Markov Processes, Feller Semigroups and Evolution Equations

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Author: Jan van Casteren

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Series on Concrete and Applicable Mathematics – Vol.12

The book provides a systemic treatment of time-dependent strong Markov processes with values in a Polish space. It describes their generators and the link with stochastic differential equations in infinite dimensions. In a unifying way, where the square gradient operator is employed, new results for backward stochastic differential equations and long-time behavior are discussed in depth. The book also establishes a link between propagators or evolution families with the Feller property and time-inhomogeneous Markov processes. This mathematical material finds its applications in several branches of the scientific world, among which mathematical physics, hedging models in financial mathematics, and population or other models in which the Markov property plays a role.


MARKOV PROCESSES, FELLER SEMIGROUPS AND EVOLUTION EQUATIONS


Jan A van Casteren

MARKOV PROCESSES, FELLER SEMIGROUPS AND EVOLUTION EQUATIONS Casteren

van Casteren

World Scientific www.worldscientific.com 7871 hc

ISSN: 1793-1142

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SERIES ON CONCRETE AND APPLICABLE MATHEMATICS ISSN: 1793-1142 Series Editor: Professor George A. Anastassiou Department of Mathematical Sciences The University of Memphis Memphis, TN 38152, USA

Published Vol. 3

Introduction to Matrix Theory: With Applications to Business and Economics by F. Szidarovszky & S. Molnár

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Topics on Stability and Periodicity in Abstract Differential Equations by James H. Liu, Gaston M. N’Guérékata & Nguyen Van Minh

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Approximation by Complex Bernstein and Convolution Type Operators by Sorin G. Gal

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Distribution Theory and Applications by Abdellah El Kinani & Mohamed Oudadess

Vol. 10 Theory and Examples of Ordinary Differential Equations by Chin-Yuan Lin Vol. 11 Advanced Inequalities by George A Anastassiou Vol. 12 Markov Processes, Feller Semigroups and Evolution Equations by Jan A van Casteren

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Dedicated posthumously to my mathematics teacher Rudi Hirschfeld

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Preface

Writing the present book has been a long time project which emerged more than six years ago. One of the main sources of inspiration was a minicourse which the author taught at Monopoli (University of Bari, Italy). This course was based on the text in [Van Casteren (2002)]. The main theorems of the present book (Theorems 2.9 through 2.13), but phrased in the locally compact setting, were a substantial part of that course. The title of the conference was International Summer School on Operator Methods for Evolution Equations and Approximation Problems, Monopoli (Bari), September 15–22, 2002. The mini-course was entitled “Markov processes and Feller semigroups”. Other papers which can be considered as predecessors of the present book are [Van Casteren (2000a, 2001, 2008, 2009)]. In this book a Polish state space replaces the locally compact state space in the more classical literature on the subject. A Polish space is separable and complete metrizable. Important examples of such spaces are separable Banach and Frechet spaces. The generators of the Markov processes or diffusions which play a central role in the present book could be associated with stochastic differential equations in a Banach space. In the formulation of our results we avoid the use of the metric which turns the state space into a complete metrizable space; see e.g. the Propositions 4.6 and 9.2. As a rule of thumb we phrase results in terms of (open) subsets rather than using a metric. For locally compact spaces there is a one-to-one correspondence between Feller-Dynkin semigroups (those are semigroups which send continuous functions, which vanish at infinity, to continuous ones which also are zero at infinity) and certain (strong) Markov processes, which are Hunt processes, and which have the Feller-Dynkin property. This leads to an interaction between stochastic analysis and classical semigroup theory. However,

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Markov processes, Feller semigroups and evolution equations

many interesting topological spaces are not locally compact, and in fact are topologically speaking much larger. Nevertheless from the point of view of (stochastic) analysis and possible applications these more general topological spaces are also important. Examples of such spaces are Wiener space, Loop space, Fock space. These spaces are Polish spaces or more general Lusin spaces, which are images of Polish spaces under injective continuous mappings. The present book endeavors to develop an analysis which encompasses Polish spaces. Since, as a rule stochastic differential equations are time-dependent we will consider not only Feller-type semigroups, but also Feller evolutions, or, what is the same, Feller propagators. Our theory works for Feller evolutions acting on the space of bounded continuous functions defined on a Polish space E. The topology of uniform convergence which performs nicely and effectively on locally compact state spaces, is not so appropriate here. One of the main reasons being the fact that the topological dual space of pCb pE q, }}8 q consists of bounded Radon measures on ˘ the Stone-Cech compactification βE of E, which need not be concentrated on the space E. They may have mass on the “collar” βE zE. In order to be sure that we are in a setting where the dual space consists of genuine measures on E we replace the unform topology by the strict topology. In the commutative setting this leads to a precise formulation of the relationships which exist between Feller evolution as exhibited in Theorems 2.9 and 2.10. We also bring in the martingale problem, and its relation with Feller processes. The precise results are to be found in Theorems 2.11 and 2.12. In Theorem 2.13 we discuss the problem of operators L which possess a linear extension L0 which generate a unique Markov process (which in fact is a time-dependent, or non-time-homogeneous, Hunt process). Included are two chapters on backward stochastic differential equations (BSDE’s for short) as well as a chapter on a version of the HamiltonJacobi-Bellman equation. Chapter 5 deals with existence and uniqueness of solutions to BSDE’s. Conditions on the generator f ps, x, y, z q of the BSDE are phrased in terms of a one-sided Lipschitz condition in the variable y, and a Lipschitz type condition in z. In this condition the squared gradient operator Γ1 , or “opérateur carré du champ” in French, plays a central role. Chapter 6 establishes a relationship between BSDE’s and viscosity solutions to more semi-linear classical partial differential equations. It is concluded with a short section on applications to financing (contingent claims and self-financing portfolios). These topics (and presentations) are taken from [El Karoui et al. (1997)] and [El Karoui and Quenez (1997)]. In Part 4 we exhibit a number of results pertaining to the long time behavior of recurrent

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Markov processes. We present the existence and uniqueness results for stationary (or invariant) measures, also called steady state in case we deal with positive recurrent Markov chains. Chapter 9 also includes a discussion on inequalities of Poincaré and Sobolev type. Some details Next we give some more details on the contents of the book. In Chapter 1 we discuss topics related to stochastic differential equations. Results are presented in the finite-dimensional and the infinite-dimensional context. It also contains some standard and not so standard results on martingales and stopping times. This chapter serves as a motivation for the main parts of the book: strong Markov processes, backward stochastic differential equations, long time behavior of solutions. As one of the highlights of the book we mention Theorems 2.9 through 2.13 and everything surrounding it. These theorems give an important relationship between the following concepts: probability transition functions with the (strong) Feller property, strong Markov processes, martingale problems, generators of Markov processes, and uniqueness of Markov extensions. In this approach the classical uniform topology is replaced by the so-called strict topology. A sequence of bounded continuous functions converges for the strict topology if it is uniformly bounded, and if it converges uniformly on compact subsets. It can be described by means of a certain family of semi-norms which turns the space of bounded continuous functions into a sequentially complete locally convex separable vector space. Its topological dual consists of genuine complex measures on the state space. This is the main reason that the whole machinery works. The third chapter contains the proofs of the main theorems. The original proof for the locally compact case, as exhibited in e.g. [Blumenthal and Getoor (1968)], cannot just be copied. Since we deal with a relatively large state space every single step has to be reproved. Many results are based on Proposition 3.1 which ensures that the orbits of our process have the right compactness properties. If we talk about equi-continuity, then we mean equi-continuity relative to the strict topology: see e.g. Theorem 2.2, Definition 2.2, Theorem 2.7, Corollary 2.3, Proposition 3.3, Corollary 3.3, Corollary 3.2, equation (4.114). In §4.4 a general criterion is given in order that the sample paths of the Markov process are almost-surely continuous. In addition this section contains a number of results pertaining to dissipativity properties of its generator: see e.g. Proposition 4.3. A discussion of the maximum principle is found here:

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see e.g. Lemma 4.2 and Proposition 4.6. In Section 4.3 we discuss Korovkin properties of generators. This notion is closely related to the range property of a generator. In Section 4.5 we discuss (measurability) properties of hitting times. In Chapters 5 and 6 we discuss backward stochastic differential equations for diffusion processes. A highlight in Chapter 5 is a new way to prove the existence of solutions. It is based on a homotopy argument as explained in Theorem 1 (page 87) in [Crouzeix et al. (1983)]: see Proposition 5.7, Corollary 5.3 and Remark 5.19. The connection with the Browder-Minty theorem is mentioned as well: see Theorem 5.10. A martingale which plays an important role in Chapter 6 is depicted in formula (6.3). Basic results are Theorems 6.1 and 6.2. These theorems compare solutions to BSDE’s for different generating functions f ps, x, y, z q. An interesting consequence of these stopping time and martingale techniques is the fact that the solution (candidate) to the corresponding classical semi-linear partial differential equation of parabolic type is a viscosity solution; for details see Theorem 6.3. In Chapter 7 we discuss for a time-homogeneous process a version of the Hamilton-Jacobi-Bellmann equation. Interesting theorems are the Noether theorems 7.5 and 7.6. In Chapters 8, 9, and 10 the long time behavior of a recurrent time-homogeneous Markov process is investigated. Chapter 8 is analytic in nature; it is inspired by the Ph.-D. thesis of Katilova [Katilova (2004)]. Chapter 9 describes a coupling technique from Chen and Wang [Chen and Wang (2003)]: see Theorem 9.1 and Corollary 9.1. The problem raised by Chen and Wang (see §9.5) about the boundedness of the diffusion matrix can be partially solved by using a Γ2 -condition instead of condition (9.5) in Theorem 9.1 without violating the conclusion in (9.6): see Theorem 9.18 and Example 9.1, Proposition 9.18 and the formulas (9.269) and (9.270). For more details see Remark 9.9 and inequality (9.171) in Remark 9.13. Furthermore Chapter 9 contains a number of results related to the existence of an invariant σ-additive measure for our recurrent Markov process. For example in Theorem 9.2 conditions are given in order that there exist compact recurrent subsets. This property has far-reaching consequences: see e.g. Proposition 9.4, Theorem 9.4, and Proposition 9.6. Results about uniqueness of invariant measures are obtained: see Corollary 9.3. The results about recurrent subsets and invariant measures are due to Seidler [Seidler (1997)]. Poincaré type inequalities are proved: see the propositions 9.10 and 9.16, and Theorem 9.4. The results on the Γ2 condition are taken from Bakry [Bakry (1994, 2006)], and Ledoux [Ledoux (2000)]. For recent applications of the Γ2 -condition to problems related to the theory of transportation costs see e.g. [Gozlan (2008)]. In Chapter 10

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we prove the existence and uniqueness of a σ-finite invariant measure for an irreducible time-homogeneous Markov process: see Theorem 10.5 and the results in §10.1. In Theorem 10.7 we follow Kaspi and Mandelbaum [Kaspi and Mandelbaum (1994)] to give a precise relationship between Harris recurrence and recurrence phrased in terms of hitting times. Theorem 10.12 is the most important one for readers interested in an existence proof of a σ-additive invariant measure which is unique up to a multiplicative constant. Assertion (e) of Proposition 10.8 together with Orey’s theorem for Markov chains (see Theorem 10.2) yields the interesting consequence that, up to multiplicative constants, σ-finite invariant measures are unique. In §10.3 Orey’s theorem is proved for recurrent Markov chains. In the proof we use a version of the bivariate linked forward recurrence time chain as explained in Lemma 10.14. We also use Nummelin’s splitting technique: see Meyn and Tweedie [Meyn and Tweedie (1993b)], §5.1 (and §17.3.1). The proof of Orey’s theorem is based on Theorems 10.14 and 10.17. Results in Chapter 10 go back to Meyn and Tweedie [Meyn and Tweedie (1993b)] for time-homogeneous Markov chains and Seidler [Seidler (1997)] for time-homogeneous Markov processes. Interdependence From the above discussion it is clear how the chapters in this book are related. Chapter 2 is a prerequisite for all the others except Chapter 8. Chapter 3 contains the proofs of the main results in Chapter 2; it can be skipped at a first reading. Chapter 4 contains material very much related to the contents of Chapter 2. Chapter 6 is a direct continuation of Chapter 5, and is somewhat difficult to read and comprehend without the knowledge of the contents of Chapter 5. Chapter 7 is more or less independent of the other chapters in Part 3. For a big part Chapter 8 is independent of the other chapters: most of the results are phrased and proved for a finitedimensional state space. The chapters 9 and 10 are very much interrelated. Some results in Chapter 9 are based on results in Chapter 10. In particular this is true for those results which use the existence of an invariant measure. A complete proof of existence and uniqueness is given in Chapter 10 Theorem 10.12. As a general prerequisite for understanding and appreciating this book a thorough knowledge of probability theory, in particular the concept of the Markov property, combined with a comprehensive notion of functional analysis is very helpful. On the other hand most topics are explained from scratch.

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Acknowledgement Part of this work was presented at a Colloquium at the University of Gent, October 14, 2005, at the occasion of the 65th birthday of Richard Delanghe and appeared in a very preliminary form in [Van Casteren (2005b)]. Some results were also presented at the University of Clausthal, at the occasion of Michael Demuth’s 60th birthday September 10–11, 2006, and at a Conference in Marrakesh, Morocco, “Marrakesh World Conference on Differential Equations and Applications”, June 15–20, 2006. Some of this work was also presented at a Conference on “The Feynman Integral and Related Topics in Mathematics and Physics: In Honor of the 65th Birthdays of Gerry Johnson and David Skoug”, Lincoln, Nebraska, May 12–14, 2006. Finally, another preliminary version was delivered as a lecture during a Conference on Evolution Equations, in memory of G. Lumer, at the Universities of Mons and Valenciennes, August 28–September 1, 2006. The author also has presented some of this material during a colloquium at the University of Amsterdam (December 21, 2007), and at the AMS Special Session on the Feynman Integral in Mathematics and Physics, II, on January 9, 2008, in the Convention Center in San Diego, CA. The author is obliged to the University of Antwerp (UA) and FWO Flanders (Grant number 1.5051.04N) for their financial and material support. He was also very fortunate to have discussed part of this material with Karel in’t Hout (University of Antwerp), who provided some references with a crucial result about a surjectivity property of one-sided Lipschitz mappings: see Theorem 1 in Croezeix et al [Crouzeix et al. (1983)]. Some aspects concerning this work, like backward stochastic differential equa´ tions, were at issue during a conservation with Etienne Pardoux (CMI, Université de Provence, Marseille); the author is grateful for his comments and advice. The author is indebted to J.-C. Zambrini (Lisboa) for interesting discussions on the subject and for some references. In addition, the information and explanation given by Willem Stannat (Technical University Darmstadt) while he visited Antwerp are gratefully acknowledged. In particular this is true for topics related to asymptotic stability: see Chapter 9. The author is very much obliged to Natalia Katilova who has given the ideas of Chapter 8; she is to be considered as a co-author of this chapter. Moreover, the author is grateful for several anonymous referees who read a preliminary version of the manuscript and who have supplied a number of remarks and references which improved the quality of the book considerably. He also wants to express his sincere gratitude to Jerry Goldstein for

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his support and practical assistance. In addition, the author is grateful to the editorial staff of WSPC who agreed to publish this work. Finally, this work was part of the ESF program “Global”. Key words and phrases, subject classification Some key words and phrases are: backward stochastic differential equation, parabolic equations of second order, Markov processes, Markov chains, ergodicity conditions, Orey’s theorem, theorem of Chacon-Ornstein, invariant measure, long time behavior, Korovkin properties, maximum principle, Kolmogorov operator, squared gradient operator, martingale theory, bounded analytic semigroups. AMS Subject classification [2010]: 35K20, 37L40, 46E10, 46E27, 47D07, 47D08, 60F05, 60G46, 60H99, 60J25.

Antwerp, June 2010

Jan A. Van Casteren


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Contents

Preface

vii

Introduction

1

1.

3

Introduction: Stochastic differential equations 1.1 1.2 1.3 1.4 1.5

Weak and strong solutions to stochastic differential equations . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Stochastic differential equations in the infinite-dimensional setting . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45 Martingales . . . . . . . . . . . . . . . . . . . . . . . . . . 90 Operator-valued Brownian motion and the Heston volatility model . . . . . . . . . . . . . . . . . . . . . . . . 95 Stopping times and time-homogeneous Markov processes . 104

Strong Markov Processes 2.

107

Strong Markov processes on Polish spaces 2.1

2.2

Strict topology . . . . . . . . . . . . . . . . . . . . 2.1.1 Theorem of Daniell-Stone . . . . . . . . . . 2.1.2 Measures on Polish spaces . . . . . . . . . 2.1.3 Integral operators on the space of bounded continuous functions . . . . . . . . . . . . . Strong Markov processes and Feller evolutions . . . 2.2.1 The operators _t , ^t and ϑt . . . . . . . . xv

109 . . . . 109 . . . . 110 . . . . 116 . . . . 128 . . . . 138 . . . . 142

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2.2.2 2.3 2.4

3.

Strong Markov processes: Proof of main results 3.1

4.

Generators of Markov processes and maximum principles . . . . . . . . . . . . . . . . . . . . . . . Strong Markov processes: Main results . . . . . . . . . . . 2.3.1 Some historical remarks and references . . . . . . Dini’s lemma, Scheffé’s theorem, and the monotone class theorem . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.4.1 Dini’s lemma and Scheffé’s theorem . . . . . . . . 2.4.2 Monotone class theorem . . . . . . . . . . . . . . 2.4.3 Some additional information . . . . . . . . . . . .

Proof of the main results: Theorems 2.9 through 2.13 3.1.1 Proof of Theorem 2.9 . . . . . . . . . . . . . . 3.1.2 Proof of Theorem 2.10 . . . . . . . . . . . . . 3.1.3 Proof of Theorem 2.11 . . . . . . . . . . . . . 3.1.4 Proof of Theorem 2.12 . . . . . . . . . . . . . 3.1.5 Proof of Theorem 2.13 . . . . . . . . . . . . . 3.1.6 Some historical remarks . . . . . . . . . . . . . 3.1.7 Kolmogorov extension theorem . . . . . . . . .

Space-time operators . . . . . . . . . . . . . . Dissipative operators and maximum principle Korovkin property . . . . . . . . . . . . . . . Continuous sample paths . . . . . . . . . . . Measurability properties of hitting times . . . 4.5.1 Some related remarks . . . . . . . . .

. . . . . . . .

. . . . . . . .

. . . . . .

. . . . . .

. . . . . .

. . . . . .

. . . . . .

. . . . . .

. . . . . .

5.3 5.4

Introduction . . . . . . . . . . . . . . . . . . . . . . . . A probabilistic approach: Weak solutions . . . . . . . 5.2.1 Some more explanation . . . . . . . . . . . . . Existence and uniqueness of solutions to BSDE’s . . . Backward stochastic differential equations and Markov processes . . . . . . . . . . . . . . . . . . . . . . . . .

227 240 260 280 282 299

301

Feynman-Kac formulas, backward stochastic differential equations and Markov processes 5.1 5.2

167 167 192 195 199 219 222 224 227

Backward Stochastic Differential Equations 5.

159 159 162 164 167

Space-time operators and miscellaneous topics 4.1 4.2 4.3 4.4 4.5

143 147 158

303 . . . .

. . . .

304 327 330 335

. . 371

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5.4.1

6.

Remarks on the Runge-Kutta method and on monotone operators . . . . . . . . . . . . . . . . . 379

Viscosity solutions, backward stochastic differential equations and Markov processes 6.1 6.2 6.3 6.4

7.

xvii

Comparison theorems . . . . . Viscosity solutions . . . . . . . Backward stochastic differential Some related remarks . . . . .

. . . . . . . . . . . . . . . . . . . . . . . . equations in finance . . . . . . . . . . . .

385 . . . .

. . . .

. . . .

The Hamilton-Jacobi-Bellman equation and the stochastic Noether theorem 7.1 7.2 7.3 7.4

Introduction . . . . . . . . . . . . . . . . . . . . . . . . . The Hamilton-Jacobi-Bellman equation and its solution The Hamilton-Jacobi-Bellman equation and viscosity solutions . . . . . . . . . . . . . . . . . . . . . . . . . . . A stochastic Noether theorem . . . . . . . . . . . . . . . 7.4.1 Classical Noether theorem . . . . . . . . . . . . 7.4.2 Some problems . . . . . . . . . . . . . . . . . . .

407 . 407 . 411 . . . .

Long Time Behavior 8.

8.4 8.5 8.6 8.7 9.

Introduction . . . . . . . . . . . . . . . . . . . . . . . . . Kolmogorov operators and weak -continuous semigroups Kolmogorov operators and analytic semigroups . . . . . 8.3.1 Ornstein-Uhlenbeck process . . . . . . . . . . . 8.3.2 Some stochastic differential equations . . . . . . Ergodicity in the non-stationary case . . . . . . . . . . . Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . Another characterization of generators of analytic semigroups . . . . . . . . . . . . . . . . . . . . . . . . . A version of the Bismut-Elworthy formula . . . . . . . .

Coupling methods and Sobolev type inequalities 9.1 9.2 9.3

420 436 446 448

451

On non-stationary Markov processes and Dunford projections 8.1 8.2 8.3

386 392 399 405

453 . . . . . . .

453 455 460 477 503 518 537

. 543 . 550 555

Coupling methods . . . . . . . . . . . . . . . . . . . . . . 555 Some ergodic theorems . . . . . . . . . . . . . . . . . . . . 597 Spectral gap . . . . . . . . . . . . . . . . . . . . . . . . . . 602

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9.4 9.5

Some related stability results . . . . . . . . . . . . . . . . 611 Notes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 644

10. Invariant measure 10.1 10.2

10.3 10.4

Markov Chains: Invariant measure . . . . . . . . . . . 10.1.1 Some definitions and results . . . . . . . . . . Markov processes and invariant measures . . . . . . . 10.2.1 Some additional relevant results . . . . . . . . 10.2.2 An attempt to construct an invariant measure 10.2.3 Auxiliary results . . . . . . . . . . . . . . . . . 10.2.4 Actual construction of an invariant measure . A proof of Orey’s theorem . . . . . . . . . . . . . . . . About invariant (or stationary) measures . . . . . . . 10.4.1 Possible applications . . . . . . . . . . . . . . 10.4.2 Conclusion . . . . . . . . . . . . . . . . . . . .

647 . . . . . . . . . . .

. . . . . . . . . . .

647 648 660 665 671 684 702 731 752 754 754

Bibliography

759

Index

789

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Introduction

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Chapter 1

Introduction: Stochastic differential equations

Some pertinent topics in the present chapter consist of a discussion on martingale theory, and a few relevant results on stochastic differential equations in spaces of finite as well as infinite dimension. This chapter also services as a motivation for the remaining part of the book. In particular unique weak solutions to stochastic differential equations give rise to strong Markov processes whose one-dimensional distributions are governed by the corresponding second order parabolic type differential equation. Some attention is paid to stochastic differential equations in infinite dimensions: see §1.2.

1.1

Weak and strong solutions to stochastic differential equations

In this section we discuss weak and strong solutions to stochastic differential equations. Basically, the material in this section is taken from [Ikeda and Watanabe (1998)]. We begin with a martingale characterization of Brownian motion. First we give a definition of Brownian motion. In the sequel p0,d pt, x, y q stands for the classical Gaussian kernel: p0,d pt, x, y q

?

1 2πt

d exp

2 |x y|

2t

.

(1.1)

Definition 1.1. Let pΩ, F , Pq be a probability space with filtration pFt qt¥0 . A d-dimensional Brownian motion is a P-almost surely continuous process tB ptq pB1 ptq, . . . , Bd ptqq : t ¥ 0u, which is adapted to the filtration pFt qt¥0 , such that for 0 t1 t2 tn 8 and for C any Borel 3

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4

n

subset of Rd the following equality holds: P rpB pt1 q B p0q, . . . , B ptn q B p0qq P C s »

»

p0,d ptn tn1 , xn1 , xn q p0,d pt2 t1 , x1 , x2 q p0,d pt1 , 0, x1 q

C

dx1 . . . dxn . (1.2) This process is called a d-dimensional Brownian motion with initial distribution µ if for 0 t1 t2 tn 8 and every Borel subset of n 1 Rd the following equality holds: P rpB p0q, B pt1 q , . . . , B ptn qq P C s »

»

p0,d ptn tn1 , xn1 , xn q p0,d pt2 t1 , x1 , x2 q p0,d pt1 , x0 , x1 q

C

dµ px0 q dx1 . . . dxn .

(1.3)

For the definition of p0,d pt, x, y q see formula (1.1) above. By definition a filtration pFt qt¥0 is an increasing family of σ-fields, i.e. 0 ¤ t1 ¤ t2 8 implies Ft1 Ft2 . The process of Brownian motion tB ptq : t ¥ 0u is said to be adapted to the filtration pFt qt¥0 if for every t ¥ 0 the variable B ptq is Ft -measurable. It is assumed that the P-negligible sets belong to F0 . The following result we owe to Lévy. Theorem 1.1. Let pΩ, F , Pq be a probability space with filtration (or refer ence system) pFt qt¥0 . Suppose F is the σ-field generated by t¥0 Ft augmented with the P-zero stes, and suppose Ft is continuous from the right: Ft s¡t Fs for all t ¥ 0. Let tM ptq pM1 ptq, . . . , Md ptqq : t ¥ 0u be an Rd -valued local P-almost surely continuous martingale with the property that the quadratic covariation processes t ÞÑ hMi , Mj i ptq satisfy hMi , Mj i ptq δi,j t, 1 ¤ i, j ¤ d. (1.4) Then tM ptq : t ¥ 0u is d-dimensional Brownian motion with initial distribution given by µpB q P rM p0q P B s, B P BRd , the Borel field of Rd . It follows that the finite-dimensional distributions of the process t ÞÑ M ptq are given by: P rM pt1 q P B1 , . . . , M ptn q P Bn s

» »

»

... B1

Bn

p0,d ptn tn1 , xn1 , xn q p0,d pt2 t1 , x1 , x2 q

p0,d pt1 , x, x1 q dxn dx1 dµpxq.

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Proof. [Proof of Theorem 1.1.] Let ξ that it suffices to establish the equality:

E eihξ,M ptqM psqi Fs

P Rd be arbitrary.

5

First we show

e |ξ| ptsq , t ¡ s ¥ 0. (1.5) For suppose that (1.5) is true for all ξ P Rd . Then, by standard approximation arguments, it follows that the variable M ptq M psq is P-independent of Fs . In other words the process t ÞÑ M ptq possesses independent increments. Since the Fourier transform of the function y ÞÑ p0,d pt s, 0, y q is given by

»

1 2

e |ξ| ptsq it also follows that the distribution of M ptq M psq is given by » (1.6) P rM ptq M psq P B s p0,d pt s, 0, y q dy. B Moreover, for 0 t1 tn we also have P rM p0q P B0 , M pt1 q M p0q P B1 , . . . , M ptn q M ptn1 q P Bn s »P rM»p0q P B0 s P rM pt1 q M p0q P B1 s P rM ptn q M ptn1 q P Bn s » p0,d pt1 , 0, y1 q p0,d ptn tn1 , 0, ynq dµ py0 q dy1 dyn . Rd

B0

B1

eihξ,yi p0,d pt s, 0, y q dy

2

1 2

2

Bn

Here B0 , . . . , Bn are Borel subsets of Rd . Hence, if B is a Borel subset of d Rd , then it follows that R looooooomooooooon n 1times

P rpM p0q, M pt1 q M p0q, . . . , M ptn q M ptn1 qq P B s »

»

p0,d pt1 , 0, y1 q p0,d ptn tn1 , 0, yn q dµ py0 q dy1 dyn . (1.7)

B

Next we compute the joint distribution of pM p0q, M pt1 q , . . . , M ptn qq by employing (1.7). Define the linear map ℓ : Rd Rd Ñ Rd Rd by ℓ px0 , x1 , . . . , xn q px0 , x1 x0 , x2 x1 , . . . , xn xn1 q. Let B be a Borel subset of Rd Rd . By (1.7) we get P rpM p0q, . . . , M ptn qq P B s

P rℓ pM p0q, . . . , M ptn qq P ℓ pB qs P rpM p0q, M pt1 q M p0q, . . . , M ptn q M ptn1 qq P ℓ pB qs » » . . . p0,d pt1 , 0, y1 q p0,d ptn tn1 , 0, ynq dµ py0 q dy1 dyn p q

ℓ B

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6

(change of variables: py0 , y1 , . . . , yn q ℓ px0 , x1 , . . . , xn q) »

»

p0,d pt1 , x0 , x1 q p0,d ptn tn1 , xn1 , xn q dµ px0 q dx1 dxn .

B

(1.8) In order to complete the proof of Theorem 1.1 from equality (1.8) it follows that it is sufficient to establish the equality in (1.5). Therefore, fix ξ P Rd and t ¡ s ¥ 0. An application of Itô’s lemma to the function x ÞÑ eihξ,xi yields eihξ,M ptqi eihξ,M psqi »t

d ¸

i

1 eihξ,M pτ qi dMj pτ q

ξj

2 j,k1

s

j 1

»t

d ¸

ξj ξk s

eihξ,M pτ qi d hMj , Mk i pτ q

(formula (1.4))

i

»t

d ¸

ξj

j 1

s

1 2 eihξ,M pτ qi dMj pτ q |ξ |

»t

2

eihξ,M pτ qi dτ.

(1.9)

s

Hence, from (1.9) it follows that eihξ,M ptqM psqi 1

i

d ¸

j 1

»t

ξj s

(1.10)

eihξ,M pτ qM psqi dMj pτ q

1 2 |ξ| 2

»t

eihξ,M pτ qM psqi dτ.

s

Since the processes t ÞÑ

»t s

eihξ,M pτ qM psqi dMj psq, t ¥ s, 1 ¤ j

¤ d,

are local martingales, from (1.10) we infer by (possibly) using a stopping time argument that

E eihξ,M ptqM psqi Fs

1

1 2 |ξ| 2

»t

s

(1.11)

Next, let v ptq, t ¥ s, be given by v ptq

»t

E eihξ,M pτ qM psqi Fs dτ.

E eihξ,M pτ qM psqi Fs dτ.

s

Then v psq 0, and (1.11) implies v 1 pt q

1 2 |ξ| vptq 1. 2

(1.12)

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From (1.12) we infer

d 1 ptsq|ξ|2 e2 v pt q dt

e

e 2 ptsq|ξ| v ptq v psq and thus we see

2

2

2 1 1 v psqe 2 ptsq|ξ| 2 Since v psq 0 (1.14) results in

E eihξ,M pτ qM psqi Fs

(1.13)

2

|ξ|

v 1 ptq

2

1

ptsq|ξ|2 .

The equality in (1.13) implies: 1

v 1 ptq e 2 ptsq|ξ|

1 2 |ξ| vptq 2

1 2

7

e 2 ptsq|ξ| 1

e

1 2

2

1

,

ptsq|ξ|2 .

v 1 pt q e

1 2

ptsq|ξ|2 .

(1.14)

(1.15)

The equality in (1.15) is the same as the one in (1.5). By the above arguments this completes the proof of Theorem 1.1. As a corollary to Theorem 1.1 we get the following one-dimensional result due to Lévy. Corollary 1.1. Let tM ptq : t ¥ 0u be an almost surely continuous local martingale in R such that the process t ÞÑ M ptq2 t is a local martingale as well. Then the process tM ptq : t ¥ 0u is a Brownian motion with initial distribution given by µpB q P rM p0q P B s, B P BR .

Proof. Since M ptq2 t is a local martingale, it follows that the quadratic variation process t ÞÑ hM, M i ptq satisfies hM, M i ptq t, t ¥ 0. So the result in Corollary 1.1 follows from Theorem 1.1. The following result contains a d-dimensional version of Corollary 1.1.

Theorem 1.2. Let tM ptq pM1 ptq, . . . , Md1 ptqq : t ¥ 0u be a continuous local martingale with covariation process given by »t

¤ d1 . (1.16) Let the d1 d-matrix process tχptq : t ¥ 0u be such that χptqΦptqχptq I, ³t where I is the d d identity matrix. Put B ptq 0 χpsq dM psq. This integral should be interpreted in Itˆ o sense. Then the process t ÞÑ B ptq is d-dimensional Brownian motion. Put Ψptq Φptqχptq , and suppose that Ψptqχptq I, the d1 d1 identity matrix. Then M ptq M p0q ³t Ψpsq dB psq. 0 hMj , Mk i ptq

0

Φj,k psqds, 1 ¤ j, k

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8

Remark 1.1. Since

χptq pΦptqχptq χptq I q pχptqΦptqχptq I q χptq 0

we see that the second equality in Ψptqχptq Φptqχptq χptq I is only possible if we assume d d1 . Of course here we take the dimensions of the null and range space of the matrix χptq into account.

Proof. [Proof of Theorem 1.2.] Fix 1 ¤ i, j ¤ d. We shall calculate the quadratic covariation process * 1 » + d1 » pq d pq ¸ ¸ hBi , Bj i ptq pχpsqqi,k dMk psq, pχpsqqj,l dMl psq ptq

d1 » t ¸ ¸

k 1 0

d1

l 1 0

pχpsqqi,k pχpsqqj,l Φpsqi,j ds

k 1l 1 0 »t

pχpsqΦpsqχpsq qi,j ds tδi,j .

(1.17)

0

From Theorem 1.1 and (1.17) we see that the process t ÞÑ B ptq is a Brownian motion. This proves the first part of Theorem 1.2. Next we calculate »t 0

Ψpsq dB psq

»t 0

Ψpsqχpsq dM psq

»t 0

dM psq M ptq M p0q. (1.18)

This completes the proof of Theorem 1.2.

In the following theorem the symbols σi,j and bj , 1 ¤ i, j ¤ d, stand for realvalued locally bounded Borel measurable functions defined on r0, 8q Rd . d The matrix pai,j ps, xqqi,j 1 is defined by aj,k ps, xq

d ¸

σi,k ps, xqσj,k ps, xq pσ ps, xqσ ps, xqqi,j .

k 1

For s ¥ 0, the operator Lpsq is defined on C 2 Rd with values in the space of locally bounded Borel measurable functions: Lpsqf pxq

1 ¸ ai,j ps, xq Di Dj f pxq 2 i,j 1 d

d ¸

bj ps, xqDj f pxq.

(1.19)

j 1

The following theorem shows the close relationship between weak solutions and solutions to the martingale problem. Theorem 1.3. Let pΩ, F , Pq be a probability space with a rightcontinuous filtration pFt qt¥0 . Let tX ptq pX1 ptq, . . . , Xd ptqq : t ¥ 0u be a d-dimensional continuous adapted process. Then the following assertions are equivalent:

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(i) For every f

P C2

9

Rd the process

t ÞÑ f pX ptqq f pX p0qq is a local martingale. (ii) The processes t ÞÑ Mj ptq : Xj ptq

»t 0

»t 0

Lpsqf pX psqq ds

bj ps, X psqq ds, t ¥ 0, 1 ¤ j

(1.20)

¤ d,

(1.21)

are local martingales with covariation processes t ÞÑ hMi , Mj i ptq

»t 0

ai,j ps, X psqq ds, t ¥ 0, 1 ¤ i, j

¤ d. (1.22)

(iii) On an extended probability space pΩ Ω1 , Ft b Ft1 , P P1 q there exists a Brownian motion tB ptq : t ¥ 0u starting at 0 such that X ptq X p0q

»t 0

b ps, X psqq ds

»t 0

σ ps, X psqq dB psq, t ¥ 0. (1.23)

Notice that under the conditions of Theorem 1.3 the martingale problem need not be uniquely solvable: for some more details the reader is referred to Remark 2.12 in Chapter 2. The following corollary easily follows from Theorem 1.3. It establishes a close relationship between unique weak solutions to stochastic differential equations and unique solutions to the martingale problem. Corollary 1.2. Let the notation and hypotheses be as in Theorem 1.3. Put Ω C r0, 8q, Rd , and X ptqpω q ω ptq, t ¥ 0, ω P Ω. Fix x P Rd . Then the following assertions are equivalent: (i)

There exists a unique probability measure P on F such that P rX p0q xs 1, and the process f pX ptqq f pX p0qq

»t 0

Lpsqf pX psqq ds

is a P-martingale for all C 2 -functions f with compact support. (ii) The stochastic integral equation X ptq x

»t 0

σ ps, X psqq dB psq

has unique weak solutions.

»t 0

b ps, X psqq ds

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10

Proof. [Proof of Theorem 1.3.] (i) ùñ (ii). With fj px1 , . . . , xd q 1 ¤ j ¤ d, assertion (i) implies that the process Mj ptq Xj ptq

»t 0

bj ps, X psqq ds fj pX ptqq

»t 0

xj ,

Lpsqfj pX psqq ds (1.24)

is a local martingale. We will show that the processes "

Mi ptqMj ptq

»t 0

*

ai,j ps, X psqq ds : t ¥ 0 , 1 ¤ i, j

¤ d,

are local martingales as well. To this end fix 1 ¤ i, j ¤ d, and define the function fi,j : Rd Ñ R by fi,j px1 , . . . , xd q xi xj . From (i) it follows that the process "

Xi ptqXj ptq

»t 0

pai,j ps, X psqq

bi ps, X psqq Xj psq

bj ps, X psqq Xi psqq ds

*

is a local martingale. For brevity we write αi,j psq ai,j ps, X psqq , βj psq bj ps, X psqq , βi psq bj ps, X psqq , Mi psq Xi psq

»s 0

βi pτ q dτ, Mj psq Xi psq

Mi,j psq Xi psqXj psq

»s 0

pβipτ qXj pτ q

»s 0

βj pτ q dτ,

βj pτ qXi pτ q

αi,j pτ qq dτ. (1.25)

Then the processes Mi and Mi,j are local martingales. Moreover, we have

»t

Mi ptq

0

»t

βi psq ds

pβipτ qXj pτ q 0 »t

»t

»t

0

0

»t 0

pβi pτ qMj pτ q

0

αi,j pτ q dτ

βi pτ q

»τ 0

βj psq ds

αi,j pτ qq dτ

βj pτ qMi pτ qq dτ

»t 0

βj psq ds dτ

XiptqXj ptq Mi,j ptq

βj pτ q pXi pτ q Mi pτ qq

βi pτ q pXj pτ q Mj pτ qq dτ »t

0

βj pτ qXi pτ q

pβipτ q pXj pτ q Mj pτ qq 0

»t

M j pt q

»t 0

0

β j pτ q

Mi,j ptq

βj pτ q pXi pτ q Mi pτ qq dτ

pβipτ qMj pτ q »t

αi,j pτ qq dτ


»τ 0

βi psq ds dτ

Mi,j ptq

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»t 0

αi,j pτ q dτ

»t 0

pβipτ qMj pτ q


11

Mi,j ptq

(in the second integral the integration over s and τ are exchanged) » »

βi pτ qβj psq dτ ds

t

0 s τ

»t

»t 0

0

αi,j pτ q dτ

βi pτ q dτ »t 0

» »

»t

»t 0

pβipτ qMj pτ q »t

βj psq ds

0

pβi psqMj psq

βi pτ qβj psq dτ ds

s t

0 τ

0


αi,j psq ds

Mi,j ptq

Mi,j ptq

βj psqMi psqq ds.

(1.26)

Consequently, from (1.26) we see Mi ptqMj ptq

»t

»t

αi,j psq ds

0

Mi,j ptq pβipsq pMj ptq Mj psqq

βj psq pMi ptq Mi psqqq ds.

0

(1.27) It is readily verified that the processes »t 0

βi psq pMj ptq Mj psqq ds

»t

and 0

βj psq pMi ptq Mi psqq ds

are local martingales. It follows that the process "

Mi ptqMj ptq

»t 0

αi,j psq ds : t ¥ 0

*

is a local martingale. So that the covariation process hMi , Mj i is given by ³t hMi , Mj i ptq 0 αi,j psq ds.

(ii) ùñ (iii). This implication follows from an application of Theorem 1 1.2 with Φi,j ptq ai,j pt, X ptqq, and χptq σ pt, X ptqq . If the matrix process σ pt, X ptqq is not invertible we proceed as follows. First we choose a Brownian motion which is independent of pΩ, Ft , Pq and which lives on the probability space pΩ1 , Ft1 , P1 q. The probability spaces pΩ, Ft , Pq and pΩ1 , Ft1 , P1 q are coupled by employing a standard extension of the original r F rt , P r , where probability space pΩ, Ft , Pq. This extension is denoted by Ω, r Ω Ω1 , F rt Ft b F 1 , and P r P P1 . Finally, B r 1 pω, ω 1 q B 1 pω 1 q, Ω t 1 1 pω, ω q P Ω Ω . We have a martingale M psq, 0 ¤ s ¤ t, on pΩ, Ft , Pq with

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12

the properties of Assertion (ii). We introduce the matrix processes ψrε psq, ε ¡ 0, ER psq, and EN psq as follows

1

ψrε psq σ ps, X psqq pσ ps, X psqq σ ps, X psqq

εI q

ER psq lim σ ps, X psqq pσ ps, X psqq σ ps, X psqq

Ó

ε 0

EN psq I

1 σ ps, X psqq , and

εI q

ER psq. The matrix ER psq can be considered as an orthogonal projection on the range of the matrix σ ps, X psqq σ ps, X psqq, and EN psq as an orthogonal projection on its null space. More precisely, ER psqσ ps, X psqq σ ps, X psqq, and σ ps, X psqq EN psq 0. In terms of these processes we define the following process: »s

»s

pq EN pτ q dB 1 pτ q. 0 Next we will prove that the process s ÞÑ B psq is a Brownian motion, and ³s that M psq 0 σ pτ, X pτ qq dB pτ q. Put B psq lim

Ó

ε 0

Bε psq

pq

ψrε τ dM τ

0

»s

pq

pq

ψrε τ dM τ

0

»s 0

EN pτ q dB 1 pτ q.

Then we have: hBε,j1 , Bε,j2 i psq

»s

d ¸

k1 ,k2 ,ℓ 1 0 d »s ¸

k 1 0

d »s ¸

k 1 0

d »s ¸

k 1 0

ψrε,j1 ,k1 pτ qψrε,j1 ,k1 pτ qσk1 ,ℓ pτ, X pτ qq σk2 ,ℓ pτ, X pτ qq dτ

ψrε,j1 ,k1 pτ qEN,j2 ,K1 pτ q d Mk1 , Bk1 pτ q

ψrε,j2 ,k1 pτ qEN,j1 ,K1 pτ q d Mk1 , Bk1 pτ q EN,j1 ,k pτ qEN,j2 ,k pτ q dτ

(the processes M and B 1 are Pr -independent)

»s

ψrε pτ qσ pτ, X pτ qq σ pτ, X pτ qq ψrε pτ q

0

»s

pEN pτ qEN pτ qqj ,j 1

0

2

dτ.

j1 ,j2

dτ (1.28)

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13

From (1.28) we infer by continuity and the definition of ER pτ q that hBj1 , Bj2 i psq lim hBε,j1 , Bε,j2 i psq

Ó

ε 0

»s

pER pτ qE pτ qq R

»0s 0

j1 ,j2

pER pτ qER pτ q

»s

dτ

pEN pτ qEN pτ qqj ,j 1

0

2

dτ

pτ qq EN pτ qEN j1 ,j2 dτ

(the processes ER pτ q and EN pτ q are orthogonal projections such that ER pτ q EN pτ q I)

δj ,j s. 1

(1.29)

2

From Lévy’s theorem 1.1 it follows that the process s ÞÑ B psq, 0 ¤ s ¤ t, is a Brownian motion. In order to finish the proof of³ the implication (ii) ùñ (iii) we still have to prove the equality M psq 0s σ pτ, X pτ qq dB pτ q. For brevity we write σ pτ q σ pτ, X pτ qq. Then by definition and standard calculations with martingales we obtain: M psq

»s 0

M psq

»s

I 0

»s

σ pτ q dBε pτ q

»s 0

σ pτ qψrε pτ q dM pτ q

»s 0

σpτ qσ pτ q pσpτ qσ pτ q

ε pσpτ qσ pτ q 0

σ pτ q EN pτ q dB 1 pτ q

1 dM pτ q

εI q

1 dM pτ q.

εI q

(1.30)

From (1.30) together with the fact that covariation process of the local ³s martingale M psq is given by 0 σ pτ qσ pτ q dτ , it follows that the covariation matrix of the local martingale M psq

»s 0

σ pτ q dBε pτ q

is given by »s

ε2 0

pσpτ qσ pτ q

1 σpτ qσ pτ q pσpτ qσ pτ q

εI q

1 dτ.

(1.31)

1 ¤ ε I,

(1.32)

εI q

In addition, in spectral sense we have: 0 ¤ ε2 pσ pτ qσ pτ q

1 σpτ qσ pτ q pσpτ qσ pτ q

εI q

and thus in L2 -sense we see M psq

»s 0

σ pτ q dB pτ q

L - lim εÓ 2

M ps q

»s 0

εI q

4

σ pτ qBε pτ q

0.

(1.33)

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14

The equality in (1.33) completes the proof of the implication (ii)

ÝÑ (iii).

(iii) ùñ (i). Let f : R Ñ R be a twice continuously differentiable function. By Itˆ o’s lemma we get d

f pX ptqq f pX p0qq »t

0

»t 0

d »t ¸

j 1 0

»t

0

1 ¸ 2 i,j 1 d

»t 0

Di Dj f pX psqq d hXi , Xj i psq

bj ps, X psqq Dj f pX psqq ds d

Lpsqf pX psqq ds

Lpsqf pX psqq ds

1 ¸ ¸ 2 i,j 1 k1

»t

0

∇f pX psqq dX psq

»t

0

d

»t 0

σi,k ps, X psqq σj,k ps, X psqq Di Dj f pX psqq ds

∇f pX psqq σ ps, X psqq dB psq

»t 0

LpsqF pX psqq ds

∇f pX psqq σ ps, X psqq dB psq.

(1.34)

The final expression in (1.34) is a local martingale. Hence (iii) implies (i). This completes the proof of Theorem 1.3. Remark 1.2. The implication (ii) ùñ (i) in Theorem 1.2 can also be proved directly by using Itˆ o calculus. Let f be a C 2 -function defined on d R . Then we have: f pX ptqq f pX p0qq

»t 0

»t 0

0

Lpsqf pX psqq ds

∇f pX psqq dX psq

»t

»t 0

1 ¸ 2 i,j 1 d

»t 0

Di Dj f pX psqq d hXi , Xj i psq

Lpsqf pX psqq ds

∇f pX psqq dM psq 1 ¸ 2 i,j 1 d

»t 0

»t 0

∇f pX psqq b ps, X psqq ds

Di Dj f pX psqq d hMi , Mj i psq

»t 0

Lpsqf pX psqq ds

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»t 0

∇f pX psqq dM psq 1 ¸ 2 i,j 1 d

»t 0

»t

»t 0

0

15

∇f pX psqq b ps, X psqq ds

Di Dj f pX psqq ai,j ps, X psqq ds

»t 0

Lpsqf pX psqq ds

∇f pX psqq dM psq.

(1.35)

Assertion (i) is a consequence of equality (1.35). We also want to discuss the Cameron-Martin-Girsanov transformation of Wiener measure. Let pΩ, F , Pq be a probability space with a filtration pFt qt¥0 . In addition, let tB ptq : t ¥ 0u be a d-dimensional Brownian motion. Let bj , cj , σi,j be Borel measurable locally bounded functions on r0, 8q Rd. Suppose that the stochastic differential equation »t

X ptq x

0

»t


0

b ps, X psqq ds

(1.36)

has unique weak solutions. For more information on transformations of ¨ unel and Zakai (2000a)]. measures on Wiener space see e.g. [Ust¨ Definition 1.2. The equation in (1.36) is said to have unique weak solutions, also called unique distributional solutions, provided that the finitedimensional distributions of the process X ptq which satisfy (1.36) do not depend on the particular Brownian motion B ptq which occurs in (1.36). This is the case if and only if for any pair of Brownian motions

tpB ptq : t ¥ 0q , pΩ, F , Pqu

and

B 1 pt q : t ¥ 0 , Ω 1 , F 1 , P 1

(

and any pair of adapted processes tX ptq : t ¥ 0u and tX 1 ptq : t ¥ 0u for which X ptq x X 1 pt q x

»t 0 »t 0


σ s, X 1 psq dB 1 psq

»t 0

b ps, X psqq ds

»t 0

and

b s, X 1 psq ds

it follows that the finite-dimensional distributions of the process tX ptq : t ¥ 0u relative to P coincide with the finite-dimensional distributions of the process tX 1 ptq : t ¥ 0u relative to P1 . In particular this means that if in equation (1.37) below (for the process Y ptq) the process B 1 ptq is a Brownian motion relative to a probability measure P1 , then the P1 -distribution of the process Y ptq coincides with the

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16

P-distribution of the process X ptq which satisfies (1.36). Next we will elaborate on this item. Suppose that the process t ÞÑ Y ptq satisfies the equation: Y ptq x

x

»t 0

»t 0

»t

σ ps, Y psqq dB psq

0

»t

σ ps, Y psqq dB 1 psq

0

pb ps, Y psqq

σ ps, Y psqq c ps, Y psqqq ds

b ps, Y psqq ds,

(1.37)

³t

where B 1 ptq B ptq c ps, Y psqq ds. The following proposition says that 0 relative to a martingale transformation P1 of the measure P (Girsanov or Cameron-Martin transformation) the process t ÞÑ B 1 ptq is a P1 -Brownian motion. More precisely, we introduce the local martingale M 1 ptq and the corresponding measure P1 by M 1 ptq exp

»t 0

c ps, Y psqq dB psq

1 2

»t 0

|c ps, Y psqq|2 ds

,

(1.38)

and

P1 rAs E M 1 ptq1A , A P Ft .

We also need the process Z 1 ptq defined by Z 1 ptq

»t 0

c ps, Y psqq dB psq

1 2

»t 0

|c ps, Y psqq|2 ds.

(1.39)

(1.40)

In addition, we have a need for a vector-valued function c1 pt, y q satisfying cpt, y q c1 pt, y qσ pt, y q. We assume that such a vector function c1 pt, y q exists. Proposition 1.1. Suppose that the process Y ptq satisfies the equation in (1.37). Let the processes M 1 ptq and Z 1 ptq be defined by (1.38) and (1.40) respectively. Then the following assertions are true: (1) The process t ÞÑ M 1 ptq is a local P-martingale. It is a martingale provided that E rM 1 ptqs 1 for all t ¥ 0. (2) Fix t ¡ 0. The variable M 1 ptq only depends on the process s ÞÑ Y psq, 0 ¤ s ¤ t. (3) Suppose that the process t ÞÑ M 1 ptq is a P-martingale, and not just a local P-martingale. Then P1 can be considered as a probability measure on the σ-field generated by t¡0 Ft . (4) Suppose that the process t ÞÑ M 1 ptq is a P-martingale. Then the process t ÞÑ B 1 ptq is a Brownian motion relative to P1 .

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(1).

Proof.

17

From Itˆ o calculus we get M 1 pt q M 1 p0 q

»t 0

M 1 psqc ps, Y psqq dB psq,

and hence Assertion (1) follows, because stochastic integrals with respect to Brownian motion are local martingales. Next we choose a sequence of stopping times τn which increase to 8 P-almost surely, and which are such that the processes t ÞÑ M 1 pt ^ τn q are genuine martingales. Then we see E rM 1 pt ^ τn qs 1 for all n P N and t ¥ 0. Fix t2 ¡ t1 . Since the processes t ÞÑ M 1 pt ^ τn q, n P N, are P-martingales, we see that

E M 1 pt2 ^ τn q Ft1

M 1 pt1 ^ τn q

P-almost surely.

(1.41)

In (1.41) we let n Ñ 8, and apply Scheffé’s theorem to conclude that

E M 1 pt2 q Ft1

M 1 pt1 q

P-almost surely.

(1.42)

The equality in (1.42) shows that the process t ÞÑ M 1 ptq is a P-martingale provided that E rM 1 ptqs 1 for all t ¥ 0. This completes the proof of Assertion (1). (2). Z 1 ptq

This assertion follows from the following calculation:

»t 0

»t 0

c ps, Y psqq dB psq c ps, Y psqq dB 1 psq

»

1 t |c ps, Y psqq|2 ds 2 0 » 1 t |c ps, Y psqq|2 ds 2 0

(cps, y q c1 ps, y qσ ps, y q)

»t 0 »t 0 »t 0

c1 ps, Y psqq σ ps, Y psqq dB 1 psq c1 ps, Y psqq d

» s

0

1 2

»t 0

|c ps, Y psqq|2 ds

σ pτ, Y pτ qq dB 1 pτ q

c1 ps, Y psqq d Y psq

»s 0

b pτ, Y pτ qq dτ

1 2

»t 0

1 2

|c ps, Y psqq|2 ds »t 0

|c ps, Y psqq|2 ds. (1.43)

From (1.43), (1.38), and (1.40) it is plain that M 1 ptq only depends on the path tY psq : 0 ¤ s ¤ tu. (3). This assertion is a consequence of Kolmogorov’s extension theo rem. The measure is P1 is well defined on t¡0 Ft . Here we use the

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18

martingale property. By Kolmogorov’s extension theorem, it extends to the σ-field generated by this union. ³t

(4). The equality B 1 ptq B ptq 0 c ps, Y psqq ds entails the following equality for the quadratic covariation of the processes Bi1 and Bj1 :

1 1 Bi , Bj ptq hBi , Bj i ptq tδi,j . (1.44) From Itˆ o calculus we also infer M 1 ptqBi1 ptq

»t 0

M 1 psqBi1 psq dZ 1 psq

»t

1 2

»t 0

0

M 1 psq dBi1 psq »t

M 1 psqB 1 psq d Z 1 , Z 1 psq

0

i

0

»t

2

0

»t

2 M 1 psqB 1 psq |c ps, Y psqq| ds

0

0

M 1 psqci ps, Y psqq ds

»t 0

0

2

M 1 psq dBi psq

M 1 psqci ps, Y psqq ds

M 1 psqB 1 psqc ps, Y psqq dB psq

»t

i

0

M 1 psqBi1 psq |c ps, Y psqq| ds

i

»t »t

M 1 psqd Z 1 , Bi1 psq

»t

1 M 1 psqB 1 psqc ps, Y psqq dB psq 1 2

»t

0

M 1 psq dBi psq.

(1.45)

Upon invoking Theorem 1.1 and employing (1.44) and (1.45) Assertion (4) follows. This concludes the proof of Proposition 1.1.

Let the process X ptq solve the equation in (1.36), and put M ptq exp

» t 0

c ps, X psqq dB psq

1 2

»t 0

|c ps, X psqq|

2

ds ,

(1.46)

and assume that the process M ptq is not merely a local martingale, but a genuine P-martingale.

¡ 0, and let the functions bps, y q, σ ps, y q, cps, y q, and c1 ps, y q,

Theorem 1.4. Fix T

0 ¤ s ¤ T,

be locally bounded Borel measurable vector or matrix functions such that cps, y q c1 ps, y qσ ps, y q, 0 ¤ s ¤ T , y P Rd . Suppose that the equation in (1.36) possesses unique weak solutions on the interval r0, T s.

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19

Uniqueness. If weak solutions to the stochastic differential equation in (1.37) exist, then they are unique in the sense as explained next. In fact, let the couple pY psq, B psqq, 0 ¤ s ¤ t, be a solution to the equation in (1.37) with the property that the local martingale M 1 ptq given by M 1 ptq exp

»t

c ps, Y psqq dB psq

0

1 2

»t 0

|c ps, Y psqq|

2

ds

satisfies E rM 1 ptqs 1. Then the finite-dimensional distributions of the process Y psq, 0 ¤ s ¤ t, are given by the Girsanov or Cameron-Martin transform:

E rf pY pt1 q , . . . , Y ptn qqs E M 1 ptqf pX pt1 q , . . . , X ptn qq ,

t ¥ tn ¡ ¡ t1 ¥ 0, where f : Rd Rd Borel measurable function.

(1.47)

Ñ R is an arbitrary bounded

Existence. Conversely, let the process s ÞÑ pX psq, B psqq be a solution to the equation in (1.36). Suppose that the local martingale s ÞÑ M psq, defined by M psq exp

» s 0

c pτ, X pτ qq dB pτ q

1 2

»s 0

|c pτ, X pτ qq|2 dτ

, 0 ¤ s ¤ t,

r psq , is a martingale, i.e. E rM ptqs 1. Then there exists a couple Yr psq, B

0

¤s¤

probability space

p qx

»s

Yr s

ÞÑ p q

¤ ¤

r s B s , 0 r r r Ω, F , P such that

t, where s

r psq σ τ, Yr psq dB

»s0 0

and such that

pq

σ τ, Yr s

r E exp

t, is a Brownian motion on a

»t 0

pq

c s, Yr s

»s

pq

c τ, Yr τ

dτ

p q

r s dB

0

1 2

b τ, Yr psq dτ,

»t 2 r c s, Y s ds 0

pq

(1.48)

1. (1.49)

Remark 1.3. The formula in (1.47) is known as the Girsanov transform or Cameron-Martin transform of the measure P. It is a martingale measure. Suppose that the process t ÞÑ M 1 ptq, as defined in (1.38) is a P-martingale. Then the proof of Theorem 1.4 shows that the process t ÞÑ M ptq, as defined in (1.46) is a P-martingale. By Assertion (1) in Proposition 1.1 the process t ÞÑ M 1 ptq is a P-martingale if and only E rM 1 ptqs 1 for all T ¥ t ¥ 0, and

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20

a similar statement holds for the process t ÞÑ M ptq. If the process t ÞÑ M 1 ptq is a martingale, then taking G 1 in (1.65) shows that E rM ptqs 1, and hence by 1 in Proposition 1.1 the process t ÞÑ M ptq is a P-martingale. Conversely, if the process t ÞÑ M ptq is a P-martingale, then we reverse the implications in the proof of Theorem 1.4 and take F 1 in (1.64) to conclude that E rM 1 ptqs 1 for all ¥ 0. But then the process t ÞÑ M 1 ptq is a P-martingale. Notice that the process t ÞÑM ptqis a P-martingale provided Novikov’s

» 1 t 2 condition is satisfied, i.e. if E exp |c ps, X psqq| ds 8. For a 2 0 precise formulation see Corollary 1.3 below. Novikov’s result is a consequence of Theorem 1.6. For a closely related Novikov condition on an exponential (local) martingale see item (5) in the beginning of §1.3. Remark 1.4. Let s ÞÑ cpsq be a process which is adapted to a Brownian motion pB ptqqt¥0 starting at 0 in Rd , and let ρ ¡ 0 be such that Novikov’s

³t

condition is satisfied: E exp 12 ρ2 0 |cpsq| ds 8. From Assertion (4) in Proposition 1.1 and Theorem 1.4 we see that the following identity holds n for all bounded Borel measurable functions F defined on Rd : E rF pYρ pt1 q , . . . , Yρ ptn qqs

E

»t

exp ρ 0

1 cpsqdB psq ρ2 2

2

»t 0

|cpsq|2 ds

where 0 ¤ t1 tn ¤ t, and Yρ pτ q B pτ q particular, if n 1 we get

E F

B ptq

»t

ρ

»t

0

cpsq ds

F pB pt1 q , . . . , B ptn qq ρ

³τ 0

(1.50) cpsq ds, 0 ¤ τ

¤ t. In

»

t E exp ρ cpsqdB psq 12 ρ2 |cpsq|2 ds F pB ptqq . (1.51) 0 0 Assume that the gradient DF of the function F exists and is bounded. The equality in (1.51) can be differentiated with respect to ρ to obtain:

»t »t E DF B ptq ρ cpsq ds , cpsq ds

E

»t

exp ρ

» t 0

0

0

0

cpsq dB psq

cpsq dB psq ρ

»t 0

1 2 ρ 2

»t

|cpsq|

0 2

|cpsq|

ds

2

ds

F pB ptqq .

(1.52)

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21

The bracket in the left-hand side of (1.52) indicates the inner-product in Rd . In (1.52) we put ρ 0 and we obtain the first order version of the famous integration by parts formula: » t »t E cpsq dB psq F pB ptqq . (1.53) E DF pB ptqq , cpsq ds 0

0

We mention that the Cameron-Martin-Girsanov transformation is a cornerstone for integration by parts formulas with higher derivatives than in (1.53), which is a central issue in Malliavin calculus, also called stochastic variation calculus. For details on this subject see e.g. [Nualart (1998, 2006)], [Malliavin (1978)], [Sanz-Solé (2005)], [Kusuoka and Stroock (1985, 1987, 1984)], [Stroock (1981)], and [Norris (1986)]. For a proof of Theorem 1.4 we will need the Skorohod-Dudley-Wichura representation theorem: see Theorem 11.7.2 in [Dudley (2002)]. It will be d applied with S C r0, ts, R and can be formulated as follows. Theorem 1.5. Let pS, dq be a complete separable metric space (i.e. a Polish space), and let Pk , k P N, and P be probability measures on the Borel field ³ B of S such that the weak limit wlim P P, i.e. lim F dP S k Ñ8 k k Ñ8 k ³ F dP for all bounded continuous functions of F P C p S q . Then there exist b

r and S-valued random variables Yrk , k r, P r F a probability space Ω,

P N, and

r with the following properties: Yr , defined on Ω

r Y rk (1) Pk rB s P

PB

(2) The sequence Yrk , k

r Y r , k P N, and P rB s P

P N, converges to Yr

PB

,B

P BS .

r P-almost surely.

Remark 1.5. An analysis of the existence part of the proof of Theorem 1.4 r psq, shows that the invertibility of the matrix σ ps, y q is not needed.Let N r F rs , P r , 0 ¤ s ¤ t, be a local martingale on a filtered probability space Ω,

where the σ-field Frs is generated by Yr pτ q : 0 ¤ τ r psq is given by covariation process of N

hNj1 , Nj2 i psq

»s 0

σ τ, Yr pτ q σ τ, Yr pτ q

¤s

j1 ,j2

. Suppose that the

dτ, 1 ¤ j1 , j2

¤ d.

r . Then by assertion (iii) in Theor F r, P Here Yr is a local martingale on Ω, r psq, 0 ¤ s ¤ t, on this space such rem 1.3 there exists a Brownian motion B

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22

that

»s 0

r pτ q c1 τ, Yr pτ q dN

»s

»0s 0

r pτ q c1 τ, Yr pτ q σ τ, Yr pτ q dB

r pτ q. c τ, Yr pτ q dB

(1.54)

Proof. [Proof of Theorem 1.4.] Uniqueness. Let the process Y psq, 0 s ¤ t, be a solution to equation (1.37). So that »s

Y psq x

»s 0

0

σ pτ, Y pτ qq dB pτ q

pb pτ, Y pτ qq

»s

x

0

¤

σ pτ, Y pτ qq c pτ, Y pτ qqq dτ


»s 0

b pτ, Y pτ qq dτ.

(1.55)

Let F pY psqq0¤s¤t be a bounded random variable which depends on the path Y psq, 0 ¤ s ¤ t. As observed in 4 of Proposition 1.1 the process B 1 ptq is a P1 -Brownian motion, provided E rM 1 ptqs 1. Uniqueness of weak solutions to equation (1.36) implies that the P 1 -distribution of the process s ÞÑ Y psq, 0 ¤ s ¤ t, coincides with the P-distribution of the process s ÞÑ X psq, 0 ¤ s ¤ t. In other words we have

E1 F

pY psqq0¤s¤t »t

1 2 Y E exp c1 ps, Y psqq dN psq 2 |c ps, Y psqq| ds F pY psqq0¤s¤t 0 E F pX psqq0¤s¤t , (1.56)

where N Y psq Y psq

With

»s 0

»s 0

σ pτ, Y pτ qq c pτ, Y pτ qq dτ

σ pτ, Y pτ qq dB pτ q.

»s 0

b pτ, Y pτ qq dτ (1.57)

pY psqq0¤s¤t »t

exp c1 ps, Y psqq dN Y psq 12 |c ps, Y psqq|2 ds F pY psqq0¤s¤t

G

0

we have F

pY psqq0¤s¤t

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exp

» t 0

c1 ps, Y psqq dN

Y

ps q

23

1 |c ps, Y psqq|2 ds G 2

pY psqq0¤s¤t

.

So, since dN X psq dX psq σ ps, X psqq c ps, X psqq ds b ps, X psqq ds

σ ps, X psqq pdB psq c ps, X psqq dsq

(1.58)

it follows that

pX psqq0¤s¤t » t exp c1 ps, X psqq dN X psq

F

1 |c ps, X psqq|2 ds G 2

0

exp

» t 0

c ps, X psqq dB psq

1 |c ps, X psqq|2 ds G 2

pX psqq0¤s¤t

pX psqq0¤s¤t

.

(1.59) From (1.56) and (1.59) we infer:

E1 G

pY psqq0¤s¤t » t

» 1 t 2 E exp c ps, X psqq ds 2 |c ps, X psqq| ds G pX psqq0¤s¤t . 0

0

(1.60) By inserting G 1 in (1.60) we see that

» t

E exp 0

c ps, X psqq ds

1 2

»t 0

|c ps, X psqq|

2

ds

1

in case there is a unique solution to the equation in (1.48). This proves the uniqueness part of Theorem 1.4. Existence. Therefore we will approximate the solution Y by a sequence Yk , k P N, which are solutions to equations of the form: Yk psq x

»s

»s 0

x

0

σ pτ, Yk pτ qq dB pτ q

pb pτ, Yk pτ qq

»s 0

σ pτ, Yk pτ qq ck pτ, Yk pτ qqq dτ

σ pτ, Yk pτ qq dBk1 pτ q ³t

»s 0

b pτ, Yk pτ qq dτ.

(1.61)

Here Bk1 psq Bk psq c pτ, Yk pτ qq dτ , and the coefficients ck ps, y q 0 k c1,k ps, y qσ ps, y q are chosen in such a way that they are bounded and that

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cps, y q limkÑ8 ck ps, y q for all s P r0, ts and y P Rd . By Novikov’s theorem the corresponding local martingales Mk1 , given by

»

»s

1 s c p τ, Y p τ qq dB p τ q |ck pτ, Yk pτ qq|2 dτ , k P N, k k k 2 0 0 are then automatically genuine martingales: see Corollary 1.3. From the uniqueness of weak solutions to equations in X ptq of the form (1.36) (and thus to equations in Yk psq of the form (1.61) we infer M 1 psq exp

E1k F

pYk psqq0¤s¤t E F pX psqq0¤s¤t . (1.62) In equality (1.62) the process Yk psq, 0 ¤ s ¤ t, solves the equation in (1.61). The equality in (1.62) can be rewritten as

E Mk1 ptqF

pYk psqq0¤s¤t E

F

pX psqq0¤s¤t

By (1.43) the equality in (1.63) can be rewritten as

»t

E exp

E

0

exp

ck ps, Yk psqq dB psq

»t

»t 0

1 2

»t 0

|ck ps, Yk psqq|

2

»s

c1,k ps, Yk psqq d Yk psq

0

(1.63)

.

ds F pYk psqq0¤s¤t

b pτ, Yk pτ qq dτ

|ck ps, Yk psqq|2 ds F pYk psqq0¤s¤t 0 (1.64) E F pX psqq0¤s¤t . Let G pYk psqq0¤s¤t be a (bounded) random variable which depends on the path Yk psq, 0 ¤ s ¤ t. From the equality in (1.64) we infer E G pYk psqq0¤s¤t » t

»s E exp c1,k ps, X psqq d X psq b pτ, X pτ qq dτ 1 2

12

E

»t

0

0

|ck ps, X psqq|

2

» t

exp 0

ds G

0

pX psqq0¤s¤t

c1,k ps, X psqq σ ps, X psqq dB psq

1 2

»t 0

|ck ps, X psqq|2 ds

pX psqq0¤s¤t E Mk ptqG pX psqq0¤s¤t . Here the martingales Mk psq are given by » s

» 1 s 2 Mk psq exp ck pτ, X pτ qq dB pτ q |ck pτ, X pτ qq| dτ , 2 G

0

0

(1.65)

k

P N.

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This fact together with the pointwise convergence of Mk psq to M psq, as k Ñ 8, and invoking the hypothesis that E rM ptqs 1, shows that the right hand side of (1.65) converges to E M ptqG pX psqq0¤s¤t . In other words

the distribution PYk of Yk converges weakly to the measure PM,X defined by PM,X pAq E rM ptq, X P As, where A is a Borel subset of the space C r0, ts, Rd . By the Skorohod-Dudley-Wichura representation theorem

r0, ts, Rd

r F r, P r and C (Theorem 1.5) there exist a probability space Ω,

valued random variables Yrk , k properties:

By taking the limit in (1.65) for k Dudley-Wichura we obtain

E G

pq

Yr s

¤¤

0 s t

pq

»s 0

E

M ptqG

pX psqq0¤s¤t

σ τ, Yr pτ q c τ, Yr pτ q dτ

pq

PB

, B

P

Ñ 8 and using the theorem of Skorohod-

where G is a bounded continuous function on C r psq, 0 ¤ s ¤ t, defined by sider the process N r psq Yr psq N

-

P N, and Yr , defined on Ωr with the following

r Y r Y rk P B , k P N, and PM,X rB s P r (1) PYk rB s P BC pr0,ts,Rd q . r (2) The sequence Yrk , k P N, converges to Yr P-almost surely.

r0, ts, Rd

. Then we con-

»s 0

(1.66)

b τ, Yr pτ q dτ. (1.67)

pq

pq

r s would be N Y s , given by the If Yr s were Y s , then by (1.55) N

formula in (1.57). Hence the process s ÞÑ N Y psq, s P r0, ts, is a stochastic integral relative to Brownian motion on the space pΩ, Ft , Pq. We want to r do same for the process s ÞÑ N psq, 0 ¤ s ¤ t, on the probability space r . Let PM ptq be the probability measure on pΩ, Ft q defined by r F, r P Ω,

PM ptq rAs E rM ptq, As, A P Ft . Then like in item (4) of Proposition 1.1 ³s we see that the process s ÞÑ B psq 0 σ pτ, X pτ qq dτ is a PM ptq -Brownian r motion. In addition, from (1.66) and (1.67) we infer that the P-distribution M ptq r of the process N psq, 0 ¤ s ¤ t, is given by the P -distribution of the process s ÞÑX psq

»s 0

»s 0

σ pτ, X pτ qq c pτ, X pτ qq dτ

»s 0

b pτ, X pτ qq dτ

σ pτ, X pτ qq pdB pτ q c pτ, Y pτ qq dτ q

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»s

σ pτ, X pτ qq dB M ptq pτ q,

0

(1.68)

where B M ptq psq is a PM ptq -Brownian motion: see Proposition 1.1 item (4). It also follows that the process in (1.68) has covariation process given by the square matrix process s ÞÑ

»s 0

σ pτ, X pτ qq σ pτ, X pτ qq dτ, 0 ¤ s ¤ t.

r psq, 0 Consequently, the process s ÞÑ N with covariation process given by »s

s ÞÑ

0

¤ s ¤ t, is a local Pr-martingale

σ τ, Yr pτ q σ τ, Yr pτ q dτ, 0 ¤ s ¤ t.

(1.69)

In order to prove (1.69) we must show that the process rj psqN rj psq s ÞÑ N 1 2

d »s ¸

k 1 0

σj1 ,k τ, Yr pτ q σj2 ,k τ, Yr pτ q dτ

r is a local P-martingale. The latter can be achieved by appealing to the r fact that the P-distribution of the process s ÞÑ Yr psq, 0 ¤ s ¤ t, coinM ptq cides with the P -distribution of the process s ÞÑ X psq, 0 ¤ s ¤ t. r Then we choose a Brownian of motion B psq, possibly on an extension r, P r , which we call again Ω, r, P r such that r F r F the probability space Ω,

³s

r psq σ τ, Y r pτ q dB r pτ q. For details see the proof of the implication N 0 (ii) ùñ (iii) of Theorem 1.3. With such a Brownian motion we obtain:

p qx

»s

Yr s

r exp E

pq

r τ dB

0

σ τ, Yr pτ q c τ, Yr pτ q dτ

b τ, Yr pτ q dτ.

(1.70)

r ps q c s, Yr psq dB

1 2

r ps q it follows that the process s ÞÑ B motion relative to the measure

A ÞÑ

»s

»t 0

pq

σ τ, Yr τ

» s 0 0

Since

r E exp

»t 0

pq

c s, Yr s

»t 2 r s ds c s, Y 0

pq

³s

p q

r s dB

1

(1.71)

c τ, Yr pτ q dτ is a Brownian 0

1 2

»t 2

r c s, Y s ds , A , 0

pq

A P Fr. The equalities in (1.70) and (1.71) complete the proof of Theorem 1.4.

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We include a proof of a result due to [Novikov (1973)]. In fact we will insert a proof established by Krylov [Krylov (2002)]. In fact the result is somewhat more general than the original result by Novikov; it also improves a result which we owe to [Kazamaki (1978)]. For the significance of the covariation process t ÞÑ hM, M i ptq see items (4) and (5) in §1.3.

Theorem 1.6. Let pΩ, F , Pq be a complete probability space and let t ÞÑ M ptq be a continuous local martingale on pΩ, F , Pq relative to a filtration pFt qt¥0 such that xM, M y xM, M yp8q : supt¥0 hM, M i ptq 8 (Palmost surely). Define E pM qptq eM ptq 2 xM,M yptq . 1

(1.72)

Then the following assertions are true:

(1) If lim inf ε log E e 2 p1εqxM,M yp8q

Ó

ε 0

1

8, then

E exppM p8q

1 xM, M yp8qq 1. (1.73) 2 Consequently, the process t ÞÑ E pM qptq is a P-martingale relative to the filtration pFt qt¥0 , where Ft σ pM psq : 0 ¤ s ¤ tq, the σ-field generated by the variablesM psq, 0 ¤ s ¤ t. 1 (2) If lim inf ε log sup E e 2 p1εqM ptq 8, then again the equality in

Ó

ε 0

¥

t 0

(1.73) holds. So that the process t ÞÑ E pM qptq is a P-martingale relative to the filtration pFt qt¥0 determined by the local martingale t ÞÑ M ptq.

We mention the following corollaries. Corollary 1.3 is due to [Novikov (1973)]. Corollary 1.4 is a result by [Kazamaki (1978)]. In the corollaries 1.3 and 1.4, and in the lemmas 1.2 and 1.3 it is assumed that the process t ÞÑ M ptq is a continuous local martingale on the probability space pΩ, F , Pq. Moreover, the notation is as in Theorem 1.6.

Corollary 1.3. If E exp

1 hM, M i p8q 2

8, then

1 E exp M p8q hM, M i p8q 1, 2 and consequently the process t ÞÑ E pM qptq is a P-martingale relative to the filtration pFt qt¥0 , where Ft σ pM psq : 0 ¤ s ¤ tq, the σ-field generated by the variables M psq, 0 ¤ s ¤ t.

Proof. If E rE pM qp8qs 1, then E pM qptq E E pM qp8q Ft , and hence the process t ÞÑ E pM qptq is a P-martingale.

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The same argument shows the following corollary.

Corollary 1.4. If sup E exp

¥

t 0

1 M pt q 2

E exp M p8q

ÞÑ E pM qptq

Again the process t martingale.

8, then

1 hM, M i p8q 2

1.

is not just a local martingale, but a P-

The proof of Theorem 1.6 is based on Lemma 1.1 below. Doob’s martingale inequality for moments, which is also needed, reads as follows. Let k ÞÑ Yk be a discrete martingale on a probability space pΩ, F , Pq. If δ ¡ 0, then

E

max |Yk |

1 δ

¤¤

1 k n

¤

1

δ

1

δ

δ

For details see e.g. [Cox (1984)]. If δ should be replaced with:

E

sup |Yk |

¤ e e 1

¤¤

1 k n

E |Yn |1

δ

, n P N.

(1.74)

0, then the inequality in (1.74)

E |Yn | log

1

|Yn |

(1.75)

.

Similar inequalities hold for right-continuous local submartingales. In particular we have

1

δ

(1.76) ¤ δ E E pN qptq1 δ 0¤s¤t provided that the process t ÞÑ N ptq is a continuous local martingale. The E

sup E pN qpsq

1 δ

1

δ

inequality in (1.76) follows from (1.74) by taking a discretization of the form j ÞÑ N pj2n tq, 1 ¤ j ¤ 2n , and then letting n tend to 8. In addition, in general a stopping time argument (or localization argument) is required. In such a case we replace N ptq by N pmin pt, τm qq, where τm inf tt ¡ 0 : |N ptq| ¡ mu. Then first we let n tend to 8, and then m. Lemma 1.1. Let pΩ, F , Pq be a probability space, and let t ÞÑ N ptq be a continuous local martingale for which there exists ε0 ¡ 0 such that

E exp Then

sup E exp

¥

t 0

1 p1 2

1 p1 2

ε0 q N ptq

and E rE pN qp8qs 1.

ε0 q hN, N i p8q 2

¤E

exp

1 p1 2

8.

ε0 q hN, N i p8q 2

(1.77)

8, (1.78)

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Proof. The inequality in (1.78) follows from the Cauchy-Schwarz inequality. In fact we write

1 p1 ε0 q N ptq E exp 2

1 1 2 E exp 2 p1 ε0 q N ptq 4 p1 ε0 q hN, N i ptq

1 2 exp 4 p1 ε0 q hN, N i ptq

¤E

p1

exp

E

ε 0 q N pt q

exp

1 p1 2

1 p1 2

1{2

ε0 q hN, N i ptq 2

1{2

ε0 q hN, N i ptq 2

1{2

E rE pp1 ε0 q N q ptqs { E exp 1 p1 ε0 q2 hN, N i ptq 1 2

.

2

(1.79)

The process t ÞÑ N ptq is a continuous local martingale, and so is the process t ÞÑ p1 ε0 q N ptq. A stopping time argument, which in fact is a localization technique, then shows that E rE pp1

ε0 q N q ptqs ¤ 1.

(1.80)

A combination of (1.79), (1.80) and (1.77) then shows

E exp

1 p1 2

ε0 q N ptq

¤E

exp

1 p1 2

ε0 q hN, N i p8q 2

1{2

8. (1.81)

For brevity we write δ

1

ε20 , γ 2ε0

1

1 ε0

, p1

2ε0 , q

1 2ε2ε0 .

(1.82)

0

1 1 1. Then with the notation of (1.82) we have by (1.76) p q the following estimates:

Notice that

E

1

sup E pN qpsq

¤¤

0 s t

¤

1

δ δ

1

δ δ

1

1

δ

δ

δ

¤E

E E pN qptq1

¤¤

δ

0 s t

sup E pN qpsq1

E exp γ p1

δ

δ qN ptq

1 p1 2

δ q hN, N i ptq

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exp pp1 γ qp1

δ qN ptqq

(apply H¨ older’s inequality)

¤

1

δ

1

δ

δ

E exp pγ p1

pE rexp pp1 γ qp1 1

δ

1

δ

δ

1{p

1 δ qN pt q p p1 2

δ qqN ptqqsq

δ q hN, N i ptq

{

1 q

ε0 q N q ptqsq1{p E exp

pE rE pp1

1{q

1 p1 2

ε 0 q N pt q

(apply (1.80))

¤

1

δ

1

δ

δ

E exp

1 p1 2

1{q

ε 0 q N pt q

(1.83)

.


E

sup

¤¤

0 s t

p1 E pN qpsq ¤

and hence, since

ε0 q

2

E exp

ε20

sup E exp

¥

t 0

E

1 p1 2

ε0 q N ptq

ε0 q N ptq

2ε0 {p1

1 p1 2

ε0

q2 ,

(1.84)

from (1.84) we infer

sup E pN qpsq

¤ 8

0 s

8.

8

(1.85)

(1.86)

From (1.86) we obtain that the continuous local martingale t ÞÑ E pN qptq is in fact a martingale. By writing E pN qp8q limnÑ8 E pN q pτn q, where τn is a sequence of stopping times which increases to 8 P-almost surely, and which is such that E rE pN q pτn qs 1, n P N, we obtain by dominated convergence that E rE pN q p8qs 1. This completes the proof of Lemma 1.1. In order to prove Assertion (1) in Theorem 1.6 it will be convenient to formulate and prove the following weaker lemma first.

Lemma 1.2. If lim inf ε log E e 2 p1εqxM,M yp8q

Ó

ε 0

(1.73) holds.

1

0, then the equality in

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Proof. By assumption there exists a sequence of positive real numbers pεn qnPN with 0 εn 1 εn ¤ 1 such that limnÑ8 εn 0, and such that

lim εn log E exp

Ñ8

n

1 p1 εn q hM, M i p8q 2

In particular it follows that for every n 1 δn2 p1 εn q, for some δn ¡ 0, and

E exp

1 p1 εn 2

P

0.

N we have 1

1 q hM, M i p8q

8.

(1.87)

εn

1

(1.88)

An application of Lemma 1.1 with N ptq p1 εn q M ptq and using (1.87) yields the equality 1 E rE pp1 εn q M q p8qs. Consequently, we see 1 E rE pp1 εn q M q p8qs

E

exp

p 1 εn q

M p8q

1 hM, M i p8q 2

1 exp p1 εn q εn hM, M i p8q 2

εn 1 1εn ¤ pE rE pM qp8qsq E exp p1 εn q hM, M i p8q . (1.89) 2 In (1.89) we let n Ñ 8 to obtain 1 ¤ E rE pM qp8qs. Since the process t ÞÑ E pM qptq is a nonnegative local martingale we also have E rE pM qp8qs ¤ 1. As a consequence we see that E rE pM qp8qs 1. This completes the proof of Lemma 1.2. Similarly for the proof of (2) in Theorem 1.6 the following weaker lemma turns out to be convenient.

Lemma 1.3. If lim inf ε log sup E e 2 p1εqM ptq

Ó

1

¥

ε 0

t 0

(1.73) holds.

0, then the equality in

Proof. By assumption there exists a sequence of positive real numbers pεn qnPN with 0 εn 1 such that limnÑ8 εn 0, and such that

lim

Ñ8

n

εn log E sup exp 2 εn t¥0

1 2

1

εn 2 εn

M pt q

0.

(1.90)

In particular it follows that for every n P N we have

sup E exp

¥

t 0

1 2

1

εn 2 εn

M ptq

8.

(1.91)

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An application of Lemma 1.1 with N ptq p1 εn q M ptq and using (1.91) yields the equality 1 E rE pp1 εn q M q p8qs. Consequently, we see 1 E rE pp1 εn q pM q p8qqs

E

p1 εnq M p8q exp pp1 εn q εn M p8qqs 2

exp

1 hM, M i p8q 2

2 ¤ pE rE pM qp8qsqp1εn q E exp 1 εn M p8q

¤ pE rE pM qp8qsqp1ε

n

2 εn

εn p2εn q

q2 E exp 1 1 εn

2

2 εn

M p8q

εn p2εn q

εn p2εn q

2 ¤ pE rE pM qp8qsqp1εn q sup E exp 12 1 2 εnε M ptq t¥0 n

. (1.92)

In the final step in (1.92) we applied Fatou’s lemma. In (1.92) we let n Ñ 8 to obtain 1 ¤ E rE pM qp8qs, where we used (1.90). Since the process t ÞÑ E pN qptq is a nonnegative local martingale we also have E rE pM qp8qs ¤ 1. As a consequence we see that E rE pM qp8qs 1. This completes the proof of Lemma 1.3.

[Proof of Theorem 1.6.] Assertion (1). Let pεn qnPN p0, 1q such Ó 0, as n Ñ 8, and such that

1 C1 : sup εn log E exp p1 εn q hM, M i p8q 8. (1.93) 2 nPN As in the proof of Lemma 1.2 we have with 0 T 8 fixed Proof. that εn

1 E rE pp1 εn q M q p8qs

E

exp

exp

p1 ε n q

M p8q

1 hM, M i p8q 2

1 p1 εn q εn hM, M i p8q , hM, M i p8q ¤ T 2

1 E exp p1 εn q M p8q hM, M i p8q 2

1 exp p 1 εn q εn hM, M i p8q , hM, M i p8q ¡ T 2

¤ pE rE pM qp8qsq1ε ε

1 E exp 2 p1 εn q hM, M i p8q , hM, M i p8q ¤ T n

n

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pE rE pM qp8q, hM, M i p8q ¡ T sq1ε

ε E exp 12 p1 εn q hM, M i p8q n

n

¤ pE rE pM qp8qsq1ε exp 12 p1 εn q εn T (1.94) pE rE pM qp8q, hM, M i p8q ¡ T sq1ε exp pC1 q . In (1.94) we let n tend to 8 to obtain 1 ¤ E rE pM qp8qs E rE pM qp8q, hM, M i p8q ¡ T s exp pC1 q . (1.95) In (1.95) we let T Ñ 8 and deduce 1 ¤ E rE pM qp8qs E rE pM qp8q, hM, M i p8q 8s exp pC1 q . (1.96) Since E rE pM qp8qs ¤ 1, and hM, M i p8q 8 P-almost surely, (1.96) implies 1 E rE pM qp8qs. This completes the proof of Assertion (1). Assertion (2). Let pεn qnPN p0, 1q be such that εn Ó 0, as n Ñ 8, and n

n

such that

C2 : sup εn p2 εn q log sup E exp

¥

P

t 0

n N

1 εn M pt q 2 εn

8.

