On transformations of Markov chains and Poisson boundary

DOI10.1090/TRAN/7975MaRDI QIDQ5217898zbMATH OpenOpenAlexWikidataFDO

Authors Iddo Ben-Ari, Behrang Forghani

Publication date 26 February 2020

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1909.11217

zbMATH Keywords

Markov chainsharmonic functionsPoisson boundarystopping timesMartin boundary

Mathematics Subject Classification ID

Harmonic, subharmonic, superharmonic functions on other spaces (31C05) Boundary theory for Markov processes (60J50) Martin boundary theory (31C35)

Abstract: A discrete-time Markov chain can be transformed into a new Markov chain by looking at its states along iterations of an almost surely finite stopping time. By the optional stopping theorem, any bounded harmonic function with respect to the transition function of the original chain is harmonic with respect to the transition function of the transformed chain. The reverse inclusion is in general not true. Our main result provides a sufficient condition on the stopping time which guarantees that the space of bounded harmonic functions for the transformed chain embeds in the space of bounded harmonic sequences for the original chain. We also obtain a similar result on positive unbounded harmonic functions, under some additional conditions. Our work was motivated by and is analogous to Forghani-Kaimanovich, the well-studied case when the Markov chain is a random walk on a discrete group.

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Cited in

(4)

• Positive harmonic functions of transformed random walks
• Trajectory composition of Poisson time changes and Markov counting systems
• Anticipative Markovian transformations on the Poisson space.
• On the space of Markov chain's finite projections

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