A Zero-One Law for Virtual Markov Chains

MaRDI QIDQ6390240zbMATH OpenFDO

Authors Adam Quinn Jaffe

Publication date 5 February 2022

Mathematics Subject Classification ID

Convex sets in topological linear spaces; Choquet theory (46A55) Zero-one laws (60F20) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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 $sigma$-algebra $$. The main tool for doing this is a decomposition theorem that the $sigma$-algebra generated by a VMC is equal to the $sigma$-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.

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