MARKOV CHAINS AND DYNAMICAL SYSTEMS: THE OPEN SYSTEM POINT OF VIEW

Stéphane Attal (1)

1 ICJ - Institut Camille Jordan

Abstract. This article presents several results establishing connections be- tween Markov chains and dynamical systems, from the point of view of open systems in physics. We show how all Markov chains can be understood as the information on one component that we get from a dynamical system on a product system, when losing information on the other component. We show that passing from the deterministic dynamics to the random one is character- ized by the loss of algebra morphism property; it is also characterized by the loss of reversibility. In the continuous time framework, we show that the solu- tions of stochastic dierential equations are actually deterministic dynamical systems on a particular product space. When losing the information on one component, we recover the usual associated Markov semigroup.

Domaines: Probabilités [math.PR]; Systèmes dynamiques [math.DS]; Physique mathématique [math-ph]; Physique mathématique [math-ph]

Stéphane Attal. MARKOV CHAINS AND DYNAMICAL SYSTEMS: THE OPEN SYSTEM POINT OF VIEW. Communications on Stochastic Analysis, 2010, 4, pp.523-540. ⟨hal-00526220⟩