Markov processes on Riesz spaces (Q1928535): Difference between revisions

Let \(E\) be a Riesz space with a weak order unit. A~positive order continuous projection \(T:E\to E\) with range \(R(T)\) a Dedekind complete Riesz subspace of \(E\) is called a conditional expectation if \(T(e)\) is a weak order unit of \(E\) for each weak order unit \(e\) of \(E\). Theorem. Let \(E\) be a Dedekind complete Riesz space with conditional expectation \(T\) and let \(e\) be a weak order unit which is invariant under \(T\). The band projection \(P\) and \(Q\) are \(T\)-conditionally independent if, and only if, \(TPTQ w = TPQ w = TQTP w\) for all \(w\in R(T)\). Next, the authors characterize independence of closed Riesz subspaces of a \(T\)-universally complete Riesz space in terms of conditional expectation operators. The following is one of the main results of this interesting paper. Theorem. Let \(T\) be a strictly positive conditional expectation on the \(T\)-universally complete Riesz space \(E\) with weak order unit \(e = Te\). Let \(\Lambda \) be a totally ordered index set. For \((X_i)_{i\in \Lambda}\subset E\), the following are equivalent: {\parindent=2.5 em\begin{itemize} \item[(i)] The process \((X_i)\) is a Markov process. \item [(ii)] For conditional expectations \(\mathbb T_u\) and \(T_v\) with \(R(\mathbb T_u) = \left\langle R(T),X_n:n\leq u \right\rangle\), \(R(T_v) = \left\langle R(T), X_v \right\rangle\), \(u < v \in \Lambda\), we have that \(\mathbb T_uT_v = T_uT_v\). \item [(iii)] For any \(s_m >\dots>s_1> t > t_n > \dots> t_1\) from \(\Lambda\) and \(P,Q\) band projections with \(Qe \in\left\langle R(T),X_{s_1},\dots,X_{s_m}\right\rangle\), we have that \(T_tQT_tPe = T_tQPe = T_tPQe = T_tPT_tQe\). \end{itemize}} There is a natural connection between sums of independent random variables and Markov processes. In Riesz spaces, this is given by the following result. Theorem. Let \(T\) be a strictly positive conditional expectation on the \(T\)-universally complete Riesz space \(E\) with order unit \(e = Te\). Let \((f_n)\) be a sequence in \(E\) which is \(T\)-conditionally independent. Then \((\sum_{k=1}^n)\) is a Markov process. The authors prove the following on the order convergence of independent summands. Theorem. Let \(T,E\) and \((f_n)\) be as above. If \(Tf_i= 0\) for all \(i\) and there exists \(g\in E\) such that \(T|\sum_{k=1}^n f_k|\leq g\) for all \(n\), then the partial sums of \(\sum_{k=1}^\infty f_k\) is order convergent. Finally, let \(T\) and \(E\) be as above and let \((f_n)\) be a Brownian motion in \(E\) with respect to \(T\). Then \((f_n)\) is a Markov process.