Path decompositions for Markov chains.

DOI10.1214/009117904000000234MaRDI QIDQ1879829zbMATH OpenOpenAlexFDO

Authors Kaya Memişoǧlu, Götz Kersting

Publication date 15 September 2004

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

Full work available at URL https://arxiv.org/abs/math/0410142

zbMATH Keywords

\(h\)-transformchange of measuredualityharmonic functionMarkov chainpath decompositionrandom walk

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Probabilistic potential theory (60J45)

Abstract: We present two path decompositions of Markov chains (with general state space) by means of harmonic functions, which are dual to each other. They can be seen as a generalization of Williams' decomposition of a Brownian motion with drift. The results may be illustrated by a multitude of examples, but we confine ourselves to different types of random walks and the Polya urn.

Review text

The decomposition of a Brownian motion [see \textit{D. Williams}, Proc. Lond. Math. Soc., III. Ser. 28, 738--768 (1974; Zbl 0326.60093); \textit{J. W. Pitman}, Adv. Appl. Probab. 7, 511--526 (1975; Zbl 0332.60055)] has been the starting point for further investigations [see e.g. \textit{J. Bertoin}, Stochastic Processes Appl. 47, 17--35 (1993; Zbl 0786.60101); \textit{P. Greenwood} and \textit{J. W. Pitman}, Adv. Appl. Probab. 12, 893--902 (1980; Zbl 0443.60037); \textit{P. W. Millar}, Trans. Am. Math. Soc. 226, 365--391 (1977; Zbl 0381.60062); \textit{H. Tanaka}, Tokyo J. Math. 13, 375--389 (1990; Zbl 0734.60075)]. In this paper the authors introduce a general method of path decomposition Markov chains by means of positive harmonic functions (Theorems 2 and 3), which covers some of the mentioned results. They affirm that the case of continuous time will be treated elsewhere. Some examples involved random walks and the Pólya urn are given.

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Cited in

(5)

• Growth of the Brownian forest
• Localization in log-gamma polymers with boundaries
• On the Validity of the Markov Interpretation of Path Diagrams of Gaussian Structural Equations Systems with Correlated Errors
• A decomposition for Markov processes at an independent exponential time
• Three-point correlation functions in the \(\mathfrak{sl}_3\) Toda theory. I: Reflection coefficients

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