Skorokhod embeddings for two-sided Markov chains

Abstract

Let $(X_n \colon n\in\Z)$ be a two-sided recurrent Markov chain with fixed initial state $X_0$ and let $\nu$ be a probability measure on its state space. We give a necessary and sufficient criterion for the existence of a non-randomized time $T$ such that $(X_{T+n} \colon n\in\Z)$ has the law of the same Markov chain with initial distribution $\nu$. In the case when our criterion is satisfied we give an explicit solution, which is also a stopping time, and study its moment properties. We show that this solution minimizes the expectation of $\psi(T)$ in the class of all non-negative solutions, simultaneously for all non-negative concave functions $\psi$.