Constructive Markov chains indexed by Z

Abstract: Nous '{e}tudions les cha^{{i}}nes de Markov

(X_{n})_{n i n m a t h b f Z}

gouvern'{e}es par une relation de r'{e}currence de la forme

X_{n + 1} = f (X_{n}, V_{n + 1})

, o`{u}

(V_{n})_{n i n m a t h b f Z}

est une suite de variables al'{e}atoires ind'{e}pendantes et de m^{e}me loi telle pour tout

n i n m a t h b f Z

,

V_{n + 1}

est ind'{e}pendante de la suite

((X_{k}, V_{k}))_{k l e n}

. L'objet de l'article est de donner une condition n'{e}cessaire et suffisante pour que les innovations

(V_{n})_{n i n m a t h b f Z}

d'{e}terminent compl`{e}tement la suite

(X_{n})_{n i n m a t h b f Z}

et de d'{e}crire l'information manquante dans le cas contraire.

Review text

The authors are concerned with general state space Markov processes \((X_{n})_{n\in \mathbb{Z}}\), governed by recurrence relations of the form \(X_{n+1}=f_{n}( X_{n},V_{n+1}) \), where \( (V_{n})_{n\in \mathbb{Z}}\) is a doubly infinite sequence of i.i.d. random variables such that \(V_{n+1}\) is independent of the sequence \(((X_{k},V_{k}))_{k\leq n}\). Three cases are considered: the general one just described, the homogeneous case \(f_{n}=f\), \(n\in \mathbb{Z}\), for a countable state space, and the homogeneous case for a finite state space. In the second case, the authors give a necessary and sufficient condition under which the sequence \((V_{n})_{n\in \mathbb{Z}}\) fully determines the process \((X_{n})_{n\in \mathbb{Z}}\). Moreover, in the third case, they describe the missing information when this does not happen. A result of \textit{M. Rosenblatt} [J. Math. Mech. 8, 665--681 (1959; Zbl 0092.33601)] is generalized and improved.

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