Markov properties of Gaussian random fields on compact metric graphs
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There has recently been much interest in Gaussian processes on linear networks and more generally on compact metric graphs. One proposed strategy for defining such processes on a metric graph Γ is through a covariance function that is isotropic in a metric on the graph. Another is through a fractional order differential equation L^α (τ u) = 𝒲 on Γ, where L = κ^2 - ∇(a∇) for (sufficiently nice) functions κ, a, and 𝒲 is Gaussian white noise. We study Markov properties of these two types of fields. We first show that there are no Gaussian random fields on general metric graphs that are both isotropic and Markov. We then show that the second type of fields, the generalized Whittle–Matérn fields, are Markov if and only if α∈ℕ, and if α∈ℕ, the field is Markov of order α, which essentially means that the process in one region S⊂Γ is conditionally independent the process in Γ∖ S given the values of the process and its α-1 derivatives on ∂ S. Finally, we show that the Markov property implies an explicit characterization of the process on a fixed edge e, which in particular shows that the conditional distribution of the process on e given the values at the two vertices connected to e is independent of the geometry of Γ.
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