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

The Ensemble of trajectories $x(0 \leq t \leq T)$ produced by the Markov generator $M$ can be considered as 'Canonical' for the following reasons : (C1) the probability of the trajectory $x(0 \leq t \leq T)$ 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 $I^{[2.5]}_M (E_.)$ 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 $x(0 \leq t \leq T)$, where all the relevant empirical variables $E_n$ are fixed to some values $E^*_n$ and cannot fluctuate anymore for finite $T$. The goal of the present paper is to discuss its main properties : (MC1) when the long trajectory $x(0 \leq t \leq T)$ belongs the Microcanonical Ensemble with the fixed empirical observables $E_n^*$, the statistics of its subtrajectory $x(0 \leq t \leq τ)$ for $1 \ll τ\ll T$ is governed by the Canonical Ensemble associated to the Markov generator $M^*$ that would make the empirical observables $E_n^*$ typical ; (MC2) in the Microcanonical Ensemble, the central role is played by the number $Ω^{[2.5]}_T(E^*_.)$ of stochastic trajectories of duration $T$ with the given empirical observables $E^*_n$, and by the corresponding explicit Boltzmann entropy $S^{[2.5]}( E^*_. ) = [\ln Ω^{[2.5]}_T(E^*_.)]/T$. This general framework is applied to continuous-time Markov Jump processes and to discrete-time Markov chains with illustrative examples.

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