Markov chains with stochastically stationary transition probabilities (Q1176357)

In this special invited paper, the author combines a partial summary of results of Nawrotzki and Cogburn on Markov chains whose transition probabilities form a stationary process with new contributions. Section 1 serves to introduce the model: \((\Theta,{\mathcal B}_ 0)\) is a measurable space, \(\Omega=\Theta^{\mathbb{Z}}\), \(\Theta_ n\) the \(n\)-th coordinate map, \(T\) the shift, and \(\pi\) a \(T\)-invariant probability measure. For each \(\omega_ 0\in \Theta,P(\omega_ 0)\) is a stochastic matrix for a finite or denumerable state space \(X\). For fixed \(\omega\in \Omega\), \(P(\Theta_ n(\omega))\) is the matrix of transition probabilities for the \((n+1)\)st transition in \(X\). Some work by Cogburn, who noticed that this model can be viewed as a special skew product in the setting of Hopf's theory of Markov operators in \(L_ 1\), is reviewed. For this, consider the space \(E=X\times\Omega\), and the transition probabilities \(P((x,\omega),\{y\}\times B)=P(\omega_ 0,x,y)\mathbf{1}_ B(T\omega)\). The main result in Section 2 is that if the shift is ergodic, then every ''closed'' (i.e. absorbing) set for the skew product operator \(P\) contains a minimal closed subset. This yields an ergodic decomposition of the skew product into at most countably many components. (The relation to the ergodic decomposition of general conservative contractions in \(L_ 1\), due to Jacobs, is not discussed.) Section 3 deals with the similar model for the one-sided shift, and with its relation to the above model. For example it is shown that there is a bijection between the sets of invariant probability measures in the two models. Let \(m_ N^{(y,\omega)}\) denote the probability measure on the space \({\mathcal M}(X)\) of probabilities on \(X\), which assigns mass \(1/N\) to \(P(\omega_ 0,\omega_ 1,\ldots,\omega_{n-1},\cdot y,\cdot)\), where \(P(\omega_ m,\ldots,\omega_ n)=P(\omega_ m)P(\omega_{m+1})\ldots P(\omega_ n)\). It is shown that when \(\pi\) is ergodic and \(\phi\) invariant for the skew product, then \(m_ N^{(y,\omega)}\) converges weakly for \(\phi\)-a.e. \((y,\omega)\). A number of open problems are stated.