Invariant measures and disintegrations with applications to Palm and related kernels

Consider a locally compact group G acting measurably on some spaces S and T. We prove a general representation of G-invariant measures on S and the existence of invariant disintegrations of jointly invariant measures on S × T. The results are applied to Palm and related kernels associated with a stationary random pair (ξ,η), where ξ is a random measure on S and η is a random element in T. An erratum to this article can be found at     

An invariant measure arising in computer simulation of a chaotic dynamical system

Summary Whenf(x)=2x (mod 1) is simulated in a finite discretized space, with random round-off error, the dynamical states can be modeled as belonging to a family of Markov chains. We completely characterize the invariant measure of the discretized dynamics in terms of easily computable stationary measures of the chains.     

Ergodic Group Rotations, Hartman Setsand Kronecker Sequences

 Let be a homomorphism with dense image in the compact group C. If is a continuity set, i.e. its topological boundary has Haar measure 0, then is called a Hartman set. If M is aperiodic then S contains the essential information about (C, ι) or, equivalently, about the dynamical system (C, T) where T is the ergodic group rotation . Using Pontryagin’s duality the paper presents a new method to get this information from S: The set S induces a filter on which is an isomorphism invariant for (C, T) and turns out to be a complete invariant for ergodic group rotations. If one takes , , , , one gets the interesting special case of Kronecker sequences (nα) which are classical objects in number theory and diophantine analysis.     

Invariant Palm and related disintegrations via skew factorization

Let G be a measurable group with Haar measure ??, acting properly on a space S and measurably on a space T. Then any ??-finite, jointly invariant measure M on S?× T admits a disintegration ${\nu \otimes \mu}$ into an invariant measure ?? on S and an invariant kernel ?? from S to T. Here we construct ?? and??? by a general skew factorization, which extends an approach by Rother and Z?hle for homogeneous spaces S over G. This leads to easy extensions of some classical propositions for invariant disintegration, previously known in the homogeneous case. The results are applied to the Palm measures of jointly stationary pairs (??, ??), where ?? is a random measure on S and ?? is a random element in T.     

Stopped Markov chains with stationary occupation times

Summary. Let E be a finite set equipped with a group G of bijective transformations and suppose that X is an irreducible Markov chain on E that is equivariant under the action of G. In particular, if E=G with the corresponding transformations being left or right multiplication, then X is a random walk on G. We show that when X is started at a fixed point there is a stopping time U such that the distribution of the random vector of pre-U occupation times is invariant under the action of G. When G acts transitively (that is, E is a homogeneous space), any non-zero, finite expectation stopping time with this property can occur no earlier than the time S of the first return to the starting point after all states have been visited. We obtain an expression for the joint Laplace transform of the pre-S occupation times for an arbitrary finite chain and show that even for random walk on the group of integers mod r the pre-S occupation times do not generally have a group invariant distribution. This appears to contrast with the Brownian analog, as there is considerable support for the conjecture that the field of local times for Brownian motion on the circle prior to the counterpart of S is stationary under circular shifts. Received: 6 December 1995 / In revised form: 11 June 1997     

Erdős measures,sofic measures,and Markov chains

We consider the random variable ζ = ξ₁ρ+ξ₂ρ²+…, where ξ₁, ξ₂, … are independent identically distibuted random variables taking the values 0 and 1 with probabilities P(ξ_i = 0) = p₀, P(ξ_i = 1) = p₁, 0 < p₀ < 1. Let β = 1/ρ be the golden number. The Fibonacci expansion for a random point ρζ from [0, 1] is of the form η₁ρ + η₂ρ² + … where the random variables η_k are {0, 1}-valued and η_kη_k+1 = 0. The infinite random word η = η₁η₂ … η_n … takes values in the Fibonacci compactum and determines the so-called Erdős measure μ(A) = P(η ∈ A) on it. The invariant Erdős measure is the shift-invariant measure with respect to which the Erdős measure is absolutely continuous. We show that the Erdős measures are sofic. Recall that a sofic system is a symbolic system that is a continuous factor of a topological Markov chain. A sofic measure is a one-block (or symbol-to-symbol) factor of the measure corresponding to a homogeneous Markov chain. For the Erdős measures, the corresponding regular Markov chain has 5 states. This gives ergodic properties of the invariant Erdős measure. We give a new ergodic theory proof of the singularity of the distribution of the random variable ζ. Our method is also applicable when ξ₁, ξ₂, … is a stationary Markov chain with values 0, 1. In particular, we prove that the distribution of ζ is singular and that the Erdős measures appear as the result of gluing together states in a regular Markov chain with 7 states. Bibliography: 3 titles. __________ Translated from Zapiski Nauchnykh Seminarov POMI, Vol. 326, 2005, pp. 28–47.     