(1.97)

As in the proof of Lemma 1.1 (see also Lemma 1.3) we have with 0 T fixed 1 E rE pp1 εn q M q p8qs

E

p1 εnq2 M p8q 12 hM, M i p8q exp pp1 εn q εn M p8qq , M p8q ¤ T s

1 E exp p1 εn q2 M p8q hM, M i p8q 2 exp pp1 εn q εn M p8qq , M p8q ¡ T s ¤ pE rE pM qp8qsqp1ε q

2ε ε εn E exp 12 M p8q , M p8q ¤ T εn pE rE pM qp8q, M p8q ¡ T sqp1ε q

2ε ε 1 εn E exp 2 ε M p8q n p 1ε q ¤ pE rE pM qp8qsq exp pp1 εn q εn T q exp

2

n

n

2

n

n

2

n

2 n

2 n

8

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pE rE pM qp8q, M p8q ¡ T sqp1ε q exp pC2 q . (1.98) In (1.98) we let n tend to 8 to obtain 1 ¤ E rE pM qp8qs E rE pM qp8q, M p8q ¡ T s exp pC2 q . (1.99) In (1.99) we let T Ñ 8 and deduce 1 ¤ E rE pM qp8qs E rE pM qp8q, M p8q 8s exp pC2 q . (1.100) Since E rE pM qp8qs ¤ 1, and M p8q 8 P-almost surely, (1.100) implies 1 E rE pM qp8qs. This completes the proof of Assertion (2). 2

n

Altogether this completes the proof of Theorem 1.6.

In [Krylov (2002)] Krylov shows by way of an example that his results are really stronger than those of Novikov [Novikov (1973)] and Kazamaki [Kazamaki (1978)]. Definition 1.3. The equation in (1.36) is said to have unique pathwise solutions, if for any Brownian motion tpB ptq : t ¥ 0q , pΩ, F , Pqu and any pair of adapted processes tX ptq : t ¥ 0u and tX 1 ptq : t ¥ 0u for which X ptq x X 1 pt q x

»t 0 »t 0


σ s, X 1 psq dB psq

»t 0

b ps, X psqq ds and

»t 0

b s, X 1 psq ds

(1.101) (1.102)

it follows that X ptq X 1 ptq P-almost surely for all t ¥ 0. Pathwise solutions are also called strong solutions. A version of the following result (Itˆ o’s theorem) can be found in many books on stochastic differential equations: see e.g. [Ikeda and Watanabe (1998); Øksendal and Reikvam (1998); Revuz and Yor (1999)]. Theorem 1.7. Let σj,k ps, xq and bj ps, xq, 1 ¤ j, k functions defined on r0, 8q Rd such that for all t constant K ptq with the property that d ¸

j,k 1

|σj,k ps, xq σj,k ps, yq|2

d ¸

¤ ¡

d be continuous 0 there exists a

|bj ps, xq bj ps, yq|2 ¤ K ptq |x y|2

j 1

(1.103) for all 0 ¤ s ¤ t, and all x, y P Rd . Fix x P Rd , and let pΩ, F , Pq be a probability space with a filtration pFt qt¥0 . Moreover, let tB ptq : t ¥ 0u be

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a Brownian motion on the filtered probability space pΩ, Ft , Pq. Then there exists an Rd -valued process tX ptq : t ¥ 0u such that X pt q x

»t 0


»t 0

b ps, X psqq ds, t ¥ 0.

This process is pathwise unique in the sense of Definition 1.3. The following theorem shows that stochastic differential equations having unique strong solutions also possess unique weak solutions. Theorem 1.8. Let the vector and matrix functions bps, xq and σ ps, xq be as in Theorem 1.4. Fix x P Rd . Suppose that the stochastic (integral) equation X ptq x

»t 0


»t 0

b ps, X psqq ds

(1.104)

possesses unique pathwise solutions. Then this equation has unique weak solutions. In the proof we employ a certain coupling argument. In fact weak solutions to the equations in (1.101) and (1.102) are recast as two pathwise solutions on the same probability space. Proof.

Let

tpB ptq : t ¥ 0q , pΩ, F , Pqu

and

B 1 pt q : t ¥ 0 , Ω 1 , F 1 , P 1

(

be two Brownian motions. Let tX ptq : t ¥ 0u be an adapted process which satisfies (1.101), and let tX 1 ptq : t ¥ 0u be an adapted process which satisfies (1.102). Suppose 0 ¤ t1 t2 tn 8, and let C1 , . . . , Cn be Borel subsets of Rd . We have to prove the equality:

P1 X 1 pt1 q P C1 , . . . , X 1 ptn q P Cn

P rX pt1 q P C1 , . . . , X ptn q P Cn s .

(1.105) Let Ω0 C r0, 8q, R be the space of R -valued continuous functions defined on r0, 8q. This space is equipped with its standard filtration, which originates from the coordinate mappings: ω ÞÑ ω ptq, t ¥ 0, and its Borel field. Define the Rd -valued processes Y ptq, Y 1 ptq, and B0 ptq on Ω Ω1 Ω0 as follows: d

$ ' ' &Y t

p q pω, ω1, ω0 q ωptq, Y 1 ptq pω, ω 1 , ω0 q ω 1 ptq, ' ' %B ptq pω, ω 1 , ω q ω ptq, 0 0 0

d

pω, ω1, ω0 q P Ω Ω1 Ω0 ; pω, ω1, ω0 q P Ω Ω1 Ω0 ; pω, ω1, ω0 q P Ω Ω1 Ω0 .

(1.106)

In fact we use the notation Ω0 instead of Ω to distinguish the third component of the space Ω Ω1 Ω0 from the first. The role of the first

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two components are very similar; the third component is related to the driving Brownian motion tB0 ptq : t ¥ 0u. The processes Y ptq and Y 1 ptq are going to be the pathwise solutions on the same probability space rx : see (1.116) and (1.117) below. On Ω0 the Ω Ω1 Ω0 , F b F 1 b F 0 , P probability measure P0 is determined by prescribing its finite-dimensional distributions by the equality: P0 rpω0 pt1 q , . . . , ω0 ptn qq P Ds P rpB pt1 q , . . . , B ptn qq P Ds

(1.107) P1 B 1 pt1 q , . . . , B 1 ptn q P D . n Here 0 ¤ t1 tn 8, and D is a Borel subset of Rd . Let C d n 1 be another Borel subset of R . On Ω Ω0 and Ω Ω0 we define the probability measures Qx respectively Q1x by the equalities: Qx rpω pt1 q , . . . , ω ptn qq P C, pω0 pt1 q , . . . , ω0 ptn qq P Ds

P rp B pt1 q , . . . , B ptn qq P D, pB pt1 q , . . . , B ptn qq P Ds P1 pB pt1 q , . . . , B ptn qq P D, B 1 pt1 q , . . . , B 1 ptn q P D . Notice that P0 rA0 s 0 implies Qx rΩ A0 s Q1x rΩ1 A0 s 0.

(1.108)

Consequently, by Radon-Nikodym’s theorem there are (measurable) functions Qx , and Q1x : F such that Qx rA A0 s

Q1x A1 A0

» A0

»

A0

Ω0 Ñ r0, 1s

Qx pA, ω0 q P0 pω0 q , A P F , A0 Q1x pA, ω0 q P0 pω0 q , A1

P F 1,

P F 0,

A0

P F 0.

and (1.109)

Here Qx pΩ, ω0 q Q1x pΩ1 , ω0 q 1 for all ω0 ω0

ÞÑ Qx pA, ω0 q ,

and

P Ω0 . Moreover, the functions ω0 ÞÑ Q1x pA, ω0 q (1.110)

are measurable relative to the P0 -completion of F . Finally, we define the measure

b F 1 b F 0 Ñ r0, 1s by r x A A1 A0 Q Qx pA, ω0 q Q1x A1 , ω0 dP0 pω0 q . rx : F Q

»

(1.111)

A0

Here A, A1 , and A0 belong to F , F 1 , and F 0 respectively. First we prove that the process tB0 ptq : t ¥ 0u is a Brownian motion with respect to the

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r x . From the proof of Theorem 1.1 (L´ evy’s theorem) it follows measure Q that it suffices to show that the following equality holds:

r x exp pi hξ, B0 ptq B0 psqiq Fs b F 1 b F 0 E s s

exp 12 |ξ|2 pt sq , t ¡ s ¥ 0, ξ

P Rd .

(1.112)

In order to prove (1.112) we pick A, A1 , and A0 in Fs , Fs1 , and Fs0 respectively. Then by (1.111) we get r x rexp pi hξ, B0 ptq B0 psqiq 1AA1 A s E 0 »

A A1 A0

»

A0

rx exp pi hξ, B0 ptq B0 psqiq dQ

exp pi hξ, ω0 ptq ω0 psqiq Qx pA, ω0 q Q1x A1 , ω0 dP0 pω0 q . (1.113)

The process pω0 , tq ÞÑ ω0 ptq is a Brownian motion relative to P0 , and the events A, A1 , and A0 belong to Fs , Fs1 , and Fs0 respectively, and hence B0 ptq B0 psq is P0 -independent of A A1 A0 . Therefore (1.113) implies r x rexp pi hξ, B0 ptq B0 psqiq 1AA1 A s E 0

»

A0

Qx pA, ω0 q Q1x A1 , ω0 dP0 pω0 q

rx A Q

A1 A0 exp

»

exp pi hξ, ω0 ptq ω0 psqiq dP0 pω0 q

12 |ξ|2 pt sq .

(1.114)

The equality in (1.112) is a consequence of (1.114). Since, by definition (see (1.107)) P0 rpω0 pt1 q , . . . , ω0 ptn qq P C s P rpB pt1 q , . . . , B ptn qq P C s d n

(1.115)

for 0 ¤ t1 tn 8, C Borel subset of R , and since the process tB ptq : t ¥ 0u is Brownian motion relative to P, the same is true for the process pω0 , tq ÞÑ ω0 ptq relative to P0 . Next we compute the quantity: r x Y t E » ω t » ω t » X t

p qx

»t

p qx

p qx

0

σ ps, Y psqq dB0 psq

»t 0 »t

p qx

0

σ ps, ω psqq dω0 psq σ ps, ω psqq dω0 psq

»t 0

b s, Y s ds 0 »t r dω, dω 1 , dω0 b s, ω s ds Q 0 »t b s, ω s ds Q dω, dω0 0 »t b s, X s ds dP 0. (1.116)


»t

0

p

p qq

p

p qq

p

p qq

p

p qq

p

q

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Similarly we have

r x Y 1 ptq x E

»t 0

σ s, Y 1 psq dB0 psq

»t 0

b s, Y 1 psq ds

0.

(1.117)

r xFrom (1.116) and (1.117) we infer that the following equalities hold Q almost surely:

Y ptq x Y 1 ptq x

»t 0 »t 0

»t

σ ps, Y psqq dB0 psq

0

b ps, Y psqq ds

»t

σ s, Y 1 psq dB0 psq

0

and

(1.118)

b s, Y 1 psq ds.

(1.119)

r x. Moreover, the process tB0 ptq : t ¥ 0u is a Brownian motion relative to Q From the pathwise uniqueness and the equalities (1.118) and (1.119) we see r x -almost surely, that, Q

Y ptq Y 1 ptq, Let 0 ¤ 0 t1 tn (1.120) it follows that

t ¥ 0.

(1.120)

8, and let C be a Borel subset of

r x rpY pt1 q , . . . , Y ptn qq P C s Q rx Q

Y 1 pt1 q , . . . , Y 1 ptn q

R

PC

d n

.

. From

(1.121)

r x show that the following Using (1.121) and the definition of the measure Q identities are self-explanatory: r x rpY pt1 q , . . . , Y ptn qq P C s Q

Qx rpω pt1 q , . . . , ω ptn qq P C, pω0 pt1 q , . . . , ω0 ptn qq P Ω0 s P rpX pt1 q , . . . , X ptn qq P C s .

(1.122)

r x is given in (1.111). Similarly we conclude The definition of the measure Q r x rpY pt1 q , . . . , Y ptn qq P C s P Q

PC

PC

X 1 pt1 q , . . . , X 1 ptn q

.

(1.123)

.

(1.124)

From (1.122), (1.123), and (1.121) we obtain P rpX pt1 q , . . . , X ptn qq P C s P

X 1 pt 1 q , . . . , X 1 p t n q

The equality in (1.124) implies that the finite-dimensional distributions of the solution in equation in (1.101) are the same as those of the solution of equation (1.102). So that stochastic differential equations with unique pathwise solutions also possess unique weak (or distributional) solutions. This concludes the proof of Theorem 1.8.

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The following result is often very useful. Theorem 1.9. Let M psq, t ¤ s ¤ T , be a continuous local L2 -martingale taking values in Rk . Put M psq supt¤τ ¤s |M pτ q|. Fix 0 p 8. The Burkholder-Davis-Gundy inequality says that there exist universal finite and strictly positive constants cp and Cp such that

pM psqq2p ¤ E rhM pq, M pqip psqs ¤ Cp E pM psqq2p

cp E

, t ¤ s ¤ T. (1.125)

? 1

If p 1, then cp 14 , C1 1, and if p 12 , then cp 8 2, Cp 2. For more details and a proof using stochastic calculus see e.g. [Ikeda and Watanabe (1998)]. A proof based on good λ-inequalities can be found in [Rogers and Williams (2000)] or [Durrett (1984, 1996)]. Another result we need is the following one on tightness. Theorem 1.10. Let tX n ptq : t ¥ 0u be a sequence of continuous Rd -valued processes satisfying the following the following two conditions: (a) limN Ñ8 supnPN P r|X n p0q| ¡ N s 0; (b) For every T ¡ 0 and ε ¡ 0 the following equality holds:

lim sup P

Ó P

h 0n N

|X nptq X n psq| ¡ ε 0. s,tPr0,T s. |ts|¤h max

p F, p P p , n2 , !a probability space Ω, ) p n ptq : t ¥ 0 , k P N, and d-dimensional continuous stochastic processes X ! ) p ptq : t ¥ 0 defined on this probability space with the following properX

Then there exist a subsequence n1

k

ties:

!

p nk ptq : t ¥ 0 p (1) The finite-dimensional P-distributions of the process X

)

coincide with the finite-dimensional P-distributions of tX nk ptq : t ¥ 0u for k 1, 2, . . .. ! ) p nk ptq : t ¥ 0 (2) The sequence X converges to the process !

pq

p t : t X

¥0

P

)

k N

in the sense that

p ω P p

Here d w, w1

8 ¸

n 1

P

p : lim d X p nk ω p ω Ω p ,X p k

p q

Ñ8

p q 0 1.

2n min 1, max wpsq w1 psq , w, w1

¤¤

0 s n

P C r0, 8q, Rd

.

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Moreover, if every finite-dimensional distribution of the image measures PXn converges as n Ñ 8, then there is no need to take subsequences: the sequence nk k will do. The conditions in Theorem 1.10 can be verified by appealing to the results in the following theorem. Theorem 1.11. Let pX n qnPN be a sequence of d-dimensional processes satisfying the following two conditions: (a) There exist strictly positive finite constants M and γ such that E r|X n p0q|

γ

s ¤ M 8,

n P N.

(b) There exist strictly positive finite constants α, β, Mk , k 1, 2, . . . , such that for all n P N and for all s, t P r0, k s the inequality E r|X n ptq X n psq|

α

holds for k 1, 2, . . ..

s ¤ Mk |t s|1

β

Then the sequence tX n ptq : t ¥ 0unPN satisfies the conditions (a) and (b) of Theorem 1.10. As a corollary we have the following result. Corollary 1.5. Let tX ptq : t ¥ 0u be a family of d-dimensional random variables such that for some finite strictly positive constants α, β, and Mk , k 1, 2, . . ., the following inequalities are valid: E r|X ptq X psq|α s ¤ Mk |t s|1

P r0, ks, k 1, 2, . . . . ! ) p ptq : t ¥ 0 such Then there exists a d-dimensional continuous process X p ptq P-almost surely for all t ¥ 0. that X ptq X β

, s,

We conclude this section with a result of Skorohod [Skorokhod (1965)]. Theorem 1.12. Let σj,k ps, xq, 1 ¤ j, k ¤ d, and bj ps, xq, 1 ¤ j ¤ d, be be bounded continuous real-valued functions on r0, 8q Rd, and let x P Rd. Then there exists a probability measure P on the Borel field of C r0, 8q, Rd and a Brownian motion relative to this measure P such that the process defined tX ptq : t ¥ 0u defined by X ptqpω q ω ptq, t ¥ 0, ω P C r0, 8q, Rd , satisfies the equality X ptq x

»t 0


»t 0

b ps, X psqq ds, P-almost surely. (1.126)

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41

Here σ ps, y q pσj,k ps, y qqj,k1 , and bps, y q is the column vector with entries bj ps, y q, 1 ¤ j ¤ d. d

Proof. [Outline of a proof of Theorem 1.12.] Define the differential operators Lpsq, s ¥ 0, by Lpsqf psq

B2 f pxq 1 ¸ ai,j ps, xq 2 i,j 1 Bxj Bxk

d ¸

d

bj ps, xq

i 1

Bf pxq Bxi

(1.127)

where the function f is twice continuously differentiable, and where the coefficients ai,j ps, xq are given by ai,j ps, xq

d ¸

σi,k ps, xqσj,k ps, xq pσ ps, xqσ ps, xqqi,j .

k 1

Fix x P R . From assertion (iii) in Theorem 1.3 we see that it suffices that there exists a probability measure P on the space W C r0, 8q, Rd and a function X P W such that P rX p0q xs 1, and such that for every 2 f P C00 Rd (i.e. f is twice continuously differentiable and has compact support in Rd ) the process d

f pX ptqq f pX p0qq

»t 0

Lpsqf pX psqq ds

is a P-martingale. On W we take the filtration generated by the coordinate functions: ω ÞÑ ω ptq, ω P W , t ¥ 0. Let pΩ1 , Ft1 , P1 qt¥0 be a filtered probability space, and let tB 1 ptq : t ¥ 0u be a Brownian motion with respect to P1 . Define for ℓ P N, the function ϕℓ : r0, 8q Ñ r0, 8q by ϕℓ ptq

8 ¸

k2ℓ 1rk2ℓ ,pk

k 0

and put σ ℓ pt, y q σ ϕℓ ptq, y , bℓ pt, y q Y ℓ ptq, ℓ P N, by the equality: Y ℓ ptq x

8 ¸

k 0

b k2ℓ , Y ℓ min t, k2ℓ

x x

»t 0

0

ℓ

σ ℓ τ, Y ℓ pτ q dB 1 pτ q

»t 0

q,

ϕℓ ptq, y . Define the processes

B 1 ptq B 1 min t, k2ℓ

t min t, k2ℓ

»t

σ ϕ pτ q, Y pτ q dB 1 pτ q ℓ

»t

q

b

σ k2ℓ , Y ℓ min t, k2ℓ

1 2ℓ

0

(

b ϕℓ pτ q, Y ℓ pτ q dτ

bℓ τ, Y ℓ pτ q dτ.

(1.128)

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Notice that the equalities in (1.128) yield a genuine definition of the process t ÞÑ Y ℓ ptq, t ¥ 0, because (1.128) can be considered as a recursive definition of the process Y ℓ ptq, k2ℓ ¤ t pk 1q2ℓ where recursion is done with respect to k, k 0, 1, , . . .. In principle we want to take the limit in (1.128) for ℓ Ñ 8, and obtain an equality of the form: »t

Y ptq x

0


»t 0

b pτ, Y pτ qq dτ.

(1.129)

However, this cannot be done directly. We need some results on moment inequalities for continuous martingales, like the Burkholder-DavisGundy inequality (see Theorem 1.9), and on weak convergence of continuous adapted stochastic processes, like the Skorohod-Dudley-Wichura representation theorem (see Theorem 1.5), which we essentially speaking used in Theorem 1.10. Using moment inequalities for martingale it ℓ is shown that the sequence Y ℓPN converges weakly. By an application of the Skorohod-Dudley-Wichura representation theorem we may assume that, possibly after changing the filtered probability space that the sequence Y ℓ convergesalmost surely to some random variable Y which is defined on C r0, 8q, Rd . Then Y can be considered as a weak solution to the equation in (1.126). From the equalities in (1.128) it follows that Y ptq Y psq

»t

ℓ

ℓ

σ

τ, Y pτ q

ℓ

ℓ

s

dB 1 pτ q

»t s

bℓ τ, Y ℓ pτ q dτ, 0 ¤ s ¤ t. (1.130)

So that we have ℓ Y t

p q Y ℓ psq2m

¤ ¤

» 2m t ℓ ℓ 1 2 σ τ, Y τ dB τ s » 2m t ℓ m ℓ 1 4 σ τ, Y τ dB τ 2m

s

pq

pq

pq

pq

2m » t ℓ ℓ b τ, Y τ dτ s

pq

pt sq2m }b}2m 8

(1.131)

.

From the Burkholder-Davis-Gundy inequality (1.125) in Theorem 1.9 with p m and (1.131) we obtain

2m E Y ℓ ptq Y ℓ psq

¤2

2m

» 2m t ℓ ℓ 1 E σ τ, Y τ dB τ s

pq

pq

pt s q

2m

d ¸

i 1

}bi}8 2

m

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¤ 4mdm1 Cm E 4

m

pt sq

2m

¤ 4 pt sq m

m

d »t ¸

i 1 s d ¸

i 1

aℓi,i τ, Y ℓ pτ q dτ

}bi }8

43

m

m

2

d Cm

m 1

d ¸

i 1

}ai,i }8

m

pt s q

m

d ¸

i 1

°d

}bi }8

m

2

. (1.132)

Here, of course, ps, yq ps, yq ps, yq, and the covariation process of the martingale (or (more precise the martingale after time s) ³t ℓ ℓ 1 s σ τ, Y pτ q dB pτ q : t ¥ s is given by the matrix process: ℓ k 1 σi,k

aℓi,j

" » t s

ℓ σj,k

aℓi,j τ, Y ℓ pτ q dτ

d

*

i,j 1

: t¥s .

Hence we may apply Theorem 1.11 (with α 4, β 1,( which corresponds to m 2) to infer that the sequence Y ℓ ptq : t ¥ 0 , ℓ 1, 2, . . . satisfies conditions (a) and (b) of Theorem 1.10. From Theorem 1.10 it fol p together with processes p F p, P lows that there exists a probability space Ω, ( ( Yp nk ptq : t ¥ 0 , k P N, and Yp ptq : t ¥ 0 defined on this probability space with the following properties: p of the process Yp nk ptq : t ¥ (1) The finite-dimensional P-distributions ( 0 coincides with the finite-dimensional P1 -distributions of the process tY nk ptq : t ¥ 0u for k 1, 2, . . ..( (2) The sequence Yp nk ptq : t ¥ 0 kPN converges on compact subsets of ( r0, 8q to the process Yp ptq : t ¥ 0 in the sense that

p ω P p

P Ωp : klim d Ñ8

p pω Yp nk pω pq , Y pq

0 1.

Next let f be a boundedC 2 -function on Rd , let g be bounded continuous n functions defined on Rd , and let 0 ¤ s1 s2 sn ¤ s t. Then we have p E

f Yp ptq

kÑ8

p lim E

g

f

p nk

f Y

Yp psq

ptq

»t s

Lpτ qf Yp pτ q dτ

pq

f Yp nk s

Yp nk ps1 q , . . . , Yp nk psn q

»t s

g Yp ps1 q , . . . , Yp psn q

Lpτnk q f Yp nk pτ q dτ

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p of the process Yp nk coincide with (the finite-dimensional P-distributions nk 1 finite-dimensional P -distributions of Y , k 1, 2, . . ..)

klim E1 Ñ8

f pY nk ptqq f pY nk psqq

g pY n ps1 q , . . . , Y n psn qq k

»t s

Lpτnk q f pY nk pτ qq dτ

k

0.

(1.133) (

The final step in (1.133) follows because the process Y ℓ ptq : t ¥ 0 satisfies the stochastic differential equation in (1.128). From Theorem 1.3 we then infer that the process

t ÞÑ f Y ℓ ptq

f

Y ℓ p0q

»t 0

Lℓ pτ qf Y ℓ pτ q dτ, t ¥ s,

pℓq

is a martingale after time s. Here the operators Lτ , ℓ defined by Lℓ pτ qf psq

B2 f pxq 1 ¸ ℓ ai,j ps, xq 2 i,j 1 Bxj Bxk

d ¸

d

bℓj ps, xq

i 1

P N, τ ¥ 0, are

Bf pxq. Bxi

(1.134)

As a consequence of the above observations we see that the processes "

f Yp ptq

f

Yp p0q

»t 0

*

Lpτ qf Yp pτ q dτ : t ¥ 0 , f

P Cb2

Rd ,

(1.135) p are local P-martingales. Finally, we define the probability P on the space W C r0, 8q, Rd by the equality p P rpX pt1 q , . . . , X ptn qq P B s P

Yp pt1 q , . . . , Yp ptn q

PB

,

n

(1.136)

where B is a Borel subset of Rd , and where ¤ t1 t2 tn From the properties (1.135) and (1.136) it follows that the processes "

f pX ptqq f pX p0qq

»t 0

*

Lp τ qf pX pτ qq dτ : t ¥ 0 , f

P Cb2

8.

Rd ,

(1.137) are local P-martingales, and the standard filtration on W . An application of item (iii) in Theorem 1.3 then yields the desired result. This completes an outline of the proof of Theorem 1.12.

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1.2

Stochastic differential dimensional setting

equations

in

the

45

infinite-

In order to have a strong motivation for writing the present book we need the Hilbert space version of §1.1. In other words we need to prove the results of §1.1 for cylindrical Brownian motion. These stochastic differential equations are closely related to Partial Differential Equations (PSDE’s): see e.g. [Cerrai (2001)], Seidler [Seidler (1997)], [Maslowski and Seidler (1998)], [Goldys and van Neerven (2003)], [Goldys and Maslowski (2001)], [Da Prato and Zabczyk (1992a, 1996)]. In this infinite-dimensional setting we put Qpτ, tqf pxq Eτ,x rf pX ptqqs E rf pX τ,x ptqqs

(1.138)

where X ptq is a unique weak solution to the equation (compare with (1.23)) X ptq x

»t τ

b ps, X psqq ds

»t τ

σ ps, X psqq dWH psq, t ¥ τ.

(1.139)

If we have unique strong solutions, then we usually write X τ,x ptq, t ¥ τ , instead of X ptq. This means in case we have unique weak solutions the uniqueness is reflected in the measure Pτ,x , and if the paths are unique the uniqueness is reflected in the path, and the measure is directly related to cylindrical Brownian motion in the real Hilbert space H. In (1.139) the process t ÞÑ WH ptq stands for cylindrical Brownian motion in a given Hilbert space pH, }}H q, which is also called the Cameron-Martin Hilbert space. This Hilbert space is supposed to have a countable orthogonal basis. Definition 1.4. Formally a cylindrical Brownian motion is a process of the ° form WH ptq 8 j 1 WH,j ptqej , where the sequence pej qj PN is an orthonormal basis in H, and where each process t ÞÑ WH,j ptq is a one-dimensional standard Brownian motion. The processes t ÞÑ WH,j1 ptq and t ÞÑ WH,j2 ptq, j1 j2 , are P-independent. The following result contains a Hilbert space version of Theorem 1.2. As indicated above Theorem 1.2 is a d-dimensional version of Corollary 1.1, which is Lévy’s theorem. The following theorem gives a characterization of cylindrical Brownian motion. Its proof follows that of Theorem 1.2. Let E be a Banach space and let E its topological dual. In the sequel E-valued process M will be called a (local) martingale if it is a (local) martingale in the weak sense, i.e. if for every x P E the process t ÞÑ hM ptq, x i is a (local) martingale.

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Theorem 1.13. Let H be an Hilbert space with a complete orthonormal system pej qj PN , and let the process t ÞÑ M ptq be an E-valued local martingale with covariation process given by hhM pq, x i , hM pq, y ii ptq

»t 0

hΦpsqx , y iH ds,

(1.140)

where x and y P E , and s ÞÑ Φpsq is an adapted process which attains its values in the cone of positive linear mappings from E to E. Let the operator valued adapted process χpsq : E Ñ H be such that ³t χpsqΦpsqχpsq IH . Put WH ptq 0 χpsq dM psq. This integral should be interpreted in Itˆ o sense. Then the process t ÞÑ WH ptq is cylindrical Brownian motion. Put³ Ψptq Φptqχptq , and suppose that Ψptqχptq IE . t Then M ptq M p0q 0 Ψpsq dWH psq. A mapping Φ : E Proof.

Ñ E is called positive if hΦx , x i ¥ 0 for all x P E .

First we calculate the covariation (process) of the processes t ÞÑ hWH ptq, ej iH

and t ÞÑ hWH ptq, ek iH .

This covariation process is given by » » χpsqdM psq, ej , χpsqdM psq, ej pt q 0

»t 0 »t 0

H

0

H

hΦpsqχpsq ej , χpsq ek i ds

hχpsqΦpsqχpsq ej , ek i ds tδj,k .

(1.141)

The finite-dimensional version of Lévy’s theorem (see Theorem 1.2) then shows that the process t ÞÑ WH ptq is cylindrical Brownian motion. In addition we have »t 0

Ψpsq dWH psq

»t 0

Φpsqχpsq χpsq dM psq


»t 0

dM psq M ptq M p0q. (1.142)

The mapping ps, xq ÞÑ σ ps, xq is a mapping from the Hilbert space H to the real separable Banach space pE, }}E q. The function ps, xq ÞÑ bps, xq attains its values in E. Suppose that for every t P r0, T s the function x ÞÑ f pt, xq is twice continuously differentiable. Then we put Lptqf pt, xq hbpt, xq, Df pt, xqi

1 Tr σ pt, xq D2 f pt, xqσ pt, xq . (1.143) 2

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Definition 1.5. Let f : E Ñ C be a function. The function f is called a C 1 -function, if for every x, y P E the expression hy, Df pxqi which is given by hy, Df pxqi lim

Ñ0

s

f px

sy q f pxq , x P E, s

(1.144)

exists and if the mapping px, y q ÞÑ hy, Df pxqi, px, y q P E E, is continuous. The derivative Df pxq can be considered as an element of E . The function f is called a C 2 -function if for every triple px, y1 , y2 q P E E E the limit

f px y1 , D2 f pxqy2 lim

Ñ0

s,t

sy1

ty2 q f px

ty2 q f px st

sy1 q

f pxq

,

(1.145)

exists, and if the mapping px, y1 , y2 q ÞÑ y1 , D2 f pxqy2 , px, y1 , y2 q P E E E, is continuous. If f : E Ñ C be a C 2 -function, then D2 f pxq can be interpreted as a mapping from E to E . More precisely, the equality in (1.145) defines such a mapping. For C 2 -functions f it makes sense to write σ ps, xq D2 f pxqσ ps, xq. For ps, xq P r0, T s E fixed, and f twice continuously differentiable (at x), this mapping is a linear operator from H to H. A function f : E Ñ C is called a cylindrical function if there exists a n finite number of elements px1 , . . . , xn q P pE q and a function F : Cn Ñ C such that f pxq F phx, x1 i , . . . , hx, xn iq , x P E.

(1.146)

If everywhere C is replaced with R, then f is called a real cylindrical function. The derivatives in (1.144) and (1.145) are called Gâteaux derivatives of the function f , because the derivatives are taken in the weak sense. As notation we use f P C 1 pE q for C 1 -functions f defined on E, and f P C 2 pE q for C 2 -functions f defined on E. The following proposition is left as an exercise for the reader. Proposition 1.2. Let f be a real cylindrical function as in (1.146). If the function F is a C 1 -function defined on Rn , then f is a C 1 -function defined on E, and hy, Df pxqi

n ¸

j 1

Dj F phx, x1 i , . . . , hx, xn iq y, xj , x, y

P E.

(1.147)

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Here Dj F pξ q

BFBξpξq , ξ P Rn .

If the function F is a C 2 -function defined

j

on Rn , then f given (1.146) is a C 2 -function defined on E, and

y1 , D2 f pxqy2

n ¸

k1 ,k2 1

Dk1 Dk2 F phx, x1 i , . . . , hx, xn iq y1 , xk1 y2 , xk2

(1.148)

where px, y1 , y2 q P E E E.

In Theorem 1.14 below we assume that the mappings σ ps, xq : H Ñ E are invertible in the sense that their null spaces are t0u or that their ranges are dense in E. Moreover, we assume that there exists a family of operators χps, xq : E Ñ H and a complete orthonormal system pej : j P Nq in H such that hσ ps, xq χps, xq ej1 , σ ps, xq χps, xq ej2 iH

In addition, suppose that χps, xqy we see that

δj ,j , 1

2

j1 , j2

P N.

(1.149)

0, y P E, implies y 0. From (1.149)

χps, xqσ ps, xqσ ps, xq χps, xq

IH .

(1.150)

From (1.150) we get χps, xqσ ps, xqσ ps, xq χps, xq χps, xq χps, xq,

(1.151)

σ ps, xqσ ps, xq χps, xq χps, xq IE .

(1.152)

and hence

From (1.152) we see that σ ps, xqσ ps, xq χps, xq χps, xqσ ps, xq

σps, xq.

(1.153)

Since the null space of σ ps, xq is t0u or its range is dense in E (1.153) implies: σ ps, xq χps, xq χps, xqσ ps, xq

IE .

(1.154)

Instead of the equalities in (1.149) through (1.154) the only property of the function χps, xq which is really required is the following: σ ps, xq χps, xq χps, xqσ ps, xqσ ps, xq

σps, xq .

(1.155)

In fact on the range of σ ps, xq we can construct the operator χps, xq as follows. Let ER ps, xq be the orthogonal projection on the closure of the range of the operator σ ps, xq and define χps, xqσ ps, xqh ER ps, xqh, h P H. It is believed that this construction suffices to complete the proof of

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49

the implication (ii) ùñ (iii) in Theorem 1.14. The following theorem is the infinite-dimensional analog of Theorem 1.3. Theorem 1.14. Let pΩ, F , Pq be a probability space with a right-continuous filtration pFt qt¥τ . Let tX ptq : t ¥ τ u be an E-valued continuous adapted process. Then the following assertions are equivalent:

P C 2 pE q the process »t t ÞÑ f pX ptqq f pX pτ qq Lpsqf pX psqq ds

(i) For every cylindrical function f

(1.156)

τ

is a local P-martingale. (ii) For every x P E the process

»t

t ÞÑ hM ptq, x i : hX ptq, x i

τ

hb ps, X psqq , x i ds, t ¥ τ, (1.157)

is local martingale with covariation processes »t

t ÞÑ hhM, x i , hM, y ii ptq σ ps, X psqq x , σ ps, X psqq y H ds τ

(1.158) where t ¥ τ , x , y P E . (iii) There exists a cylindrical Brownian motion tWH ptq : t ¥ τ u on some extension of the probability space pΩ, F , Pq starting at 0 at time τ such that X pt q X pτ q

»t τ

»t

b ps, X psqq ds

Proof. We will give a proof for τ exactly the same.

0

0;

σ ps, X psqq dWH psq, t ¥ τ. (1.159)

the proof for general τ

¡ 0 is

(i) ùñ (ii). Let x P E , and put f pxq hx, x i, x P E. Then the function f is linear, and so D2 f pxq 0. From (i) it follows that the process t ÞÑ hX ptq, x i

»t 0

hb ps, X psqq , x i ds f pX ptqq

»t 0

Lpsqf pX psqq ds

(1.160) is a local martingale. Let x and y belong to E . We will also show that the process

hX ptq, x i

»t 0

»t 0

hb ps, X psqq , x i ds

hX ptq, y i

σ ps, X psqq x , σ ps, X psqq y ds

»t 0

hb ps, X psqq , y i ds

(1.161)

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is a local martingale. Once it is proved that the process in (1.161) is a local martingale, then assertion (ii) follows from semi-martingale theory. So let us prove (1.161). Put f pxq hx, x i hx, y i. Then we have hy, Df pxqi hy, x i hx, y i

y, D2 f pxqz hz, x i hy, y i

and

Tr σ ps, xq D2 f pxqσ ps, xq

hx, x i hy, y i ,

hy, x i hz, y i ,

2 σ ps, xq x , σ ps, xq y

From the equalities in (1.162) we obtain the equality: hX ptq, x i hX ptq, y i

»t 0

»t

f pX ptqq

»t 0

H

.

(1.162)

σ ps, X psqq x , σ ps, X psqq y H ds

phb ps, X psqq , x i hX psq, yi 0

hX psq, x i hb ps, X psqq , y iq ds

Lpsqf pX psqq ds.

(1.163)

From assertion (i) it follows that the process in the right-hand side of (1.163) is a local martingale. As a consequence the process in the left-hand side of (1.163) is a local martingale as well. For brevity we write »s b pτ, X pτ qq dτ, x , Mx psq X psq 0 »s My psq X psq b pτ, X pτ qq dτ, y Mx ,y psq

0

hX psq, x i hX psq, y i »s phb pτ, X pτ qq , x i hX pτ q, y i »0s 0

hX pτ q, x i hb pτ, X pτ qq , y iq dτ

σ pτ, X pτ qq x , σ pτ, X pτ qq y H dτ.

(1.164)

Then the processes Mx , My and Mx ,y are local martingales: see (1.160) and (1.163). Moreover, a calculation shows that: Mx ptqMy ptq

Mx,y ptq

»t

»t 0

0

σ ps, X psqq x , σ ps, X psqq y H ds

hb ps, X psqq , x i My ptq My psq ds

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pMx ptq Mx psqq hb ps, X psqq , y i ds.

(1.165)

»t 0

It is readily verified that the processes »t 0 »t 0

hb ps, X psqq , x i My ptq My psq ds

and

pMx ptq Mx psqq hb ps, X psqq , y i ds

(1.166)

are local martingales. It follows that the process in(1.161) is a local martingale. So that the covariation process Mx , My is given by

Mx , My ptq

»t 0

σ ps, X psqq x , σ ps, X psqq y

H

ds.

(ii) ùñ (iii). Let the family of operators χ ps, X psqq, s P r0, T s, be such that

σ ps, X psqq χ ps, X psqq ej1 , σ ps, X psqq χ ps, X psqq ej1 H δj1 ,j2 , (1.167) j1 , j2 P N. Here pej : j P Nq is a complete orthonormal system in H: compare with (1.149). Put WH ptq

»t 0

σ ps, X psqq χ ps, X psqq χ ps, X psqq dM psq

(1.168)

³s

where M psq X psq 0 b pτ, X pτ qq dτ . Then, employing (ii), the covariation process of the processes t ÞÑ hWH ptq, ej1 iH

»t 0

and t ÞÑ hWH ptq, ej2 iH

»t 0

dM psq, χ ps, X psqq χ ps, X psqq σ ps, X psqq ej1

dM psq, χ ps, X psqq χ ps, X psqq σ ps, X psqq ej2

(1.169)

is given by

hWH pq, ej1 iH , hWH pq, ej2 iH ptq

»t

σ ps, X psqq χ ps, X psqq χ ps, X psqq σ ps, X psqq ej1 , 0 σ ps, X psqq χ ps, X psqq χ ps, X psqq σ ps, X psqq ej2 H ds

tδj ,j . 1

2

(1.170)

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Here, as elsewhere, δj1 ,j2 1 when j1 j2 , and 0 otherwise. In the final equality in (1.170) we employed (1.154). From Lévy’s theorem and (1.170) it follows that the process t ÞÑ WH ptq is a cylindrical Brownian motion: see Theorem 1.13. In addition, from (1.168) in combination with (1.152) we infer: »t 0

σ ps, X psqq dWH psq »t 0

»t 0

σ ps, X psqq σ ps, X psqq χ ps, X psqq χ ps, X psqq dM psq dM psq M ptq M p0q X ptq X p0q

»t 0

b ps, X psqq ds. (1.171)

The equality in (1.171) completes the proof of the implication (ii) ùñ (iii) in case the identities in (1.149) through (1.154) are assumed. If χps, xq, s ¥ τ , only satisfies the equality in (1.155), then we proceed as follows. As in the proof of the (ii) ùñ (iii) of Theorem 1.3 we take the implication standard extension

of the probability space pΩ, F , Pq. On this

p p F, p P Ω,

1 ptq : t ¥ τ u which is extension we take a cylindrical Brownian motion tWH p P-independent of the local martingale M ptq, t ¥ τ . Then instead of the definition of (1.168) we take WH ptq

»t 0

σ ps, X psqq χ ps, X psqq χ ps, X psqq dM psq

»t 0

(1.172)

1 ps q, I σ ps, X psqq χ ps, X psqq χ ps, X psqq σ ps, X psqq dWH (1.173)

where M psq X psq adjoints that

³s 0

b pτ, X pτ qq dτ . From (1.155) we also infer by taking

σ ps, xqσ ps, xq χps, xq χps, xqσ ps, xq

σps, xq.

(1.174)

We will show that the process tWH ptq : t ¥ 0u is a cylindrical Brownian ³t motion and that M ptq 0 σ ps, X psqq dWH psq. For brevity we write σ psq σ ps, X psqq, χpsq χ ps, X psqq, ER psq σ psq χ psq χ psq σ psq, and EN psq I ER psq. Then σ psqEN psq 0, and ER psqσ psq σ psq . We begin by proving that tWH ptq : t ¥ 0u is a cylindrical Brownian motion. We will invoke Theorem 1.1 to establish this result. Let ej1 and ej2 be two orthogonal vectors in the Hilbert space H. Then we have

hWH pq, ej1 iH , hWH pq, ej2 iH ptq

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»

» hdM psq, χpsq χpsqσ psqej1 i , hdM psq, χpsq χpsqσ psqej2 i ptq 0 0» hdM psq, χpsq χpsqσ psqej i , 1

»

0

1 psq, pI dWH

0» »

0

σpsq χpsq χpsqσpsqq ej ptq 2

hdM psq, χpsq χpsqσ psqej2 i ,

1 psq, pI dWH

0»

σpsq χpsq χpsqσpsqq ej ptq 1

1 psq, pI σpsq χpsq χpsqσpsqq ej , dWH 1 0 »

1 psq, pI σpsq χpsq χpsqσpsqq ej ptq dWH 2 0

(employ the properties of M as set out in Assertion (ii); moreover, M and p WH are P-independent)

»t 0

hσ psq χpsq χpsqσ psqej1 , σ psq χpsq χpsqσ psqej2 iH ds

»t

»t 0

0

hpI

σpsq χpsq χpsqσpsqq ej , pI σpsq χpsq χpsqσpsqq ej iH ds 1

hER psqej1 , ER psqej2 iH ds

»t 0

2

hEN psqej1 , EN psqej2 iH ds

(the operators ER psq and EN psq are orthogonal projections in the Hilbert space H)

»t 0

hER psqej1 , ej2 iH ds

(the identity ER psq

»t 0

»t 0

hEN psqej1 , ej2 iH ds

EN psq I holds)

hej1 , ej2 iH ds tδj1 ,j2 .

(1.175)

From Theorem 1.1 it follows that the process tWH ptq : t ¥ 0u is cylindrical Brownian motion. In addition, we have M ptq

»t 0

σ psq dWH psq

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M ptq

»t

»t

0

»t 0

σ psqσ psq χpsq χpsq dM psq

1 ps q σ psq pI σ psq χpsq χpsqσ psqq dWH

pI σpsqσpsq χpsq χpsqq dM psq.

(1.176)

0

In order to prove that the local martingale in (1.176) is zero we calculate its covariation process. Let x and y be members of E . Then we have » pI σpsqσpsq χpsq χpsqq dM psq, x , 0 » pI σpsqσpsq χpsq χpsqq dM psq, y ptq » 0 hdM psq, pI χpsq χpsqσpsqσpsq q x i , 0 » hdM psq, pI χpsq χpsqσ psqσ psq q y i ptq

»t 0

0

hσ psq pI χpsq χpsqσ psqσ psq q x ,

σ psq pI

χpsq χpsqσpsqσpsq q y iH ds »t hpI σpsq χpsq χpsqσpsqq σpsq x , 0 pI σpsq χpsq χpsqσpsqq σpsq y iH ds »t hEN psqσpsq x , EN psqσpsq y iH ds 0.

(1.177)

0

In the final equality of (1.177) we used the identity EN psqσ psq

pI ER psqq σpsq 0.

From (1.177) we infer that the covariation of the³ local martingale M ptq t σ psq dWH psq vanishes. Consequently, M ptq 0 σ psq dWH psq 0. This 0 shows the implication (ii) ùñ (iii) of Theorem 1.14. ³t

(iii) ùñ (i). Let f : E Ñ C be a C 2 -function. From Itô’s formula (see equality (1.196) in Proposition 1.3 below with C pt, τ q I and Aptq 0), and assertion (iii), we get f pX ptqq f pX p0qq

»t 0

Lpsqf pX psqq ds

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»t 0

hDf pX psqq , dX psqi

»t

»t 0

0

»t 0

»t 0

Tr σ ps, X psqq D2 f pX psqq σ ps, X psqq ds

Lpsqf pX psqq ds »t

hb ps, X psqq , Df pX psqqi ds

1 2

1 2

55

»t 0

0

hσ ps, X psqq dWH psq, Df pX psqqi

Tr σ ps, X psqq D2 f pX psqq σ ps, X psqq ds

»t 0

Lpsqf pX psqq ds

hσ ps, X psqq dWH psq, Df pX psqqi .

(1.178)

The stochastic integral in (1.178) represents a local martingale. This proves the implication (iii) ùñ (i). All this completes the proof of Theorem 1.14.

The following definition is the infinite-dimensional analog of Definition 1.2. Definition 1.6. The equation in (1.180) in Corollary 1.6 is said to have unique weak solutions, also called unique distributional solutions, provided that the finite-dimensional distributions of the process X ptq which satisfy (1.180) do not depend on the particular cylindrical Brownian motion WH ptq which occurs in (1.180). This is the case if and only if for any pair of cylindrical Brownian motions

tpWH ptq : t ¥ 0q , pΩ, F , Pqu

and any pair of adapted processes which X ptq x X 1 ptq x

»t 0 »t 0

(

pWH1 ptq : t ¥ 0q , Ω1 , F 1 , P1 tX ptq : t ¥ 0u and tX 1 ptq : t ¥ 0u

and

σ ps, X psqq dWH psq

σ s, X 1 psq dWH 1 psq

»t 0

b ps, X psqq ds

»t 0

for

and

b s, X 1 psq ds

it follows that the finite-dimensional distributions of the process tX ptq : t ¥ 0u relative to P coincide with the finite-dimensional distributions of the process tX 1 ptq : t ¥ 0u relative to P1 . The following corollary easily follows from Theorem 1.14. It is an infinitedimensional analog of Corollary 1.2. In the infinite-dimensional setting it establishes a close relationship between unique weak solutions to stochastic differential equations and unique solutions to the martingale problem. The result serves as one of the main motivations to write the present book.

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56

Corollary 1.6. Let the notation and hypotheses be as in Theorem 1.14. In particular, suppose that (1.155) is satisfied. Put Ω C pr0, 8q, E q, and X ptqpω q ω ptq, t ¥ 0, ω P Ω. Fix x P E. Then the following assertions are equivalent: (i)

There exists a unique probability measure P on F such that P rX pτ q xs 1, and the process f pX ptqq f pX pτ qq

»t τ

Lpsqf pX psqq ds

(1.179)

is a local P-martingale for all cylindrical C 2 -functions f . (ii) The stochastic integral equation X ptq x

»t τ


»t τ

b ps, X psqq ds

(1.180)

has unique weak solutions. In the infinite-dimensional setting we have the following version of Girsanov’s theorem. Let pE, }}q be a Banach space, and let pH, }}H q be a separable Hilbert space and let WH ptq, 0 ¤ t ¤ T , be a cylindrical Brownian motion in H. Let ps, y q ÞÑ bps, y q be an E-valued weakly continuous function on r0, T s E, ps, y q ÞÑ cps, y q be an H-valued weakly continuous function on r0, T s E, and let ps, y q ÞÑ σ ps, y q be an L pH, E q-valued function which is continuous for the weak operator topology, i.e. for every z P H, and x P E the function ps, y q ÞÑ hσ ps, y q z, x i is a continuous as a function from r0, T s E to R. The symbol L pH, E q denotes the space of all continuous linear operators from H to E. The function ps, y q ÞÑ c1 ps, y q attains its values in E , it is such that cps, y q σ ps, y q cps, y q, and such that the function ps, y q ÞÑ hx, c1 ps, y qi is continuous for every x P E.

¡ 0, and let the functions bps, y q, σ ps, y q, cps, y q, and c1 ps, y q,

Theorem 1.15. Fix T

0 ¤ s ¤ T,

be weakly continuous vector or matrix functions such that

cps, y q σ ps, y q c1 ps, y q, 0 ¤ s ¤ T, y

P E.

Suppose that the equation X ptq x

»t 0


»t 0

b ps, X psqq ds, t P r0, T s, (1.181)

possesses unique weak solutions on the interval r0, T s: compare with (1.36).

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Uniqueness. Let weak solutions to the following stochastic differential equation exist (compare with (1.37)): »t

Y ptq x

»t 0

0

»t


σ ps, Y psqq c ps, Y psqq ds

0

b ps, X psqq ds,

(1.182)

t P r0, T s. Then they are unique in the sense as explained next. In fact, let the couple pY psq, WH psqq, 0 ¤ s ¤ t, be a solution to the equation in (1.182) with the property that the local martingale M 1 ptq given by

M 1 ptq exp

»t

»t

c ps, Y psqq dWH psq 12 }c ps, Y psqq}2H ds . (1.183) 0 0 satisfies E rM 1 ptqs 1. Then the finite-dimensional distributions of the process Y psq, 0 ¤ s ¤ t, are given by the Girsanov or Cameron-Martin transform:

E rf pY pt1 q , . . . , Y ptn qqs E rM ptqf pX pt1 q , . . . , X ptn qqs ,

(1.184)

t ¥ tn ¡ ¡ t1 ¥ 0, where f : E Ñ R is an arbitrary bounded Borel measurable function. The (local) martingale M psq is given by n

» s

M psq exp

such that

p qx

»s

Yr s

and such that r exp E

pq

σ τ, Yr s

» s 0 0

c pτ, X pτ qq dWH psq

»t

}c pτ, X pτ qq} dτ . (1.185) If equation (1.182) has a solution such that E rM 1 ptqs 1, then necessarily E rM ptqs 1, and so s ÞÑ M psq is a martingale on the interval r0, ts. Existence. Conversely, let the process s ÞÑ pX psq, WH psqq be a solution to the equation in (1.181). Suppose that the local martingale s ÞÑ M psq, defined as in (1.185) is a martingale, i.e. suppose that E rM ptqs 1. Then r H psq, 0 ¤ there exists a couple Y psq, WH psq , 0 ¤ s ¤ t, where s ÞÑ W r F r, P r s ¤ t, is a cylindrical Brownian motion on a probability space Ω, 0

pq

H s dW

1 2

»s 0

2 H

0

σ τ, Yr psq c τ, Yr pτ q dτ

b τ, Yr psq dτ,

»t 0

(1.186)

H psq c s, Yr psq dW

1 2

»t 2 r s ds c s, Y 0

pq

H

1.

(1.187)

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The proof of Theorem 1.15 can be patterned after the proof of Theorem 1.4; it will be left as an exercise for the reader. The following result should be compared with the equalities in (5.55). The definition in (1.188) is the same as the one in (1.138). The operator r psq is the same as the one in (1.143). L Theorem 1.16. Suppose that equation in (1.180) possesses unique weak solutions. Put Qpτ, tqϕpxq Eτ,x rϕ pX ptqqs , ϕ P Cb pE q,

(1.188)

where the expectation Eτ,x corresponds to the measure P Pτ,x obtained r psq, s P r0, T s, as the in item (i) of Corollary 1.6. Define the operators L pointwise limits r psqϕpxq lim Qps, tqϕpxq ϕpxq , s P r0, T s, x P E, L (1.189) tÓs ts and suppose that ϕ P Cb pE q is chosen in such a way that the function ps, xq ÞÑ Lrpsqϕpxq is continuous. Then the following equalities hold:

B r Bs Qps, tqϕpxq LpsqQ ps, tq ϕpxq,

and

B r Bt Qps, tqϕpxq Q ps, tq Lptqϕpxq.

(1.190) In the first equality (1.190) it is assumed that the function ϕ is chosen in such a way that the pointwise derivative with respect to s exists. In r pρqϕpy q is the second equality it is assumed that the function pρ, y q ÞÑ L r psq is a linear extension of bounded and continuous. In fact the operator L the operator Lpsq depicted in (1.143).

Proof. Suppose 0 s t T , and taking h ¡ 0 small enough. Using the propagator property of the family tQps, tq : 0 ¤ s ¤ t ¤ T u yields the equalities Qps h, tqϕ Qps, tqϕ Qps h,hsq I Qps, tqϕ and h Qps, t hqϕ Qps, tqϕ Qps, tq Qpt, t h hq I ϕ. (1.191) h By the assumptions on the function ϕ the equalities in (1.190) follow. Next let ϕ be such that the process ϕ pX ptqq ϕ pX psqq

»t s

Lpsqf pX pρqq dρ

(1.192)

is a Ps,x -martingale. Then by taking Ps,x -expectations in (1.192) we get Qps, tqϕpxq ϕpxq

»t s

Qps, ρqLpρqϕpxq dρ.

(1.193)

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r psq extends Lpsq. From (1.193) we see that L This completes the proof of Theorem 1.16.

Again we can discuss solutions to E-valued stochastic differential equations:

dX ptq AptqX ptq dt σ pt, X ptqq dWH ptq b pt, X ptqq dt, X pτ q x, t ¥ τ. (1.194) In (1.194) the family of operators tAptq : 0 ¤ t ¤ T u generates a forward propagator

tC pt, τ q : 0 ¤ τ ¤ t ¤ T u in the Banach space E. This means that C pt, sqC ps, τ q C pt, τ q, C pt, tq I, and

h, tqx C pt, tqx , x P DpLptqq. h Then the integrated version of (1.194) reads as follows: Aptqx lim

Ó

C pt

h 0

X τ,xptq C pt, τ qx »t τ

»t τ

C pt, ρq σ pρ, X τ,x pρqq dWH pρq

C pt, ρqb pρ, X τ,x pρqq dρ.

(1.195)

Next we formulate and prove a version of Itô’s formula in the infinitedimensional setting. For related notions and results see e.g. [Krylov and Rozovskii (2007)]. Proposition 1.3. Let the function f be such that for every ps, xq P rτ, T s E the operator σ ps, xq C pt, sq D2 f pxqC pt, sqσ ps, xq is a trace class operator for all t P rs, T s. Let the process X τ,x ptq be a solution to (1.195). Then the following equality holds P-almost surely: f pX τ,xptqq f pxq

»t

hdX τ,x pρq, Df pX τ,x pρqqi

τ

»t

1 2

»t

τ

»t τ

1 2

Tr σ pρ, X τ,x pρqq C pt, ρq D2 f pX τ,x pρqq C pt, ρqσ pρ, X τ,x pρqq dρ

hApρqX τ,x pρq

τ

(1.196)

b pρ, X τ,x pρqq , Df pX τ,xpρqqi dρ

hσ pρ, X τ,xpρqq dWH pρq, Df pX τ,xpρqqi

»t τ

Tr σ pρ, X τ,x pρqq C pt, ρq D2 f pX τ,x pρqq C pt, ρqσ pρ, X τ,x pρqq dρ.

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Proof. By a general approximation argument it suffices to take f : E Ñ R of the form f pxq F phx, x1 i , . . . , hx, xn iq, x P E, x1 , . . . , xn P E . Then we have n ¸

hy, Df pxqi

y1 , D2 f pxqy2

Dj F phx, x1 i , . . . , hx, xn iq y, xj , and

j 1 n ¸

k1 ,k2 1

Dk1 Dk2 F phx, x1 i , . . . , hx, xn iq y1 , xk1 y2 , xk2

(1.197)

where y, y1 , y2 P E. Let pej qj PN be an orthonormal basis in H. From (1.197) we infer:

Tr σ ps, xq C pt, sq D2 f pxqC pt, sqσ ps, xq

8

¸

8 ¸

C pt, sqσ ps, xq ej , D2 f pxqC pt, sqσ ps, xq ej

j 1

8 ¸

Dk1 Dk2 F phx, x1 i , . . . , hx, xn iq

j 1 k1 ,k2 1

C pt, sqσ ps, xq ej , xk

8 ¸

1

C pt, sqσ ps, xq ej , xk2

Dk1 Dk2 F phx, x1 i , . . . , hx, xn iq

k1 ,k2 1

σ ps, xq C pt, sq xk , σ ps, xq C pt, sq xk

1

From the finite-dimensional Itô formula we obtain:

2

H

.

(1.198)

f pX τ,xptqq f pxq

»t ¸ n

τ j 1

d X τ,x pρq, xj Dj F phX τ,x pρq, x1 i , . . . , hX τ,xpρq, xn iq n

»

t 1 ¸ Dk1 Dk2 F phX τ,xpρq, x1 i , . . . , hX τ,x pρq, xn iq 2 k ,k 1 τ 1 2

d X τ,x pq, xk1 , X τ,x pq, xk2 pρq

»t ¸ n

ApρqX τ,x pρq, xj Dj F phX τ,xpρq, x1 i , . . . , hX τ,x pρq, xn iq dρ

τ j 1 »t ¸ n

τ j 1

b pρ, X τ,x pρqq , xj Dj F phX τ,x pρq, x1 i , . . . , hX τ,x pρq, xn iq dρ

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»t n 1 ¸ Dk1 Dk2 F phX τ,xpρq, x1 i , . . . , hX τ,x pρq, xn iq 2 k ,k 1 τ 1 2 » d C pt, sqσ ps, X τ,xpsqq dWH psq, xk1 , τ » C pt, sqσ ps, X τ,x psqq dWH psq, xk2 pρ q τ

»t ¸ n

σ pρ, X τ,x pρqq dWH pρq, xj

τ j 1

Dj F phX τ,x pρq, x1 i , . . . , hX τ,xpρq, xn iq (employ Assertion (ii) in Theorem 1.14)

»t ¸ n

ApρqX τ,x pρq, xj Dj F phX τ,xpρq, x1 i , . . . , hX τ,x pρq, xn iq dρ

τ j 1 »t ¸ n

b pρ, X τ,x pρqq , xj Dj F phX τ,x pρq, x1 i , . . . , hX τ,x pρq, xn iq dρ

τ j 1 n ¸

»

t 1 Dk1 Dk2 F phX τ,xpρq, x1 i , . . . , hX τ,x pρq, xn iq 2 k ,k 1 τ 1 2

σ pρ, X τ,xpρqq C pt, ρq xk1 , σ pρ, X τ,xpρqq C pt, ρq xk2 H dρ

»t ¸ n

τ j 1

σ pρ, X τ,x pρqq dWH pρq, xj

Dj F phX τ,x pρq, x1 i , . . . , hX τ,xpρq, xn iq

(apply the equalities in (1.197) and (1.198))

»t τ

hApρqX τ,x pρq, Df pX τ,xpρqqi dρ

»t τ

1 2

»t

»t τ

hb pρ, X τ,xpρqq , Df pX τ,x pρqqi dρ

τ

Tr σ pρ, X τ,xpρqq C pt, ρq D2 f pX τ,xpρqq C pt, ρqσ pρ, X τ,xpρqq dρ

hσ pρ, X τ,xpρqq dWH pρq, Df pX τ,x pρqqi .

(1.199)

The equality in (1.199) coincides with (1.196) in Proposition 1.3 in case f pxq F phx, x1 i , . . . , hx, xn iq, x P E, x1 , . . . , xn P E . Here F is a C 2 function defined on Rn . An approximation argument then completes the proof of Proposition 1.3.

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Define the operators Lptq, t P r0, T s, by 1 Tr σ pt, xq D2 f pxqσ pt, xq , f 2

Lptqf pxq hbpt, xq, Df pxqi

P Cb2 pE q. (1.200)

The following result is a consequence of Proposition 1.3. Proposition 1.4. Let the function pt, xq ÞÑ f pt, xq be such that t ÞÑ f pt, xq is once differentiable for all x P E, and that x ÞÑ f pt, xq belongs to Cb2 pE q for all t P r0, T s. This time derivative is denoted by D1 f pt, xq. Put upt, xq E rf pt, X τ,x ptqqs .

Then the following identity holds: D1 upt, xq E rD1 f pt, X τ,x ptqqs

E rLptqf pt, X τ,x ptqqs

(1.201)

E rhAptqX ptq, Df pt, X ptqqis 1 E Tr σ pt, X τ,x ptqq Aptq D2 f pt, X τ,x ptqq σ pt, X τ,xptqq 2 1 E Tr σ pt, X τ,x ptqq D2 f pt, X τ,xptqq Aptqσ pt, X τ,x ptqq . 2 τ,x

τ,x

In the following result we introduce a certain backward propagator starting from a propagator on the Banach space E. In the finite-dimensional case a statement like Proposition 1.5 can be found in Lemma 8.3: formula (8.116) in Subsection 8.3.1 is the finite-dimensional analog of (1.202) below. Proposition 1.5. Let tC pt, τ q : 0 ¤ τ ¤ t ¤ T u be a forward propagator on E. Let S pt, τ q : H Ñ E, 0 ¤ τ t ¤ T , be a family operators with the following property C pt, sqS ps, τ qS ps, τ q C pt, sq

S pt, sqS pt, sq

S pt, τ qS pt, τ q ,

(1.202)

for all 0 ¤ τ ¤ s ¤ t ¤ T . Let t ÞÑ WH ptq be cylindrical Brownian motion, and put for 0 ¤ τ ¤ t ¤ T Y pτ, tq f pxq E rf pC pt, τ qx

S pt, τ qWH p1qqs , f

Then Y pτ, sq Y ps, tq Y pτ, tq for all 0 ¤ τ

P Cb pE q.

(1.203)

¤ s ¤ t ¤ T.

Let σ pρq, 0 ¤ ρ ¤ T , be a family of operators from H to E, and let the family tS pt, τ q : 0 ¤ τ ¤ t ¤ T u be such that, for 0 ¤ τ ¤ t ¤ T , and x P E , S pt, τ qS pt, τ q x

»t τ

C pt, ρqσ pρqσ pρq C pt, ρq x dρ.

(1.204)

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Then the family tS pt, τ q : 0 ¤ τ

Y pτ, tqf pxq E f

¤ t ¤ T u possesses property (1.202) and

»t C pt, τ qx C pt, ρqσ pρqdWH pρq , ³t

τ

and so the process t ÞÑ C pt, τ qx C pt, ρqσ pρqdWH pρq can be considered τ as an E-valued Ornstein-Uhlenbeck process. Proof. [Proof of Proposition 1.5.] Let f In addition let

(

1 Ω1 , Ft1 , P1 , WH pt q

and

P CbpE q, and 0 ¤ τ ¤ s ¤ t ¤ T .

(

2 Ω2 , Ft2 , P2 , WH pt q

be independent copies of cylindrical Brownian motion. Then we have Y pτ, sq Y ps, tqf pxq

E1 Y ps, tqf C ps, τ qx S ps, τ qWH1 p1q E1 E2 f C pt, sq C ps, τ qx S ps, τ qWH1 p1q S pt, sqWH2 p1q 2 E1 E2 f C pt, sqC ps, τ qx C pt, sqS ps, τ qWH1 p1q S pt, sqW H p1q E1 E2 f C pt, τ qx C pt, sqS ps, τ qWH1 p1q S pt, sqWH2 p1q . (1.205)

By general arguments, like the use of (Fourier transforms of) cylindrical measures and the separability of the space E it suffices to prove the equality

(1.206) Y pτ, sq Y ps, tqf pxq E rf pC pt, τ qx S pt, τ qWH p1qqs ihx,x i for functions f of the form f pxq e , x P E. For more details on cylindrical measures on topological vector spaces see e.g. [Schwartz (1973)] part II. For such a function f we have Y pτ, sq Y ps, tqf pxq

exp pi hC pt, τ q x, x iq

1 E1 E2 exp i C pt, sqS ps, τ qWH p1q, x exp i S pt, sqWH2 p1q, x exp pi hC pt, τ qx, x iq

1 E1 exp i C pt, sqS ps, τ qWH p1q, x E2 exp i S pt, sqWH2 p1q, x exp pi hC pt, τ qx, x iq

1 1 exp }S ps, τ q C pt, sq x }H exp }S pt, sq x }H 2 2 exp pi hC pt, τ qx, x iq

1 exp hC pt, sqS ps, τ qS ps, τ q C pt, sq x , x iH 2

1 exp hS pt, sqS pt, sq x , x iH 2

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(employ (1.202))

exp pi hC pt, τ qx, x iq exp 12 hS pt, τ qS pt, τ q x , x iH

exp pi hC pt, τ qx, x iq exp 12 }S pt, τ q x }2H exp pi hC pt, τ qx, x iq E rexp pi hS pt, τ qWH p1q, x iqs E rf pC pt, τ qx S pt, τ qWH p1qqs Y pτ, tq f pxq. This completes the proof of Proposition 1.5.

(1.207)

Next, let pej qj PN be an orthonormal basis for the Hilbert space H, and ρ ÞÑ σ pρq, ρ P rτ, ts, be an LpH, E q-valued process such that for every j P N the mapping ρ ÞÑ σ pρqej is strongly measurable and adapted to the filtration determined by the cylindrical Brownian motion ρ ÞÑ WH pρq, τ ¤ ρ ¤ t. In Lemma 1.4 just below the variables WH,j pρq stand for independent onedimensional Brownian motions; in fact WH,j pρq hWH pρq, ej iH .

¤ τ ¤ t ¤ T , and suppose that for every x P E the

Lemma 1.4. Fix 0 inequality holds:

» t

E Then for every x L2 - lim N

τ

}σpρq C pt, ρq x }2H dρ 8.

(1.208)

P E the L2-limit

N »t ¸

Ñ8 j1

L2- Nlim Ñ8

τ N ¸

hC pt, ρqσ pρqej , x i dWH,j pρq »t

j 1 τ

hej , σ pρq C pt, ρq x iH dWH,j pρq

(1.209)

defines an element in L2 pΩ, Ftτ , Pq, and P-almost surely this limit defines ³t an element in E . This limit is written as τ C pt, ρqσ pρqdWH pρq. In other words »t x , C pt, ρqσ pρqdWh pρq τ

L2 - Nlim Ñ8

N »t ¸

j 1 τ

Moreover, the mapping x ÞÑ E

» t τ

hej , σ pρq C pt, ρq x iH dWH,j pρq.

(1.210)

C pt, ρqσ pρqσ pρq C pt, ρq x dρ , x P E ,

(1.211)

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is a continuous linear mapping from E to E, and the following equality holds for all x , y P E : »t »t y , C pt, ρqσ pρq dWH pρq E x , C pt, ρqσ pρq dWH pρq » t

τ

τ

hσ pρq C pt, ρq x , σ pρq C pt, ρq y iH dρ τ » t E C pt, ρqσpρqσpρq C pt, ρq x dρ , y .

E

(1.212)

τ

Let F

P L2 pΩ, Ftτ , Pq. Then the functional x

ÞÑ E

F

x ,

»t τ

C pt, ρqσ pρq dWH pρq

(1.213)

is sequentially continuous for the weak -topology. In other words the mapping

A ÞÑ E 1A

»t τ

C pt, ρqσ pρq dWH pρq , A P Ftτ ,

(1.214)

can be considered as an E-valued vector measure which is absolutely continuous relative to the measure P. Some conditions which guarantee that the stochastic integral »t τ

C pt, ρqσ pρqdWH pρq

belongs to E P-almost surely are inserted. (a) If the Banach space E has the weak L2 -Radon-Nikodym property relative to the probability space pΩ, Ftτ , Pq, then the stochastic integral »t τ

C pt, ρqσ pρqdWH pρq,

which is the weak L2 -Radon-Nikodym derivative of the vector measure in (1.214), belongs to E P-almost surely. (b) If for every x P E and every A P Ftτ the equality » t E 1A C pt, ρqσ pρqdWH pρq, x τ »t E 1A C pt, ρqσpρqdWH pρq , x (1.215) τ

holds, then the stochastic integral P-almost surely.

³t

τ

C pt, ρqσ pρqdWH pρq belongs to E

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³t

(c) If the stochastic integral τ C pt, ρqσ pρqdWH pρq is P-almost surely contained in a }}-separable subspace of E , then it belongs E P-almost surely. ³t

If the stochastic integral τ C pt, ρqσ pρqdWH pρq belongs to E P-almost surely, and if for every vector h P H and x P E the function ρ ÞÑ hC pt, ρqσ pρqh, x i is continuous, then it belongs to the }}-closure of the subset $ ³ & 1A t C t, ρ σ ρ dWH ρ τ %

p qpq PrAs

pq

1A : A P Ftτ , PrAs 0

, . -

.

(1.216)

In the final assertion the weak operator continuity condition on the operators C pt, ρqσ pρq, τ ¤ ρ ¤ t, can be relaxed. A somewhat more refined argument yields the following result. Suppose that the stochas³t tic integral τ C pt, ρqσ pρqdWH pρq belongs to a separable subspace of E, and suppose that for every h P H and x P E the process ρ ÞÑ ³ t hC pt, ρqσ pρqh, x i is predictable. Then τ C pt, ρqσ pρqdWH pρq belongs to the closure of the family in (1.216). This means that the variable ps, ω q ÞÑ hC pt, sqσ psqh, x i is measurable relative to σ-field generated by the set tpa, bs A : τ ¤ a b ¤ t, A P Faτ u. Definition 1.7. A closed, bounded and convex subset C of E is said to have the WRNP (weak Radon-Nikodym property, or weak L1 -Radon-Nikodym property) with respect to pΩ, Ftτ , Pq if for every measure G : Ftτ Ñ E such that GpAq P PpAq C for every A P Ftτ , there exists a Pettis integrable and Ftτ -measurable function g : Ω Ñ C such that hGpAq, x i E r1A hg, x is

(1.217)

hGpAq, x i E r1A hg, x is

(1.218)

and x

E . We say that the set C has the WRNP

for each A P P if C has this property with respect to every probability space pΩ, F , Pq. Such a set C is called a weak Radon-Nikodym set. A Banach space E is said to have the WRNP (resp. WRNP with respect to pΩ, Ftτ , Pq) if the unit ball of E is a weak Radon-Nikodym set (resp. has the WRNP with respect to pΩ, Ftτ , Pq). The space E is said to have the weak Lp -Radonτ Nikodym property, 1 ¤ p 8 ³, with respect to pΩ, Ft , Pq if for every τ measure G : Ft Ñ E such that Ω F dG ¤ }F }Lp for all F P Lp pΩ, Ftτ , Pq there exists a Pettis integrable and Ftτ -measurable function g : Ω Ñ E such that Ftτ

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for each A P Ftτ and x P E . Such a function g has the property that q q E r|hg, x i| s ¤ }x } for all x P E . The P-almost surely E-valued function g is called the weak, or Pettis, Lp -derivative of the measure G. Here q is the conjugate exponent of p: q 1 p1 1. If p 2, then q 2. For the Radon-Nikodym theorem and related topics from a historical perspective see e.g. [Pietsch (2007)]. Let g : Ω Ñ C be a random variable such that for every x P E the variable hg, x i is Ftτ -measurable. Then g is said to be Pettis-integrable if for every A P Ftτ there exists an element xA P E such that hxA , x i E r1A hg, x is for all x P E . For more details on the weak Radon-Nikodym property see e.g. [Riddle (1984)], [Matsuda (1985)], or [Farmaki (1995)]. For more details on Pettis integrability see e.g. [Diestel and Uhl (1977)]. Proof.

[Proof of Lemma 1.4.] First we calculate 2 N »t ¸ hC t, ρ σ ρ ej , x iH dWH,j ρ E τ j 1 N »t ¸ E hej , σ ρ C t, ρ x iH dWH,j ρ τ

p qpq

pq

pq p q

pq

j 1

N ¸

» t

E

E ¤E E

hej , σ ρ

»

N t ¸

hej , σ ρ

» 8 t ¸ τ j 1

τ j 1

» t τ

p q C pt, ρq x iH 2 dρ

τ

j 1

p

2

q C pt, ρq x i

H

2 dρ

hej , σ ρ C t, ρ x i 2 dρ H

pq p q

}σpρq C pt, ρq x }2H dρ .

(1.219)

Since the ultimate term in (1.212) is finite, it easily follows that the L2 -limit (1.209) exists. Next observe that xn Ñ x in pE , }}q, and

x ,

»t

n

τ


ÑF

in L2 pΩ, Ftτ , Pq

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D E ³t implies F x , τ C pt, ρqσ pρq dWH pρq . Hence, by the closed graph theorem we see thatthere exists a constant c such that 2 » t E x , C pt, ρqσ pρqdWH pρq

E

τ

» t

}σpρq C pt, ρq x }2H dρ ¤ c2 }x }2 .

τ

(1.220)

The proof of (1.212) can be patterned after the proof of equality (1.219). The fact that the mapping in (1.211) is E-valued can be proved by employing the Krein-Smulian theorem, or the Grothendieck completeness theorem. Fix x P E . By separability of the subspace of E spanned by C pt, ρqσ pρqσ pρq C pt, ρq x , τ ¤ ρ ¤ t, together with Grothendieck’s completeness theorem it suffices to prove that » t lim E C pt, ρqσ pρqσ pρq C pt, ρq x dρ , xn

Ñ8

n

τ

nlim Ñ8 E

»

τ,t

hC pt, ρqσ pρqσ pρq C pt, ρq x , xn i dρ

(1.221) 0 whenever pxn qnPN is a sequence in the unit ball of E which converges weak to the zero-functional. The conclusion in (1.221) then follows from Lebesgue’s dominated convergence theorem. We continue D by³ proving (1.213). First E we do this for F of the form t F T x : x , τ C pt, ρqσ pρq dWH pρq , x P E . Let pxn qnPN be a sequence in the unit ball of E which converges weak to the zero-functional. Notice that by the Banach-Steinhaus theorem any sequence in E which converges weakly is bounded; without loss of generality we assume that such a sequence is contained in the dual unit ball. Then we have »t E F xn , C pt, ρqσ pρqd WH pρq τ »t »t E x , C pt, ρqσpρqd WH pρq xn , C pt, ρqσpρqd WH pρq

E

» t τ

τ

τ

hC pt, ρqσ pρqσ pρq C pt, ρq x , xn i dρ .

(1.222)

By dominated convergence the expression in (1.222) converges to zero when n tends to 8. Let F belong to L1 , which by definition is the L2 -closure of the subspace " * »t T x x , C pt, ρqσ pρq dWH pρq : x P E . τ

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Then an approximation argument shows the equality in (1.213) for such variables F . Finally, if F P L2 pΩ, Ftτ , Pq we decompose F F1 F2 , where F1 P L1 , and F2 P LK 1 . Then we see lim E rF T xn s lim E rF1 T xn s 0.

Ñ8

Ñ8

n

n

This proves Next we show that mapping G : Ftτ Ñ E, defined by (1.213). ³t GpAq E 1A τ C pt, ρqσ pρq dWH pρq is an E-valued measure: see (1.214). To this end we take a sequence pAn qnPN in Ftτ which decreases to the empty set. Then we have to prove that limnÑ8 }G pAn q} 0. Then for x P E , }x } ¤ 1, we estimate 2 »t E 1A C p t, ρ q σ p ρ q dW p ρ q , x H n τ

» t 2 E 1A t, ρ σ ρ dW ρ , x C H n τ » 2 t P An E C t, ρ σ ρ dWH ρ , x

p qpq

¤ r s

P rAn s E

» t τ

τ

pq

p qpq

pq

}σpρq C pt, ρq x }2H dρ

¤ c2 P rAn s }x }2 .

(1.223)

In the final estimate of (1.223) we employed (1.220). By the Hahn-Banach theorem and (1.223) we see that limnÑ8 }G pAn q} 0, which shows that the set function in (1.214) is an E-valued measure. Next we prove the Assertions (a), (b) and (c). D E ³t

(a). Since for every x P E the variable τ C pt, ρqσ pρqdWH pρq, x is the Radon-Nikodym derivative of the measure A ÞÑ hGpAq, x i the weak L2 -Radon-Nikodym property implies that the stochastic integral »t τ


belongs to E P-almost surely. (b). We already know that the set function in (1.214) is an E-valued measure. Pick x P E . From the classical RadonNikodym theorem it followsE that P-almost surely the random variable D ³t C pt, ρqσ pρqdWH pρq, x can be written as a limit of quotients of the τ form D³ E t E 1A τ C pt, ρqσ pρqdWH pρq, x PrAs

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D ³ E t E 1A τ C pt, ρqσ pρqdWH pρq , x

PrAs

.

A P Ftτ , P rAs 0. From this observation we see that the stochastic integral »t τ

C pt, ρqσ pρqdWH pρq,

which P-almost surely is a member of E , in fact belongs P-almost surely to the weak-closure, i.e. the σ pE , E q-closure, of the collection of vectors of the form

E 1A

³t

C pt, ρqσ pρqdWH pρq τ PrAs

1A , A P Ftτ .

(1.224)

By Mazur’s theorem in functional analysis it follows that P-almost surely the stochastic integral »t τ


belongs to the }}-closed convex hull of vectors of the form (1.224). Since the vectors in (1.224) belong to E, it follows that the stochastic integral ³t C pt, ρqσpρqdWH pρq is a member of E P-almost surely. τ

(c). Let Ω1 , Ft1,τ , P1 be an independent copy of pΩ, Ftτ , Pq. Since ³t the stochastic integral τ C pt, ρqσ pρqdWH pρq is P-almost surely contained in }}-separable subspace of E we can find a double sequence of events A , m, k P N, with the following properties: P rAm,k s 0, 8 m,k 8 P m1 k1 Am,k 1, and »t 1A ω C t, ρ σ ρ dWH ρ m,k τ »t 1

p q

1A

m,k

p qpq

ω

τ

p q pω q

C pt, ρqσ pρqσ pρq dWH pρq ω 1 ¤ 2m ,

(1.225)

P P1 -almost surely. For brevity we temporarily employ the following notation: M8

»t τ

Then (1.225) reads as follows: 1A

m,k

pωq M8 pωq 1A

m,k

C pt, ρqσ pρq dWH pρq.

ω 1 M8 ω 1 ¤ 2m , P P1 -almost surely. (1.226)

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8 P m1 Am,k , and write M8 E 1A 1A ω 1 M8 p ω0 q P rAm,k s ( E 1A 1A M 8 1A p ω 1 q M8 p ω 1 q 1A P rAm,k s 1A ω 1 M 8 ω 1 1A pω0q M8 pω0 q .

Next we consider ω0

m

m,km

m,km

m

m,km

m,km

m,km

m,km

ω1

m

m,km

m,km

(1.227)

From (1.226) and (1.227) we infer

E 1 Am,km M8 1Am,km ω 1 M8 ω0 P Am,km E 1Am,km 1Am,km M8 1Am,km ω 1 M8 ω 1

r

¤

1 A

¤ 2m 1A

ω 1 M8 ω 1

m,km

ω1

p q

P rAm,km s

m,km

p q

s

1Am,km ω 1

1A m 2 ¤ 2m

p q

m,km

1

pω0 q M8 pω0 q (1.228)

.

P E P-almost surely. ³t Finally, suppose that M8 τ C pt, ρqσ pρq dWH pρq belongs to E Palmost surely. Let pxk qkPN be an enumeration of random vectors of the Consequently, M8

form

8 ¸

n,N 1

n

αn,N

2 ¸ N ¸

C pt, ρℓ,n q σ pρℓ,n q ej pWH,j pρℓ

1,n

q WH,j pρℓ,n qq ,

ℓ 1j 1

(1.229) where ρℓ,n τ ℓ2n pt τ q, and the αn,N ’s are non-negative rational °8 numbers such that n,N 1 αn,N 1 and such that only finitely many of them are non-zero. From the definition of the stochastic integral M8 : ³t C pt, ρqσ pρqdWH pρq it follows that M8 belongs to the weak closure (i.e. τ σ pE, E q-closure) of the family in (1.229). But then M8 belongs to the }}-closure of the sequence pxk(qkPN . Definethe events Am,k , m, k P N, by 8 8 Am,k }M8 xk } 2m1 . Then P m1 k1 A m,k 1. Define m m the E-valued martingale M8 , m P N, by M8 E M8 Πm where Πm is the σ-field generated by tAm,k : k P Nu. As in the proof of assertion (c) of m this Lemma it follows that M8 }} - limmÑ8 M8 . All this together completes the proof of Lemma 1.4. ³t

Lemma 1.5. Put M8 τ C pt, ρqσ pρq dWH pρq Let y be the weak limit of a necessarily bounded sequence pyn qnPN . Then the following equality holds:

P hM8 , y i ¤ lim sup hM8 , yn i 8 nÑ8

1.

(1.230)

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Proof. From (1.213) we see that the sequence thM8 , yn i : n P Nu converges in the L2 -weak sense to hM8 , y i. From Mazur’s theorem it follows °8 that for an appropriate sequence of convex combinations xn j n αj,n yj we have hM8 , y i L2 - limnÑ8

hM8 , xni. By passing to a subsequence we have that hM8 , y i limkÑ8 M8 , xnk , P-almost surely. Since αj,n ¥ 0 and sum to 1 we see hM8 , y i ¤ lim supnÑ8 hM8 , yn i P-almost surely. This completes the proof of Lemma 1.5. ³t

Theorem 1.17. The stochastic integral τ C pt, ρqσ pρq dWH pρq attains its values in E P-almost surely if and only if there exists an P-almost sure event Ω1 such that the following inequalities » t (1.231) 0 ¤ lim sup C pt, ρqσ pρq dWH pρq, yn 8 nÑ8 τ 1 hold on Ω for all sequences pyn qnPN in E which converge in weak -sense

to 0.

The point here is that the event Ω1 does not depend on the weak convergent sequence pyn qnPN : compare with Lemma 1.5. Observe that the arguments of the proof of Theorem 1.17, which is given below, also occur on page 268 (Chapter 5 of Part II) in [Schwartz (1973)]. In addition, notice that the following construction gives the corresponding cylindrical measure (

µ µE {F : F

E, codimpF q 8 on E. subspace F with codimpF q n choose

For a closed linear an in such that F dependent subset consisting of n elements in E

n ( rx ,...,x : E {F Ñ Rn j 1 x P E : x, xj 0 , and define the mapping π n 1 by π rx ,...,x px n 1

F q phx, x1 i , . . . , hx, xn iq , x P E.

The measure µE {F on the Borel field of E {F is determined by µE {F pB

Fq P

phM8 , x1 i , . . . , hM8 , x1 iq P πrx ,...,x pB

Fq . 1 (1.232) Here B F is a Borel subset of E {F . Then it can be checked that µ is a cylindrical measure indeed. The variable M8 is given by e.g. n

M8

»t τ

C pt, ρqσ pρq dWH pρq.

Of course the variable M8 could be replaced with any other variable Y P L2weak pΩ, Ftτ , Pq. For the definition of this space the reader is referred to Definition 1.8 below.

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Notice that the stochastic integral attains its values in E P-almost surely if and only if there exists an P-almost sure event Ω1 such that the following inequality » t C pt, ρqσ pρq dWH pρq, yn 8 (1.233) lim sup

nÑ8 τ 1 holds on Ω for all y P E and all sequences pyn qnPN in E which converge in weak -sense to y . This result is a consequence of the Banach-Alaoglu

theorem, and the separability of E. The following theorem in functional analysis can be proved along the same lines as Theorem 1.17. The theorem of Krein-Smulian (see Theorem 6.4 Corollary in [Schaefer (1971)]), or Grothendieck (see Corollary 2 to Theorem 6.2 in [Schaefer (1971)]) plays a dominant role in the proof of Theorem 1.18. By definition a sequence pxn qnPN E belongs to c0 pN, E q if limnÑ8 hx, xn i 0 for every x P E.

Theorem 1.18. Let E be a separable Banach space, and let f : E be a linear functional. Then the following assertions are equivalent:

ÑR

(a) There exists x P E such that f px q hx, x i for all x P E ; (b) For every sequence pxn qnPN P c0 pN, E q the following inequalities hold: 0 ¤ sup f pxn q 8.

nPN (c) For every sequence pxn qnPN P c0 pN, E q the following inequalities hold: 0 ¤ lim sup f pxn q 8. nÑ8 Proof. [Proof of Theorem 1.18.] (a) ùñ (b). A sequence in c0 pN, E q is norm-bounded in E ; this is a consequence of e.g. the Banach-Steinhaus

theorem. It is also a consequence of a Baire-category argument applied to the dual unit ball. Hence assertion (b) follows from (a). (b)

px q

ùñ

P ¥

k k N,k n

(c). Let pxn qnPN be any sequence in c0 pN, E q. Then is a sequence in c0 pN, E q, and so, by (b), 0 ¤ sup f pxk q 8,

¥

k n

from which assertion (c) readily follows.

(c) ùñ (a). In this implication we will employ the Krein-Smulian theorem, or Grothendieck’s completeness result. So suppose that (c) holds, and let pyn qnPN be any sequence in E which converges to in weak -sense to y P E . By (c) we see 0 ¤ lim supnÑ8 f pyn y q 8, and hence f py q ¤ lim sup f pyn q 8.

