Constructive Markov chains indexed by \(\mathbb Z\) (Q2371952): Difference between revisions

The authors are concerned with general state space Markov processes \((X_{n})_{n\in \mathbb{Z}}\), governed by recurrence relations of the form \(X_{n+1}=f_{n}( X_{n},V_{n+1}) \), where \( (V_{n})_{n\in \mathbb{Z}}\) is a doubly infinite sequence of i.i.d. random variables such that \(V_{n+1}\) is independent of the sequence \(((X_{k},V_{k}))_{k\leq n}\). Three cases are considered: the general one just described, the homogeneous case \(f_{n}=f\), \(n\in \mathbb{Z}\), for a countable state space, and the homogeneous case for a finite state space. In the second case, the authors give a necessary and sufficient condition under which the sequence \((V_{n})_{n\in \mathbb{Z}}\) fully determines the process \((X_{n})_{n\in \mathbb{Z}}\). Moreover, in the third case, they describe the missing information when this does not happen. A result of \textit{M. Rosenblatt} [J. Math. Mech. 8, 665--681 (1959; Zbl 0092.33601)] is generalized and improved.