English

Exchangeable Markov Processes on $[k]^{\zz{N}}$ with Cadlag Sample Paths

Probability 2013-11-22 v2

Abstract

Any exchangeable Markov processes on [k]N[k]^{\mathbb{N}} 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 [k][k]. 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 [k]\zzN[k]^{\zz{N}} can depend in a non-trivial way on the exchangeable σ\sigma-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

R2 v1 2026-06-22T00:46:26.288Z