Potential theory for finitely additive Markov chains

DOI10.1016/0304-4149(84)90026-7MaRDI QIDQ793443zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 1984

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(84)90026-7

zbMATH Keywords

finitely additive Markov chainssuperharmonic function

Mathematics Subject Classification ID

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

Review text

A bounded, nonnegative superharmonic function f on an arbitrary state space I has a unique Riesz decomposition in which the potential is given by f(i)-\(\int f(j)d\sigma(i)(j)+\lim_{s}(\sigma [i]){\hat{\;}}(e(h_ 1)+...+e(h_ s))\), \(i,h_ i\in I\), where \(\{\sigma(i)\}_{i\in I}\) is a Markov strategy, (\(\sigma\) [i]){\^{\ }}(.) denotes the Dubins-Savage integral with respect to the strategic measure \(\sigma\) [i] and the above limit is taken over the net of stop rules. The author also establishes a structural decomposition theorem for I into almost closed sets and uses these results to obtain various characterization theorems for finitely additive Markov chains.

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Cites work

• A Note on Thrifty Strategies and Martingales in a Finitely Additive Setting
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• scientific article; zbMATH DE number 3137662 (Why is no real title available?)
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• scientific article; zbMATH DE number 3560402 (Why is no real title available?)
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• On almost sure convergence in a finitely additive setting
• On Lebesgue-like extensions of finitely additive measures
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Cited in

(5)

• Finitely additive measures in the ergodic theory of Markov chains. II
• Finitely additive random walks on infinitely generated free groups
• scientific article; zbMATH DE number 3886250 (Why is no real title available?)
• scientific article; zbMATH DE number 30722 (Why is no real title available?)
• Potential theory for a family of several Markov processes

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