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 model harness time-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.

Review text

Classical stochastic processes are families of random variables where the parameter-set \(T\) is a subset of \(\mathbb R\), for example, the positive integers or \([0,+\infty)\). A notable exception is the family of Gaussian processes, for which the structure of the parameter space \(T\) can be virtually arbitrary. For the other two most popular families of stochastic processes, that is, Markov processes and martingales, the situation is much more complicated. The theories of Markov processes and martingales with the parameter set \(T\) equal to an orthant in \(\mathbb R^d\) are hard and little developed. In the present paper, tha authors introduce a class of stochastic processes where the ``time parameter has been replaced by paths in an oriented graph. They construct a time-structure that matches the Markov property better than other non-rectilinear time sets known in the literature. The parameter-set which is considered is a deterministic one, while the structure of the graph plays a basic rôle in the existence and uniqueness of the above processes. In Section 2, a collection of graphs which support such processes, called ``time-like graphs with no co-terminal cells, are defined. In Section 3, the ``natural Markov process on a time-like graph is constructed and its uniqueness in law is proved. In Section 4, examples of graphs that do not satisfy the imposed conditions and do not support a ``natural Brownian motion, are provided. In Section 5, the authors define the ``harnesses, which include all integrable Lévy processes and their corresponding bridges. Finally, Section 6 is devoted to the Brownian motion on the honeycomb graph.

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