Take the 2-minute tour ×
Mathematics Stack Exchange is a question and answer site for people studying math at any level and professionals in related fields. It's 100% free, no registration required.

An independent-increment stochastic process must be Markov. I am now wondering about the reverse case. Why do some Markov processes fail to be independent-increment?

  1. What are some examples of Markov processes that are not independent-increment?

  2. Is it possible to have some sufficient and necessary condition for a Markov process to be independent-increment?

Thanks and regards!

share|improve this question

1 Answer 1

First, observe that an independent-increment process depends on the fact that the sequence is defined on $R$. A Markov Chain can be defined in any set $S$. If $S \neq R$, you might have trouble to even define what independent-increment would be.

You can also consider a process in $R$ defined in the following way: $X_{t+1} = X_{t} + Z$, where $Z|(X_{t},X_{t-1},\ldots,X_{0}) \sim N(-X_{t},1)$. This an example of a process such that the increment depends only on the last step and, therefore, is not independent but the process is Markovian.

Regarding 2, I don't think I have much to add. You can always write $X_{t} = X_{t-1} + Z_{t}$. since $X_{t}$ is Markovian, $Z_{t} = f(X_{t},U_{t})$, where $U_{t}$ is independent of $(X_{t-1},X_{t-2}, \ldots, X_{0})$. I guess you have to prove that $f(x,u)$ is constant on $x$.

share|improve this answer
1  
+1. Thanks (1) In the example, " the increment depends only on the last step and, therefore, is not independent". Why is $X_{t+1} - X_t$ not independent of previous increments $X_{t} - X_{t-1}$ etc? $Z$ depends on $X_t$, so I guess it is better to use $Z_t$ instead of $Z$? (2) In the last paragraph, how are $f$ and $U_t$ chosen/determined usually? Maybe some references? –  Tim Dec 11 '12 at 18:55
    
Take $X_{0} = 0$. Observe that $Z_{1}=X_{1}-X_{0}=X_{1}$. Similarly, $Z_{2}=X_{2}-X_{1}$. By construction $Z_{2}$ is not independent of $Z_{1}$. Regarding 2, maybe another way around is to prove that the process is increment-independent iff $Z_{t}$ is independent of $X_{t-1}$ (Under the markov process assumption)? –  madprob Dec 11 '12 at 19:04

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.