Two operational characterizations of cooptional times (Q797910)

Let \(X=\{X_ n\}\) be a Markov chain in discrete time with countable state space J. Add a coffin state \(\Delta\) to J and let, for \(\tau\) a random time, \(K_{\tau}=(X_ 0,...,X_{\tau -1},\Delta,\Delta,...)\) and \(\theta_{\tau}=(X_{\tau},X_{\tau +1},...)\) denote the pre- \(\tau\) and post-\(\tau\) processes, respectively. In an earlier paper by the author and \textit{J. W. Pitman} [ibid. 5, 430-450 (1977; Zbl 0363.60052)], the class of regular birth and death times \(\tau\) was characterized in terms of \(K_{\tau}\) and \(\theta_{\tau}\). In the present paper an analogous characterization of cooptional times is given. The main results of the paper are: (i) If \(K_{\tau}\) and \(\theta_{\tau}\) are conditionally independent given \(X_{\tau -1}\) and \(0<\tau <\infty\), then the process \(K_{\tau}\) reversed is in natural duality to X if and only if \(\tau\) is a.s. equal to a modified cooptional time; (ii) the process \(\theta_{\tau}\) is itself Markov and an h- transform of X iff \(\tau\) is a.s. equal to a cooptional time with, in general, the possible starts for \(K_{\tau}\) restricted.