Exchangeable Markov Processes on $[k]^{\zz{N}}$ with Cadlag Sample Paths
Probability
2013-11-22 v2
Abstract
Any exchangeable Markov processes on with cadlag sample paths projects to a Markov process on the simplex whose sample paths are cadlag and of locally bounded variation. Furthermore, any such process has a de Finetti-type description as a mixture of i.i.d. copies of time-inhomogeneous Markov processes on . In the Feller case, these time-inhomogeneous Markov processes have a relatively simple structure; however, in the non-Feller case a greater variety of behaviors is possible since the transition law of the underlying Markov process on can depend in a non-trivial way on the exchangeable -algebra of the process.
Keywords
Cite
@article{arxiv.1307.1713,
title = {Exchangeable Markov Processes on $[k]^{\zz{N}}$ with Cadlag Sample Paths},
author = {Harry Crane and Steven P. Lalley},
journal= {arXiv preprint arXiv:1307.1713},
year = {2013}
}
Comments
added new section 2.2 describing an interesting class of non-Feller exchangeable processes