Ñ8

n

(1.234)

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P N and every α P R the subset tx P E : }x } ¤ M, f px q ¤ αu (1.235)

From (1.234) it follows that for every M

is sequentially weak -closed. Since E is separable, and the set in (1.235) is equi-continuous, it follows that sets of the form (1.235) are weak closed, not just sequentially weak -closed. From Krein-Smulian’s theorem it follows that for every α P R the half-space tx P E : f px q ¤ αu is weak -closed. It then follows that the hyper-plane tx P E : f px q 0u is weak -closed. Consequently, there exists a vector x P E such that f px q hx, x i, x P E . We can also use Grothendieck’s theorem. Then we proceed as follows. Instead of considering a set of the form (1.235) we look at the subset HM,α defined by HM,α

tx P E : }x } ¤ M, f px q αu .

(1.236)

Then the set in (1.236) is sequentially weak -closed. Let pxn qnPN be a sequence in HM,α which converges to x P E in weak -sense. Then, by (c), f px q ¤ lim sup f pxn q lim sup α α.

Ñ8

n

Ñ8

(1.237)

n

Applying the same argument to the sequence pxn qnPN which converges in weak -sense to x shows f px q ¤ α. This in combination with (1.237) yields f px q α, and consequently the subset HM,α is sequentially weak closed. Since the space is separable and the set HM,α is equi-continuous it follows that HM,α is weak -closed. Grothendieck’s theorem then implies that the hyper-plane tx P E : f px q αu is weak -closed. Again it follows that there exists x P E such that f px q hx, x i, x P E . This completes the proof of Theorem 1.18.

³t

Proof. [Proof of Theorem 1.17.] Put M8 τ C pt, ρqσ pρq dWH pρq. If M8 P E P-almost surely, then we have equality in (1.231) on the event Ω1 tM8 P E u. ³s Next we prove that the stochastic integral τ C ps, ρqσ pρq dWH pρq attains its values in E P-almost surely provided that (1.231) is satisfied. The scalar L2 -space L2 pΩ, Ftτ , Pq is separable, and so is its subspace L1 which by definition is the L2 -closure of tT x : x P E u. So there exists a countable family xj j PN in the closed unit ball of E such that the linear span of the

countable family T xj j PN is dense in L1 . Since E is separable, and T is sequentially continuous relative to the weak -topology on E and the weak

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topology in L2 pΩ, Fsτ , Pq, we may assume additionally that the sequence xj j PN is dense in the dual unit ball. Then by the theorems of KreinSmulian (see Theorem 6.4 Corollary in [Schaefer (1971)]) and Grothendieck (see Corollary 2 to Theorem 6.2 in [Schaefer (1971)]) we obtain the following equality of events:

tM8 P E u ttx P E , }x } ¤ M, hM8 , x i ¤ αu

(

is sequentially weak -closed for all M

¥ 0 and α P R (1.238) " * hM8 , y i ¤ lim sup hM8 , yn i 8 whenever yn Ñ y weak Ñ8

n

"

*

(1.239)

0 ¤ lim sup hM8 , yn i 8 whenever yn Ñ 0 weak (1.240) nÑ8 ttx P E , }x } ¤ M, hM8 , x i αu ( is sequentially weak -closed for all M ¥ 0 and α P R (1.241) ttx P E , }x } ¤ M, hM8 , x i αu ( is weak -closed for all M ¥ 0 and α P R . (1.242) The equality of the event tM8 P E u and the one in (1.238) is a consequence

of Krein-Smulian’s theorem, and in proving the equality of the events in (1.238) and (1.239) the fact is used that weak -bounded subsets are normbounded, and that the space E is separable. A consequence of the latter is that the dual unit ball is a compact metric space. Therefore the inclusion of the event in (1.238) in the one in (1.239) can be seen as follows. Let pyn qnPN be a sequence in E which converges in weak -sense to y P E . Fix α P R, and consider the event "

*

lim sup hM8 , yn i ¤ α .

Then supnPN

}y } ¤ M n

Ñ8

n

8, and on the event in (1.238) we have * lim sup hM8 , yn i ¤ α thM8 , y i ¤ αu .

"

Ñ8

(1.243)

n

Since α P R is arbitrary, from (1.243) we see that

hM8 , y i ¤ lim sup hM8 , yn i 8,

Ñ8

n

and hence the event in (1.238) is contained in the one (1.239). Again let pyn qnPN be a, necessarily bounded, sequence in E which converges in

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weak -sense to y £

P

P E . Then consider the event £ thM8 , yn i αu thM8 , yn i αu . P

n N

n N

On the intersection of this event and the one in (1.239) we have hM8 , y i ¤ lim sup hM8 , yn i α, and also

Ñ8

n

hM8 , y i ¤ lim sup hM8 , yn i α,

(1.244)

Ñ8

n

and hence hM8 , y i α. From (1.244) we then easily infer that the event in (1.239) is contained in the fifth one, i.e. the event in (1.241). The equality of the events in (1.239) and in (1.240) follows by taking yn y instead of yn . The equalities of the events (1.241) and (1.242) is a consequence of the separability of the space E. That the event in (1.242) is contained in the event tM8 P E u is a consequence of Grothendieck’s theorem. By hypothesis we know that the event in (1.240) contains the P-almost sure event Ω1 . By the equalities of the event tM8 8u and the one in (1.240) this shows that the event tM8 P E u is P-almost sure. This concludes the proof of Theorem 1.17. In the following theorem we give some alternative formulations for conditions which guarantee that M8 P E P-almost surely. ³t

Theorem 1.19. Let M8 τ C pt, ρqσ pρq dWH pρq be a stochastic integral: see Theorem 1.17. Suppose that the dual space endowed with the norm topology is separable. The following assertions are equivalent: (i) M8 belongs to E P-almost surely. (ii) For every sequence pyn qnPN in E for which }yn } inequality holds:

1 the

sup |hM8 , yn i| 8, P-almost surely.

P

following (1.245)

n N

Moreover, if (i) or (ii) is satisfied, then there exists a sequence pyn qnPN in E for which }yn } 1 such that }M8 } sup t|hM8 , yn i| : n P Nu P-almost surely. Note that in assertion (ii) the exceptional set may depend on the sequence pyn qnPN .

Proof. The implication (i) ùñ (ii) being trivial we only need to prove (ii) ùñ (i). Therefore, let B be the closed unit ball of E , and F

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E a linear subspace of E which is σ pE , E q-closed and of finite codimension. The latter means that F is of the form (

F x P E : xj , x 0, 1 ¤ j ¤ n .

For R ¡ tM8 P RB

0 we consider the probability of events of the form F u. Choose a sequence xj j PN such that

8 £

x

P E :

j 1

and put Fn

(

xj , x 0 t0u ,

( x P E : xj , x 0 . Then we have £ tM8 P RB Fn u tM8 P RB u , nPN

n

j 1

(1.246)

and hence P rM8

P RB s ninfPN P rM8 P RB

E $D ° & M8 , n j 1 αj xj ° inf P sup , αj n nPN % j 1 αj x j

Fn s

P Q, 1 ¤ j ¤ n- ¤ R .

Let pyn qnPN be an enumeration of the countable family: $ & °n α x j j j 1 : αj % °n α x j j j 1

, .

, .

P Q, 1 ¤ j ¤ n, n P N- .

Then from (1.247) and (1.248) we infer:

(1.247)

(1.248)

(1.249) P rM8 P RB s P sup hM8 , yn i ¤ R . nPN Notice that the sequence pyn qnPN does not depend on the choice of R ¡ 0. As a consequence we see that }M8 } sup t|hM8 , yn i| : n P Nu P-almost

surely. This completes the proof of Theorem 1.19.

Theorem 1.20. Suppose that the stochastic integral M8

»t τ


belongs to E P-almost surely: see Theorems 1.17 and 1.19. Suppose that E is separable for the norm-topology. The following assertions are equivalent:

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(i) M8 belongs to E P-almost surely. (ii) For every ε ¡ 0 the following equality holds:

sup

P

n NΛ

inf ( P ymax PΛ |hM8 , y i| ε 1 y P E , }y } ¤ 1, d py , 0q n

1.

Λ finite

(1.250) Here d denotes a metric on E which turns the dual unit ball B into a compact metric space. An appropriate metric d is given by d px , y q

8 ¸

2k |hxk , x y i|

k 1

where the linear span of the sequence pxk qkPN is dense in E, and where }xk } 1, k P N. Proof. [Proof of Theorem 1.20.] Since the dual space is separable for the norm-topology, and M8 P E P-almost surely, the equality in (1.250) can be rewritten as:

sup P

P

n N

Λ y

sup P P

n N

sup

P E , }y } ¤ 1, d py , 0q n

max |hM8 , y i| ε ( y Λ P 1

Λ finite

sup

ty PE , }y }¤1, dpy ,0q n1 u

|hM8 , y i| ε

1.

(1.251)

From (1.251) we see that assertion (ii) is equivalent to the equality:

P inf

P t P

n N y E , y

sup

} }¤1, dpy ,0q n1 u

|hM8 , y i| 0

1.

(1.252)

If assertion (i) holds, then M8 P E P-almost surely. Then the equality in (1.252) holds automatically, because a sequence pyn qnPN converges for the weak -topology to 0 if and only if limnÑ8 d pyn , 0q 0. For the converse implication we invoke Theorem 1.17. If pyn qnPN is a sequence in the dual unit ball which converges to 0 for the weak topology, then limnÑ8 d pyn , 0q 0. By equality (1.252) it follows that limnÑ8 hM8 , yn i 0 P-almost surely, where the exceptional set does not depend on the specific sequence pyn qnPN . An appeal to Theorem 1.17 then guarantees that M8 P E P-almost surely. This completes the proof of Theorem 1.20.

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79

For a concise formulation of some of the following results we introduce the space L2weak pΩ, Ftτ , Pq in the following definition. In such a space solutions to stochastic differential equations of the form (1.272) ought to be found. Definition 1.8. For s P rτ, ts the space L2weak pΩ, Fsτ , Pq is defined as follows. An element Y psq belongs to the vector space L2weak pΩ, Fsτ , Pq if it has the following properties. Y psq : E Ñ R is P-almost surely linear; we write hY psq, x i for this action. (ii) For every x P E the variable hY psq, x i is Fsτ -measurable, and it belongs to L2 pΩ, Fsτ , Pq. (iii) The supremum (i)

}Y psq}2L

!

2 weak

: sup E |hY psq, x i|

2

)

: x

is finite; equipped with the norm }Y psq}L2 weak is a Banach space.

P E , }x } ¤ 1 the space L2weak pΩ, Fsτ , Pq

¤ s ¤ t, be the σ-field generated by pWH,j pρq : τ ¤ ρ ¤ s, 1 ¤ j ¤ nq . Let the sequence of L2weak pΩ, Ftτ , Pq-valued random variables pMn qnPN be defined by the requirement that for all x P E the following equality holds Proposition 1.6. Let Fsτ,n , τ

P-almost surely: hMn , x i

n »t ¸

j 1 τ

E hC pt, ρqσ pρqej , x i Fρτ,n dWH,j pρq.

(1.253)

Suppose that for all j P N and x P E the process s ÞÑ hC pt, sqσ psqej , x i, τ ¤ s ¤ t, is adapted to the filtration Fsτ σ pWH,j pρq : τ ¤ ρ ¤ s, j P Nq. Then with M0 0 the following equality holds for all x P E :

8 ¸

2 E |hMn Mn1 , x i|

E

» t τ

n 1

}σpρq C pt, ρq x }2H dρ .

(1.254)

From (1.254) it follows that for every x P E the L2 -limit hM8 , x i L2 - limnÑ8 hMn , x i exists, and that for every F P L2 pΩ, Ftτ , Pq the vector E rF M8 s can be considered as E-valued. The vector M8 P L2weak pΩ, Ftτ , Pq can be written as the stochastic integral: M8

»t τ


8 »t ¸

j 1 τ

C pt, ρqσ pρqej dWH,j pρq.

(1.255)

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Moreover, if

8 ¸

|hMn Mn1, x i| sup x PE , }x }¤1 n1

2

8,

P-almost surely,

(1.256)

³t

then the stochastic integral τ C pt, ρqσ pρq dWH pρq belongs to E P-almost surely. If, in addition, the conditional stochastic integrals » t

E τ

τ,n ρ Ft , 1

C pt, ρqσ pρqej dWH,j p

q

¤ j ¤ n, n P N,

(1.257)

³t

belong to E, then so does the stochastic integral τ C pt, ρqσ pρq dWH pρq. Similar results are true if the L2weak pΩ, Ftτ , Pq-valued martingale n ÞÑ Mn n where is replaced by L2weak pΩ, Ftτ , Pq-valued process n ÞÑ M n M 0 In particular, with M

8 ¸

n 1

D E M n

n »t ¸

j 1 τ

C pt, ρqσ pρqej dWH,j pρq.

0 the following equality holds for all x P E :

E2 Mn1 , x

E

» t τ

}σpρq C pt, ρq x }2H dρ . (1.258)

The following lemma gives a sufficient condition in order that M8 P-almost surely. Lemma 1.6. Put ϕN pρq τ lim E M8 N Ñ8

N »t ¸

j 1 τ

tτ 2N

Z

P

E

pρ τ q2N ^, and suppose that tτ ρ

C pt, ϕN pρqq σ pϕN pρqq dWH,j p

q 0.

(1.259)

Then the vector M8 belongs to E P-almost surely. Proof. By a standard result from integration theory there exists a subsequence such that lim M8 kÑ8

Nk » t ¸

j 1 τ

C pt, ϕNk pρqq σ pϕNk pρqq dWH,j p

ρ

q 0, P-almost surely.

(1.260) By definition of the functions ϕ pρq and the definition of stochastic integral, ³t N we see that the integrals τ C pt, ϕN pρqq σ pϕN pρqq dWH,j pρq belong to E. The equality in (1.260) shows that M8 P E P-almost surely.

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In fact, we conjecture that if the functional p : E p px q E

» t τ

81

Ñ r0, 8q defined by

}σpρq C pt, ρq x }2H dρ

(1.261)

is sequentially continuous when E is endowed with the weak -topology, ³t then the stochastic integral τ C pt, ρqσ pρq dWH pρq belongs to E P-almost surely. Proof. [Proof of Proposition 1.6.] The equality in (1.253) is a consequence of the following string of equalities, which are self-explanatory: hMn , x i

n »t ¸

j 1 τ n »t ¸

j 1 τ n »t ¸

j 1 τ

8 »t ¸

j 1 τ

E

E hC pt, ρqσ pρqej , x i Fρτ,n dWH,j pρq E hC pt, ρqσ pρqej , x i Ftτ,n dWH,j pρq

E hC pt, ρqσ pρqej , x i dWH,j pρq Ftτ,n E hC pt, ρqσ pρqej , x i dWH,j pρq Ftτ,n

» t τ

C pt, ρqσ pρq dWH pρq, x

τ,n F . t

(1.262)

By employing martingale convergence in (1.262) the equality in (1.253) follows. The claim that for every F P L2 pΩ, Ftτ , Pq the vector E rF M8 s can be considered as being E-valued in Proposition 1.6 follows from Lemma 1.4 formula (1.213). If (1.256) holds, then, uniformly on the dual unit ball, we have hM8 , x i lim hMn , x i. From (1.256) we also see that Mn P E P-

Ñ8

almost surely for all n P N. Consequently, M8 P E P-almost surely. If (1.257) is satisfied, then these arguments show that M8 P E P-almost surely. n can be proved in more The assertions concerning the process n ÞÑ M or less the same manner; instead of a martingale argument one employs a Hilbert space argument to prove equality (1.258). This completes the proof of Proposition 1.6. n

In Definition 1.9 and Theorem 1.22 we assume that for every s P rτ, ts the mapping y ÞÑ σ ps, y q, y P E, is defined on the space E, and attains its values in L pH, E q, i.e. the space of all bounded linear operators from the

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Hilbert space H to the Banach space E. Similarly, for every s P rτ, ts the mapping y ÞÑ b ps, y q is defined on E, and attains its values in E. Definition 1.9. A solution to (1.195) in E is a process s ÞÑ X τ,xpsq, s P rτ, ts, such that for every s P rτ, ts the stochastic vector X τ,xpsq belongs to the space E, and the following identity holds P-almost surely for all s P rτ, ts: X

τ,x

psq C ps, τ qx »s τ

»s τ

C ps, ρqσ pρ, X τ,x pρqq dWH pρq

C ps, ρqb pρ, X τ,x pρqq dρ,

(1.263)

It is not so easy to work in the space E or L2weak pΩ, Ftτ , Pq directly. In the latter space we use a supremum-norm over the dual unit ball. Instead of taking the supremum-norm we can also take a Borel measure µ on E and look at the following subspace of E: "

x P E : }x}

2 µ

»

*

|hx, x i|2 dµ px q 8

(1.264)

Denote by Eµ the completion of the space in (1.264) with respect to }}µ . Denote by L2µ pΩ, Ftτ , Pq the space of stochastic Eµ -valued vectors X such τ that for µ-almost all x P E the variable hX, x i is Ft -measurable, and ³ 2 2 such that }X }L2 E |hX, x i| dµ px q 8. µ

Proposition 1.7. Suppose that » » t

E τ

}σpρq C pt, ρq x }2H dρ dµ px q

Then the stochastic integral Proof.

³t τ

8.

C pt, ρqσ pρq dWH pρq belongs to L2µ pΩ, Ftτ , Pq.

From (1.258) we obtain

8 » ¸

n 1

E

D E M n

» » t τ

E2 Mn1 , x dµ x

p q

}σpρq C pt, ρq x }2H dρ dµ px q

n From (1.265) we deduce that the sequence M

the space

L2µ

p

Ω, Ftτ , P

q.

8

P

n N

(1.265)

converges to M8 in

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In Definition 1.10 and Theorem 1.21 below we assume that for every s P rτ, ts the mapping Y psq ÞÑ σ ps, Y psqq is defined on the space L2weak pΩ, Fsτ , Pq, and attains its values in L pH, E q, i.e. the space of all bounded linear operators from the Hilbert space H to the Banach space E. Similarly, for every s P rτ, ts the mapping Y psq ÞÑ b ps, Y psqq is defined on L2weak pΩ, Fsτ , Pq, and attains its values in E. Definition 1.10. A solution to (1.195) is a process s ÞÑ X τ,x psq, s P rτ, ts, such that for every s P rτ, ts the stochastic vector X τ,x psq belongs to the space L2weak pΩ, Fsτ , Pq, and the following identity holds P-almost surely for all s P rτ, ts: X

τ,x

psq C ps, τ qx »s τ

»s τ


C ps, ρqb pρ, X τ,x pρqq dρ.

(1.266)

Next we give an existence and uniqueness theorem for solutions to stochastic differential equations with values in L2weak pΩ, Fsτ , Pq. Theorem 1.21. Assume that the coefficients σ ps, Y psqq, and b ps, Y psqq satisfy the following Lipschitz conditions. There exist functions c1 psq and c2 psq, s P rτ, ts, such that for all y P E , and all Y1 psq, Y2 psq P L2weak pΩ, Fsτ , Pq the following inequalities hold:

2 E σ ps, Y2 psqq σ ps, Y1 psqq y H

¤ c1 psq2 }Y2 psq Y1 psq}2L

2 weak

}y }2 ,

(1.267) and E r|hb ps, Y2 psqq b ps, Y1 psqq , y i|s ¤ c2 psq }Y2 psq Y1 psq}L2

weak

}y } . (1.268)

Fix x P E and suppose that »t

sup }C ps, ρq}2 c1 pρq2 dρ 8, and

Pr s

τ s ρ,t

»t

sup }C ps, ρq}2 c2 pρq2 dρ 8.

Pr s

τ s τ,t

¤ s ¤ t the stochastic integral C ps, ρqσ pρ, xq dWH pρq

In addition, suppose that for τ »s τ

belongs to solution s

p q. Then the equation in (1.263) possesses a unique ÞÑ X psq and X τ,xpsq belongs to L2weak pΩ, Fsτ , Pq for all s P

L2weak

Ω, Fsτ , P τ,x

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rτ, ts.

If the process s ÞÑ X τ,x psq can be realized in such a way that for all sequences pyn qnPN P c0 pN, E q the inequalities (1.269) 0 ¤ sup hX τ,x psq, yn i 8

P

n N

holds on an almost sure event Ω1 which does not depend on the choice of the sequence pyn qnPN P c0 pN, E q. Then the solution s ÞÑ X τ,x psq belongs to E P-almost surely. Here a sequence pyn qnPN E belongs to c0 pN, E q if limnÑ8 hy, yn i 0 for every y P E.

Proof. We will construct a solution to the equation in (1.266). To this end we introduce the functions ϕn : rτ, tZs Ñ rτ, ts by ^ t τ pρ τ q2n ϕn pρq τ . (1.270) 2n tτ Notice that ϕ0 pρq τ , τ ¤ ρ t, and tτ ρ n ¤ ϕn pρq ¤ ρ. 2 By induction we define the sequence of E-valued stochastic processes tXnτ,xpsq : τ ¤ s ¤ t, n P Nu (1.271) as follows. For τ ¤ s ¤ t we write X0τ,x psq C ps, τ qx, and the process X1τ,x psq is defined by »s

X1τ,x psq C ps, τ qx

»τs

C ps, τ qx »s τ

τ

C ps, ρqσ pρ, xq dWH pρq

»s τ

C ps, ρqb pρ, xq dρ

C ps, ρqσ pρ, X0τ,x pϕ0 pρqqq dWH pρq

C ps, ρqb pρ, X0τ,x pϕ0 pρqqq dρ.

(1.272)

Then we define the process s ÞÑ psq in terms of ρ ÞÑ pϕn pρqq as follows: »s τ,x Xn 1 psq C ps, τ qx C ps, ρqσ pρ, Xnτ,x pϕn pρqqq dWH pρq Xnτ,x1

»s

Xnτ,x

τ

C ps, ρqb pρ, Xnτ,x pϕn pρqqq dρ.

(1.273)

¤ s1 ¤ s2 ¤ t and y P E we have C ps2 , ρq σ pρ, y q dWH pρq τ

Since for τ » s2

s1

» s2

»τs2 τ

C ps2 , ρq σ pρ, y q dWH pρq

» s1 τ

C ps2 , ρq σ pρ, y q dWH pρq

C ps2 , ρq σ pρ, y q dWH pρq C ps2 , s1 q

» s1 τ

C ps1 , ρq σ pρ, y q dWH pρq (1.274)

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it follows by induction that the processes s ÞÑ Xnτ,x psq, s P rτ, ts, take their values in E P-almost surely. Let x P E . Then from (1.273) we get:

τ,x (1.275) Xn 1 psq Xnτ,x psq, x » s τ,x τ,x C ps, ρq σ pρ, Xn pϕn pρqqq σ ρ, Xn1 pϕn1 pρqq dWH pρq, x τ» s τ,x τ,x C ps, ρq b pρ, Xn pϕn pρqqq b ρ, Xn1 pϕn1 pρqq dρ, x , τ

and hence τ,x τ,x 2 X (1.276) n 1 psq Xn psq, x » s 2 τ,x τ,x ¤ 2 C ps, ρq σ pρ, Xn pϕn pρqqq σ ρ, Xn1 pϕn1 pρqq dWH pρq, x τ

» s 2 C s, ρ

p q bp

pϕn pρqqq b τ For brevity we write Ynτ,x pρq Xnτ,x pϕn pρqq.

pϕn1 pρqq

ρ, Xnτ,x1

ρ, Xnτ,x

dρ, x

2

.

From (1.276) and (1.212) in Lemma 1.4 we deduce

2 E Xnτ,x1 psq Xnτ,xpsq, x » 2 s τ,x τ,x ¤ 2E C ps, ρq σ pρ, Yn pρqq σ ρ, Yn1 pρq dWH pρq, x τ

»

s

2E τ

C s, ρ

p q bp

ρ, Ynτ,x

pρqq b

pρ q

ρ, Ynτ,x1

, x dρ

2

» s τ,x x 2 dρ ρ σ ρ, Ynτ,x ρ C s, ρ σ ρ, Yn 1 H τ »

2 s

τ,x τ,x 2E C s, ρ b ρ, Yn ρ b ρ, Yn1 ρ , x dρ .

2E

p

τ

p qq

p q p

pq

p q

p qq

pq

(1.277)

Inserting the inequalities (1.267) and (1.268) into (1.277) yields:

2 E Xnτ,x1 psq Xnτ,xpsq, x

¤2

»s τ

weak

» s

2

¤2

»s τ

2

c1 pρq2 Xnτ,x pϕn pρqq Xnτ,x 1 pϕn1 pρqqL2

τ

c2 ρ Xnτ,x ϕn ρ

pq

c1 pρq2

p p qq

ps τ qc2 pρq2

pϕn1 p

Xnτ,x1

ρ L2

qq

}C ps, ρq x }2 dρ

weak

C s, ρ

p

q x dρ

2

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τ,x X ϕn ρ n »s

p p qq Xnτ,x1 pϕn1 pρqq2L

¤2

c1 pρq2

τ

2 weak

}C ps, ρq x }2 dρ

ps τ qc2 pρq2 }C ps, ρq}2 }x }2

τ,x X ϕn ρ n

p p qq Xnτ,x1 pϕn1 pρqq2L

2 weak

Put χpρq 2 c1 pρq2

pt τ qc2 pρq2

(1.279)

dρ.

sup }C ps, ρq}

¤¤ τ,x 2 τ,x Φn pρq Xn pϕn pρqq Xn1 pϕn1 pρqqL2 . weak Then from (1.279) we see: Φn

1 psq ¤

»s

Φn psq ¤ With k

»s τ

χ pρk

n 2 we get

Φn psq ¤

1

1

q

»

»s

pn 2q!

s

χ ρ1

τ

From (1.283) it follows that

(1.280)

¤ s ¤ t.

(1.281)

k

Φnk1 pρk

1

q dρk

1.

(1.282)

1

8 ¸

and

¤ n 2, from (1.281) we infer

χpρq dρ

ρk

2

ρ s t

χpρqΦn pρq dρ, τ

τ

By induction with respect to k, 0 ¤ k 1 k!

(1.278)

» s ρ1

χpρq dρ

n2

Φ1 ρ1 dρ1 .

(1.283)

Φn psq8. Then from (1.280) it follows that

n 2

the limit

X τ,x psq L2weak - lim Xnτ,x pϕn pρqq

Ñ8

n

(1.284)

exists. The equality in (1.273) then implies that the process s ÞÑ X τ,x psq satisfies the stochastic differential equation in (1.266). Let X1τ,x psq and X2τ,x psq be two solutions to the equation in (1.266). Then the above arguments applied to the equality X2τ,x psq X1τ,xpsq

»s τ

C ps, ρq pσ pρ, X2τ,x pρqq σ pρ, X1τ,x pρqqq dWH pρq

»s τ

C ps, ρq pb pρ, X2τ,x pρqq b pρ, X1τ,xpρqqq dWH pρq

shows that the P-almost sure equality X2τ,xpsq X1τ,x psq. If (1.269) is satisfied for all sequences pyn qnPN P c0 pN, E q, then Theorem 1.18 entails the inclusion X τ,x psq P E P-almost surely. This concludes the proof of Theorem 1.21.

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In the following theorem we prove a result similar to the one in Theorem 1.21, but in the space L2µ pΩ, Fsτ , Pq instead of L2weak pΩ, Fsτ , Pq. Theorem 1.22. Assume that the coefficients σ ps, y q, and b ps, y q satisfy the following Lipschitz conditions. There exist functions c1 psq and c2 psq, s P rτ, ts, such that for all y P E, and all y1 , y2 P E the following inequalities hold: σ s, y2

p

q σ ps, y1q

y H

¤ c1 psq }y2 y1 }µ }y } ,

(1.285)

and

|hb ps, y2 q b ps, y1 q , y i| ¤ c2 psq }y2 y1 }µ }y } . Suppose that

» s2 »

lim sup sup

Ó

δ 0

s1

sup

Prτ,ts s2 Prs1 ,ts, s2 s1 δ

and

s1

» s2 »

lim sup sup

Ó

δ 0

s1

sup


s1

(1.286)

C s2 , ρ

p

q x 2 dµ px q c1 pρq2 dρ 12 ,

C s2 , ρ

q x 2 dµ px q c2 pρq2 dρ 8.

p

(1.287)

Then the equation in (1.263) possesses a unique solution s ÞÑ X psq and s P rτ, ts, provided that for every X τ,x psq belongs to L2weak pΩ, Fsτ , Pq for all ³ ps, xq P rτ, ts E the stochastic vector τs C ps, ρqσpρ, xq dWH pρq belongs to L2µ pΩ, Fsτ , Pq. τ,x

The latter means that » » s

E τ

}σpρ, xq C ps, ρq x }2H dρ dµ px q

8.

Proof. The proof of Theorem 1.22 follows the same pattern as that of Theorem 1.21. Again we construct the sequence tXnτ,xpsq : τ ¤ s ¤ t, n P Nu in (1.271) satisfying (1.272) and (1.273). Inserting the inequalities (1.285) and (1.286) into (1.277) yields the following inequality:

2 E Xnτ,x1 psq Xnτ,x psq, x

¤2

»s τ

2

c1 pρq2 Xnτ,x pϕn pρqq Xnτ,x 1 pϕn1 pρqqL2 }C ps, ρq x } dρ

» s

2 τ

2

µ

c2 ρ Xnτ,x ϕn ρ

pq

p p qq

pϕn1 p

Xnτ,x1

ρ L2 C s, ρ

qq

µ

p

q x dρ

2

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¤2

»s τ

c1 pρq2

ps τ qc2 pρq2

τ,x X ϕn ρ n

p p qq Xnτ,x1 pϕn1 pρqq2L }C ps, ρq x }2 dρ. 2 µ

(1.288)

The inequality in (1.288) is the same as the one in (1.278) except that here we write }}L2 instead of }}L2 . Instead of χpρq and Φn pρq as in (1.280) µ weak we know introduce the functions: »

ps τ qc2 pρq2 }C ps, ρq x }2 dµ px q 2 Φµ,n pρq Xnτ,x pϕn pρqq Xnτ,x 1 pϕn1 pρqqL . Then we choose δ ¡ 0 so small that »s sup χµ pρ, sq ds ¤ 1 η 1, χµ pρ, sq 2 c1 pρq2

2 µ

and (1.289)

2

Pr

ρ s1 ,s2

s

(1.290)

ρ

for some η ¡ 0 and for all s1 , s2 P rτ, ts such that 0 ¤ s2 s1 ¤ δ. By the assumptions in (1.287) such a choice is possible. Integrating (1.288) relative to dµ px q yields: Φµ,n

1

ps q ¤

»s τ

χµ pρ, sqΦµ,n pρq dρ.

Next we define the sequence of functions χµ,n pρ, sq, τ as follows: χµ,1 pρ, sq χµ pρ, sq, χµ,2 pρ, sq χµ,n pρ, sq

»

ρ ρn1

»

ρ1 s

»s ρ

(1.291)

¤ ρ ¤ s ¤ t, n P N,

χµ pρ, ρ1 q χµ pρ1 , sq dρ1 , and

dρn1 . . . dρ1 χµ pρ, ρn1 q

n ¹1

(1.292) χ µ p ρ j , ρ j 1 q χ µ pρ 1 , s q

j 2

for n ¥ 3. The function χµ,n pρ, sq is kind of a generalized n-fold convolution product of χµ pρ, sq with itself. From the choice of δ ¡ 0 and η ¡ 0 we see that » s2 s1

χµ,n ps1 , sq ds ¤ p1 η qn , for 0 ¤ s2 s1

¤ δ, n P N.

(1.293)

Moreover, it is not difficult to show that Φµ,n

1

psq ¤

»s τ

χµ,n pρ, sqΦµ,1 pρq dρ, n ¥ 1.

From (1.293) and (1.293) we get: »τ

δ

Φµ,n τ

1

psq ds ¤ p1 ηq

»τ n τ

δ

Φµ,1 psq ds.

(1.294)

(1.295)

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From (1.295) we infer that

8 »τ ¸

δ

n 1 τ

Φµ,n psq ds 8.

(1.296)

°8

From (1.296) it follows that n1 Φµ,n psq 8 for almost all s P rτ, τ δ s. This means that for almost all s P rτ, τ δ s the process X τ,x psq L2µ - limnÑ8 Xnτ,x pϕn psqq exists, and that for such s the equality in (1.266) holds; i.e. »s

X τ,x psq C ps, τ qx »s τ

τ


C ps, ρqb pρ, X τ,x pρqq dρ.

(1.297)

Then we use continuity in s P rτ, τ δ s to prove that (1.297) holds for all s P rτ, τ δ s. Once this is done we repeat the previous argument on the interval rτ δ, τ 2δ s with initial value X τ,xpτ δ q instead of x. In finite many steps we construct a (unique) solution on the interval rτ, ts. All this completes the proof of Theorem 1.22. Remark 1.6. Let the operator families C1 pρq, and C2 pρq, ρ P rτ, ts, consist of operators from the Hilbert space H to the Banach space E with appropriate measurability properties. Instead of the Lipschitz conditions (1.285) and (1.286) we could have taken conditions of the form: σ s, y2

p

q σ ps, y1q

y H

¤ }y2 y1 }µ }C1 psq y } ,

(1.298)

and

|hb ps, y2 q b ps, y1 q , y i| ¤ }y2 y1 }µ }C2 psq y } .

(1.299)

In order to get conclusions like in Theorem 1.22 the conditions in (1.287) have to pe replaced with » s2 » C1 pρq C ps2 , ρq x 2 dµ px q dρ 1 , lim sup sup sup H 2 δ Ó0 s1 Prτ,ts s2 Prs1 ,ts, s2 s1 δ s1 and

» s2 »

lim sup sup

Ó

δ 0

s1

sup


s1

C2 ρ

p q C ps2 , ρq x 2H dµ px q dρ 8. (1.300)

We conclude this introduction by collecting some well-known and not so well-known results about martingales and stopping times for timehomogeneous Markov processes.

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1.3

Martingales

In this section we recall some interesting facts about martingales. This material is taken from [Van Casteren (2002)]. (1) Let pΩ, F , Pq be a probability space, and let pFt : t ¥ 0q be a filtration on Ω; i.e. s t implies Fs Ft F . Suppose that F is the σ-field generated by Ft, t ¥ 0. Moreover, let Y belong to L1 pΩ, F , Pq. Put M ptq E Y Ft . Then the process is the standard example of a closed martingale. This martingale is closed, because Y L1 - limtÑ8 M ptq. This limit is also an P-almost sure limit. (2) Let pΩ, F , Pq be a probability space and let W ptq : Ω Ñ Rd be Brownian motion starting at zero. Then the process W ptq, t ¥ 0, is a 2 martingale. The same is true for the process t ÞÑ |W ptq| dt. (3) Let pΩ, F , Pq be a probability space and let W ptq : Ω Ñ Rd be Brownian motion. Let tH ptq : t ¥ 0u be a predictable process. This means that H ptq is Ft -measurable for each t ¥ 0, and that the mapping pt, ωq ÞÑ H pt, ωq is measurable with respect to the σ-field generated by (

1ps,ts b 1A : A Fs -measurable, s t .

³ t

2 0 |H psq| ds 8 for all t ¡ 0. Then the process ³t t ÞÑ 0 H psq dW psq is a martingale in L2 pΩ, F , Pq. If we only assume ³t 2 that the expression 0 |H psq| ds are finite P-almost surely for all t ¡ 0, then this process is a local martingale. A process t ÞÑ M ptq is called

Suppose that E

a local martingale, if there exists a sequence of stopping times Tn , n P N, which increases to 8, such that every process t ÞÑ M pt ^ Tn q is a genuine martingale. A similar notion is available for local submartingales, local super-martingales, and processes which are locally of bounded variation. A process X ptq P L1 pΩ, F , Pq with the property that E X ptq Fs ¥ X psq, P-almost surely for t ¡ s, is called a sub martingale, and a process with E X ptq Fs ¤ X psq, P-almost surely for t ¡ s, is called a super-martingale. A process X ptq P L1 pΩ, F , Pq is of bounded variation on the interval r0, T s if #

sup

N¸1

|X pX ptj 1 qq X pX ptj qq| : 0 t0 t1 tN 1 tN T

+

j 0

is finite. Doob-Meyer’s decomposition theorem says that every local sub-martingale X ptq of class DL (locally) can be decomposed as a sum

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X ptq M ptq Aptq, where M ptq is a local martingale and Aptq is an increasing process. By definition the process t ÞÑ X pt ^ T q is of class DL if the collection tX pτ q : τ ¤ T , τ stopping timeu is uniformly integrable. (4) Let M1 ptq and M2 ptq be two martingales in L2 pΩ, F , Pq. Then there exists a process of bounded variation hM1 pq, M2 pqi ptq, the covariation process of M1 ptq and M2 ptq such that the process t ÞÑ M1 ptqM2 ptq hM1 pq, M2 pqi ptq is an L1 -martingale. A similar result ³t is true for local martingales. If Mj ptq 0 Hj psqdW psq, j 0, 1, ³t where H1 ptq and H2 ptq are predictable processes for which 0 |Hj psq|2 ds is P-almost surely finite for all t ¥ 0i, and for j 1, 2. Then ³t hM1 pq, M2 pqi ptq 0 H1 psqH2 psqds. Instead of hM1 pq, M2 pqi ptq we often write hM1 , M2 i ptq; if M1 ptq M2 ptq M ptq we also write hM i ptq hM, M i ptq. (5) Exponential martingales. Suppose that M ptq and N ptq are martingales. Then the process t ÞÑ E pN qptq : exp

N ptq 12 hN, N i ptq

is a martingale, provided Novikov’s condition, i.e.

E exp

1 hN, N i ptq 2

8

is satisfied for all t ¥ 0. In addition, the process t ÞÑ exp

N ptq 12 hN, N i ptq pM ptq

is a martingale. If M ptq N ptq, for all t (1.301) is the same as the second one in t ÞÑ exp t ÞÑ exp

M ptq

M ptq

hN, M i ptqq

(1.301)

¥ 0, then the martingale in

1 hM, M i ptq and 2

1 hM, M i ptq pM ptq 2

(1.302) hM, M i ptqq .

(1.303)

The factor E pN q can be considered as an risk adjustment factor, M ptq can be interpreted as the volatility (fluctuation, diffusion part), and hN, M i ptq is the drift or trend of the process. Define the exponential measure QN by QN rAs E rEN pT q1A s, A P FT . Let EN denote the corresponding expectation. The process M hN, M i is

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then a local martingale with respect to the measure QN . This follows from Itˆ o calculus in the following manner. First notice that dEN ptq EN ptqdN ptq, and hence, for 0 ¤ t1 t2 ¤ T we have EN pt2 q pM pt2 q

» t2

t1 » t2 t1 » t2 t1

hN, M i pt2 qq EN pt1 q pM pt1 q

EN psq pM psq

hN, M i psqq dN psq

EN psq pdM psq

d hN, M i psqq

EN psq pM psq

» t2

hN, M i psqq dN psq

t1

hN, M i pt1 qq

EN psq d hN, M i psq » t2 t1

EN psq dM psq . (1.304)

As a consequence of (1.304) we see that the process t ÞÑ EN ptq pM ptq

hN, M i ptqq

(1.305)

is a (local) P-martingale. Here we use the fact that stochastic integrals with respect to martingales are (local) martingales. 1 1 p T q hN,N i hN,N ipT q If the expectations E e 2 , E e2 hN, N i pT q , and

E e 2 hN,N ipT q hM, M i pT q are finite, then the stochastic integrals in (1.304) are genuine martingales. This follows from the equalities: 1

EN M pt2 q

pM pt1 q hN, M i pt1 qq EN M pt2 q hN, M i pt2 q pM pt1 q hN, M i pt1 qq Ft E EN pT q pM pt2 q hN, M i pt2 qq EN pT q pM pt1 q hN, M i pt1 qq Ft (the process EN ptq is a P-martingale) E EN pt2 q pM pt2 q hN, M i pt2 qq EN pt1 q pM pt1 q hN, M i pt1 qq Ft 0,

hN, M i pt2 q Ft1

1

1

1

where in the final step we used the martingale property of the process in (1.305). Corollary 1.7. Let N ptq be a martingale for which Novikov’s condition is satisfied. Put (Radon-Nikodym derivative)

dQ 1 exp N pT q 2 hN, N i pT q . dP Suppose that W ptq M ptq is a Brownian motion with respect to P. Then W ptq hN, W i ³ptq is a Brownian motion with respect to Q. In ³t t particular, if N ptq 0 bpsqdW psq, then W ptq b p s qds, 0 ¤ t ¤ T , 0 is a Brownian motion with respect to Q.

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As a consequence result. ³ we get the following Suppose that the pro³t t 2 cess t ÞÑ exp 0 bpsqdW psq 12 0 |bpsq| ds is a martingale, and let Φ, Ψ : C pr0, T s, Rnq Ñ C be bounded continuous functions. Then it follows that »

» »t T 1 T 2 E Φ t ÞÑ W ptq bpsqds exp bpsqdW psq |bpsq| ds 2 0 0 0

E rΦ pt ÞÑ W ptqqs , and

»t E Ψ t ÞÑ W ptq bpsqdW psq E

0

Ψ pt ÞÑ W ptqq exp

»

T 0

(1.306)

bpsqdW psq

1 2

»T 0

|bpsq|

2

. (1.307)

ds

Let Ψ : C pr0, T s, Rn³q Ñ C be a bounded continuous function, and t ptq W ptq put W 0 bpsq ds. By applying (1.306) to the function Φ defined by

ptq Φ t ÞÑ W

» T

ptq Ψ tÑ Þ W

exp 0

psq bpsqdW

1 2

»T

|bpsq|

0

2

ds

we see that (1.307) is a consequence of (1.306). (6) Let H ptq be a predictable process, and let M ptq be a martingale. Suppose

» t

|H psq|2 d hM, M i psq 8, t ¡ 0. (1.308) 0 ³t Then the stochastic integral t ÞÑ 0 H psqdM psq is well defined (as an E

Itˆ o integral). Moreover, it is a martingale and the equality » 2 t E H s dM s

pq

0

pq

E

» t 0

|H psq|2 d hM, M i psq

is valid. If H1 ptq and H2 ptq are predictable processes which satisfy (1.308), then » t

E 0

H1 psqdM psq

» t

»t 0

H2 psqdM psq

E H1 psq H2 psqd hM, M i psq . 0 Hj ptq 1A b 1pu ,8q ptq, Aj P Fu , j 1, 2,

(1.309)

For the equality in j j j (1.309) is readily established, for linear combinations of such indicator functions (i.e. for simple processes) the result also follows easily. A density argument will do the rest.

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(7) Suppose that L generates a Feller semigroup with corresponding Markov process

tpΩ, F , Pxq , pX ptq : t ¥ 0q , pϑt : t ¥ 0q , pE, E qu . Let f be a function in DpLq. Then the process »t t ÞÑ Mf ptq : f pX ptqq f pX p0qq Lf pX psqqds 0

is a martingale. (8) Let L generate the semigroup etL , t ¥ 0. Suppose that the marginals of the corresponding Markov process have a density: etL f pxq Ex rf pX ptqqs

»

p0 pt, x, y qdmpy q

for some reference measure m. Then the process s ÞÑ p0 pt s, X psq, y q is a Px -martingale on the half open interval r0, tq. (9) Let L be the second order differential operator Lf

1 ¸ B2f . ajk 2 j,k1 Bxj Bxk d

b ∇f

Then for C 2 -functions f1 , f2 we have hMf1 , Mf2 i ptq

»t 0

Γ1 pf1 , f2 q pX psqqds

where d ¸

Γ1 pf1 , f2 q pxq

j,k 1

ajk pxq

Bf1 pxq Bf2 pxq . Bxj Bxk

The operator pf1 , f2 q ÞÑ Γ1 pf1 , f2 q is called the squared gradient operator, or in French, the opérateur carré du champ. The process hMf1 , Mf2 i ptq is called the (quadratic) covariation process of the local martingales Mf1 and Mf2 . (10) Itˆ o’s formula. Let X ptq M ptq

Aptq pM1 ptq, . . . , Md ptqq

pA1 ptq, . . . , Ad ptqq be a continuous semi-martingale, where Mj ptq, 1 ¤ j ¤ d, are local martingales, and where the process Aj , 1 ¤ j ¤ d, are locally of bounded variation. Let f : Rd Ñ C be a C 2 -function. Then »t »t f pX ptqq f pX p0qq ∇f pX psqqdM psq ∇f pX psqqdApsq 0

d » 1 ¸ t

2 j,k1

0

0

Bf Bxj Bxk pX psqq d hMj , Mk i psq. 2

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We notice that hXj , Xk i ptq hMj , Mk i ptq. Itô’s formula says that, under the action of C 2 -functions local semi-martingales are preserved. In other words, if X ptq M ptq Aptq is a local semi-martingale (i.e. a sum of a local martingale and a process which is locally of bounded variation), and if f : Rd Ñ R is a C 2 -function, then the process t ÞÑ f pX ptqq is a again a local semi-martingale. 1.4

Operator-valued Brownian motion and the Heston volatility model

We insert a definition of an operator-valued Brownian motion. For matrixvalued Brownian motion see e.g. [Biane (2009)] and the references given therein. Perhaps this section can be phrased in terms of quantum probability: see e.g. [Franz and Schott (1999)], [Meyer (1993)], [Biane (1995)], [Hudson and Lindsay (1998)], [Rebolledo et al. (2004)]. A main motivation to include it in this book is that the results in Theorem 1.23 put the Heston volatility model in an operator framework, so that, in principle the material could also be used for stochastic volatility matrices. Definition 1.11. Let pH, h, iH q be a Hilbert space, and let LpH q denote the C -algebra of all bounded linear operators defined on H with values in H. Let pΩ, FT , Eq be a probability space. An LpH q-valued process pB pτ qqτ Pr0,T s is called a Brownian motion if for every every pair pf, gq P H H the process τ ÞÑ hB pτ qf, giH is a P-martingale relative to the filtration determined by the variables B pτ q, τ P r0, T s, and if for every quadruple pf1 , f2 , g1 , g2q P H H H H the equality hhB pqf1 , f2 iH , hg1 , B pqg2 iH i pτ q

τ hf1 , f2 iH hg1 , g2 iH

(1.310)

holds. In other words, for every f P H with }f }H 1 the process τ ÞÑ hB pτ qf, f iH is a Brownian motion, and if f and g are vectors in H such that hf, giH 0, and }g }H }f }H 1, then the Brownian motions τ ÞÑ hB pτ qf, f iH and τ ÞÑ hB pτ qg, giH are P-independent. It follows from Lévy’s theorem that such processes τ ÞÑ hB pτ qf, f iH , }f }H 1, are classical Brownian motions. Again we can introduce LpH q-valued stochastic integrals using the weakoperator topology. Let τ ÞÑ Φ1 pτ q and τ ÞÑ Φ2 pτ q be adapted process with ³T

property that E 0 }Φj pρqf }H dρ 8 for j 1, 2. Let peℓ qℓPN be an orthonormal basis in H, and let f , g P H. Then the stochastic integrals 2

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96

³τ 0

MarkovProcesses

Φj pρq dB pρqf , j 1, 2, have the following basic properties: » τ »τ»τ Φ1 pρq dB pρqf, g d hB pqf, Φ1 pρq giH pρq 0

»τ»τ 0

0

P

0

0

H

¸»τ

ℓ N 0 » τ

H

d hf, pdB pρq q Φ1 pρq gi

pρ q

d hB pρqf, eℓ iH hΦ1 pρqeℓ , giH , and »τ

Φ1 pρq dB pρqf, Φ1 pρq dB pρqg 0 » τ » τ E Φ1 pρqf, Φ1 pρqg dρ .

E

0

0

0

H

H

(1.311)

³τ

It follows that the stochastic integrals τ ÞÑ 0 Φj pρq dB pρqf , j 1, 2, belong to that subspace of L2weak pΩ, FT , Pq which are H-valued L2 martingales relative to the filtration determined by the stochastic variables τ ÞÑ hB pτ qh1 , h2 iH , τ P r0, T s, h1 , h2 P H. For the definition of this space the reader is referred to Definition 1.8. Itô’s formula is available in some restricted sense. Then the following equality holds for all f , g P H: » τ »τ Φ1 pρq dB pρqf, Φ1 pρq dB pρqg 0 0 H »τ »ρ 1 1 Φ1 pρq dB pρqf, Φ2 ρ dB ρ 0 0 H »τ »ρ 1 1 Φ1 ρ dB ρ f, Φ2 pρq dB pρq 0

»τ 0

0

H

hΦ1 pρqf, Φ2 pρqiH dρ.

(1.312)

A proof of the equality in (1.312) can be based on the following arguments. By density and bilinearity it suffices to prove (1.312) for Φj of the form Φj pτ q Tj 1ptj ,8q pτ q where, for every f , g P H the random variable hTj f, giH is Ftj -measurable, j 1, 2. Here Ft is the σ-field generated by the variables τ ÞÑ hB pτ qf, giH , 0 ¤ τ ¤ t, f , g P H. Let the τ ÞÑ A1 pτ q M1 pτ q and τ ÞÑ A2 pτ q M2 pτ q be LpH q-valued local semimartingales, i.e. the processes τ ÞÑ hAj pτ qf, giH . j 1, 2, are locally of bounded variation P-almost surely, and the processes τ ÞÑ hMj pτ qf, giH , j 1, 2, are local martingales for all elements f , g P H. Then for the covariation of the processes of the processes A1 pτ q M1 pτ q and A2 pτ q M2 pτ q we write hpA1 pq

M1 pqq f, pA2 pq

M2 pqq gi pτ q

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8 ¸ 8 ¸

hhpA1 pq

M1 pqq f, eℓ iH , heℓ , pA2 pq

97

M2 pqq giH i pτ q

ℓ 1

hhM1 pqf, eℓ iH , heℓ , M2 pqgiH i pτ q.

(1.313)

ℓ 1

The second equality in (1.313) follows because the classical covariation of real or complex semi-martingales only depends depends on the martingale parts of these process. Since, by the definition of operator-valued Brownian motion, hhB pqf, em iH , hen , B pqgiH i pτ q τ hf, em iH hen , giH , τ we obtain the following equalities: * » pq A1 pq Φ1 pρq dB pρq f, A2 pq

»τ 0

0

» pq 0

P r0, T s, f, g P H, +

Φ2 pρq dB pρq g

hΦ1 pρqf, Φ2 pρqgiH dρ,

pτ q (1.314)

whenever the operator-valued processes Φ1 pτ q and Φ2 pτ q are predictable and satisfy: »

T

E 0

hΦj pρqf, Φj pρqf iH dρ

8, f P H,

j

1, 2.

We also observe that the process τ ÞÑ B pτ q is a Brownian motion. In the following (proof of) Theorem 1.23 the equalities in (8.217), (8.81), (1.312), (1.313) and (1.314) will be freely used. Throughout the present section it is assumed that the stochastic processes are adapted to the filtration determined by the stochastic variables thB pτ qf, giH : τ P r0, T s, f, g P H u. Let Fτ be the σ-field generated by thB pρqf, giH : 0 ¤ ρ ¤ τ P r0, T s, f, g P H u. Moreover, it is assumed that, unless stated otherwise, all operator-valued processes are adapted and continuous for the weak operator topology, and that therefore they are automatically predictable. This in the sense that the mappings pτ, ω q ÞÑ Φj pτ, ω q, j 1, 2, are measurable with respect ( to the σ-field generated by 1pa,bs b 1A : 0 ¤ a b ¤ T, A P Fa ; compare with item (3) in §1.3. Let τ ÞÑ Mj pτ q, τ P r0, T s, j 1, 2, be two semimartingales with values in the Hilbert space H. Notice that one has to distinguish between hM1 pq, M2 pqi pτ q, which the covariation process between τ ÞÑ M1 pτ q and τ ÞÑ M2 pτ q and hM1 pτ q, M2 pτ qiH , which denotes an inner-product. Theorem 1.23. The following assertions are equivalent.

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(1) There exists an adapted LpH q-valued process τ which satisfies the integral equation: Apτ q Ap0q

12

» τ 0

ÞÑ Apτ q, τ P r0, T s, (1.315)

1 pApρq B pρq q1 κ pApρq B pρqq dρ. adapted LpH q-valued process τ ÞÑ Apτ q, τ P r0, T s,

4κη λ2

(2) There exists an which satisfies the integral equation »τ

2 0

pApρq »τ

κ 0

B pρq q dApρq

pApρq

B pρqq

pApρq

(1.316) B pρqq dρ

4κη λ2

1

τ I.

(3) There exists a pair of adapted LpH q-valued processes τ ÞÑ pV pτ q, Uλ pτ qq, τ P r0, T s, with V pτ q Uλpτ q Uλpτ q, which has the following properties. (a) The following stochastic differential equation holds: λ dV pτ q κ pηI V pτ qq dτ pUλpτ q dB pτ q dB pτ q Uλpτ qq . 2 (1.317) (b) For all f , g P 2 H the following equality holds: τ P r0, T s. hUλ pqf, Uλ pqgi pτ q λ4 τ hf, gi, ³τ (c) For all τ P r0, T s the operators 0 Uλ pρq d Uλ λ2 B pρq are selfadjoint P-almost surely.

(4) There exists an adapted LpH q-valued semi-martingale τ r0, T s, with the following properties.

ÞÑ U pτ q, τ P

(a) The following stochastic differential equation holds: d pU pτ q U pτ qq κ

4η I U pτ q U pτ q λ2

pdB pτ qq U pτ q

dτ

U pτ q dB pτ q.

(1.318)

(b) For all f , g P H the following equality holds: hU pqf, U pqgi pτ q τ hf, gi, τ P r0, T s. ³τ (c) For every τ P r0, T s the operator 0 U pρq d pU B q pρq is selfadjoint P-almost surely.

(5) There exists an adapted LpH q-valued semi-martingale τ ÞÑ U pτ q, τ r0, T s, which satisfies the following stochastic differential equation: dU pτ q

1 2

4κη λ2

1 pU pτ q q1 κU pτ q dτ

dB pτ q.

P

(1.319)

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(6) There exists an LpH q-valued predictable process τ following properties: (a) The operator-valued martingales τ defined by M1 pτ q

M 1 p0 q

M2 pτ q

M 2 p0 q

»τ »0τ 0

pApρq

99

ÞÑ Apτ q

with the

ÞÑ Mj pτ q, τ P r0, T s, j 1, 2, B pρqq dB pρq, and

pApρq

B pρq q dB pρq,

(1.320)

satisfy the following integral equality: d hM1 pqf, M1 pqgi pτ q κ hM1 pqf, M1 pqgi pτ q (1.321) dτ hAp0qf, Ap0qgiH 4κητ hf, giH λ2 hpM2 pτ q M2 p0qq f, giH hf, pM2 pτ q M2 p0qq giH ,

for all f , g P H. (b) The predictable process τ ÞÑ hApτ qf, giH is locally of bounded variation for all f, ³g P H, τ (c) The operators 0 pApρq B pρq q dApρq are almost surely selfadjoint.

(7) There exists an LpH q-valued predictable process τ ÞÑ Apτ q, which satisfies the conditions in (b) and (c) of item (6), possesses the following additional property. The operator-valued martingales τ ÞÑ Mj pτ q, τ P r0, T s, j 1, 2 defined as in (1.320) satisfy the following integral equality: hM1 pqf, M1 pqgi pτ q 4η κλ 2

»τ 0

eκτ

1

1 eκτ hAp0qf, Ap0qgiH κ

τ κ hf, giH

eκpτ ρq pxpM2 pρq M2 p0qqf, g yH

xf, pM2 pρq M2p0qqgyH qdρ. (1.322)

Proof. The equivalence of (1) and (2) follows by differentiating the expressions in (1.315) and (1.316) respectively. 1 2λ

(2) ùñ (3). Let the process Apτ q pApτ q B pτ qq. From (1.316) we get: »τ 0

pApρq

B pρq q dApρq

»τ 0

be as in (2).

pdApρqq pApρq

B pρqq

Put Uλ pτ q

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»τ

κ 0

pApρq

B pρqq pApρq

B pρqq dρ

4κη λ2

1

τ I.

(1.323)

From Itˆ o calculus and (1.323) we obtain: λ2 d ppApρq B pρq q pApρq B pρqqq 4 2 λ4 ppApτ q B pτ q q dApτ q dApτ q pApτ q B pτ qqq λ2 λ2 p dB pτ q pApτ q B pτ qq pApτ q B pτ q qq I dτ 4 4 κ pηI V pτ qq dτ λ2 pdB pτ q Uλpτ q Uλpτ q dB pτ qq . (1.324) The equality in (1.317) follows from (1.324). This shows (a) of Assertion (3). The statement in (b) follows from the equality in (1.316). Finally, (c) is a consequence of the representation Uλ pτ q 12 λ pApτ q B pτ qq, where Apτ q is locally of differentiable P-almost surely. It follows that dV pτ q

hUλ pqf, Uλ pqgi pτ q

λ2 λ2 hB pqf, B pqgi pτ q hf, giH τ. 4 4

(1.325)

Then (1.325) implies (c).

The equivalence of (3) and (4) follows by the relationship λU pτ q 2Uλ pτ q where Uλ pq and U pq are as in (3) and (4) respectively.

(4) ùñ (5). Let the process τ ÞÑ U pτ q be as in (4). In particular it satisfies the equation in (1.318). This together with (b) and (c) in (4) and Itˆ o calculus shows: 2U pτ q d pU

B q pτ q

U pτ q d pU pτ q B pτ qq d pU pτ q B pτ q q U pτ q d pU pτ q U pτ qq I dτ U pτ q dB pτ q d pB pτ q q U pτ q κ

4η λ2

U pτ q U pτ q

dτ

I dτ.

(1.326)

The equation in (1.319) follows from (1.326). Consequently, (5) follows from (4). In fact the Assertions (2) and (4) are also easy consequences of (5), as we shall see next.

(5) ùñ (2). Let the LpH q-valued process τ in (5). Put Apτ q

U pτ q B pτ q U p0q

» τ 0

4κη λ2

ÞÑ U pτ q have the properties

1 pU pρq q1 κU pρq dρ. (1.327)

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Then from (1.319) we get

pApτ q B pτ q q dApτ q dApτ q pApτ q B pτ qq κ pApτ q B pτ q q pApτ q B pτ qq dτ U pτ q d pU B q pτ q pU pτ q d pU B q pτ qq

κU pτ q U pτ q dτ

(apply (1.319))

4κη λ2

1

(1.328)

I dτ.

Since, by (c) of (5) operators of the form »τ 0

pApρq

B pρq q dApρq

»τ 0

U pρq d pU

B q pρq

are self-adjoint the equality in (1.316) follows. This completes the proof of the implication (5) ùñ (2). (2) ùñ (6). Let the process τ ÞÑ Apτ q be as in (1.316), and define the LpH q-valued martingales Mj pτ q, j 1, 2, as in (1.320). Then by Itô calculus and by the proof of the implication (2) ùñ (3) we obtain

pApτ q B pτ q q pApτ q B pτ qq »τ pApρq B pρq q dApρq Ap0q Ap0q »τ 0

0

pApρq

B pρq q dB pρq

»τ 0

»τ 0

dApρq pApρq

dB pρq pApρq

(apply (1.323) in the proof of the implication (2)

Ap0q Ap0q

»τ

B pρqq

B pρqq τI

ùñ (3))

1 τ I κ pApρq B pρq q pApρq B pρqq dρI 0 τ I M2 pτ q M2 pτ q M2 p0q M2 p0q »τ κ pApρq B pρq q pApρq B pρqq dρ Ap0q Ap0q 4κη τ I λ2 0 M2 pτ q M2 pτ q M2 p0q M2 p0q . (1.329) Let f , g P H. Then by (8.81) and (1.329) we see 4κη λ2

d hM1 pqf, M1 pqgi pτ q κ hM1 pqf, M1 pqgi pτ q dτ » d τ dτ hpApρq B pρqq f, pApρq B pρqq giH dρ 0

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»τ

κ 0

hpApρq

B pρqq f, pApρq

B pρqq giH dρ

dτd hM1 pqf, M1 pqgi pτ q κ hM1 pqf, M1 pqgi pτ q hpApτ q B pτ q q pApτ q B pτ qq f, giH »τ κ hpApρq B pρq q pApρq B pρqq f, giH dρ 0

4κη τ M2 pτ q M2 pτ q M2 p0q M2 p0q f, g λ2 H 4κη hAp0qf, Ap0qgiH λ2 τ hf, giH hpM2 pτ q M2 p0qq f, giH hf, pM2 pτ q M2 p0qq giH . (1.330)

Ap0q Ap0q

The equality in (1.195) completes the proof of the implication (2)

ùñ (6).

(6) ðñ (7). The fact that the equalities in (1.321) and (1.322) are equivalent is a simple exercise in ordinary differential equations. It follows that the assertions (6) and (7) are equivalent.

(6) ùñ (2). The arguments in the proof of the implication (2) ùñ (6) can be reversed. More precisely, if (6) is true, then the equality in (1.321) holds. It follows that the equalities in (1.330) hold. An application of Itô calculus then yields the equality:

pApτ q B pτ q q dApτ q dApτ q pApτ q B pτ qq I dτ κ pApτ q B pτ q q pApτ q B pτ qq dτ 4κη I dτ pApτ q B pτ q q dB pτ q dB pτ q pApτ q B pτ qq . (1.331) λ2 (See (1.328) in the proof of the implication (5) ùñ (2).) From property (c) in (6) we get dApτ q pApτ q B pτ qq pApτ q B pτ q q dApτ q, and hence (1.331) implies 2 pApτ q

4κη λ2

B pτ q q dApτ q

1

κ pApτ q

B pτ q q pApτ q

B pτ qq dτ

I dτ,

and so (1.316) in Assertion (2) follows. This completes the proof of Theorem 1.23.

As a corollary to Theorem 1.23 we have the following results. Corollary 1.8. Theorem 1.23 is also true if throughout we assume that the operators Apτ q B pτ q, respectively, U pτ q, τ P r0, T s, are predictable

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103

and self-adjoint. In this case the martingales M1 pτ q and M2 pτ q in Assertions (6) and (7) may be taken equal. If moreover, it is assumed that throughout Theorem 1.23 the operators Apτ q B pτ q, respectively, U pτ q, τ P r0, T s, are predictable and positive, then not only the martingales M1 pτ q and M2 pτ q in Assertions (6) and (7) may be taken equal, but the operator process τ ÞÑ V pτ q satisfies an operator version of the volatility Heston model. This means that the equation in (1.317) can be written in the form: dV pτ q κ pηI

λ a V pτ q dB pτ q 2

V pτ qq dτ

dB pτ q

a

V pτ q . (1.332)

In the following theorem we specialize the result in Theorem 1.23 to the case where H R. If in (1.335) the process Uλ pτ q is non-negative, then this equation corresponds to the classical Heston model for the volatility. For more details on the Heston volatility model see e.g. [Feng et al. (2010); In ’t Hout and Foulon (2010)] and many others. It was Heston [Heston (1993)] who first used this stochastic volatility model. For a related stochastic interest rate model the reader is referred to [Cox et al. (1985)]. Theorem 1.24. The following assertions are equivalent. (1) There exists an adapted R-valued process τ satisfies the integral equation: Apτ q Ap0q

1 2

» τ 0

4κη λ2

1

κ pApρq Apρq B pρq 1

(2) There exists an adapted R-valued process τ satisfies the integral equation »τ

2 0

pApρq

B pρqq dApρq

»τ

κ 0

ÞÑ Apτ q, τ P r0, T s, which

pApρq

B pρqq

dρ.

(1.333)

ÞÑ Apτ q, τ P r0, T s, which

B pρqq dρ

2

4κη λ2

1

τ.

(1.334) (3) There exists a pair of adapted R-valued processes τ ÞÑ pV pτ q, Uλ pτ qq, τ P r0, T s, with V pτ q Uλ pτ q2 , such that the following stochastic differential equation holds: dV pτ q

κ pηI V pτ qq dτ

λUλ pτ q dB pτ q.

(4) There exists an adapted R-valued semi-martingale τ ÞÑ U pτ q, τ such that the following stochastic differential equation holds: d U pτ q

2

κ

4η I U pτ q2 λ2

dτ

2U pτ q dB pτ q.

(1.335)

P r0, T s, (1.336)

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(5) There exists an adapted R-valued semi-martingale τ ÞÑ U pτ q, τ which satisfies the following stochastic differential equation: dU pτ q

1 2

4κη λ2

1

U pτ q1 κU pτ q

(6) There exists an R-valued martingale τ integral equality is satisfied:

dτ

dB pτ q.

P r0, T s, (1.337)

ÞÑ M pτ q for which the following

d hM pq, M pqi pτ q κ hM pq, M pqi pτ q dτ M p0q2 4κητ 2 pM pτ q M p0qq . λ2 (7) There exists a R-valued martingale τ lowing integral equality: hM pq, M pqi pτ q

1 eκτ M p0q2 κ

ÞÑ M pτ q, which satisfies the fol-

4η eκτ κλ2 »τ

2 0

1

τκ

eκpτ ρq pM pρq M p0qq .

The proof follows the same pattern as the proof of Theorem 1.23 with the following extra arguments. From the stochastic differential equation in (1.335) it follows that hUλ pq, Uλ pqi pτ q 14 λ2 τ . From the stochastic differential equation in (1.336) it follows that hU pq, U pqi pτ q τ . By the martingale representation theorem a martingale M pτ q which is adapted to a Brow³τ nian τ ÞÑ B pτ q can be written in the form M pτ q M p0q 0 U pρq dB pρq. If such a martingale also satisfies the integral equation in Assertion (6), then by Itˆ o calculus it follows that hU pq, U pqi pτ q τ . As a consequence it follows that U pτ q Apτ q B pτ q where the process Apτ q is predictable and locally of bounded variation. The proof of the implication (6) ùñ (2) then proceeds along the same lines as the proof of the corresponding implication in Theorem 1.23. 1.5

Stopping times and time-homogeneous Markov processes

Next we explain the strong Markov property. Let E be a Polish space (i.e. a complete metrtizable separable Hausdorff space) with Borel field E, and let

tpΩ, F , Pxq , pX ptq : t ¥ 0q , pϑt : t ¥ 0q , pE, E qu

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105

be a family of probability spaces with state variables X ptq : Ω Ñ E and time translation operators ϑs : Ω Ñ Ω such that X ptq ϑs X pt sq, Px -almost surely for all s, t ¥ 0, x P E. Moreover, ϑs t ϑs ϑt , s, t ¥ 0. Assume that the process t ÞÑ X ptq is Px -almost surely right-continuous for all x P E. If E is locally compact and not compact, then E △ is the one-point-compactification of E; otherwise △ is an isolated point of the topological space E △ . Sometimes E is augmented with an extra absorption state △: E △ E △. The σ-field Ft is generated by the state variables X psq, 0 ¤ s ¤ t, and F is generated by the process t ÞÑ X ptq. Since the sample paths t ÞÑ X ptq, t ¥ 0 are right continuous Px -almost surely our Markov process is a strong Markov process. Let S : Ω Ñ r0, 8s be a stopping meaning that for every t ¥ 0 the event tS ¤ tu belongs to Ft . This is the same as saying that the process t ÞÑ 1rS ¤ts is adapted. Let FS be the natural σ-field associated with the stopping time S, i.e. FS

£!

¥

APF :A

£

tS ¤ t u P F t

)

.

t 0

Define ϑS pω q by ϑ pωq ϑSpωq pωq. Consider FS as the information from S the past, σ X pS q as information from the present, and σ tX ptq ϑS : t ¥ 0u σ tX pt

S q : t ¥ 0u

as the information from the future. The time-homogeneous Markov property can be expressed as follows:

Ex f pX ps

tqq Fs

Ex f pX ps

tqq σ pX psqq

EX psq rf pX ptqqs ,

Px -almost surely for all f P Cb pE q and for all s and t Markov property can be expressed as follows:

¥ 0.

(1.338) The strong

Ex rY

ϑS |FS s EX pSq rY s , Px-almost surely (1.339) on the event tS 8u, for all bounded random variables Y , for all stopping times S, and for all x P E. One can prove that under the “cadlag” property events like tX pS q P B, S 8u, B Borel, are FS -measurable. The passage from (1.339) to (1.338) is easy: put Y f pX ptqq and S pω q s, ω P Ω. The other way around is much more intricate and uses the cadlag property of the process tX ptq : t ¥ 0u. In this procedure the stopping time S is approximated by a decreasing sequence of discrete stopping times pSn 2n r2nS s : n P Nq. The equality Ex rY

ϑS |FS s EX pS q rY s , n

n

n

Px -almost surely,

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is a consequence of (2) for a fixed time. Let n tend to infinity in (1.5) to obtain (1.339). The “strong Markov property” can be extended to the “strong time dependent Markov property”:

Ex Y pS

T

ϑS , ϑS q FS pωq EX

1 1 1 p q ω ÞÑ Y S pω q T ω , ω ,

S ω

(1.340) Px -almost surely on the event tS 8u. Here Y : r0, 8q Ω Ñ C is a bounded random variable. The cartesian product r0, 8q Ω is supplied with the product field Br0,8q b F ; Br0,8q is the Borel field of r0, 8q and F is (some extension of) σ pX puq : u ¥ 0q. Important stopping times are “hitting times”, or times related to hitting times: (

inf s ¡ 0 : X psq P E △ zU , and " * »s S inf s ¡ 0 : 1E zU pX puqqdu ¡ 0 ,

TU

0

where U is some open (or Borel) subset of E △ . This kind of stopping times have the extra advantage of being terminal stopping times, i.e. t S ϑt S Px -almost surely on the event tS ¡ tu. A similar statement holds for the hitting time TU . The time S is called the penetration time of E zU . Let p : E Ñ r0, 8q be a Borel measurable function. Stopping times of the form Sξ

inf

"

s¡0:

»s 0

p X puq du ¡ ξ

*

serve as a stochastic time change, because they enjoy the equality: Sξ Sη ϑSξ Sξ η , Px -almost surely on the event tSξ 8u. As a consequence operators of the form S pξ qf pxq : Ex rf pX pSξ qqs, f a bounded Borel function, possess the semigroup property. Also notice that S0 0, provided that the function p is strictly positive.

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Strong Markov Processes

107

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Chapter 2

Strong Markov processes on Polish spaces

In this chapter we describe time-dependent strong Markov processes with a Polish space as state space. As indicated in Chapter 1 stochastic differential equations in a Banach space often give rise to Markov processes with a separable Banach space as state space. In our theory we are mainly interested in the Markovian behavior of our process. In addition we consider the corresponding martingale problem and the problem of unique Markov extensions. As highlights we mention the theorems 2.9 through 2.13. In order to establish these general results a study of the strict topology is required as well as a precise knowledge of measures on Polish spaces. These topics also are included in this chapter. 2.1

Strict topology

Throughout this book E stands for a complete metrizable separable topological space, i.e. E is a Polish space. A recent book which among other things treats Polish spaces is [Kanovei (2008)]. The Borel field of E is denoted by E. We write Cb pE q for the space of all complex valued bounded continuous functions on E. The space Cb pE q is equipped with the supremum norm: }f }8 supxPE |f pxq|, f P Cb pE q. The space Cb pE q will be endowed with a second topology which will be used to describe the continuity properties. This second topology, which is called the strict topology, is denoted as Tβ -topology. The strict topology is generated by the semi-norms of the form pu , where u varies over H pE q, and where pu pf q supxPE |upxqf pxq| }uf }8 , f P Cb pE q. Here a function u belongs to H pE q if u is bounded and if for every real number α ¡ 0 the set t|u| ¥ αu tx P E : |upxq| ¥ αu is contained in a compact subset of E. It is noticed that Buck [Buck (1958)] was the first author who introduced 109

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the notion of strict topology (in the locally compact setting). He used the notation β instead of Tβ . Remark 2.1. Let H pE q be the collection of those functions u P H pE q with the following properties: u ¥ 0 and for every α ¡ 0 the set tu ¥ αu is a compact subset of E. Then every function u P H pE q is bounded, and the strict topology is also generated by semi-norms of the form tpu : u P H pE qu. Every u P H pE q attains its supremum at some point x P E. Moreover a sequence pfn qnPN converges for the strict topology to a function f P Cb pE q if and only if it is uniformly bounded and if for every compact subset K of E the equality limmÑ8 supn¥m supxPK |fn pxq fm pxq| 0 holds. Since Tβ -convergent sequences are Tβ -bounded, from Proposition 2.1 below it follows that a Tβ convergent sequence is uniformly bounded. The same conclusion is true for Tβ -Cauchy sequences. Moreover, a Tβ -Cauchy sequence pfn qnPN converges to a bounded function f . Such a sequence converges uniformly on compact subsets of the space E. Since the space E is Polish, it follows that the limit function f is continuous. Consequently, the space pCb pE q, Tβ q is sequentially complete. Observe that continuity properties of functions f P Cb pE q can be formulated in terms of convergent sequences in E which are contained in compact subsets of E. The topology of uniform convergence on Cb pE q is denoted by Tu . In the sixties Conway (see [Conway (1966, 1967)]) proved that the strict topology Tβ is the Mackey topology for the duality of Cb pE q and the space of bounded complex Borel measures on E. This means that Tβ is the finest locally convex topology on Cb pE q for which the dual is given by the space MpE q, the space of bounded complex Borel measures on MpE q; for more details see e.g. [Sentilles (1970)]. 2.1.1

Theorem of Daniell-Stone

In Proposition 2.2 below we need the following theorem. It says that an abstract integral is a concrete integral relative to a σ-additive measure. Theorem 2.1 will be applied with S E, H Cb , the collection of nonnegative functions in Cb pE q, and for I : Cb Ñ r0, 8q we take the restriction to Cb of a non-negative linear functional defined on Cb pE q which is continuous with respect to the strict topology. Theorem 2.1 (Theorem of Daniell-Stone). Let S be any set, and let H be a non-empty collection of functions on S with the following properties:

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111

(1) If f and g belong to H, then the functions f g, f _ g and f ^ g belong to H as well; (2) If f P H and α is a non-negative real number, then αf , f ^ α, and pf αq pf αq _ 0 belong to H; (3) If f , g P H are such that f ¤ g ¤ 1, then g f belongs to H. Let I : H Ñ r0, 8s be an abstract integral in the sense that I is a mapping which possesses the following properties:

(4) If f and g belong to H, then I pf g q I pf q I pg q; (5) If f P H and α ¥ 0, then I pαf q αI pf q; (6) If pfn qnPN is a sequence in H which increases pointwise to f I pfn q increases to I pf q.

P H, then

Then there exists a non-negative σ-additive measure µ on³ the σ-field generated by H, which is denoted by σ pH q, such that I pf q f dµ, for f P H. If there exists a countable family of functions pfn qnPN H such that I pfn q 8 for all n P N, and such that S n81 tfn ¡ 0u, then the measure µ is unique. Proof. Define the collection H of functions on S as follows. A function f : S Ñ r0, 8s belongs to H provided there exists a sequence pfn qnPN H which increases pointwise to f . Then the subset H has the properties (1) and (2) with H instead of H. Define the mapping I : H Ñ r0, 8s by I pf q lim I pfn q , f

Ñ8

n

P H ,

where pfn qnPN H is a sequence which pointwise increases to f . The definition does not depend on the choice of the increasing sequence pfn qnPN H. In fact let pfn qnPN and pgn qnPN be sequences in H which both increase to f P H . Then by (6) we have lim I pfn q sup I pfn q sup sup I pfn ^ gm q sup sup I pfn ^ gm q

Ñ8

n

P

n N

P

P

n Nm N

sup I pgm q mlim Ñ8 I pgm q . P

P P

m Nn N

(2.1)

m N

From (2.1) it follows that I is well-defined. The functional I : H Ñ r0, 8s has the properties (4), (5), and (6) (somewhat modified) with H instead of H and I replaced by I . In fact the correct version of (6) for H reads as follows: (6 ) Let pfn qnPN be a sequence H which increases pointwise to a function f . Then f P H , and I pfn q increases to I pf q.

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We also have the following assertion: (3 ) Let f and g

P H be such that f ¤ g. Then I pf q ¤ I pgq. We first prove (3 ) if f and g belong to H and f ¤ g. From (6), (3) and (4) we get I pg q sup I pg ^ mq sup pI pg ^ m f

P

P

m N

m N

^ mq

I pf

^ mqq

¥ sup I pf ^ mq I pf q .

(2.2)

P

m N

Here we used the fact that by (3) the functions g ^ m f ^ m, m P N, belong to H. Next let f and g be functions in H such that f ¤ g. Then there exist increasing sequences pfn qnPN and pgn qnPN in H such that fn converges pointwise to f P H and gn to g P H . Then I pf q sup I pfn q ¤ sup I pfn _ gn q I pg q .

P

P

n N

(2.3)

n N

Next we prove (6 ). Let pfn qnPN be a pointwise increasing sequence in H , and put f supnPN fn . Choose for every n P N an increasing sequence pfn,m qmPN H such that supmPN fn,m fn . Define the functions gm , m P N, by

f1,m _ f2,m _ _ fm,m. Then gm 1 ¥ gm and gm P H for all m P N. In addition, we have sup gm sup max fn,m sup sup fn,m sup fn f. 1¤n¤m gm

P

m N

P

P

¥

P

n Nm n

m N

n N

Hence f P H . For 1 ¤ n ¤ m the inequalities fn,m pointwise, and hence gm ¤ fm . From (3 ) we infer

¤ fn ¤ fm

I pf q sup I pgm q sup I pgm q ¤ sup I pfm q ¤ I pf q ,

P

P and thus supmPN I pfm q I pf q. m N

m N

P

(2.4) hold (2.5)

m N

Next we will get closer to measure theory. Therefore we define the collection G of subsets of S by G tG S : 1G P H u, and the mapping µ : G Ñ r0, 8s by µ pGq I p1G q, G P G. The mapping µ possesses the following properties: (11 ) If the subsets G1 and G2 belong to G, then the same is true for the subsets G1 G2 and G1 G2 ; (21 ) H P G; (31 ) If the subsets G1 and G2 belong to G and if G1 G2 , then µ pG1 q ¤ µ pG2 q;

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(41 ) If the subsets G1 and G2 belong to G, then the following strong addi tivity holds: µ pG1 G2 q µ pG1 G2 q µ pG1 q µ pG2 q; (51 ) µ pHq 0; (61 ) If pGn qnPN is a sequence in G such that Gn 1 Gn , n P N, then nPN Gn belongs to G and µ p nPN Gn q supnPN µ pGn q. These properties are more or less direct consequences of the corresponding properties of I : (1 )–(6 ). Using the mapping µ we will define an exterior or outer measure µ on the collection of all subsets of S. Let A be any subset of S. Then we put µ pAq 8 if for no G P G we have A G, and we write µ pAq inf tµ pGq : G P G, G Au, if A G0 for some G0 P G. Then µ has the following properties: (i) (ii) (iii) (iv)

µ pHq 0; µ pAq ¥ 0, for all subsets A of S; µ pAq ¤ µ pB q, whenever A and B are subsets of S for which A B; 8 °8 µ n1 An ¤ n1 µ pAn q for any sequence pAn qnPN of subsets of S.

The assertions (i), (ii) and (iii) follow directly from the definition of µ . In order to prove (iv) we choose a sequence pAn qnPN , An S, such that µ pAn q 8 for all n P N. Fix ε ¡ 0, and choose for every n P N an subset Gn of S which belongs to G and which has the following properties: An Gn and µ pGn q ¤ µ pAn q ε2n . By the equality nPN Gn m mPN n1 Gn we see that nPN Gn belongs to G. From the properties of an exterior measure we infer the following sequence of inequalities: µ

¤

P

An

¤ µ

P

n N

sup I

¤

Gn

µ

n N

¤

P

Gn

n N m ¸

sup µ P

m N

m ¤

Gn

n 1

m ¸

I p 1Gn q P m 8 8 ¸ ¸ ¸ sup µ pGn q ¤ µ pAn q ε2n µ pAn q ε. (2.6) mPN n1 n1 n1 ° Since ε ¡ 0 was arbitrary we see that µ p nPN An q ¤ n81 µ pAn q. Hence

P

m N

1m n1 Gn

¤ sup I

P

m N

1Gn

sup

m Nn 1

n 1

Assertion (iv) follows. Next we consider the σ-field D which is associated to the exterior measure µ , and which is defined by D

!

A S : µ pDq ¥ µ A

£

D

µ Ac

£

D

for all D

S

)

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£

!

A S : µ pD q ¥ µ A for all D c

µ Ac

D

£

D

P G with µpDq 8u . S zA for the complement of A in S.

(2.7)

Here we wrote A The reader is invited to check the equality in (2.7). According to Caratheodory’s theorem the exterior measure µ restricted to the σ-field D is a σ-additive measure. We will prove that D contains G. Therefore pick G P G, and consider for D P G for which µpDq 8 the equality

µ G

£

D

µ Gc

£

D

µ

G

£

D

!

inf µpU q : U

P G, U Gc

Choose h P H in such that h ¥ 1Gc D . For 0 α 1 we have

£

)

D .

(2.8)

¤ 1th¡αu ¤ α1 h. Since 1th¡αu supmPN 1 ^ pmph αq q we see that the set th ¡ αu is a member of G. It follows that I phq ¥ αµ pth ¡ αuq ¥ αµ pGc Dq, and 1Gc D

hence

µ Gc

£

D

(

¤ inf I phq : h ¥ 1G D , h P H ! ) £ £ ¤ inf I p1U q : U Gc D, U P G µ Gc D . c

(2.9) From (2.9) the equality

µ Gc

£

D

I ph q : h ¥ 1 G c D , h P H

inf

(

follows. Next choose the increasing sequences pfn qnPN and pgn qnPN in such a way that the sequence fn increases to 1D and gn increases to 1G . Define the functions hn , n P N, by

1D fn ^ gn sup tpfm fn q pfn fn ^ gn qu . m¥n Since the functions fm fn , m ¥ n, and fn fn ^ gn belong to H we see hn

that hn belongs to H . Hence we get:

8 ¡ µpDq I p1D q I phn q

In addition we have hn

µ G

¤µ

£

G

¥ 1G

D

£

D

c

D.

I pfn ^ gn q I phn q

Consequently,

µ Gc

£

D

inf I phn q

P

n N

I pf n ^ g n q . (2.10)

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µ µ

G

G

£ £

D

D

115

µ pDq sup I pfn ^ gn q

P

n N

µ pDq µ G

£

D

µ pDq .

(2.11)

The equality in (2.11) proves that the σ-field D contains the collection G, and hence that the mapping µ, which originally was defined on G, is in fact the restriction to G of a genuine measure defined on the σ-field generated by H. This restriction is again called µ. ³ We will show the equality I pf q f dµ for all f P H. For f P H we have » » » f dµ

8

0

µ tf

¡ ξu dξ

8

0

I 1tf ¡ξu dξ

n n2 ¸

n2n

1 ¸ n I 1tf ¡j2n u sup I 1 2n j 1 tf ¡j2 u nPN j 1

»8 I x ÞÑ 1tf ¡ξu pxqdξ I pf q I pf q . (2.12)

sup 21n nPN

0

Finally we will prove the uniqueness of the measure µ. Let µ1 and µ2 be two ³ ³ measures on σ pH q with the property that I pf q f dµ1 f dµ2 for all f P H. Under the extra condition in Theorem 2.1 that there exist countable many functions pfn qnPN such that I pfn q 8 for all n P N and such that 8 S n1 tfn ¡ 0u we shall show that µ1 pB q µ2 pB q for all B P σ pH q. for which I pf q 8. Then the collection Therefore we ³fix a function f PH ( ³ B P σ pH q : B f dµ1 B f dµ2 is a Dynkin system containing all sets of the form tg ¡ β u with g P Hand β ¡ 0. Fix ξ ¡ 0, β ¡ 0 and g P H. Then the functions gm,n : min m pg β q ^ 1, n pf ξ q ^ 1 , m, n P N, belong to H. Then we have »

µ1

£

tg ¡ β u tf ¡ ξu mlim Ñ8 nlim Ñ8

mlim Ñ8 nlim Ñ8

»

gm,n dµ2

gm,n dµ1 £

mlim Ñ8 nlim Ñ8 I pgm,nq

µ2 tg ¡ β u tf ¡ ξu

.

(2.13)

Integration of the extreme terms in (2.13) with respect to the Lebesgue ³ ³ measure dξ shows the equality tg¡β u f dµ1 tg¡β u f dµ2 . It follows that ( ³ ³ the collection B P σ pH q : B f dµ1 B f dµ2 contains all sets of the form tg ¡ β u where g P H and β ¡ 0. Such collection of sets is closed under finite intersection. Since the Dynkin system generated by a collection of subsets which is closed under finite intersections coincides with the σ-field generated by such the equality " a set, we infer * » » B

P σpH q :

f dµ1 B

f dµ2 B

σpH q.

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Such an argument may be called a “Dynkin argument”; the Monotone Class Theorem generalizes such an argument. See Remark 2.16 on the π-λ theorem as well. The same argument applies with pnf q^ 1 replacing f . By letting n tend to 8 this shows the equality !

σ pH q B

P σpH q : µ1

£

µ1 pB q lim µ1 B

Ñ8

n

nlim Ñ8 µ2

B

tf ¡ 0u µ2

)

£

tf ¡ 0u . (2.14) Since the set H is closed under taking finite maxima, I pf _ g q ¤ I pf q 8 I pg q 8 whenever I pf q and I pg q are finite, and S n1 tfn ¡ 0u with I pfn q 8, n P N, we see that B

£

"

max fj

¤¤

1 j n

£

"

max fj

¤¤

1 j n

B

¡0

* *

¡ 0 µ 2 pB q

(2.15)

for B P σ pH q. This finishes the proof of Theorem 2.1. 2.1.2

Measures on Polish spaces

Our first proposition says that the identity mapping f bounded subsets of Cb pE q to }}8 -bounded subsets.

