (A.south) +(-90:2em) node (tmp) {$b_{11}$}
(A.south) -- (tmp);
\end{tikzpicture}
\end{document}

A more complicate example:
\documentclass{article}
\usepackage{tikz}
\usetikzlibrary{arrows}
\tikzset{state/.style={circle, fill=red,text=white}}
\begin{document}
\begin{tikzpicture}[->,>=stealth',shorten >=1pt,auto,node distance=2.8cm,
semithick,scale=1.5,transform shape]
\tikzstyle{every state}=[fill=red,draw=none,text=white]
\node[state] (A) {$S_1$};
\node[state] (B) [right of=A] {$S_2$};
\path (A) edge [loop above] node {$a_{11}$} (A)
edge [bend left] node {$a_{12}$} (B)
(B) edge [loop above] node {$a_{22}$} (B)
edge [bend left] node {$a_{21}$} (A);
\begin{scope}[densely dashed, ->, inner sep=.2em]
\draw[shorten >=-2pt]
(A.south) ++(-90:1.7em) node[font=\scriptsize] (tmp1) {0.4}
++(-90:1.8em) node[inner sep=0pt] (tmp2) {$b_{11}$}
(A.south) -- (tmp1) -- (tmp2);
\draw[shorten >=4pt]
(A.south) ++(-45:1.5em) node[font=\scriptsize] (tmp1) {0.5}
++(-45:2em) node[inner sep=0pt] (tmp2) {$b_{12}$}
(A.south) -- (tmp1) -- (tmp2);
\draw[shorten >=-3pt]
(A.south) ++(-135:1.5em) node[font=\scriptsize] (tmp1) {0.1}
++(-135:2em) node[inner sep=0pt] (tmp2) {$b_{10}$}
(A.south) -- (tmp1) -- (tmp2);
\end{scope}
\end{tikzpicture}
\end{document}

\draw [dashed] (A.west) edge node {$b_{11}$} (A.center)but didn't work. – MarKS 12 hours ago\draw [dashed] (A.west) node {$b_{11}$} (A.center);. I could see b11 but this time there was no dashed line. – MarKS 12 hours ago