Building a stationary stochastic process from a finite-dimensional marginal

Dynamical systems and their relations with probability theory and stochastic processes (37A50) Symbolic dynamics (37B10) Stationary stochastic processes (60G10)

Abstract: If A is a finite alphabet, Z^D is a D-dimensional lattice, U is a subset of Z^D, and mu_U is a probability measure on A^U that ``looks like the marginal projection of a stationary random field on A^(Z^D), then can we ``extend mu_U to such a field? Under what conditions can we make this extension ergodic, (quasi)periodic, or (weakly) mixing? After surveying classical work on this problem when D = 1, we provide some sufficient conditions and some necessary conditions for mu_U to be extendible for D > 1, and show that, in general, the problem is not formally decidable.

Review text

Let \(\mathbb{U}\) be a finite alphabet, and let \(\mathbb{U}^\mathbb{Z}\) be the space of bi-infinite sequences on \(\mathbb{U}\). A stationary stochastic process is a probability measure \(\mu\) on \(\mathbb{U}^\mathbb{Z}\) so that, for any \(W\in\mathbb{N}\), \(b_0,b_1, \dots,b_W \in\mathbb{U}\), and any \(k\in\mathbb{Z}\) NEWLINE\[NEWLINE\mu\{a\in \mathbb{U}^\mathbb{Z}\mid a_0=b_0, \dots,a_W= b_W\}=\mu \{a\in\mathbb{U}^\mathbb{Z}\mid a_k=b_0, \dots,a_{k+W}= b_W \}NEWLINE\]NEWLINE The author adresses the following questions: If \(\mathbb{U}\) is finite, and \(U \subset \mathbb{Z}^d\), and \(\mu_U\) is a probability measure on \(\mathbb{U}^U\) that ``looks like the marginal projection of a stationary stochastic process on \(\mathbb{U}^{\mathbb{Z}^d}\), then can we ``extend \(\mu_U\) to such a process? The author shows that an extendible, locally stationary measure with full support can be ``embedded in any ergodic \(\mathbb{Z}^d\)-dynamical system, in the sense that it is a marginal projection of a stationary \(\mathbb{Z}^d\)-process generated by a partition on that system. The author also shows that ``almost all extendible measures have extensions which are ergodic, weakly mixing or quasiperiodic.

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