Year: 2022
Type: preprint
Abstract: A virtual Markov chain (VMC) is a sequence $\{X_N\}_{N=0}^{\infty}$ of Markov chains (MCs) coupled together on the same probability space such that $X_N$ has state space $\{0,1,\ldots, N\}$ and such that removing all instances of $N~+~1$ from the sample path of $X_{N+1}$ results in the sample path of $X_N$ almost surely. In this paper, we prove an exact characterization of the triviality of the $σ$-algebra $\bigcap_{N=0}^{\infty}σ(X_N,X_{N+1},\ldots)$. The main tool for doing this is a decomposition theorem that the $σ$-algebra generated by a VMC is equal to the $σ$-algebra generated by a certain countably infinite collection of independent constituent MCs. These constituents are so-called staircase MCs (SMCs), which are defined to be inhomoheneous Markov chains on the non-negative integers which transition only by holding or by jumping to a value equal to the current index. We also develop some general aspects of the theory of SMCs, including a connection with some classical but very much under-appreciated aspects of convex analysis.
Source: arXiv (Cornell University)
Author: Jaffe, Adam Quinn
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
Funder: National Science Foundation
OpenAlex ID: W4225473236