Linear Dynamics for the state vector of Markov chain functions
Ledoux, James
HAL, hal-00837504 / Harvested from HAL
Let $(\vp(X_n))_n$ be a function of a finite-state Markov chain $(X_n)_n$. In this note, we investigate under which conditions the random variable $\vp(X_n)$ have the same distribution as $Y_n$ (for every $n$), where $(Y_n)_n$ is a Markov chain with fixed transition probability matrix. In other words, for a deterministic function $\vp$, we investigate the conditions under which $(X_n)_n$ is \textit{weakly lumpable for the state vector}. We show that the set of all probability distributions of $X_0$ such that $(X_n)_n$ is weakly lumpable for the state vector can be finitely generated. The connections between our definition of lumpability and usual one's, as the proportional dynamics property, are discussed.
Publié le : 2004-07-05
Classification:  AMS 60J10,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR]
@article{hal-00837504,
     author = {Ledoux, James},
     title = {Linear Dynamics for the state vector of Markov chain functions},
     journal = {HAL},
     volume = {2004},
     number = {0},
     year = {2004},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00837504}
}
Ledoux, James. Linear Dynamics for the state vector of Markov chain functions. HAL, Tome 2004 (2004) no. 0, . http://gdmltest.u-ga.fr/item/hal-00837504/