ÞÑ

f sends Tβ -

Proposition 2.1. Every Tβ -bounded subset of Cb pE q is }}8 -bounded. On the other hand the identity is not a continuous operator from pCb pE q, Tβ q to pCb pE q, }}8 q, provided that E itself is not compact. Proof. Let B Cb pE q be Tβ -bounded. If B were not uniformly bounded, then there exist sequences pfn qnPN B and pxn qnPN E such that 8 ¸ |fn pxn q| ¥ n2 , n P N. Put upxq n1 1xn . Then the function u belongs n1 to H pE q, but sup pu pf q ¥ sup pu pfn q ¥ sup u pxn q |f pxn q| ¥ sup n 8.

P

f B

P

n N

P

n N

P

n N

The latter shows that the set B is not Tβ -bounded. By contra-position it follows that Tβ -bounded subsets are uniformly bounded. Next suppose that E is not compact. Let u be any function in H pE q. Then limnÑ8 u pxn q 0. If the imbedding pCb pE q, Tβ q Ñ pCb pE q, Tu q were continuous, then there would exist a function u P H pE q such that }f }8 ¤ }uf }8 for all f P Cb pE q. Let K be a compact subset of E such that 0 ¤ upxq ¤ 12 for x R K. Since 1 ¤ }u}8 u px0 q for some x0 P E, and since by assumption E is not compact we see that K E. Choose an open neighborhood O of K, O E, and a function f P Cb pE q such that

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1 1O ¤ f ¤ 1 1K . In particular, it follows that f 1 outside of O, and f 0 on K. Then 1 }f }8 ¤ }uf }8 ¤ supxRK |upxqf pxq| ¤ 12 }f }8 ¤ 12 . Clearly, this is a contradiction. This concludes the proof of Proposition 2.1. The following proposition shows that the dual of the space pCb pE q, Tβ q coincides with the space of all complex Borel measures on E. Proposition 2.2. (1) Let µ be a complex Borel measure on E. Then there exists a function ³ u P H pE q such that f dµ ¤ pu pf q for all f P Cb pE q. (2) Let Λ : Cb pE q Ñ C be a linear functional on Cb pE q which is continuous with respect to the strict topology. ³Then there exists a unique complex measure µ on E such that Λpf q f dµ, f P Cb pE q. Proof. (1). Since on a Polish space every bounded Borel measure is innerregular, there exists an increasing sequence of compact subsets pKn qnPN in E with K0 H such that |µ| pE zKn q ¤ 22n2 |µ| pE q, n P N. Fix f P Cb pE q. Then we have » f dµ

¤

8 » ¸ Kj

8 ¸

j 0

¤

1

zK j

1K

j

1

1K

j

1

8 ¸

j 0

¤

j 0

¤

8 ¸

f dµ

¤ where upxq

°8

j 0

j 0 Kj

zKj f 8 |µ| pKj

1

1

zK j

|f | d |µ|

zKj q

zKj f 8 |µ| pE zKj q

22j 2 1Kj

j 0

8 ¸

¤

8 » ¸

22j 2 2j

1

1

zKj f 8 |µ| pE q

}uf }8 ¤ }uf }8

(2.16)

j 2 1Kj pxq |µ| pE q.

j 1

(2). We decompose the functional Λ into a combination of four positive i pℑΛq i pℑΛq where the linear functionals: Λ pℜΛq pℜΛq functionals pℜΛq and pℜΛq are determined by their action on positive functions f P Cb pE q:

pℜΛq pf q sup tℜ pΛpgqq : 0 ¤ g ¤ f, g P Cb pE qu , and pℜΛq pf q sup tℜ pΛpgqq : 0 ¤ g ¤ f, g P Cb pE qu .

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Similar expressions can be employed for the action of pℑΛq and pℑΛq on functions f P Cb . Since the complex linear functional Λ : Cb pE q Ñ C is Tβ -continuous there exists a function u P H pE q such that |Λ pf q| ¤ }uf }8 for all f

P

Cb pE q. Then it easily follows that pℜΛq

p f q ¤ }uf }8 for ? 2 }uf }8 for all pℜΛq pf q ¤

all real-valued functions in Cb pE q, and f P Cb pE q, which in general take complex values. Similar inequalities hold for pℜΛq pf q, pℑΛq pf q, and pℑΛq pf q. Let pfn qnPN be a sequence of functions in Cb pE q which pointwise increases to a function f P Cb pE q. Then limnÑ8 Λ pfn q Λpf q. This can be seen as follows. Put gn f fn , and fix ε ¡ 0. Then the sequence pgn qnPN decreases pointwise to 0. Moreover it is dominated by f . Choose a strictly positive real number α in such a way that α }f }8 ¤ ε. Then it follows that

|Λ pgn q| ¤ }ugn}8 max u1tu¥αu gn8 , u1tu αu gn8 ¤ max }u}8 1tu¥αu gn 8 , α }f }8 ¤ ε (2.17) where N chosen so large that }u}8 1tu¥αu gn 8 ¤ ε for n ¥ N . By Dini’s lemma such a choice of N is possible. An application of Theorem 2.1 then on the Baire field yields the existence of measures µ , 1 ¤ j ¤ 4, defined ³ j pf q ³ f dµ , pℑΛq pf q of E such that p ℜΛ q p f q f dµ , p ℜΛ q 1 2 ³ pf q ³ f dµ for f P C pE q. It follows that Λpf q f dµ , and p ℑΛ q 3 4 b ³ ³ ³ ³ ³ f dµ1 f dµ2 i f dµ3 i f dµ4 f dµ for f P Cb pE q. Here µ µ1 µ2 iµ3 iµ4 and each measure µj , 1 ¤ j ¤ 4, is finite and positive. Since the space E is Polish it follows that Baire field coincides with the Borel field, and hence the measure µ is a complex Borel measure. This concludes the proof of Proposition 2.2.

The next corollary gives a sequential continuity characterization of linear functionals which belong to the space pCb pE q, Tβ q , the topological dual of the space Cb pE q endowed with the strict topology. We say that a sequence pfn qnPN Cb pE q converges for the strict topology to f P Cb pE q if limnÑ8 }u pf fn q}8 0 for all functions u P H pE q. It follows that a sequence pfn qnPN Cb pE q converges to a function f P Cb pE q with respect to the strict topology if and only if this sequence is uniformly bounded and limnÑ8 }1K pf fn q}8 0 for all compact subsets K of E. Corollary 2.1. Let Λ : Cb pE q Ñ C be a linear functional. Then the following assertions are equivalent:

(1) The functional Λ belongs to pCb pE q, Tβ q ;

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(2) limnÑ8 Λ pfn q 0 whenever pfn qnPN is a sequence in Cb pE q which converges to the zero-function for the strict topology; (3) There exists a finite constant C ¥ 0 such that |Λpf q| ¤ C }f }8 for all f P Cb pE q, and limnÑ8 Λ pgn q 0 whenever pgn qnPN is a sequence in Cb pE q which is dominated by a sequence pfn qnPN in Cb pE q which decreases pointwise to 0; (4) There exists a finite constant C ¥ 0 such that |Λpf q| ¤ C }f }8 for all f P Cb pE q, and limnÑ8 Λ pfn q 0 whenever pfn qnPN is a sequence in Cb pE q which decreases pointwise to 0; ³ (5) There exists a complex Borel measure µ on E such that Λpf q f dµ for all f P Cb pE q. In (3) we say that a sequence pgn qnPN in Cb pE q is dominated by a sequence pfn qnPN if gn ¤ fn for all n P N. A functional Λ : CbpE q Ñ C with the property that for every sequence pfn qnPN which decreases pointwise to zero the inequality limnÑ8 Λ pfn q 0 is called a σ-smooth functional in [Varadarajan (1961, 1999)].

Proof. (1) ùñ (2). First suppose that Λ belongs to pCb pE q, Tβ q . Then there exists a function u P H pE q such that |Λpf q| ¤ }uf }8 for all f P Cb pE q. Hence, if the sequence pfn qnPN Cb pE q converges to zero for the strict topology, then limnÑ8 }ufn }8 0, and so limnÑ8 Λ pfn q 0. This proves the implication (1) ùñ (2). (2) ùñ (3). Let pfn qnPN be a sequence in Cb pE q which converges to 0 for the uniform topology. that From (2) it follows the sequences pℜfn q , pℜfn q , pℑfn q , and pℑfn q converge to

P

P

P

P

0 for the strict topology Tβ , and hence limnÑ8 Λ pfn q 0. Consequently, the functional Λ : Cb pE q Ñ C is continuous if Cb pE q is equipped with the uniform topology, and hence there exists a finite constant C ¥ 0 such that |Λpf q| ¤ C }f }8 for all f P Cb pE q. If pfn qnPN is a sequence in Cb pE q which decreases to 0, then by Dini’s lemma it converges uniformly on compact subsets of E to 0. Moreover, it is uniformly bounded, and hence it converges to 0 for the strict topology. If the sequence pgn qnPN Cb pE q is such that gn ¤ fn . Then the sequence pgn qnPN converges to 0 for the strict topology. Assertion (2) implies that limnÑ8 Λ pgn q 0. (3) ùñ (4). This implication is trivial. (3) ùñ (5). The boundedness of the functional Λ, i.e. the inequality |Λpf q| ¤ C }f }8 , f P Cb pE q, enables us to write Λ in the form n N

n N

n N

Λ Λ1 Λ2

iΛ3 iΛ4

n N

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in such a way that Λ1 pℜΛq , Λ2 pℜΛq , Λ3 pℑΛq , and Λ4 pℑΛq . From the definitions of these functionals (see the proof of Assertion (2) in Proposition 2.2) Assertion (3) implies that limnÑ8 Λj pfn q 0, 1 ¤ j ¤ 4, whenever the sequence pfn qnPN Cb pE q decreases to 0. From Theorem 2.1 we infer that each functional Λj , 1 ¤ j ¤ 4, can be represented ³ by a Borel measure µj : Λj pf q f dµj , 1 ¤ j ¤ 4, f P Cb pE q. It follows ³ that Λpf q f dµ, f P Cb pE q, where µ µ1 µ2 iµ3 iµ4 . (4) ùñ (5). From the apparently weaker hypotheses in Assertion (4) compared to (3) we still have to prove that the functionals Λj , 1 ¤ j ¤ 4, as described in the implication (3) ùñ (5) have the property that limnÑ8 Λj pfn q 0 whenever the sequence pfn qnPN Cb pE q decreases pointwise to 0. We will give the details for the functional Λ1 pℜΛq . This suffices because Λ2 pℜ pΛqq , Λ3 pℜ piΛqq , and Λ4 pℜ piΛqq . So let the sequence pfn qnPN Cb pE q decreases pointwise to 0. Fix ε ¡ 0, and choose 0 ¤ g1 ¤ f1 , g1 P Cb pE q, in such a way that Λ1 pf1 q pℜΛq

pf1 q ¤ ℜ pΛ pg1 qq

1 ε. 2

(2.18)

Then we choose a sequence of functions puk qkPN Cb pE q such that g1 °n °8 supnPN k1 uk k1 uk (which is a pointwise increasing limit), and such that uk ¤ fk fk 1 , k P N. In Lemma 2.1 below we will show that such °n a decomposition is possible. Then g1 k1 uk decreases pointwise to 0, and hence by (4) we have ℜΛ pg1 q ¤ ℜΛ

n ¸

uk

k 1

1 ε, 2

for n ¥ nε .

(2.19)

From (2.18) and (2.19) we infer for n ¥ nε the inequality Λ1 pf1 q pℜΛq

¤ ℜΛ

pf1 q ¤ ℜ pΛ pg1 qq n ¸

uk

ε

k 1

n ¸

Λ1 pfk fk

n ¸

k 1 1

q

1 ε 2 ℜΛ puk q

ε¤

n ¸

pℜΛq pfk fk 1 q

ε

k 1

ε Λ 1 pf 1 q Λ 1 p f n

1

q

ε.

(2.20)

k 1

From (2.20) we deduce Λ1 pfn q ¤ ε for n ¥ nε 1. Since ε ¡ 0 was arbitrary, this shows limnÑ8 Λ1 pfn q 0. This is true for the other linear functionals Λ2 , Λ3 and Λ4 as well. As in the proof of the implication (3) ùñ (5) from Theorem 2.1 it follows that each functional Λj , 1 ¤ j ¤ 4, can be

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³

represented by a Borel ³measure µj : Λj pf q f dµj , 1 ¤ j ¤ 4, f P Cb pE q. It follows that Λpf q f dµ, f P Cb pE q, where µ µ1 µ2 iµ3 iµ4 . (5) ùñ (1). The proof of Assertion (1) in Proposition 2.2 then shows that the functional Λ belongs to pCb pE q, Tβ q . This proves Corollary 2.1. Lemma 2.1. Let the sequence pfn qnPN Cb pE q decrease pointwise to 0, and 0 ¤ g ¤ f1 be a continuous function. Then there exists a sequence of continuous functions puk qkPN such that 0 ¤ uk ¤ fk fk 1 , k P N, and °n °8 such that g supnPN k1 uk k1 uk which is a pointwise monotone increasing limit. °n

Proof. We write g v1 u1 v2 k1 uk vn 1 , and vn 1 un 1 vn 2 where u1 g ^ pf1 f2 q, un 1 vn 1 ^ pfn 1 fn 2 q, and vn 2 vn 1 un 1 . Then 0 ¤ vn 1 ¤ vn ¤ fn . Since the sequence pfn qnPN decreases to 0, the sequence pvn qnPN also decreases to 0, and thus ° g supnPN nk1 uk . The latter shows Lemma 2.1. In the sequel we write MpE q for the complex vector space of all complex Borel measures on the Polish space E. The space is supplied with the weak topology σ pE, Cb pE qq. We also write M pE q for the convex cone of all positive (= non-negative) Borel measures in MpE q. The notation M1 pE q is employed for all probability measures in M pE q, and M¤1 pE q stands for all sub-probability measures in M pE q. We identify the space MpE q and the space pCb pE q, Tβ q . Theorem 2.2. Let M be a subset of MpE q with the property that for every sequence pΛn qnPN in M there exists a subsequence pΛnk qkPN such that

lim sup ℜ iℓ Λnk pf q

k

Ñ8 0¤f ¤1

sup ℜ iℓ Λpf q , 0 ¤ ℓ ¤ 3,

¤¤

0 f 1

for some Λ P MpE q. Then M is a relatively weakly compact subset of MpE q if and only if it is equi-continuous viewed as a subset of the dual space of pCb pE q, Tβ q . Proof. First suppose that M is relatively weakly compact. Since the weak topology on MpE q restricted to compact subsets is metrizable and separable, the weak closure of M is bounded for the variation norm. Without loss of generality we may and do assume that M itself is weakly compact. Fix f P Cb pE q, f ¥ 0. Consider the mapping Λ ÞÑ pℜΛq pf q,

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Λ P MpE q. Here we identify Λ Λµ P pCb pE q, Tβ q and the correspond³ ing complex Borel measure µ µΛ given by the equality Λpg q gdµ, g P Cb pE q. The mapping Λ ÞÑ pℜΛq pf q, Λ P MpE q, is weakly continuous. This can be seen as follows. Suppose Λn pg q Ñ Λpg q for all g P Cb pE q. Then pℜΛn q pf q ¥ ℜΛn pg q for all 0 ¤ g ¤ f , g P Cb pE q, and hence lim inf pℜΛn q

Ñ8

n

pf q ¥ lim inf ℜΛn pg q pℜΛq pg q. nÑ8

It follows that lim inf pℜΛn q

Ñ8

n

pf q ¥

Since limnÑ8 pℜΛn q

sup

¤¤

0 g f

pℜΛq pgq pℜΛq pf q.

p1q pℜΛq p1q we also have lim inf pℜΛn q p1 f q ¥ sup pℜΛq pg q pℜΛq p1 f q. nÑ8 ¤¤

0 g 1 f

Hence we see lim supnÑ8 pℜΛn q proof of Theorem 2.2.

pf q ¤ pℜΛq pf q,

which completes the

In what follows we write KpE q for the collection of compact subsets of E. Theorem 2.3 gives an alternative description of a tight family of measures: see Definition 2.1 below as well. Theorem 2.3. Let M be a subset of MpE q. Then the following assertions are equivalent: (a) For every sequence pfn qnPN

Cbp»E q which decreases pointwise to the zero function the equality inf sup fn d |µ| 0 holds; nPN µPM (b) The equality inf sup |µ| pE zK q 0 holds, and sup |µ| pE q 8; K PKpE q µPM µPM (c) There exists a function u³P H pE q such that for all f P Cb pE q and for all µ P M the inequality f dµ ¤ }uf }8 holds. Moreover, if M MpE q satisfies one of the equivalent conditions (a), (b) or (c), then M is relatively weakly compact.

Let Λ : Cb pE q Ñ C be a linear functional such that inf nPN |Λ|pfn q 0 for every sequence pfn qnPN Cb pE q which decreases pointwise to zero. Here the linear functional |Λ| is defined in such a way that |Λ| pf q sup t|Λpv q| : |v | ¤ f, v P Cb pE qu for all f P Cb pE q. Then by Corollary ³ 2.1 there exists a complex Borel measure µ such that Λpf q f dµ³ for all f P Cb pE q. The positive Borel measure |µ| is such that |Λ| pf q f d |µ| for all f P Cb pE q.

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Proof. (a) ùñ (b). By choosing the sequence fn n1 1 we see that supµPM |µ| pE q 8. Next let ρ be a metric on E for which it is a Polish space, let pxn qnPN be a dense sequence in E, and put

Bk,n

(

x P E : ρ px, xk q ¤ 2n .

c Choose continuous functions wk,n P Cb pE q such that 1Bk,n ¤ wk,n ¤ c 1Bk,n 1 . Put vℓ,n min1¤k¤ℓ wk,n . Then for every n P N the sequence ℓ ÞÑ vℓ,n decreases pointwise ³to zero. So for given ε ¡ 0 and for given n P N that vℓn pεq,n d |µ| ¤ ε2n for all µ P M . It follows there exists ℓn pεq such

that |µ|

ℓn pεq

c Bk,n

k 1

¤ ε2n, and hence

|µ|

pεq 8 ℓn£ ¤

c Bk,n ¤ ε,

µ P M.

n 1 k 1

8

ℓ

pεq

Put K pεq n1 kn1 Bk,n . Then K pεq is closed, and thus complete, and completely ρ-bounded. Hence it is compact. Moreover, |µ| pE zK pεqq ¤ ε for all µ P M . Hence (b) follows from (a).

(b) ùñ (c). This proof follows the lines of proof of Assertion (1) of Proposition 2.2. Instead of considering just one measure we now have a family of measures M .

(c) ùñ (a). Essentially speaking this is a consequence of Dini’s lemma. Here we ³ use the following fact. If for some µ P MpE q the³inequality f dµ ¤ }uf } holds for all f P Cb pE q, then we also have f d |µ| ¤ 8 }uf }8 for all f P Cb pE q. Fix α ¡ 0. If pfn qnPN is any sequence in Cb pE q which decreases pointwise to zero, then for µ P M we have the following estimate »

fn d |µ| ¤ max u1tu¥αu fn 8 , u1tu αu fn 8

¤ max }u}8

¤ max }u}8

sup

x

Ptu¥αu

x

Ptu¥αu

sup

fn pxq, α sup fn pxq

P

x E

fn pxq, α sup f1 pxq .

P

(2.21)

x E

Because of the fact that the set tu ¥ αu is contained in a compact³ subset of E from (2.21) and Dini’s lemma we deduce that inf nPN supµPM fn d |µ| ¤ α supxPE f1 pxq for all α ¡ 0. Consequently, (a) follows. Finally we prove that if M satisfies (c), then M is relatively weakly compact. First observe that µ P M implies |µ| pE q ¤ }u}8 . So the subset

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M is uniformly bounded, and since E is a Polish space, the same is true for the ball tµ P MpE q : |µ| pE q ¤ }u}8 u endowed with the weak topology. in M it contains a subsequence pµnk qkPN Therefore, if pµn qnPN is a sequence ³ such that Λpf q : limkÑ8 f dµnk exists for all f P Cb pE q. Then it follows that |Λpf q| ¤ }uf }8 for all f P Cb pE q. Consequently, the linear functional ³ Λ can be represented as a measure: Λpf q f dµ, f P Cb pE q. It follows that the weak closure of the set M is weakly compact. This completes the proof of Theorem 2.3. The following result generalizes Theorem 2.3 to open subsets of E. Theorem 2.4. Let M be a subset of MpE q, and let O be an open subset of E. Then the following assertions are equivalent: (a) For every sequence pfn qnPN (b)

(c) (a1 )

CbpE q, which»decreases pointwise to zero on the open subset O, the equality inf sup fn d |µ| 0 holds; nPN µPM The equality inf sup |µ|pE zK q 0 holds, and K O, K PKpOq µPM sup |µ|pE q 8; µPM There exists a function u³P H pOq such that for all f P Cb pE q and for all µ P M the inequality f dµ ¤ }uf }8 holds. For every sequence pf»n qnPN Cb pE q which decreases pointwise to 1E zO the equality inf sup fn d |µ| 0 holds. nPN P

µ M

Moreover, if M MpEq satisfies (one of the equivalent conditions (a), (b) or (c), then M O : µO : µ P M is relatively weakly compact in MpOq. Proof. An analysis of the proof of Theorem 2.3, adapted to a genuine open subset O instead of E will reveal this equivalence. The balls have to be taken relative to a metric which makes O a Polish space: see the proof of (a) ùñ (b). The constructed functions fn are identically one on E zO. These arguments suffice to prove Theorem 2.4. In the terminology of Varadajan [Varadarajan (1961, 1999)] a functional Λ : Cb pE q Ñ C is called smooth if for every sequence pfn qnPN which decreases pointwise to zero the following equality holds: limnÑ8 Λ pfn q 0. So in the following definition we could have said that a family of measures M which satisfies one of the conditions in Theorem 2.4 is uniformly σ-smooth on the open set O instead of “a tight family”.

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Definition 2.1. A family of complex measures M MpE q is called tight if it satisfies one of the equivalent conditions in Theorem 2.3 with O E. be a collection of linear functionals on Cb pE q which are continuous Let M can be represented by a measure: for the strict topology. Then each Λ P M ³ of linear functionals is called Λpf q f dµΛ , f P Cb pE q. The collection M ! ) tight, provided the same is true for the family M

. µΛ : Λ P M

Remark 2.2. In fact if M satisfies (a) in Theorem 2.4, then M satisfies Dini’s condition in the sense that a sequence of functions µ ÞÑ |µ| pfn q which decreasing pointwise to zero in fact converges uniformly on M . Assertion (b) says that the family M is tight in the usual sense as it can be found in the standard literature. Assertion (c) says that the family M is equicontinuous for the strict topology. The following corollary says that if for M in Theorem 2.3 we choose a collection of positive measures, then the family M is tight if and only if it is relatively weakly compact. Compare these results with Stroock [Stroock (2000)]. Corollary 2.2. Let M be a collection of positive Borel measures. Then the following assertions are equivalent: (a) The collection M is relatively weakly compact. (b) The collection M is tight in the sense that supµPM µpE q 8 and inf K PKpE q supµPM µ pE zK q 0. ³ (c) There exists a function u P H pE q such that f dµ ¤ }uf }8 for all µ P M and for all f P Cb pE q. Remark 2.3. Suppose that the collection M in Corollary 2.2 consists of probability measures and is closed with respect to the Lévy-Prohorov metric. If M satisfies one of the equivalent conditions in Corollary 2.2, then it is a weakly compact subset of P pE q, the collection of Borel probability measures on E. For probability measures µ and ν the Lévy-Prohorov metric dLP pµ, ν q may be defined by dLP pµ, ν q inf tε ¡ 0 : µpAq ¤ ν pAε q

εu ¤ 1.

For a subset A E, define the ε-neighborhood of A by Aε : tx P E : there exists y

P A such that dpx, yq εu

(2.22) ¤

P

y A

B py, εq

where B py, εq is the open ball of radius ε centered at y. For more details see Definition 3.2 in Chapter 3.

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Proof. Corollary 2.2 follows more or less directly from Theorem 2.3. Let M be as in Corollary 2.2, and pfn qnPN be a sequence in Cb pE q which decreases to the zero function. Then observe that the sequence of functions ³ ³ µ ÞÑ fn d |µ| fn dµ, µ P M , decreases pointwise to zero. Each of these functions is weakly continuous. Hence, if M is relatively weakly compact, then Dini’s lemma implies that this sequence converges uniformly on M to zero. It follows that assertion (a) in Corollary 2.2 implies assertion (a) in Theorem 2.3. So we see that in Corollary 2.2 the following implications are valid: (a) ùñ (b), and (b) ùñ (c). If M M pE q satisfies (c), then Theorem 2.3 implies that M is relatively weakly compact. This means that the assertions (a), (b) and (c) in Corollary 2.2 are equivalent. We will also need the following theorem. Theorem 2.5. Let pµn qnPN MpE q be a³ tight sequence (see Definition 2.1) with the property that Λpf q : limnÑ8 f dµn exists for all f P Cb pE q. Let Φ Cb pE q be a family of functions which is equi-continuous and bounded. Then Λ can be represented as a complex Borel measure µ, and » lim sup ϕdµn nÑ8

P

ϕ Φ

»

ϕdµ

0.

Remark 2.4. According to the Theorem of Arzela-Ascoli an equicontinuous and uniformly bounded family of functions restricted to a compact subset K is relatively compact in Cb pK q. Proof. The fact that the linear functional Λ can be represented by a Borel measure follows from Corollary 2.1 and Theorem 2.3. Assume to arrive at a contradiction that » »

lim sup sup ϕdµn

Ñ8

n

P

ϕ Φ

ϕdµ ¡ 0.

Then there exist ε ¡ 0, a subsequence pµnk qkPN , and a sequence pϕk qkPN Φ such that » » ϕk dµn ϕk dµ ¡ ε, k P N. (2.23) k Choose a compact subset of E in such a way that sup }ϕ}8 sup |µn |pE zK q ¤

ε . (2.24) 16 By the Bolzano-Weierstrass theorem for bounded equi-continuous families of functions, there exists a continuous function ϕK P C pK q and a subsequence of the sequence pϕk qkPN , which we call again pϕk qkPN , such that

P

P

ϕ Φ

n N

lim sup ϕk pxq ϕK pxq 0.

k

Ñ8 xPK

(2.25)

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By Tietze’s extension theorem there exists a continuous function ϕ P Cb pE q such that ϕ restricted to K coincides with ϕK and such that |ϕ| ¤ 2 sup }ψ}8 . From (2.25) it follows there exists kε P N such that for

P

ψ Φ

k

¥ kε the inequality

sup |µn | pE q }1K pϕk ϕq}8

P

n N

¤ 8ε .

(2.26)

From (2.24)and (2.26) we obtain the following estimate: » » ϕk dµn ϕk dµ k » » ϕk ϕ dµnk ϕk ϕ dµ K K » » ϕk ϕ dµnk ϕk ϕ dµ E zK E zK

¤

p q

p q

p q

p q

¤ }1K pϕk ϕq}8 p|µn | pK q |µ| pK qq 4 sup }ψ }8 p|µn |pE zK q |µ| pE zK qq k

P

¤ 2 }1K pϕk ϕq}8 sup |µn | pK q P

8 sup }ψ }8 sup |µnk | pE zK q

P

P

ψ Φ

k N

» ϕdµn k ³

» ³

»

»

ϕdµ

ϕdµ

k

k N

¤ 34 ε

» ϕdµn k

k

ψ Φ

» ϕdµn k

ϕdµ .

» ϕdµn k

»

ϕdµ

(2.27)

Since limnÑ8 ϕdµn ϕdµ 0 the equality in (2.27) implies » ϕk dµn k

»

ϕk dµ

ε

(2.28)

for k large enough. The conclusion in (2.28) contradicts our assumption in (2.23). This proves Theorem 2.5. Occasionally we will need the following version of the Banach-Alaoglu the³ orem; see e.g. Theorem 8.4. We use the notation hf, µi E f pxq dµpxq, f P Cb pE q, µ P M pE q. For a proof of the following theorem we refer to e.g. [Rudin (1991)]. Notice that any Tβ -equi-continuous family of measures is contained in Bu for some u P H pE q. Here Bu is the collection defined in (2.29) below.

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Theorem 2.6. (Banach-Alaoglu) Let u be a function in H pE q, and define the subset Bu of M pE q by

tµ P M pE q : |hf, µi| ¤ }uf }8 for all f P Cb pE qu . (2.29) Then Bu is σ pM pE q, Cb pE qq-compact. Since the space pCb pE q, Tβ q is separable, it follows that for every sequence pµn qnPN in Bu there exists a measure µ P M pE q and a subsequence pµn qkPN such that lim hf, µn i hf, µi for all f P Cb pE q. kÑ8 Instead of “σ pM pE q, Cb pE qq”-convergence we often write “weak -conBu

k

k

vergence”, which is a functional analytic term. In a probabilistic context people usually write “weak convergence”. Another term which is in use is “convergence relative to the Bernoulli topology”: see e.g. [Bloom and Heyer (1995)] and [Berg and Forst (1975)]. 2.1.3

Integral operators on the space of bounded continuous functions

We insert a short digression to operator theory. Let E1 and E2 be two Polish spaces, and let T : Cb pE1 q Ñ Cb pE2 q be a linear operator with the property that its absolute value |T | : Cb pE1 q Ñ Cb pE2 q determined by the equality

|T |pf q sup t|T g| : |g| ¤ f u ,

P Cb pE1 q , f ¥ 0, is well-defined and acts as a linear operator from Cb pE1 q to Cb pE2 q. Endow the spaces Cb pE1 q and Cb pE2 q with the strict topology, and let the symbol L pCb pE1 q , Cb pE2 qq denote the space of linear operators which are f

continuous for the respective strict topologies. Definition 2.2. A family of linear operators tTα : α P Au, where every Tα P L pCb pE1 q , Cb pE2 qq is called equi-continuous for the strict topology if for every v P H pE2 q there exists u P H pE1 q such that the inequality }vTαf }8 ¤ }uf }8 holds for all α P A and for all f P Cb pE1 q. So the notion “equi-continuous for the strict topology” has a functional analytic flavor. Definition 2.3. A family of linear operators tTα : α P Au, where every Tα belongs to L pCb pE1 q , Cb pE2 qq, is called tight if for every compact subset K of E2 the family of functionals tΛα,x : α P A, x P K u is tight in the sense of Definition 2.1. Here the functional Λα,x : Cb pE1 q Ñ C is defined by

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Λα,x pf q Tα f pxq, f P Cb pE1 q. Its absolute value |Λα,x | has then the property that |Λα,x | pf q |Tα | f pxq, f P Cb pE1 q. The following theorem says that a tight family of operators tTα : α P Au is equi-continuous for the strict topology and vice versa. Both spaces E1 and E2 are supposed to be Polish. Theorem 2.7. Let A be some index set, and let for every α P A the mapping Tα : Cb pE1 q Ñ Cb pE2 q be a linear operator, which is continuous for the uniform topology. Suppose that the family tTα : α P Au is tight. Then for every v P H pE2 q there exists u P H pE1 q such that

}vTαf }8 ¤ }uf }8 ,

for every α P A and for all f

P Cb pE1 q.

(2.30)

Conversely, if the family tTα : α P Au is equi-continuous in the sense that for every v P H pE2 q there exists u P H pE1 q such that (2.30) is satisfied. Then the family tTα : α P Au is tight. If the family tTα : α P Au satisfies (2.30), then the family t|Tα | : α P Au satisfies the same inequality with |Tα | instead of Tα . The argument to see this goes in more or less the same way as we will prove the first part of Proposition 2.7 below. Fix f P Cb pE1 q, α P A, and x P E1 , and let the functions u P H pE1 q and v P H pE2 q be such that (2.30) is satisfied. Choose ϑ P rπ, π s in such a way that

|vpxq |Tα| pf qpxq| |vpxq| |Tα|

ℜ eiϑ f

pxq ¤ |vpxq| |Tα|

ℜ eiϑ f

pxq

(definition of |Tα |) !

)

sup |vpxqTα gpxq| : |g| ¤ ℜ eiϑ f ! ) ¤ sup }ug}8 : |g| ¤ ℜ eiϑ f ¤ }uf }8 .

(2.31)

From (2.31) we see that the inequality in (2.30) is also satisfied for the operators |Tα |, α P A. Corollary 2.3. Like in Theorem 2.7 let A be some index set, and let for every α P A the mapping Tα : Cb pE1 q Ñ Cb pE2 q be a positivity preserving linear operator. Then the family tTα : α P Au is Tβ -equi-continuous if and only if for every sequence pψm qmPN which decreases pointwise to 0, the sequence tTα pψm f q : m P Nu decreases pointwise to 0 uniformly in α P A.

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Proof. [Proof of Corollary 2.3.] Choose v P H pE q. The proof follows by considering the family of functionals Λα,x : Cb pE q Ñ C, α P A, x P E, defined by Λα,x f pxq v pxqTα f pxq, f P Cb pE q. If the family tTα : α P Au is Tβ -equi-continuous, then the family tΛα,x : α P A, x P E u is tight. For example, it then easily follows that tΛv,α,x fm : α P A, x P E u converges uniformly in α P A, x P E, to 0, provided that the sequence pfm qmPN decreases pointwise to 0. Conversely, suppose that for any given v P H pE q, and for any sequence of functions pfm qmPN Cb pE q which decreases pointwise to 0, the sequence tΛv,α,x fm : α P A, x P E umPN converges uniformly to 0. Then the family tΛα,x : α P A, x P E u is tight: see Theorem 2.7. This completes the proof of Corollary 2.3. Proof. [Proof of Theorem 2.7.] Like in Definition 2.3 the functionals Λα,x , α P A, x P E1 , are defined by Λα,x pf q rTα f s pxq, f P Cb pE1 q. First we suppose that the family tTα : α P Au is tight. Let pfn qnPN Cb pE1 q be sequence of continuous functions which decreases pointwise to zero, and let v P H pE2 q be arbitrary. Since the family tTα : α P Au is tight, it follows that, for every compact subset K the collection of functionals tΛα,x : α P A, x P K u is tight. Then, since the sequence pfn qnPN Cb pE1 q decreases pointwise to zero, we have lim sup |Λα,x | pfn q 0 for every compact subset K of E1 . (2.32)

Ñ8 αPA, xPK

n

From (2.32) it follows that limnÑ8 supαPA, xPK |v pxq| |Λα,x | pfn q 0. Hence the family of functionals t|v pxq| Λα,x : α P A, x P E1 u is tight. By Theorem 2.3 (see Definition 2.1 as well) it follows that there exists a function u P H pE1 q such that |vpxq rTαf s pxq| |vpxqΛα,x pf q| ¤ }uf }8 (2.33) for all f P Cb pE1 q, for all x P E and for all α P A. The inequality in (2.33) implies the equi-continuity property (2.30). Next let the family tTα : α P Au be equi-continuous in the sense that it satisfies inequality (2.30). Then the same inequality holds for the family t|Tα| : α P Au; the argument was given just prior to the proof of Theorem 2.7. Let K be any compact subset of E1 and let pfn qnPN Cb pE1 q be a sequence which decreases to zero. Then there exists a function u P H pE1 q such that (2.34) sup r|Tα | fn s pxq }1K |Tα | fn }8 ¤ }ufn }8 .

P

P

α A, x K

From (2.34) it readily follows that limnÑ8 supαPA, xPK r|Tα | fn s pxq 0. By Definition 2.3 it follows that the family tTα : α P Au is tight. This completes the proof of Theorem 2.7.

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Theorem 2.8. Let E1 and E2 be two Polish spaces, and let U Cb pE1 , Rq Ñ Cb pE2 , Rq be a mapping with the following properties:

:

(1) If f1 and f2 P Cb pE1 q are such that f1 ¤ f2 , then U pf1 q ¤ U pf2 q. In other words the mapping f ÞÑ U f , f P Cb pE1 , Rq is monotone. (2) If f1 and f2 belong to Cb pE1 , Rq, and if α ¥ 0, then U pf1 f2 q ¤ U pf1 q U pf2 q, and U pαf1 q αU pf1 q. (3) U is unit preserving: U p1E1 q 1E2 . (4) If pfn qnPN Cb pE1 , Rq is a sequence which decreases pointwise to zero, then so does the sequence pU pfn qqnPN .

P H pE2 q there exists u P H pE1 q such that sup v py qU pℜf q py q ¤ sup upxqℜf pxq, for all f P Cb pE1 q and hence

Then for every v

P

P

y E2

x E1

P

x E1

sup v py qU |f |py q ¤ sup upxq |f pxq| ,

P

y E2

for all f

P Cb pE1 q.

(2.35)

If the mapping U maps Cb pE1 q to L8 pE, R, E q, then the conclusion about its continuity as described in (2.35) is still true provided it possesses the above properties (1), (2), (3), and (4) is replaced by (41 ) If pfn qnPN Cb pE1 , Rq is a sequence which decreases pointwise to zero, then the sequence pU pfn qqnPN decreases to zero uniformly on compact subsets of E2 . Proof. ℜ MvU

"

Put

ν

P M pE1 q : ν pE1 q sup vpyq, P

y E2

*

for all g

||

MvU

"

ν

P Cb pE1 q

ℜ hg, νi ¤ sup v py q pU ℜg q py q

P

y E2

and

P M pE1 q : ν pE1 q sup vpyq, |hg, νi| ¤ sup vpyq pU |g|q pyq P

y E2

*

for all g

P Cb pE1 q

P

y E2

.

(2.36)

A combination of Theorem 2.3 and its Corollary 2.2 shows that the collec|| ℜ tions MvU and MvU are tight. Here we use hypothesis (4). We also observe || . This can be seen as follows. First suppose that ν P M || ℜ that MvU MvU vU and choose g P Cb pE1 q. Then we have hℜg

}ℜg}8 , νi ¤ sup vpyq pU |ℜg }g}8 |q pyq P

y E2

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¤ sup pvpyqU pℜgq pyqq P

y E2

sup pvpyqU pℜgq pyqq P

y E2

From (2.37) we deduce ℜ hg, νi

|| M

vU

¤

sup v py q }g }8

P

y E2

ν pE1 q }g }8 .

(2.37)

supyPE1 pv py qU pℜg q py qq, and hence

The reverse inclusion is shown by the following arguments:

|hg, νi| sup ℜ eiϑ g , ν ℜ MvU .

¤ ¤

Prπ,πs

ϑ

sup

sup v py qU ℜ eiϑ g py q

sup

sup v py qU p|g |q py q sup v py qU p|g |q py q.

Prπ,πs yPE2

ϑ

Prπ,πs yPE2

ϑ

P

(2.38)

y E2

||

ℜ From (2.38) the inclusion MvU MvU follows. So from now on we will write || ℜ MvU MvU MvU . There exists a function u P H pE q such that for all ³ f P Cb pE q and for all µ P M the inequality ℜ f dµ ¤ supxPE ℜ pupxqf pxqq holds. The result in Theorem 2.8 is a consequence of the following equalities

sup v py qU ℜf py q sup tℜ hf, νi : ν

P MvU u ,

sup v py qU |f | py q sup t|hf, νi| : ν

P MvU u .

P

y E2

P

y E2

and

(2.39) (2.40)

The equality in (2.39) follows from the Theorem of Hahn-Banach. In the present situation it says that there exists a linear functional Λ : Cb pE1 , Rq Ñ R such that Λpf q ¤ sup v py qU f py q, for all f P Cb pE1 , Rq,

P

y E2

and

Λ p1E1 q sup v py qU p1E1 q py q sup v py q1E2 py q sup v py q.

P

y E2

Let f

P Cb pE1 , Rq, f ¤ 0.

P

P

y E2

(2.41)

y E2

Then Λpf q ¤ sup v py qU f py q ¤ 0. Again using

P

y E2

Hypothesis 4 shows that Λ can be identified with a positive Borel measure on E1 , which than belongs to MvU . Consequently, the left-hand side of (2.39) is less than or equal to its right-hand side. Since the reverse inequality is trivial, the equality in (2.39) follows. The equality in (2.40) easily follows from (2.39). The assertion about a sub-additive mapping U which sends functions in Cb pE1 q to functions in L8 pE, R, E q can easily be adopted from the first part of the proof. This concludes the proof of Theorem 2.8.

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The results in Proposition 2.3 below should be compared with Definition 4.3. We describe two operators to which the results of Theorem 2.8 are applicable. Let L be an operator with domain and range in Cb pE q, with the property that for all µ ¡ 0 and f P DpLq with µf Lf ¥ 0 implies f ¥ 0. There is a close connection between this positivity property (i.e. positive resolvent property) and the maximum principle: see Definition 4.1 and inequality (4.46). In addition, suppose that the constant functions belong to DpLq, and that L1 0. Fix λ ¡ 0, and define the operators Uλj : Cb pE, Rq Ñ L8 pE, R, E q, j 1, 2, by the equalities (f P Cb pE, Rq): Uλ1 f

sup

inf

P p q P p q

K K E g D L

tg ¥ f 1K : λg Lg ¥ 0u ,

and

(2.42)

gPinf tg ¥ f : λg Lg ¥ 0u . (2.43) DpLq Here the symbol KpE q stands for the collection of all compact subsets of E. Observe that, if g P DpLq is such that λg Lg ¥ 0, then g ¥ 0. This Uλ2 f

follows from the maximum principle. Proposition 2.3. Let the operator L be as above, and let the operators Uλ1 and Uλ2 be defined by (2.42) and (2.43) respectively. Then the following assertions hold true: (a) Suppose that the operator Uλ1 has the additional property that for every sequence pfn qnPN Cb pE q which decreases pointwise to zero the sequence Uλ1 fn nPN does so uniformly on compact subsets of E. Then for every u P H pE q there exists a function v P H pE q such that sup upxqUλ1 f pxq ¤ sup v pxqf pxq,

P

P

x E

x E

and

sup upxqUλ1 |f |pxq ¤ sup v pxq |f pxq| for all f

P

P

x E

x E

P Cb pE, Rq.

(2.44)

(b) Suppose that the operator Uλ2 has the additional property that for every sequence pfn qnPN Cb pE q which decreases pointwise to zero the sequence Uλ2 fn nPN does so uniformly on compact subsets of E. Then for every u P H pE q there exists a function v P H pE q such that the inequalities in (2.44) are satisfied with Uλ2 instead of Uλ1 . Moreover, for f P D pLn q, µ ¥ 0, and n P N, the following inequalities hold:

¤ Uλ2 pppλ µq I Lqn f q , n µn }uf }8 ¤ }v ppλ µq I Lq f }8 . µn f

and

(2.45) (2.46)

In (2.46) the functions u and v are the same as in (2.44) with Uλ2 replacing Uλ1 .

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The inequality in (2.46) could be used to say that the operator L is Tβ dissipative: see inequality (4.14) in Definition 4.2. Also notice that Uλ1 pf q ¤ Uλ2 pf q, f P Cb pE, Rq. It is not clear, under what conditions Uλ1 pf q Uλ2 pf q. In Proposition 2.4 below we will return to this topic. The mapping Uλ1 is heavily used in the proof of (iii) ùñ (i) of Theorem 4.3. If the operator L in Proposition 2.3 satisfies the conditions spelled out in assertion (a), then it is called sequentially λ-dominant: see Definition 4.3. Proof. The assertion in (a) and the first assertion in (b) is an immediate consequence of Theorem 2.8. Let f P DpLq be real-valued. The inequality (2.46) can be obtained by observing that Uλ2 ppλ

µq I

Lq f gPinf tg ¥ ppλ µq I Lq f : λg Lg ¥ 0u DpLq gPinf tg ¥ ppλ µq I Lq f : DpLq pλ µq g Lg ¥ µg ¥ ppλ µq I Lq pµf qu gPinf tg ¥ ppλ µq I Lq f : λg Lg ¥ 0, g ¥ µf u ¥ µf. DpLq

(2.47)

Repeating the arguments which led to (2.47) will show the inequality in (2.45). From (2.47) and (2.44) with Uλ2 instead of Uλ1 we obtain sup upxq pµn f q pxq ¤ sup Uλ2 ppλ

P

P

x E

x E

¤ sup vpxq ppλ P

x E

µq f

Lf q pxq n µqI Lq f pxq,

(2.48)

for µ ¥ 0 and f P D pLn q. The inequality in (2.46) is an easy consequence of (2.48). This concludes the proof of Proposition 2.3. The following proposition is used to show that the semigroup generated by the operator L is Tβ -equi-continuous: see Theorem 4.3. Proposition 2.4. Let the operator L with domain and range in Cb pE q have the following properties: (1) For every λ ¡ 0 the range of λI L coincides with Cb pE q, and the 1 exists as a positivity preserving bounded inverse Rpλq : pλI Lq linear operator from Cb pE q to Cb pE q. Moreover, 0 ¤ f ¤ 1 implies 0 ¤ λRpλqf ¤ 1. (2) The equality lim λRpλqf pxq f pxq holds for every x P E, and f P Cb pE q.

Ñ8

λ

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(3) If pfn qnPN Cb pE q is any sequence which decreases pointwise to zero, then for every λ ¡ 0 the sequence pλRpλqfn qnPN decreases to zero as well. Fix λ ¡ 0, and define the mappings Uλ1 and Uλ2 as in (2.42) and (2.43) respectively. Then the (in-)equalities !

)

(2.49) pµR pλ µqqk f ; µ ¡ 0, k P N ¤ Uλ1 pf q ¤ Uλ2 pf q hold for f P Cb pE, Rq. Suppose that f ¥ 0. If the function in the left extremity of (2.49) belongs to Cb pE q, then the first two terms in (2.49) are equal. If it belongs to DpLq, then all three quantities in (2.49) are equal. sup

From the proof of Proposition 2.4, the following corollary is immediate: see see (2.50) below. Corollary 2.4. Let λ0 ¡ 0. Suppose that the family tλRpλq : λ ¥ λ0 u has the properties (2) and (3) of Proposition 2.4. Then the family of operators tλRpλq : λ ¥ λ0 u is Tβ -equi-continuous. Proof. [Proof of Proposition 2.4.] First we observe that for every pλ, xq P p0, 8q E there exists a Borel measure B ÞÑ r pλ, x, B q such that ³ λr pλ, x, E q ¤ 1, and Rpλqf pxq E f py qr pλ, x, dy q, f P Cb pE q. This result follows by considering the functional Λλ,x : Cb pE q Ñ C, defined by Λλ,x pf q Rpλqf pxq. In fact r pλ, x, B q

sup

P p q

K K E ,K B

inf tRpλqf pxq : f

¥ 1K u ,

B

P E.

This result follows from Corollary 2.1. Often we write Rpλq pf 1B q

»

B

f py qr pλ, x, dy q , B

P E, f P CbpE q.

Observe that the mapping B ÞÑ Rpλq pf 1B q is a positive Borel measure on E. Moreover, by Dini’s lemma we see that lim sup sup λRpλqfn pxq 0, λ0

Ñ8 λ¥λ0 xPK

n

¡ 0,

(2.50)

whenever the sequence pfn qnPN Cb pE q decreases pointwise to zero, and K is a compact subset of E. From Theorem 2.7 and its Corollary 2.3 it then follows that the family of operators tλRpλq : λ ¥ λ0 u is equi-continuous for the strict topology Tβ , i.e. for every function u P H pE q there exists a function v P H pE q such that λ }uRpλqf }8

¤ }vf }8

for all λ ¥ λ0 and all f

P Cb pE q.

(2.51)

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P Cb pE, Rq and λ ¡ 0. Next we will prove the " * 1 k f : µ ¡ 0, k P N . Uλ1 pf q ¥ sup µ ppλ µqI Lq

Fix f

(2.52)

A version of this proof will be more or less retaken in (4.137) in the proof of the implication (iii) ùñ (i) of Theorem 4.3 with D1 L instead of L. First we observe that for g P DpLq we have λg pxq Lg pxq lim µ pg pxq µR pλ

µq g pxqq , x P E.

Ñ8

µ

(2.53)

If g P DpLq is such that λg Lg ¥ 0, then pλ µq g Lg ¥ µg, and hence g ¥ µRpλ µqg for all µ ¡ 0. If g ¥ µRpλ µqg, then µ pg µRpλ µqg q ¥ 0, and by (2.53) we see λg Lg ¥ 0. So that we have the following equality of subsets

tg P DpLq : λg Lg ¥ 0u tg P DpLq : g ¥ µR pλ From (2.54) we infer

tg P DpLq : λg Lg ¥ 0u

#

g

P D pL q : g ¥

µq g for all µ ¡ 0u . (2.54)

sup

¡ P

µ 0, k N

pµR pλ

+

µqq g . k

(2.55) Let g P DpLq be such that g ¥ f 1K and such that λg Lg ¥ 0, k then (2.55) implies g ¥ sup pµR pλ µqq pf 1K q. Since the operators

¡ P

µ 0, k N

pµR pλ

µqq , µ ¡ 0, k P N, are integral operators, and bounded Borel measures are inner-regular (with respect to compact subsets), we obtain k

g

¥

sup

¡ P

µ 0, k N

pµR pλ

µqq f, k

and hence sup

P p q

K K E

tg ¥ f 1K : λg Lg ¥ 0u ¥ gPDpLq inf

µ ppλ

sup

¡ P

µ 0, k N

µq I

Lq1

k

f.

(2.56) The inequality in (2.56) implies (2.52) and hence, since the inequality Uλ1 pf q ¤ Uλ2 pf q is obvious, the inequalities in (2.49) follow. Here we employ the fact that λg Lg ¥ 0 implies g ¥ 0. Fix a compact subset K of E,

k

¥ 0, f P Cb pE q. If the function g sup µ ppλ µq I Lq1 f µ¡0, kPN belongs to Cb pE q, then g ¥ f 1K , and g ¥ µR pλ µq g for all µ ¡ 0. Hence and f

it follows that

sup

¡ P

µ 0, k N

µ ppλ

1 k f

µq I L q

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¥ inf tg ¥ f 1K : g ¥ µR pλ µq g, g P Cb pE qu . (2.57) Next we show that τβ - lim αRpαqf f . From the assumptions (2) and αÑ8 1 is T -dense (3), and from (2.51) it follows that DpLq R pβI Lq β in Cb pE q. Therefore let g be any function in DpLq, and let u P H pE q. Consider, for α ¡ λ0 , the equalities f αRpαqf f g αRpαq pf g q g αRpαqg f g αRpαq pf gq Rpαq pLgq , (2.58) and the corresponding inequalities

}u pf αRpαqf q}8 ¤ }u pf gq}8 }uαRpαq pf gq}8 }uRpαq pLgq}8 ¤ }u pf gq}8 }v pf gq}8 }uα}8 }Lg}8 . (2.59) So that for given ε ¡ 0 we first choose g P DpLq in such a way that }u pf gq}8 }v pf gq}8 ¤ 23 ε. (2.60) }u}8 }Lg} ¤ 1 ε. From the latter, Then we choose α ¥ λ so large that ε

0

(2.59), and (2.60) we conclude:

}u pf αRpαqf q}8 ¤ ε,

From (2.61) we see that Tβ - lim αRpαqf

Ñ8

α

(2.57) implies:

sup

¡ P

µ 0, k N

µ ppλ

µq I

8

αε

Lq1

3

for α ¥ αε .

f.

(2.61)

So that the inequality in

k

f

¥ inf tg ¥ f 1K : g ¥ µR pλ µq g, g P DppLqu , (2.62) k 1 f . It folµ ppλ µq I Lq and consequently Uλ1 pf q ¤ f λ : sup µ¡0, kPN lows that f λ Uλ1 pf q provided that f and f λ both belong to Cb pE q. If f λ P DpLq, then f λ Uλ1 pf q and f λ ¥ µRpλ µqf λ , and consequently λf λ Lf λ ¥ 0. The conclusion Uλ2 pf q f λ is then obvious. This finishes the proof of Proposition 2.4.

In the following proposition we see that a multiplicative Borel measure is a point evaluation. Proposition 2.5. Let µ be a non-zero Borel measure with the property that ³ ³ ³ f gdµ f dµ ³gdµ for all functions f and g P Cb pE q. Then there exists x P E such that f dµ f pxq for f P Cb pE q.

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³

Proof. Since µ 0 there exists f P Cb pE q such that 0 f dµ 2 ³ ³ ³ ³ ³ f 1dµ f dµ 1dµ, and hence 0 1dµ 1dµ . Consequently, ³ 1dµ 1. Let f and g be functions in Cb pE q. Then we have »

f gd |µ|

"» * sup hdµ : h f g, h Cb E "» sup h1 h2 dµ : h1 f, h2 g, h1 , h2 "» * sup h1 dµ : h1 f, h1 Cb E "» * sup h2 dµ : h2 g, h2 Cb E » »

| |¤

| |¤ | |¤

| |¤

P p q

f d |µ|

| |¤

*

P Cb pE q

P p q

P p q

gd |µ| .

(2.63)

From (2.63) it follows that the variation measure |µ| is multiplicative as well. Since E is a Polish space, the measure |µ| is inner-regular. So there exists a compact subset K of E such that |µ| pE zK q ¤ 1{2, and hence |µ| pK q ¡ 1{2. Since |µ| is multiplicative it follows that |µ| pK q 1 |µ| pE q. It follows that the multiplicative measure |µ| is concentrated on the compact subset K, and hence it can be considered as a multiplicative measure on C pK q. But then there exists a point x P K such that |µ| δx , the Dirac measure at x. So there exists a constant cx such that µ cx |µ| cx δx . Since µpE q δx pE q 1 it follows that cx 1. This proves Proposition 2.5. 2.2

Strong Markov processes and Feller evolutions

In the sequel E denotes a separable complete metrizable topological Hausdorff space. In other words E is a Polish space. The space Cb pE q is the space of all complex valued bounded continuous functions. The space Cb pE q is not only equipped with the uniform norm: }f }8 : supxPE |f pxq|, f P Cb pE q, but also with the strict topology Tβ . It is considered as a subspace of the bounded Borel measurable functions L8 pE q, also endowed with the supremum norm. Definition 2.4. A family tP ps, tq : 0 ¤ s ¤ t ¤ T u of operators defined on L8 pE q is called a Feller evolution or a Feller propagator on Cb pE q if it possesses the following properties: (i) It leaves Cb pE q invariant: P ps, tqCb pE q Cb pE q for 0 ¤ s ¤ t ¤ T ;

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(ii) It is an evolution: P pτ, tq P pτ, sq P ps, tq for all τ , s, t for which 0 ¤ τ ¤ s ¤ t and P pt, tq I, t P r0, T s; (iii) It consists of contraction operators: }P ps, tqf }8 ¤ }f }8 for all t ¥ 0 and for all f P Cb pE q; (iv) It is positivity preserving: f ¥ 0, f P Cb pE q, implies P ps, tqf ¥ 0; (v) For every f P Cb pE q the function ps, t, xq ÞÑ P ps, tqf pxq is continuous on the diagonal of the set tps, t, xq P r0, T s r0, T s E : 0 ¤ s ¤ t ¤ T u in the sense that for every element pt, xq P p0, T s E the equality lim P ps, tqf py q f pxq holds, and for every element ps, xq P r0, T q

Ò Ñx

s t,y

E the equality

lim P ps, tqf py q f pxq holds.

Ó Ñx

t s,y

(vi) For every t P r0, T s and f P is Borel measurable and if E such that sn decreases E, and lim P psn , tq g pxn q

Ñ8

Cb pE q the function ps, xq ÞÑ P ps, tqf pxq psn , xn qnPN is any sequence in r0, ts to s P r0, ts, xn converges to x P exists in C for all g P Cb pE q, then

lim P psn , tq f pxn q P ps, tqf pxq. n

Ñ8

(vii) For every pt, xq P p0, T s E and f P Cb pE q the following equality holds: lim P pτ, sq f pxq P pτ, tq f pxq, τ P r0, tq. n

Ò ¥

s t, s τ

Remark 2.5. Since the space E is Polish, the continuity as described in (v) can also be described by sequences. So (v) is equivalent to the following condition: for all elements pt, xq P p0, T s E and ps, xq P r0, T q E the equalities lim P psn , tq f pyn q f pxq

Ñ8

n

and

lim P ps, tn q f pyn q f pxq

Ñ8

n

(2.64)

hold. Here psn qnPN r0, ts is any sequence which increases to t, ptn qnPN rs, T s is any sequence which decreases to s, and pyn qnPN is any sequence in E which converges to x P E. If for all f P Cb pE q and t P r0, T s the function ps, xq ÞÑ P ps, tqf pxq, ps, xq P r0, ts E, is continuous, then (vi) and (vii) are satisfied. If the function ps, t, xq ÞÑ P ps, tq f pxq is continuous on the space tps, t, xq P r0, T s r0, T s E : s ¤ tu, then the propagator P ps, tq possesses properties (v) through (vii). In Proposition 2.6 we will single out a closely related property. Its proof is part of the proof of Theorem 2.10. Definition 2.5. Let the family tP ps, tq : 0 ¤ s ¤ t ¤ T u of operators defined on L8 pE q be a Feller evolution or a Feller propagator. It is called a strong Feller evolution if for every Borel measurable function f P L8 pE q, the function pτ, t, xq ÞÑ P pτ, tq f pxq, 0 ¤ τ t ¤ T , x P E, is continuous.

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Proposition 2.6. Let the family tP pτ, tq : 0 ¤ τ ¤ t ¤ T u possess the properties (i) through (iv) of Definition 2.4. Suppose that for every f P Cb pE q the function pτ, t, xq ÞÑ P pτ, tq f pxq is continuous on the space

tpτ, t, xq P r0, T s r0, T s E : τ ¤ tu . (2.65) Then for every f P Cb pr0, T s E q the function pτ, t, xq ÞÑ P pτ, tq f pt, q pxq is continuous on the space in (2.65). It is noticed that assertions (iii) and (iv) together are equivalent to

(iii1 ) If 0 ¤ f

¤ 1, f P Cb pE q, then 0 ¤ P ps, tqf ¤ 1, for 0 ¤ s ¤ t ¤ T .

In the presence of (iii), (ii) and (i), property (v) is equivalent to: (v1 ) lim }u pP ps, tqf

f q}8 0 and lim }u pP ps, tqf f q}8 0 for all f P sÒt Cb pE q and u P H pE q. So that a Feller evolution is in fact Tβ -strongly continuous in the sense that, for every f P Cb pE q and u P H pE q, }u pP ps, tq f P ps0 , t0 q f q}8 0, 0 ¤ s0 ¤ t0 ¤ T. (2.66) lim p qÑp q Ó

t s

¤ ¤ 0 ¤0

s,t

s ,t

s s0 t0 t

Remark 2.6. Property (vi) is satisfied if for every t P p0, T s the function ps, xq ÞÑ P ps, x; t, E q P ps, tq 1pxq is continuous on r0, ts E, and if for every sequence psn , xn qnPN r0, ts E for which sn decreases to s and xn converges to x, the inequality lim supnÑ8 P psn , tq f pxn q ¥ P ps, tq f pxq holds for all f P Cb pE q. Since functions of the form x ÞÑ P ps, tqf pxq, f P Cb pE q, belong to Cb pE q, it is also satisfied provided that for every f P Cb pE q we have lim P psn , tq f

Ñ8

n

P ps, tq f,

uniformly on compact subsets of E.

This follows from the inequality:

|P psn , tq f pxn q P ps, tq f pxq| ¤ |P psn , tq f pxn q P ps, tq pxn q| |P ps, tq f pxn q P ps, tq f pxq| where sn Ó s, xn Ñ x as n Ñ 8, and f P Cb pE q. Proposition 2.7. Let tP ps, tq : 0 ¤ s ¤ t ¤ T u be a family of operators

having property (i) and (ii) of Definition 2.4. Then property (iii1 ) is equivalent to the properties (iii) and (iv) together. Moreover, if such a family tP ps, tq : 0 ¤ s ¤ t ¤ T u possesses property (i), (ii) and (iii), then it possesses property (v) if and only if it possesses (v 1 ).

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Proof. First suppose that the operator P ps, tq : L8 pE q Ñ L8 pE q has the properties (iii) and (iv), and let f P Cb pE q be such that 0 ¤ f ¤ 1. Then by (iii) and (iv) we have 0 ¤ P ps, tqf pxq ¤ supyPE f py q ¤ 1, and hence (iii1 ) is satisfied. Conversely, let f P Cb pE q and x P E. Then by (iii1 ) the operator P ps, tq satisfies ℜP ps, tqf pxq rP ps, tqℜf s pxq ¤ sup ℜf py q ¤ }ℜf }8 .

(2.67)

P

y E

There exists ϑ P rπ, π s such that by (2.67) we have

|P ps, tqf pxq| ℜ eiϑ P ps, tqf pxq P ps, tqℜ eiϑ f pxq ¤ ℜ eiϑ f 8 ¤ }f }8 ,

from which (iii) easily follows. Property (iv) easily follows from (iii1 ).

Next, suppose that the family tP ps, tq : 0 ¤ s ¤ t ¤ T u possesses property (v1 ). Then, by taking s0 t0 , it clearly has property (v). Fix ps0 , t0 q P r0, T s r0, T s in such a way that s0 ¤ t0 . For the converse implication we employ Theorem 2.7 with the families of operators

tP psm , s0 q : 0 ¤ sm ¤ sm 1 ¤ s0 u

and tP pt0 , tm q : t0

¤ tm 1 ¤ tm ¤ T u

(2.68) respectively. Let pfn qnPN be a sequence functions in Cb pE q which decreases pointwise to zero. Then by Dini’s lemma and assumption (v) we know that lim sup sup P psm , s0 q fn pxq lim sup sup P pt0 , tm q fn pxq

Ñ8 mPN xPK

Ñ8 mPN xPK

n

n

0

(2.69)

for all compact subsets K of E. From (2.69) we see that the sequences of operators in (2.68) are tight. By Theorem 2.7 it follows that they are equi-continuous. If the pair ps, tq belongs to r0, s0 s rt0 , T s, then we write P ps, tq f P ps0 , t0 q f

P ps, t0 q pP pt0 , tq I q f pP ps, s0 q I q P ps0 , t0 q f.

(2.70) Let u be a function in H pE q. Since the first sequence in (2.68) is equicontinuous and by invoking (2.70) there exists a function v P H pE q such that the following inequality holds for all m P N and all f P Cb pE q:

}u pP psm , tm q f P ps0 , t0 q f q}8 ¤ }v pP pt0 , tm q I q f }8 }u pP psm , s0 q I q P ps0 , t0 q f } .

(2.71)

In order to prove the equality in (2.66) it suffices to show that the righthand side of (2.71) tends to zero if m Ñ 8. By the properties of the functions u and v it suffices to prove that lim }1K pP psm , s0 q f

m

Ñ8

f q}8 mlim Ñ8 }1K pP pt0 , tm q f f q}8 0

(2.72)

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for every compact subset K of E and for every function f P Cb pE q. The equalities in (2.72) follow from the sequential compactness of K and (v) which imply that lim P psm , s0 q f pxm q f px0 q lim P pt0 , tm q f pxm q

m

Ñ8

m

Ñ8

whenever sm increases to s0 , tm decreases to t0 and xm converges to x0 . This completes the proof of Proposition 2.7. 2.2.1

The operators

_t, ^t and ϑt

Before we introduce the definition of time-inhomogeneous Markov process we introduce the operators _t and ^t , and ϑt relative to a stochastic process s ÞÑ X psq P E, s P r0, T s. These operators are called respectively maximum time operator, minimum time operator, and time translation operator. Let Y : s ÞÑ ps, X psqq be the corresponding space-time process. These are operators from the sample-path space r0, T sΩ to itself. Their defining property is given by Y _t psq ps _ t, X ps _ tqq, Y ^t psq ps ^ t, X ps ^ tqq, and Y ϑt psq pps tq ^ T, X pps tq ^ T qq, s, t P r0, T s. This is perhaps the right place to explain the compositions F _t , F ^t , and F ϑt , if F : Ω Ñ C is FT0 -measurable, and if t P r0, T s. Such functions F are called ±n random variable. If F is of the form F j 1 fj ptj , X ptj qq, where the functions fj , 1 ¤ j ¤ n, are bounded Borel functions, defined on r0, T s E, then, by definition, F

_t

n ¹

fj ptj

_ t, X ptj _ tqq ,

j 1

F

^t

n ¹

f j pt j

^ t, X ptj ^ tqq ,

j 1

and F

ϑt

n ¹

fj pptj

tq ^ T, X pptj

tq ^ T qq .

(2.73)

j 1

If t in (2.73) is an Fs0 sPr0,T s -stopping time, then a similar definition is applied. By the Monotone Class Theorem, the definitions in (2.73) extend to all FT0 measurable variables F , i.e. to all random variables. For a discussion on the Monotone Class Theorem see Subsection 2.4.2. Definition 2.6. Let for every pτ, xq P r0, T s E, a probability measure Pτ,x on FTτ be given. Suppose that for every bounded random variable Y : Ω Ñ R the equality Eτ,x Y

_t Ftτ Et,X ptq rY _t s

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holds Pτ,x -almost surely for all pτ, xq Then the process

143

P r0, T s E

and for all t

P rτ, T s.

tpΩ, FTτ , Pτ,xq , pX ptq, τ ¤ t ¤ T q , p_t : τ ¤ t ¤ T q , pE, E qu (2.74) is called a Markov process. If the fixed time t P rτ, T s may be replaced with a stopping time S attaining values in rτ, T s, then the process in (2.74) is called a strong Markov process. By definition Pτ,△ pAq 1A pω△ q δω pAq. Here A belongs to F , and ω△ psq △ for all s P r0, T s. If tpΩ, FTτ , Pτ,xq , pX ptq, τ ¤ t ¤ T q , p_t : τ ¤ t ¤ T q , pE, E qu △

is a Markov process, then we write P pτ, x; t, B q Pτ,x pX ptq P B q,

B

P E,

x P E, τ

¤ t ¤ T,

(2.75)

for the corresponding transition function. The operator family (of evolutions, propagators)

tP ps, tq : 0 ¤ s ¤ t ¤ T u is defined by

»

rP ps, tqf spxq Es,x rf pX ptqqs f pyqP ps, x; t, dyq , f P Cb pE q, s ¤ t ¤ T. Let S : Ω Ñ rτ, T s be an pFtτ qtPrτ,T s -stopping time. Then the σ-field FSτ is defined by

FSτ

£ !

Pr

t τ,T

s

A P FTτ : A

£

tS ¤ tu P Ftτ

)

.

Of course, a random variable S : Ω Ñ rτ, T s is called an pFtτ qtPrτ,T s -stopping time, provided that for every t P rτ, T s the event tS ¤ tu belongs to Ftτ . 2.2.2

Generators of Markov processes and maximum principles

We begin with the definition of of the generator of a time-dependent Feller evolution. Definition 2.7. A family of operators Lptq, 0 ¤ t ¤ T , is said to be the (infinitesimal) generator of a Feller evolution tP ps, tq : 0 ¤ s ¤ t ¤ T u, P ps, tqf f if Lpsqf Tβ -lim , 0 ¤ s ¤ T . This means that a functÓs ts P ps, tqf f tion f belongs to D pLpsqq whenever Lpsqf : lim exists tÓs ts

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in Cb pE q, equipped with the strict topology. It is the same as saying that to Cb pE q, that the family of func* " the function Lpsqf belongs P ps, tqf f : t P ps, T q is uniformly bounded and that convertions ts gence takes place uniformly on compact subsets of E. Such a family of operators is considered as an operator L with domain in the space Cb pr0, T s E q. A function f P Cb pr0, T s E q is said to belong to DpLq if for every s P r0, T s the function x ÞÑ f ps, xq is a member of DpLpsqq and if the function ps, xq ÞÑ Lpsqf ps, q pxq belongs to Cb pr0, T s E q. Instead of Lpsqf ps, q pxq we often write Lpsqf ps, xq. If a function f P DpLq is such that the function s ÞÑ f ps, xq is continuously differentiable, then we say that f belongs to Dp1q pLq. The time derivative

B is often written as D . 1 Bs p 1q hence D pLq D pD1 q DpLq. operator

Its domain is denoted by D pD1 q, and

Definition 2.8. The family of operators Lpsq, 0 ¤ s ¤ T , is said to generate a time-inhomogeneous Markov process

tpΩ, FTτ , Pτ,xq , pX ptq : T ¥ t ¥ τ q , p_t : τ ¤ t ¤ T q , pE, E qu (2.76) if for all functions u P DpLq, for all x P E, and for all pairs pτ, sq with 0 ¤ τ ¤ s ¤ T the following equality holds: d u B Eτ,x ru ps, X psqqs Eτ,x ds Bs ps, X psqq Lpsqu ps, q pX psqq . (2.77) Here it is assumed that the derivatives are interpreted as limits from the right which converge uniformly on compact subsets of E, and that the differential quotients are uniformly bounded. So these derivatives are Tβ -derivatives. Definition 2.9. By definition the Skorohod space D pr0, T s, E q consists of all functions from r0, T s to E which possess left limits in E and are right-continuous. The Skorohod space D r0, T s, E △ consists of all functions from r0, T s to E △ which possess left limits in E △ and are rightcontinuous. More precisely, a path (or function) ω : r0, T s Ñ E △ belongs to D r0, T s, E △ if it possesses the following properties: (a) if ω ptq P E, and s P r0, ts, then there exists ε ¡ 0 such that X pρq P E for ρ Pr0, t εs, and ω psq lim ω pρq and ω psq : lim ω pρq belong to E.

Ó

ρ s

Ò

ρ s

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(b) if ω ptq △ and s absorbing state.

P rt, T s, then ωpsq △.

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145

In other words △ is an

Observe that the range of ω P D pr0, T s, E q is contained in a totally bounded subset of E. Such sets are relatively compact. Also observe that the range of ω P D r0, T s, E △ restricted to an interval of the form r0, ts is also totally bounded provided that ω ptq P E. It follows that paths ω P D r0, T s, E △ restricted to intervals of the form r0, ts have relatively compact range as long as they have not reached the absorption state △, i.e. as long as ω ptq P E. Theorems 2.9, 2.10, 2.11, and 2.12 in §2.3 are well known in case E is a locally compact second countable Hausdorff space. In fact the sample space Ω should depend on τ . This is taken care of by assuming that the measure Pτ,x is defined on the σ-field FTτ . Let L be a linear operator with domain DpLq and range RpLq in Cb pE q. The following definition should be compared with Definition 4.1, and with assertion (b) in Proposition 4.3 in Chapter 4. Definition 2.10. Let E0 be subset of E. The operator L satisfies the maximum principle on E0 , provided sup ℜ pλf pxq Lf pxqq ¥ λ sup ℜf pxq, for all λ ¡ 0, and for all f P DpLq.

P

x E0

P

x E0

(2.78) If L satisfies (2.78) on E0 E, then the operator L satisfies the maximum principle of Definition 4.1. The next definition is the same as the one in Definition 4.5 in Chapter 4. Definition 2.11. Let E0 be a subset of E. Suppose that the operator L has the property that for every λ ¡ 0 and for every x0 P E0 the number ℜh px0 q ¥ 0, whenever h P DpLq is such that ℜ pλI Lq h ¥ 0 on E0 . Then the operator L is said to satisfy the weak maximum principle on E0 . The following proposition says that the concepts in the definitions 2.10 and 2.11 coincide, provided 1 P DpLq and L1 0. Proposition 2.8. If the operator L satisfies the maximum principle on E0 , then L satisfies the weak maximum principle on E0 . Suppose that the constant functions belong to DpLq, and that L1 0. If L satisfies the weak maximum principle on E0 , then it satisfies the maximum principle on E0 . Proof. First we observe that (2.78) is equivalent to inf ℜ pλf pxq Lf pxqq ¤ λ inf ℜf pxq, for all λ ¡ 0, and for all f

P

x E0

P

x E0

P DpLq. (2.79)

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Hence, if λf Lf ¥ 0 on E0 , then (2.79) implies that ℜf px0 q ¥ 0 for all x0 P E0 . Conversely, suppose that 1 P DpLq and that L1 0. Let f P DpLq, put m inf tℜf py q : y P E0 u, and assume that inf ℜ pλf

P

x E0

Lf q pxq ¡ λ yinf PE

0

ℜf py q λm.

(2.80)

Then there exists ε ¡ 0 such that inf ℜ pλf

Lf q pxq ¥ λ pm εq. Hence, since L1 0, inf ℜ pλI Lq pf m εq pxq ¥ 0. Since the operator L x PE satisfies the weak maximum principle, we see ℜ pf m εq ¥ 0 on E0 . Since this is equivalent to ℜf ¥ m ε on E0 , which contradicts the definition P

x E0

of m. Hence, our assumption in (2.80) is false, and consequently, inf ℜ pλf

P

x E0

Lf q pxq ¤ λ yinf PE

0

ℜf py q.

(2.81)

Since (2.81) is equivalent to (2.78) this concludes the proof of Proposition 2.8. Definition 2.12. Let an operator L, with domain and range in Cb pE q, satisfy the maximum principle. Then L is said to possess the global Korovkin property, if there exists λ0 ¡ 0 such that fore every x0 P E, the subspace S pλ0 , x0 q, defined by S pλ0 , x0 q g

P Cb pE q : for every ε ¡ 0 the inequality (2.82) sup th1 px0 q : pλ0 I Lq h1 ¤ ℜ g ε, h1 P DpLqu ( ¥ inf th2 px0 q : pλ0 I Lq h2 ¥ ℜ g ε, h2 P DpLqu is valid , coincides with Cb pE q. Remark 2.7. Let D be a subspace of Cb pE q with the property that for every x0 P E the space S px0 q, defined by S px0 q tg P Cb pE q : for every ε ¡ 0 the inequality sup th1 px0 q : h1 ¤ ℜ g ε, h1 P Du ¥ inf th2 px0 q : h2 ¥ ℜ g ε, h2 P Du holdsu , (2.83) coincides with Cb pE q. Then such a subspace D could be called a global Korovkin subspace of Cb pE q. In fact the inequality in (2.83) is pretty much the same as the one in (2.82) in case L 0. Any countable union of compact subsets of E is called σ-compact subset. In what follows the symbol Kσ pE q denotes the collection of σ-compact

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147

subsets of E. In practical situations the set E0 in the following definition is a member of Kσ pE q or a Polish (for instance an open) subset of E. Definition 2.13. Let E0 be subset of E. Let an operator L, with domain and range in Cb pE q, satisfy the maximum principle on E0 . Then L is said to possess the Korovkin property on E0 , if there exists λ0 ¡ 0 such that for every x0 P K, the ! subspace Sloc pλ0 , x0 , E0 q, defined by Sloc pλ0 , x0 , E0 q g

P Cb pE q : for every ε ¡ 0 the inequality (2.84) sup th1 px0 q : pλ0 I Lq h1 ¤ ℜ g ε, on E0 u h PDpLq ) t h2 px0 q : pλ0 I Lq h2 ¥ ℜ g ε, on E0 u , ¥ h Pinf DpLq coincides with Cb pE q. 1

2

2.3

Strong Markov processes: Main results

The following theorems 2.9 through 2.13 contain the basic results about strong Markov processes on Polish spaces, their sample paths, and their generators. Theorem 2.9 says that a Feller evolution (or propagator) can be considered as the one-dimensional distributions, or marginals, of a strong Markov process. Theorem 2.10 describes the reverse situation: with certain Markov processes we may associate Feller propagators. In Theorem 2.11 the intimate link between unique solutions to the martingale problem and the strong Markov property is established. Theorem 2.12 contains a converse result: Markov processes can be considered as solutions to the martingale problem. Finally, in Theorem 2.13 operators which possess unique linear extensions which generate Feller evolutions, and for which the martingale problem is uniquely solvable, are described. For such operators the martingale problem is said to be well-posed. A Hunt process is a strong Markov process which is quasi-left continuous with respect to the minimum completed admissible filtration tFtτ uτ ¤t¤T : see item (4) in Theorem 2.9 and Definition 2.15. For Theorem 2.9 in the locally compact setting and a timehomogeneous Feller evolution (i.e. a Feller-Dynkin semigroup) the reader may e.g. consult [Blumenthal and Getoor (1968)]. It will be convenient to insert some definitions before formulating the main results of Part 2 of this book. The following definition should be compared with the definitions given in (3.24), (3.25), (3.26), and (3.27) in §3.1. Definition 2.14. Let tGtτ : 0 ¤ τ ¤ t ¤ T u be family of σ-fields. This family is called a double filtration if 0 ¤ τ1 ¤ τ2 ¤ t ¤ T implies Gtτ2 Gtτ1 ,

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148

and τ ¤ t1 ¤ t2 ¤ T implies Gtτ1 Gtτ2 . Unless specified otherwise a family of the form tGtτ : 0 ¤ τ ¤ t ¤ T u always denotes a double filtration. A random variable S : Ω Ñ rτ, T s is called a pGtτ qtPrτ,T s -stopping time whenever tS ¤ tu P Gtτ for all t P rτ, T s. The corresponding σ-field GSτ is defined by £ !

GSτ

Pr

t τ,T

A P GTτ : A

s

£

rτ, ts P Gtτ

)

.

The right closure Gtτ of the σ-field Gtτ is defined by Gtτ sPpt,T s Gsτ . If S : Ω Ñ rτ, T s is a pGtτ qtPrτ,T s -stopping time, then the σ-field GSτ is defined by £ !

GSτ

A P GTτ : A

Ppτ,T s

£

rτ, ts P Gtτ

)

.

t

A random variable S : Ω Ñ rτ, T s is called a terminal pGtτ qtPrτ,T s -stopping time provided that tt1 S ¤ t2 u P Gtt21 for all τ ¤ t1 ¤ t2 ¤ T . If S1 and S2 : Ω Ñ rτ, T s are terminal pGtτ qtPrτ,T s -stopping times such that S1 ¤ S2 , then the σ-field GSS21 is defined by GSS21

!

£

τ

τ

τ

τ

¤ρ T

A P GSτ 2 : A

tS1 ¡ ρu P GSρ

£ !

£

¤ρ T τ t¤T t¤T t¤ρ T

)

£

tS1 ¡ ρu tS2 ¤ tu P Gtρ

¤ρ t

τ

£

A P GSτ 2 : A £

tS2 ¤ tu P GtS ^t

)

1

£ !

)


A P GSτ 2 : A

GtS1 ^t

£

£

£ !

t¤T

)

2

A P GSτ 2 : A

£ !

£

where

£

A P Gtτ : A

£

tS1 ¡ ρu P Gtρ

)

.

The right closure GSS21 of the σ-field GSS21 is defined by GSS21

£ !

£

τ

¤ρ T τ t¤T

Let Ω, GTτ , Gtt21

τ

A P GTτ : A

Gtt21

Pτ,x

£


)

. (2.85)

¤t1 ¤t2 ¤T

tration. Fix τ ¤ t1 t2 Gtt21 in GTτ is defined by

£

, Pτ,x be a probability space with a double fil-

¤ T.

Then the Pτ,x -closure Gtt21

Pτ,x

of the σ-field

A P GTτ : there exist A1 , A2 P Gtt21 such that ( A1 A A2 and Pτ,x rA2 zA1 s 0 .

(2.86)

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If in (2.86) the σ-field GTτ is replaced with the power set of Ω, then we obtain the Pτ,x -completion of the σ-field Gtt21 . Similar conventions are employed ³ for Pτ,µ -closures and Pτ,µ -completions; here Pτ,µ rAs E Pτ,x rAs dµpxq, A P GTτ . Occasionally we need the following σ-field: GSS21 ,_

!

£

¤¤

_ρ 1A P GSS _ρ

A P GTτ :

1 2

0 ρ T

)

.

_ρ -G t1 -measurable, τ ¤ t ¤ t ¤ T , Here the operator _ρ : Ω Ñ Ω is Gtt21_ 1 2 ρ t2 ρ P r0, T s. Suppose that X psq _ρ X ps _ ρq for all s P rτ, T s. If the σ-fields Gtt21 are generated by the state variables pX psq : t1 ¤ s ¤ t2 q, τ ¤ t1 ¤ t2 ¤ T , then the maximum operators _ρ , τ ¤ ρ ¤ T , possess such measurability properties. In subsection 2.2.1 the reader finds some information on the operators _t , ^t and ϑt , t ¥ 0. Notice that in the definition of GSS21 we need the fact that the stopping times S1 and S2 are terminal and satisfy τ ¤ S1 ¤ S2 ¤ T , because we want to be sure that events of the form tS2 ¤ tu belong to this σ-field. Such an event belongs to GSS21 provided that for every ρ, ρ1 P rτ, ts, ρ1 ¤ ρ, the event £

tS2 ¤ tu tS2 ¤ ρ2 u

£

S1

(

¡ ρ1

ρ1

S1 ¤ t ^ ρ

(£

ρ1

S2 ¤ t ^ ρ

1 belongs to Gρρ . The latter follows from the inequality S1 ¤ S2 together with the assumption that the stopping times S1 and S2 are terminal. Also note that the right closure of GSS21 is given by GSS21

£

¡

h 0

GpSS12

h

q^T .

(2.87)

The notion of strong Markov process relative to the minimal double filtration tFtτ : 0 ¤ τ ¤ t ¤ T u is explained in Definition 2.6. The same definition can be used if a more general double filtration tFtτ : 0 ¤ τ ¤ t ¤ T u is employed. In the following definition we collect some notions related to continuity of our Markov process. Definition 2.15. Let !

Ω, GTτ , pGtτ qtPrτ,T s , Pτ,x , pX ptq, τ

)

¤ t ¤ T q , p_t : τ ¤ t ¤ T q , pE, E q

, (2.88) be a Markov process. It is called normal if Pτ,x rX pτ q xs 1 for all pτ, xq P r0, T s E. It is called right-continuous if limtÓs X ptq X psq, Pτ,x -almost surely for τ ¤ s ¤ T , possesses left limits in E on its life

(

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time (i.e. limtÒs X ptq exists in E, whenever ζ ¡ s), and is quasi-left con tinuous (i.e. if pτn : n P Nq is an increasing sequence of Ftτ -stopping times, X pτn q converges Pτ,x -almost surely to X pτ8 q on the event tτ8 ζ u, where τ8 supnPN τn ). Here ζ is the life time of the process t ÞÑ X ptq: ζ inf ts ¡ 0 : X psq △u, when X psq △ for some s P r0, T s, and elsewhere ζ T . If in (2.88) the minimal σ-fields Ftτ σ pX pρq : τ ¤ ρ ¤ tq are taken instead of Gtτ , and if the Markov process in (2.88) has all these properties, then it is called a Hunt process. In the following theorem we see that with a Feller evolution

tP pτ, tq : 0 ¤ τ ¤ t ¤ T u

(2.89)

a strong Markov process can be associated in such a way that the onedimensional distributions or marginals are determined by the operators f ÞÑ P pτ, tq f , f P Cb pE q. In fact every operator P pτ, tq can be written as P pτ, tq f pxq

»

P pτ, x; t, dy q f py q, f

P Cb pE q,

where the mapping

pτ, x, t, B q ÞÑ P pτ, x; t, B q , pτ, x, t, B q P r0, T s E r0, T s E, τ ¤ t, is a sub-probability transition function. Definition 2.16. If the Feller evolution in (2.89) is strong Feller, then the corresponding Markov process in (2.90) below is said to have the strong Feller property, or to be strong Feller. The proof of the following theorem can be found in Chapter 3 subsection 3.1.1. Theorem 2.9. Let tP pτ, tq : τ ¤ t ¤ T u be a Feller evolution in Cb pE q. Then there exists a strong Markov process (in fact a Hunt process)

tpΩ, FTτ , Pτ,xq , pX ptq, τ ¤ t ¤ T q , p_t : τ ¤ t ¤ T q , pE, E qu , (2.90) such that rP pτ, tqf s pxq Eτ,x rf pX ptqqs , f P Cb pE q, t ¥ 0. Moreover this Markov process possesses the following properties: (1) it is normal, i.e. Pτ,x rX pτ q xs 1); (2) it is right continuous, i.e. limtÓs X ptq X psq, Pτ,x -almost surely for τ ¤ s ¤ T; (3) it possesses left limits in E on its life time, i.e. limtÒs X ptq exists in E, whenever ζ ¡ s;

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(4) it is quasi-left continuous: i.e. if pτn : n P Nq is an increasing sequence of Ftτ -stopping times, X pτn q converges Pτ,x -almost surely to X pτ8 q on the event tτ8 ζ u, where τ8 supnPN τn ).

Here ζ is the life time of the process t ÞÑ X ptq: ζ inf ts ¡ 0 : X psq △u, when X psq △ for some s P r0, T s, and elsewhere ζ T . Put Ftτ

£

Ppt,T s

Fsτ

s

£

Ppt,T s

σ p X pρ q : τ

¤ ρ ¤ sq .