Generalized inverses and their application to applied probability problems

The main aim of this paper is to examine the applicability of generalized inverses to a wide variety of problems in applied probability where a Markov chain is present either directly or indirectly through some form of imbedding. By characterizing all generalized inverses of I—P, where P is the transition matrix of a finite irreducible discrete time Markov chain, we are able to obtain general procedures for finding stationary distributions, moments of the first passage time distributions, and asymptotic forms for the moments of the occupation-time random variables. It is shown that all known explicit methods for examining these problems can be expressed in this generalized inverse framework. More generally, in the context of a Markov renewal process setting the aforementioned problems are also examined using generalized inverses of I—P. As a special case, Markov chains in continuous time are considered, and we show that the generalized inverse technique can be applied directly to the infinitesimal generator of the process, instead of to I—P, where P is the transition matrix of the discrete time jump Markov chain.     

Ergodic Group Rotations,Hartman Setsand Kronecker Sequences

 Let be a homomorphism with dense image in the compact group C. If is a continuity set, i.e. its topological boundary has Haar measure 0, then is called a Hartman set. If M is aperiodic then S contains the essential information about (C, ι) or, equivalently, about the dynamical system (C, T) where T is the ergodic group rotation . Using Pontryagin’s duality the paper presents a new method to get this information from S: The set S induces a filter on which is an isomorphism invariant for (C, T) and turns out to be a complete invariant for ergodic group rotations. If one takes , , , , one gets the interesting special case of Kronecker sequences (nα) which are classical objects in number theory and diophantine analysis. Received 3 November 2000; in final form 25 January 2002     

Frobenius-Perron operators and approximation of invariant measures for set-valued dynamical systems

A set-valued dynamical systemF on a Borel spaceX induces a set-valued operatorF onM(X) — the set of probability measures onX. We define arepresentation ofF, each of which induces an explicitly defined selection ofF; and use this to extend the notions of invariant measure and Frobenius-Perron operators to set-valued maps. We also extend a method ofS. Ulam to Markov finite approximations of invariant measures to the set-valued case and show how this leads to the approximation ofT-invariant measures for transformations , whereT corresponds to the closure of the graph of .     

On the Space of Weakly Almost Periodic Functionals and Its Amenability

Let S be a locally compact semitopological semigroup with measure algebra M(S), M₀(S) the set of all probability measures in M(S) and WF(S) the space of weakly almost periodic functionals on M(S)^*. Assuming that M₀(S) has the semiright invariant isometry property, it is shown that WF(S) has a topological left invariant mean (TLIM) whenever the center of M₀(S) is nonempty; in particular if either the center of S is nonempty or S has a left identity, then WF(S) has a TLIM. Finally if, for each M₀(S), the mapping v v * of M₀(S) into itself is surjective and the center of M₀(S) is nonempty, then WF(S) has a TLIM. We also generalize some results from discrete case to topological one.AMS Subject Classification (1991): 43A07     

The inverse balayage problem for Markov chains,part II

This paper continues the study of the inverse balayage problem for Markov chains. Let X be a Markov chain with state space $\text{A ? B}{}_2$, let v be a probability measure on B₂ and let M(v) consist of probability measures μ on A whose X-balayage onto B₂ is v. The faces of the compact, convex set M(v) are characterized. For fixed μ?M(v) the set M(μ,v) of the measures ? of the form $\text{?(·) = P}{}^{\mathrm{\mu }}\text{{X(S) ? ·}}$, where S is a randomized stopping time, is analyzed in detail. In particular, its extreme points and edge are explicitly identified. A naturally defined reversed chain X, for which v is an inverse balayage of μ, is introduced and the relation between X and X^ is studied. The question of which $\text{? ? M(μ, v)}$ admit a natural stopping time $\text{S}{}_{\mathrm{?}}$ of X (not involving an independent randomization) such that $\text{?(·) = P}{}^{\mathrm{\mu }}\text{{X(S}{}_{\mathrm{?}}\text{) ? ·}}$, is shown to have rather different answers in discrete and continuous time. Illustrative examples are presented.     

马氏链平稳分布存在与唯一性的简洁证明与计算

本文考虑可数状态离散时间齐次马氏链平稳分布的存在与唯一性.放弃以往大多数文献中要求马氏链是不可约,正常返且非周期(即遍历)的条件,本文仅需要马氏链是不可约和正常返的(但可能是周期的,因而可能是非遍历的).在此较弱的条件下,本文不仅给出了平稳分布存在与唯一性的简洁证明,而且还给出了平稳分布的计算方法.     

Shuffling algorithm for boxed plane partitions

We introduce discrete time Markov chains that preserve uniform measures on boxed plane partitions. Elementary Markov steps change the size of the box from a×b×c to (a−1)×(b+1)×c or (a+1)×(b−1)×c. Algorithmic realization of each step involves O((a+b)c) operations. One application is an efficient perfect random sampling algorithm for uniformly distributed boxed plane partitions.Trajectories of our Markov chains can be viewed as random point configurations in the three-dimensional lattice. We compute the bulk limits of the correlation functions of the resulting random point process on suitable two-dimensional sections. The limiting correlation functions define a two-dimensional determinantal point processes with certain Gibbs properties.     

