Filtrations at the threshold of standardness

Gaël Ceillier (1) , Christophe Leuridan (2)

1 IRMA - Institut de Recherche Mathématique Avancée
2 IF - Institut Fourier

A. Vershik discovered that filtrations indexed by the non-positive integers may have a paradoxical asymptotic behaviour near the time $-\infty$, called non-standardness. For example, two dyadic filtrations with trivial tail $\sigma$-field are not necessarily isomorphic. Yet, any essentially separable filtration indexed by the non-positive integers becomes standard when sufficiently many integers are skipped. In this paper, we focus on the non standard filtrations which become standard if (and only if) infinitely many integers are skipped. We call them filtrations at the threshold of standardness, since they are as close to standardardness as they can be although they are non-standard. Two class of filtrations are studied, first the filtrations of the split-words processes, second some filtrations inspired by an unpublished example of B. Tsirelson. They provide examples which disproves some naive intuitions. For example, it is possible to have a standard filtration extracted from a non-standard one with no intermediate (for extraction) filtration at the threshold of standardness. It is also possible to have a filtration which provides a standard filtration on the even times but a non-standard filtration on the odd times.

Mots clés: split-words processes; standardness; filtrations

Domaines: Probabilités [math.PR]

Gaël Ceillier, Christophe Leuridan. Filtrations at the threshold of standardness. Probability Theory and Related Fields, 2014, 158 (3-4), pp.785-808. ⟨hal-00722049⟩