A Markov property for set-indexed processes (Q1866056): Difference between revisions
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Latest revision as of 10:10, 30 July 2024
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English | A Markov property for set-indexed processes |
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A Markov property for set-indexed processes (English)
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3 April 2003
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To define a Markov property for processes indexed by an uncountable partially ordered set is not a straightforward task for someone who has as declared goals to prove that: (i) all processes with independent increments possess this property; (ii) there exists a systematic procedure which allows us to construct a general process which enjoys this property; (iii) we can define a generator which completely characterizes the finite-dimensional distributions of the process. The paper represents a successful manner of approaching this problem. The authors consider the version of Markov processes that they named as ``set-Markov property''. It is less general than the Markov property introduced previously by Ivanoff and Merzbach but attains the three goals (i)--(iii) and implies sharp Markov property. It captures the essence of the Markov property in terms of the increments, allowing us to have a perfect analogy with the classical case, and the process is set-Markov if and only if it becomes Markov in the classical sense when it is transported by a ``flow''. The existence of a set-Markov process is considered and it is proved that one can construct such a process if we specify the laws characterizing some transitions.
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set-indexed processes
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Markov property
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transition system
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generator
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