(2.91)

s

Let F : Ω Ñ C be a bounded FTs -measurable random variable. Then

Es,X psq rF s Eτ,x F Fsτ

Eτ,x F Fsτ P E. Consequently,

(2.92)

Pτ,x -almost surely for all τ ¤ s and x the process defined in (2.90)is in fact a Markov process with respect to the right closed filtrations: Ftτ tPrτ,T s , τ P r0, T s. Moreover, the events tX ptq P E u and tX ptq P E, ζ ¥ tu coincide Pτ,x-almost surely for τ ¤ t ¤ T and x P E. Even more is true, the process defined in (2.90) is strong Markov with respect to the filtrations Ftτ tPrτ,T s , τ P r0, T s, in the sense that ES,X pS q rF

_S s Eτ,x

F

_S FSτ

(2.93)

for all bounded FT0 -measurable random variables F : Ω Ñ C and for all τ Ft tPrτ,T s -stopping times S : Ω Ñ rτ, T s. The σ-field FSτ is defined in Definition 2.14 equality (2.85): see (2.87), and (2.97) in Remark 2.8 as well. As Ω the Skorohod space D pr0, T s, E q, if P pτ, x : t, E q 1 for all 0 ¤ τ ¤ t ¤ T , or D r0, T s, E △ , otherwise, may be chosen. The following theorem contains kind of a converse statement to Theorem 2.9. Its proof can be found in Chapter 3 subsection 3.1.2. Theorem 2.10. Conversely, let

tpΩ, FTτ , Pτ,xq , pX ptq, τ ¤ t ¤ T q , p_t : τ ¤ t ¤ T q , pE, E qu

(2.94)

be a strong Markov process which is normal, right continuous, and possesses left limits in E on its life time. Put, for x P E and 0 ¤ τ ¤ t ¤ T , and f P L8 pr0, T s E, E q, »

rP pτ, tqf pt, qs pxq Eτ,x rf pt, X ptqqs P pτ, x; t, dyq f pt, yq , (2.95) where P pτ, x; t, B q Pτ,x rX ptq P B s, B P E. Suppose that the function ps, t, xq ÞÑ P ps, tqf pxq is continuous on the set tps, t, xq P r0, T s r0, T s E : s ¤ tu

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152

for all functions f belonging to Cb pE q, 0 ¤ s ¤ t ¤ T . Then the family tP ps, tq : T ¥ t ¥ s ¥ 0u is a Feller evolution. Moreover, functions of the form ps, t, xq ÞÑ P ps, tqf pt, q pxq, f P Cb pr0, T s E q, are continuous on the same space. The maximum operators _t : Ω Ñ Ω, t P rτ, T s, have the property that for all pτ, xq P r0, T s E the equality X psq _t X ps _ tq holds Pτ,x -almost surely for all t P rτ, T s. The following theorem shows that for generators of Feller evolutions the martingale problem is uniquely solvable. Its proof is to be found in Chapter 3 subsection 3.1.3. Theorem 2.11. Let the family L tLpsq : 0 ¤ s ¤ T u be the generator of a Feller evolution in Cb pE q and let the process in (2.90) be the corresponding Markov process. For every f P Dp1q pLq D pD1 q DpLq and for every pτ, xq P r0, T s E, the process »t

B t ÞÑ f pt, X ptqq f pτ, X pτ qq Bs Lpsq f ps, X psqq ds (2.96) τ is a Pτ,x -martingale for the filtration pFtτ qT ¥t¥τ , where each σ-field Ftτ , T ¥ t ¥ τ ¥ 0, is the Pτ,x -completion of σ pX puq : τ ¤ u ¤ tq. In fact

the σ-field Ftτ may be taken as the Pτ,x -completion of the right closure Ftτ s¡t σ pX pρq : τ ¤ ρ ¤ sq. It³ is also possible to complete Ftτ with respect to Pτ,µ , given by Pτ,µ pAq Pτ,x pAqdµpxq. For Ftτ the following σ-field may be chosen: Ftτ

£

¤

P p q ¥s¡t

tPτ,µ-completion of σ pX puq : τ ¤ u ¤ squ .

µ P E T

The following theorem makes it clear that there is a converse to the statement in Theorem 2.11. For a proof the reader may consult subsection 3.1.4 in Chapter 3. Theorem 2.12. Conversely, let L tLpsq : 0 ¤ s ¤ T u be a family of Tβ densely defined linear operators with domain DpLpsqq and range RpLpsqq in Cb pE q, such that Dp1q pLq is Tβ -dense in Cb pr0, T s E q. Let

ppΩ, FTτ , Pτ,xq : pτ, xq P r0, T s E q be the unique family of probability spaces with state variables pX ptq : t P r0, T sq defined on the filtered space Ω, pFtτ qτ ¤t¤T with values in the state space pE, E q possessing the following properties: for all pairs

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153

0 ¤ τ ¤ t ¤ T the state variable X ptq is Ftτ -E-measurable, for all pairs pτ, xq P r0, T s E, Pτ,x rX pτ q xs 1, and for all f P Dp1q pLq the process t ÞÑ f pt, X ptqq f pτ, X pτ qq

»t τ

B Bs

Lpsq f ps, X psqq ds

is a Pτ,x -martingale with respect to the filtration pFtτ qτ ¤t¤T . Then the family of operators L tLpsq : 0 ¤ s ¤ T u possesses a unique extension

tL 0 ps q : 0 ¤ s ¤ T u , which generates a Feller evolution in Cb pE q. It is required that the operaL0

tor D1 L is sequentially λ-dominant in the sense of Definition 4.3; i.e. for every sequence of functions pψm qmPN (Cb pr0, T s E q which decreases pointwise to zero the sequence ψnλ : n P N , defined by ψnλ

sup

P pr sE q

K K 0,T

inf tg

¥ ψn 1K : g P D pD1

Lq , pλI

D1 L q g ¥ 0 u ,

decreases uniformly on compact subsets of r0, T s E to zero as well. In addition, the sample space Ω is supposed to be the Skorohod space D r0, T s , E △ ; in particular X ptq P E, τ ¤ s t, implies X psq P E. The following theorem gives Korovkin type conditions in order that a family of operators possesses a unique extension which generates a Feller evolution. For the proof the reader is referred to Chapter 3 subsection 3.1.5. Theorem 2.13. (Unique Markov extensions) Suppose that the Tβ -densely defined linear operator D1

"

B Lpsq : 0 ¤ s ¤ T * , Bs Cb pr0, T s E q, possesses the

L

with domain and range in global Korovkin property and satisfies the maximum principle, as exhibited in Definition 2.10. Also suppose that L assigns real functions to real functions. Then the family L tLpsq : 0 ¤ s ¤ T u extends to a unique generator L0 tL0 psq : 0 ¤ s ¤ T u of a Feller evolution, and the martingale problem is well posed for the family of operators tLpsq : 0 ¤ s ¤ T u. Moreover, the Markov process associated with tL0 psq : 0 ¤ s ¤ T u solves the martingale problem uniquely for the family L tLpsq : 0 ¤ s ¤ T u.

Let E01 be a subset of E which is Polish for the relative topology. Put E0 r0, T s E01 . The same conclusion is true with E01 instead of E if the operator D1 L possesses the following properties:

(1) If f

P Dp1q pLq vanishes on E0 , then D1 f

Lf vanishes on E0 as well.

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(2) (3) (4) (5)


The The The The

operator D1 operator D1 operator D1 operator D1

L satisfies the maximum principle on E0 . L is positive Tβ -dissipative on E0 . L is sequentially λ-dominant on E0 for some λ ¡ 0. L has the Korovkin property on E0 .

The notion of maximum principle on E0 is explained in Definitions 2.11 and 2.10: see Proposition 2.8 as well. The concept of Korovkin property on a subset E0 can be found in Definition 2.13 with D1 L instead of L. Let pD1 Lq(æE0 be the operator defined by D ppD1 Lq æE0 q f æE0 : f P Dp1q pLq , and pD1 Lq æE0 pf æE0 q D1 f Lf æE0 , f P DpLq. Then the operator LæE0 possesses a unique linear extension to the generator L0 of a Feller semigroup on Cb pE0 q. For the notion of Tβ -dissipativity the reader is referred to inequality (4.14) in Definition 4.2, and for the notion of sequentially λ-dominant operator see Definition 4.3. In Proposition 2.3, and in (4.16) of Definition 4.3 the function ψnλ in Theorem 2.12 is denoted by Uλ1 pψn q. The sequential λ-dominance will guarantee that the semigroup which can be constructed starting from the other hypotheses in Theorems 2.12 and 2.13 is a Feller semigroup indeed: see Theorem 4.3. Remark 2.8. Notice that in (2.93) we cannot necessarily write

ES,X pS q rF

_S s Eτ,x F _S FSτ , because events of the form tS ¤ tu may not be Ftτ -measurable, and hence the σ-field FSτ is not well-defined. In (2.93) the σ-field FSτ FSτ

£!

¥

A P FTτ : A

£

rS ¤ ts P Ftτ

)

is defined by (2.97)

.

t 0

Remark 2.9. Let d : E E Ñ r0, 1s be a metric on E which turns E into a complete metrizable space, and let △ be an isolated point of E △ E t△u. The metric d△ : E △ E △ Ñ r0, 1s defined by d△ px, y q d px, y q 1E pxq1E py q

1t△u x

p q 1t△u pyq turns E △ into a complete metrizable space. Moreover, if pE, dq is separable, then so is E △ , d△ . We also notice that the function x ÞÑ 1E pxq, x P E △ , belongs to Cb E △ .

Remark 2.10. Let tP pτ, tq : 0 ¤ τ ¤ t ¤ T u be an evolution family on Cb pE q. Suppose that for any sequence of functions pfn qnPN which decreases pointwise to zero limnÑ8 P pτ, tq fn pxq 0, 0 ¤ τ ¤ t ¤ T . Then there

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exists a family of Borel measures tB that P pτ, tq f pxq

»

155

ÞÑ P pτ, x; t, B q : 0 ¤ τ ¤ t ¤ T u such

f py qP pτ, x; t, dy q , f

P Cb pE q.

(2.98)

This is a consequence of Corollary 2.1. In addition the family

tB ÞÑ P pτ, x; t, B q : 0 ¤ τ ¤ t ¤ T u satisfies the equation of Chapman-Kolmogorov: »

P pτ, x; s, dz q P ps, z; t, B q P pτ, x; t, B q , 0 ¤ τ

¤ s ¤ t ¤ T,

B

P E.

(2.99)

P E , and 0 ¤ τ ¤ t ¤ T we put £ N pτ, x; t, B q P τ, x; t, B E p1 P pτ, x; t, E qq 1B p△q, x P E, and N pτ, △; t, B q 1B p△q . (2.100) Next, for B

△

Then the family

tB ÞÑ N pτ, x; t, B q : 0 ¤ τ ¤ t ¤ T u

satisfies the Chapman-Kolmogorov equation on E △ , N τ, x; t, E △ 1, and N pτ, △; t, E q 0. So that if B ÞÑ P pτ, x; t, B q is a sub-probability on E, then B ÞÑ N pτ, x; t, B q is a probability measure on E △ , the Borel field of E △ . Remark 2.11. Besides the family of (maximum) time operators t_t : t P r0, T su we have the following more or less natural families: t^t : t P r0, T su (minimum time operators), and the time translation or ( time shift operators ϑTt : t P r0, T s . Instead of ϑTt we usually write ϑt . The operators ^t : Ω Ñ Ω have the basic properties: ^s ^t ^s^t , s, t P r0, T s, and X psq ^t X ps ^ tq, s, t P r0, T s. The operators ϑt : Ω Ñ Ω, t P r0, T s, have the following basic properties: ϑs ϑt ϑs t , s, t P r0, T s, and X psq ϑt X pps tq ^ T q X pϑs t p0qq. Compare with subsection 2.2.1. It is clear that if a diffusion process, i.e. a Pτ,x -almost surely continuous Markov process pX ptq, Ω, Ftτ , Pτ,x q generated by the family of operators Lpτ q, τ P r0, T s, exists, then for every pair pτ, xq P r0, T s Rd , the measure Pτ,x solves the martingale problem π pτ, xq. Conversely, if the family Lpτ q, τ P r0, T s, is given, we can try to solve the martingale problem for all pτ, xq P r0, T s Rd , find the measures Pτ,x , and then try to prove that

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X ptq is a Markov process with respect to the family of measures Pτ,x . For instance, if we know that for every pair pτ, xq P r0, T s Rd the martingale problem π pτ, xq is uniquely solvable, then the Markov property holds, provided that there exists operators _s : Ω Ñ Ω, 0 ¤ s ¤ T such that Xt _s Xt_s , Pτ,x -almost surely for τ ¤ t ¤ T , and τ ¤ s ¤ T . For the time-homogeneous case see, e.g., [Ethier and Kurtz (1986)] or [Ikeda and Watanabe (1998)]. The martingale problem goes back to Stroock and Varadhan (see [Stroock and Varadhan (1979)]). It found numerous applications in various fields of Mathematics. We refer the reader to [Liggett (2005)], [Kolokoltsov (2004b)], and [Kolokoltsov (2004a)] for more information about and applications of the martingale problem. In [Eberle (1999)] the reader may find singular diffusion equations which possess or which do not possess unique solutions. Consequently, for (singular) diffusion equations without unique solutions the martingale problem is not uniquely solvable. Another important example is given by Nadirashvili [Nadirashvili (1997)]. Remark 2.12. Examples of (Feller) semigroups can be manufactured by taking a continuous function ϕ : r0, 8q E Ñ E with the property that ϕ ps t, xq ϕ pt, ϕ ps, xqq , for all s, t ¥ 0 and x P E. Then the mappings f ÞÑ P ptqf , with P ptqf pxq f pϕ pt, xqq defines a semigroup. It is a Feller semigroup if limxÑ△ ϕ pt, xq △. An explicit example of such a function, which does not provide a Fellerx (example Dynkin semigroup on C0 pRq is given by ϕpt, xq b 1 12 tx2 due to V. Kolokoltsov). Put upt, xq P ptqf pxq f pϕpt, xqq. Then Bu pt, xq x3 Bu pt, xq. In fact this (counter-)example shows that soluBt Bx tions to the martingale problem do not necessarily give rise to Feller-Dynkin semigroups. These are semigroups which preserve not only the continuity, but also the fact that functions which tend to zero at △ are mapped to functions with the same property. However, for Feller semigroups we only require that continuous functions with values in r0, 1s are mapped to continuous functions with the same properties. Therefore, it is not needed to include a hypothesis like (2.101) below in Theorem 2.12. Here (2.101) reads as follows: for every pτ, s, t, xq P r0, T s3 E, τ s t, the equality Pτ,x rX ptq P E s Pτ,x rX ptq P E, X psq P E s (2.101) holds. On the other hand this hypothesis is implicitly assumed, because as sample path space we take the Skorohod space D r0, T s , E △ . If X ptq P E, then 0 ¤ s t implies X psq P E.

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157

In fact the result as stated is correct, but in case E happens to be locally compact, then the resulting semigroup need not be a Feller-Dynkin semigroup. This means that the corresponding family of operators assigns bounded continuous functions to functions in C0 pE q, but they need not vanish at △. This means that the main result, Theorem 2.5, as stated in [van Casteren (1992)] is not correct. That is solutions to the martingale problem can, after having visited △, still be alive. Nadirashvili [Nadirashvili (1997)] constructs an elliptic operator in a bounded open domain U Rd with a regular boundary such that the martingale problem is not uniquely solvable. More precisely the result reads as follows. Consider an elliptic operator L

d ¸

a2j,k

j,k 1

aj,k

aj, k are measurable functions on Rd such that c1 |ξ |

2

¤

d ¸

aj,k ξj ξk

¤ c |ξ|2 ,

ξ

B2 , where Bxj Bxk

P Rd ,

j,k 1

for some ellipticity constant c ¥ 1. There exists a diffusion process pX ptq, Px q corresponding to the operator L which can be defined as a solution to the martingale problem, i.e. P rX p0q xs, and the process t ÞÑ f pX ptqq f pX p0qq

»t 0

Lf pX psqq ds, t ¥ 0,

is a local Px -martingale for all f P C 2 Rd . For more details on diffusion processes see the comments after Remark 2.11. Nadirashvili is interested in nonuniqueness in the above martingale problem and in nonuniqueness of solutions to the Dirichlet problem Lu 0 in Ω, the unit ball in Rd , u g on B Ω, where Ω Rd is a bounded domain with smooth boundary and g P C 2 pB Ωq. In particular, so-called good solutions u to the Dirichlet problem are investigated. These functions u are the limit of a subsequence d ¸ B2un 0 in Ω, un g on of solutions un , n P N, to Ln un anj,k Bxj Bxk j,k1 n BΩ, where the operators L are elliptic with smooth coefficients anj,k and a common ellipticity constant c such that anj,k Ñ aj,k almost everywhere in Ω as n Ñ 8. The main result is the following theorem: There exists an elliptic operator L of the above form defined in the unit ball B1 Rd , d ¥ 3, and there is a function g P C 2 pB B1 q such that the formulated Dirichlet problem has at least two good solutions. An immediate consequence is nonuniqueness in the corresponding martingale problem.

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In the case of a non-compact space the metric without the Lévy part is not adequate enough. That is why we have added the Lévy term. The problem is that the limits of the finite-dimensional distributions, given in (3.108) below, on its own need not be a measure, and so there is no way of applying Kolmogorov’s extension theorem. For applications of the martingale problem in relation to partially observed systems and hidden Markov processes see e.g. a forthcoming book [Kurtz and Nappo (2010)], which goes back to [Kurtz and Ocone (1988)], and to [Kurtz (1998)]. 2.3.1

Some historical remarks and references

In [Dorroh and Neuberger (1993)] the authors also use the strict topology to describe the behavior of semigroups acting on the space of bounded continuous functions on a Polish space. In fact the author of the present book was at least partially motivated by their work to establish a general theory for Markov processes on Polish spaces. Another motivation is provided by results on bi-topological spaces as established by e.g. K¨ uhnemund in [K¨ uhnemund (2003)]. Other authors have used this concept as well, e.g. Es-Sarhir and Farkas in [Es-Sarhir and Farkas (2005)]. The notion of “strict topology” plays a dominant role in Hirschfeld [Hirschfeld (1974)]. As already mentioned Buck [Buck (1958)] was the first author who introduced the notion of strict topology (in the locally compact setting). He denoted it by β in §3 of [Buck (1958)]. There are several other authors who used it and proved convergence and approximation properties involving the strict topology: Buck [Buck (1974)], Prolla [Prolla (1993)], Prolla and Navarro [Prolla and Navarro (1997)], Katsaras [Katsaras (1983)], Ruess [Ruess (1977)], Giles [Giles (1971)], Todd [Todd (1965)], Wells [Wells (1965)]. This list is not exhaustive: the reader is also referred to Prolla [Prolla (1977)], and the literature cited there. The strict topology is also called the mixed topology: see e.g. Goldys and van Neerven [Goldys and van Neerven (2003)], Wiweger [Wiweger (1961)], Sentilles [Sentilles (1972)], and Wheeler [Wheeler (1983)]. In [Cerrai (2001)] and [Cerrai (1994)] Cerrai calls the corresponding convergence the K-convergence: see Definition B.1.1 in [Cerrai (2001)]. In [Varadhan (2007)] Varadhan describes a metric on the space D pr0, 1s, Rq which turns it into a complete metrizable separable space; i.e. the Skorohod topology turns D pr0, 1s, Rq into a Polish space. On the other hand it is by no means necessary that the Skorohod topology is the most

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159

natural topology to be used on the space D r0, 1s, Rd . For example in [Jakubowski (1997)] Jakubowski employs a quite different topology on this space. In [Jakubowski (2000)] Jakubowski elaborates on Skorohod’s ideas about sequential convergence of distributions of stochastic processes. After that the S-topology, as introduced by Jakubowski, has been used by several others as well: see the references in [Boufoussi and van Casteren (2004a)] as well. Definition 2.17 below also appears in [Boufoussi and van Casteren (2004a)]. Although the definition is confined to R-valued paths, the S-topology also extends easily to the finite dimensional Euclidean space Rd . By V D pr0, T s, Rq we denote the space of nonnegative and nondecreasing functions V : r0, T s Ñ r0, 8q and V V V . We know that any element V P V determines a unique positive measure dV on r0, T s and V can be equipped with ³the topology of weak convergence of ³T T measures; i.e. the equality limnÑ8 0 ϕpsqdVn psq 0 ϕpsqdV psq for all functions ϕ P C pr0, T s, Rq describes the weak convergence of the sequence pVn qnPN V to V P V. Without loss of generality we may assume that the functions V P V are right-continuous and possess left limits in R. Definition 2.17. Let pY n q1¤n¤8 D pr0, T s, Rq. The sequence pY n qnPN is said to converges to Y 8 with respect to the S-topology, if for every ε ¡ 0 there exist elements pV n,ε q1¤n¤8 V such that }V n,ε Y n }8 ¤ ε,

1, . . . , 8, and nlim Ñ8 C pr0, T s, Rq.

»T

n

2.4

0

ϕpsq dV n,ε psq

»T 0

ϕpsq dV 8,ε psq, for all ϕ

P

Dini’s lemma, Scheff´ e’s theorem, and the monotone class theorem

The contents of this section is taken from Appendix E in [Demuth and van Casteren (2000)]. In this section we formulate and discuss these three theorems. 2.4.1

Dini’s lemma and Scheff´ e’s theorem

The contents of this subsection is devoted to Dini’s lemma and Scheffé’s theorem. Another proof of Dini’s lemma can be found in [Stroock (1999)], Lemma 7.1.23, p. 146. Lemma 2.2. (Dini) Let pfn : n P Nq be a sequence of continuous functions on the locally compact Hausdorff space E. Suppose that fn pxq ¥ fn 1 pxq ¥

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0 for all n P N and for all x P E. If limnÑ8 fn pxq 0 for all x P E, then, for all compact subsets K of E, limnÑ8 supxPK fn pxq 0. If the function f1 belongs to C0 pE q, then limnÑ8 supxPE fn pxq 0. Proof. subset

We only prove the second assertion. Fix η £

P

¡ 0 and consider the

tx P E : fn pxq ¥ ηu .

n N

Since, by assumption, the function f1 belongs to C0 pE q, and lim fn pxq 0, nÑ8 x P E, it follows that the intersection £

P

tx P E : fn pxq ¥ ηu

n N

is void. As a consequence E nPN tfn η u. Let ε ¡ 0 and put K tf1 ¥ εu. The subset K is compact. By the preceding argument there exist nε P N for which K tfnε εu. For n ¥ nε , we have 0 ¤ fn pxq ¤ ε for all x P E. This completes the proof of Lemma 2.2. In Definition 2.18 and in Theorem 2.14 of this subsection pE, E, mq may be any measure space with mpB q ¥ 0 for B P E. Definition 2.18. A collection of functions tfj : j P J u in L1 pE, E, mq is uniformly L1 -integrable if for every ε ¡ 0 there exists g P L1 pE, E, µq, g ¥ 0, for which »

sup

P

j J

t|fj |¥gu

|fj | dm ¤ ε.

Remark 2.13. If the collection tfj : j P J u is uniformly L1 -integrable, and if tgj : j P J u is a collection for which |gj | ¤ |fj |, m-almost everywhere, for all j P J, then the collection tgj : j P J u is uniformly L1 -integrable as well. Remark 2.14. Cauchy sequences in L1 pE, E, mq are uniformly L1 integrable. Remark 2.15. Let f ¥ 0 be³ a function in L1 pRν , B, mq, where m is the Lebesgue measure. Suppose f pxqdmpxq 1 and limnÑ8 nν f pnxq 0 for all x 0. Put fn pxq nν f pnxq, n P N. Then the sequence is not uniformly L1 -integrable. This will follow from Theorem 2.14 below.

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161

A version of Scheffé’s theorem reads as follows. Our proof uses the arguments in the proof of Theorem 3.3.5 (Lieb’s version of Fatou’s lemma) in Stroock [Stroock (1999)], p. 54. Another proof can be found in Bauer [Bauer (1981)], Theorem 2.12.4, p. 103. Theorem 2.14. (Scheffé) Let pfn : n P Nq be a sequence in L1 pE, E, mq. If limnÑ8 fn pxq f pxq, m-almost everywhere, then the sequence pfn : n P Nq is uniformly L1 -integrable if and and only »

lim

Ñ8

n

Proof.

»

|fn pxq| dmpxq |f pxq| dmpxq.

Consider the m-almost everywhere pointwise inequality 0 ¤ |fn f |

First suppose that the sequence Then, by Fatou’s lemma, »

|f pxq| dmpxq

(choose g

»

|f | |fn| ¤ 2 |f | . tfn : n P Nu is uniformly

lim inf |fn pxq| dmpxq ¤ lim inf

P L1 pE, mq such that ¤ lim inf »

¤1

»

»

(2.102) 1

L -integrable.

|fn pxq| dmpxq

³

t|fn |¥gu |fnpxq| dmpxq ¤ 1)

t|fn |¥gu

|fnpxq| dmpxq

»

t|fn |¤gu

g pxqdmpxq.

|fnpxq| dmpxq (2.103)

From (2.103) we see that the function f belongs to L1 pE, mq. From Lebesgue’s dominated convergence theorem in conjunction with (2.103) we infer »

lim

Ñ8

n

p|fn f | |f | |fn |q dm 0.

(2.104)

Since the sequence tfn : n P Nu is uniformly L1 -integrable, and since for m³ almost all x, limnÑ8 fn pxq f pxq, we see that limnÑ8 |fn f | dm 0. So from (2.104) we get »

lim

Ñ8

n

»

|fn | dm |f | dm 8.

(2.105)

Conversely, suppose (2.105) holds. Then f belongs to L1 pE, mq. Again we may invoke Lebesgue’s dominated convergence theorem to conclude (2.104) ³ from (2.102). Again using (2.105) implies limnÑ8 |fn f | dm 0. An appeal to Remark 2.14 yields the desired result in Theorem 2.14.

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2.4.2


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Monotone class theorem

Our presentation of the monotone class theorems is taken from [Blumenthal and Getoor (1968)], pp. 5–7. For other versions of this theorem see e.g. [Sharpe (1988)], pp. 364–366. Theorems 2.15, 2.16, and Propositions 2.9, 2.10 we give closely related versions of this theorem. Definition 2.19. Let Ω be a set and let S be a collection of subsets of Ω. Then S is a Dynkin system if it has the following properties: (a) Ω P S; (b) if A and B belong to S and if A B, then AzB belongs to S; (c) if pAn : n P Nq is an increasing sequence of elements of S, then the 8 union n1 An belongs to S. The following result on Dynkin systems is well-known. Theorem 2.15. Let M be a collection of subsets of of Ω, which is stable under finite intersections. The Dynkin system generated by M coincides with the σ-field generated by M. Remark 2.16. A collection of subsets of Ω which is closed under finite intersections is also called a π-system. A collection of subsets L of Ω is called a λ-system if it has the following properties: (1) Ω P L; (2) if A belongs to L, then its complement Ac also is a member of L; (3) if pAj qj PN is a mutually disjoint sequence in L, then its union j Aj belongs to L. If a λ-system L is at the same time a π-system, then it is a σ-field. The π-λ theorem says that the smallest λ-system containing a given π-system P coincides with the σ-field generated by P. The π-λ theorem is closely related to Theorem 2.15. For more details see e.g. Vestrup [Vestrup (2003)]. Theorem 2.16. Let Ω be a set and let M be a collection of subsets of of Ω, which is stable (or closed) under finite intersections. Let H be a vector space of real valued functions on Ω satisfying: (i) The constant function 1 belongs to H and 1A belongs to H for all A P M; (ii) if pfn : n P Nq is an increasing sequence of non-negative functions in H such that f supnPN fn is finite (bounded), then f belongs to H. Then H contains all real valued functions (bounded) functions on Ω, that are σ pMq measurable.

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Proof. Put D tA Ω : 1A P Hu. Then by (i) Ω belongs to D and D M. If A and B are in D and if B A, then B zA belongs to D. If pAn : n P Nq is an increasing sequence in D, then 1 An supn 1An belongs to D by (ii). Hence D is a Dynkin system, that contains M. Since M is closed under finite intersection, it follows by Theorem 2.15 that D σ pMq. If f ¥ 0 is measurable with respect to σ pMq, then f

sup 21n n

¸n2n

n t2 min pf, nqu . n 1tf ¥j2n u sup n 2

j 1

1

(2.106)

Since the functions 1tf ¥j2n u , j, n P N, are σ pMq-measurable, we see that f belongs to H. Here we employed the fact that σ pMq D. If f is σ pMq-measurable, then we write f as a difference of two non-negative σ pMq-measurable functions. This establishes Theorem 2.16. The previous theorems, i.e. Theorems 2.15 and 2.16, are used in the following form. Let Ω be a set and let pEi , Ei qiPI be a family of measurable spaces, indexed by an arbitrary set I. For each i P I, let Si denote a collection of subsets of of Ei , closed under finite intersection, which generates the σ-field Ei , and let fi : Ω Ñ Ei be a map from Ω to Ei . In our presentation of the Markov property the space Ei are all the same, and the maps fi , i P I, are the state variables X ptq, t ¥ 0. in this context the following two propositions follow. Proposition 2.9. Let M be the collection of all sets of the form 1 pAi q, Ai P Si , i P J, J I, J finite. Then M is a colleciPJ fi tion of subsets of Ω which is stable under finite intersection and σ pMq σ pfi : i P I q.

Proposition 2.10. Let H be a vector space of real-valued functions on Ω such that: (i) the constant function 1 belongs to H; (ii) if phn : n P Nq is an increasing sequence of non-negative functions in H such that h supn hn is finite (bounded), then h belongs to H; ± (iii) H contains all products of the form iPJ 1Ai fi , J I, J finite, and Ai P Si , i P J. Under these assumptions H contains all real-valued functions (bounded) functions in σ pfi : i P I q. Definition 2.20. Theorems 2.15 and 2.16, and Propositions 2.9 and 2.10 are called the monotone class theorems.

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Other theorems and results on integration theory, not explained in the book, can be found in any textbook on the subject. In particular this is true for Fatou’s lemma and Fubini’s theorem on the interchange of the order of integration. Proofs of these results can be found in [Bauer (1981)] and [Stroock (1999)]. The same references contain proofs of the RadonNikodym theorem. This theorem may be phrased as follows. Theorem 2.17. (Radon-Nikodym) If a finite measure µ on some σ-finite to m, then measure space pE, E, mq is absolutely continuous with respect ³ there exists a function f P L1 pE, E, mq such that µpAq A f pxqdmpxq for all subsets A P E. The measure µ is said to be absolutely continuous with respect to m if mpAq 0 implies µpAq 0, and the measure m is said to be σ-finite if there exists an increasing sequence pEn : n P Nq in E such that E nPN En and for which m pEn q 8, n P N. A very important application is the existence of conditional expectations. This can be seen as follows. Corollary 2.5. Let pΩ, F , Pq be a probability space and let F0 be a sub-field of F , and let Y : Ω Ñ r0, 8s be a F -measurable function (random variable) in L1 pΩ, F , Pq. Then there exists a function G P L1 pE, F0 , mq such that E rY 1A s µpAq E rG1A s for all A P F0 . By convention the random variable G is written as G called the conditional expectation on the σ-field F0 .

E

Y F0 . It is

Proof. Put mpAq E rY 1A s, A P F , and let µ be the restriction of m to F0 . If for some A P F0 , mpAq 0, then µpAq 0. The RadonNikodym theorem yields the existence of a function G P L1 pE, F0 , mq such that E rY 1A s µpAq E rG1A s for all A P F0 . 2.4.3

Some additional information

The reader may find additional material about strong Markov process theory in [Ethier and Kurtz (1986)], [Gillespie (1992)], [Sharpe (1988)]. Material about infinite-dimensional stochastic processes and calculus can be found in e.g. [Da Prato and Zabczyk (1992a, 1996); Cerrai (2001); Hairer et al. (2004); Hairer (2009); Seidler (1997); Sanz-Solé (2005)]. In the following references the reader may find topics on or related to Malliavin calculus: [Bell (2006); Malliavin (1978); Norris (1986); Nualart (1998, 2006, 2009); ¨ unel and Zakai (2000b); Kusuoka and Stroock (1984, 1985, 1987)]. The Ust¨

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following references discuss some more general stochastic processes including a number of concrete examples: [Kallenberg (2002)], [Shanbhag and Rao (2001)]. In the following references the authors apply Malliavin calculus to models in financial mathematics: [Di Nunno et al. (2009)], [Malliavin and Thalmaier (2006)]. Notice that Malliavin calculus or stochastic variation calculus is “by nature” an infinite-dimensional calculus. For recent results on stochastic partial differential equations see e.g. [Zhang (2010); Kotelenez and Kurtz (2010); Holden et al. (2010)].


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Chapter 3

Strong Markov processes: Proof of main results

The present chapter is completely devoted to a proof of the main results of Part 2. Except for some results from Chapter 4 all proofs can be found in the present chapter. Together with the results in Chapter 4 all proofs are self-contained. Unfortunately there is quite a bit of technicality involved in all these proofs. This technicality is due to fact that we are working in a Polish space which is not necessarily locally compact, that the Markov processes involved are time-dependent, may have finite life time, and may have jumps.

3.1

Proof of the main results: Theorems 2.9 through 2.13

In the present chapter we will prove Theorems 2.9, 2.10, 2.11, 2.12 and 2.13, which form the main results of Part 2 of this book. We will need a number of auxiliary results which can be found in the current section or occasionally in the sections 4.1 and 4.2. In particular the latter is true for Proposition 4.1, Proposition 4.4 and its Corollary 4.2, Corollary 4.3 to Proposition 4.5, and Theorem 4.4. We will always give the relevant references. We need the following definition.

tX ptqutPr0,T s , and tY ptqutPr0,T s be stochastic proDefinition 3.1. Let 0 cesses on Ω, FT , P . The process tX ptqutPr0,T s is a modification of tY ptqutPr0,T s if P rX ptq Y ptqs 1 for all t P r0, T s. 3.1.1

Proof of Theorem 2.9

This subsection contains the proof of Theorem 2.9. It employs the Kolmogorov’s extension theorem and it uses the Polish nature of the state space 167

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E in an essential way. For more details on the Kolmogorov extension (or existence) theorem see e.g. [Aliprantis and Border (1994)], [Bhattacharya and Waymire (2007)], [Neveu (1965)], and [Dudley (2002)]. In subsection 3.1.7 the reader will find some information; in particular Theorem 3.1 is essential in this ! aspect. One of the main)difficulties is to prove that orbits r ptq P E are Pτ,x -almost surely contained r psq : τ ¤ s ¤ t, X of the form X in (sequentially) relatively compact subsets of E: for details see Proposition 3.2 below. Proof. [Proof of Theorem 2.9.] We begin with the proof of the existence of a Markov process (2.90), starting from a Feller evolution: see Definition 2.4. First we assume P pτ, tq 1 1. Remark 2.10 will be used to prove Theorem 2.9 in case P pτ, tq 1 1. Temporarily we write Ω E r0,T s endowed with the product topology, and product σ-field (also called product σ-algebra), which is the smallest σ-field on Ω which renders all coordinate mappings, or state variables, measurable. The state variables X ptq : Ω Ñ E are defined by X pt, ω q X ptqpω q ω ptq, ω P Ω, and the maximum mappings _s : Ω Ñ Ω, s P r0, T s, are defined by _s pω qptq ω ps _ tq. Let the family of Borel measures on

tB ÞÑ P pτ, x; t, B q : B P E, pτ, xq P r0, T s E, t P rτ, T su

(3.1)

be determined by the equalities: P pτ, tq f pxq

»

f py qP pτ, x; t, dy q ,

f

P CbpE q.

(3.2)

By Kolmogorov’s extension theorem (see Theorem 3.1 below) there exists a family of probability spaces

pΩ, FTτ , Pτ,xq , pτ, xq P r0, T s E,

such that

Eτ,x rf pX pt1 q , . . . , X ptn qqs

»

»

. . . f py1 , . . . , yn q P pτ, x; t1 , dy1 q . . . P ptn1 , yn1 ; tn , dyn q

loomoon

n

(3.3)

where τ ¤ t1 tn ¤ T , and f P L8 E n , E b . Notice that a family of probability spaces together with a process t ÞÑ X ptq such that (3.1), (3.2) and (3.3) are satisfied is Markov process in the sense that for pτ, xq P r0, T s E and s P rτ, T s the following equality holds Pτ,x-almost surely: n

Eτ,x f pX pt1 q , . . . , X ptn qq Fsτ

Es,X psq rf pX pt1 q , . . . , X ptn qqs

(3.4)

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for all bounded Borel measurable functions f on E n , and for all finite subsets τ ¤ s ¤ t1 tn ¤ T . In order to prove (3.4) the propagator property, i.e. P pρ0 , ρq P pρ, ρ1 q P pρ0 , ρ1 q, ρ0 ¤ ρ ¤ ρ1 ¤ T , is used several times. For f P Cb pr0, T s E q, 0 ¤ f , and α ¡ 0 given we introduce the following processes: t ÞÑ αRpαqf pt, X ptqq α »8

»8 t

eαpρtq P pt, ρ ^ T q f pρ ^ T, q pX ptqq dρ

α eαpρtq Et,X ptq rf pρ ^ T, X pρ ^ T qqs , t P r0, T s, and (3.5) t s ÞÑ P ps, tq f pt, q pX psqq Es,X psq rf pt, X ptqqs , s P r0, ts, t P r0, T s. (3.6)

The processes in (3.5) and (3.6) could have been more or less unified by considering the process: »8

ps, tq ÞÑα eαpρtq P ps, ρ ^ T q f pρ ^ T, q pX psqq dρ t αP ps, tq Rpαqf pt, q pX psqq , 0 ¤ s ¤ t ¤ T. (3.7) Observe that limαÑ8 αRpαqf pt, X ptqq f pt, X ptqq, t P r0, T s. Here we use the continuity of the function ρ ÞÑ P pt, ρq f pρ, q pX ptqq at ρ t. In addition, for pτ, xq P r0, T s E fixed, we have that the family of functionals f ÞÑ αRpαqf pt, q pX ptqq, α ¥ 1, t P rτ, T s, is Pτ,x -almost surely equicontinuous for the strict topology: see Corollary 2.4. Our first task will be to prove that for every pτ, xq P r0, T s E the orbit tpt, X ptqq : t P rτ, T su is a Pτ,x -almost surely sequentially compact. Therefore we choose an infinite sequence pρn , X pρn qqnPN where ρn P rτ, T s, n P N. This sequence contains an infinite subsequence psn , X psn qqnPN such that sn sn 1 , n P N, or an infinite subsequence ptn , X ptn qqnPN such that tn ¡ tn 1 , n P N. In the first case we put s supnPN sn , and in the second case we write t inf nPN tn . In either case we shall prove that there exists a subsequence which is Pτ,x -almost surely a Cauchy sequence in rτ, T s E for a compatible uniformly bounded metric. First we deal with the case that tn decreases to t ¥ τ . Then we consider the stochastic process in (3.6) given by ρ ÞÑ Et,X ptq rf pρ, X pρqqs where f is an arbitrary function in Cb pr0, T s E q. By hypothesis on the transition function P pτ, x; t, B q we have lim Et,X ptq rf ptn , X ptn qqs

Ñ8

n

nlim Ñ8

»

P pt, X ptq; tn , dy q f ptn , y q f pt, X ptqq .

(3.8)

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By applying the argument in (3.8) to the process ρ ÞÑ Et,X ptq r|f pρ, X pρqq|2s, ρ P rt, T s, the Markov property implies

2 Eτ,x Et,X ptq rf pρ, X pρqqs f pρ, X pρqq

Eτ,x |f pρ, X pρqq|2 Eτ,x Et,X ptq rf pρ, X pρqqs2 2ℜEτ,x f pρ, X pρqqEt,X ptq rf pρ, X pρqqs (Markov property: almost surely)

Et,X ptq rf pρ, X pρqqs

Eτ,x f pρ, X pρqq Ftτ

Pτ,x -

Eτ,x |f pρ, X pρqq|2 Eτ,x Et,X ptq rf pρ, X pρqqs2 2ℜEτ,x Et,X ptq rf pρ, X pρqqsEt,X ptq rf pρ, X pρqqs Eτ,x |f pρ, X pρqq|2 Eτ,x Et,X ptq rf pρ, X pρqqs2 .

(3.9)

Applying the argument in (3.8) to the process ρ ÞÑ Et,X ptq |f pρ, X pρqq|2 ,

ρ P rt, T s, and employing (3.9) we obtain:

2 lim Eτ,x Et,X ptq rf ptn , X ptn qqs f pρ, X pρqq

Ñ8

n

0.

(3.10)

Again using (3.8) and invoking (3.10) we see that lim f ptn , X ptn qq f pt, X ptqq

Ñ8

n

in the space L p q. Hence there exists a subsequence denote by pf ptnk , X ptnk qqqkPN which converges Pτ,x-almost surely to f pt, X ptqq. Let d : E E Ñ r0, 1s be a metric on E which turns it into a Polish space, and let pxj qj PN be a countable dense sequence in E. The previous arguments are applied to the function f : r0, T s E Ñ R defined by 2

Ω, FTτ , Pτ,x

f pρ, xq

8 ¸

2j pd pxj , xq

|ρj ρ|q ,

(3.11)

j 1

where the sequence pρj qj PN is a dense sequence in r0, T s. Like in the earlier reasoning there exists a subsequence ptnk , X ptnk qqkPN such that lim f ptnk , X ptnk qq f pt, X ptqq ,

k

Ñ8

Pτ,x -almost surely.

(3.12)

t. From (3.12) we also infer that lim d pxj , X ptn qq d pxj , X ptqq , Pτ,x -almost surely for all j P N. kÑ8

It follows that limkÑ8 tnk k

(3.13)

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Since the sequence pxj qj PN is dense in E we see that lim d py, X ptnk qq d py, X ptqq ,

k

Ñ8

Pτ,x -almost surely for all y

P E. (3.14)

X ptq in (3.14) shows that (3.15) lim ptn , X ptn qq pt, X ptqq , Pτ,x -almost surely. kÑ8 Again let f P Cb pr0, T s E q be given. Next we consider the situation where we have an infinite subsequence psn , X psn qqnPN such that sn sn 1 , n P N. Put s supnPN sn , and consider the process The substitution y k

k

»

ρ ÞÑ Eρ,X pρq rf ps, X psqqs P pρ, X pρq; s, dy q f ps, y q P pρ, sq f ps, q pX psqq (3.16) which is Pτ,x -martingale with respect to the filtration pFtτ qτ ¤ρ¤s . Since the process in (3.16) is a martingale we know that the limit lim Esn ,X psn q rf ps, X psqqs

Ñ8

n

exists. We also have

Eτ,x lim Esn ,X psn q rf ps, X psqqs

nlim Ñ8 Eτ,x Es ,X ps q rf ps, X psqqs τ (3.17) nlim Ñ8 Eτ,x Eτ,X pτ q f ps, X psqq Fs Eτ,x rf ps, X psqqs . Ñ8

n

n

n

n

Like in (3.9) we write

2 Eτ,x Eρ,X pρq rf ps, X psqqs f pρ, X pρqq

Eτ,x Eρ,X pρq rf ps, X psqqs2 Eτ,x |f pρ, X pρqq|2 2ℜEτ,x f pρ, X pρqqEρ,X pρq rf ps, X psqqs . (3.18) The expression in (3.18) converges to 0 as ρ Ò s. Here we used the following identity: lim Eτ,x rg pρ, X pρqqs lim P pτ, ρq g pρ, q pxq

Ò

ρ s

Ò

ρ s

P pτ, sq g ps, q pxq Eτ,x rg ps, X psqqs . (3.19) Consequently, the Pτ,x -martingale Es ,X ps q rf ps, X psqqs nPN converges Pτ,x -almost surely and in the space L2 pΩ, FTτ , Pτ,x q to the random variable f ps, X psqq. In addition, the sequence pf psn , X psn qqqnPN converges in the space L2 pΩ, FTτ , Pτ,x q to the same random variable f ps, X psqq. n

n

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Then there exists a subsequence pf psnk , X psnk qqqnPN which converges Pτ,x almost surely to f ps, X psqq. Again we employ the function in (3.11) to prove that lim X psnk q X psq,

k

Ñ8


(3.20)

The equalities (3.15) and (3.20) show that the orbit tpρ, X pρqq : ρ P rτ, T su is Pτ,x almost surely a sequentially compact subset of E. Since the space E is complete metrizable we infer that this orbit is Pτ,x -almost surely a compact subset of)E. We still have to show that there exists a modification ! r psq : s P r0, T s of the process tX psq : s P r0, T su which possesses left X limits, is right-continuous Pτ,x -almost surely, and is such that

r pt q P pτ, tq f pxq Eτ,x rf pX ptqqs Eτ,x f X

,

f

P Cb pE q.

(3.21)

For the notion of modification see Definition 3.1. In order to achieve this we begin by using a modified version of the process in (3.5): t ÞÑ eαt Rpαqf pt, X ptqq

»8 t

eαρ P pt, ρ ^ T q f pρ ^ T, q pX ptqq dρ,

(3.22) for t P r0, T s. The process in (3.22) is a Pτ,x -supermartingale with re spect to the filtration Fρτ τ ¤ρ¤T . Since the process in (3.22) is a Pτ,x supermartingale on the interval rτ, T s we deduce that for t varying over countable subsets its left and right limits exist Pτ,x -almost surely. Then the process in (3.5) shares this property as well. For a detailed argument which substantiates this claim see the propositions 3.3 and 3.4 below. Since the orbit tpρ, X pρqq : ρ P rτ, T su is Pτ,x -almost surely relatively compact, and since the function f belongs to Cb pr0, T s E q we infer that for sequences the process t ÞÑ f pt, X ptqq possesses Pτ,x -almost surely left and right limits in E. Again an appeal to the function f in (3.11) shows that the limits limsÒt, sPD X psq and limtÓs, tPD X ptq exist Pτ,x -almost surely for t P pτ, T s and s P rτ, T s. Here we wrote D tk2n : k P N, n P Nu for the collection r pρq of the of non-negative dyadic numbers. A redefinition (modification) X process X pρq, ρ P r0, T s, reads as follows: r pρq X

Ó P

t ρ, t D

lim

pρ,T s, t¡ρ

r pT q X pT q. X ptq, ρ P r0, T q, X

(3.23)

The proof of Theorem 2.9 will be continued after inserting an important intermediate result, which we obtained thus far. This intermediate important result reads as follows.

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173

!

)

r pρq : ρ P r0, T s is continuous from the Proposition 3.1. The process X right and has left limits in E Pτ,x -almost surely. Moreover, its Pτ,x distribution coincides with that of the process tX!pρq : ρ P r0, ) T su. Fix

r ptq P E the orbits p! τ, xq P r0, T s E and t P rτ, T s. On the event X ) r psq : s P rτ, ts are Pτ,x -almost surely relatively compact subsets of s, X rτ, T s E. -stopping times. In Fix 0 ¤ τ ¤ t ¤ T , and let S, S1 and S2 be Frtτ tPrτ,T s

what follows we will make use of the following σ-fields: Frtτ Frtτ

σ

r pρq : τ X

£

¤ t

¤ρ¤t ; r pρ q : τ ¤ ρ ¤ t σ X

0 ε T

FrTS,_

ε

£

¤ t

Frtτ ε ;

σ ρ _ S, Xr pρ _ S q : 0 ¤ ρ ¤ T ; ) £ ! £ FrSS ,_ A P FrTS ,_ : A tS2 ¤ su P Frs0 ; 1

Pr s

s 0,T

FrSS21 ,_

(3.25) (3.26)

1

2

£ !

Pr s

A P FrTS1 ,_ : A

s 0,T

£

£

¤ Pr εs FrpSS12,_εq^T . ε¡0

£

!

tS2 su P Frs0

A P FrTS1 ,_ : A

£

(3.24)

0 ε T

)

tS2 ¤ su P Frs0

) ε

0 ε T s 0,T

£

(3.27)

The σ-field in (3.24) is called the right closure of Frtτ , the σ-field in (3.25) is called the σ-field after time S, the σ-field in (3.26) is called the σ-field between time S1 and S2 , and finally the one in (3.27) is called the right closure of the one in (3.26). Proof. [Continuation of the proof Theorem 2.9.] Our most important aim is to prove that the process !

r ptq, τ Ω, FrTτ , Pτ,x , X

¤ t ¤ T , p_t : τ ¤ t ¤ T q , pE, E q

)

(3.28)

is a strong Markov process. We begin by proving the following Pτ,x -almost sure equalities: Es,X psq rF

_ss Eτ,x F _s Fsτ Eτ,x F _s Fsτ Eτ,x F _s Frsτ

(3.29)

.

(3.30)

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First we take F of the form F

r psq f X

P

where f

Cb pE q.

By

an approximation it then follows that (3.29) and (3.30) also argument r psq with f P L8 pE, E q. So let f P Cb pE q. Since hold for F f X

r psq y Ps,y X

1 and f Xr psq _s f Xr psq we see r r r Es,X f X p s q _ E f X p s q f X p s q . (3.31) s psq psq s,X r psq is measurable with respect to the σSince the random variable f X field Fsτ by (3.31) we also have the Pτ,x -almost sure equalities:

r psq Eτ,x f X

_s Fsτ Eτ,x

r psq F τ f X s

f

r psq . (3.32) X

Next we calculate, while using the Markov property of the process t ÞÑ X ptq and right-continuity of the function t ÞÑ P ps, tq f py q, s P rτ, T s, y P E,

r psq Eτ,x f X

_s Fsτ Eτ,x f Xr psq Fsτ lim Eτ,x f pX ps εqq Fsτ lim Es,X psq rf pX ps εÓ0 εÓ0 lim P ps, s εq f pqq pX psqq f pX psqq . εÓ0

εqqs (3.33)

In order to complete the for the proof of (3.29) and (3.30) for arguments r F of the form F f X psq , f P Cb pE q, we have to show the equality

r psq f pX psqq Pτ,x -almost surely. This will be accomplished by the f X following identities:

2

r psq Eτ,x f X

f pX psqq lim Eτ,x |f pX ptqq|2 2 lim ℜEτ,x f pX psqqf pX ptqq Eτ,x |f pX psqq|2 tÓs tÓs (Markov property for the process t ÞÑ X ptq) 2 lim Eτ,x |f pX ptqq| 2 lim ℜEτ,x f pX psqqEs,X psq rf pX ptqqs tÓs tÓs

Eτ,x |f pX psqq|

2

(relationship between Feller propagator and Markov property of X)

2 lim P pτ, tq |f pq| pxq 2 lim ℜ P pτ, sq f pqP ps, tq f pq pxq tÓs tÓs 2 P pτ, sq |f pq| pxq P pτ, sq |f pq|2 pxq 2 P pτ, sq f pqf pq pxq P pτ, sq |f pq|2 pxq 0.

(3.34)

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r ps q From (3.34) we infer that f X

175

f pX psqq Pτ,x-almost surely.

From

(3.32), (3.33), and (3.34) we deduce the equalities in (3.29) and (3.30) for r psq , f P Cb pE q. An approximation a variable F of the form F f X

arguments then yields (3.29) and (3.30) for f P L8 pE, E q. In order to prove (3.29) in full generality it suffices by the Monotone Class Theorem and an approximation argument to prove the equalities in ±n r psj q , where (3.30) for random variables F of the form F j 0 fj X the functions fj , 0 ¤ j ¤ n, belong toCb pE q and where s s0 s1 s2

sn ¤ T .

r psq f pX psqq holds Pτ,x -almost Since the equality f X surely, it is easy to see that by using the equalities (3.32), (3.33), and (3.34), ±n

r psj q where it suffices to take the variable F of the form F j 1 fj X as above the functions fj , 1 ¤ j ¤ n 1, belong to Cb pE q and where s s1 s2 sn sn 1 ¤ T . For n 0 we have Pτ,x -almost surely

r ps1 q F τ Eτ,x f1 X s

Eτ,x lim εÓ0

1

f1 pX ps1

εqq Fsτ

(Markov property of the process X)

lim Es,X psq rf1 pX ps1 εÓ0 P ps, s1 q P ps1 , s1 lim εÓ0 P ps, s1 q f

r psq X

εqqs lim P ps, s1

εq f pX psqq

Ó

ε 0

εq f pX psqq P ps, s1 q f pX psqq

Es,Xpsq

r p s1 q f X

The equalities in (3.35) imply (3.29) with F

(3.35)

.

r ps1 q f1 X

where f1

P

Cb pE q and s s1 ¤ T . Then we apply induction with respect to n to ±n 1 r obtain (3.29) for F of the form F j 1 fj X psj q where as above the

functions fj , 1 ¤ j ¤ n 1, belong to Cb pE q and where s s1 s2 r psj q with respect to the sn sn 1 ¤ T . In fact using the measurability of X τ σ-field Fsn , 1 ¤ j ¤ n, and the tower property of conditional expectation we get Pτ,x -almost surely:

Eτ,x

n ¹1

fj

r sj X

Fτ

p q

s

j 1

Eτ,x

n ¹

j 1

r psj q Eτ,x fn fj X

1

r psn X

1

q

Fτ Fτ sn s

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176

(Markov property for n 1)

Eτ,x

n ¹

j 1

r psj q E fn fj X sn ,X psn q

1

r psn X

1

q

Fsτ

(induction hypothesis)

Es,Xpsq Es,Xpsq Es,Xpsq Es,Xpsq

n ¹

j 1

n ¹

j 1

n ¹

r p sj q E fj X sn ,X psn q fn

p q

r sj X

fj

fn

j 1

n ¹1

fj

p

1

1

q

q

Fs sn

1

q

p q

r sj X

r psn X

1

r sn X

1

r p sn X

1

r p sj q E fj X fn s,X psq

(3.36)

.

j 1

±nj11 fj Xr psj q where the functions 1, belong to Cb pE q, and s s1 sn 1 . As remarked

So that (3.36) proves (3.29) for F

fj , 1 ¤ n above from (3.32), (3.33), and (3.34) the equality in (3.29) then also follows ±n r psj q with fj P Cb pE q for all random variables of the form F j 0 fj X for 0 ¤ j ¤ n and 0 s0 s1 sn ¤ T . By the Monotone Class Theorem and approximation arguments it then follows that (3.29) is true for all bounded FTτ random variables F . Next we proceed with a proof of the equalities in (3.30). Since Frsτ τ τ Fs , and the variable Es,X psq rF _s s is Fs -measurable, it suffices to prove the first equality in (3.30), to wit

Eτ,x F

_s Fsτ Es,Xpsq rF _ss

(3.37)

for any bounded FTτ -measurable random variable F . We will not prove the equality in (3.37) directly, but we will show the following ones instead:

Eτ,x F

_s Fsτ Es,Xpsq

F

_s Fss Es,Xpsq

F

_s Frss

,

(3.38) under the condition that the function ps, xq ÞÑ P ps, tqf pxq is Borel measurable on rτ, ts E for f P Cb pE q, which is part of (vi) in Definition 2.4. In order to prove the equalities in (3.38) it suffices by the Mono±n r psj q with tone Class Theorem to take F of the form F j 0 fj X

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s s0 s1 sn ¤ T and where de functions fj , 0 ¤ j ¤ n, are bounded Borel measurable functions. By another approximation argument we may assume that the functions fj , 0 ¤ j ¤ n, belong to Cb pE q. An induction shows that it suffices to prove (3.38) for argument r ps0 q f1 X r ps1 q where s s0 s1 ¤ T , and the functions f0 F f0 X

and f1 are members of Cb pE q. The case f1 1 was taken care of in the s r equalities (3.31) and (3.32). Since the variable f0 X psq is Fs -measurable

r ptq the proof of the equalities in (3.38) reduces to the case where F f X where τ s t ¤ T and f P Cb pE q. The following equalities show the first equality in (3.38). With s sn 1 sn t and limnÑ8 sn s we have

r ptq F τ Eτ,x f X s

Eτ,x Eτ,x f Xr ptq Fsτ Fsτ Eτ,x Es ,X ps q f Xr ptq Fsτ Eτ,x Es ,Xps q f Xr ptq Fsτ r pt q F τ Es ,X f X Eτ,x nlim s p s q Ñ8 r ptq nlim Es ,X f X (3.39) Ñ8 ps q r pt q F s Es,Xpsq nlim Es ,X f X s ps q Ñ8 Es,Xpsq Es ,Xps q f Xr ptq Fss Es,Xpsq Es,Xpsq f Xr ptq Fss Fss Es,Xpsq f Xr ptq Fss . (3.40) we used the fact that the process ρ ÞÑ ρ ¤ t is Ps,y -martingale for ps, yq P r0, tq E. n

n

n

n

n

n

n

n

n

n

n

n

n

n

In these equalities r Eρ,X f X p t q , s pρq The equality in (3.40) implies the first equality in (3.38). The second one can be obtained by repeating the four final steps in the proof of (3.40) with Frss instead of Fss . Here we use that the random variable in (3.39) is measurable with respect to the σ-field Frss , which is smaller than Fss . In order to deduce (3.37) from (3.38) we will need the full strength of property (vi) in Definition 2.4. In fact using the representation in (3.39)

r pt q , and using the continuity property in (vi) shows (3.37) for F f X f P Cb pE q. By the previous arguments the full assertion in (3.30) follows. In fact Proposition 3.3 gives a detailed proof of the equalities in (3.74) below. The equalities in (3.39) then follow from the Monotone Class Theorem.

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178

r ptq possesses the strong Next we want to prove that the process t ÞÑ X -stopping Markov property. This means that for any given Frtτ

Pr

t τ,T

s

time S : Ω Ñ rτ, T s we have to prove an equality of the form (see (2.93)) ES,X pS q rF

_S s Eτ,x

F

_S FrSτ

(3.41)

,

and this for all bounded FTτ -measurable random variables F . By the Monotone Class Theorem it follows that it suffices to prove (3.41) for bounded ±n

r psj _ S q where random variables F of the form F j 0 fj sj _ S, X the functions fj , 0 ¤ j ¤ n, are bounded Borel functions on rτ, T s E, and τ s0 s1 sn ¤ T . By another approximation argument it suffices to replace the bounded Borel functions fj , 0 ¤ j ¤ n, by bounded continuous functions on rτ, T s E. By definition the stopping time S is r pS q is F τ -measurable. Therefore we FrSτ -measurable. Let us show that X S approximate the stopping time S from above by stopping times Sn , n P N, of the form

Sn

τ

T

If t P rτ, T s, then

tSn ¤ tu

¤

n t τ T τu

t2

"

k 0

and hence Sn is Ftτ "

k1 pT 2n

Pr

t τ,T

k1 pT 2n

τ R 2n pS τ q V . 2n T τ

τq

τ

S¤

k pT 2n

(3.42)

τq

Sn

τ

k pT τ q 2n

τ ,

(3.43)

s -stopping time. Moreover, on the event

τq

τ

S¤

k pT 2n

τq

*

τ

the stopping time Sn takes the value Sn tk,n , where tk,n Consequently, we have the following equality of events: "

*

*

tk,n

"

k1 pT 2n

τq

τ

S¤

τ k pT 2n

k pT τ q . 2n

τq

*

τ ,

n ¤ 2 Tptττ q , which is equivalent to tk,n ¤ t, the event * k pT τ q is Frτ -measurable, and on this event the state vari-

so that for k "

τ 2n r r ptk,n q able X pSn q X Sn

t

is Frtτk,n -measurable. As a consequence we see

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179

that on the event tSn

r pSn q is F rτ -measurable. ¤ tu the state variable X t r pSn q is measurable with respect to Then the space-time variable Sn , X

the σ-field FrSτ . In addition, we have S

¤ Sn 1 ¤ Sn ¤ S

T

τ,

(3.44)

2n

r pS q is F rτ -measurable as well. and hence the space-time variable S, X S

r pτ _ S q This proves the equality in (3.41) in case F f τ _ S, X where f P Cb prτ, T s E q. As a preparation for the case F

±n

fj sj _ S, Xr psj _ S q where the functions fj , 0

¤ j ¤ n, are bounded Borel functions on rτ, T s E, and τ s0 s1 sn ¤ T , we first consider the case (τ t ¤ T ) r pt _ S q 1tS ¤tu f t, X r ptq 1tS ¤tu F f t _ S, X (3.45) where f P Cb prτ, T s E q. On the event tS ¤ tu we approximate the stopping time S from above by stopping times Sn , n P N, of the form R V t τ 2 n pS τ q . (3.46) Sn ptq τ 2n tτ j 0

Then on the event tS £

¤ tu we have the following inclusions of σ-fields:

tS ¤ tu £ FrSτ ^t tS ¤ tu FrSτ

FrSτ

and

8 £

n 1

FrSτn ptq

£

n

1

£

ptq

tS ¤ tu FrSτ £

tS ¤ tu FrSτ

Here we wrote F A0 tA A0 Ω. Then we have

ptq

£

tS ¤ tu

tS ¤ t u .

(3.48)

Eτ,x f t, Xr ptq 1tS¤tu FrSτ Eτ,x Eτ,x f t, Xr ptq 1tS¤tu FrSτ ptq FrSτ Eτ,x ES ptq,XpS ptqq f t, Xr ptq 1tS¤tu FrSτ τ r ptq 1tS ¤tu F r nlim Eτ,x ES ptq,X f t, X S p S p t qq Ñ8 n

n

n

n

(3.47)

A0 : A P F u when F is any σ-field on Ω and

r pt _ S q 1tS ¤tu F rτ Eτ,x f t _ S, X S

n

n

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180

Eτ,x

r lim ESn ptq,X pSn ptqq f t, X ptq

Ñ8

n

1tS ¤tu FrSτ

(employ (3.48) and the arguments leading to equality (3.38))

r nlim Ñ8 ES ptq,XpS ptqq f t, X ptq 1tS ¤tu ES,XpSq f t, Xr ptq FrSS,_ 1tS¤tu n

n

(appeal to (3.37) which relies on property (vi) of Definition 2.4)

ES,XpSq

r pt q f t, X

1tS ¤tu .

(3.49)

From (3.49) and the FrSS,_ -measurability of the stochastic state variable

r pS q we infer S, X

r pt _ S q F rτ Eτ,x f t _ S, X S

Eτ,x

r pt _ S q 1tS ¤tu F rτ f t _ S, X S

r pt _ S q 1tS ¡tu F rτ Eτ,x f t _ S, X S

Eτ,x

r ptq 1tS ¤tu F rτ f t, X S

rτ r pS q 1tS ¡tu F Eτ,x f S, X S

ES,XpSq f t, Xr ptq 1tS¤tu f S, Xr pS q 1tS¡tu ES,XpSq f t _ S, Xr pt _ S q . (3.50) ±n 1 r psj _ S q where the Next we consider the case F j 0 fj sj _ S, X functions fj , 0 ¤ j ¤ n 1, are bounded Borel functions on rτ, T s E, and τ s0 s1 sn 1 ¤ T . From (3.50) and the FrSS,_ -measurability r pS q we obtain (3.41) in case F of the stochastic state variable S, X r pτ q f1 s1 , X r ps1 q , and thus f0 τ, X r pτ _ S q f1 s1 _ S, X r p s1 _ S q . F _S f0 τ _ S, X So that the cases n 0 and n 1 have been taken care of. The remaining part of the proof uses induction. From (3.50) with the maximum operator sn _ S replacing S together with the induction hypothesis we get

Eτ,x

n ¹1

j 0

f j sj

S FSτ

_ S, Xr psj _ q

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MarkovProcesses


Eτ,x

n ¹

181

f j sj

_ S, Xr psj _ S q

j 0

Eτ,x Eτ,x

fn

n ¹

1

_

p

S Fsτn _S FSτ

_ q

1

_ S, Xr psj _ S q

j 0

Es

n

f j sj

sn

1

r sn S, X

_S,Xpsn _S q fn

sn

1

1

Fτ S S

_ S, Xr psn 1 _ q


ES,XpSq Es

ES,XpSq

_ S, Xr psj _ S q

_S,Xpsn _S q fn

n ¹

sn

1

1

_ S, Xr psn 1 _ S q

f j sj

_ S, Xr psj _ S q

fn

sn

1

ES,X pS q

n ¹1

j 0

ES,XpSq ES,XpSq

f j sj

j 0

n

ES,XpSq

n ¹

n ¹1

1

_

p

r sn S, X

f j sj

_

1

f j sj

_ q

S FsS,n_ _S

p _ q

r sj S, X

j 0

S,_ S Fsn _S

_ S, Xr psj _ S q

(3.51)

.

j 0

r follows from (3.51), an apThe strong Markov property of the process X proximation argument and the Monotone Class Theorem. We still need to redefine our process and probability measures Pτ,x on the Skorohod space D pr0, T s, E q, pτ, xq P r0, T s E in such a way that r is preserved. This can be done replacing the distribution of the process X (3.28) with the collection !

r F rτ , P r τ,x , X r ptq, τ Ω, T

¤ t ¤ T , p_t : τ ¤ t ¤ T q , pE, E q

)

(3.52)

r D pr0, T s, E q, and P r τ,x is determined by the equality E r τ,x rF s where Ω r Eτ,x rF π s. Here F : Ω Ñ C is a bounded variable which is measurable

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182

r ptq : with respect to the σ-field generated by the coordinate variables: X r 0,T s r ω r ÞÑ ω r ptq, t P rτ, T s, ω r P Ω. Recall that Ω E . Notice that the r ptq to Ω r is evaluation of ω r at t. The mapping π : Ω Ñ Ω r restriction of X rPΩ 1 1 r pt, ω q, t P r0, T s, ω P Ω . Here Ω Ω has the is defined by π pω qptq X property that for all pτ, xq P r0, T sE its complement in Ω is Pτ,x -negligible. We will describe the space Ω1 . Let D be the collection of positive dyadic numbers. For Ω1 we may choose the space: !

)

£

Ω1 : ω

P Ω : t ÞÑ ωptq, t P D r0, T s has left and right limits in E ) £! £ ω P Ω : the range tω ptq : t P D r0, T su is totally bounded in E . (3.53)

Let pxj qj PN be a sequence in E which is dense, and let d be a metric on E E which turns E into a Polish space. Put B px, εq ty P E : dpy, xq εu. Define, for any finite subset of r0, T s with an even number of members U tt1 , . . . , t2n u say, and ε ¡ 0, the random variable Hε pU q by Hε pU qpω q

n ¸

j 1

We also put

1tdpX pt2j qq¥εu pω q. pt2j1 q,X

£

r0, T s ! ) £ sup Hε pU q : U D r0, T s, U contains an even number of elements . Then the subset Ω1 of Ω E r0,T s can be described as follows:

Hε D

Ω1

8 ! £

ω

P Ω : H1{n

n 1

#

8 ¤ 8 £ £

ω

D

PΩ:

)

£

r0, T s pωq 8

r psqpω q X

(3.54)

n ¤

+

B px , 1{mq .

j r0,T s j1 The description in (3.54) shows that the subset Ω1 is a measurable subset of Ω. In addition we have Pτ,x pΩ1 q : Pτ,x pΩ1τ q 1 for all pτ, xq P r0, T s E.

m 1n 1

Here Ω1τ

!

P

s D

£

)

P Ω1 : ωpρq ωpτ q, ρ P D r0, τ s , (3.55) ( which may be identified with ω ærτ,T s : ω P Ω1 which is a measurable subset of Ωτ E rτ,T s . In order to complete the construction and the proof of

ω

r Theorem 2.9 we need to prove the quasi-left continuity of the process X.

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183

So let pτn qnPN be an increasing sequence of Frtτ

Pr

t τ,T

s

-stopping times with

values in rτ, T s. Put τ8 supnPN τn . Let f and g be functions Cb pE q, and let h ¡ 0. Then by the strong Markov property we have for m ¤ n r pτm q g X r ppτm Eτ,x f X

hq ^ T q

Eτ,x f Xr pτm q Eτ ,Xpτ q g Xr ppτm hq ^ T q Eτ,x f Xr pτm q Eτ ,Xpτ q g Xr ppτm hq ^ T q , τm h ¥ τ8 r pτm q E r ppτm hq ^ T q , τm h τ8 Eτ,x f X g X τ ,X pτ q m

m

m

m

m

ÞÑ Eρ,Xpρq

(the process ρ on rτ, ss)

Eτ,x

m

r ps q g X

is a right-continuous Pτ,x -martingale

r pτm q E r ppτm f X g X τm ,X pτm q

hq ^ T q

r pτm q E r ppτm Eτ,x f X g X τm ,X pτm q

Eτ,x

r pτm q P pτn , pτm f X

hq ^ T q

r pτn q , τm hq ^ T q g X


h ¥ τ8

, τm

hq ^ T q

, τm

h τ8

h ¥ τ8 , τm

h τ8 . (3.56)

r pτn q. Upon taking limits, as n Ñ 8, and employing the Put L limnÑ8 X fact that the propagator P pτ, tq is continuous from the left on the diagonal in (3.56) we obtain:

r pτm q g X r ppτm Eτ,x f X

nlim Ñ8 Eτ,x τm

hq ^ T q

r pτm q P pτn , τ8 q P pτ8 , pτm f X

h ¥ τ8


Eτ,x

r pτm q P pτ8 , pτm f X

Next we let m Ñ 8 in (3.57) to get

r ppτ8 Eτ,x f pLq g X

, τm

h τ8

hq ^ T q

hq ^ T q g pLq , τm


r pτn q , hq ^ T q g X

h ¥ τ8

hq ^ T q

, τm

h τ8 . (3.57)

hq ^ T q

Eτ,x rf pLq P pτ8 , pτ8

hq ^ T q g pLqs

(3.58)

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184


MarkovProcesses


where we invoked property (vii) of Definition 2.4. Next we let h decrease to zero in (3.58). This yields

r pτ8 q Eτ,x f pLq g X

Eτ,x rf pLq g pLqs .

Eτ,x rf pLq P pτ8 , τ8 q g pLqs (3.59)

Since f and g are arbitrary in Cb pE q, the equality in (3.59) implies that

r pτ8 q Eτ,x h L, X

Eτ,x rh pL, Lqs (3.60) for all bounded Borel measurable functions h P L8 pE E, E b E q. In particular we may take a bounded continuous metric hpx, y q dpx, y q, px, yq P E E. From (3.60) it follows that r pτ8 q Eτ,x rd pL, Lqs 0, Eτ,x d L, X and hence r pτn q X r pτ8 q , L lim X

Ñ8

n


(3.61)

Essentially speaking this proves Theorem 2.9 in case we are dealing with conservative Feller propagators, i.e. Feller propagators with the property that P ps, tq 1 1, 0 ¤ s ¤ t ¤ T . In order to be correct the process, or rather the family of probability spaces in (3.28) has to be replaced with (3.52). This completes the proof of Theorem 2.9 in case the Feller propagator is phrased in terms of probabilities P pτ, x; t, E q 1, 0 ¤ τ ¤ t ¤ T , x P E. The case P ps, tq 1 ¤ 1 is treated next. It will complete the proof of Theorem 2.9. Proof. [Continuation of the proof of Theorem 2.9 in case of subprobabilities.] We have to modify the proof in case a point of absorption is required. Most of the proof for the case that P pτ, x; t, E q 1 can be repeated with the probability transition function N pτ, x; t, B q, B P E △ . This function was defined in (2.100) of Remark 2.10. However, we need to r does not enter the absorption state △ show that the E △ -valued process X prior to reentering the state space E. This requires an extra argument. We will use a stopping time argument and Doob’s optional sampling time theorem to achieve this: see Proposition 3.2 in which the transition function N pτ, x; t, B q is also employed.

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185

For further use we will also need a Skorohod space with a point of r0,T s whose reabsorption △. The space Ω△,1 consists of those ω P E △ △ strictions to D r0, T s have left and right limits in E , and which are such that for some t tpω q P r0, T s the range tω psq : s P D r0, t1 su is totally bounded in E for all t1 P p0, tq, and such that ω psq △ for s P D rtpω q, T s. Again using a metric d△ on E △ E △ which renders E △ Polish, it can be shown that Ω△,1 is a measurable subset of Ω E △ be written as Ω△,1

P

!

¤

r D

r0,T s

8 £ £

£

!

m 1r1 r2 , r2 r1 1{m r1 , r2 D 0,T

£!

ω

PΩ: ω

D

r s

P

ω

. In fact Ω△,1 can

P Ω : s ÞÑ ωpsq, s P D r0, rs has left and right limits in E

ω

¤

r0,T s

£

r0, r1 s

)

)

is totally bounded in E )

£

P Ω : ωpsq △ for all s P D rr2 , T s

(3.62)

.

r0,T s

From (3.62) it follows that Ω△,1 is a measurable subset of Ω E △ . △,1 Again it turns out that Pτ,x Ω 1. This fact follows from Proposition 3.2 and the fact that for all t P D r0, T s

Pτ,x ω

£

P Ω : s ÞÑ ωpsq, s P D r0, ts

has left and right limits in E, and X ptq P E s

Pτ,x rω P Ω : ωptq P E s .

(3.63)

The equality in (3.63) follows in the same way as the corresponding result in case P pτ, x; t, B q, B P E, but now with N pτ, x; t, B q, B P E △ . Again the construction which led to the process in (3.52) can be performed to get a strong Markov process of the form: !

r F r ptq, τ rτ , P r τ,x , X Ω, T

¤ t ¤ T , p_t : τ ¤ t ¤ T q ,

E△, E △

)

, (3.64)

r is the Skorohod space D r0, T s, E △ . where Ω Since for functions f P Cb pE q we have

P pτ, tq f pxq

»

P pτ, x; t, dy q f py q

»

N pτ, x; tdy q f py q

(3.65)

r is quasi-left continuous provided f p△q 0, it follows that the process X on its life time ζ; see Definition 2.15. For the definition of N pτ, x; t, B q see

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186

Remark 2.10. In order to be correct the process, or rather the family of probability spaces in (3.28) has to be replaced with (3.64). The arguments in Proposition 3.2 below then complete the proof of Theorem 2.9 in case the Feller propagator is phrased in terms of sub probabilities P pτ, x; t, E q ¤ 1, 0 ¤ τ ¤ t ¤ T , x P E. In the final part of the proof of Theorem 2.9 we needed the following propor psq is contained in a sition. The proposition says that an orbit s ÞÑ s, X !

)

r ptq P E . compact subset of rτ, ts E on the event X

Proposition 3.2. Suppose the transition function P pτ, x; t, B q, which satisfies the equation of Chapman-Kolmogorov, consists of sub-probability Borel measures. Let N pτ, x; t, B q, B P E △ be the Feller transition function as constructed in Remark 2.10, which now consists of genuine Borel probability measures on the Borel field E △ of E △ . As in (3.28) construct the corresponding Markov process !

r ptq, τ Ω, FrTτ , Pτ,x , X

¤ t ¤ T , p_t : τ ¤ t ¤ T q , E △ , E △ Fix pτ, xq P r0, T s E and t P rτ, T s. Then the orbit ! ) r psq : τ ¤ s ¤ t, X ptq P E s, X is Pτ,x -almost surely a relatively compact subset of rτ, ts E.

)

. (3.66)

Proof. A proof can be based on a stopping time argument and Doob’s optional sampling theorem. Let the life time ζ : Ω Ñ r0, T s be defined by ζ

#

!

otherwise.

T

Then ζ is an Frtτ

r ptq P E Pτ,x X

Eτ,x Eτ,x

)

r psq △ , if X r psq △ for some s ¤ T , inf s ¡ 0 : X

Pr s

t τ,t

-stopping time and we have:

r Pζ ^t,X pζ ^tq X ptq P E

r ptq P E , ζ Pζ ^t,X pζ ^tq X

¤t

r Eτ,x Pζ ^t,X pζ ^tq X ptq P E , ζ

¡t

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MarkovProcesses


Eτ,x Eτ,x

r Pζ,X pζ q X ptq P E , ζ

r ptq P E , ζ Pζ,△ X

¤t

¤t

187

r Eτ,x Pt,X ptq X ptq P E , ζ

r ptq P E, ζ Pτ,x X

¡t

¡t

(see Remark 2.10)

Eτ,x rN pζ, △; t, E q , ζ ¤ ts Pτ,x Xr ptq P E, ζ ¡ t .

r ptq P E, ζ Pτ,x X

¡t

(3.67) !

r pt q P E From (3.67) it follows that on the event X !

)

the orbits

)

r psq : s P rτ, ts s, X

are Pτ,x -almost surely contained in compact subsets of rτ, ts E. This completes the proof of Proposition 3.2.

In the proof of Proposition 3.4 we need the following result. Notice that in this Proposition 3.3 as well as in Proposition 3.4 the conservative property (3.68) is employed. Proposition 3.2 contains a result which can be used in the non-conservative situation. The possibility of non-conservativeness plays a role in the proof of Theorem 2.12 as well: see the inequalities in (3.122) and (3.123), and their consequences. This proposition could be called a Pτ,x -almost sure Tβ -equi-continuity result. Proposition 3.3. Let pτ, xq be an element in r0, T s E, and assume Pτ,x rX ptq P E s P pτ, tq 1E pxq

P pτ, x; t, E q 1 (3.68) sequence in Cb prτ, T s E q which

for all t P rτ, T s. Let pfm qmPN be a decreases pointwise to zero. Denote by D the collection of positive dyadic numbers. Then the following equality holds Pτ,x -almost surely: inf

P P

sup

sup

m N t D τ,T s D 0,t

r

s P

r s

Es,X psq rfm pt, X ptqqs 0.

(3.69)

Consequently, the collection of linear functionals Λs,t : Cb prτ, T s E q Ñ C defined by Λs,t pf q Es,X psq rf pt, X ptqqs, f P Cb prτ, T s E q, τ ¤ s ¤ t ¤ T , s, t P D, is Pτ,x -almost surely equi-continuous for the strict topology Tβ . Let psn , tn q be any sequence in rτ, T s rτ, T s such that sn ¤ tn , n P N. Then the collection

tΛs,t : τ ¤ s ¤ t ¤ T,

s, t P D or ps, tq psn , tn q for some n P Nu

is Pτ,x -almost surely equi-continuous as well.

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Proof. Let pfm qmPN Cb prτ, T s E q be as in Proposition 3.3. For every m P N and t P rτ, T s we define the Pτ,x -martingale s ÞÑ Mt,m psq, s P rτ, T s, by Mt,m psq Es^t,X ps^tq rfm pt, X ptqqs. Then the process s ÞÑ sup Es^t,X ps^tq rfm pt, X ptqqs

Pr

t τ,T

s

is a Pτ,x -submartingale. Fix η we have

ηPτ,x

P

sup

ηPτ,x ηPτ,x ¤ Eτ,x Eτ,x

P

sup

P

sup

t D

sup

rτ,T s sPD rt,T s

t D

sup

sup

P

sup

t D

sup

rτ,T s tPD rτ,T s

P

t D

rτ,T s rτ,T s

rτ,T s

Es^t,X ps^tq rfm pt, X ptqqs

By Doob’s submartingale inequality

Es,X psq rfm pt, X ptqqs ¥ η

rτ,T s sPD rτ,T s

s D

¡ 0.

sup

P

t D

Mm,t pT q

Mm,t psq ¥ η Mm,t psq ¥ η

Eτ,x

P

sup

t D

rτ,T s

Et,X ptq rfm pt, X ptqqs

fm pt, X ptqq .

(3.70)

Since the orbit tpt, X ptqq : t P D rτ, T su is Pτ,x -almost surely contained in a compact subset of E, Dini’s lemma implies that

P

sup

t D

rτ,T s

fm pt, X ptqq decreases to 0 Pτ,x -almost surely,

which implies

lim Eτ,x

m

Ñ8

P

sup

rτ,T s

t D

fm pt, X ptqq

0.

(3.71)

A combination of (3.70) and (3.71) yields (3.69). So the first part of Proposition 3.3 has been established. The second assertion follows from (3.69) together with Theorem 2.3. The third assertion follows from the fact that for f P Cb prτ, T s E q and τ ¤ sn ¤ tn ¤ T the inequality Esn ,X psn q rf ptn , X ptn qqs ¤

holds Pτ,x -almost surely. This shows Proposition 3.3.

P

sup

t D

sup

rτ,T s sPD rτ,ts

Es,X psq rf pt, X ptqqs

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The next proposition was used in the proof of Theorem 2.9. This proposition contains an interesting continuity result of Feller evolutions. Proposition 3.4. Let pτ, xq P r0, T s E, and assume the conservative property (3.68). In addition, let f P Cb pr0, T s E q and let ppsn , tn qqnPN be sequence in rτ, T s rτ, T s such that sn ¤ tn , n P N and such that lim psn , tn q ps, tq. Then the limit

Ñ8

n

lim Esn ,X psn q rf ptn , X ptn qqs lim rP psn , tn q f ptn , qs pX psn qq

Ñ8

Ñ8

n

n

rP ps, tq f pt, qs pX psqq Es,X psq rf pt, X ptqqs (3.72) exists Pτ,x -almost surely. In particular if sn tn for all n P N, then s t and lim Etn ,X ptn q rf ptn , X ptn qqs lim f ptn , X ptn qq

Ñ8

Ñ8

n

n

(3.73) f pt, X ptqq , Pτ,x -almost surely. In addition, by taking tn t and letting the sequence psn qnPN decrease or increase to s P rτ, ts it follows that the process s ÞÑ Es,X psq rf pt, X ptqqs is Pτ,x -almost surely a left and right continuous martingale. Moreover, the equalities

Eτ,x f pt, X ptqq Fsτ

Es,X psq rf pt, X ptqqs Eτ,x f pt, X ptqq Fsτ

(3.74)

hold Pτ,x -almost surely. The equalities in (3.39) then follow from (3.74) together with the Monotone Class Theorem. Proof. In the proof of Proposition 3.4 we will employ the properties of the process in (3.7) to its full extent. In addition we will use Proposition 3.3 which implies that continuity properties of the process

ps, tq ÞÑα

»8 t

eαpρtq Es,X psq rf pρ ^ T, X pρ ^ T qqs dρ

»8

α eαpρtq P ps, ρ ^ T q f pρ ^ T, q pX psqq dρ t αP ps, tq Rpαqf pt, q pX psqq »8 eρEs,X psq f t αρ ^ T, X t αρ ^ T dρ, 0

(3.75)

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0 ¤ s ¤ t ¤ T , Pτ,x -almost surely carry over to the process

ps, tq ÞÑP ps, tq f pt, q pX psqq Es,X psq rf pt, X ptqqs »8 αlim α eαpρtq P ps, ρ ^ T q f pρ ^ T, q pX psqq dρ Ñ8 t

»8

ρ ρ ^ T f t ^ T, pX psqq dρ α α 0 »8 ρ ρ eρ Es,X psq f t αlim ^ T, X t ^ T dρ. Ñ8 0 α α (3.76)

αlim Ñ8

eρ P s, t

Let psn , tn qnPN be a sequence in rτ, T s rτ, T s for which sn

α

Λα,s,t f

»8 t

¤ tn . Put

eαpρtq P ps, ρ ^ T q f pρ ^ T, q pX psqq dρ.

The equality in (3.75) in conjunction with Proposition 3.3 shows that the collection of functionals

tΛα,s,t : τ ¤ s ¤ t ¤ T,

s, t P D or ps, tq psn , tn q for some n P N, α ¥ 1u

is Pτ,x -almost surely Tβ -equi-continuous. Therefore the family of its limits Λt,s limαÑ8 Λα,s,t inherits the continuity properties from the family

tΛα,s,t : τ ¤ s ¤ t ¤ T, where α P p0, 8q is fixed.

s, t P D or ps, tq psn , tn q for some n P Nu

We still have to prove that lim Esn ,X psn q rf ptn , X ptn qqs Es,X psq rf pt, X ptqqs

Ñ8

n

(3.77)

Pτ,x -almost surely, whenever f P Cb prτ, ts E q and the sequence psn , tn qnPN in rτ, T srτ, T s is such that limnÑ8 psn , tn q ps, tq and sn ¤ tn for all n P N. In view of the first equality in (3.22) and the previous arguments it suffices to prove this equality for processes of the form

ps, tq ÞÑ α

»8 t

eαpρtq Es,X psq rf pρ ^ T, X pρ ^ T qqs dρ

instead of

ps, tq ÞÑ Es,X psq rf pt, X ptqqs . It is easy to see that this convergence reduces to treating the case where, for ρ P pτ, T s fixed and for sn Ñ s, s P rτ, ρs, lim Esn ,X psn q rf pρ, X pρqqs Es,X psq rf pρ, X pρqqs .

Ñ8

n

(3.78)

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Here we will distinguish two cases: sn increases to s and sn decreases to s. In both cases we will prove the equality in (3.78). In case of an increasing the result follows more or less directly from the martingale martingale property and from the left continuity on the diagonal. In case of a decreasing sequence we employ the fact that a subspace of the form tP pρ, uq g : u P pρ, T s, g P Cb pE qu is Tβ -dense in CbpE q. First we consider the situation where sn increases to s P rτ, ρs. Then we have

Esn ,X psn q rf pρ, X pρqqs Eτ,x f pρ, X pρqq Fsτn

Eτ,x Eτ,x f pρ, X pρqq Fsτ Fsτ Eτ,x Es,X psq rf pρ, X pρqqs Fsτ Es ,X ps q Es,X psq rf pρ, X pρqqs pP psn , sq Es, rf pρ, X pρqqsq pX psn qq . n

n

n

n

(3.79)

In (3.79) we let n Ñ 8 and use the left continuity of the propagator (see property (v) in Definition 2.4) to conclude lim Esn ,X psn q rf pρ, X pρqqs Es,X psq rf pρ, X pρqqs .

