Markov processes on time-like graphs

DOI10.1214/10-AOP583MaRDI QIDQ717881zbMATH OpenFDO

Authors K. Burdzy, Soumik Pal

Publication date 10 October 2011

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0912.0328

zbMATH Keywords

graphical Markov modelharnesstime-like graphs

Mathematics Subject Classification ID

Random fields (60G60) Diffusion processes (60J60) Markov processes (60J99)

Abstract: We study Markov processes where the "time" parameter is replaced by paths in a directed graph from an initial vertex to a terminal one. Along each directed path the process is Markov and has the same distribution as the one along any other directed path. If two directed paths do not interact, in a suitable sense, then the distributions of the processes on the two paths are conditionally independent, given their values at the common endpoint of the two paths. Conditions on graphs that support such processes (e.g., hexagonal lattice) are established. Next we analyze a particularly suitable family of Markov processes, called harnesses, which includes Brownian motion and other L'{e}vy processes, on such time-like graphs. Finally we investigate continuum limits of harnesses on a sequence of time-like graphs that admits a limit in a suitable sense.

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