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Specifications and a stopping theorem for random fields
S. E. Kuznecov Moscow
Abstract:
A family
$\mathbf F=\{\mathscr F_t\}_{t\in\mathscr T}$ where
$\mathscr T$ is a partially ordered set and
$\mathscr F_t$ is a sub-
$\sigma$-field of
$\mathscr F$, is called a random field if
$\mathscr F_s\subseteq\mathscr F_t$ whenever
$s\le t$. We consider the problem of existence of compatible conditional distributions (specification)
$ p_t(\omega,A)$,
$A\in\mathscr F$ for a given random field
$\mathbf F$.
Let
$\mathscr T_0$ be a subset of
$\mathscr T$ such that the set
$\{t\,:\,t\in\mathscr T_0,\,t>s\}$ is countable for any
$s\in\mathscr T$. The set
$\mathscr T_0$ is called a skeleton of
$\mathbf F$ if for each
$t\in\mathscr T_0$ the
$\sigma$-field
$\mathscr F_t$ is countably generated and for each
$t\in\mathscr T\diagdown\mathscr T_0$ one of the following conditions holds:
A. There exists a decreasing sequence
$t^{(n)}\in\mathscr T_0$,
$t^{(n)}\ge t$ such that $\displaystyle\mathscr F_t=\bigcap_n\mathscr F_{t^{(n)}}$.
B. There exists an increasing sequence
$t_{(n)}\in\mathscr T_0$,
$t_{(n)}\le t$ such that:
(i) $\displaystyle\mathscr F_t=\bigvee_n\mathscr F_{t_{(n)}}$;
(ii) if
$s<t$,
$s\in\mathscr T$ than
$s<t_{(N)}<t$ for some
$N$.
Theorem 1. Let the $\sigma$-field $\mathscr F$ be countably generated and the measure $\mathbf P$ be perfect. If the random field $\mathbf F$ has a skeleton, than it has a specification.
As examples lattice fields, generalized random fields, stochastic processes with
$n$-dimensional
time etc. are considered.
Under some slightly stronger conditions we prove that for any Markov time
$\tau(\omega)$
the following stopping theorem holds:
$$
\mathbf P(A\mid\mathscr F_\tau)=p_{\tau(\omega)}(\omega,A) \text{ a.\,s. }\mathbf P(A\in\mathscr F).
$$
For a Markov field we prove the existence of a Markov specification.
Received: 10.07.1981