Understanding frequency distributions of path-dependent processes with non-multinomial maximum entropy approaches

Combinatorial probability (60C05) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Measures of information, entropy (94A17)

Abstract: Path-dependent stochastic processes are often non-ergodic and observables can no longer be computed within the ensemble picture. The resulting mathematical difficulties pose severe limits to the analytical understanding of path-dependent processes. Their statistics is typically non-multinomial in the sense that the multiplicities of the occurrence of states is not a multinomial factor. The maximum entropy principle is tightly related to multinomial processes, non-interacting systems, and to the ensemble picture; It loses its meaning for path-dependent processes. Here we show that an equivalent to the ensemble picture exists for path-dependent processes, such that the non-multinomial statistics of the underlying dynamical process, by construction, is captured correctly in a functional that plays the role of a relative entropy. We demonstrate this for self-reinforcing P'olya urn processes, which explicitly generalise multinomial statistics. We demonstrate the adequacy of this constructive approach towards non-multinomial pendants of entropy by computing frequency and rank distributions of P'olya urn processes. We show how microscopic update rules of a path-dependent process allow us to explicitly construct a non-multinomial entropy functional, that, when maximized, predicts the time-dependent distribution function.

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