Markov trajectories : Microcanonical Ensembles based on empirical observables as compared to Canonical Ensembles based on Markov generators

Abstract

The Ensemble of trajectories $x(0\le t\le T)$ produced by the Markov generator $M$ can be considered as 'Canonical' for the following reasons : (C1) the probability of the trajectory $x(0\le t\le T)$ can be rewritten as the exponential of a linear combination of its relevant empirical time-averaged observables $E_n$, where the coefficients involving the Markov generator are their fixed conjugate parameters; (C2) the large deviations properties of these empirical observables $E_n$ for large $T$ are governed by the explicit rate function $I_M^{[2.5]}(E_{.})$ at Level 2.5, while in the thermodynamic limit $T=+\infty$, they concentrate on their typical values $E_n^{typ[M]}$ determined by the Markov generator $M$. This concentration property in the thermodynamic limit $T=+\infty$ suggests to introduce the notion of the 'Microcanonical Ensemble' at Level 2.5 for stochastic trajectories $x(0\le t\le T)$, where all the relevant empirical variables $E_n$ are fixed to some values $E_n^{\ast }$ and cannot fluctuate anymore for finite $T$. The goal of the present paper is to discuss its main properties : (MC1) when the long trajectory $x(0\le t\le T)$ belongs the Microcanonical Ensemble with the fixed empirical observables $E_n^{\ast }$, the statistics of its subtrajectory $x(0\le t\le \tau )$ for $1\ll \tau \ll T$ is governed by the Canonical Ensemble associated to the Markov generator $M^{\ast }$ that would make the empirical observables $E_n^{\ast }$ typical ; (MC2) in the Microcanonical Ensemble, the central role is played by the number ${\Omega }_T^{[2.5]}(E_{.}^{\ast })$ of stochastic trajectories of duration $T$ with the given empirical observables $E_n^{\ast }$, and by the corresponding explicit Boltzmann entropy $S^{[2.5]}(E_{.}^{\ast })=[\ln {\Omega }_T^{[2.5]}(E_{.}^{\ast })]/T$. This general framework is applied to continuous-time Markov Jump processes and to discrete-time Markov chains with illustrative examples.

arXiv commentv2 : final version (33 pages)

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