Ñ8

n

(3.80)

The equality in (3.80) shows the Pτ,x -almost sure left continuity of the process s ÞÑ Es,X psq rf pρ, X pρqqs on the interval rτ, ρs. Next assume that the sequence psn qnPN decreases to s P rτ, ρs. Then we get Pτ,x -almost surely Es,X psq rf pρ, X pρqqs P ps, ρq f pρ, q pX pρqq

(employ (vi) of Definition 2.4)

nlim Ñ8 P psn , ρq f pρ, q pX psn qq nlim Ñ8 Es ,X ps q rf pρ, X pρqqs s Es,X psq nlim Ñ8 Es ,X ps q rf pρ, X pρqqs Fs Fs nlim s Ñ8 Es,X psq Es ,X ps q rf pρ, X pρqqs s s nlim Ñ8 Es,X psq Es,X psq f pρ, X pρqq Fs Fs n

n

n

n

n

n

(tower property of conditional expectation)

Es,Xpsq f pρ,X pρqq Fss Eτ,x Es,X psq f pρ, X pρqq Fss Fsτ Eτ,x nlim Es ,X ps q rf pρ, X pρqqs Fsτ Ñ8 nlim Eτ,x Es ,X ps q rf pρ, X pρqqs Fsτ Ñ8 n

n

n

n

n

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(Markov property)

nlim Ñ8 Eτ,x

Eτ,x f pρ, X pρqq Fsτn Fsτ

(tower property of conditional expectation)

Eτ,x f pρ, X pρqq Fsτ

(3.81)

.

The equality in (3.81) is the same as the first equality in (3.74). The second equality is a consequence of the Markov property with respect to the filtration pFtτ qtPrτ,T s . This completes the proof of Proposition 3.3. 3.1.2


Here we have to prove that Markov processes with certain continuity properties give rise to Feller evolutions. Proof. [Proof of Theorem 2.10.] Let the operators P pτ, tq, τ ¤ t, be as in (2.95). We have to prove that this collection is a Feller evolution. The properties (i), (iii) and (iv) of Definition 2.4 are obvious. The propagator property (ii) is a consequence of the Markov property of the process in (2.94). To be precise, let f P Cb pE q and 0 ¤ τ s t ¤ T . Then we have:

P pτ, sq P ps, tq f pxq Es,x rP ps, tq f pX psqqs Eτ,x Es,X psq rf pX ptqqs

Eτ,x Eτ,x f pX ptqq Fsτ Eτ,x rf pX ptqqs P pτ, tq f pxq. (3.82) Let f be any function in Cb pE q. The continuity of the function pτ, t, xq ÞÑ P pτ, tq f pxq, 0 ¤ τ ¤ t ¤ T , x P E, implies the properties (v) through (vii) of Definition 2.4. Let f P Cb pr0, T s E q. In addition we have to prove that the function pτ, t, xq ÞÑ P pτ, tq f pt, q pxq is continuous. The proof of this fact requires the following steps: (1) The Feller evolution tP pτ, tq : 0 ¤ τ ¤ t ¤ T u is Tβ -equi-continuous. (2) Define the operators Rpαq : Cb pr0, T s E q Ñ Cb pr0, T s E q, α ¡ 0, as in (4.6) in Chapter 4; Rpαqf pt, xq

»8 t

»8 0

eαpρtq P pt, ρ ^ T q f pρ ^ T, q pxqdρ eαρ S pρqf pt, xq dρ, f

P Cbpr0, T s E q,

(3.83)

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where, by definition, S pρqf pt, xq P pt, pρ

tq ^ T qf ppρ

tq ^ T, qpxq, f

P Cbpr0, T s E q.

(3.84) Since the family of operators tS pρq : ρ ¥ 0u has the semigroup property, i.e. S pρ1 q S pρ2 q S pρ1 ρ2 q, ρ1 , ρ2 ¥ 0, the family tRpαq : α ¡ 0u has the resolvent property: see (3.85) below. Moreover, the functions pτ, t, xq ÞÑ P pτ, tq rRpαqf pt, qs pxq, 0 ¤ τ ¤ t ¤ T , x P E, α ¡ 0, are continuous for all f P Cb pr0, T s E q. (3) The family tRpαq : α ¡ 0u is a resolvent family, and hence the range of Rpαq does not depend on α ¡ 0. The Tβ -closure of its range coincides with Cb pr0, T s E q. From (3), (1) and (2) it then follows that functions of the form P pτ, tq f pt, q pxq, 0 ¤ τ ¤ t ¤ T , f P Cb pr0, T s E q, are continuous. So we have to prove (1) through (3). Let pψm qmPN be a sequence of functions in C pE q which decreases pointwise to zero. Since, by assumption, the functions pτ, t, xq ÞÑ P pτ, tq ψm pxq, m P N, are continuous, the sequence P pτ, tq ψm pxq decreases uniformly on compact subsets to 0. By Theorem 2.7 it follows that the Feller evolution tP pτ, tq : 0 ¤ τ ¤ t ¤ T u is Tβ -equi-continuous. This proves (1). Let f P Cb pr0, T s E q, and fix α ¡ 0. Then the function P pτ, tq Rpαqf can be written in the form P pτ, tq rRpαqf pt, qs pxq

»8 t

eαpρtq P pτ, ρ ^ T q f pρ ^ T, q pxqdρ,

which by inspection is continuous, because for fixed ρ P r0, T s the function pτ, xq ÞÑ P pτ, ρq f pρ, q pxq is continuous. This proves Assertion (2). The family tRpαq : α ¡ 0u is a resolvent family, i.e. it satisfies: Rpβ q Rpαq

pα β qRpαqRpβ q, α, β ¡ 0. (3.85) Consequently, the range RpαqCb pr0, T s E q does not depend on α ¡ 0. Next fix f P Cb pr0, T s E q. Then limαÑ8 αRpαqf pt, xq f pt, xq for all pt, xq P r0, T s E. By dominated convergence it also follows that » αRpαqf pt, xq dµpt, xq lim αÑ8 r0,T sE

αlim Ñ8

»

»

r0,T sE

r0,T sE

»8

eρ P t, t

0

f pt, xq dµpt, xq,

ρ α

^T

f

t

ρ α

^ T, pxqdρ dµpt, xq (3.86)

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where µ is a complex Borel measure on r0, T s E. From (3.86) and Corollary 2.1 we see that the space RpαqCb pr0, T s E q is Tβ -weakly dense in Cb pr0, T s E q. It follows that it is Tβ -dense. Let K be a compact subset of E. Since the Feller evolution is Tβ -equi-continuous there exists a bounded function u P H pr0, T s E q such that sup

pt,xqPr0,T sK

|P pτ, tq f pxq| ¤ }uf }8 ,

f

P CbpE q.

(3.87)

Fix ε ¡ 0. For α0 ¡ 0 and f P Cb pr0, T s E q fixed, there exists a function g P Cb pr0, T s E q such that sup sup |ups, y q pf ps, y q α0 R pα0 q g ps, y qq| ¤ ε.

Pr s P

(3.88)

s 0,T y E

From (3.87) and (3.88) we infer: sup

sup |P pτ, tq rf pt, q α0 R pα0 q g pt, qs pxq|

¤ ¤t¤T xPK

0 τ

¤

sup sup |upy q pf ps, y q α0 R pα0 q ps, y qq| ¤ ε.

¤¤ P

(3.89)

0 s T y E

As a consequence of (3.89) the function pτ, t, xq ÞÑ P pτ, tq f pt, q pxq inherits its continuity properties from functions of the form

pτ, t, xq ÞÑ P pτ, tq R pα0 q f pt, q pxq,

0¤τ

¤ t ¤ T, x P E.

Since the latter functions are continuous, the same is true for the function P pτ, tq f pt, q pxq. This concludes the proof of Theorem 2.10. As a corollary we mention the following: its proof follows from the arguments leading to the observation that for all f P Cb pr0, T s E q the function pτ, t, xq ÞÑ P pτ, tq f pt, q pxq is continuous. It will be used in the proof of Theorem 4.3 in Chapter 4. Corollary 3.1. Let the family tP pτ, tq : 0 ¤ τ ¤ t ¤ T u be a Feller evolution in Cb pE q. Extend these operators to the space Cb pr0, T s E q by the formula! Pr pτ, tq f pτ, xq P pτ, t)q f pt, q pxq, f P Cb pr0, T s E q. Then the

family Pr pτ, tq : 0 ¤ τ ¤ t ¤ T is again Tβ -equi-continuous. In addition define the Tβ -continuous semigroup tS ptq : t ¥ 0u on Cb pr0, T s E q by S ptqf pτ, xq P pτ, pτ

tq ^ T q f ppτ

tq ^ T, q pxq,

f

Then the semigroup tS ptq : t ¥ 0u is Tβ -equi-continuous.

P Cb pr0, T s E q .

(3.90)

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In the sequel we will not use the notation Pr pτ, tq for the extended Feller evolution very much: we will simply ignore the difference between Pr pτ, tq and P pτ, tq. For more details on the semigroup defined in (3.90) see (4.5) below. Proof. [Proof of Corollary 3.1.] Let f P Cb pr0, T s E q. From the proof of Theorem 2.10 (see the very end) we infer that the function pτ, t, xq ÞÑ Pr pτ, tq f pτ, xq is continuous. Let pψm qmPN be a sequence of functions in Cb pr0, T s E q which decreases pointwise to 0. Let u P H pr0, T s r0, T E q. Then the functions Pr pτ, tq pψm f q pxq also decrease ! uniformly to 0. ) From Corollary 2.3 it follows that the family Pr pτ, tq : τ ¤ t ¤ T is Tβ -equi-continuous. From the representation (3.90) of the semigroup tS ptq : t ¥ 0u, it is also clear that this semigroup is Tβ -equi-continuous. This completes the proof of Corollary 3.1. 3.1.3


In this part and in Theorem 2.12 we will see the intimate relationship which exists between solutions to the martingale problem and the corresponding (strong) Markov processes. Proof. [Proof of Theorem 2.11.] In the proof of Theorem 2.11 we will use the fact that an operator L generates a Feller evolution if and only if it generates the corresponding Markov process: see Proposition 4.1 below. So we may assume that the corresponding Markov process is that of Theorem 2.9: see (2.90). Among other things this means that it is right continuous, and has left limits in E on its life time. In addition, it is quasi-left continuous on its life time: see Definition 2.15. Let f P Cb pr0, T s E q belong to the domain of D1 L. We will show that the process in (2.96) is a Pτ,x -martingale. Therefore, fix s P rτ, ts, and put Mτ,f psq f ps, X psqq f pτ, X pτ qq

»s τ

B Bρ

Lpρq f pρ, q pX pρqq dρ.

Then by the Markov property we have

Eτ,x Mτ,f ptq Fsτ

Mτ,f psq Eτ,x Ms,f p q Es,X psq rMs,f ptqs Es,X psq rf pt, X ptqqs Es,X psq rf ps, X psqqs

»t B Es,X psq Bρ Lpρq f pρ, q pX pρqq dρ

s

t Fsτ

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(the operator L generates the involved Markov process) f pρ, X pρqqs dρ Es,X psq rf pt, X ptqqs Es,X psq rf ps, X psqqs dEs,X psq rdρ s Es,X psq rf pt, X ptqqs Es,X psq rf ps, X psqqs Es,X psq rf pρ, X pρqqs ρρts 0. (3.91) »t

The equality in (3.91) proves the first part of Theorem 2.10. Proposition 3.5 below proves more than what is claimed in Theorem 2.10. Therefore the proof of Theorem 2.10 is completed by Proposition 3.5. Proposition 3.5. Let the Markov family of probability spaces be as in Theorem 2.9, formula (2.90). Let _t , ^t , ϑt : Ω Ñ Ω, t P r0, T s, be time transformations with the following respective defining properties: X psq _t X ps _ tq, X psq ^t X ps ^ tq, and X psq ϑt X pps tq ^ T q, for all s, t P r0, T s. Let the σ-fields Ftt21 , 0 ¤ t1 ¤ t2 ¤ T , be defined by Ftt21 σ pX psq : t1 ¤ s ¤ t2 q. Fix t P r0, T s. Then the mapping _t is _t -F t1 -measurable, the mapping ^t is F t1 ^t -F t1 -measurable, and ϑt is Ftt21_ t t2 t2 ^t t2 pt tq^T Fpt21 tq^T t -Ftt21 -measurable. Fix τ P r0, T s, and τ ¤ t1 ¤ t2 ¤ T . Let µ be a Borel probability measure on E, and define the probability measure Pτ,µ on FTτ by the formula τ,µ

³

Pτ,µ pAq E Pτ,x pAqdµpxq, A P FTτ . Let Ftt21 be the Pτ,µ -completion of the σ-field Ftt21 . Then (Pτ,µ -a.s. means Pτ,µ -almost surely) Ftt21

τ,µ

!

A P pFTτ q

and Ftt21

τ,µ

τ,µ

: 1A _t1

!

£

Pp0,T t2 s

A P pFTτ q

τ,µ

^t 1A , 2

: 1A _t1

)

Pτ,µ -a.s. ,

^t

1A ,

ε

2

(3.92) )

Pτ,µ -a.s. .

ε

(3.93) In addition the following equalities are Pτ,µ -almost surely valid for all τ,µ bounded random variables F which are pFTτ q -measurable:

Eτ,µ

F Ftτ

If the variable F is Ftτ F

Eτ,µ

τ,µ

Eτ,µ F Ftτ τ,µ Eτ,µ F Ftτ

Eτ,µ F Ftτ

, and

(3.94) (3.95)

.

-measurable, then the equalities

τ,µ F Ftτ

Eτ,µ

F Ftτ

Eτ,µ

F Ftτ

(3.96)

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hold Pτ,µ -almost surely. If the random variable F is pFTt q and bounded, then Pτ,µ -almost surely

Eτ,µ F Ftτ Finally, if F is Ftt F

τ,µ

τ,µ

τ,µ

-measurable

Et,X ptq rF s .

(3.97)

-measurable, then

Et,X ptq rF s ,

Pτ,µ -almost surely.

(3.98)

In particular such variables are Pτ,x -almost surely functions of the spacetime variable pt, X ptqq. Proof. Let F be a bounded Fss21 -measurable variable. The measurability _t properties of the time operator _t follow from the fact that F _t is Fss21_ t measurable. Similar statements hold for the operators ^t and ϑt . The equality Ftt21

tA P FTτ : 1A _t ^t 1A , 1

2

Pτ,µ -a.s.u

(3.99)

is clear, and so the left-hand side is included in the right-hand side of (3.92). τ,µ This can be seen as follows. Let A P Ftt21 . Then there exist subsets A1 and A2 P Ftt21 such that A1 A A2 and Pτ,µ rA2 zA1 s 0. Then we have

1A 1A 1A _t ^t ¤ 1A 1A _t ^t ¤ 1A 1A _t ^t 1A 1A . (3.100) From (3.100) we see that 1A 1A _t ^t , Pτ,x -almost surely, and hence 1 A1

2

1

1

2

1

2

2

2

1

1

1

2

2

1

2

the left-hand side of (3.92) is in the right-hand side. Since by the ! includedτ,µ ) τ same argument the σ-field A P pFT q : 1A _t1 ^t2 1A , Pτ,µ -a.s. is Pτ,µ -complete and since

tA P FTτ : 1A _t ^t 1A , 1

2

Pτ,µ -a.s.u Ftt21 ,

(3.101)

we also obtain that the right-hand side of (3.92) is contained in the lefthand side. The equality in (3.93) is an immediate consequence of (3.92), and the definition of Ftt21 . By the Monotone Class Theorem and an approximation argument the ±n proof of (3.94) can be reduced to the case where F j 1 fj pX ptj qq with τ ¤ t1 tk ¤ t tk 1 tn ¤ T , and fj P Cb pE q, 1 ¤ j ¤ n. Then by properties of conditional expectation and the Markov property with respect to the filtration pFtτ qtPrτ,T s we have Eτ,µ

F Ftτ

Eτ,µ

n ¹

j 1

fj pX ptj qq

τ F t

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198

k ¹

fj pX ptj qq Eτ,µ Eτ,µ

j 1

n ¹

fj pX ptj qq

τ F

tk

τ F

t

1

j k 1

(Markov property)

k ¹

fj pX ptj qq Eτ,µ g pX ptk

1

qq Ftτ

(3.102)

,

j 1

± n

where g py q fk 1 py qEtk 1 ,y j k 1 fj pX ptj qq . Again we may suppose that the function g belongs to Cb pE q. Then we get, for t s tk 1 ,

Eτ,µ g pX ptk

1

qq Ftτ Eτ,µ

Eτ,µ g pX ptk

1

qq Fsτ

τ F t

(Markov property)

Eτ,µ Es,X psq rg pX ptk 1 qqs Ftτ lim Eτ,µ Es,X psq rg pX ptk 1 qqs Ftτ sÓt Eτ,µ Et,X ptq rg pX ptk 1 qqs Ftτ Et,X ptq rg pX ptk 1 qqs

(again Markov property)

Eτ,µ g pX ptk 1 qq Ftτ

.

(3.103)

Inserting the result of (3.103) into (3.102) and reverting the arguments which led to (3.102) with Ftτ instead of Ftτ shows the equality in (3.94) for ±n F j 1 fj pX ptj qq where the functions fj , 1 ¤ j ¤ n, belong to Cb pE q. As mentioned earlier this suffices to obtain (3.94) for all bounded random τ,µ variables F which are pFTτ q -measurable. Here we use the fact that for τ,µ τ,µ any σ-field F pFTτ q , and any bounded pFTτ q -measurable random variable F an equality of the form F Eτ,µ F F holds Pτ,µ -almost surely. This argument also shows that the equality in (3.95) is a consequence of (3.94). The equalities in (3.96) follow from the definition of conditional expectation and the equalities (3.94) and (3.95). The equality in (3.97) also follows from (3.94) and (3.95) together with the Markov property. Finally, the equality in (3.103) is a consequence of (3.102) and the definition of conditional expectation. Altogether this proves Proposition 3.5.

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3.1.4

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199


In this subsection we will establish the fact that unique solutions to the martingale problem yield strong Markov processes. Proof. [Proof of Theorem 2.12.] The proof of this result is quite technical. The first part follows from a well-known theorem of Kolmogorov on projective systems of measures: see Theorem 3.1. In the second part we must show that the indicated path space has full measure, so that no information is lost. The techniques used are reminiscent the material found in for example [Blumenthal and Getoor (1968)], Theorem 9.4. p. 46. The result in Theorem 2.12 is a consequence of the propositions 3.6, 3.7, and 3.8 below.

In Theorem 2.12 as anywhere else in the book L tLpsq : 0 ¤ s ¤ T u is considered as a linear operator with domain DpLq and range RpLq in the space Cb pr0, T s E q. Suppose that the domain DpLq of L is Tβ -dense in Cb pr0, T s E q. The problem we want to address is the following. Give necessary and sufficient conditions on the operator L in order that for every pτ, xq P r0, T s E there exists a unique probability measure Pτ,x on FTτ with the following properties: (i)

For every f the process

P DpLq, which is C p1q -differentiable in the time variable

f pt, X ptqq f pτ, X pτ qq is a Pτ,x -martingale; (ii) Pτ,x rX pτ q xs 1.

»t τ

pD 1 f

Lf q ps, X psqq ds,

t P rτ, T s,

Here we suppose Ω D r0, 8s, E △ is the Skohorod space associated with E △ , as described in Definition 2.9, and FTτ is the σ-field generated by the state variables X ptq, t P rτ, T s. The probability measures Pτ,x are defined on the σ-field FTτ . The following procedure extends them to FT0 . If the event A belongs to FT0 , then we put Pτ,x rAs Eτ,x r1A _τ s. The composition 1A _τ is defined in (2.73). With this convention in mind the equality in (ii) may be replaced by

(ii)1

Pτ,x rX psq xs 1 for all s P r0, τ s.

Let P pΩq be the set of all probability measures on FT0 and define the subset P01 pΩq of P pΩq by " P01 pΩq

¤

pτ,xqPr0,T sE △

P P P pΩq : P rX pτ q xs 1

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P DpLq D pD1 q the process »t f pt, X ptqq f pτ, X pτ qq pD1 Lq f ps, X psqq ds, t P rτ, T s, and for every f

τ

*

is a P-martingale

(3.104)

.

Instead of DpLq D pD1 q we often write Dp1q pLq: see the comments following Definition 2.7. Let pvj : j P Nq be a sequence of continuous functions defined on r0, T s E with the following properties: (i) (ii) (iii)

v0 1E , v1 1t△u ; }vj }8 ¤ 1, vj belongs to Dp1q pLq DpLq D pD1 q, and vj ps, △q 0 for j ¥ 2; The linear span of vj , j ¥ 0, is dense in Cb r0, T s E △ for the strict

topology Tβ .

In addition let pfk : k P Nq be a sequence in Dp1q pLq such that the linear span of tpfk , pD1 Lq fk q : k P Nu is Tβ dense in the graph G pD1 Lq : tpf, pD1 Lq f q : f P DpLqu of the operator D1 L. Moreover, let psj : j P Nq be an enumeration of the set Q r0, T s. A subset P 1 pΩq, which is closely related to P01 , may be described as follows (see (3.54) as well): P 1 pΩq

8 £ 8 8 £ £

£

p

n 1 k 1 m 0 j1 ,...,jm

»

1

P rX psjk q P E, 1 ¤ k fk sjm 1 , X sjm

» » sj

m

1

sjm

pD 1

£

qPNm

¤m

1

1s P X sjm

fk psj

m

1

tP P P pΩq :

¤ ... sjm 1 ¤T

0 sj1

, X psjm qq

Lq fk ps, X psqq ds

1

m ¹

PE

, and

vjk psjk , X psjk qq dP

k 1 m ¹

+

vjk psjk , X psjk qq dP .

k 1

(3.105)

Let P pΩq be the collection of probability measures on FT0 . For a concise formulation of the relevant distance between probability measures in P pΩq we introduce kind of Lévy numbers. Let P1 and P2 P P pΩq. Then we write, for Λ r0, T s, Λ finite or countable, LΛ pP2 , P1 q lim inf ℓ

Ñ8

#

η

¡ 0 : P2 pX psqqsPΛ

ℓ ¤

j 1

B xj , 2

m

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MarkovProcesses


¥ 1 η2m

P1 rpX psqqsPΛ

Es ,

201

for all m P N

(

(3.106)

where B px, εq is a ball in E centered at x and with radius ε ¡ 0. Perhaps a more appropriate name for a Lévy number would be a “tightness number”. Notice that in (3.106) limℓÑ8 may be replaced with inf ℓPN . In fact we shall prove that, if for the operator L the martingale problem is solvable, that then the set P 1 pΩq is complete metrizable and separable for the metric dpP1 , P2 q given by dL pP1 , P2 q

» ¹ 2j ℓj vj sℓj , X sℓj d P2 pℓj qjPΛ

¸

¸

|Λ| | | 8 2 j PΛ 8 ¸ 2k LQ r0,sk s pP2 , P1 q LQ r0,sk s pP1 , P2 q . k1 Λ N, Λ

P1

p q

(3.107)

If a sequence of probability measures pPn qnPN converges to P with respect to the metric in (3.107), then the first term on the right-hand side says that the finite-dimensional distributions of Pn converge to the finite-dimensional distributions of P. The second term says, that the limit P is a measure indeed, and that the paths of the process are P-almost surely totally bounded. The following result should be compared to the comments in 6.7.4. of [Stroock and Varadhan (1979)], pp. 167–168. It is noticed that in Proposition 3.6 the uniqueness of the martingale problem is used to prove the separability. Proposition 3.6. The set P 1 pΩq supplied with the metric dL defined in (3.107) is a separable complete metrizable Hausdorff space. Proof. Let pPn : n P Nq be a Cauchy sequence in pP 1 pΩq , dq. Then for every m P N, for every m-tuple pj1 , . . . , jm q in Nm and for every m-tuple ³ ±m m psj1 , . . . , sjm q P Q r0, T s the limit limℓÑ8 k1 vjk psjk , X psjk qq dPnℓ exists. We shall prove that for every every m P N, for every m-tuple pj1 , . . . , jm q in Nm and for every m-tuple ptj1 , . . . , tjm q P r0, T sm the limit lim

Ñ8

n

» ¹ m

ujk ptjk , X ptjk qq dPn

k 1

(3.108)

exists for all sequences puj qj PN in Cb pr0, T s E q. Since, in addition,

lim lim LQ r0,sk s pPn , Pm q lim lim LQ r0,sk s pPn , Pm q 0, (3.109)

Ñ8 mÑ8

n

m

Ñ8 nÑ8

for all k P N, it follows that the sequence pPn qnPN is tight in the sense that the paths tX psq : s P Q r0, sk su are Pn -almost surely totally bounded

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202

uniformly in Pn for all n simultaneously. The latter means that for every ε ¡ 0 there exists npεq P N and integers pℓm pεqqmPN such that

Pn2 pX psqqsPQ r0,sk s

B xj , 2

m

j 1

pq

ℓm ¤ε

¥ 1 ε2m Pn pX psqqsPQ r0,s s E (3.110) for all n2 , n1 ¥ npεq, and for all m P N. By enlarging ℓm pεq we may and 1

do assume that

k

Pn pX psqqsPQ r0,sk s

¥ 1 ε2m and

Pnpεq

for all n P N. It follows that

k

Pn

B xj , 2

pX psqqsPQ r0,s s E


¥ 1 ε2

m

j 1

m

pq

ℓm ¤ε

B xj , 2

m

j 1

pX psqqsPQ r0,s s E

(3.112)

k


(3.111)

pq

ℓm ¤ε

,

pq

8 £

ℓm ¤ε

B xj , 2

m 1 j 1

¥ p1 εq Pn pX psqqsPQ r0,s s E

m

k

,

(3.113)

for all n P N. But then there exists, by Kolmogorov’s extension theorem, a probability measure P such that lim

Ñ8

n

» ¹ m

ujk ptjk , X ptjk qq dPn

k 1

» ¹ m

ujk ptjk , X ptjk qq dP,

k 1

(3.114) for all m P N, for all pj1 , . . . , jm q P Nm and for all ptj1 , . . . , tjm q P r0, T sm. From the description (3.104) of P 1 pΩq it then readily follows that P is a member of P 1 pΩq. So the existence of the limit in (3.108) remains to be verified, together with the following facts: the limit P is a martingale solution, and Dpr0, 8s, E △ q has full P-measure. Let t be in Q r0, T s. Since, for every j P N, the process vj ps, X psqq vj p0, X p0qq

»s 0

pD1

Lq vj pσ, X pσ qq dσ,

s P r0, T s,

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203

is a martingale for the measure Pnℓ , we infer » »t

»0

pD 1

Lq vj ps, X psqq dsdPnℓ

vj pt, X ptqq dPnℓ » »t

and hence the limit lim ℓ

Ñ8

pD 1

»

vj p0, X p0qq dPnℓ ,

Lq vj ps, X psqq dsdPnℓ exists. Next let

t0 be in r0, T s. Again using the martingale property we see »

0

vj pt0 , X pt0 qq d pPnℓ » » t »

0

pD1

Pn q k

Lq vj ps, X psqq ds d pPnℓ

vj p0, X p0qq d pPnℓ

» » t

t0

pD1

Pn q

Pn q k

k

Lq vj ps, X psqq ds d pPnℓ

where t is any number in Q

p qq p

p

¤

(3.115)

r0, T s. From (3.115) we infer

q p

p

k

» vj t0 , X t0 d Pn Pnk ℓ » » t

D1 L vj s, X s ds d Pnℓ Pnk » 0 vj 0, X 0 d Pn Pnk 2 t t0 D1 ℓ

p

Pn q ,

p qq p

q

p qq

p

q

q

| | }p

Lq vj }8 . (3.116)

If we let ℓ and k tend to infinity, we obtain » lim sup vj t0 , X t0 ℓ,k

Ñ8

p

p qq d pPn Pn q ¤ 2 |t t0 | }pD1 ℓ

k

Lq vj }8 . (3.117)

³

Consequently for every s P r0, T s the limit limℓÑ8 vj ps, X psqq dPnℓ exists. The inequality » » vj t, X t dPn v t , X t dP j 0 0 n ℓ ℓ » » t D L v s, X s ds dP 1 j nℓ

p

p qq

p

p q p p qq t ¤ |t t0 | }pD1 Lq vj }8 0

p qq

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204

³

shows that the functions t ÞÑ limℓÑ8 vj pt, X ptqq dPnℓ , j P N, are continuous. Since the linear span of pvj : j ¥ 2q is dense in Cb pr0, T s E q for the strict topology, it follows that for every v P Cb pr0, T s E q and for every t P r0, T s the limit t ÞÑ lim ℓ

»

Ñ8

v pt, X ptqq dPnℓ ,

t P r0, T s,

(3.118)

exists and that this limit, as a function of t, is continuous. The following step consists in proving that for every t0 P r0, 8q the equality »

lim lim sup

Ñt0 ℓÑ8

t

|vj pt, X ptqq vj pt0 , X pt0 qq| dPn 0 ℓ

(3.119)

holds. For t ¡ s the following (in-)equalities are valid: »

|vj pt, X ptqq vj ps, X psqq| dPn

2

ℓ

»

»

»

¤ |vj pt, X ptqq vj ps, X psqq|2 dPn

ℓ

|vj pt, X ptqq|2 dPn |vj ps, X psqq|2 dPn ℓ

ℓ

»

2ℜ pvj pt, X ptqq vj ps, X psqqq vj ps, X psqqdPn

ℓ

»

»

|vj pt, X ptqq|2 dPn |vj ps, X psqq|2 dPn ℓ

2ℜ

» » t

»

s

p D1

ℓ

Lq vj pσ, X pσ qq dσ v j ps, X psqqdPnℓ »

¤ |vj pt, X ptqq|2 dPn |vj ps, X psqq|2 dPn 2pt sq }pD1 Lq vj }8 . ℓ

ℓ

(3.120)

Hence (3.118) together with (3.120) implies (3.119). By (3.119), we may apply Kolmogorov’s extension theorem to prove that there exists a probar0,T s bility measure P on Ω1 : E △ with the property that » ¹ m

k 1

vjk psjk , X psjk qq dP lim

Ñ8

n

» ¹ m

vjk psjk , X psjk qq dPn

k 1

(3.121)

holds for all m P N and for all psj1 , . . . , sjm q P r0, T sm. It then follows that the equality in (3.121) is also valid for all m-tuples f1 , . . . , fm in △ Cb r0, T s E instead of for vj1 , . . . , vjm . This is true because the linear span of the sequence pvj qj PN is Tβ -dense in Cb r0, T s E △ . In addition we conclude that the processes f pt, X ptqq f p0, X p0qq

»t 0

p D1

Lq f ps, X psqq ds,

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205

t P r0, T s, f P Dp1q pLq, are P-martingales. We still have to show that Dpr0, T s, E △q has P-measure 1. From (3.119) it essentially follows that set r0,T s of ω P E △ for which the left and right hand limits exist in E △ has “full” P-measure. First let f ¥ 0 be in Cb pr0, T s E q. Then the process

rGλ f s ptq : E

» 8 t

eλσ f pσ ^ T, X pσ ^ T qq dσ Ft0

is a P-supermartingale with respect to the filtration Ft0 tPr0,T s . It follows that the limits limtÒt0 rGλ f s ptq and limtÓt0 rGλ f s ptq both exist P-almost surely for all t0 ¥ 0 and for all f P Cb pr0, T s E q. In particular these limits exist P-almost surely for all f P Dp1q pLq. By the martingale property it follows that, for f P Dp1q pLq, f t, X t λeλt Gλ f t » 8 λt 0 λσ f σ T, X σ T λe E F e f t, X t dσ t t » 8 » σ

λt λe E eλσ D1 L f s, X s ds dσ Ft0 t t »8

p

p qq

r

sp q p p ^

p ^ qq p

p

p qq

λ1 }pD1 Lq f }8 . t Consequently, we may conclude that, for all s, t ¥ 0, |f pt, X ptqq f ps, X psqq| ¤ 2λ1 }pD1 Lq f }8 λeλt rGλ f s ptq λeλs rGλf s psq , ¤ λeλt

eλσ pσ tq }pD1

q p

p qqq

Lq f }8 dσ

(3.122)

(3.123)

Again using (3.111), (3.112) and (3.113) it follows that the path !

X psq : s P Q

£

r0, ts, X ptq P E

)

is P-almost surely totally bounded. By separability and Tβτ -density of Dp1q pLq it follows that the limits limtÓs X ptq and limsÒt X psq exist in E P-almost surely for all s respectively t P r0, T s, for which X psq respectively X ptq belongs to E. See the arguments which led to (3.14) and (3.15) in the proof of Theorem 2.9. Put Z psqpω q limtÓs,tPQ r0,T s X ptqpω q. Then, for P-almost all ω the mapping s ÞÑ Z psqpω q is well-defined, possesses left limits in t P r0, T s for those paths ω P Ω for which ω ptq P E and is right continuous. In addition we have E rf ps, Z psqqg psqs E rf ps, X ps

qqgps, X psqqs lim E rf pt, X ptqqg ps, X psqqs E rf ps, X psqqg ps, X psqqs , tÓs

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206

for all f , g P Cb pr0, T s E q and for all s P r0, T s: see (3.119). But then we may conclude that X psq Z psq P-almost surely for all s P r0, T s. Hence we may replace X with Z and consequently (see the arguments in the proof of Theorem 2.9, and see Theorem 9.4 in [Blumenthal and Getoor (1968)], p. 49)

P P 1 pΩq P01 pΩq

P rΩs 1, and so P △

(3.124)

where Ω D r0, T s E . For the definition of D r0, T s E △ see Definition 2.9, and for the definition of P 1 pΩq, and P01 pΩq the reader is referred to (3.105) and (3.104). We also have to prove the separability. Denote by Convex the collection of all mappings

α : P f pN q P f Q

£

£

r0, T s Ñ Q r0, 1s,

which take only finitely many non-zero values, such that ¸

Λ1 Pf N

α Λ1 , Λ

1,

Λ P Pf Q

£

r0, T s

,

P p q and let twΛ1 : Λ1 P Pf pNqu be a countable family of functions from Q r0, T s to E △ such that for every finite subset Λ Pf pQ r0, T sq the collection

tsj , . . . , sj u P 1

n

(

pwΛ1 psj q , . . . , wΛ1 psj qq : Λ1 P Pf pNq ps ,...,s q E △ Λ. For example the value of wΛ1 psj q is dense in E △ could be xk , 1 ¤ ℓ ¤ n, where Λ1 pk1 , . . . , kn q. Here pxk qkPN is a dense 1

j1

n

jn

ℓ

ℓ

sequence in E△ . The countable collection of probability measures

tPα,w,Λ : α P Convex, Λ P Pf pNqu

determined by

Eα,w,Λ rF pps, X psqqsPΛ qs

¸ Λ1 Pf N

P p q

α Λ1 , Λ F pps, wΛ1 psqqsPΛ q

is dense in P pΩq endowed with the metric dL . Since P 1 pΩq is a closed subspace of P pΩq, it is separable as well. Finally we observe that X ptq P E, τ s t, implies X psq P E. This △ follows from the assumption that the Skorohod space D r0, T s, E is the sample space on which we consider the martingale problem: see Definition 2.9. In particular it is assumed that X psq △, τ s ¤ t, implies X ptq △, and Lpρqf pρ, q pX pρqq 0 for s ρ t. Consequently, once we have X psq △, and t P ps, T s, then X ptq △, and by transposition X ptq P E, s P rτ, tq implies X psq P E. This completes the proof of Proposition 3.6.

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207

In the following proposition we see that under the condition of λ-dominance the function pτ, s, xq ÞÑ Eτ,x ru ps, X psqqs is continuous whenever the function ps, xq ÞÑ ups, xq belongs to Cb pr0, T s E q, and the martingale problem is well-posed. Proposition 3.7. Suppose that for every pτ, xq P r0, T s E the martingale problem is uniquely solvable. In addition, suppose that there exists λ ¡ 0 such that the operator D1 L is sequentially λ-dominant: see Definition 4.3. Define the map F : P 2 pΩq Ñ r0, T s E by F pPq pτ, xq, where P P P 2 pΩq is such that PpX psq xq 1, for s P r0, τ s. Then F is a homeomorphism from the Polish space P 2 pΩq onto r0, T s E. In fact it follows that for every u P Cb pr0, T s E q and for every s P rτ, T s, the function pτ, s, xq ÞÑ Eτ,x ru ps, X psqqs, 0 ¤ τ ¤ s ¤ T , x P E, is continuous. Here P 2 pΩq : tPτ,x : pτ, xq P r0, T s E u.

Proof. Since the martingale problem is uniquely solvable for every pτ, xq P r0, T s E the map F is a one-to-one map from the Polish space pP 2 pΩq , dL q onto r0, T s E (see Proposition 3.6 and (3.107)). Let for pτ, xq P r0, T s E the probability Pτ,x be the unique solution to the martingale problem: (i)

For every f

P Dp1q pLq the process

f pt, X ptqq f pτ, X pτ qq

»t τ

pD1

Lq f ps, X psqqds,

is a Pτ,µ -martingale; (ii) The Pτ,µ -distribution of X pτ q is the measure µ. If µ write Pτ,δx Pτ,x , and Pτ,x rX pτ q xs 1.

t P rτ, T s,

δx , then we

Then, by definition F pPτ,x q pτ, xq, pτ, xq P r0, T s E. Moreover, since for every pτ, xq P r0, T s E the martingale problem is uniquely solvable we see P 1 pΩq tPτ,µ : pτ, µq P r0, T s P pE qu. Here P pE q is the collection of Borel probability measures on E. This equality of probability spaces can be seen as follows. If the measure Pτ,µ is a solution to the martingale problem, then it is automatically a member of P 1 pΩq. If P is a member of P 1 pΩq which starts at time τ , then by uniqueness of solutions we have:

P A σ pX pτ qq X pτ qx Pτ,x rAs , A P FTτ .

(3.125)

In addition, P Pτ,µ , where µpB q P rX pτ q P B s, B P E. Let pptℓ , xℓ qqℓPN be a sequence in r0, T s E with the property that limℓÑ8 dL pPtℓ ,xℓ , Pτ,x q 0 for some pτ, xq P r0, T s E. Then for some random variable ε

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208

the orbit tps, X psqq : s P pτ ε, τ εqu is totally bounded Ptℓ ,xℓ -almost surely for all tℓ and τ simultaneously. It follows that the sequence txℓ X ptℓ q : ℓ P Nu txu is contained in a compact subset of E. Then limℓÑ8 |vj ptℓ , xℓ q vj pτ, xq| 0, for all j P N, where, as above, the span of the sequence pvj qj ¥2 is Tβ -dense in C pr0, T s E q. It follows that limℓÑ8 ptℓ , xℓ q pt, xq in r0, T s E. Consequently the mapping F is continuous. Since F is a continuous bijective map from one Polish space P 2 pΩq : tPτ,x : pτ, xq P r0, T s E u

(3.126)

onto another such space r0, T s E, its inverse is continuous as well. Among other things this implies that, for every s P Q r0, 8q and for every j ¥ 2, ³ the function pτ, xq ÞÑ vj ps, X psqq dPτ,x belongs to Cb pr0, T s E q. Since the linear span of the sequence pvj : j ¥ 2q is Tβ -dense in Cb pr0, T s E q it also follows that for every v P Cb pr0, T s E q, the function pτ, xq ÞÑ ³ v ps, X psqq dPτ,x belongs to Cb pr0, T s E q. Next let s0 P r0, T s be arbi trary. For every j ¥ 2 and every s P Q r0, T s, s ¡ s0 , we have by the martingale property: sup

pτ,xqPr0,s0 sE

sup

|Eτ,x pvj ps, X psqqq Eτ,x pvj ps0 , X ps0 qqq|

pτ,xqPr0,s0 sE

» s Eτ,x Lvj σ, X σ

¤ ps s0 q }pD1

s0

p

Lq vj }8 .

p

p qqq

dσ

(3.127)

Consequently, for every s P r0, T s, the function pτ, xq ÞÑ Eτ,x rvj ps, X psqqs, j ¥ 1, belongs to Cb pr0, T s E q. It follows that, for every v P Cb pr0, T s E q and every s P r0, T s, the function pτ, xq ÞÑ Eτ,x rv ps, X psqqs belongs to Cb pr0, T s E q. These arguments also show that the function pτ, s, xq ÞÑ Eτ,x rv ps, X psqqs, 0 ¤ τ ¤ s ¤ T , x P E, is continuous for every v P Cb pr0, T s E q. The continuity in the three variables pτ, s, xq requires the sequential λ-dominance of the operator D1 L for some λ ¡ 0. The arguments run as follows. Using the Markov process

tpΩ, FTτ , Pτ,xq , pX ptq, τ ¤ t ¤ T q , p_t : τ ¤ t ¤ T q , pE, E qu (3.128) we define the semigroup tS pρq : ρ ¥ 0u as follows S pρqf pτ, xq P pτ, pρ sq ^ T q f ppρ sq ^ T, q pxq (3.129) Eτ,x rf ppρ sq ^ T, X ppρ sq ^ T qqs . Here pτ, xq P r0, T s E, ρ ¥ 0, and f P Cb pr0, T s E q. Let λ ¡ 0 and f P Cb pr0, T s E q. We want to establish a relationship between the

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209

semigroup tS pρq : ρ ¥ 0u and the operator D1 that the process

L. Therefore we first prove

t ÞÑeλt f pt ^ T, X pt ^ T qq eλτ f pτ, X pτ qq »t

eλρ pλI

D1 Lq f pρ ^ T, X pρ ^ T qq dρ, t ¥ τ, (3.130) is a Pτ,x -martingale with respect to the filtration pFtτ qtPrτ,T s . Let τ ¤ s t ¤ T , and y P E. Then integration by parts shows: τ

eλt f pt, X ptqq eλs f ps, X psqq

»t s

eλt f pt, X ptqq eλs f ps, X psqq »t

eλt pD1 s

Lq f pρ, X pρqq dρ λ

eλρ pλI »t

λ »t s

s

D1 Lq f pρ, X pρqq dρ

eλρ f pρ, X pρqq dρ

(3.131)

eλρ pf pρ, X pρqq f ps, X psqqq dρ.

Then by the martingale property the Ps,y -expectation of the expression in (3.131) is zero. By employing the Markov property we obtain

Eτ,x eλt f pt, X ptqq eλτ f pτ, X pτ qq »t

eλρ pλI D1 Lq f pρ, X pρqq dρ F τ

s

τ

eλs f ps, X psqq eλτ f pτ, X pτ qq »s τ

Eτ,x

eλρ pλI D1 Lq f pρ, X pρqq dρ


»t s

eλρ pλI

D1 Lq f pρ, X pρqq dρ Fsτ

(Markov property)

Es,X psq »t s


eλρ pλI D1 Lq f pρ, X pρqq dρ

0

(3.132)

where in the final step in (3.132) we used the fact that the Ps,y -expectation, y P E, of the expression in (3.131) vanishes. Consequently, the process in

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(3.130) is a Pτ,x -martingale. From the fact that the process in (3.130) is a Pτ,x -martingale we infer by taking expectations that for t ¥ 0 eλpt

τ

»t

q Eτ,x rf ppt

τ

τ

τ q ^ T, X ppt

eλρ Eτ,x rpλI

τ q ^ T qqs eλτ Eτ,x rf pτ, X pτ qqs

D1 Lq f pρ ^ T, X pρ ^ T qqs dρ 0.

(3.133)

The equality in (3.133) is equivalent to Eτ,x rf pτ, X pτ qqs eλt Eτ,x rf ppt

»t

τ

τ

eλpρτ q Eτ,x rpλI

τ q ^ T, X ppt

τ q ^ T qqs

D1 Lq f pρ ^ T, X pρ ^ T qqs dρ 0. (3.134)

In terms of the semigroup tS pρq : ρ ¥ 0u the equality in (3.134) can be rewritten as follows: f pτ, xq eλt S ptqf pτ, xq

»t 0

eλρ S pρq pλI D1 Lq f pτ, xq dρ. (3.135)

By letting t Ñ 8 in (3.135) we see f pτ, xq

»8

eλρ S pρq pλI

D1 Lq f pτ, xq dρ Rpλq pλI D1 Lq f pτ, xq dρ (3.136) where the definition of Rpλq, λ ¡ 0, is self-explanatory. Define the operator Lp1q : D Lp1q RpλqCb pr0, T s E q Ñ Cb pr0, T s E q by Lp1q Rpλqf λRpλqf f , f P Cb pr0, T s E q. Then by definition we see λI Lp1q Rpλqf f , and thus Rpλq λI Lp1q Rpλqf Rpλqf , f P Cb pr0, T s E q. Put g λI Lp1q Rpλqf f . Then by the resolvent identity we see that Rpαqg 0 for all α ¡ 0, and hence S pρqg pτ, xq Eτ,x rg ppρ τ q ^ T, X ppρ τ q ^ T qqs 0 for all ρ ¡ 0. By the right-continuity of the process ρ ÞÑ X pρq, we see that g 0. Consequently, λI Lp1q Rpλqf f 0, f P Cb pr0, T s E q. If f P Dp1q pLq, then (3.136) reads f Rpλq pλI D1 Lq f , and hence f P D Lp1q , p 1q and λI L f pλI D1 Lq f , or what amounts to the same f P D Lp1q , and Lp1q f D1 f Lf . In other words the opera0

tor Lp1q extends D1 L. As in (2.42) define the sub-additive mapping Uλ1 : Cb pr0, T s E, Rq Ñ L8 pr0, T s E, Rq by Uλ1 f

sup

inf

K K E g Dp1q L

P p q P

p q

tg ¥ f 1K : λg D1 g Lg ¥ 0u .

(3.137)

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Since Lp1q extends D1 Uλ1 f

¥

sup

L, from (3.137) we get !

inf

p q

K K E g D Lp1q

P p q P

211

g

¥ f 1K : λg Lp1q g ¥ 0

)

(3.138)

.

Then, as explained in Proposition 2.4, formula (2.49), we have !

sup

pµR pλ

µqqk f ; µ ¡ 0, k

)

P N ¤ Uλ1 pf q,

f

P Cb pr0, T s E, Rq . (3.139)

As is indicated in the proof of (iii) equality also holds: !

ùñ (i) of Theorem 4.3 the following )

(

pµR pλ µqqk f ; µ ¡ 0, k P N sup eλρ S pρqf : ρ ¥ 0 , (3.140) where f P Cb pr0, T s E, Rq. For this observation the reader is referred to the formulas (4.20), (4.21) and (4.22). Next let pfn qnPN Cb pr0, T s E q sup

be a sequence which decreases pointwise to zero. Using the sequential λ-dominance of the operator D1 L and using the equality in (3.139) and the inequality in (3.140) we see that sup eλρ S pρqfn pτ, xq decreases

¥

ρ 0

to zero uniformly on compact subsets of r0, T s E: see Definition (4.3. From Proposition 2.3 it follows that the semigroup eλρ S pρq : ρ ¥ 0 is Tβ -equi-continuous. In addition, by the arguments above, every operator S pρq, ρ ¥ 0, assigns to a function f P Dp1q pLq D pD1 q DpLq a function S pρqf P Cb pr0, T s E q. By the Tβ -continuity of S pρq, and by the fact that Dp1q pLq is Tβ -dense in Cb pr0, T s E q, the mapping S pρq extends to a Tβ -continuous linear continuous operator from Cb pr0, T s E q to itself. This extension is again denoted by S pρq. In addition, for v P Dp1q pLq, the function pτ, ρ, xq ÞÑ S pρqv pτ, xq is continuous on r0, T s r0, 8q E; see (3.127). Fix f P Cb pr0, T s E q. Using the sequential λ-dominance and its ( consequence of Tβ -equi-continuity of the semigroup eλρ S pρq : ρ ¥ 0 we see that the function pτ, s, xq ÞÑ S pρqf pτ, xq is continuous on r0, T sr0, 8q E, and hence the same is true for the function pτ, s, xq ÞÑ Eτ,x rf ps, X psqqs. Here we again used the Tβ -density of Dp1q pLq in Cb pr0, T s E q. This completes the proof of Proposition 3.7. Notice that in the proof of the implication (iii) ùñ (i) of Theorem 4.3 arguments very similar to the ones in the final part of the proof of Proposition 3.7 will be employed. The following corollary establishes an important relation between unique solutions to the martingale problem and Feller semigroups. Corollary 3.2. Suppose that the martingale problem is well posed for the operator D1 L, and that the operator D1 L is sequentially λ-dominant

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for some λ ¡ 0. Let tpΩ, FTτ , Pτ,x q : pτ, xq P r0, T s E u be the solutions to the martingale problem starting at x at time τ . Let the process in (3.128) be the corresponding Markov process, and let the semigroup tS pρq : ρ ¥ 0u, as defined in (3.129), be the corresponding Feller semigroup. Then this semigroup is Tβ -equi-continuous, and its generator extends D1 L. Proof. From Proposition 2.3 it follows that for some λ ¡ 0 the semigroup ( eλρ S pρq : ρ ¥ 0 is Tβ -equi-continuous: see the proof of Proposition 3.7. Since S pρq S pT q for ρ ¥ T , we see that the semigroup tS pρq : ρ ¥ 0u itself is Tβ -equi-continuous. Moreover, it is a Feller semigroup in the sense that it consists of Tβ -continuous linear operators, and Tβ - lim S ptqf S psqf ,

Ñs

f P Cb pr0, T s E q. From the proof of Proposition 3.7 it follows that the generator of the semigroup tS pρq : ρ ¥ 0u extends D1 L. This proves Corollary 3.2. t

The proof of the following proposition may be copied from [Ikeda and Watanabe (1998)], Theorem 5.1. p. 205. For completeness we insert a proof as well. Proposition 3.8. Suppose that for every pτ, xq P r0, T s E the martingale problem, posed on the Skorohod space D r0, T s, E △ as follows, (i)

For every f

P Dp1q pLq the process

f pt, X ptqq f pτ, X pτ qq (ii)

»t τ

pD 1

Lq f ps, X psqqds,

t P rτ, T s,

is a P-martingale; PpX pτ q xq 1,

has a unique solution P Pτ,x . Then the process

tpΩ, FTτ , Pτ,xq , pX ptq, τ ¤ t ¤ T q , p_t : τ ¤ t ¤ T q , pE, E qu ,

(3.141)

is a strong Markov process with respect to the right-continuous filtration Ftτ tPrτ,T s . For the definition of FSτ the reader is referred to (2.97) in Remark 2.8; also see (2.85) in Definition 2.14. Proof. Fix pτ, xq Pr0, T s E and let S be a stopping time and choose a realization A ÞÑ Eτ,x 1A _S FSτ , A P FTτ . Fix any ω P Ω for which

A ÞÑ Qs,y rAs : Eτ,x 1A _S FSτ

pωq,

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213

is defined for all A P FTτ . Here, by definition, ps, y q pS pω q, ω pS pω qqq. Notice that this construction can be performed for Pτ,x -almost all ω. Let f be in Dp1q pLq D pD1 q DpLq and fix T ¥ t2 ¡ t1 ¥ 0. Moreover, fix 1 τ _S C P Ftτ1 . Then _ S pC q is a member of Ft1 _S . Put Mf ptq f pt, X ptqq f pX pτ qq

»t τ

pD1

Lq f ps, X psqqds, t P rτ, T s.

We have Es,y rMf pt2 q1C s Es,y rMf pt1 q1C s . We also have »

f pt2 , X pt2 qq f pτ, X pτ qq

Eτ,x Eτ,x Eτ,x

τ

Lf pX psqqds 1C dQs,y

(3.143)

f pt2 _ S, X pt2 _ S qq f pS, X pS qq

» t2 τ

pD1

Lq f ps _ S, X ps _ S qq ds

p1C _S q

τ F

S

pωq


» t2 _S S

S

pD1

Lq f pX psqq ds

p1C _S q

τ F

S

pωq

Eτ,x

» t2 _S

» t2

(3.142)

pD1

f pt2 _ S, X pt2 _ S qq f pS, X pS qq Lq f ps, X psqq ds

τ F

_

t1 S

1C

_S

τ F

S

pωq.

(3.144)

By Doob’s optional sampling theorem, and right-continuity of paths, the process f pt _ S, X pt _ S qq f pS, X pS qq

» t_S S

pD1

Lq f ps, X psqq ds

is a Pτ,x -martingale with respect to the filtration consisting of the σ-fields Ftτ_S , t P rτ, T s. So from (3.143) we obtain: »


» t2 τ

Lf pX psqqds 1C dQs,y

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214

Eτ,x

MarkovProcesses

»


» t1 _S S

pD1

Lq f ps, X psqq ds


» t1 τ

(3.145)

p1C _S q

τ F

S

pωq

p D1

Lq f ps, X psqqds 1C dQs,y .

It follows that, for f P DpLq, the process Mf ptq is a Ps,y - as well as a Qs,y -martingale. Since Ps,y rX psq y s 1 and since

Qs,y rX psq y s Eτ,x 1tX pS qyu _S FSτ

Eτ,x

1tX pS qyu FSτ

pωq pωq 1tX pSqyupωq 1,

(3.146)

we conclude that the probabilities Ps,y and Qs,y are the same. Equality (3.146) follows, because, by definition, y X pS qpω q ω pS pω qq. Since Ps,y Qs,y , it then follows that

PS pωq,X pS qpωq rAs Eτ,x 1A _S FSτ

pωq,

A P FTτ .

Or putting it differently:

PS,X pS q r1A _S s Eτ,x 1A _S FSτ

,

A P FTτ .

However this is exactly the strong Markov property. This concludes the proof of Proposition 3.8.

(3.147)

The following proposition can be proved in the same manner as Theorem 5.1 Corollary in [Ikeda and Watanabe (1998)], p. 206. Proposition 3.9. If an operator family L tLpsq : 0 ¤ s ¤ T u generates a Feller evolution tP ps, tq : 0 ¤ s ¤ t ¤ T u, then the martingale problem is uniquely solvable for L. Proof. Let tP pτ, tq : 0 ¤ τ L and let

¤ t ¤ T u be a Feller evolution generated by

tpΩ, FTτ , Pτ,xq , pX ptq, τ ¤ t ¤ T q , p_t : τ ¤ t ¤ T q , pE, E qu ,

(3.148)

be the associated strong Markov process (see Theorem 2.9) If f belongs to Dp1q pLq, then the process Mf ptq : f pt, X ptqq f pτ, X pτ qq

»t τ

pD1

Lq f ps, X psqqds,

t P rτ, T s,

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is a Pτ,x -martingale for all pτ, xq Fix T ¥ t2 ¡ t1 ¥ 0. Then

P r0, T s E.

Mf pt1 q »t f pt2 , X pt2 qq p D1

Lq f pX psqqds Ftτ1

2

t1

(Markov property)

Et ,X pt q f pt2 , X pt2 qq 1

» t2

1

Et ,X pt q rf pt2 , X pt2qqs f pt1 , X pt1 qq 1

This can be seen as follows.

Eτ,x Mf pt2 q Ftτ1

Eτ,x

215

t1 » t2

1

t1

pD1

Lq f ps, X psqqds

Et1 ,X pt1 q rpD1

f pt1 , X pt1 qq

f pt1 , X pt1qq

Lq f ps, X psqqs ds

(see Proposition 4.1 in Chapter 4)

Et ,X pt q rf pt2 , X pt2qqs 0. 1

» t2

1

t1

d Et ,X pt1 q rf ps, X psqqs ds f pt1 , X pt1 qq ds 1 (3.149)

Hence from (3.149) it follows that the process Mf ptq, t ¥ 0, is a Pτ,x martingale. Next we shall prove the uniqueness of the solutions of the martingale problem associated to the operator L. Let P1τ,x and P2τ,x be solutions “starting” in x P E at time τ . We have to show that these probabilities coincide. Let f belong to Dp1q pLq and let S : Ω Ñ rτ, T s be an Ftτ tPrτ,T s -stopping time. Then, via partial integration, we infer λ

»8 0

#

eλt f ppt

λ λ

»t

S

S

»8 0

λ

+

Lq f pρ ^ T, X pρ ^ T qq dρ f pS, X pS qq dt

#

S

S

0

S q ^ T qq

eλt f ppt S q ^ T, X ppt

»t »8

pD1

S q ^ T, X ppt

pD1

0

eλt

S q ^ T qq +

Lq f pρ ^ T, X pρ ^ T qq dρ dt

eλt f ppt

»8

f pS, X pS qq

»t 0

S q ^ S, X ppt

pD1

Lq f ppt

S q ^ T qq dt S q ^ T, X ppρ

S q ^ T qq dρ dt

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216

λ

»8

λ

» 8 » 8

eλt dt

eλt rpλI

0

S q ^ T, X ppt

ρ

0

»8

eλt f ppt

0

pD1

S q ^ T qq dt

Lq f ppρ

D1 Lqf s ppt

S q ^ T, X ppρ

S q ^ T, X ppt

S q ^ T qq dρ

S q ^ T qq dt. (3.150)

From Doob’s optional sampling theorem together with (3.150) we obtain: »8

eλt E1τ,x

0

λ

»8

pλI D1 Lq f ppt

eλt E1τ,x

#

f ppt

0

»t S

S

pD1

S q ^ T, X ppt

S q ^ T, X ppt

T q ^ T qq FSτ

dt

S q ^ T qq

Lq f pρ ^ T, X pρ ^ T qq dρ f pS, X pS qq

+

τ FS

dt

f pS, X pS qq

f pS, X pS qq ,

P1τ,x -almost surely.

By the same token we also have λ

»8

eλt E2τ,x

#

f ppt

0

»t

»8 0

S

S

p D1

(3.151)

P2τ,x -almost

S q ^ T, X ppt

surely

S q ^ T qq

Lq f pρ ^ T, X pρ ^ T qq dρ f pS, X pS qq

f pS, X pS qq

eλt E2τ,x

pλI D1 Lq f ppt

S q ^ T, X ppt

+

τ FS

dt

S q ^ T qq FSτ

dt.

(3.152) As in (3.84), (3.129) and (4.5) in Chapter 4 we write: S pρqf pt, xq P pt, pρ

tq ^ T q f ppρ

tq ^ T, q pxq,

f

P Cb pr0, T s E q ,

ρ ¥ 0, pt, xq P r0, T s E. Then the family tS pρq : ρ ¥ 0u is a Tβ -continuous semigroup. Its resolvent is given by

rRpλqf s pτ, xq

»8 0

»8 0

eλt rP pτ, pτ

tq ^ T q f ppτ

eλt S ptqf pτ, xqdt,

tq ^ T, qs pxqdt (3.153)

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for x P E, λ ¡ 0, and f P Cb pr0, T s E q. Let Lp1q be its generator. Then, as will be shown in Theorem 4.1 below, Lp1q is the Tβ -closure of D1 L, and

λI Lp1q Rpλqf

Rpλq λI

Lp1q

f, f f,

P Cb pr0, T s E q , f P D Lp1q . f

(3.154)

Since Lp1q is the Tβ -closure of D1 L, the equalities in (3.151) and (3.152) also hold for Lp1q instead of D1 L. Among other things we see that

R λI

Lp1q Cb pr0, T s E q ,

λ ¡ 0.

From (3.151) and (3.152), with Lp1q instead of D1 L, (3.153), and (3.154) it then follows that for g P Cb pr0, T s E q we have »8 0

eλt E1τ,x g ppt

»8 0

»8 0

S q ^ T, X ppt

T q ^ T qq FSτ

dt

eλt rS ptqg s pS, X pS qq dt

eλt E2τ,x g ppt

S q ^ T, X ppt

T q ^ T qq FSτ

dt. (3.155)

Here the first equality in (3.155) holds P1τ,x -almost surely, and the second one holds P2τ,x -almost surely. Since Laplace transforms are unique, g belongs to Cb pr0, T s E q, and paths are right continuous, we conclude

E1τ,x g ppt

S q ^ T, X ppt

S q ^ T qq FSτ

rS ptqgs pS, X pS qq E2τ,x g ppt S q ^ T, X ppt S q ^ T qq FSτ , whenever g belongs to Cb pr0, T s E q, t P r0, 8s and S is an

(3.156)

Ftτ tPrτ,T s stopping time. The first equality in (3.156) holds P1τ,x -almost surely and the second P2τ,x -almost surely. In (3.156) we take for S a fixed time s P rτ, T ts and we substitute ρ t s. Then we get

E1τ,x g ppρ, X pρqqq Fsτ

For s τ the equalities in (3.157) imply

E1τ,x g ppρ, X pρqqq Fττ

rS pρsqgs ps, X psqq E2τ,x g pρ, X pρqq Fsτ

. (3.157)

rS pρτ qgs pτ, X pτ qq E2τ,x g pρ, X pρqq Fττ

(3.158) and by taking expectations in (3.158) we get E1τ,x rg ppρ, X pρqqqs rS pρ τ qg s pτ, xq E2τ,x rg pρ, X pρqqs

(3.159)

,

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218

where we used the fact that X pτ q x P1τ,x - and P2τ,x -almost surely. It follows that the one-dimensional distributions of P1τ,x and P2τ,x coincide. By induction with respect to n and using (3.157) several times we obtain: E1τ,x

¹n

j 1

fj ptj , X ptj qq

E2τ,x

¹n

j 1

fj ptj , X ptj qq

(3.160)

for n 1, 2, . . . and for f1 , . . . , fn in Cb pr0, T s E q. But then the probabilities P1τ,x and P2τ,x are the same. This proves Proposition 3.9. The following proposition establishes a close link between unique solutions to the martingale problem and generators of strong Markov processes. Proposition 3.10. Let L be a densely defined operator for which the martingale problem is uniquely solvable. Then there exists a unique closed linear extension L0 of L, which is the generator of a Feller semigroup. Proof. Put

Existence. Let tPτ,x : pτ, xq

P r0, T s E u be the solution for L.

rS ptqf s pτ, xq Eτ,x rf ppτ tq ^ T, X ppτ tq ^ T qqs , »8 rRpλqf s pτ, xq eλs rS psqf s pτ, xqds, 0 L0 pRpλqf q : λRpλqf f, f P Cb pr0, T s E q . Here t P r0, T s and λ ¡ 0 are fixed. Then, as follows from the proof of

Theorem 4.1 the operator L0 extends D1 L and generates a Tβ -continuous Feller semigroup. Uniqueness. Let L1 and L2 be closed linear extensions of L, which both generate Feller evolutions. Let

(

(

Ω, FTτ , P1τ,x , pX ptq : t P r0, T sq, p_t : t P r0, T sq, pE, E q respectively

Ω, FTτ , P2τ,x , pX ptq : t P r0, T sq, p_t : t P r0, T sq, pE, E q be the corresponding Markov processes. For every f f pt, X ptqq f pτ, X pτ qq

»t τ

pD 1

P DpLq, the process

Lq f ps, X psqqds,

t ¥ 0,

is a martingale with respect to P1τ,x as well as with respect to P2τ,x . Uniqueness implies P1τ,x P2τ,x and hence L1 L2 . So the proof of Proposition 3.10 is now complete.

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Proof. [Proof of Theorem 2.12: conclusion.] In this final part of the proof we mainly collect the results, which we proved in Theorem 2.9, and Propositions 3.6, 3.7, 3.2, 3.8, 3.9, and 3.10. The main work we have to do is to organize these matters into a proof of Theorem 2.12. More details follow. As in (3.126) let P 2 pΩq tPτ,x : pτ, xq P r0, T s E u, be the collection of unique solutions to the martingale problem. Then the process !

)

pΩ, FTτ , Pτ,xqpτ,xqPr0,T sE , pX ptq, t P r0, T sq , p_t : t P r0, T sq , pE, E q is strong Markov process, and the function P pτ, x; t, B q defined by P pτ, x; t, B q Pτ,x rX ptq P B s , 0 ¤ τ ¤ t ¤ T, x P E, B P E, is a Feller evolution. Here the state variables X ptq : Ω Ñ E △ are defined △ by X ptq ω ptq, ω P Ω D r0, T s, E . The sample path space is supplied with the standard filtration pFtτ qτ ¤t¤T . The strong Markov property

follows from Proposition 3.8. The Feller property is a consequence of Proposition 3.7 (which in turn is based on Proposition 3.6 where completeness and separability of the space P 2 pΩq is heavily used). Its Tβ -continuity and Tβ equi-continuity is explained in Corollary 3.2 to Proposition 3.8. Define the Feller semigroup tS pρq : ρ ¥ 0u on Cb pr0, T s E q as in (3.129), and let Lp1q be its generator. From Corollary 3.2 we see that Lp1q extends the operator D1 L. Since the martingale problem is uniquely solvable for the operator L, it follows that the martingale problem is uniquely solvable for the operator Lp1q (but now as a time-homogeneous martingale problem). Therefore, Proposition 3.9 implies that the operator Lp1q is the unique extension of D1 L which generates a Feller semigroup. It follows that Lp1q D1 is the unique Tβ -extension of L which generates a Feller evolution. This Feller evolution is given by the original solution to the martingale problem: this claim follows from Theorem 2.9. Finally, this completes the proof of Theorem 2.12. 3.1.5


In this subsection we will show that under certain conditions, like possessing the Korovkin property, satisfying the maximum principle, and Tβ -equicontinuity a Tβ -densely defined operator in Cb pE q has a unique extension which generates a (strong) Markov process. Proof. [Proof of Theorem 2.13.] Let E0 be a subset of r0, T s E which is Polish for the relative topology. First suppose that the operator D1 L possesses the Korovkin property on E0 . Also suppose that it satisfies the

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maximum principle on E0 . By Proposition 4.4 and its Corollary 4.2 there exists a family of linear operators tRpλq : λ ¡ 0u such that for all pτ0 , x0 q P E0 and g P Cb pE0 q the following equalities hold: λRpλqg pτ0 , x0 q

hPDinf max p q pLq pτ,xqPE 1

hPDinf p q pLq

"

0

h pτ0 , x0 q

h pτ0 , x0 q :

1

"

"

sup h pτ0 , x0 q : hPDp1q pLq "

sup

P

min

p q pτ,xqPE0

h Dp1q L

g I

1 p D1 λ

I

λ1 pD1

Lq h ¥ g

I

λ1 pD1

Lq h ¤ g

h pτ0 , x0 q

Lq h

*

on E0 *

g I

1 p D1 λ

*

pτ, xq

on E0

Lq h

*

pτ, xq

.

(3.161)

As will be shown in Proposition 4.4 the family tRpλq : λ ¡ 0u has the resolvent property: Rpλq Rpµq pλ µq RpµqRpλq, λ ¡ 0, µ ¡ 0. It also follows that Rpλq pλI D1 Lq f f on E0 for f P Dp1q pLq. This equality is an easy consequence of the inequalities in (3.161): see Corollary 4.2. Fix λ ¡ 0 and f P Cb pr0, T s E q. We will prove that f Tβ - lim αRpαqf . If

Ñ8

Rpλqg, g P Cb pE0 q, then by the resolvent property we α

f is of the form f have αRpαqf

pαqg . f αRpαqRpλqg Rpλqg α α λ Rpλqg Rpλqg αR αλ

(3.162)

Since }αRpαqg }8

¤ }g}8 , the equality in (3.162) yields }}8 - αlim Ñ8 αRpαqf f 0 for f of the form f Rpλqg, g P Cb pE0 q. Since g Rpλq pλI D1 Lq g on E0 , g P Dp1q pLq, it follows that £ lim }αRpαqg g }8 0 for g P Dp1q pLq D pD1 q DpLq. (3.163) αÑ8 As will be proved in Corollary 4.3 there exists λ0 ¡ 0 such that the family tλRpλq : λ ¥ λ0 u is Tβ -equi-continuous. Hence for u P H pE0 q there exists v P H pE0 q that for α ¥ λ0 we have }uαRpαqg}8 ¤ }vg}8 , g P Cb pE0 q . (3.164) Fix ε ¡ 0, and choose for f P Cb pE0 q and u P H pE0 q given g P Dp1q pLq in such a way that

}upf gq}8 }vpf gq}8 ¤ 23 ε.

(3.165)

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Since DpLq is Tβ -dense in Cb pr0, T s E q such a choice of g is possible by. The inequality (3.165) and the identity αRpαqf

f αRpαqpf gq pf gq αRpαqg g yield }u pαRpαqf f q}8 ¤ }u pαRpαqpf gqq}8 }upf gq}8 }uαRpαqg g}8 ¤ }vpf gq}8 }upf gq}8 }uαRpαqg g}8 ¤ 23 ε }u pαRpαqg gq}8 . (3.166) From (3.163) and (3.166) we infer Tβ - lim αRpαqf f , f P Cb pE0 q. Of αÑ8 course the same arguments apply if E0 r0, T sE. The detailed arguments which prove the fact that the operator D1 L, confined to E0 , extends to the unique generator of a Feller semigroup are found in the proof of Theorem 4.4. Let E0 r0, T s E01 where E01 is a Polish subspace of E. Let E0 and E01 be the Borel field of E0 respectively E01 . We still have to show that the martingale problem for the operator L restricted to E0 is well posed. Saying that the martingale is well posed for LæE0 is the same as saying that the martingale problem is well posed for the operator pD1 Lq æE0 . More precisely, if !

pΩ, FTτ , Pτ,xqpτ,xqPE , pX ptq, t P r0, T sq , 0

E01 , E01

)

(3.167)

is a solution to the martingale problem associated to LæE0 , then the timehomogeneous family "

r F r, Pp0q Ω, τ,x

pτ,xqPE0

, pY ptq, t ¥ 0q , pE0 , E0 q

*

(3.168)

is a solution to the martingale problem associated with pD1 Lq æE0 . Here r r0, T s Ω, Y ptqpτ, ω q ppτ tq ^ T, X ppτ tq ^ T qq, pτ, ω q P r0, T s Ω 0q r and the measure Ppτ,x Ω Ω, is determined by the equality Ep0q

τ,x

n ¹

fj pY ptj qq

Eτ,x

j 1

n ¹

fj ppτ

tj q ^ T, X ppτ

tj q ^ T qq

j 1

(3.169) where the functions fj , 1 ¤ j ¤ n, are bounded Borel measurable functions p0q on E0 , and where 0 ¤ t1 tn . Conversely, if the measures Pτ,x in (3.168) are known, then those in (3.167) are also determined by (3.169):

Eτ,x

n ¹

j 1

fj ptj , X ptj qq

0q Epτ,x

n ¹

j 1

fj pY ptj

τ qq

(3.170)

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where the functions fj , 1 ¤ j ¤ n, are again bounded Borel measurable functions on E0 , and where τ ¤ t1 tn ¤ T . In fact in (3.170) the functions fj , 1 ¤ j ¤ n, only need to be defined on E0 . It follows that instead of considering the time-inhomogeneous martingale problem associated with LæE0 we may consider the time-homogeneous martingale problem associated with pD1 Lq æE0 . However, the martingale problem for the time-homogeneous case is taken care of in the final part of Theorem 4.4. So combining the above observations with Theorem 4.4 completes the proof of Theorem 2.13. Remark 3.1. It is left as an exercise for the reader to prove that the process in (3.5) is a supermartingale indeed. Remark 3.2. Let pψm qmPN be a sequence in Cb prτ, T s E q which decreases pointwise to the zero function. Since the orbit !

)

r ptq : t P rτ, T s t, X

is Pτ,x -almost surely compact, or, equivalently, totally bounded, we know that

r pt q inf sup ψm t, X

P Pr

m N t τ,T

3.1.6

s

0,


Some historical remarks

The Lévy numbers in (3.106) are closely related to the Lévy metric, which in turn is related to approach structures. The definition of Lévy metric and Lévy-Prohorov metric can be found in Encyclopaedia of Mathematics, edited by Hazewinkel [Hazewinkel (2001)]. Lévy numbers could also have called tightness numbers. In the area of convergence of measures the Encyclopaedia contains contributions by V. M. Zolotarev. In fact special sections are devoted to the Lévy metric, the Lévy-Prokhorov metric, and related topics like convergence of probability measures on complete metrizable spaces. The Lévy metric goes back to Lévy: see [Lévy (1937)]. The Lévy-Prohorov metric generalizes the Lévy metric, and has its origin in Prohorov [Prohorov (1956)]. Whereas in [van Casteren (1992)] we used only the first term in the distance dL of formula (3.107) this is not adequate in the non-compact case. The reason for this is that the second term in the right-hand side of the definition of the metric dL pP2 , P1 q in (3.107) ensures us that the limiting “functionals” are probability measures indeed.

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Here we use a concept which, for distribution functions, is due to Lévy. For probability measures on a metric space the corresponding metric originates from Prohorov. This metric is often called the Lévy-Prohorov metric. For completeness we insert the definition of the latter metric. Definition 3.2. Let pE, dq be a metric space with its Borel sigma field E. Let P pE q denote the collection of all probability measures on the measurable space pE, E q. For a subset A E, define the ε-neighborhood of A by Aε : tx P E : there exists y

P A such that dpx, yq εu

¤

P

B py, εq

y A

where B py, εq is the open ball of radius ε centered at y. The Lévy-Prohorov metric dLP : P pE q2 Ñ r0, 8q is defined by setting the distance between two probability measures µ and ν as dLP pµ, ν q

inf tε ¡ 0 : µpAq ¤ ν pA q ε

ε and ν pAq ¤ µ pA

ε

q

(3.171)

ε for all A P E u .

For probability measures µ and ν we clearly have dLP pµ, ν q inf tε ¡ 0 : µpAq ¤ ν pAε q

ε, for all A P E u ¤ 1.

(3.172)

Some authors omit one of the two inequalities or choose only open or closed subsets A; either inequality implies the other, but restricting to open or closed sets changes the metric as defined in (3.171). The Lévy-Prohorov metric is also called the Prohorov metric. The interested reader should compare the definition of Lévy-Prohorov metric with that of approach structure as exhibited in e.g. [Lowen (1997)]. When discussing convergence of measures and constructing appropriate metrics the reader is also referred to [Billingsley (1999)], [Parthasarathy (2005)], [Rachev (1991)], [Zolotarev (1983)], and others like Bickel, Klaassen, Ritov and Wellner in [Bickel et al. (1993)], appendices A6–A9. A book which uses the notion of Korovkin set to a great extent is [Altomare and Campiti (1994)]. For applications of Korovkin sets to ergodic theory see e.g. [Marsden and Riemenschneider (1974)], [Nishishiraho (1998)], [Labsker (1982)], Chapter 7 and 8 in [Donner (1982)], and [Krengel (1985)]. Another book of interest is [Bergelson et al. (1996)] edited by Bergelson, March and Rosenblatt. For the convergence results we also refer to the original book by Korovkin [Korovkin (1960)]. The reader also might want to consult (the references in) Bukhalov [Bukhvalov (1988)]. In the terminology of test sets, or Korovkin sets, our space Dp1q D pD1 q D pLq in Cb pr0, T s E q is a Korovkin set for the

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1

resolvent family pλI D1 Lq , λ ¡ 0. From the proof of Theorem 2.13 it follows that we only need the Korovkin property for some fixed λ0 ¡ 0: see the definitions 4.4 and 2.12. In the finite-dimensional setting these Ko¨ ¨ rovkin sets may be relatively small: see e.g. Ozarslan and Duman [Ozarslan and Duman (2007)]. Section 5.2 in the recent book on functional analysis by Dzung Minh Ha [Ha (2007)] carries the title “Korovkin’s theorem and the Weierstrass approximation theorem”. 3.1.7

Kolmogorov extension theorem

In this subsection we present the Kolmogorov extension (or existence) theorem for Polish spaces. It reads as follows. Let tEt : t P T u be a family of Polish spaces equipped with their Borel σ-field Et . We identify each ± EF with the collection EpF of F -cylinder sets in ET tPT Et . That is, ± ErF consists of all sets of the form A tPT zF Et , where A belongs to EF . By definition the product) σ-field btPT Et is the σ-field generated by ! EpF : F is a finite subset of T . Define PpF on EpF by

PpF A

¹

P z

Et PF pAq,

A P EF .

t T F

Regard the family of finite subsets of T as a net( directed upward by in clusion. The family E F , EF , PF : F T finite is called (Kolmogorov) consistent if for every t0 P T and for finite every finite subset F T the equality PF tt0 u rA Et0 s PF rAs for all Borel subsets A P EF . Moreover, it is implicitly assumed that Ptσp1q ,...,tσpnq Aσp1q , . . . , Aσpnq Pt1 ,...,tn rA1 , . . . , An s, Aj P Etj , 1 ¤ j ¤ n, whenever tt1 , . . . , tn u is a subset of n elements of T , and whenever σ is a permutation on n elements. The consistency property is equivalent to saying that the probability measures PpF and PpF 1 coincide on EpF whenever F is a subset of the finite subset F 1 of T . Consistent families of probability spaces are also called projective systems of probability measures or cylindrical measures. Theorem 3.1. Let tEt : t P T u be a family of Polish spaces equipped with their Borel σ-field Et . For each finite subset F of T let PF be a Borel ± probability measure on EF! tPF Et with its product (Borel) σ-field EF . )

Assume the distributions PpF : F T, F finite are Kolmogorov consistent. Then there is a unique probability measure on the infinite product σ-field ET btPT Et that extends each measure PpF .

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A proof of this result can be found in a course text by Kim C. Border [Border (1998)]. An important tool which is a basic ingredient of the proof is the inner regularity of the measures Pt Pttu , t P T . Since for every t P T the space Et is Polish the measure Pt is inner regular in the sense that Pt rAs supK A, K compact Pt rK s for all A P Et . For this result the reader may consult [Aliprantis and Border (1994)], Theorem 11.20. In fact Theorem 3.1 is also true if the spaces Et , t P T , are merely topological Hausdorff spaces and the measures Pt are inner regular. In addition, the text by Border contains an example of a situation where Kolmogorov’s extension theorem does not hold. The example is due to Andersen and Jessen [Andersen and Jessen (1948)]; for related topics see Dudley [Dudley (2002)].


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Chapter 4

Space-time operators and miscellaneous topics

In this chapter we discuss a number of issues related to time dependent Markov processes. Topics include space-time operators, dissipative operators, continuity of sample paths, measurability properties of hitting times. Another feature of the present chapter is the fact that to a Feller propagator on Cb pE q we can associate a Feller semigroup in the space Cb pr0, T s E q: see formula (4.5).

4.1

Space-time operators

In this section we will discuss in more detail the generators of the time-space Markov process (see (2.76):

tpΩ, FTτ , Pτ,xq , pX ptq : T ¥ t ¥ τ q , p_t : τ ¤ t ¤ T q , pE, E qu .

(4.1)

In Definition 2.7 we have introduced the family of generators of the corresponding Feller evolution tP pτ, tq : 0 ¤ τ ¤ t ¤ T u given by P pτ, tq f pxq Eτ,x rf pX ptqqs, f P Cb pE q. In fact for any fixed t P r0, T s we will consider the Feller evolution as an operator from Cb pr0, T s E q to Cb pr0, ts E q. This is done in the following manner. To a function f P Cb pr0, T s E q our Feller evolution assigns the function pτ, xq ÞÑ P pτ, tq f pt, q pxq. We will also consider the family of operators L : tLptq : t P r0, T qu as defined in Definition 2.7, and which is considered as a linear operator which acts on a subspace of Cb pr0, T s E q. It is called the (infinitesimal) generator of the P ps, tqf f Feller evolution tP ps, tq : 0 ¤ s ¤ t ¤ T u, if Lpsqf Tβ -lim , tÓs ts 0 ¤ s ¤ T . This means that a function f belongs to D pLpsqq whenP ps, tqf f ever Lpsqf : lim exists in Cb pE q, equipped with the strict tÓs ts topology. As explained earlier, such a family of operators is considered 227

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as an operator L with domain in the space Cb pr0, T s E q. A function f P Cb pr0, T s E q is said to belong to DpLq if for every s P r0, T s the function x ÞÑ f ps, xq is a member of DpLpsqq and if the function ps, xq ÞÑ Lpsqf ps, q pxq belongs to Cb pE q. Instead of Lpsqf ps, q pxq we often write Lpsqf ps, xq. If a function f P DpLq is such that the function s ÞÑ f ps, xq is differentiable, then we say that f belongs to Dp1q pLq. We will show that such a generator also generates the corresponding Markov process in the sense of Definition 2.8. For convenience of the reader we repeat here the defining property. A family of operators L : tLpsq : 0 ¤ s ¤ T u, is said to generate a time-inhomogeneous Markov process, as described in (2.76), if for all functions u P DpLq, for all x P E, and for all pairs pτ, sq with 0 ¤ τ ¤ s ¤ T the following equality holds: d Eτ,x ru ps, X psqqs Eτ,x ds

Bu ps, xq Bs

Lpsqu ps, q pX psqq .

(4.2)

Our first result says that generators of Markov processes and the corresponding Feller evolutions coincide. Proposition 4.1. Let the Markov process in (4.1) and the Feller evolution tP pτ, tq : 0 ¤ τ ¤ t ¤ T u be related by P pτ, tq f pxq Eτ,x rf pX ptqqs, f P Cb pE q. Let L tLpsq : 0 ¤ s ¤ T u be a family of linear operators with domain and range in Cb pE q. If L is a generator of the Feller evolution, then it also generates the corresponding Markov process. Conversely, if L generates a Markov process, then it also generates the corresponding Feller evolution. Proof. First suppose that the Feller evolution tP pτ, tq : 0 ¤ τ ¤ t ¤ T u is generated by the family L. Let the function f belong to the domain of L and suppose that D1 f is continuous on r0, T s E. Then we have

B f Eτ,x Bs ps, X psqq Lpsqf ps, q pX psqq P pτ, sq BBfs ps, q pxq P pτ, sq Lpsqf ps, q pxq B P ps, s hq f ps, q f ps, q f P pτ, sq Bs ps, q pxq P pτ, sq lim pxq hÓ0 h P ps, s hq f ps, q f ps, q P pτ, sq BBfs ps, q pxq lim P pτ, sq pxq hÓ0 h P pτ, s hq f ps, q P pτ, sq f ps, q pxq P pτ, sq BBfs ps, q pxq lim hÓ0 h

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f f ps h, q f ps, q B P pτ, s hq pxq P pτ, sq Bs ps, q pxq lim hÓ0 h P pτ, s hq f ps h, q P pτ, sq f ps, q lim pxq.

Ó

h

h 0

P pτ, sq BBfs ps, q pxq P pτ, sq BBfs ps, q pxq Eτ,x rf ps h, X ps hqqs Eτ,x rf ps, X psqqs lim Ó

h

h 0

dsd Es,X psq rf ps, X psqqs .

(4.3)

In (4.3) we used the fact that the function D1 f is continuous and its conf ps h, y q f ps, y q sequence that lim converges uniformly for y in comhÓ0 h pact subsets of E. We also used the fact that the family of operators tP pτ, tq : t P rτ, T su is equi-continuous for the strict topology. In the second part we have to show that a generator L of a Feller process (4.1) also generates the corresponding Feller evolution. Therefore we fix s P r0, T s and take f P DpLpsqq Cb pE q. Using the fact that L generates the Markov process in (4.1) we infer for h P p0, T sq: d P ps, s hqf pxq f pxq lim P ps, s hq h0 hÓ0 h dh d dh Es,x rf pX ps hqqs h0 Es,x rLpsqf pX psqqs Lpsqf pxq. (4.4) This completes the proof of Proposition 4.1

To such a Feller evolution tP pτ, tq : 0 ¤ τ ¤ t ¤ T u we may also associate a semigroup of operators S pρq acting on the space Cb pr0, T s E q and the corresponding resolvent family tRpαq : ℜα ¡ 0u. The semigroup tS pρq : ρ ¥ 0u is defined by the formula: S pρqf pt, xq P pt, pρ

tq ^ T q f ppρ

tq ^ T, q pxq

(4.5) Et,x rf ppρ tq ^ T, X ppρ tq ^ T qqs , f P Cb pr0, T s E q, pt, xq P r0, T s E. Notice that the operator S pρq does not leave the space Cb pE q invariant: i.e. a function of the form ps, y q ÞÑ f py q, f P Cb pE q, will be mapped to function S pρqf P Cb pr0, T s E q which really depends on the time variable. Then the resolvent operator Rpαq which also acts as an operator on the space of bounded continuous functions on space-time space Cb pr0, T s E q is given by Rpαqf pt, xq

»8 t

eαpρtq P pt, ρ ^ T q f pρ ^ T, q pxqdρ

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»8 0

»8 0

eαρ P pt, pρ

tq ^ T q f ppρ

tq ^ T, q pxqdρ

eαρ S pρqf pt, xq dρ » 8

eαρ f ppρ

Et,x tq ^ T, X ppρ tq ^ T qq dρ , (4.6) 0 f P Cb pr0, T s E q, pt, xq P r0, T s E. In order to prove that the family tRpαq : ℜα ¡ 0u is a resolvent family indeed it suffices to establish that the family tS pρq : ρ ¥ 0u is a semigroup. Let f P Cb pr0, T s E q and fix 0 ¤ ρ1 , ρ2 8. Then this fact is a consequence of the following identities: S pρ1 q S pρ2 q f pt, xq P pt, pρ1 tq ^ T q ry ÞÑ S pρ2 q f ppρ1 tq ^ T, yqs pxq P pt, pρ1 tq ^ T q ry ÞÑ P ppρ1 tq ^ T, pρ2 ρ1 tq ^ T q f ppρ2 ρ1 tq ^ T, yqs pxq (use evolution property)

P pt, pρ2 ρ1 tq ^ T q f ppρ2 ρ1 tq ^ T, q pxq S pρ2 ρ1 q f pt, xq. (4.7) p 1q Let D1 : Cb r0, T s Ñ Cb pr0, T sq be the time derivative operator. Then the space-time operator D1

pD1

L defined by

Lq f pt, xq D1 f pt, xq

Lptqf pt, q pxq,

f

P D pD1

Lq ,

turns out to be the generator of the semigroup tS pρq : ρ ¥ 0u. We also observe that once the semigroup tS pρq : ρ ¥ 0u is known, the Feller evolution tP pτ, tq : 0 ¤ τ ¤ t ¤ T u can be recovered by the formula: P pτ, tq f pxq S pt τ q f pτ, xq,

f

P Cb pE q,

(4.8)

where at the right-hand side of (4.8) the function f is considered as the function in Cb pr0, T s E q given by ps, y q ÞÑ f py q. The following theorem elaborates on these concepts. Theorem 4.1. Let tP pτ, tq : 0 ¤ τ ¤ t ¤ T u be a Feller propagator. Define the corresponding Tβ -continuous semigroup tS pρq : ρ ¥ 0u as in (4.5). Define the resolvent family tRpαq : α ¡ 0u as in (4.6). Let Lp1q be its generator. Then αI Lp1q Rpαqf f , f P Cb pr0, T s E q, Rpαq αI Lp1q f f , f P D Lp1q , and Lp1q extends D1 L. Conversely, if the operator Lp1q is defined by Lp1q Rpαqf αRpαqf f , f P Cb pr0, T s E q, then Lp1q generates the semigroup tS pρq : ρ ¥ 0u, and Lp1q extends the operator D1 L.