On large‐girth regular graphs and random processes on trees

We study various classes of random processes defined on the regular tree T_d that are invariant under the automorphism group of T_d. The most important ones are factor of i.i.d. processes (randomized local algorithms), branching Markov chains and a new class that we call typical processes. Using Glauber dynamics on processes we give a sufficient condition for a branching Markov chain to be factor of i.i.d.     

Recurrence and invariant measure of Markov chains in double-infinite random environments

The concepts of π -irreduciblity, recurrence and transience are introduced into the research field of Markov chains in random environments. That a π -irreducible chain must be either recurrent or transient is proved, a criterion is shown for recurrent Markov chains in double-infinite random environments, the existence of invariant measure of π -irreducible chains in double-infinite environments is discussed, and then Orey’s open-questions are partially answered.     

Equilibrium states with incomplete supports and periodic trajectories

The relationship between analytic properties of the Artin-Mazur-Ruelle zeta function and the structure of the state of equilibrium states for a topological Markov chain is studied for a class of functions constant on a system of cylinder sets. The convergence of discrete invariant measures to equilibrium states is studied. Special attention is paid to the case in which the uniqueness condition is violated. Dynamic Ruelle-Smale zeta functions are considered, as well as the distribution laws for the number of periodic trajectories of special flows corresponding to topological Markov chains and to positive functions of this class.Translated fromMatematicheskie Zametki, Vol. 59, No. 2, pp. 230–253, February, 1996.The author is grateful to B. M. Gurevich for discussing the paper.This work was partially supported by the International Science Foundation under grant No. M8X000.     

Filtering,Smoothing and M-ary Detection with Discrete Time Poisson Observations

Abstract

In this article, we solve a class of estimation problems, namely, filtering smoothing and detection for a discrete time dynamical system with integer-valued observations. The observation processes we consider are Poisson random variables observed at discrete times. Here, the distribution parameter for each Poisson observation is determined by the state of a Markov chain. By appealing to a duality between forward (in time) filter and its corresponding backward processes, we compute dynamics satisfied by the unnormalized form of the smoother probability. These dynamics can be applied to construct algorithms typically referred to as fixed point smoothers, fixed lag smoothers, and fixed interval smoothers. M-ary detection filters are computed for two scenarios: one for the standard model parameter detection problem and the other for a jump Markov system.     

Nonlinear Markov Operators,Discrete Heat Flow,and Harmonic Maps Between Singular Spaces

We develop a theory of harmonic maps f:MN between singular spaces M and N. The target will be a complete metric space (N,d) of nonpositive curvature in the sense of A. D. Alexandrov. The domain will be a measurable space (M,) with a given Markov kernel p(x,dy) on it. Given a measurable map f:MN, we define a new map Pf:MN in the following way: for each xM, the point Pf(x)N is the barycenter of the probability measure p(x,f ^–1(dy)) on N. The map f is called harmonic on DM if Pf=f on D. Our theory is a nonlinear generalization of the theory of Markov kernels and Markov chains on M. It allows to construct harmonic maps by an explicit nonlinear Markov chain algorithm (which under suitable conditions converges exponentially fast). Many smoothing and contraction properties of the linear Markov operator P _M,R carry over to the nonlinear Markov operator P=P _M,N . For instance, if the underlying Markov kernel has the strong Lipschitz Feller property then all harmonic maps will be Lipschitz continuous.     

Nonlinear Markov operators associated with symmetric Markov kernels and energy minimizing maps between singular spaces

We present a theory of harmonic maps where the target is a complete geodesic space (N,d) of nonpositive curvature in the sense of A. D. Alexandrov and the domain is a measure space with a symmetric Markov kernel p on it. Our theory is a nonlinear generalization of the theory of symmetric Markov kernels and reversible Markov chains on M. It can also be regarded as a particular case of the theory of generalized (= nonlinear) Dirichlet forms and energy minimizing maps between singular spaces, initiated by Jost (1994) and Korevaar, Schoen (1993) and developed further by Jost (1997a), (1998) and Sturm (1997). We investigate the discrete and continuous time heat flow generated by p and show that various properties of the linear heat flow carry over to this nonlinear heat flow. In particular, we study harmonic maps, i.e. maps which are invariant under the heat flow. These maps are identified with the minimizers of the energy. Received April 2, 2000 / Accepted May 9, 2000 /Published online November 9, 2000     

CONSTRUCTIONS OF THE INVARIANT SETS AND INVARIANT MEASURES

In this paper, we will discuss the constructiOn problems about the invariant sets and invariant measures of continues maps~ which map complexes into themselves, using simplical approximation and Markov cbeirs. In [7], the author defined a matrix by using r-normal subdivi of the w,dimensional unit cube, considered it a Markov matrix, and constructed the invariantset and invafiant measure, In fact, the matrix he defined is not Markov matrix generally. So wewill give [7] and amendment in the last pert of this paper. We also construct an invariant set thatis the chain-recurrent set of the map by means of a non-negative matrix which only depends on themap. At hst, we will prove the higher dimension?Banach variation formuls that can simplify thetransition matrix.