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By definition we know that

Proof.

Lp1q f

1 Tβ - lim pS ptq S p0qq f , tÓ0 t

f

PD

Lp1q .

(4.9)

Here D Lp1q is the subspace of those f P Cb pr0, T s E q for which the limit in (4.9) exists. Fix f P Cb pr0, T s E q, and α ¡ 0. Then I eαt S ptq

»8 0

»8 0

»8 0

eαρ S pρqf dρ

eαρ S pρqf dρ eαρ S pρqf dρ

»8

eαρ eαpt

0

»8 t

q S ptq S pρq f dρ

ρ

eαρ S pρqf dρ

»t 0

eαρ S pρqf dρ.

From (4.10) it follows that Rpαqf P D Lp1q , and that αI f . Conversely, let f P D Lp1q . Then we have

Rpαq αf

1 Lp1qf RpαqTβ - lim tÓ0 t

1 Tβ - lim Rpαqf Rpαqeαt S ptqf tÓ0 t

f

eαt S ptqf

dρ Tβ - lim

1 t

Ó

t 0

(4.10)

Lp1q Rpαqf

dρ »t 0

eαρ S pρqf dρ f. (4.11)

The first part of Theorem 4.1 follows from (4.10) and (4.11). In order to show that Lp1q extends D1 L we recall the definition of generator of a P ps, tqf f Feller evolution as given in Definition 2.7: Lpsqf Tβ -lim . So tÓs ts that if f P Dp1q pLq, then f P D Lp1q , and Lp1q f D1 f Lf . Recall that Lf ps, xq Lpsqf ps, q pxq. Next, if the operator L0 is defined by L0 Rpαqf αRpαqf f , f P Cb pr0, T s E q. Then necessarily we have L0 Lp1q , and hence L0 generates the semigroup tS pρq : ρ ¥ 0u. Altogether this proves Theorem 4.1. In the next theorem we establish a version of the Lumer-Phillips theorem: see [Lumer and Phillips (1961)], and Theorem 11.22 in [Renardy and Rogers (2004)]. Theorem 4.2. Let L be a linear operator with domain DpLq and range RpLq in Cb pE q. The following assertions are equivalent: (i) The operator L is Tβ -closable and its Tβ -closure generates a Feller semigroup.

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(ii) The operator L verifies the maximum principle, its domain DpLq is Tβ -dense in Cb pE q, it is Tβ -dissipative and sequentially λ-dominant for some λ ¡ 0, and there exists λ0 ¡ 0 such that the range R pλ0 I Lq is Tβ -dense in Cb pE q. In the definitions 4.1 – 4.3 the notions of maximum principle, dissipativity, and sequential λ-dominance are explained. In the proof we will employ the results of Proposition 2.4. Definition 4.1. An operator L with domain and range in Cb pE q is said to satisfy the maximum principle, if for every f P D pLq there exists a sequence pxn qnPN E with the following properties: lim ℜf pxn q sup ℜf pxq, and

Ñ8

P

n

x E

lim ℜLf pxn q ¤ 0.

Ñ8

n

(4.12)

In assertion (b) of Proposition 4.3 it will be shown that (4.12) is equivalent to the inequality in (4.46). Definition 4.2. An operator L with domain and range in Cb pE q is called dissipative if

}λf Lf }8 ¥ λ }f }8 ,

for all λ ¡ 0, and for all f

P D pL q.

(4.13)

An operator L with domain and range in Cb pE q is called Tβ -dissipative if there exists λ0 ¥ 0 such that for every function u P H pE q there exists a function v P H pE q such that

}v pλf Lf q}8 ¥ λ }uf }8 ,

for all λ ¥ λ0 , and all f

P DpLq.

(4.14)

An operator L with domain and range in Cb pE q is called positive Tβ dissipative if there exists λ0 ¡ 0 such that for every function u P H pE q there exists a function v P H pE q for which sup v pxqℜ pλf pxq Lf pxqq ¥ λ sup upxqℜf pxq,

P

x E

for all λ ¥ λ0 , and for all f

P DpLq.

P

(4.15)

x E

The definition which follows is crucial in proving that an operator L (or its Tβ -closure) generates a Tβ -continuous Feller semigroup. The symbol KpE q stands for the collection of compact subsets of E. The mapping f ÞÑ Uλ1 pf q, f P Cb pE, Rq, was introduced in (2.42). Definition 4.3. Let L be an operator with domain and range in Cb pE q and fix λ ¡ 0. Let f P Cb pE, Rq, λ ¡ 0, and put Uλ1 pf q

sup

inf

P p q P p q

K K E g D L

tg ¥ f 1K : pλI Lq g ¥ 0u .

(4.16)

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The operator L is called sequentially λ-dominant if for every sequence pfn qnPN , which decreases pointwise to zero, the sequence fnλ Uλ1 pfn q nPN defined as in (4.16) possesses the following properties: (1) The function fnλ dominates fn : fn ¤ fnλ , and (2) The sequence fnλ nPN converges to zero uniformly on compact subsets of E: lim sup fnλ pxq 0 for all K P KpE q.

Ñ8 xPK

n

The functions fnλ automatically have the first property, provided that the constant functions belong to DpLq and that L1 0. The real condition is given by the second property. Some properties of the mapping Uλ1 : Cb pE, Rq Ñ L8 pE, E, Rq were explained in Proposition 2.4. If in Definition 4.3 Uλ1 is a mapping from Cb pE, Rq to itself, then Dini’s lemma implies that in (2) uniform convergence on compact subsets of E may be replaced by pointwise convergence on E. Remark 4.1. Suppose that the operator L in Definition 4.3 satisfies the maximum principle and that pµI Lq DpLq Cb pE q, µ ¡ 0. Then the in1 verses Rpµq pµI Lq , µ ¡ 0, exist and represent positivity preserving operators. If a function g P DpLq is such that pλI Lq g ¥ 0, then g ¥ 0 and ppλ µq I Lq g ¥ µg, µ ¥ 0. It follows that g ¥ µR pλ µq g, µ ¥ 0. In the literature functions g P Cb pE q with the latter property are called λ-super-median. For more details see e.g. [Sharpe (1988)]. If the operator L generates a Feller semigroup tS ptq : t ¥ 0u, then a function g P Cb pE q is called λ-super-mean valued if for every t ¥ 0 the inequality eλt S ptqg ¤ g holds pointwise. In Lemma (9.12) in [Sharpe (1988)] it is shown that, essentially speaking, these notions are equivalent. In fact the proof is not very difficult. It uses the Hausdorff-Bernstein-Widder theorem about the representation by Laplace transforms of positive Borel measures on r0, 8q of completely positive functions. It is also implicitly proved in the proof of Theorem 4.3 implication (iii) ùñ (i): see (in-)equalities (4.131), (4.132), (4.133), (4.134), and (4.140). Proof. [Proof of Theorem 4.2.] (i) ùñ (ii). Let L be the Tβ -closure of L, which is the Tβ -generator of the semigroup tS ptq : t ¥ 0u. Then R λI L Cb pE q, and the inverses of λI L which we denote by Rpλq ³8 exist and satisfy: Rpλqf pxq 0 eλt S ptqf pxq. It follows that λℜ pRpλqf pxqq λ

»8 0

eλt pS ptqℜf q pxqdt

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¤λ

»8 0

eλt dt sup ℜf py q sup ℜf py q,

P

y E

and hence supxPE λℜ pRpλqf pxqq λg Lg yields:

¤ supyPE ℜf pyq.

The substitution f

λ sup ℜg pxq ¤ sup ℜ λg py q Lg py q , g

P

P

y E

x E

(4.17)

P

y E

PD

L .

(4.18)

In other words, the operator L satisfies the maximum principle, and so does the operator L: see Proposition 4.3 assertion (b) below. Since the operator L is Tβ -dissipative, the resolvent families tRpλq : λ ¥ λ0 u, λ0 ¡ 0, are Tβ -equi-continuous. Hence every operator Rpλq can be written as an ³ integral: Rpλqf pxq f py qr pλ, x, dy q, f P Cb pE q. For this the reader may consider the arguments in (the proof of) Proposition(2.4. Moreover, we have that for every λ0 ¡ 0, the family eλ0 t S ptq : t ¥ 0 is Tβ -equi-continuous, and in addition, lim S ptqf pxq f pxq, f P Cb pE q. It then follows that lim λRpλqf pxq

Ó

t 0

f pxq, f P CbpE q. As in the proof of Proposition 2.4 we λÑ8 see that Tβ - lim λRpλqf f , f P Cb pE q: see e.g. (2.59). Let f ¥ 0 belong λÑ8 to Cb pE q, and consider the function Uλ1 pf q defined by Uλ1 pf q sup inf tg ¥ f 1K : λg Lg ¥ 0u . (4.19) gPDpLq P p q

K K E

In fact this definition is copied from (2.42). As was shown in Proposition 2.4, we have the following equality: Uλ1 pf q

sup sup

!

pλ µq I L k f : µ ¡ 0, k P N ( eλt S ptqf : t ¥ 0 .

µk

)

(4.20)

In fact in Proposition 2.4 the first equality in (4.20) was proved. The second equality follows from the representations:

pµR pλ

µqq f k

eλt S ptqf

k

pk µ 1q!

»8 0

tk1 eµt eλt S ptqf dt and

µt Tβ - µlim Ñ8 e

8 µt ¸

k 0

p qk pµR pλ k!

µqqk f.

(4.21) (4.22)

A similar argument will be used in the proof of Theorem 4.3 (iii) ùñ (i): see (4.133) and (4.134). The representation in (4.20) implies that the operator L is λ-dominant. Altogether this proves the implication (i) ùñ (ii) of Theorem 4.2.

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(ii) ùñ (i). As in Proposition 4.3 assertion (a) below, the operator L is Tβ -closable. Let L be its Tβ -closure. Then the operator L is Tβ -dissipative, λ-dominant, and satisfies the maximum principle. In addition R λI L 1

, λ ¡ 0, exist. Cb pE q, λ ¡ 0. Consequently, the inverses Rpλq λI L The formulas in (4.21) and (4.22) can be used to represent the powers of the resolvent operators, and to define the Tβ -continuous semigroup generated by L. The λ-dominance is used in a crucial manner to prove that the semigroup represented by (4.22) is a Tβ -equi-continuous semigroup which consists of operators, which assign bounded continuous functions to such functions. For details the reader is referred to the proof of Theorem 4.3 implication (iii) ùñ (i), where a very similar construction is carried for a time space operator Lp1q which is the Tβ -closure of D1 L. In Theorem 4.3 the operator D1 is taking derivatives with respect to time, and L generates a Feller evolution. The proof of Theorem 4.2 is complete now. In the context of Tβ -continuous Feller semigroups we establish a generation result. Proposition 4.2. Let L be a Tβ -closed linear operator with domain and range in Cb pE q. Suppose that the operator L satisfies the maximum principle, and ! is such that R pλI Lq ) Cb pE q, λ ¡ 0. Then the resolvent

1

family Rpλq pλI Lq : λ ¡ 0 consists of positivity preserving operators. In addition, suppose that L possesses a Tβ -dense domain, and that the following limits exist: for all pt, xq P r0, 8q E and for all f P Cb pE q eλt S ptqf pτ, xq lim eµt

Ñ8

µ

and for all f

P DpLq and x P E lim µ pI µR pλ µÑ8

8 µt ¸

k 0

p qk pµR pλ k!

µqq f pτ, xq, k

µqq f pxq λf pxq Lf pxq.

(4.23)

(4.24)

Moreover, suppose that the operators Rpλq, λ ¡ 0, are Tβ -continuous. Fix f P Cb pE q, f ¥ 0, and λ ¡ 0. The following equalities and inequality hold true: inf

sup

P p q P p q

K K E g D L

sup

tg ¥ f 1K : pλI Lq g ¥ 0u

inf

P p q P p q

K K E g Cb E

!

tg ¥ f 1K : g ¥ µRpλ

¥ sup pµR pλ µqqk f : µ ¥ 0, k P N ( sup eλt S ptqf : t ¥ 0 .

(4.25) µqg, for all µ ¡ 0u

(4.26)

)

(4.27) (4.28)

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If the function pt, xq (ÞÑ S ptqf pxq is continuous, then the function g sup eλt S ptqf : t ¥ 0 is continuous, realizes the infimum in (4.26), and the expressions (4.25) through (4.28) are all equal. The proof of the following corollary is an immediate consequence of Proposition 4.2. Corollary 4.1. Suppose that the operator L with domain and range in Cb pE q be the Tβ -generator of a Feller semigroup tS ptq : t ¥ 0u. Let f ¥ 0 belong to Cb pE q. Then the quantities in (4.25) through (4.28) are equal. Let g P DpLq. By assumption (4.24) we see that λg Lg g ¥ µR pλ µq g for all µ ¡ 0. Hence we have

tg ¥ f 1K : pλI Lq g ¥ 0u tg ¥ f 1K : g ¥ µRpλ µqg, gPinf DpLq

¥ 0 if and only if

inf

P p q

g D L

for all µ ¡ 0u .

(4.29)

It is not so clear under what conditions we have equality of (4.29) and (4.26). If f P DpLq is such that λf Lf ¥ 0, then the functions in (4.25) through (4.28) are all equal to f . Proof. [Proof of Proposition 4.2.] The representation in (4.23) shows that the term in (4.28) is dominated by the one in (4.27). The equality

pµR pλ

µqq f k

k

pk µ 1q!

»8

tk1 epλ

0

q S ptqf dt, k ¥ 1,

µ t

(4.30)

shows that the expression in (4.27) is less than or equal to the one in (4.28). Altogether this proves the equality of (4.27) and (4.28). If the function g P DpLq is such that g ¥ f 1K and pλI Lq g ¥ 0, then ppλ µq I Lq g ¥ µg, and hence g

¥ µR pλ

µq g

¥ pµR pλ

µqqk g

for all k

P N.

Consequently, the term in (4.25) dominates the second one. It also follows that the expression in (4.26) is greater than or equal to !

sup sup

P p q

K K E

pµR pλ

µqq

k

pf 1K q : µ ¡ 0, k P N

)

.

(4.31)

Since the operators pµR pλ µqq , µ ¡ 0 and k P N, are Tβ -continuous the expression in (4.31) is equal to the quantity in (4.27). Next we will show that the expression in (4.26) is less than or equal to (4.25). Therefore we chose an arbitrary compact subset K of E. Let g P Cb pE q be a function with k

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the following properties: g ¥ f 1K , and g ¥ µR pλ µq g. Then for η ¡ 0 arbitrary small and α αη ¡ 0 sufficiently large we have αRpαq pg η q ¥ g1K ¥ f 1K . Moreover, the function gα,η : αRpαq pg η q belongs to DpLq and satisfies gα,η

¥ µR pλ

µq gα,η

for all µ ¡ 0

(4.32)

Here we employed the fact that DpLq is Tβ -dense in Cb pE q. In fact we used the fact that, uniformly on the compact subset K, g η limαÑ8 αRpαq pg η q. From (4.32) we obtain

pλI Lq gα,η µlim Ñ8 µ pI µR pλ

µqq gα,η

¥ 0,

(4.33)

From (4.33) we obtain the inequality:

tg ¥ f 1K : g ¥ µR pλ µq gu ¥ gPinf tg ¥ f 1K : g ¥ µR pλ µq gu . DpLq inf

P p q

g Cb E

(4.34)

The inequality in (4.34) shows that the expression in (4.26) is less than or equal to the one in (4.25). Thus far we showed p4.25q p4.26q ¥ p4.27q 4.28q. The final assertion about the fact that the (continuous) function in (4.28) realizes the equality in (4.27) being obvious, concludes the proof of Proposition 4.2. In the following theorem (Theorem 4.3) we use the following subspaces of the space Cb pr0, T s E q: "

p1q f P C pr0, T s E q : all functions of the form pτ, xq ÞÑ b

CP,b

»τ

ρ

τ

"

p1q

CP,b pλq f

»8 τ

Here λ

p1q C

P,b

¡

*

P pτ, σ q f pσ, q pxqdσ, ρ ¡ 0, belong to D pD1 q ; (4.35)

P Cb pr0, T s E q : the function pτ, xq ÞÑ p1q

0, and CP,b is a limiting case if λ

¡

λ0 0

*

eλσ P pτ, σ q f pσ, q pxqdσ, belongs to D pD1 q .

p1q C pλ P,b

0

Laplace transform: R pλ0 q f pτ, xq

q

0.

(4.36)

The inclusion

follows from the representation of R pλ0 q as a

»8 0

eλ0 ρ S pρqf pτ, xqdρ

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»8 0

λ0 λ0

eλ0 ρ P pτ, τ

»8

eλ0 ρ

0

»8

»ρ 0

eλ0 ρ

ρq f pτ P pτ, τ

»τ

ρ

τ

0

ρ, xqdρ σ q f pτ

σ, xqdσ dρ

P pτ, σ q f pσ, xqdσ dρ

(4.37)

From (4.37) we see that if for every ρ ¡ 0 the function »ρ

»τ

ρ

pτ, xq ÞÑ S pσqf pτ, xqdσ P pτ, σ ^ T q f pσ ^ T, xqdσ 0 τ belongs to D pD1 q, then so does the function pτ, xq ÞÑ R pλ0 q f pτ, xq, pro³ρ λ ρ vided that the function ρ ÞÑ e D1 0 S pσ qf dσ is Tβ -integrable in the p1q p1q space Cb pr0, T s E q. The other inclusion, i.e. λ ¡0 CP,b pλ0 q CP,b 0

0

follows from the following inversion formula:

»τ τ

ρ

P pτ, σ q f pσ, q pxqdσ

λlim Ñ8 λlim Ñ8 λlim Ñ8 λlim Ñ8

»ρ

eσλ eσλ

2

0

8 1 »ρ ¸

k 0

8 ¸ 8 ¸

k 0

k!

0

»ρ 0

S pσ qf pτ, xq dσ

p q f pτ, xq dσ

R λ

pσλqk eσλ pλRpλqqk f pτ, xq dσ

λk 1 pk 1q! λk

1

»ρ 0

pσλqk

»ρ

1

eσλ pRpλqqk

pk 1q!k! 0 pσλq k0 8 p1qk λk 1 » ρ ¸ λlim pσλqk Ñ8 k0 pk 1q!k! 0 8 p1qk λk 1 » ρ ¸ λlim pσλqk Ñ8 k0 pk 1q!k! 0

k 1

eσλ

»8 0

1

f pτ, xq dσ

ρk1 eλρ1 S pρ1 q f pτ, xq dρ1 dσ

Bk » 8 eλρ S pρ q f pτ, xq dρ dσ 1 1 pBλqk 0 k 1 σλ B e Rpλqf pτ, xqdσ (4.38) pBλqk 1

eσλ

1

where the limits³ have to be taken in Tβ -sense. A similar limit representation ρ is valid for D1 0 S pρqf dρpτ, xq, provided that the family "

*

λk 1 D1 Rpλqk f : λ ¡ 0, k P N k! is uniformly bounded. A simpler approach might be to use a complex inversion formula: » ρ

0

pτ

ρ σ q P pτ, pτ

σ q ^ T q f ppτ

σ q ^ T, q pxqdσ

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» ρ » ρ1

S pσ qf pτ, xqdσ dρ1

»ω

8

i

1 Rpλqf pτ, xqdλ, (4.39) λ2 ω i8 0 0 and to assume that, for ω ¡ 0, the family tλD1 Rpλqf : ℜλ ¥ ω u is uniformly bounded. It is clear that the operator Rpλq, ℜλ ¡ 0, stands for Rpλqf pτ, xq

»8 0

»8 0

eλρ P pτ, pτ

1 2πi

239

eρλ

eλρ S pρqf pτ, xqdρ ρq ^ T q f ppτ

(4.40) ρq ^ T, q pxqdρ, f

P Cb pr0, T s E q .

It is also clear that the family of operators in (4.38) is a once integrated integrated semigroup, and that the family in (4.39) is a twice integrated p1q p1q semigroup. In order to justify the inclusion λ0 ¡0 CP,b pλ0 q CP,b in both approaches we need to know that the functions: λ ÞÑ Rpλqf , and λ ÞÑ D1 Rpλqf are real analytic. For more details on inversion formulas for vector-valued Laplace transforms and integrated semigroups see e.g. [Bobrowski (1997)], [Chojnacki (1998)], [Arendt (1987)], [Arendt et al. (2001)], and [Miana (2005)]. For vector valued Laplace transforms the reader is also referred to [B¨ aumer and Neubrander (1994)]. Theorem 4.3. Let L be a linear operator with domain DpLq and range RpLq in Cb pr0, T s E q. Suppose that there exists λ ¡ 0 such that the operator D1 L is sequentially λ-dominant in the sense of Definition 4.3. Under such a hypothesis the following assertions are equivalent: (i) The operator L is Tβ -closable, its Tβ -closure generates a Feller evolution, the operator D1 L is Tβ -densely defined, and there exists λ0 ¡ 0 p1q such that the subspace CP,b pλ0 q is Tβ -dense in Cb pr0, T s E q. (ii) The operator D1 L is Tβ -closable and its Tβ -closure generates a Tβ continuous Feller semigroup in Cb pr0, T s E q. (iii) The operator D1 L is Tβ -densely defined, is positive Tβ -dissipative, satisfies the maximum principle, and there exists λ0 ¡ 0 such that the range of λ0 I D1 L is Tβ -dense in Cb pr0, T s E q. Theorem 4.3 will be proved in Section 4.2 after the proof of Proposition 4.3. Remark 4.2. Let us call the operator D1 L power Tβ -dissipative if for some λ0 ¥ 0 and for every k P N there exists a Tβ -dense subspace Dk of Cb pr0, T s E q such that for every u P H pr0, T s E q there exists v P H pr0, T s E q for which the following inequality holds: λk }uf }8

¤ v pλI D1 Lqk f 8

for all f

P Dk and all λ ¥ λ0 .

(4.41)

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If the operator D1 L is just Tβ -dissipative, then an inequality of the form (4.41) holds, with a function v P H pr0, T s E q which depends on k. In (4.41) the function v only depends on u (and the operator D1 L), but it neither depends on k, nor on f P Dk or λ ¥ 1. Let the operator Lp1q be an extension of D1 L which generates a Tβ -continuous semigroup tS0 ptq : t ¥ 0u, and suppose that D1 L satisfies (4.41). Then this semigroup is equi-continuous in the sense that for every u P H pr0, T s E q there exists v P H pr0, T s E q for which the following inequality holds:

}uS0ptqf }8 ¤ }vf }8

for all f

P Cb pr0, 8q E q and all t P r0, 8q. (4.42)

A closely related inequality is the following one u λR λ

p p qqk f 8 ¤ }vf }8 ,

λ ¥ 1, f

P Cb pr0, T s E q .

(4.43)

Notice that (4.43) is equivalent to (4.41) provided that the operator Lp1q is the Tβ -closure of D1 L and the ranges of λI Lp1q , λ ¡ 0, coincide with Cb pr0, T s E q. In fact the semigroup tS0 ptq : t ¥ 0u and the resolvent family tRpλq : λ ¡ 0u are related as follows: k

pλR pλqqk f λk! S0 ptqf

»8 0

tk1 eλt S0 ptqf dt, and

Tβ - λlim eλt Ñ8

8 λt ¸

k 0

p qk pλRpλqqk f. k!

(4.44) (4.45)

The integral in (4.44) has to be interpreted in Tβ -sense. From (4.44) and (4.45) the equivalence of (4.42) and (4.43) easily follows. We also observe that (4.43) is equivalent to the following statement. For every sequence pfn qnPN Cb pr0, T s E q which decreases pointwise to zero it follows that inf

sup

P ¥ P

n N λ 1,k N

4.2

pλRpλqqk fn 0.

Dissipative operators and maximum principle

In the following proposition we collect some of the interrelationships which exist between the concepts of closability, dissipativeness, and maximum principle. A reformulation of assertion (f) in Proposition 4.3 can be found in Lemma 8.1 in Chapter 8.

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Proposition 4.3.

pa1 q

Suppose that the operator L is dissipative and that its range is contained in the closure of its domain. Then the operator L is closable. pa2 q Suppose that the operator L is Tβ -dissipative and that its range is contained in the Tβ -closure of its domain. Then the operator L is Tβ closable. pbq If the operator L satisfies the maximum principle, then sup ℜ pλf pxq Lf pxqq ¥ λ sup ℜf pxq, for all λ ¡ 0, and for all f

P

P

x E

x E

P DpLq.

(4.46) Conversely, if L satisfies (4.46), then the operator L satisfies the maximum principle. The inequality in (4.46) is equivalent to

inf ℜ pλf pxq Lf pxqq ¤ λ inf ℜf pxq, for all λ ¡ 0, and for all f

P

P

x E

x E

P DpLq.

(4.47)

pcq If the operator L satisfies the maximum principle, then L is dissipative. pdq If the operator L satisfies the maximum principle, and if f P DpLq is such that λf Lf ¥ 0 for some λ ¡ 0, then f ¥ 0. peq If the operator L is dissipative, then }λf Lf }8 ¥ ℜλ }f }8 , for all λ with ℜλ ¡ 0, and for all f P DpLq. pf q

(4.48)

The operator L is dissipative if and only if for every f exists a sequence pxn qnPN E such that lim |f pxn q|

pgq

lim ℜ f pxn qLf pxn q

Ñ8

n

Ñ8

n

¤ 0.

P DpLq there }f }8 , and

If the operator L is positive Tβ -dissipative, then it is Tβ -dissipative.

For the definition of an operator which is positive Tβ -dissipative or Tβ dissipative, the reader is referred to Definition 4.1. The same is true for the other notions in Proposition 4.3. Proof. pa1 q Let pfn qnPN properties: lim fn

Ñ8

n

D pL q 0,

and g

exists in Cb pE q. Then we consider λfn

gm q λ1 L pλfn

p

be any sequence with the following

nlim Ñ8 Lfn

gm q8

¥ }λfn

gm }8 ,

where pgm qmPN DpLq converges to g. First we let n tend to infinity, then λ, and finally m. This limiting procedure results in lim }gm g }8

m

Ñ8

¥ mlim Ñ8 }gm }8 }g }8 .

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0. pa2 q Let pfn qnPN DpLq be any sequence with the following properties: Tβ - lim fn 0, and g Tβ - lim Lfn nÑ8 nÑ8 exists in Cb pE q. Let u P H pE q be given and let the function v be as in Hence g

(4.14). Then we consider v

pλfn gm q λ1 L pλfn gmq 8 ¥ }u pλfn gm q}8 , (4.49) where pgm qmPN DpLq Tβ -converges to g. First we let n tend to infinity, then λ, and finally m. The result will be lim }vgm vg }8

m

Ñ8

¥ mlim Ñ8 }ugm }8 }ug }8 ,

0. (b) Let f P DpLq. Then choose a sequence pxn qnPN E as in (4.12). Then

and hence g we have

sup ℜ pλf pxq Lf pxqq ¥ lim ℜ pλf pxn q Lf pxn qq ¥ λ sup ℜf pxq

Ñ8

P

P

n

x E

x E

which is the same as (4.46). Suppose that the operator L satisfies (4.46). Then for every λ ¡ 0 we choose xλ P E such that λℜf pxλ q ℜLf pxλ q ¥ λ sup ℜf pxq

P

x E

1 . λ

(4.50)

From (4.50) we infer: ℜLf pxλ q ¤

1 , and λ

sup ℜf pxq ¤ ℜf pxλ q

P

x E

(4.51) 1 λ2

λ1 ℜLf pxλ q .

(4.52)

From (4.51) we see that lim supλÑ8 ℜLf pxλ q ¤ 0, and from (4.52) it follows that lim supλÑ8 ℜf pxλ q supxPE ℜf pxq. From these observations it is easily seen that (4.46) implies the maximum principle. The substitution f Ñ f shows that (4.47) is a consequence of (4.46).

(c) Let f 0 belong to DpLq, choose α P R and a sequence pxn qnPN E in such a way that 0 }f }8 limnÑ8 ℜeiα f pxn q supxPE ℜeiα f pxq, and that limnÑ8 ℜL eiα f pxn q ¤ 0. Then

iα }λf Lf }8 ¥ nlim q pxn q Ñ8 ℜ e pλf Lf nlim λℜ eiα f pxn q ℜ eiα Lf pxn q ¥ λ }f }8 . Ñ8

(4.53)

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The inequality in (4.53) means that L is dissipative in the sense of Definition 4.2.

(d) Let f P DpLq be such that, for some λ x P E. From (4.47) in (b) we see that

¡ 0, λf pxq Lf pxq ¥ 0 for all

λ inf ℑf pxq λ inf ℜpif qpxq ¥ inf ℜ pλpif qpxq Lpif qpxqq

P

P

x E

P

x E

x E

xinf ℑ pλf pxq Lpf qpxqq 0. (4.54) PE From (4.54) we get ℑf ¥ 0. If we apply the same argument to f instead of f we get ℑf ¤ 0. Hence ℑf 0, and so the function f is real-valued. But then we have 0 ¤ inf pλf pxq Lf pxqq ¤ λ inf f pxq,

P

P

x E

and consequently f

x E

¥ 0.

(e) From the proof it follows that L is dissipative if and only if for every f P DpLq there exists an element x in Cb pr0, T s E q such that }x } 1, such that hf, x i }f }8 , and such that ℜ hLf, x i ¤ 0. A proof of all this runs as follows. Let L be dissipative. Fix f in DpLq and choose for each λ ¡ 0 an element xλ in Cb pr0, T s E q in such a way that }xλ } ¤ 1 and

}λf Lf }8 hλf Af, xλ i .

(4.55)

Choose an element x in the intersection µ¡0 weak closure txλ : λ ¡ µu.

Since, by the theorem off Banach-Aloglu the dual unit ball of Cb pr0, T s E q is weak -compact such an element x exists. From (4.55) it follows that ℜ hLf, xλ i λℜ hf, xλ i }λf

Lf }8 ¤ λ }f }8 }λf Lf }8 ¤ 0,

λ ¡ 0.

(4.56)

Here we used the fact that the operator L is supposed to be dissipative. From (4.55) we also obtain the equality

hf, xλ i f

λ1 Lf 8 λ1 hLf, xλ i , λ ¡ 0. (4.57) Since x is a weak limit point of txλ : λ ¡ µu for each µ ¡ 0 it follows from (4.56) and (4.57) that

ℜ hLf, x i ¤ 0, and

hf, x i }f }8 ,

}x } ¤ 1.

Finally pick λ P C with ℜλ ¡ 0. From (4.58) and (4.59) we infer

}λf Lf }8 ¥ ℜ hλf Lf, x i ℜ pλ hf, x iq ℜ hLf, x i

(4.58) (4.59)

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¥ ℜ pλ }f }8 q 0 ℜλ }f }8 . (4.60) (f) If L is dissipative and if f P DpLq, then there exists a family pxλ qλ¡0 E

such that

|λf pxλ q Lf pxλ q| ¥ λ }f }8 }Lfλ}8 .


}Lf }8 ¥ λ }f }8 }Lfλ}8 ,

λ |f pxλ q| and

λ2 |f pxλ q|2 2λℜ f pxλ qLf pxλ q

2 ¥ λ2 }f }22 2 }f }8 }Lf }8 }Lfλ2}8 .

(4.61)

(4.62)

|Lf pxλ q|2 (4.63)

From (4.62) and (4.63) we easily infer

|f pxλ q| ¥ }f }8 }Lfλ}8 }Lfλ2}8 ,

and

λ2 }f }8 2λℜ f pxλ qLf pxλ q 2

¥ λ2 }f }28 2 }f }8 }Lf }8 From (4.65) we get

ℜ f pxλ qLf pxλ q

¤ }f }8 λ}Lf }8

1 2λ

}Lf }28 }Lf }28 . λ2

1

From (4.66) we obtain lim sup ℜ f pxλ qLf pxλ q lim |f pxλ q|

Ñ8

}f }8 .

Ñ8

λ

(4.64)

1 λ2

¤ 0.

}Lf }28 .

(4.65)

(4.66)

From (4.64) we see

By passing to a countable sub-family we see that

there exists a sequence pxn qnPN

E such that nlim Ñ8 |f pxn q| }f }8 and such that the limit lim ℜ f pxn qLf pxn q exists and is ¤ 0. The proof of nÑ8 the converse statement is (much) easier. Let pxn qnPN E be a sequence such that lim |f pxn q| }f }8 and that the limit lim ℜ f pxn qLf pxn q nÑ8 nÑ8 exists and is ¤ 0. Fix f P DpLq. Then we have }λf Lf }28 ¥ λ2 |f pxn q|2 2λℜ f pxn qLf pxn q |Lf pxn q|2 λ

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¥ λ2 |f pxn q|2 2λℜ f pxn qLf pxn q . (4.67) From the properties of the sequence pxn qnPN and (4.67) we obtain the inequality }λf Lf }8 ¥ λ }f }8 , λ ¡ 0, f P DpLq, which is the same as saying that L is dissipative.

(g) Let the functions u and v and λ ¥ λ0 . Then we have

}v pλf Lf q}8

sup

P H pE q as in assertion (g), let f P DpLq, sup v pxqℜ λ eiϑ f

Prπ,πs xPE

ϑ

pxq L

eiϑ f

pxq

(L is positive Tβ -dissipative)

¥λ

sup

sup upxqℜ eiϑ f pxq

Prπ,πs xPE

ϑ

λ }uf }8 .

The inequality in (4.68) shows the dissipativity of the operator L. Finally, this completes the proof of Proposition 4.3.

(4.68)

Proof. [Proof of Theorem 4.3.] (i) ùñ (ii). Let L be the Tβ -closure of L. Then there exists a Feller evolution tP ps, tq : 0 ¤ s ¤ t ¤ T u such that d P pτ, tq f pt, q pxq P pτ, tq D1 Lptq f pt, q pxq, (4.69) dt for all functions f P Dp1q L , 0 ¤ τ ¤ t ¤ T , x P E. The functions f P Dp1q L have the property that for every ρ P r0, T s the following Tβ limits exist: (a) Lpρqf pρ, q pxq Tβ - lim

Ó

P pρ, ρ

h 0

(b)

B f pρ Ñ0 Bρ f pρ, xq Tβ - hlim

hq f pρ, q f pρ, q . h h, xq f pρ, xq . h

As indicated the limits in (a) and (b) have to be interpreted in Tβ -sense. Moreover, these functions as functions of the pair pρ, xq are supposed to be continuous. The equality in (4.69) was introduced in Definition 2.8. However, the reader is also referred to Proposition 4.1, and to equality (4.2). The equality in (4.69) can also be written in integral form: P pτ, tq f pt, q pxq f pτ, xq

»t τ

P pτ, ρq

B Bρ

Lpρq f pρ, q pxq

(4.70)

for f P Dp1q L , 0 ¤ τ ¤ t ¤ T , x P E. The Feller evolution is Tβ -equicontinuous. This means that for every u P H pE q, there exists v P H pE q such that for all f P Cb pE q the inequality τ

sup sup |upτ, xqP pτ, tq f pq pxq| ¤ sup |v pxqf pxq|

¤t¤T xPE

P

x E

(4.71)

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holds for all f P C As was explained in Corollary 3.1, !b pE q. ) r the Feller evolution P pτ, tq : 0 ¤ τ ¤ t ¤ T , which is the same as tP pτ, tq : 0 ¤ τ ¤ t ¤ T u considered as a family of operators on Cb pr0, T s E q, is Tβ -equi-continuous as well: see Corollary 2.3. As in (4.5) we define the semigroup Tβ -equi-continuous semigroup tS pρq : ρ ¥ 0u by S pρqf pt, xq P pt, pρ

tq ^ T q f ppρ

tq ^ T, q pxq,

f

P Cb pr0, T s E q ,

(4.72) where ρ ¥ 0, and pt, xq P r0, T s E. Then the semigroup in (4.72) is Tτ -equi-continuous. In fact we have τ

sup sup |upτ, xqS ptqf pτ, xq| ¤

¤t¤T xPE

sup

pτ,xqPr0,T sE

|vpxqf pτ, xq|

(4.73)

where u P H pr0, T s E³q and v P H pE q are as in (4.71). Let Lp1q be its 8 generator, and Rpλqf 0 eλρ S pρqf dρ, f P Cb pr0, T s E q, its resolvent. Then we will prove that Lp1q D1 L, and we will also show the following well-known equalities (compare with (3.154)):

λI Lp1q Rpλqf

Rpλq λI

Lp1q

f, f f,

P Cb pr0, T s E q , f P D Lp1q . f

(4.74)

In order to understand the relationship between D1 L and the Tβ -generator of the semigroup tS pρq : ρ ¥ 0u we consider, for h ¡ 0, λ ¡ 0 the operators p1q p1q Lλ,h and ϑh Lλ,h , which are defined by

p1q

Lλ,h f pτ, xq

1 h h1 h1 h1

I

eλh S phq f pτ, xq

(4.75) hq ^ T q f ppτ

f pτ, xq eλh P pτ, pτ

hq ^ T q f pτ, q pxq

f pτ, xq eλh P pτ, pτ

eλh P pτ, pτ

1 λI Lp1q

h

»h 0

hq ^ T q pf ppτ

hq ^ T, q pxq

hq ^ T, q f pτ, qq pxq

eλρ S pρqf dρ pτ, xq

and

p1q

ϑh Lλ,h f pτ, xq

1 I eλh S phq f ppτ hq ^ T _ 0, xq h 1 pf ppτ hq ^ T _ 0, xq f pτ, xqq h

(4.76)

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247

eλh P

ppτ hq ^ T _ 0, τ q f pτ, q pxq f pτ, xq . The operator ϑh : Cb pr0, T s E q Ñ Cb pr0, T s E q is defined by ϑh f pτ, xq f pppτ hq ^ T q _ 0, xq , f P Cb pr0, T s E q . (4.77) Since

p1q

Lλ,h Rpλqf

1 1q RpλqLpλ,h f h

»h 0

eλρ S pρqf dρ,

f

P Cb pr0, T s E q ,

(4.78) and Lp1q is the Tβ -generator of the semigroup tS pρq : ρ ¥ 0u, the equalities in (4.74) follow from (4.78). Since

p1q

p1q

ϑh Lλ,h Rpλqf pτ, xq Lλ,h Rpλqf ppτ it also follows that

p1q

Tβ - lim ϑh Lλ,h Rpλqf pτ, xq λI

Ó

h 0

Lp1q

hq ^ T _ 0, xq ,

Rpλqf pτ, xq .

(4.79)

A consequence of (4.79) and the second equality in (4.76) is that

λI

Lp1q f pτ, xq

lim hÓ0

1 pf ppτ h

h1 lim hÓ0

hq ^ T _ 0, xq f pτ, xqq

eλh P ppτ

hq ^ T _ 0, τ q f pτ, q pxq f pτ, xq

1 f pτ, xq eλh P pτ, pτ h

h1 ppf ppτ

(4.80)

hq ^ T q f pτ, q pxq

hq ^ T, q f pτ, qq pxqq .

(4.81)

These limits exist in the strict sense; i.e. in the Tβ -topology. If f P D Lp1q , and if f belongs to D pD1 q, then (4.80) and (4.81) imply that f P D L , that 1 Lpf qpτ, xq lim pP pτ, τ hq f pτ, q pxq f pτ, xqq hÓ0 h 1 lim pP pτ h, τ q f pτ, q pxq f pτ, xqq , (4.82) hÓ0 h and that Lp1q f

Lf

D1 f.

(4.83)

Hence, in principle, the first term on the right-hand side in (4.80) converges to the negative of the time-derivative of the function f and the second to

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λI

L

f . The following arguments make this more precise. We will

p1q

need the fact that the subspace CP,b is Tβ -dense in Cb pr0, T s E q. Let f P Cb pr0, T s E q. In order to prove that, under certain conditions, the operator Lp1q is the closure of D1 L, we consider for f P D Lp1q and 0 ¤ a ¤ b ¤ T the following equality: »b a

ϑρ S pρqLp1q f pτ, xq dρ

»b a

S pρqLp1q f ppτ

ρq _ 0, xq dρ

»b BBτ ϑρ S pρq f pτ, xqdρ a P ppτ bq _ 0, τ q f pτ, xq P ppτ aq _ 0, τ q f pτ, xq.

(4.84)

We first prove the equality on (4.84). Therefore we write

B » b ϑ S pρq f pτ, xqdρ P ppτ bq _ 0, τ q f pτ, xq P ppτ aq _ 0, τ q f pτ, xq Bτ a ρ » τ a BBτ S pτ ρq f pρ _ 0, xqdρ τ b P ppτ bq _ 0, τ q f pτ, xq P ppτ aq _ 0, τ q f pτ, xq

(the function f belongs to D Lp1q )

» τ a τ

ρq Lp1q f pρ _ 0, xqdρ S paq f ppτ aq _ 0, xq S pbq f ppτ bq _ 0, xq P ppτ bq _ 0, τ q f pτ, xq P ppτ aq _ 0, τ q f pτ, xq b

»b a

S pτ

S pρq Lp1q f ppτ

»b

ρq _ 0, xqdρ

a

ϑρ S pρq Lp1q f pτ, xqdρ.

(4.85)

The equality in (4.85) shows (4.84). In the same manner the following equality can be proved for λ ¡ 0 and f P D Lp1q : λ

»8 0

eλρ ϑρ S pρqLp1q f dρ λD1 2

λ As above let f Lp1q f

PD

Tβ - λlim Ñ8

»8 0

»8 0

eλρ ϑρ S pρqf dρ eλρ ϑρ S pρqf dρ λf.

Lp1q . From (4.86) we infer that

λD1

»8 0

eλρ ϑρ S pρqf dρ

2

λ

»8 0

(4.86)

eλρ ϑρ S pρqf dρ λf . (4.87)

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If, in addition, f belongs to the domain of D1 , then it also belongs to D L , and Lf

Tβ - λlim Ñ8 Tβ - λlim Ñ8

2

λ

»8 0

2

λ

»8 0

eλρ ϑρ S pρqf dρ λf

eλρ S pρqϑρ f dρ λf .

(4.88)

The second equality in (4.88) follows from (4.87). So far the result is not conclusive. To finish the proof of the implication (i) ùñ (ii) of Theorem p1q 4.3 we will use the hypothesis that the space CP,b pλ0 q is Tβ -dense for some λ0 ¡ 0. In addition, we will use the following identity for a function f in the domain of the time derivative D1 : λLp1q

»8 0

λ

2

λ2

»8 0

»8 0

eλρ S pρqϑρ f dρ eλρ S pρqϑρ f dρ λf eλρ S pρqϑρ f dρ λf

» 8 p 1q λ λI L eλρ S pρq pI ϑρ q f dρ 0 »8 eλρ S pρqϑρ D1 f dρ. λ (4.89)

0

However, this is not the best approach either. The following arguments p1q will show that the Tβ -density of CP,b pλ0 q is dense in C0 pr0, T s E q en tails that Dp1q pLq D pLq D pD1 q is a core for the operator Lp1q . From (4.83) it follows that Dp1q pLq D Lp1q . From (4.87), (4.88), and from (4.89) we also get D Lp1q D pD 1 q D L D pD1 q. Fix p 1q λ0 ¡ 0 such that the space CP,b pλ0 q is Tβ -dense in Cb pr0, T s E q. Since

p1q

R λ0 I Lp1q CP,b pλ0 q, this hypothesis has as a consequence that the range of the operator λ0 I L D1 is Tβ -dense in Cb pr0, T s E q. The T -dissipativity of the operator Lp1q then implies that the subspace β D L D pD1 q is a core for the operator Lp1q , and consequently, the closure of the operator L D1 coincides with Lp1q . We will show all this. Since the operator Lp1q generates a Feller semigroup, the same is true for the closure of L D1 . The range of λ0 I L D1 coincides with the subspace p1q CP,b pλ0 q defined in (4.36). It is easy to see that

p1q

"

CP,b pλ0 q f If f

P Cb pr0, T s E q : R pλ0 q f

»8 0

*

eλ0 ρ S pρqf dρ P D pD1 q .

p1q pλ q, then f λ I Lp1q R pλ q f where P CP,b 0 0 0 £ £ R pλ0 q f P D Lp1q D p D1 q D L D pD1 q ,

(4.90)

(4.91)

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as was shown in (4.87) and (4.88). It follows that f written as

p1q pλ q can be P CP,b 0

λ0 I L D1 R pλ0 q f. (4.92) By (i) the range of λ0 I L D1 is Tβ -dense in Cb pr0, T s E q. Let f belong to the Tβ -closure of he range of λ0 I L D1 . Then there p1q exists a net pgα qαPA CP,b pλ0 q Cb pr0, T s E q such that f limα λ0 I L D1 gα . From (4.14) we infer that g Tβ - limα gα . Since f

the operator Tβ -closed linear operator Lp1q extends L D1 , it follows that L D1 is Tβ -closable. Let L0 be its Tβ -closure. From (4.14) it also follows that f pλ0 I L0 q g. Since the range of λ0 I L D1 is Tβ -dense, we see that R pλ0 I L0 q Cb pr0, T s E q. Next let g P D Lp1q . Then p 1q there exists g0 P D pL0 q such that λ0 I L g pλ0 I L0 q g0 . Since Lp1q extends L0 , and since Lp1q is dissipative (see (4.53), it follows that g g0 P D pL0 q. In other words, the operator L0 coincides with Lp1q , and consequently, the operator L D1 is Tβ -closable, and its closure coincides with Lp1q , the Tβ -generator of the semigroup tS pρq : ρ ¥ 0u. This proves the implication (i) ùñ (ii) of Theorem 4.3. (ii) ùñ (iii). Let Lp2q be the Tβ -closure of the operator D1 L. From (ii) we know that Lp2q generates a Tβ -continuous semigroup tS2 pρq : ρ ¥ 0u. Since D Lp2q is Tβ -dense, it follows that Dp1q pLq D pD1 q DpLq is Tβ -dense as well. Let Lp1q be the generator of a Tβ -continuous semigroup tS pρq : ρ ¥ 0u which extends D1 L, and hence it also extends Lp2q . Since Lp2q generates a Feller semigroup, it is dissipative, and so it satisfies (4.53). Let g P D Lp1q , and choose g0 P D Lp2q such that

λ0 I Lp1q g

λ0 I Lp1q g0

λ0 I Lp2q g0. g0 P D Lp2q , and

The inequality in (4.53) implies that g hence p 2q p 1q p 1q p 2q D L D L . Moreover, L extends L . Therefore Lp2q p 1q L . It also follows that the semigroup tS2 pρq : ρ ¥ 0u is the same as tS pρq : ρ ¥ 0u. In addition, there exists λ0 ¡ 0 such that the range of λ0 I D1 L is Tβ -dense in Cb pr0, T s E q. In fact this is true for all λ, ℜλ ¡ 0. Finally, we will show that the operator D1 L is positive Tβ -dissipative. Let u P H pr0, T s E q, and consider the functionals f ÞÑ upτ, xqλRpλqf pτ, xq, λ ¥ λ0 ¡ 0, pτ, xq P r0, T s E. Since Lp1q generates a Tβ -continuous semigroup we know that lim }u pf

Ñ8

λ

λRpλqf q}8 0.

(4.93)

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If pfm qmPN Cb pr0, T s E q decreases pointwise to 0, then the sequence pupτ, xqλRpλqfm pτ, xqqmPN also decreases to 0. By Dini’s Lemma and (4.93) this convergence is uniform in λ ¥ λ0 and pτ, xq P r0, T s E, because u P H pr0, T s E q. From Theorem 2.3 it follows that there exists a function v P H pr0, T s E q such that

}uλRpλqf }8 ¤ }vf }8 ,

f

P Cb pr0, T s E q ,

λ ¥ λ0 .

(4.94)

Since the operator Lp1q sends real functions to real functions from (4.94), and u ¥ 0, we derive for pσ, y q P r0, T s E ℜ pupσ, y qλRpλqf pσ, y qq

upσ, yqλRpλq pℜf q pσ, yq ¤ upσ, yqλRpλq pℜf q pσ, yq ¤ sup vpτ, xq pℜf q pτ, xq ¤

By the substitution f λ

sup

sup

sup

v pτ, xq pℜf q pτ, xq.

pτ,xqPr0,T sE λI Lp1q g in (4.95) we obtain:

pτ,xqPr0,T sE

¤

pτ,xqPr0,T sE

(4.95)

upτ, xqℜg pτ, xq

v pτ, xqℜ λg pτ, xq Lp1q g pτ, xq .

pτ,xqPr0,T sE Since the operator Lp1q extends D1

(4.96)

L, the inequality in (4.96) displays the fact that the operator D1 L is positive Tβ -dissipative. Altogether, this shows the implication (ii) ùñ (iii) of Theorem 4.3.

(iii) ùñ (i). Suppose that we already know that the Tβ -closure of D1 L generates a Tβ -continuous semigroup tS pρq : ρ ¥ 0u. Then we define the evolution tP pτ, tq : 0 ¤ τ ¤ t ¤ T u by P pτ, tq f pxq S pt τ q rps, y q ÞÑ f py qs pτ, xq , f

P CbpE q. (4.97) We have to prove that the family tP pτ, tq : 0 ¤ τ ¤ t ¤ T u is a Feller evolution indeed. First we show that it has the evolution property: P pτ, t1 q P pt1 , tq f pxq S pt1 τ q rps, y q ÞÑ P pt1 , tq f py qs pτ, xq

S pt1 τ q rps, yq ÞÑ S pt t1 q f ps, yqs pτ, xq S pt1 τ q S pt t1 q rps, yq ÞÑ f ps, yqs pτ, xq S pt τ q rps, yq ÞÑ f ps, yqs pτ, xq P pτ, tq f pxq. (4.98)

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The equality in (4.98) exhibits the evolution property. The continuity of the function pτ, t, xq ÞÑ P pτ, tq f pxq follows from the continuity of the function pτ, t, xq ÞÑ S pt τ q rps, yq ÞÑ f pyqs pτ, xq: see (4.97). Next we prove that the operator D1 L is Tβ -closable, and that its closure generates a Feller semigroup. Since the operator D1 L is Tβ densely defined and Tβ -dissipative, it is Tβ -closable: see Proposition 4.3 assertion (a). Let Lp1q be its Tβ -closure. Since there exists λ0 ¡ 0 such that the range of λ0 I D1 L is Tβ -dense in Cb pr0,T s E q, and since D1 L is Tβ -dissipative, it follows that R λ0 I Lp1q Cb pr0, T s E q. 1

°8

, and R pλq n0 pλ0 λq pR pλ0 qq , Put R pλ0 q λ0 I Lp1q |λ λ0 | λ0. This series converges in the uniform norm. It follows that R λI Lp1q Cb pr0, T s E q for all λ P C for which |λ λ0 | λ0 . This procedure can be repeated to obtain: R λI Lp1q Cb pr0, T s E q for all λ P C with ℜλ ¡ 0. Put S0 ptqf

Tβ - λlim eλt etλ Rpλq f, Ñ8 2

f

n

n 1

P Cb pr0, T s E q .

(4.99)

Of course we have to prove that the limit in (4.99) exists. For brevity we write Apλq λ2 Rpλq λI Lp1q pλRpλqq, and notice that for f P D Lp1q we have Apλqf λRpλqLp1q f , and that Apλqf λRpλqLp1q f

Rpλq Lp1q

2

f

Lp1q f, for f P D

Lp1q

2

.

(4.100)

Let 0 λ µ 8. From Duhamel’s formula we get eλt eλtpλRpλqq f

eµt eµtpµRpµqq f »t tApλq tApµq e f e f esApλq pApλq Apµqq eptsqApµq f ds.

(4.101)

0

If f belongs to D pLp1q q2 , then Apλqf Apµqf pRpλq Rpµqq Lp1q and hence the equality in (4.101) can be rewritten as:

eµt eµtpµRpµqq f »t 2 esApλq pRpλq Rpµqq eptsqApµq Lp1q f ds.

2

f,

eλt eλtpλRpλqq f

0

From (4.102) we infer that for the uniform norm we have:

λt λtpλRpλqq e f eµt eµtpµRpµqq f e 8 »t 2 sApλq p tsqApµq p 1q e Rλ Rµ e L f ds

¤

0

p p q p qq

8

(4.102)

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¤ ¤

»t sApλq R µ eptsqApµq R λ e 0

1 1 p1q 2 t L f . λ µ 8

} p q p q}

253

p1q 2 L f ds

8

(4.103)

P D Lp1q 2 the limit S0 ptqf pτ, xq lim etApλq f pτ, xq (4.104) λÑ8 exists uniformly in pτ, t, xq P r0, T s r0, T s E. The next step consists in showing that the limit in (4.104) exists for f P D Lp1q . Let f P D Lp1q , and λ ¡ µ ¡ 0. Then we have for λ0 ¡ 0 sufficiently large: tApλq f etApµq f e 8 tApλq ¤ e pf λ0 R pλ0 q f q etApµq pf λ0 R pλ0 q f q8 tApλq pλ0 R pλ0 q f q etApµq pλ0 R pλ0 q f q8 e ¤ etApλq etApµq R pλ0 q Lp1qf 8 tApλq pλ0 R pλ0 q f q etApµq pλ0 R pλ0 q f q8 e From (4.103) we infer that for f

¤ λ2

0

p1q L f

8

tApλq λ0 R λ0 f e

p

p q q etApµq pλ0 R pλ0 q f q8 .

(4.105)

From (4.105) together with (4.104) it follows that (4.104) also holds for f P D Lp1q . There remains to be shown that the limit in (4.104) also exists in Tβ -sense, but now for f P Cb pr0, T s E q. Since the operator Lp1q is Tβ -dissipative, there exists, for u P H pr0, T s E q, a function v P H pr0, T s E q such that for all λ ¥ λ0 ¡ 0 the inequality in (4.14) in Definition 4.2 is satisfied, i.e. v λf

Lp1q f

¥ λ }uf }8 , 8


λ }uRpλqf }8

for all λ ¥ λ0 , and for all f

¤ }vf }8 ,

PD

Lp1q . (4.106)

f

P Cb pr0, T s E q .

(4.107)

Let f P Cb pr0, T s E q. By Hausdorff-Bernstein-Widder inversion theorem there exists a unique Borel-measurable function pτ, t, xq ÞÑ Sr0 ptqf pτ, xq such that Rpλqf pτ, xq

»8 1 p 1q λI L f pτ, xq eλρ Sr0 pρqf pτ, xqdρ, ℜλ ¡ 0. 0

(4.108)

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For the result in (4.108) see [Widder (1946)] Theorem 16a, page 315. The resolvent property of the mapping λ ÞÑ Rpλq, λ ¡ 0, implies the semigroup property of the mapping ρ ÞÑ S pρq. To be precise we have: Rpλqf

Rpµqf

»8

eλρ eµρ Sr0 pρqf dρ

0

pµ λq pµ λq pµ λq

»8»ρ 0

0

eλpρsqµs Sr0 pρ s

sq f ds dρ

eλpρsqµs Sr0 pρ s

sq f dρ ds

»8»8 0

s

»8»8

eλρµs Sr0 pρ

sq f dρ ds.

(4.109)

Rpµqf pµ λq RpλqRpµqf »8»8 pµ λq eλρµs Sr0 pρq Sr0 psqf dρ ds.

(4.110)

0

0

On the other hand we also have Rpλqf

0

0

Comparing (4.109) and (4.110) shows the equality: Sr0 pρ

sq f

Sr0 pρqSr0 psqf, ρ, s ¥ 0, f P Cb pr0, T s E q . ) Hence the family Sr0 pρq : ρ ¥ 0 is a semigroup. We have to show that the function pτ, t, xq ÞÑ Sr0 ptq f pτ, xq is a bounded continuous function. This !

will be done in several steps. First we will prove the following representation for Sr0 ptqf , f P Cb pr0, T s E q, Sr0 ptqf

λlim eλt Ñ8

8 λt ¸

k 0

p qk pλRpλqqk f lim eλt eλtpλRpλqq f S ptqf, 0 λÑ8 k!

(4.111) provided that the limit in (4.111) exists, and where S p t q is as in (4.100). 0 Let f P D Lp1q . Then the function S0 ptqf is the uniform limit of functions of the form pτ, t, xq ÞÑ etApλq f pτ, xq, and such functions are continuous in the variables pτ, t, xq: see (4.105). Consequently, the function S0 ptqf inherits this continuity property. Again let f P D Lp1q . We will prove ³ 8 µt that Rpµqf 0 e S0 ptqf dt, µ ¡ 0. Therefore we notice »8 0

eµt S0 ptqf dt

»8

eµt lim etApλq f dt

0

λlim Ñ8

»8 0

Ñ8 1 eµt etApλq f dt lim pµI Apλqq f λÑ8

λ

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λlim Ñ8

λ λ

µ

Lp1q

µI

I

1

1 λ

µ

255

Lp1q

λµ λ

µ

I

Lp1q

1

S0 ptqf

f (4.112)

f.

From (4.108) and (4.112) we infer the equality Sr0 ptqf

for f

PD

Lp1q .

(4.113)

After that we will prove that the averages of the semigroup tS0 pρq : ρ ¥ 0u is Tβ -equi-continuous. As a consequence, for f P Cb pr0, T s E q the function

pτ, t, xq ÞÑ 1t

»t 0

eλρ S0 pρqf pτ, xq dρ,

is a bounded and continuous function, and the family of operators " »t

1 t

0

eλρ S0 pρqdρ : 0 ¤ t ¤ T

As above we write Apλqf are: Rpλqf

λI »t 0

Lp1q

1

f

eλρ Sr0 pρqdρ f

*

is Tβ -equi-continuous.

λ2 Rpλqf λf .

»t 0

eλρ Sr0 pρqf dρ

eλt Sr0 ptq λI

(4.114)

Two very relevant equalities

eλt S0 ptq λI Lp1q

Lp1q

1

f,

1

f

(4.115)

and f

λI

Lp1q

Here we wrote

» t

»t 0

0

eλρ Sr0 pρqf dρ

eλρ Sr0 pρqdρ f

³t

eλt Sr0 ptqf. »t 0

(4.116)

eλρ Sr0 pρqf dρ

to indicate that the operator f ÞÑ 0 eλρ S0 pρqdρ f , f P Cb pr0, T s E q, is a mapping from Cb pr0, T s E q to itself, whereas it is not so clear what the target space is of the mappings Sr0 pρq, ρ ¡ 0. In order to show that the operators Sr0 ptq, t ¥ 0, are mappings from Cb pr0, T s E q into itself, we need the sequential λ-dominance of the operator D1 L for some λ ¡ 0. Moreover, it follows ! ) from this sequential λ-dominance that the semigroup eλt Sr0 ptq : t ¥ 0 is Tβ -equi-continuous. Once we know all this, then the formula in (4.116) makes sense and is true.

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256

For³ every measure ν on the Borel field of r0, T s E the mapping ρ ÞÑ Sr0 pρqf dν is a Borel measurable function on the semi-axis r0, 8q. The formula in (4.115) is correct, and poses no problem provided f P Cb pr0, T s E q. In fact we have »8 0

eµt eλt S0 ptqRpλqf dt Rpλ

»8 0

»8

1 eµρ λρ r e S0 pρqf dρ µ eµt

»8 t

0

and hence

µqRpλqf

»8»ρ 0

0

µ1 pRpλq Rpλ

eµt dt eλρ Sr0 pρqf dρ

eλρ Sr0 pρqf dρ dt,

eλt S0 ptq λI

Lp1q

1

f

µqq f

(4.117)

eλt S0 ptqRpλqf

»8 t

eλρ Sr0 pρqf dρ. (4.118)

From (4.118) we infer »t 0

eλρ Sr0 pρqf dρ »t 0

»8

eλρ Sr0 pρqf dρ

»8 0

eλt S0 ptq λI

t

Lp1q

1

f

eλρ Sr0 pρqf dρ

eλρ Sr0 pρqf dρ λI

Lp1q

1

(4.119)

f.

The equality in (4.115) is the same as the one in (4.119). From the equality ³ t λρ p τ, t, x q Ñ Þ e Sr pρqf pτ, xqdρ is in (4.115) it follows that the function 0 0 p 1q p 1q continuous. Next let g P D L and put f λI L g. From (4.115) we get: g eλt S0 ptqg From (4.120) we infer: g

¤

» t

eλt S0 ptqg8 »t

0

eλρ Sr0 ρ f dρ

0

pq

8

»t 0

eλρ S0 pρqdρ f.

(4.120)

eλρ S0 pρqdρ f

¤

»t 0

8

eλρ dρ λg

Lp1qg8 ,

(4.121)

0 we obtain }g S0 ptqg}8 ¤ t"Lp1q g8 . This inequal* 1 ity proves the uniform boundedness of the family pg S0 ptqgq : t ¡ 0 . t and hence for λ

Next let us discuss its convergence. Therefore we again employ (4.115),

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257

and proceed as follows. Let pfn qnPN be a sequence in Cb pr0, T s E q which decreases pointwise to the zero-function. Choose the sequence gnλ nPN D Lp1q in such a way that λfn λgnλ Lp1q gnλ . Then the sequence gnλ nPN decreases to zero as well. For t ¡ 0 have gnλ

»t

eλt S0 ptqgnλ

»t

S0 ptqgnλ

(4.122)

eλtλρ S0 pρqdρ fn .

(4.123)

0

or, what is equivalent, eλt gnλ

eλρ S0 pρqdρ fn ,

λ

λ 0

Since the operator Lp1q is Tβ -dissipative, it follows that pointwise to zero for all T implies sup

¤

t, 0 t T

sup

λ, λ T 1

¥

gnλ decreases

¡ 0. So that, with λ t1 , the equality in (4.122) 1 t

»t 0

S0 pρqdρ fn

Ó 0,

as n Ñ 8.

(4.124)

Consequently, for any fixed λ P R, the family of operators " »t

1 t

0

eλρ S0 pρqdρ : T

*

¥t¡0 Let f P Cb pr0, T s E q.

is Tβ -equi-continuous: see Corollary 2.3. show that » 1 t λρ S0 pρqdρ f e Tβ - lim tÓ0 t 0

f.

(4.125) We will (4.126)

It suffices to prove (4.126) for λ ¡ 0. First assume that f Rpλqg belongs to the domain of Lp1q . Then we have » » »8 1 t λρ 1 t λρ S0 pρqdρ f S0 pρq eλσ S0 pσ q dσ dρg e e t 0 t 0 0 » » 1 t 8 λpσ ρq t e S0 pσ ρq dσ g dρ 0 0 »t»8 1t eλσ S0 pσ q dσ g dρ. (4.127) 0 ρ ³8

Since the function ρ ÞÑ ρ eλσ S0 pσ q dσ g is continuous for the uniform norm topology on Cb pr0, T s E q, (4.127) implies 1 }}8 - lim tÓ0 t

»t»8 0

ρ

eλσ S0 pσ qdσ f

»8 0

eλσ S0 pσ qdσ g

f, f P D

Lp1q .

(4.128)

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Since D Lp1q is Tβ -dense in Cb pr0, T s E q, the equi-continuity of the family in (4.125) implies that Tβ - lim

Ó

t 0

1 t

»t 0

eλρ S0 pρqdρ f

f,

f

P Cb pr0, T s E q .

(4.129)

From the equality in (4.120) together with (4.129) we see that Tβ - lim

Ó

t 0

g eλt S0 ptqg t

f λg Lp1q g,

g

PD

!

Lp1q .

(4.130)

)

So far we have proved that the semigroup Sr0 ptq : t ¥ 0 maps the domain

of Lp1q to bounded continuous functions, and that the family in (4.129) consists of mappings which assign to bounded continuous again bounded continuous functions. What is not clear, is whether or not the operators Sr0 ptq, t ¥ 0, leave the space Cb pr0, T s E q invariant. Fix λ ¡ 0, and to every f P Cb pr0, T s E q, f ¥ 0, we assign the function f λ defined by fλ

!

sup pµR pλ

µqq f : µ ¡ 0, k k

PN

)

,

(4.131)

The reader is invited to compare the function f λ with (2.49) and other results in Proposition 2.4. The arguments which follow are in line with the proof of Proposition 2.4. The function f λ is the smallest λ-super-median valued function which exceeds f . A closely related notion is the notion of λ-super-mean valued function. A function g : r0, T s E Ñ r0, 8q is called λ-super-median valued if eλt Sr0 ptqg ¤ g for all t ¥ 0; it is called λ-super-mean valued if µR pλ µq g ¤ g for all µ ¡ 0. In Lemma (9.12) in [Sharpe (1988)] it is shown that, essentially speaking, these notions are equivalent. In fact the proof is not very difficult. It uses the HausdorffBernstein-Widder theorem about the representation by Laplace transforms of positive Borel measures on r0, 8q of completely positive functions. The reader is also referred to Remark 4.1 and Definition 4.3. Let f P Cb pr0, T s E q be positive. Here we use the representation eλt Sr0 ptqf

µt µlim Ñ8 e

and hence

8 µt ¸

k 0

p qk pµR pλ k!

sup eλt Sr0 ptqf

¡

t 0

Since

pµR pλ

µqq f k

µk

pk 1q!

»8 0

µqqk f

¤ f λ,

¤ f λ.

tk1 eµt eλt Sr0 ptqf dt

(4.132)

(4.133)

(4.134)

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we see by invoking (4.131) that the two expressions in (4.133) are the same. In order to finish the proof of Theorem 4.3 we need the hypothesis that the operator D1 L is sequentially λ-dominant for some λ ¡ 0. In fact, let the sequence pfn qnPN Cb pr0, T s E q converge downward to zero, and select functions gnλ P D pD1 Lq, n P N, with the following properties:

¤ gnλ; tg ¥ fn 1K : pλI D1 Lq g ¥ 0u; sup gPDpinf D Lq K PKpr0,T sE q lim g λ pτ, xq 0 for all pτ, xq P r0, T s E. nÑ8 n

(1) fn (2) gnλ

1

(3)

In the terminology of (2.42) and Definition 4.3 the functions gnλ are denoted by gnλ Uλ1 pfn q, n P N. Recall that K pr0, T s E q denotes the collection of all compact subsets of r0, T s E. By hypothesis, the sequence as defined in 2 satisfies 1 and 3. Let K be any compact subset of r0, T s E, and g P D pD1 Lq be such that g ¥ fn 1K and pλI D1 Lq g ¥ 0. Then we have

µq I Lp1q g

pλ

ppλ

µq I D 1 L q g

¥ fn 1K we infer k µq g ¥ pµR pλ µqq g ¥ pµR pλ

¥ µg.

(4.135)

From (4.135) and g g

¥ µR pλ

µqq

k

pf n 1 K q ,

(4.136)

and hence (4.136) together with (4.131) and (4.133) (which is in fact an equality) we see gnλ

¥ fnλ

!

sup

P pr sE q

K K 0,T

sup

P pr sE q

sup eλt Sr0 ptq pfn 1K q : t ¥ 0 !

sup

K K 0,T

pµR pλ

µqq

k

pfn 1K q : µ ¡ 0, k P N

!

Since by lim fnλ

Ñ8

n

)

)

sup pµR pλ µqqk fn : µ ¡ 0, k P N ! ) sup eλt Sr0 ptqfn : t ¥ 0 . hypothesis lim gnλ 0 the inequality nÑ8

0. It follows that

!

lim sup eλt Sr0 ptqfn : t ¥ 0

Ñ8

n

)

(4.137) in (4.137) implies:

0.

From Corollary 2.3 it follows that the family of operators !

)

pµR pλ

µqq : µ ¥ 0, k k

PN

)

(4.138)

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is Tβ -equi-continuous. Hence for every function u exists a function v P H pr0, T s E q such that u µR λ

p p

µqq f k

¤ }vf }8 ,

8

Since

!

sup eλt Sr0 ptqf : t ¥ 0

P H pr0, T s E q there

P Cb pr0, T s E q , µ ¥ 0, k P N.

f

(4.139)

)

!

sup pµR pλ

µqqk f : µ ¥ 0, k

PN

)

, f

¥ 0,

(4.140) the inequality in (4.139) yields

λt r S0 t f vf 8 , f Cb 0, T E , t ue 8 Since D Lp1q is Tβ -dense, and the operators Sr0 t , t p1q

¤} }

pq

P pr

s q ¥ 0. (4.141) p q ¥ 0, are mappings

from D L to Cb pr0, T s E q the Tβ -equi-continuity in (4.141) shows that the operators Sr0 ptq, t ¥ !0, are in fact mappings from Cb pr0, T s E q ) to itself, and that the family eλt Sr0 ptq : t ¥ 0 is Tβ -equi-continuous. However, all these observations conclude the proof of the implication (iii) ùñ (i) of Theorem 4.3. So, finally, the proof of Theorem 4.3 is complete.

Remark 4.3. The equality in (4.115) shows that the function g : Rpλqf , where f ¥ 0 and f P Cb pr0, T s E q is λ-super-mean valued in the sense that an inequality of the form eλt S0 ptqg ¤ g holds. Such an inequality is equivalent to µR pµ λq g ¤ g. For details on such functions and on λ-excessive functions see [Sharpe (1988)], page 17 and Lemma 9.12, page 45. 4.3

Korovkin property

The following notions and results are being used to prove Theorem 2.13. We recall the definition of Korovkin property. Definition 4.4. Let E0 be a subset of E The operator L is said to possess the Korovkin property on E0 if there exists a strictly positive real number λ0 ¡ 0 such that for every x0 P E0 the equality "

inf

sup

P p q P

h D L x E0

sup

inf

P p q P

hpx0 q

h D L x E0

"

hpx0 q

g I

1 L h λ0

g I

*

pxq

1 L h λ0

(4.142) *

pxq

(4.143)

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P Cb pE q. Let g P Cb pE q and λ ¡ 0. The equalities

261

is valid for all g "

inf

P p q

h D L

hpx0 q :

hPinf sup D pL q P

x E0

inf

I

λ1 L

hpx0 q

on E0

g I

1 L h λ

"

sup min max hpx0 q

P

P p q 8 8

*

h¥g

Γ D L Φ E0 h Γ x Φ #Γ #Φ

pxq

g I

1 L h λ

pxq

*

,

(4.144)

show that the Korovkin property could also have been defined in terms of any of the quantities in (4.144). In fact, if L satisfies the (global) maximum principle on E0 , i.e. if for every real-valued function f P DpLq the inequality λ sup f pxq ¤ sup pλf pxq Lf pxqq

P

x E0

P

(4.145)

x E0

holds for all λ ¡ 0, then the Korovkin property (on E0 ) does not depend on λ0 ¡ 0. In other words, if it holds for one λ0 ¡ 0, then it is true for all λ ¡ 0. This is part of the contents of the following proposition. In fact the maximum principle as formulated in (4.145) is not adequate in the present context. The correct version here is the following one, which is kind of a weak maximum principle on a subset of E. Definition 4.5. Let E0 be a subset of E. Suppose that the operator L has the property that for every λ ¡ 0 and for every x0 P E0 it is true that h px0 q ¥ 0, whenever h P DpLq is such that pλI Lq h ¥ 0 on E0 . Then the operator L is said to satisfy the weak maximum principle on E0 . As we proved in Proposition 2.8 the notion of “weak maximum principle” and “maximum principle” coincide, provided 1 P DpLq and L1 0. In order to be really useful, the Korovkin property on E0 should be accompanied by the maximum principle on E0 . To be useful the global Korovkin property (see Definition 4.6) requires the global maximum principle (see (4.145)). In addition we need the fact that the constant functions belong to DpLq and that L1 0. If we only know the global maximum principle, in the sense of (4.145), then the global Korovkin property is required. Definition 4.6. The operator L is said to possess the global Korovkin property if there exists a strictly positive real number λ0 ¡ 0 such that for

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262

every x0

MarkovProcesses

P E the equality " inf sup hpx0 q hPDpLq P

x E

"

g I

hpx0 q

sup inf

P p q P

h D L x E

is valid for all g

λ1 L

h

0

g I

λ1 L

*

pxq

h

0

(4.146) *

pxq

(4.147)

P Cb pE q.

First we treat the situation of a subset of E. The global version is obtained from the one on E0 by replacing the subset E0 with the full state space E. Again a resolvent family is obtained. In order to prove the equalities of (4.166) through (4.175) the global maximum principle is used. In fact it is used to show the equalities "

inf sup hpx0 q h P DpLq x P E

hPinf DpLq

"

"

h px0 q : h px0 q :

sup

P p q

h D L

I

"

hpx0 q

sup inf

P p q P

h D L x E

I

g I

1 L h¥g λ

1 L h¤g λ

λ1 L

g I

*

pxq

h

(4.148)

*

on E

(4.149) *

on E

1 L h λ

(4.150) *

pxq

(4.151)

.

In particular, if g 0, and if L satisfies the global maximum principle, then the expressions in (4.148) through (4.151) are all equal to 0. Put λ0 R pλ0 q g px0 q

hPinf sup DpLq P

x E0

sup

inf

P p q P

h D L x E0

"

"

hpx0 q hpx0 q

g I

g I

*

1 L h λ0

pxq

1 L h λ0

pxq

*

.

(4.152)

Then λ0 R pλ0 q is a linear operator from Cb pE0 q to Cb pE0 q. The following proposition shows that there exists a family of operators tRpλq : 0 λ 2λ0 u which has the resolvent property. The operator λRpλq is obtained from (4.152) by replacing λ0 with λ. It is clear that this procedure can be extended to the whole positive real axis. In this way we obtain a resolvent family tRpλq : λ ¡ 0u. The operator Rpλq can be 1 written in the form Rpλq pλI L0 q , where L0 is a closed linear operator which extends L (in case E0 E), and which satisfies the maximum principle on E0 , and, under certain conditions, generates a Feller semigroup

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and a Markov process. For convenience we insert the following lemma. It is used for E0 E and for E0 a subset of E which is Polish with respect to the relative metric. The condition in (4.155) is closely related to the maximum principle. Lemma 4.1. Suppose that the constant functions belong to DpLq, and that L1 0. Fix x0 P E, λ ¡ 0, and g P Cb pE0 q. Let E0 be any subset of E. Then the following equalities hold: * "

1 inf sup h px0 q g pxq I L hpxq λ hPDpLq xPE0

hPinf DpLq

"

h px0 q :

and

I

h px0 q

P p q P

h D L x E0

"

inf

P p q

h D L

h px0 q :

P

x E0

h px0 q :

sup

P p q

sup g pxq ¥

g pxq I

"

h D L

I

I

λ1 L

"

inf

P p q

h D L

*

1 L h ¥ g on E0 , λ

"

inf

sup

If

*

λ1 L hpxq

*

1 L h ¤ g on E0 . λ

h ¥ 0 on E0

h px0 q :

(4.153)

I

*

¥ 0,

(4.154)

then

1 L h ¥ g on E0 λ

*

(4.155) g pxq, ¥ xinf PE 0

(4.156) and also

"

inf

P p q

h D L

¥

h px0 q :

"

sup

P p q

h D L

h px0 q :

I

λ1 L

I

h ¥ g on E0

*

*

1 L h ¤ g on E0 . λ

(4.157)

First notice that by taking h 0 in the left-hand side of (4.153) we see that the quantity in (4.153) is less than or equal to sup g pxq, and that the

P

x E0

quantity in (4.154) is greater than or equal to inf g pxq. However, it is not

P

x E0

8, and that (4.154) is equal to 8. Upon replacing g with g we see that the equality in (4.154) is

excluded that (4.153) is equal to

Proof. a consequence of (4.153). We put αE0

hPinf DpLq

"

h px0 q :

I

1 L h ¥ g on E0 λ

*

and

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βE 0

"

hPinf sup DpLq

h px0 q

P

x E0

g pxq I

First assume that βE0 P R. Let ε that for x P E0 we have

hε px0 q Then g pxq ¤

I

I

¡ 0.

g pxq I

*

1 L hpxq . λ

Choose hε

(4.158)

P DpLq in such a way

1 L hε pxq ¤ βE0 λ

ε.

1 L hε pxq βE0 ε hε px0 q λ

1 L phε hε px0 q βE0 εq pxq. λ

(4.159)

The substitution r hε hε hε px0 q βE0 ε in (4.159) yields αE0 ¤ r hε px0 q βE0 ε. Since ε ¡ 0 was arbitrary, we get αE0 ¤ βE0 . The same argument with n instead of βE0 ε shows αE0 8 if βE0 8. Next we assume that αE0 P R. Again let ε ¡ 0 bearbitrary.

Choose a function hε P D pLq 1 such that hε px0 q ¤ αE0 ε, and I L hε ¥ g on E0 . Then we have, λ for x P E0 ,

hε px0 q

g pxq I

λ1 L

hε pxq ¤ hε px0 q ¤ βE0

ε,

and hence βE0 ¤ αE0 ε. Since ε ¡ 0 was arbitrary, we get βE0 ¤ αE0 . Again, the argument can be adapted if αE0 8: replace αE0 ε by n, and let n tend to 8. If condition (4.155) is satisfied, then with m inf g py q we have

P

y E0

αE0

¥ hPinf DpLq hPinf DpLq

"

"

h px0 q :

I

h px0 q :

I

*

1 L h ¥ inf g py q on E0 y PE0 λ

* 1 L ph mq ¥ 0 on E0 ¥ m. λ

(4.160)

The inequality in (4.160) shows the lower estimate in (4.156). The upper estimate is obtained by taking h sup g py q. Next we prove the inequality

P

y E0

in (4.157). Therefore we observe that the functional ΛE0 : Cb pE, Rq defined by ΛE0 pg q

"

inf

P p q

h D L

h px0 q :

I

1 L h ¥ g on E0 λ

Ñ R,

*

(4.161)

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is sub-additive and positive homogeneous. The latter means that ΛE0 pg1 for g1 , g2 , g

g2 q ¤ ΛE0 pg1 q

ΛE0 pg2 q , and ΛE0 pαg q αΛE0 pg q

P Cb pE, Rq, and α ¥ 0. Moreover,

ΛE pgq 0

"

sup

P p q

h D L

h px0 q :

I

λ1 L

*

h ¤ g on E0 .

(4.162)

It follows that ΛE0 pg q

ΛE0 pg q ¥ ΛE0 p0q

hPinf DpLq

"

h px0 q :

I

1 L h ¥ 0 on E0 λ

*

¥ 0.

(4.163)

The inequality in (4.157) is a consequence of (4.162) and (4.163). This completes the proof of Lemma 4.1.

The definition of an operator L satisfying the maximum principle on a subset E0 can be found in Definition 4.5. Proposition 4.4 contains the basic formulas which turn the Korovkin property into a resolvent family of operators, and ultimately a Feller semigroup. Proposition 4.4. Let 0 λ 2λ0 and g P Cb pE q and E0 a subset of E. Suppose the operator L satisfies the maximum principle on E0 . In addition, let the domain of L contain the constant functions, and assume L1 0. Let x0 P E0 . Put λRpλqg px0 q

lim inf inf nÑ8 h PDpLq 0

n ¸

1

j 0

lim inf nÑ8

λ λ0

sup

P p q

P

inf

sup

P p q P

j "

hj pxj q

sup

inf

P p q P

sup

1

j 0

h

λ g pxj λ0 inf

P p q P

h0 D L x 1 E 0 h1 D L x 2 E 0

hn D L x n n ¸

sup

x 1 E 0 h1 D L x 2 E 0

1

inf

n

sup

PDpLq xn 1PE0

q

I

λ1 L

0

hj pxj

1

q

*

(4.164)

inf 1

λ λ0

PE 0

j "

hj pxj q

λ g pxj λ0

1

q

I

1 L hj pxj λ0

1

q

*

. (4.165)

Then the following identities are true: λRpλqg px0 q

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nlim Ñ8

j n λ ¸ λ 1 pλ0 R pλ0 qqj λ0 j 0 λ0

j 8 λ ¸ λ 1 pλ0 R pλ0 qqj λ0 j 0 λ0

nlim Ñ8

P DpLq, pλI Lq h0 λλ

hj

¥

n ¸

0

max

P ¤¤

x j E0 1 j n 1j 0

j "

hj pxj q

"

inf max hpx0 q h P DpLq x P E0

hPinf DpLq

1

λ λ0

"

"

h px0 q : h px0 q :

sup

P p q

h D L

I I

P p q P

h D L x E0

nlim Ñ8

n ¸

min

P ¤¤

x j E0 1 j n 1j 0

¥

1

j

1

j 0

j 0

g I

1 L h λ

λ λ0

j "

hj pxj q

λ λ0

j

j "

0

hj pxj q

sup

P p q ¤¤

P

1

λ λ0

j "

hj pxj q

1 L hj pxj λ0

1

q

*

(4.168)

*

pxq

(4.169)

on E0

(4.170) *

on E0

1 L h λ

(4.171) *

pxq

8 °

j 1

λ g pxj λ0

(4.172)

1 1

λ λ0

q

j 1

I

pλI Lq hj

1 L hj pxj λ0

1

q

*

(4.173) 1

λ g pxj λ0

1

q

I

1 L hj pxj λ0

1 L hj pxj λ0

1

q

*

(4.174)

min

¤¤

hj D L , 0 j n x j E 0 , 1 j n 1

I

pλI Lq hj

*

0

nlim max Ñ8 h PDpLinf q, 0¤j¤n x PE , 1¤j¤n

n ¸

1

q

j 1

λ g pxj λ0

P DpLq, pλI Lq h0 λλ j 0

nlim Ñ8

λ λ0

sup hj

n ¸

1

j 1

g I

(4.166) (4.167)

8 °

1 L h¥g λ

1 L h¤g λ

"

sup min hpx0 q

g px0 q

g px0 q inf

j 0

1

1

λ g pxj λ0

1

q

I

1

q

*

. (4.175)

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Suppose that the operator possesses the global Korovkin property, and satisfies the maximum principle, as described in (4.145). Put λRpλqg px0 q

lim inf inf sup inf sup nÑ8 h PDpLq h PDpLq h P

x1 E

0

n ¸

1

j 0

lim inf nÑ8 n ¸

λ λ0

P

x2 E

1

j "

hj pxj q

sup

inf

P p q P

λ g pxj λ0

sup

inf

P p q P

h0 D L x 1 E h1 D L x 2 E

1

j 0

λ λ0

j "

hj pxj q

1

λ g pxj λ0

inf

n

sup

PDpLq xn 1 PE

q

I

sup

P p q

1q

I

1

q

*

(4.176)

inf

hn D L x n

1 L hj pxj λ0 1

PE

λ1 L

0

hj pxj

1q

*

. (4.177)

Then the quantities in (4.166) through (4.175) are all equal to λRpλqg px0 q, provided that the set E0 is replaced by E. In case we deal with the (local) Korovkin property on E0 , the convergence of

pλI Lq h0 λλ

8 ¸

0 j 1

1

λ λ0

j 1

pλI Lq hj

(4.178)

in (4.168) and (4.173) is supposed to be uniform on E0 . In case we deal with the global Korovkin property, and the maximum principle in (4.145), then the convergence in (4.178) should be uniform on E. Corollary 4.2. Suppose that the operator L possesses the Korovkin property on E0 . Then for all λ ¡ 0 the quantities in (4.169), (4.170), (4.171), and (4.172) are equal for all x0 P E0 and all functions g P Cb pE0 q. If L possesses the global Korovkin property, then "

inf max hpx0 q h P DpLq x P E

hPinf DpLq

sup

P p q

h D L

"

h px0 q :

"

h px0 q :

g I

λ1 L

h

I

1 L h¥g λ

I

1 L h¤g λ

*

pxq

(4.179)

*

on E

(4.180) *

on E

(4.181)

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"

sup min hpx0 q

g I

P p q P

h D L x E

1 L h λ

*

pxq

(4.182)

.

Moreover, for λ ¡ 0 and f

P DpLq, the equality Rpλq pλI Lq f f holds. Proof. By repeating the result in Proposition 4.4 for all λ1 P p0, 2λ0 q instead of λ0 we get these equalities for λ in the interval p0, 4λ0 q. This procedure can be repeated once more. Induction then yields the desired result. That for λ ¡ 0 and f P DpLq, the equality Rpλq pλI Lq f f holds can be seen by the following arguments. By definition we have λRpλq pλI

Lq f px0 q inf th px0 q : pλI Lq f ¥ h

on E0 , h P DpLqu ¤ f px0 q .

(4.183)

on E0 , h P DpLqu ¥ f px0 q .

(4.184)

We also have

λRpλq pλI

Lq f px0 q sup th px0 q : pλI Lq f ¤ h

The stated equality is a consequence of (3.161) and (4.183). It also completes the proof of Corollary 4.2. We continue with a proof of Proposition 4.4. Proof. [Proof of Proposition 4.4.] The equality of each term in (4.164) and (4.165) follows from the Korovkin property on E0 as exhibited in the formulas (4.142) and (4.143) of Definition 4.4, provided that the limit in (4.164) exists. The existence of this limit, and its identification are given in (4.166) and (4.167) respectively. For this to make sense we must be sure that the partial sums of the first n 1 terms of the quantities in (4.164) and (4.166) are equal. In fact a rewriting of the quantity in (4.164) before taking the limit shows that the quantity in (4.174) is also equal to (4.164); i.e. inf

sup

P p q P

inf

sup

P p q P

h0 D L x 1 E 0 h1 D L x 2 E 0

h

h PDpLinfq, 0¤j¤n x PE max , 1¤j ¤n j

j

0

#

inf

n

# 1

sup

PDpLq xn 1PE0 n ¸

+

n ¸

+

j 0

.

j 0

In fact the same is true for the corresponding partial sums in (4.165) and (4.175), but with inf instead of sup, and min instead of max. For 0 λ 2λ0 , we have |λ0 λ| λ0 . Since

|λ0 λ| }R pλ0 q f }8 ¤

λ0 λ f λ

}} , 8 0

f

P Cb pE, Rq ,

(4.185)

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the sum in (4.167) converges uniformly. The equality of the sum of the first n 1 terms in (4.164) and (4.166) can be proved as follows. For 1 ¤ k ¤ n we may employ the following identities: sup

inf

P p q P

h0 D L x 1 E 0

n ¸

1

λ λ0

j 0

h Pinf DpLq 0

n¸k

1

λ λ0

j "

inf

n

sup

PDpLq xn 1PE0

hj pxj q

h

sup

P

x 1 E0

j "

n

λ g pxj λ0

n ¸

1

1q

inf sup k PDpLq xnk 1 PE0

hj pxj q

λ λ0

j 0

h

j n k 1

λ λ0

λ g pxj λ0

j

1q

λ1 L

I

0

hj pxj

λ1 L

I

0

hj pxj

1q

*

*

1q

pλ0 R pλ0 qqjpnkq g pxnk 1 q .

(4.186)

The equality in (4.186) can be proved by induction with respect to k, and by repeatedly employing the definition of λ0 R pλ0 q f , f P Cb pE, Rq, together with its linearity. Using (4.186) with k n we get inf

sup

P p q P

h0 D L x 1 E 0 n ¸

1

j 0

λ λ0

h Pinf DpLq 0

h

j "

inf

n

sup

PDpLq xn 1PE0

hj pxj q

"

h0 px0 q

sup

P

x 1 E0

n λ ¸ λ 1 λ0 j 1 λ0

λλ

n ¸

0 j 0

1

λ g pxj λ0

λ λ0

j

j

1

q

I

λ g px1 q I λ0

λ1 L

*

1 L hj pxj λ0

0

1

q

*

h0 px1 q

pλ0 R pλ0 qqj g px1 q

pλ0 R pλ0 qqj

1

g px0 q .

(4.187)

From the equality of (4.164) and (4.165), together with (4.187) we infer

j n λ ¸ λ 1 pλ0 R pλ0 qqj nÑ8 λ0 λ 0 j 0

λRpλqg px0 q lim

1

g px0 q .

(4.188)

Notice that by (4.185) the series in (4.188) converges uniformly. Consequently, the equalities of the quantities in (4.164), (4.165), (4.166), (4.167), (4.174), and (4.175) follow, and all these expressions are equal to

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λRpλqg px0 q. Next let phj qj PN property:

pλI Lq h0 λλ

DpLq be any sequence with the following

8 ¸

1

0 j 1

λ λ0

j 1

pλI Lq hj

(4.189)

where the series in (4.189) converges uniformly. Then by the maximum

j 1 8 λ λ ¸ principle the series 1 hj converges uniformly as well. So λ0 j 1 λ0 it makes sense to write: h0 h1n

j 1 n 1 λ ¸ λ 1 h1j λ0 j 1 λ0

8 ¸

1

1

j n 1

λ λ0

where h1j

hj ,

1¤j

¤ n, and

j n1

(4.190)

hj .

Again the series in (4.190) converges uniformly. From the representation of h0 in (4.190) we infer the equalities: inf

P

P p q ¤¤

max

¤¤

hj D L , 0 j n x j E 0 , 1 j n 1 n ¸

1

j 0

λ λ0

j "

hj pxj q

λ g pxj λ0 inf

hj

P DpLq, pλI Lq h0 λλ ¥

j 0

max

P ¤¤

n ¸

x j E0 1 j n 1j 0

0

1

λ λ0

j "

hj pxj q

1

q

8 °

j 1

1

λ g pxj λ0

λ λ0

I

1 L hj pxj λ0

j 1

1

q

1

q

*

(4.191)

pλI Lq hj

I

1 L hj pxj λ0

1

q

*

.

(4.192) Hence, the equality of (4.174) and (4.168) follows. A similar argument shows the equality of (4.175) and (4.173). Of course, here we used the equality of (4.191) and (4.192) with “inf” instead of “sup”, and “max” replaced with “min” and vice versa. So we have equality of the following expressions: (4.164), (4.165), (4.166), (4.167), (4.168), (4.173), (4.174), (4.175). The proof of the fact that these quantities are also equal to (4.169), (4.170), (4.171), and (4.172) is still missing. Therefore we first show that the expression in (4.168) is greater than or equal to (4.169). In a similar manner it is shown that the expression in (4.173) is less than or equal to (4.172): in fact by applying the inequality (4.168) ¥ (4.169) to g instead

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of g we obtain that (4.173) is less than or equal to (4.172). From the (local) maximum principle it will follow that the expression in (4.169) is greater than or equal to (4.172). As a consequence we will obtain that, with the exception of (4.170) and (4.171), all quantities in Proposition 4.4 are equal. Proving the equality of (4.169) and (4.170), and of (4.171) and (4.172) is a separate issue. In fact the equality of (4.169) and (4.170) follows from Lemma 4.1 equality (4.153), and the equality of (4.171) and (4.172) follows from the same lemma equality (4.154). (4.168)

¥ (4.169).

Fix the subset E0 of E, and let phj qj PN n ¸

λ nlim Ñ8 λ

j 1

1

D pL q

λ hj . Here the λ0 0 j 1 convergence is uniform on E0 . In fact each hj may chosen equal to h0 . In (4.168) we choose all xj x P E0 . Then we get with the following property: Lh0

n ¸

1

j 0

λ λ0

j "

h0 px0 q

n ¸

1

h0 px0 q

j 1

j 1

1 λ

h pxj q

n ¸

1

λ λ0

1

j

λ g pxj λ0

λ λ0

j

hj pxq

1

q

I

j n λ ¸ λ 1 hj λ0 j 0 λ0

j n λ ¸ λ 1 g pxq I λ0 j 0 λ0

λ λ0

n

1

L

λ λ0

8 ¸

j n 1

*

1 L hj pxj λ0

1

q

j n λ ¸ λ 1 g pxq h0 pxq λ0 j 0 λ0

hj pxq 1 L λ

1

λ λ0

pxq

1 L h0 pxq λ

j n1

hj

pxq.

(4.193)

The expression in (4.193) tends to

1 h0 px0 q g pxq I L h0 pxq uniformly on E0 , (4.194) λ and consequently, since h0 P DpLq may be chosen arbitrarily, we see that (4.168) ¥ (4.169). (4.173) ¤ (4.172). The proof of this inequality follows the same lines as the proof of (4.168) ¥ (4.169). In fact it follows from the latter inequality by applying it to g instead of g. The reader is invited to check the details. (4.169) defined by Λ

¥ (4.172).

Consider the mapping Λ : Cb pE, Rq

pgq hPinf sup D pL q P

x E0

"

h px0 q

g pxq I

*

λλ L hpxq 0

Ñ r8 8q .

(4.195)

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where g P Cb pE, Rq. From the weak maximum principle (see Definition 4.5) and Lemma 4.1, inequality (4.156) it follows that Λ attains its values in R. In addition, the functional Λ is sub-additive, and the expression in (4.172) is equal to Λ pg q. It follows that

pgq

Λ

Λ

hPinf DpLq

pgq ¥ Λ p0q

1 h px0 q : I L h ¥ 0, λ

"

*

¥ 0.

on E0

(4.196)

In (4.196) we used the weak maximum principle: compare with the arguments in (4.163) of the proof of inequality (4.157) in Lemma 4.1. This establishes Proposition 4.4. Proposition 4.5. Suppose that the operator L possesses the Korovkin property on E0 . Then for all λ ¡ 0 and f P Cb pE q the quantities in (4.169), (4.170), (4.171), and (4.172) are equal for all x0 P E. These quantities are also equal to "

P

sup

v H

inf

pE q hPDpLq

vPHinfpEq

h px0 q : v I "

h px0 q : v I

sup

P p q

h D L

1 L h ¥ vg λ

λ1 L

*

(4.197) *

h ¤ vg .

(4.198)

Recall that H pE q stands for all functions u P H pE q, u ¥ 0, with the property that for every α ¡ 0 the level set tu ¥ αu is a compact subset of E. Observe that for every u P H pE q there exists a function u0 P H pE q such that |upxq| ¤ u0 pxq for all x P E. Corollary 4.3. Suppose that the operator L possesses the Korovkin property on E0 , and is positive Tβ -dissipative on E0 . Then the family tλRpλq : λ ¥ λ0 u, as defined in Proposition 4.4, is Tβ -equi-continuous (on E0 ) for some λ0 ¡ 0. Proof.

We use the representation in (4.171):

λRpλqf px0 q sup

P p q

h D L

"

h px0 q :

I

λ1 L

h¤f

*

on E0 .

(4.199)

Let u P H pE q and x0 P E. Since L is supposed to be positive Tβ dissipative on E0 , there exists λ0 ¡ 0 and v P H pE0 q such that λu px0 q h px0 q ¤ sup v pxq pλhpxq Lhpxqq

P

x E0

(4.200)

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for all h P DpLq which are real-valued and for all λ ¥ λ0 . For the precise definition of positive Tβ -dissipativity (on E) see (4.15) in Definition 4.2. From (4.199) and (4.200) we infer: u px0 q λRpλqf px0 q

¤ ¤

sup

P p q

h D L

sup

P p q

h D L

sup

P p q

h D L

tu px0 q h px0 q : λh Lh ¤ λf

on E0 u

tu px0 q h px0 q : λh Lh ¤ λf

on E0 u

"

1 sup v pxq pλh pxq Lhpxqq : λh Lh ¤ λf on E0 λ xPE

¤ sup vpxqf pxq. P

x E0

*

(4.201)

Since by construction ℜRpλqf

Rpλqℜf , (4.201) implies: }uλRpλqf }8 ¤ }vf }8 , f P Cb pE0 q , λ ¥ λ0 .

(4.202)

The conclusion in Corollary 4.3 is a consequence of (4.202).

In the following theorem we wrap up more or less everything we proved so far about an operator with the Korovkin property on a subset E0 of E. Theorem 4.4 and the related observations were used in the proof of Theorem 2.13. Theorem 4.4. Let E0 be a Polish subspace of the Polish space E. Suppose that every function f P Cb pE0 q can be extended to a bounded continuous function on E. Let L be a linear operator with domain and range in Cb pE q which assigns the zero function to a constant function. Suppose that the operator L possesses the following properties: (1) Its domain DpLq is Tβ -dense in Cb pE q. (2) The operator L assigns real-valued functions to real-valued functions: ℜ pLf q Lℜf for all f P DpLq. (3) If f P DpLq vanishes on E0 , then Lf vanishes on E0 as well. (4) The operator L satisfies the maximum principle on E0 . (5) The operator L is positive Tβ -dissipative on E0 . (6) The operator L is sequentially λ-dominant on E0 for some λ ¡ 0. (7) The operator L has the Korovkin property on E0 . Let LæE0 be the operator defined by D pLæE0 q tf æE0 : f P DpLqu, and LæE0 pf æE0 q Lf æE0 , f P DpLq. Then the operator LæE0 possesses a unique linear extension to the generator L0 of a Feller semigroup tS0 ptq : t ¥ 0u on Cb pE0 q.

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In addition, the time-homogeneous Markov process associated to the Feller semigroup tS0 ptq : t ¥ 0u serves as the unique solution to the martingale problem associated with L. Proof. Existence. First we prove that the restriction operator LæE0 is well-defined and that it is Tβ -densely defined. The fact that it is welldefined follows from 3. In order to prove that it is Tβ -densely defined, we use a Hahn-Banach type argument. Let µ r be a bounded Borel measure on ³ ri E f dµ r 0 for all f P D pLq. Define the measure E0 such that hf æE0 , µ 0 µ on the Borel field of E by µpB q µ r pB E0 q, B P E. Then hf, µi 0 for all f P DpLq. Since DpLq is Tβ -dense in Cb pE q, we infer hf, µi 0 for all f P Cb pE q. Let fr P Cb pE q. Then there exists f P Cb pE q such that f fr on E0 , and hence E D fr, µ r hf æE0 , µ ri hf, µi 0. (4.203)

From (4.203) we see that a bounded Borel measure which annihilates D pLæE0 q also vanishes on Cb pE0 q. By the theorem of Hahn-Banach in combination with the fact that every element of the dual of pCb pE0 q , Tβ q can be identified with a bounded Borel measure on E0 , we see that the subspace D pLæE0 q is Tβ -dense in Cb pE0 q. Define the family of operators tλRpλq : λ ¡ 0u as in Proposition 4.4, By the properties 4 and 7 such definitions make sense. Moreover, the family tRpλq : λ ¡ 0u possesses the resolvent property: Rpλq Rpµq pµ λq RpµqRpλq, λ ¡ 0, µ ¡ 0. It also follows that Rpλq pλI D1 Lq f f on E0 for f P Dp1q pLq. This equality is an easy consequence of the inequalities in (3.161): see Corollary 4.2. Fix λ ¡ 0 and f P Cb pE0 q. If f is of the form f Rpλqg, g P Cb pE0 q, then by the resolvent property we have α αRpαqg αRpαqf f αRpαqRpλqg Rpλqg Rpλqg Rpλqg . αλ αλ (4.204) Since }αRpαqg }8 ¤ }g }8 , g P Cb pE0 q, the equality in (4.204) yields

}}8 - αlim Ñ8 αRpαqf f 0 for f of the form f Rpλqg, g P Cb pK q. Since g Rpλq pλI D1 Lq g on K, g P Dp1q pLq, it follows that £ lim }αRpαqg g }8 0 for g P Dp1q pLq D pD1 q DpLq. (4.205) αÑ8 As was proved in Corollary 4.3 there exists λ0 ¡ 0 such that the family tλRpλq : λ ¥ λ0 u is Tβ -equi-continuous. Hence for u P H pE0 q there exists v P H pK q that for α ¥ λ0 we have }uαRpαqg}8 ¤ }vg}8 , g P Cb pE0 q . (4.206)

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Fix ε ¡ 0, and choose for f P Cb pE0 q and u g P D pLæE0 q in such a way that

P H pE0 q given the function

}upf gq}8 }vpf gq}8 ¤ 23 ε. Since D pLæE q is Tβ -dense in Cb pE0 q such a choice of g. 0

(4.207) The inequality

(4.207) and the identity αRpαqf

f αRpαqpf gq pf gq αRpαqg g yield }u pαRpαqf f q}8 ¤ }u pαRpαqpf gqq}8 }upf gq}8 }u pαRpαqg gq}8 ¤ }vpf gq}8 }upf gq}8 }u pαRpαqg gq}8 ¤ 23 ε }u pαRpαqg gq}8 . (4.208)

From (4.205) and (4.208) we infer Tβ - lim αRpαqf

Ñ8

α

f,

f

P Cb pE0 q .

(4.209)

Define the operator L0 in Cb pE0 q as follows. Its domain is given by D pL0 q RpλqCb pE0 q, λ ¡ 0. By the resolvent property the space RpλqCb pE0 q does not depend on λ ¡ 0, and so D pL0 q is well-defined. The operator L0 : D pL0 q Ñ Cb pE0 q is defined by L0 Rpλqf λRpλqf f , f P Cb pE0 q. Since Rpλqf1 Rpλqf2 , f1 , f2 P Cb pE0 q, implies Rpλq pf2 f1 q 0. By the resolvent property we see that αRpαq pf2 f1 q 0 for all α ¡ 0. From (4.209) we infer f2 f1 . In other words, the operator L0 is welldefined. Since the operators Rpλq, λ ¡ 0, are Tβ -continuous it follows that the graph of the operator L0 is Tβ -closed. As in the proof of (iii) ùñ (i) we have, like in (4.111), Sr0 ptqf

λlim eλt Ñ8

8 λt ¸

k 0

p qk pλRpλqqk f lim eλt eλtpλRpλqq f S ptqf 0 λÑ8 k!

(4.210) p q is defined by using the Hausdorff-BernsteinWidder Laplace inversion theorem we have (compare with (4.108))

where the operator Sr0 t Rpλqf pxq

pλI L0 q1 f pxq

»8 0

eλρ Sr0 pρqf pxqdρ, ℜλ ¡ 0, x P E0 . (4.211)

For a function f belonging to the space RpλqCb pE0 q pq S0 ptqf holds: see (4.113). Here S0 ptqf is defined as the uniform limit in (4.210). Since the operator LæE0 is sequentially λ-dominant for some λ ¡ 0 the equality Sr0 t f

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!

we infer that the family of operators

pµR pλ

)

µqq : µ ¥ 0, k P N is Tβ k

equi-continuous: see (2.44) in Proposition 2.3. Since for f we have sup eλt S0 ptqf : t ¥ 0

(

!

sup pµR pλ

P RpαqCb pE0 q

µqq f : µ ¥ 0, k k

PN

)

. (4.212) From (4.212) combined with the Tβ -equi-continuity and the Tβ density of D pLæE0 q we see that, each operator S0 ptq has a Tβ -continuous extension to all of Cb pE0 q. One way of achieving this is by fixing f P Cb pE0 q, and considering the family tαRpαqf : α ¥ λu. Then Tβ - limαÑ8 αRpαqf f . Let ( u P H pE0 q. By the Tβ -equi-continuity of the family eλt S0 ptq : t ¥ 0 we see that

lim sup ueλt S0 ptq pβRpβ qf

α, β

Ñ8 t¥0

αRpαqf q8 0.

(4.213)

Since the functions pt, xq ÞÑ S0 ptq pαRpαqf q pxq, α ¥ λ, are continuous the same is true for the function pt, xq ÞÑ rS0 ptqf s pxq, where S0 ptqf Tβ - lim αRpαqf . Of course, for almost all t ¥ 0 we have S0 ptqf pxq

Ñ8

α

Sr0 ptqtpxq for all x P E0 . Since Tβ - lim

Ó

t

1 I eλt S0 ptq Rpλqf t

Rpλqf,

f

P Cb pE0 q ,

we see that the operator L0 generates the semigroup tS0 ptq : t ¥ 0u. The continuous extension of S0 ptq, which was originally defined on RpλqCb pE0 q, to Cb pE0 q is again denoted by S0 ptq. Let f P DpLq. Moreover, since Rpλq pλf

Lf q f

on E0 ,

we have D pLæE0 q D pL0 q, and L0 f

L0 Rpλq pλI Lq f λRpλq pλI Lq f pλI Lq f λf λf Lf Lf

(4.214)

on E0 . From (4.214) we see that the operator L0 extends the operator LæE0 . Uniqueness of Feller semigroups. Let L1 and L2 be two extensions of the operator LæE0 which generate Feller semigroups. Let tR1 pλq : λ ¡ 0u and tR2 pλq : λ ¡ 0u be the corresponding resolvent families. Since L1 extends LæE0 we obtain, for h P DpLq,

λ0 R pλ0 q I

1 L h R pλ0 q pλ0 I λ0

L1q h h.

(4.215)

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Then by the maximum principle and (4.215) we infer

sup

h px0 q

inf

P p q P

h D L x E0

¤

h px0 q

sup

P p q

h D L

sup

P p q

h D L

sup

P p q

h D L

h px0 q

ph px0 q

g pxq I

1 L h pxq λ0

λ0 R pλ0 q g I

1 L h λ0

px0 q

λ0 R1 pλ0 q g px0 q λ0 R1 pλ0 q I

1 L h px0 q λ0

λ0 R1 pλ0 q g px0 q h px0 qq

λ0 R1 pλ0 q g px0 q ¤ hPinf sup h px0 q D pL q P

x E0

g pxq I

1 L hpxq . λ0

(4.216)

The same reasoning can be applied to the operator R2 pλ0 q Since the extremities in (4.215) are equal we see that R1 pλ0 q R2 pλ0 q. Hence we get pλ0 L1 q1 pλ0 L2q1 , and consequently L1 L2 . Of course the same arguments work if E0

E.

Uniqueness of solutions to the martingale problem. Let L0 be the (unique) extension of L, which generates a Feller semigroup tS0 ptq : t ¥ 0u, and let

tpΩ, F , Pxq , pX ptq, t ¥ 0q , pϑt , t ¥ 0q , pE, E qu be the corresponding time-homogeneous Markov process with Ex rg pX ptqs S0 ptqg pxq, g P Cb pE q, x P E, t ¥ 0. Then the family tPx : x P E u is a solution to the martingale problem associated to L. The proof of the uniqueness part follows a pattern similar to the proof of the uniqueness part of linear extensions of L which generate Feller semigroups. We will show that the family of probability measures tPx : x P E u is a solution to the martingale problem associated to the operator L. Let f be ³t a member of DpLq and put Mf ptq f pX ptqq f pX p0qq 0 Lf pX psqqds. Then, for t2 ¡ t1 we have

Ex Mf pt2 q Ft1

Mf pt1 q Ex

Mf pt2 t1 q ϑt1 Ft1

(Markov property)

EX pt q rMf pt2 t1 qs . 1

(4.217)

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Since, in addition, by virtue of the fact that L0 , which is an extension of L, generates the semigroup tS0 ptq : t ¥ 0u, we have Ez rMf ptqs S0 ptqf pz q f pz q

»t

»t

0

S0 puqLf pz qdu

S0 ptqf pz q f pz q BBu pS0 puqf pz qq du 0 S0 ptqf pz q f pz q pS0 ptqf pz q S0 p0qf pz qq 0, the assertion about the existence of solutions to the martingale problem follows from (4.217). Next we prove uniqueness of solutions to the martingale problem. Its proof resembles the way we proved the ! uniqueness ) p1q of extensions of L which generate Feller semigroups. Let Px : x P E !

p2q

and Px : x P E

)

be two solutions to the martingale problem for L. Let

h P DpLq, and consider

»8

1 λ eλt Epxj q h pX psqq I L h pX pt sqq Fs dt λ 0 »8 h pX psqq eλt Epxjq pλI Lq h pX pt sqq Fs dt 0 »8 h pX psqq λ eλt Epjq h pX pt sqq Fs dt x

»8 0

0

eλt Epxj q Lh pX pt

sqq Fs dt

(integration by parts)

h pX psqq λ λ

»8

0

» t

x

h pX psqq λ »8

eλt Epxj q h pX pt

eλt Epj q

0

λ

»8

0

»8

Lh pX pρ

sqq

0

eλt Epxj q h pX pt » t

eλt Epj q x

s

0

s

Lh pX pρqq

sqq Fs dt dρ Fs

dt

sqq Fs dt dρ Fs

dt

(martingale property)

h pX psqq λ

»8 0

eλt Epxj q h pX pt

sqq Fs dt

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λ

»8 0

Fix x0 P E, g h P DpLq, »8 0

λ

0

Λ pg, X psq, λq ¤ λ for j

Then, from (4.218) it follows that, for

sqq Fs dt

(4.218)

1 eλt Epxj0q h pX psqq g pX pt sqq I L h pX pt sqq Fs dt,

and hence

Λ

sqq h pX psqq Fs dt 0.

P Cb pE q, and s ¡ 0.

»8

eλt Epxj q h pX pt

eλt Epxj0q g pX pt

279

»8 0

"

inf

sup min

P p q 8 8

P

"

hpx0 q

P

x E0

hpx0 q

max

Γ D L Φ E0 h Γ x Φ #Γ #Φ

hPinf sup DpLq

t△u

g I

and inf max

p q 8 P 8

P

min

Γ D L Φ E0 h Γ x Φ #Φ #Γ

"

sup

inf

P p q P

h D L x E0

We also have »8

λ1 L

"

Λ pg, x0 , λq sup

sqq Fs dt ¤ Λ

pg, X psq, λq , (4.219)

1, 2, where

pg, x0 , λq

exppλtqEpxj0q g pX pt

hpx0 q

t△u

hpx0 q

g I

g I

h

h

*

pxq

*

pxq

,

g I

1 L h λ

λ1 L

λ1 L

(4.220)

h

pxq

*

.

(4.221)

1 pjq λ eλt EX psq h pX p0qq I L h pX ptqq dt λ 0 »8 »8 pjq h pX psqq λ eλt EpXjqpsq rh pX ptqqs dt eλt EX psq rLh pX ptqqs dt 0 0 (integration by parts)

h pX psqq λ λ

»8 0

»8 0

pjq

eλt EX psq rh pX ptqqs dt

pjq eλt EX psq

» t 0

Lh pX pρqq dρ dt

*

pxq

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(martingale property)

h pX psqq λ λ

»8 0

»8 0

pjq

eλt EX psq rh pX ptqqs dt

pjq eλt EX psq rh pX ptqq h pX p0qqs dt 0

(4.222)

pjq

where in the first and final step we used X p0q z Pz -almost surely. In the same spirit as we obtained (4.219) from (4.218), from (4.222) we now get Λ pg, X psq, λq ¤ λ

»8 0

pjq

eλt EX psq rg pX ptqqs dt ¤ Λ

pg, X psq, λq ,

(4.223)

for j 1, 2. Since, by Proposition 4.4 (formula (4.169) and (4.172)) the identity Λ pg, x, λq Λ pg, x, λq, is true for g P Cb pE q, x P E, λ ¡ 0, we p1q p2q obtain, by putting s 0, Ex rg pX ptqqs Ex rg pX ptqqs, t ¥ 0, g P Cb pE q. p 1q We also obtain, Px -almost surely,

Epx1q g pX pt

p2q

sqq Fs

EpX1qpsq rgpX ptqqs ,

and, Px -almost surely,

EpX2qpsq rgpX ptqqs , for t, s ¥ 0, and g P Cb pE q. p1q p2q It necessarily follows that Px Px , x P E. Consequently, the uniqueness Epx2q g pX pt

sqq Fs

of the solutions to the martingale problem for the operator L follows. This completes the proof Theorem 4.4. 4.4

Continuous sample paths

The following Lemma 4.2 and Proposition 4.6 give a general condition which guarantee that the sample paths are Pτ,x -almost surely continuous on their life time. Lemma 4.2. Let P pτ, x; t, B q, 0 ¤ τ ¤ t ¤ T , x P E, B P E, be a subMarkov transition function. Let px, y q ÞÑ dpx, y q be a continuous metric on E E and put Bε pxq ty P E : dpy, xq ¤ εu. Fix t P p0, T s. Then the following assertions are equivalent: (a) For every compact subset K of E and for every ε equality holds: s1 ,s2

sup Ñt,lim τ s1 s2 ¤t xPK

P ps1 , x; s2 , E zBε pxqq s2 s1

¡ 0 the following

0.

(4.224)

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(b) For every compact subset K of E and for every open subset G of E such that G K the following equality holds: s1 ,s2

sup Ñt,lim τ ¤s1 s2 ¤t xPK

P ps1 , x; s2 , E zGq s2 s1

0.

(4.225)

Proof. (a) ùñ (b). Let G be an open subset of E and let K be a compact subset of G. Then there exists ε ¡ 0, n P N, and xj P K, such that G

n ¤

B2ε pxj q

j 1

n ¤

int pBε pxj qq K.

(4.226)

j 1

For any x P K there exists j0 , 1 ¤ j0 ¤ n, such that d px, xj0 q ε, and hence for y P int pBε pxqq d py, xj0 q ¤ d py, xq d px, xj0 q 2ε. It follows that Bε pxq G. Consequently, for x P K and τ ¤ s1 s2 t we get P ps1 , x; s2 , E zGq ¤ P ps1 , x; s2 , Bε pxqq. So (b) follows from (a).

(b) ùñ (a). Fix ε ¡ 0 and let K be any compact subset of E. Like in the proof of the implication (a) ùñ (b) we again choose elements xj P K, n 1 ¤ j ¤ n, such that K j 1 int Bε{4 pxj q . Let x P K Bε{4 pxj q and y P Bε{2 pxj q. Then dpy, xq ¤ d py, xj q d pxj , xq ¤ 12 ε 14 ε 34 ε ε. Suppose that x P K Bε{4 pxj q. For τ ¤ s1 s2 t it follows that

P ps1 , x; s2 , E zBε pxqq ¤ P s1 , x; s2 , E zint Bε{2 pxj q

,

and hence sup P ps1 , x; s2 , E zBε pxqq

P

x K

¤ 1max ¤j¤n

P

x K

sup

p q

Bε{4 xj

P s1 , x; s2 , E zint Bε{2 pxj q

.

(4.227)

The inequality in (4.227) together with assumption in (b) easily implies (a). This concludes the proof of Lemma 4.2. The following proposition clearly shows that in the presence of condition (4.228) the sample paths are almost surely left-continuous on their life-time. Since we may assume that they are right-continuous, the sample paths are Pτ,x -almost surely continuous. Proposition 4.6. Let P pτ, x; t, B q be a sub-Markov transition function and let the process X ptq be as in Theorem 2.9. Fix pτ, xq P r0, T s E. Suppose that for every t P rτ, T s, and for every compact subset K and for every open subset G for which G K the equality lim

sup

Ò ¤s1 s2 t yPK

s1 ,s2 t, τ

P ps1 , y; s2 , E zGq s2 s1

0

(4.228)

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holds. Then for every t P pτ, T s the equality

d pX psq, X ptqq 1rX ptqPE s 0, holds Pτ,x -almost surely. ¡ sup ¤¤

inf

ε 0t ε s t

Here d : E E

Ñ r0, 8q is a continuous metric on E E. Proof. Put tj,n t ε j2n ε, 0 ¤ j ¤ 2n . From Proposition 3.1 with r psq it follows that it suffices to prove that for every η ¡ 0 X psq instead of X the equality

inf lim Pτ,x

¡ Ñ8

ε 0n

0

max d pX ptj 1,n q , X ptj,n qq 1tX ptj1,n qPK u 1tX ptj,n qPK u

¤¤

1 j 2n

¡η

(4.229)

holds for all compact subsets K of E.

Pτ,x

¤

max d pX ptj 1,n q , X ptj,n qq 1tX ptj1,n qPK u 1tX ptj,n qPK u

¤¤

1 j 2n n

2 ¸

j 1

Pτ,x d pX ptj 1,n q , X ptj,n qq 1tX ptj1,n qPK u 1tX ptj,n qPK u

¡η ¡η

(Markov property)

n

2 ¸

j 1

Eτ,x Ptj1,n ,X ptj1 ,nq d pX ptj 1,n q , X ptj,n qq 1tX ptj,n qPK u

1tX pt j

¤

n

2 ¸

1,n

qPK u

sup Ptj1,n ,y d py, X ptj,n qq 1tX ptj,n qPK u

P

¡η

sup P ptj 1,n , y; tj,n , K zBη py qq .

P

(4.230)

j 1y K

The result in Proposition 4.6 follows from (4.230) and Lemma 4.2. 4.5

j 1y K 2n ¸

¡η

Measurability properties of hitting times

In this section we study how fast Markov process reaches a Borel subset B of the state space E. The material is taken from Chapter 2, Section 2.10 in [Gulisashvili and van Casteren (2006)]. Fix τ P r0, T s. Throughout this section we will assume that the filtrations pFtτ qtPrτ,T s are right-continuous

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283

and Pτ,µ -complete. Right-continuity means that Ftτ

Ppt,T s

Ftτ .

Fsτ

s

By definition the σ-field Ftτ is Pτ,µ -complete if Pτ,µ -negligible events A τ belong to Ftτ . The σ-field F t is the Pτ,µ -completion of a σ-field Ftτ if and τ only if for every A P Ft there exist events A1 and A2 P Ftτ such that A1 A A2 and Pτ,x pA2 zA1 q 0. It is also assumed that we are in the context of a backward Feller evolution (or propagator) tP ps, tq : 0 ¤ s ¤ t ¤ T u in the sense of Definition 2.4 and the corresponding strong Markov process with state space E: !

)

pΩ, FTτ , Pτ,xqpτ,xqPr0,T sE , pX ptq, t P r0, T sq , pE, E q . (4.231) By P pE q will be denoted the collection of all Borel probability measures on ³ the space E. For A P FTτ and µ P P pE q, we put Pτ,µ pAq Pτ,x pAqdµpxq. For instance, if µ δx is the Dirac measure concentrated at x P E, then Pτ,δ Pτ,x . Let ζ be the first time the process X ptq arrives at the absorpx

tion state △: ζ

#

inf tt ¡ 0 : X ptq △u if X ptq △ for some t P p0, T s, if X ptq P E for all t P p0, T q.

T

Definition 4.7. Let pX ptq, Pτ,x q be a Markov process on Ω with state space E and sample path space Ω D r0, T s, E △ , and let B be a Borel subset of E △ . Let τ P r0, T q, and suppose that S : Ω Ñ rτ, ζ s is a Ftτ -stopping time. For the process X ptq, the entry time of the set B after time S is defined by S DB

$ ' & inf t : t

'

t

¥ S, X ptq P B u

¤

on τ

% ζ elsewhere.

¤t T

tS ¤ t, X ptq P B u , (4.232)

The pseudo-hitting time of the set B after time S is defined by rS D B

$ & inf t : t

%

t

¥ S, X ptq P B u

¤

on τ

t T

tS ¤ t, X ptq P B u ,

ζ elsewhere. (4.233)

The hitting time of the set B after time S is defined by TBS

$ ' & inf t : t

'

t

¡ S, X ptq P B u

% ζ elsewhere.

¤

on τ

¤t T

tS t, X ptq P B u , (4.234)

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S Observe that on the event tS τ, X pτ q P B u we have DB S TB . It is not hard to prove that

¤

t:τ

¤t T

t:τ

t T

¤

¤

tS ¤ t, X ptq P B u tS ¤ t, X ptq P B u

t:τ

¤t T

t:τ

t T

¤

τ and Dr BS

tS _ t ¤ t, X pS _ tq P B u

and

tS _ t ¤ t, X pS _ tq P B u .

We also have

Dr BS ^ ζ, and TBS t△u TBS ^ ζ. (4.235) S In addition, we have DB ¤ Dr BS ¤ TBS . Next we will show that the following S DB t△u

DBS ^ ζ,

rS D B t△ u

equalities hold: TBS Indeed on TBS the inclusion

ζ

εinf ¡0

(

tt ¥ pε

!

pε S q^ζ ) inf !Dpr S q^ζ ) . B r PQ

DB

(4.236)

, the first equality in (4.236) can be obtained by using S q ^ ζ, X ptq P B u tt ¡ S, X ptq P B u

and the fact that for every t P rτ, T q and ω P tS t, X ptq P B u, there exists ε ¡ 0 depending on ω such that ω Ptpε S q ^ ζ ¤ t, X ptq P B u. Since TBS ¤ pε S q^ζ , we see that on the event T S ζ ( the first equality in (4.236) DB B also holds. The second equality in (4.236) follows from the monotonicity of S the entry time DB with respect to S. Our next goal is to prove that for the Markov process in (4.231) the S r S , and the hitting time T S are entry time DB , the pseudo-hitting time D B B stopping times. Throughout the present section, the symbols KpE q and OpE q stand for the family of all compact subsets and the family of all open subsets of the space E, respectively. The celebrated Choquet capacitability theorem will be used in the proof S r S , and T S are stopping times. We will restrict of the fact that DB , D B B ourselves to positive capacities and the pavement of the space E by compact subsets. For more general cases, we refer the reader to [Doob (2001); Meyer (1966)]. Definition 4.8. A function I from the class P pE q of all subsets of E into ¯ is called a Choquet capacity if it possesses the extended real half-line R the following properties: (i) If A1 and A2 in P pE q are such that A1

A2 , then I pA1 q ¤ I pA2 q.

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(ii) If An P P pE q, n ¥ 1, and A I pAn q Ñ I pAq as n Ñ 8. (iii) If Kn P KpE q, n ¥ 1, and K I pKn q Ñ I pK q as n Ñ 8.

285

P P pE q

are such that An

Ò

A, then

P KpE q are such that Kn Ó K,

then

Definition 4.9. A function ϕ : KpE q Ñ r0, 8q is called strongly subadditive provided that the following conditions hold: (i) If K1 P KpE q and K2 P KpE q are such that K1 ϕ pK2 q. (ii) If K1 and K2 belong to KpE q, then

ϕ K1

¤

K2

ϕ K1

£

K2

¤ ϕ p K1 q

K2, then ϕ pK1 q ¤ ϕ p K2 q .

(4.237)

The following construction allows us to define a Choquet capacity starting with a strongly sub-additive function. Let ϕ be a strongly sub-additive function satisfying the following additional continuity condition, which could be called “exterior regularity for compact subsets”: (iii) For all K P KpE q and all ε ¡ 0, there exists G P OpE q such that K and ϕ pK 1 q ¤ ϕ pK q ε for all compact subsets K 1 of G.

G

For any G P OpE q, put I pGq

sup

P p q

K K E ;K G

¯ Next define a set function I : P pE q Ñ R I pAq

inf

P p q

G O E ;A G

ϕpK q.

(4.238)

by

I pGq,

A P P pE q.

(4.239)

It is known that the function I is a Choquet capacity. It is clear that for any G P OpE q, I pGq I pGq. Moreover, it is not hard to see that for any K P KpE q, ϕpK q I pK q, because of our exterior regularity assumption (iii). Definition 4.10. Let ϕ : KpE q Ñ r0, 8q be a strongly subadditive function satisfying condition (iii), and let I be the Choquet capacity obtained from ϕ (see formulas (4.238) and (4.239)). A subset B of E is said to be Icapacitable if the following equality holds: I pB q sup tϕpK q : K

B, K P KpE qu .

(4.240)

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286

Now we are ready to formulate the Choquet capacitability theorem (see, e.g., [Doob (2001); Dellacherie and Meyer (1978); Meyer (1966)]). We will also need the following version of the Choquet capacity theorem. For a discussion on capacitable subsets see e.g. [Kiselman (2000)]; see [Choquet (1986)], [Benzécri (1995)] and [Dellacherie and Meyer (1978)] as well. For a general discussion on the foundations of probability theory see e.g. [Kallenberg (2002)]. Theorem 4.5. Let E be a Polish space, and let ϕ : KpE q Ñ r0, 8q be a strongly subadditive function satisfying condition (iii), and let I be the Choquet capacity obtained from ϕ (see formulas (4.238) and (4.239)). Then every analytic subset of E, and in particular, every Borel subset of E is Icapacitable. The definition of analytic sets can be found in [Doob (2001); Dellacherie and Meyer (1978)]. We will only need the Choquet capacitability theorem for Borel sets which form a sub-collection of the analytic sets. Lemma 4.3. Let τ P r0, T s, and let tX ptq : t P rτ, T su be an adapted, right-continuous, and quasi left-continuous stochastic process on the fil

tered probability space

X ptq, F t

τ

Pr

t τ,T

s

, Pτ,x . Suppose that S is an

F t -stopping time such that τ ¤ S ¤ ζ. Then, for any t P rτ, T s and µ P P pE q, the following functions are strongly sub-additive on KpE q and satisfy condition (iii): τ

K

ÞÑ Pτ,µ

τ

We wrote F t complete.

S DK

¤t

, and K

ÞÑ Pτ,µ

rS D K

¤t

, K

P KpE q.

(4.241)

to indicate that this σ-field is right continuous and Pτ,x -

Proof. We have to check conditions (i) and (ii) in Definition 4.9 and also condition (iii) for the set functions in (4.241). Let K1 P KpE q and S K2 P KpE q be such that K1 K2 . Then DK ¥ DKS 2 , and hence 1

S Pτ,µ DK 1

¤ t ¤ Pτ,µ

S DK 2

¤t

.

S This proves condition (i) for the function K ÞÑ Pτ,µ DK ¤ t . The proof of (i) for the second mapping in (4.241) is similar. S In order to prove condition (iii) for the mapping K ÞÑ Pτ,µ DK ¤t , we use assertion (a) in Lemma 4.6. More precisely, let K P KpE q and Gn P OpE q, n P N, be such as in Lemma 4.6. Then by part (a) of Lemma

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287

4.6 below (note that part (a) of Lemma 4.6 also holds under the restrictions in Lemma 4.3), we get

S Pτ,µ DK

¤ t ¤ GPOpinf E q:GK ¤ ninfPN

S sup Pτ,µ DK 1 K 1 PKpE q:K 1 G

sup

K 1 K E :K 1 Gn

P p q

¤ ninfPN Pτ,µ

S DG n

S Pτ,µ DK 1

¤ t Pτ,µ

S DK

It follows from (4.242) that

S Pτ,µ DK

¤ t GPOpinf E q:GK

¤t

K1 K E , K1 G

P p q

¤t

sup

¤t

S Pτ,µ DK 1

(4.242)

.

¤t

(4.243)

.

Now it is clear that the equality in (4.243) implies property (iii) for the S mapping K Ñ Þ P D ¤ t . The proof of (iii) for the mapping K ÞÑ τ,µ K rS Pτ,µ D K

¤t

is similar. Here we use part (d) in Lemma 4.6 (note that

part (d) of Lemma 4.6 also holds under the restrictions in Lemma 4.3). S Next we will prove that the function K ÞÑ Pτ,µ DK ¤ t satisfies condition (ii). In the proof the following simple equalities will be used: for all Borel subsets B1 and B2 of E,

DBS ^ DBS , and (4.244) S S S (4.245) DB B ¥ DB _ DB . By using (4.244) and (4.245) with K1 P KpE q and K2 P KpE q instead of S DB B2 1

1

2

2

1

2

1

B1 and B2 respectively, we get: !

S DK 1 S DK 1

)

(

(

(¤

S ¤ t z DKS ¤ t DKS ¤ t DK ¤ t z DKS ¤ t ( ( ( (£ ( S ¤ t z DKS ¤ t DKS ¤ t z DKS ¤ t DK ¤t ) ( ( ( ! ¤ t z DKS _ DKS ¤ t DKS ¤ t z DKS K ¤ t .

S DK K2 1

2

1

2

2

1

1

1

2

(

2

2

1

1

2

(4.246) It follows from (4.246) that

¤t ¤t

S Pτ,µ DK K2 1

¤ Pτ,µ

S DK 1

S Pτ,µ DK K2 1

S Pτ,µ DK 2

¤t

.

¤t

(4.247)

Nowit is clear that (4.247) implies condition (ii) for the function K ÞÑ S Pτ,µ DK ¤ t . The proof of condition (ii) for the second function in Lemma 4.3 is similar. This completes the proof of Lemma 4.3.

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S The next theorem states that under certain restrictions, the entry time DB , S S r , and the hitting time T are stopping times. the pseudo-hitting time D B B τ Recall that F t denote the completion of the σ-field

Ftτ

£

Ppt,T s

σ pX pρ q : τ

¤ ρ ¤ sq

s

with respect to the family of measures tPs,x : 0 ¤ s ¤ τ, x P E u.

P r0, T s, and tX ptq : t P rτ, T su be as in Lemma 4.3: (i) The process X ptq is right-continuous and quasi left-continuous on r0, ζ q. τ (ii) The σ-fields F t are Pτ,x -complete and right-continuous for t P rτ, T s and x P E. τ Then for every τ P r0, T q and every F t -stopping time S : Ω Ñ rτ, ζ s, the τ Theorem 4.6. Let τ

S rS random variables DB , DB , and TBS are F t -stopping times.

Proof. We will first prove Theorem 4.6 assuming that it holds for all open and all compact subsets of E. The validity of Theorem 4.6 for such sets will be established in lemmas 4.4 and 4.5 below. Let B be a Borel subset of E, and suppose that we have already shown pε S q^ζ is an F τ -stopping time. that for any ε ¥ 0 the stochastic time DB t Since TBS

ε¡0,ε inf PQ

pε S q^ζ

DB

τ

(see (4.236)), we also obtain that TBS is an F t -stopping time. Therefore, τ in order to prove that TBS is an F t -stopping time, it suffices to show that τ S for every Borel subset B of E, the stochastic time DB is an F t -stopping time. Since the process t ÞÑ X ptq is continuous from the right, it suffices to prove the previous assertion with S replaced by pε S q ^ ζ. Fix t P rτ, T q, µ P P pE q, and B P E. By Lemma 4.3 and the Choquet capacitability theorem, the set B is capacitable with respect to the capacity S I associated with the strongly sub-additive function K ÞÑ Pτ,µ DK ¤t . Therefore, there exists an increasing sequence Kn P KpE q, n P N, and a decreasing sequence Gn P OpE q, n P N, such that

Kn 1 B Gn 1 Gn , n P N, and S sup Pτ,µ DK ¤ t ninfPN Pτ,µ DGS ¤ t . Kn

P

n

n N

(4.248)

n

The arguments in (4.248) should be compared with those in (4.263) below. Put Λτ,µ,S ptq 1

¤

P

n N

S DK n

¤t

(

and Λτ,µ,S pt q 2

£

P

n N

S DG n

¤t

(

.

(4.249)

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289

ptq P F t , and Lemma 4.5 gives Λτ,µ,S pt q P Then Lemma 4.4 implies Λτ,µ,S 1 2 τ F t . Moreover, we have τ

(

¤ t Λτ,µ,S ptq, 2

Λτ,µ,S ptq DBS 1 and

Pτ,µ Λτ,µ,S ptq 2

(4.250)

ninfPN Pτ,µ DGS ¤ t sup Pτ,µ DKS ¤ t Pτ,µ Λτ,µ,S p t q . 1 n

P

(4.251)

n

n N

It follows from (4.250) and (4.251) that Pτ,µ Λτ,µ,S ptqzΛτ,µ,S pt q 2 1 (

0.

By

¤τt belongs to the σ-field using (4.250) again, we see that the event τ S F t . Therefore, the stochastic time DB is an F t -stopping time. As we have already observed, it also follows that the stochastic time TBS is an τ F t -stopping time. S r S shows that the stochastic A similar argument with DB replaced by D B τ S r , B P E, are F -stopping times. times D t B This completes the proof of Theorem 4.6. S DB

Next we will prove two lemmas which have already been used in the proof of Theorem 4.6. Lemma 4.4. Let S : Ω Ñ rτ, ζ s be an F t -stopping time, and let G P τ S rS OpE q. Then the stochastic times DG , DG , and TGS are F t -stopping times. τ

Proof.

It is not hard to see that S DG

(

¤t ζ

£

"

S DG

P £

m N

t ¤

P ¤ρ t

m Nτ

We also have S DG

(

¤t

S DG

¤t ζ

* 1 £ tt ζ u m

(¤

PQ

tS ¤ ρ, X pρq P Gu .

(4.252)

1 m ,ρ

tζ ¤ tu

S DG

¤t ζ

(¤

tX ptq △u .

(4.253) τ The event on the right-hand side of (4.252) belongs to F t , and hence from τ S (4.252) and (4.253) the stochastic time DG is an F t -stopping time. The τ r S is an F -stopping time follows from fact that D t G !

rS D

G

)

¤t ζ

£

P

m N

"

rS D

G

t

* 1 £ tt ζ u m

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290

£

¤

P Ppτ,t

1 m

m Nρ

together with

!

)

¤t

rS D G

!

rS D G

qQ

¤t ζ

tS ¤ ρ, X pρq P Gu

)¤

tX ptq △u .

(4.254) τ

The equality (4.236) with G instead of B implies that TGS is an F t -stopping time, and completes the proof of Lemma 4.4. Lemma 4.5. Let S : Ω Ñ rτ, ζ s be an F t -stopping time, and let K P S r S and T S are F τ -stopping K E △ . Then the stochastic times DK , D t K K times. τ

Proof. First let K be a compact subset of E, and let Gn , n P N, be a sequence of open subsets of E with the following properties: K Gn 1 τ S Gn and nPN Gn K. Then every stochastic time DG is an F t -stopping n time (see Lemma 4.4), and for every µ P P pE q the sequence of stochastic S S times DG , n P N, increases Pτ,µ -almost surely to DK . This implies that n τ S the stochastic time TK is an F t -stopping time. The equality (4.236) with τ S K instead of B then shows that TK is an F t -stopping time. Next we will S show the Pτ,µ -almost sure convergence of the sequence DG , n P N. Put n S S S S S . By DK sup DGn . Since DGn ¤ DGn 1 ¤ DK , it follows that DK ¤ DK

P

n N

S Lemma 4.4, the stochastic times DG , n P N, are F t -stopping times. It n follows from the quasi-continuity from the left of the process X ptq, t P r0, ζ q, that τ

S lim X DG n

Ñ8

n

Therefore, X pDK q P

X p DK q

£

Gn

K

Pτ,µ -a.s.

Pτ,µ -a.s.

n S Since DK ¥ S, we have DKS ¤ DK Pτ,µ-almost surely, and hence DKS DK Pτ,µ -almost surely. This establishes the Pτ,µ -almost sure convergence of the S S sequence DG , n P N, to DK . n In order to finish the proof of Lemma 4.5, we will establish that for every r S increases Pτ,µ -almost surely µ P P pE q, the sequence of stochastic times D Gn S S r . Put D r K sup D r . Since to D K Gn

P

n N

rS D Gn

¤ Dr GS

n

1

¤ Dr KS ,

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291

rK ¤ D r S . By using the fact that the process X ptq, t P r0, ζ q, it follows that D K is quasi-continuous from the left, we get

rS lim X D Gn

Ñ8

n

Therefore

rK X D

P

X

£

Gn

rK D

K

Pτ,µ -a.s.

Pτ,µ -a.s.

n

r S ¥ S, we have D rS ¤ D r K Pτ,µ -almost surely, and hence D rS D rK Since D K K K S r is an Pτ,µ -almost surely. This equality shows that the stochastic time D K τ F t -stopping time. We still have to consider the case that △ P K. For this we use the S S rS rS equalities DK t△u DK0 ^ ζ, and D K0 t△u DK0 ^ ζ together with the 0 fact that a compact subset K of E △ is a compact subset of E or is of the form K K0 t△u where K0 E is compact. Observe that on the event tζ ¥ τ u ζ is an Ftτ -stopping time. This completes the proof of Lemma 4.5.

Let us return to the study of standard Markov processes. It was established in Theorem 2.9 that if P is a transition sub-probability function such that the backward free Feller propagator tP ps, tq : 0 ¤ s ¤ t ¤ T u associated with P is a strongly continuous (backward) Feller propagator, then there exists a standard Markov process as in (4.268) with pτ, x; t, B q ÞÑ P pτ, x; t, B q as its transition function. Let τ P r0, T s, and let pX ptq, Ftτ , Pτ,x q be τ a Markov process. Suppose that S is an F t -stopping time such that

_

τ ¤ S ¤ ζ. Fix a measure µ P P pE q, and denote by F T the completion of the σ-field FTS,_ σ pS _ ρ, X pS _ ρq : 0 ¤ ρ ¤ T q with respect to the measure µ. The measure µ is used throughout Lemma 4.6 below. The next theorem provides additional examples of families of stopping times which can be used in the formulation of the strong Markov property with respect to families of measures. S,

Theorem 4.7. Let pX ptq, Ftτ , Pτ,x q be a standard Markov process as in S r S , and T S are (4.268), and let B P E △ . Then the stopping times DB , D B B S,_ measurable with respect to the σ-field F T . Proof. Since the stopping time S attains its values in the interval rτ, ζ s we see that tζ ¤ ρu tζ ¤ ρ _ S u tX pρ _ S q △u for all ρ P rτ, T s. S,_ This shows that ζ is measurable with respect to F T . By (4.235) we see S S S S r S ^ ζ, and T S DB B t△u DB ^ ζ, Dr B t△u D B t△u TB ^ ζ, and hence

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292

S rS we see that it suffices to prove that the stochastic times DB , DB , and TBS S,_ are F T -measurable, whenever B is a Borel subset of E.

The proof of Theorem 4.7 is based on the following lemma. The same result with the same proof is also true with E △ instead of E. Lemma 4.6. Let K P KpE q and τ P r0, T q. Suppose that Gn P OpE q, n P N, is a sequence such that K Gn 1 Gn and nPN Gn K. Then the following assertions hold: S (a) For every µ P P pE q, the sequence of stopping times DG increases and n S tends to DK Pτ,µ -almost surely. ( S (b) For every t P rτ, T s, the events DG ¤ t , n P N, are FTS,_n

(

_

S measurable, and the event DK ¤ t is (F T -measurable. (c) For every t P rτ, T s, the events TGSn ¤ t , n P N, are FTS,_ -measurable,

(

S,

_

S and the event TK ¤ t is F T -measurable. r S increases and (d) For every µ P P pE q, the sequence of stopping times D Gn S r Pτ,µ -almost surely. tends to D K ! )

P rτ, T s,

(e) For every t

S,

the events !

rS measurable, and the event D K

¤t

)

rS D Gn

¤t

S,

_

, n

P

N, are FTS,_ -

is F T -measurable.

Proof. (a). Fix µ P P pE q, and let K P KpE q and Gn P OpE q, n P N, be S as in assertion (a) in the formulation of Lemma 4.6. Put DK sup DG . n

P

n N

S Since S ¤ DG ¤ DGS n 1 ¤ DKS , we always have S ¤ DK ¤ DKS . Moreover, n DK is a stopping time. By using the quasi-continuity from the left of the process t ÞÑ X ptq on rτ, ζ q with respect to the measure Pτ,µ , we see that S lim X DG n

Ñ8

n

Therefore,

X pDK q P

£

P

X pD K q

Gn

K

Pτ,µ -almost surely on tDK

Pτ,µ -almost surely on tDK

ζ u.

ζ u.

(4.255)

n N

S S Now by the definition of DK we have DK ¥ S, and (4.255) implies DKS ¤ S DK Pτ,µ -almost surely on tDK ζ u, and hence DK DK Pτ,µ-almost S which is always surely. In the final step we used the inequality DK ¤ DK true.

(b). Fix t P rτ, T q and n P N. By the right-continuity of paths on r0, ζ q we have " * £ ( 1 £ S S tt ζ u DGn ¤ t ζ DGn t m mPN

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£

¤

P Pr

m N ρ τ,t

£

P Pr

m N ρ τ,t

tS ¤ ρ, X pρq P Gn u

1 m

q

1 m

qQ

¤

293

tS _ ρ ¤ ρ, X pS _ ρq P Gn u . (4.256)

It follows that S DG n

(

¤ t ζ P FTS,_, 0 ¤ t ¤ T.

By using assertion (a), we see that the events S DK

¤t ζ

(

£

and

S DG n

P

n N S coincide Pτ,µ -almost surely. It follows that DK

follows that the event the equalities (

¤t S (DK ¤ ζ and S ¤ ζ) S DK

(

S DK

ζ

S DK

¤t ζ

belongs to (¤

S DK

S, FT

¤t ζ

(

¤ t ζ P F TS,_. (

_

It also

. In addition we notice

¤ t, ζ ¤ t

(

(¤

¤ t ζ tζ ¤ S _ tu (¤ S DK ¤ t ζ tX pS _ tq △u . (4.257) ( S From (4.257) we see that events of the form DK ¤ t , t P rτ, T s, belong S,

S DK

_

S,

_

S to F T . Consequently the stopping time DK is F T -measurable. This proves assertion (b). (c). Since the sets Gn are open and the process X ptq is right-continuS ous, the hitting times TGSn and the entry times DG coincide. Hence, the n first part of assertion (c) follows from assertion (b). In order to prove the second part of (c), we reason as follows. By assertion (b), for every r P Q ,

pr S q^ζ,_

pr S q^ζ

the stopping time DK is F T prove that for every ε ¡ 0,

-measurable. Our next goal is to

pε S q^ζ,_ F S,_.

FT

T

(4.258)

Fix ε ¡ 0, and ρ P rτ, ζ s, and put S1 ppε S q ^ ζ q _ ρ. Observe that for ρ, t P r0, T s, we have the following equality of events:

tS1 ¤ tu tppε S q ^ ζ q _ ρ ¤ tu tppε S q _ ρq ^ pζ _ ρq ¤ tu ¤ tS _ pρ εq ¤ t ε, ρ ¤ tu tζ ¤ S _ t, ρ ¤ tu

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294

¤

tS _ pρ εq ¤ t ε, ρ ¤ tu tX pS _ tq △, ρ ¤ tu . (4.259) Therefore, the stopping time S1 ppε S q ^ ζ q _ ρ is FTS,_ -measurable. Since the process t ÞÑ X ptq is right-continuous, it follows from Proposition 4.7 that X pS1 q is FTS,_ -measurable. This implies inclusion (4.258). Hence, pε S q^ζ,_ FT F S,T _, (4.260) S,_ p ε S q^ζ and we see that the for every ε ¡ 0 the stopping time DK is F T pε S q^ζ , ε ¡ 0, decreases to T S , the hitting measurable. Since the family DK K S,

_

S time TK is F T -measurable as well. (d). Fix µ P P pE q, and let K P KpE q and Gn r K sup D r S . Since assertion (a). Put D Gn

P

n N rS D Gn

¤ Dr GS

n

1

P OpE q, n P N, be as in

¤ Dr KS ,

rK ¤ D r S . It follows from the quasi-continuity from the left of we have D K the process X ptq on r0, ζ q that

rS lim X D Gn

Ñ8

n

Therefore,

rK X D

¥S

rS Now D K

rS and hence D K rS D K

P

X

£

Gn

rK D

!

K

rK Pτ,µ -almost surely on D

n

¤ Dr K

rS implies that D K

Dr K

!


ζ

ζ

!


ζ

)

.

)

.

!

Pτ,µ -almost surely on

)

rK D

ζ

)

,

. As in (a) we get

Dr K Pτ,µ-almost surely. (e). Fix t P rτ, T q and n P N. By the right-continuity of paths, " * ! ) £ 1 £ S S r DG ¤ t ζ DG t tt ζ u m n

P

m N

£

n

¤

P Ppτ,t

m Nρ

£

P Ppτ,t

m Nρ

!

tS ¤ ρ, X pρq P Gn u

1 m

q

1 m

qQ

¤

tS _ ρ ¤ ρ, X pS _ ρq P Gn u . (4.261)

)

¤ t) ζ P FTS,_!. By using assertion (d), we see that ) r S ¤ t ζ and rS the events D coincide Pτ,µ -almost K nPN DG ¤ t ζ ! ) S,_ S r ¤t ζ PF surely. Therefore, D T . As in (4.257) we have K ! ) ! )¤! ) rS ¤ t D rS ¤ t ζ r S ¤ t, ζ ¤ t D D K K K

rS It follows that D Gn !

n

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!

rS D K

¤t ζ

)¤

295

tX pS _ tq △u .

(4.262)

This proves assertion (e); therefore the proof of Lemma 4.6 is complete. Proof. [Proof of Theorem 4.7: continuation] Let us return to the proof of Theorem 4.7. We will first prove that for any Borel set B, the entry S,_ S time DB is measurable with respect to the σ-field F T . Then the same S,_ S assertion holds for the hitting time TBS . Indeed, if DB is F T -measurable pε S q^ζ for all stopping times S, then for every ε ¡ 0, the stopping time DB

pε S q^ζ,_

is measurable with respect to the σ-field F T . By using (4.260), S,_ p ε S q^ζ we obtain the F T -measurability of DB . Now (4.236) implies the S,

_

F T -measurability of TBS . Fix t P rτ, T q, µ P P pE q, and B P E. By Lemma 4.3, the set B is S capacitable with respect to the capacity K ÞÑ Pτ,µ DK ¤ t . Notice that the following argument was also employed in the proof of Theorem 4.6. Therefore, there exists an increasing sequence Kn P KpE q, n P N, and a decreasing sequence Gn P OpE q, n P N, such that Kn

Kn 1 B Gn 1 Gn , n P N, and S sup Pτ,µ DK ¤ t ninfPN Pτ,µ DGS ¤ t . P

n

n N

Next we put

ptq Λτ,µ,S 1

¤

P

S DK n

¤t

(

(4.263)

n

and Λτ,µ,S pt q 2

n N

£

P

S DG n

¤t

(

.

(4.264)

n N

The equalities in (4.249) which are the same as those in (4.264) show that the events Λτ,µ,S ptq and Λτ,µ,S ptq are F TS,_ -measurable. Moreover, we have 1 2 (

Λτ,µ,S ptq DBS 1

and

Pτ,µ Λτ,µ,S ptq 2

¤ t Λτ,µ,S ptq, 2

(4.265)

ninfPN Pτ,µ DGS ¤ t sup Pτ,µ DKS ¤ t Pτ,µ Λτ,µ,S p t q . 1 n

P

n

n N

Now (4.265) and (4.266) give Pτ,µ Λτ,µ,S ptqzΛτ,µ,S pt q 2 1 S (4.265), we see that the event DB S, FT

_

¤t

S, FT

_

(

0.

(4.266) By using

is measurable with respect to the

S σ-field . This establishes the -measurability of the entry time DB and the hitting time TBS . The proof of Theorem 4.7 for the pseudo-hitting r S is similar to that for the entry time D S . time D B B The proof of Theorem 4.7 is thus completed.

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296

Definition 4.11. Fix τ P r0, T s, and let S1 : Ω Ñ rτ, T s be an pFtτ qtPrτ,T s stopping time. A stopping time S2 : Ω Ñ rτ, T s is called terminal after S1 S1 ,_ if S2 ¥ S1 , and if S2 is F T -measurable. The following corollary shows that entry and hitting times of Borel subsets which are comparable are terminal after each other. Corollary 4.4. Let pX ptq, Ftτ , Pτ,xq be a standard process, and let A and τ B be Borel subsets of E with B A. Then the entry time DB is measurDτ ,

_

able with respect to the σ-field F T A . Moreover, the hitting time TBτ is Tτ,

_

measurable with respect to the σ-field F TA . By Theorem 4.7, it suffices to show that the equalities

Proof.

Dτ

DB A

DBτ

hold Pτ,µ -almost surely for all µ follows from ¤

τ

¤s T

τ

r TA and D B

P P pE q.

TBτ

(4.267)

The first equality in (4.267) ¤

tDAτ ¤ s, X psq P B u τ

¤s T

tX psq P B u ,

while the second equality in (4.267) can be obtained from ¤

τ

s T

¤

tTAτ ¤ s, X psq P B u τ

s T

tX psq P B u .

This proves Corollary 4.4.

: A P E u and It follows from Corollary 4.4 that the families t τ tTA : A P E u can be used in the definition of the strong Markov property in the case of standard processes. The next theorem states that the strong Markov property holds for entry times and hitting times of comparable Borel subsets. τ DA

Theorem 4.8. Let pX ptq, Ftτ , Pτ,x q be a standard process, and fix τ P r0, T s. Let A and B be Borel subsets of E such that B A, and let f : rτ, T s E △ Ñ R be a bounded Borel function. Then the following equalities hold Pτ,x -almost surely:

ED ,X pD q rf pDBτ , X pDBτ qqs and Eτ,x f pTBτ , X pTBτ qq FTτ ET ,X pT q rf pTBτ , X pTBτ qqs ( S The first( one holds Pτ,x -almost surely on DA ζ , and the second on TAS ζ . τ τ Eτ,x f pDB , X pDB qq FDτ Aτ τ A

τ A

τ A

τ A

τ A

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Proof.

297

Theorem 4.8 follows from Corollary 4.4 and Remark 4.4.

Definition 4.12. The quadruple "

τ

Ω, F t

Pr

t τ,T

s

, Pτ,x , pX ptq, t P r0, T sq , p_t , t P r0, T sq , pE, E q

*

(4.268) is called a standard Markov process if it possesses the following properties: (1) The process X ptq is adapted to the filtration

τ

Ft

Pr

t τ,T

s

, right-

continuous and possesses left limits in E on its life time. τ (2) The σ-fields F t , t P rτ, T s, are right continuous and Pτ,x -complete. (3) The process pX ptq : t P r0, T sq is strong Markov with respect to the measures tPτ,x : pτ, xq P r0, T s E u (4) The process pX ptq : t P r0, T sq is quasi left-continuous on r0, ζ q. (5) The equalities X ptq _s X pt _ sq hold Pτ,x -almost surely for all pτ, xq P r0, T s E and for s, t P rτ, T s.

If Ω D r0, T s, E △ and X ptqpω q ω ptq, t P r0, T s, ω P Ω, then parts of the items (1) and (2) are automatically satisfied. For brevity we often write pX ptq, Pτ,xq instead of (4.268). The following proposition gives an alternative way to describe stopping times which are terminal after another stopping time: see Definition 4.11. Proposition 4.7. Let S1 : Ω Ñ rτ, T s be an Ftτ -stopping time, and let the stopping S2 : Ω Ñ rτ, T s be such that S2 ¥ S1 , and such that for every t P rτ, T s the event tS2 ¡ tu restricted to the event tS1 tu tS1 _ t tu only depends on FTt . Then S2 is FTS1 ,_ -measurable. If the paths of the process X are right-continuous, the state variable X pS2 q is FTS1 ,_ -measurable as well. It follows that the space-time variable pS2 , X pS2 qq is FTS1 ,_ measurable. Similar results are true if the σ-fields FTt and FTS1 ,_ by their Pτ,µ -completions for some probability measure µ on E. Proof. Suppose that for every t P rτ, T s the random variable S2 is such that on tS1 tu tS1 _ t tu the event tS2 ¡ tu only depends on FTt . Then on tS1 tu the event tS2 ¡ tu only depends( on the σ-field generated by the state variables X pρqætS1 _t tu : ρ ¥ t ( X pρ _ S1 q ætS1 _t tu : ρ ¥ t . Consequently, the event tS2 ¡ t ¡ S1 u is ³T FTS1 ,_ -measurable. Since S2 S1 1 dt, we see that S2 is τ tS2 ¡t¡S1 u FTS1 ,_ -measurable. This argument can be adapted if we only know that

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for every t P rτ, T s on the event tS1 tu the event tS2 ¡ tu only depends on the Pτ,µ -completion of the σ-field generated by the state variables ( X pρqætS1 _t tu : ρ ¥ t for some probability measure µ on E. If the process X ptq is right-continuous, and if S2 is a stopping time which is terminal after the stopping time S1 : Ω Ñ r0, T s, then the spaceS1 ,_ time variable pS2 , X pS2 qq is F T -measurable. This result follows from the equality in (3.46) with S2 instead ofR S: V t τ 2 n pS 2 τ q . (4.269) S2,n ptq τ 2n tτ Then notice that the stopping times S2,n ptq, n P N, t P pτ, T s, are FTS1 ,_ measurable, provided that S2 has this property. Moreover, we have S2 ¤ S2,n 1 ptq ¤ S2,n ptq ¤ S2 2n pt τ q. It follows that the state variables X pS2,n ptqq, n P N, t P pτ, T s, are FTS1 ,_ -measurable, and that the same is true for X pS2 q lim X pS2,n ptqq.

Ñ8

n

This completes the proof of Proposition 4.7.

Remark 4.4. If in Theorem 4.9 for the sample path space Ω we take the Skorohod space Ω D r0, T s, E △ , X ptqpω q ω ptq, ω P Ω, t P r0, T s, then the process t ÞÑ X ptq, t P r0, T s, is right-continuous, has left limits in E on its life time, and is quasi-left continuous on its life time as well. Theorem ) !4.9. Let, like in Lemma 4.3, τ Ω, F T , Pτ,x , pX ptq, t P r0, T sq , p_t , t P rτ, T sq , pE, E q be a standard Markov process with right-continuous paths, which has left limits on its life time, and is quasi-continuous from the left on its life time. S,_ For fixed pτ, xq P r0, T s E, the σ-field F T is the completion of the σfield FTS,_ σ pS _ ρ, X pS _ ρq : 0 ¤ ρ ¤ T q with respect to the measure

_

Pτ,x . Then, if pS1 , S2 q is a pair of stopping times such that S2 is F T measurable and τ ¤ S1 ¤ S2 ¤ T , then for all bounded Borel functions f on rτ, T s E △ , the equality τ Eτ,x f pS2 , X pS2 qq F S1 ES1 ,X pS1 q rf pS2 , X pS2 qqs (4.270) S1 ,

holds Pτ,x -almost surely on tS1

ζ u.

First notice that the conditions on S1 and S2 are such that S2 is terminal after S1 : see Definition 4.11. Also observe that the Markov process in (4.268) is quasi-continuous from the left on its life time r0, ζ q: compare with Theorem 2.9. Let A and B be Borel subsets of E such that B A.

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299

τ In (4.270) we may put S1 DA together with S2 τ S2 TB : see Theorem 4.7 and Corollary 4.4.

DBτ , or S1 TAτ and

Proof. The result in Theorem 4.9 is a consequence of the strong Markov property as exhibited in Theorem 2.9. Remark 4.5. This remark is concerned with the concept of λ-dominance. Without the sequential λ-dominance of the operator D1 L the second formula, i.e. the formula in (4.116), poses a difficulty as far as it is not clear that the function eλt Sr0 ptqf belongs to Cb pr0, T s E q indeed. For the moment suppose that the function f P Cb pr0, T s E q is such that Sr0 ptqf P Cb pr0, T s E q. Then equality (4.115) yields:

λI

Lp1q

1

f

»t 0 »t 0

eλρ Sr0 pρqf dρ

eλt S0 ptq λI

eλρ Sr0 pρqf dρ

eλt λI

Lp1q

Lp1q

1

1

f

Sr0 ptqf. (4.271)

p1q

³t

Consequently, the function 0 eλρ Sr0 pρqf dρ belongs to D L and the equality in (4.116) follows from (4.271). For the relation between λdominant operators, λ-super-mean, and λ-supermedian functions see Remark 4.1. Moreover, we have

p1q

CP,b

£

¡

λ0 0

p1q

CP,b pλ0 q

£ !

¡

λ0 I L D1 g : g

PD

£

L

)

D p D1 q .

λ0 0

(4.272)

The second equality in (4.272) follows from (4.91) and (4.92). 4.5.1

Some related remarks

In subsection 3.1.6 we already discussed to some length topics related to Korovkin families and convergence properties of measures. Here we will say something about the maximum principle, the martingale problem, and stopping time arguments. We notice that we have used the following version of the Choquet capacity theorem for Borel subsets instead of analytic subsets. As is well-known Borel subsets are analytic. Theorem 4.10. In a Polish space every analytic set is capacitable.

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For more general versions of our Choquet capacibility theory and capacitable subsets see e.g. [Kiselman (2000)], and, of course, Choquet [Choquet (1986)], Benzecri [Benzécri (1995)] and Dellacherie and Meyer [Dellacherie and Meyer (1978)] as well. For a general discussion on the foundations of probability theory see e.g. [Kallenberg (2002)]. In [Gulisashvili and van Casteren (2006)] the authors also made a thorough investigation of measurability properties of stopping times. However, in that case the underlying state space was locally compact. In [van Casteren (1992)] the author makes an extensive study of the maximum principle of an unbounded operator with domain and range in the space of continuous functions which vanish at infinity where the state space is locally compact. As indicated in Chapter 1 an operator L for which the martingale problem is well-posed need possess a unique extension which is the generator of a Dynkin-Feller semigroup. As indicated by Kolokoltsov in [Kolokoltsov (2004b)] there exist relatively easy counter-examples: see comments after Theorems 2.9 through 2.13 in §2.3. For the time-homogeneous case see, e.g., [Ethier and Kurtz (1986)] or [Ikeda and Watanabe (1998)]. In fact [Ethier and Kurtz (1986)] contains a general result on operators with domain and range in C0 pE q and which have unique linear extensions generating a Feller-Dynkin semigroup. The martingale problem goes back to Stroock and Varadhan (see [Stroock and Varadhan (1979)]). It found numerous applications in various fields of mathematics. We refer the reader to [Liggett (2005)], [Kolokoltsov (2004b)], and [Kolokoltsov (2004a)] for more information about and applications of the martingale problem. In [Eberle (1999)] the reader may find singular diffusion equations which possess or which do not possess unique solutions. Consequently, for (singular) diffusion equations without unique solutions the martingale problem is not uniquely solvable. Another valuable source of information is [Jacob (2001, 2002, 2005)]. Other relevant references are papers by Hoh [Hoh (1994, 1995b,a, 2000)]. Some of Hoh’s work is also employed in Jacob’s books. In fact most of these references discuss the relations between pseudo-differential operators (of order less than or equal to 2), the corresponding martingale problem, and being the generator of a Feller-Dynkin semigroup.

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PART 3

Backward Stochastic Differential Equations

301

MarkovProcesses


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Chapter 5

Feynman-Kac formulas, backward stochastic differential equations and Markov processes In this chapter we explain the notion of stochastic backward differential equations and its relationship with classical (backward) parabolic differential equations of second order. The chapter contains a mixture of stochastic processes like Markov processes and martingale theory and semi-linear partial differential equations of parabolic type. Some emphasis is put on the fact that the whole theory generalizes Feynman-Kac formulas: see e.g. Remark 5.4 and formula (5.33). A new method of proof of the existence of solutions is given: see equality (5.83) and Proposition 5.7.

In the literature functions with the monotonicity property are also called one-sided Lipschitz functions. In fact Theorem 5.2, with f pt, x, , q Lipschitz continuous in both variables, will be superseded by Theorem 5.4 in the Lipschitz case and by Theorem 5.5 in case of monotonicity in the second variable and Lipschitz continuity in the third variable. The proof of Theorem 5.2 is part of the results in Section 5.3. Theorem 5.7 contains a corresponding result for a Markov family of probability measures. Its proof is omitted, it follows the same lines as the proof of Theorem 5.5.

All the existence arguments are based on rather precise quantitative estimates. Unless specified otherwise all (local) martingales in this chapter and in Chapters 6 and 7 are almost surely continuous. As a consequence for such martingales we have a standard Itô calculus and stochastic integrals relative to local martingales are again local martingales. For details on this see e.g. [Williams (1991)]. 303

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304

5.1


MarkovProcesses


Introduction

This introduction serves as a motivation for the present chapter and also for Chapter 6. Backward stochastic differential equations, in short BSDE’s, have been well studied during the last ten years or so. They were introduced by Pardoux and Peng [Pardoux and Peng (1990)], who proved existence and uniqueness of adapted solutions, under suitable square-integrability assumptions on the coefficients and on the terminal condition. They provide probabilistic formulas for solution of systems of semi-linear partial differential equations, both of parabolic and elliptic type. The interest for this kind of stochastic equations has increased steadily, this is due to the strong connections of these equations with mathematical finance and the fact that they gave a generalization of the well known Feynman-Kac formula to semilinear partial differential equations. In the present chpter we will concentrate on the relationship between time-dependent strong Markov processes and abstract backward stochastic differential equations. The equations are phrased in terms of a martingale problem, rather than a stochastic differential equation. They could be called weak backward stochastic differential equations. Emphasis is put on existence and uniqueness of solutions. The paper [Van Casteren (2009)] deals with the same subject, but it concentrates on comparison theorems and viscosity solutions. The proof of the existence result is based on a theorem which is related to a homotopy argument as pointed out by the authors of [Crouzeix et al. (1983)]. It is more direct than the usual approach, which uses, among other things, regularizing by convolution products. It also gives rather precise quantitative estimates. In [Van Casteren (2010)] the author extends the results on BSDE’s to the Hilbert space setting. For examples of strong solutions which are driven by Brownian motion the reader is referred to e.g. section 2 in [Pardoux (1998a)]. If the coefficients x ÞÑ bps, xq and x ÞÑ σ ps, xq of the underlying (forward) stochastic differential equation are linear in x, then the corresponding forwardbackward stochastic differential equation is related to option pricing in financial mathematics. The backward stochastic differential equation may serve as a model for a hedging strategy. For more details on this interpretation see e.g. [El Karoui and Quenez (1997)], pp. 198–199. A rather recent book on financial mathematics in terms of martingale theory is the one by Delbaen and Schachermeyer [Delbaen and Schacher mayer (2006)]. E. Pardoux and S. Zhang [Pardoux and Zhang (1998)] use BSDE’s to give a probabilistic formula for the solution of a system of parabolic or elliptic

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BSDE’s and Markov processes

MarkovProcesses

305

semi-linear partial differential equation with Neumann boundary condition. For recent results on forward-backward stochastic differential equations using a martingale approach the reader is referred to [Ma et al. (2008)]. In [Boufoussi and van Casteren (2004b)] the authors also put BSDE’s at work to prove a result on a Neumann type boundary problem. In this chapter we want to consider the situation where the family of operators Lpsq, 0 ¤ s ¤ T , generates a time-inhomogeneous Markov process

tpΩ, FTτ , Pτ,xq , pX ptq : T ¥ t ¥ 0q , pE, E qu

(5.1)

in the sense that d Eτ,x rf pX psqqs Eτ,x rLpsqf pX psqqs , f P D pLpsqq , τ ¤ s ¤ T. ds We consider the operators Lpsq as operators on (a subspace of) the space of bounded continuous functions on E, i.e. on Cb pE q equipped with the supremum norm: }f }8 supxPE |f pxq|, f P Cb pE q, and the strict topology Tβ . With the operators Lpsq we associate the squared gradient operator Γ1 defined by Γ1 pf, g q pτ, xq 1 Tβ - lim Eτ,x rpf pX psqq f pX pτ qqq pg pX psqq g pX pτ qqqs , (5.2) sÓτ s τ

for f , g P D pΓ1 q. Here D pΓ1 q is the domain of the operator Γ1 . It consists of those functions f P Cb pE q Cb pE, Cq with the property that the strict limit 1 Tβ - lim (5.3) Eτ,x pf pX psqq f pX pτ qqq f pX psqq f pX pτ qq sÓτ s τ

exists. We will assume that D pΓ1 q contains an algebra of functions in Cb pr0, T s E q which is closed under complex conjugation, and which is Tβ -dense. These squared gradient operators are also called energy operators: see e.g. Barlow, Bass and Kumagai [Barlow et al. (2005)]. We assume that every operator Lpsq, 0 ¤ s ¤ T , generates a diffusion in the sense of the following definition. In the sequel it is assumed that the family of operators tLpsq : 0 ¤ s ¤ T u possesses the property that the space of functions u : r0, T s E Ñ R with the property that the function ps, xq ÞÑ Bu ps, xq Lpsqu ps, q pxq belongs to C pr0, T s E q : C pr0, T s E; Cq b b Bs is Tβ -dense in the space Cb pr0, T s E q. This subspace of functions is denoted by DpLq, and the operator L is defined by Lups, xq Lpsqu ps, q pxq, u P DpLq. It is also assumed that the family A is a core for the operator L. We assume that the operator L, or that the family of operators

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tLpsq : 0 ¤ s ¤ T u, generates a diffusion in the sense of the following definition. It is assumed that the constant function 1 belongs to D pLpsqq, s P r0, T s, and that Lpsq1 0. Definition 5.1. A family of operators tLpsq : 0 ¤ s ¤ T u is said to generate a diffusion if for every C 8 -function Φ : Rn Ñ R, and every pair ps, xq P r0, T s E the following identity is valid Lpsq pΦ pf1 , . . . , fn q ps, qq pxq

BΦ pf ps, xq, . . . , f ps, xqq Lpsqf ps, xq 1 n j B xj j 1 n 1 ¸ B2Φ pf1 ps, xq, . . . , fn ps, xqq Γ1 pfj , fk q ps, xq 2 j,k1 B xj B xk

(5.4)

n ¸

for all functions f1 , . . . , fn in an algebra of functions A, contained in the domain of the operator L, which forms a core for L. Generators of diffusions for single operators are described in Bakry’s lecture notes [Bakry (1994)]. For more information on the squared gradient operator see e.g. [Bakry and Ledoux (2006)] and [Bakry (2006)] as well. Put Φpf, g q f g. Then (5.4) implies

p qp qp qpxq Lpsqf ps, qpxqgps, xq

L s f g s,

p q p q p qpxq

f s, x L s g s,

p qp q

Γ1 f, g s, x ,

provided that the three functions f , g and f g belong to A. Instead of using the full strength of (5.4), i.e. with a general function Φ, we just need it for the product pf, g q ÞÑ f g: see Proposition 5.4. Remark 5.1. Let m be a reference measure on the Borel field E of E, and let p P r1, 8s. If we consider the operators Lpsq, 0 ¤ s ¤ T , in Lp pE, E, mqspace, then we also need some conditions on the algebra A of “core” type in the space Lp pE, E, mq. For details the reader is referred to [Bakry (1994)]. By definition the gradient of a function u P D pΓ1 q in the direction of (the gradient of) v P D pΓ1 q is the function pτ, xq ÞÑ Γ1 pu, v q pτ, xq. For given pτ, xq P r0, T s E the functional v ÞÑ Γ1 pu, vq pτ, xq is linear: its action is denoted by ∇L u pτ, xq. Hence, for pτ, xq P r0, T s E fixed, we can consider L ∇u pτ, xq as an element in the dual of D pΓ1 q. The pair

pτ, xq ÞÑ u pτ, xq , ∇Lu pτ, xq

may be called an element in the phase space of the family Lpsq, 0 ¤ s ¤ T , (see Jan Pr¨ uss [Pr¨ uss (2002)]), and the process s ÞÑ

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307

u ps, X psqq , ∇L u ps, X psqq will be called an element of the stochastic phase space. Next let f : r0, T s E R D pΓ1 q Ñ R be a “reasonable” function, and consider, for 0 ¤ s1 s2 ¤ T the expression: u ps2 , X ps2 qq u ps1 , X ps1 qq

ups2 , X ps2qq

» s2 s1

» s2

ups1 , X ps1 qq

ups2 , X ps2 qq ups1 , X ps1 qq Mu ps2 q Mu ps1 q ,

f s, X psq, u ps, X psqq , ∇L u ps, X psqq ds

s1

» s2 s1

Lpsqups, X psqq

Bu ps, X psqq ds Bs (5.5)

f ps, X psq, ups, X psqq, ∇L u ps, X psqqqds (5.6)

where Mu ps2 q Mu ps1 q

u ps2 , X ps2 qq u ps1 , X ps1 qq

» s2 s1

» s2 s1

B u Lpsqu ps, X psqq Bs ps, X psqq ds

dMu psq.

(5.7)

Details on the properties of the function f will be given in the theorems 5.2, 5.3, 5.4, 5.5, and 5.7. The following definition also occurs in Definition 2.6, where the reader will find more details about Definitions 5.2 and 5.3. It also explains the relationship with transition probabilities and Feller propagators. Definition 5.2. The process


(5.8)

is called a time-inhomogeneous Markov process if

Eτ,x f pX ptqq Fsτ

Es,X psq rf pX ptqqs ,


(5.9)

Here f is a bounded Borel measurable function defined on the state space E and τ ¤ s ¤ t ¤ T . Suppose that the process X ptq in (5.8) has paths which are right-continuous and have left limits in E. Then it can be shown that the Markov property for fixed times carries over to stopping times in the sense that (5.9) may be replaced with

Eτ,x Y FSτ

ES,X pSq rY s ,


(5.10)

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308

Here S : E Ñ rτ, T s is an Ftτ -adapted stopping time and Y is a bounded random variable which is measurable with respect to the future (or terminal) σ-field after S, i.e. the one generated by tX pt _ S q : τ ¤ t ¤ T u. For this type of result the reader is referred to Chapter 2 in [Gulisashvili and van Casteren (2006)] and to Theorem 2.9. Markov processes for which (5.10) holds are called strong Markov processes. For more details on hitting times see §4.5. The following definition is, essentially speaking, the same as Definition 2.8. Its relationship with Feller propagators or evolutions (see Chapter 2, Definition 2.7) is explained in Proposition 4.1 in Chapter 4. The derivatives and the operators Lpsq, s P r0, T s, have to be taken with respect to the strict topology: see Section 2.1. Definition 5.3. The family of operators Lpsq, 0 ¤ s ¤ T , is said to generate a time-inhomogeneous Markov process

tpΩ, FTτ , Pτ,xq , pX ptq : T ¥ t ¥ 0q , pE, E qu (5.11) if for all functions u P DpLq, for all x P E, and for all pairs pτ, sq with 0 ¤ τ ¤ s ¤ T the following equality holds: B u d Eτ,x ru ps, X psqqs Eτ,x ds Bs ps, X psqq Lpsqu ps, q pX psqq . (5.12)

Next we show that under rather general conditions the process s ÞÑ Mu psq Mu ptq, t ¤ s ¤ T , as defined in (5.6) is a Pt,x -martingale. In the following proposition we write Fst , s P rt, T s, for the σ-field generated by X pρq, ρ P rt, ss. The proof of the following proposition could be based on Theorem 2.11 in Chapter 2. For convenience we provide a direct proof based on the Markov property. Proposition 5.1. Fix t P rτ, T q. Let the function u : rt, T s E Ñ R be Bu ps, xq Lpsqu ps, q pxq belongs to C prt, T s E q : such that ps, xq ÞÑ b Bs Cb prt, T s E; Cq. Then the process s ÞÑ Mu psq Mu ptq is adapted to the filtration of σ-fields pFst qsPrt,T s .

Proof. Suppose that T ¥ s2 ¡ s1 ¥ t. In order to check the martingale property of the process Mu psq Mu ptq, s P rt, T s, it suffices to prove that

Et,x Mu ps2 q Mu ps1 q Fst1

0.

(5.13)

In order to prove (5.13) we notice that by the time-inhomogeneous Markov property:

Et,x Mu ps2 q Mu ps1 q Fst1

Es ,X ps q rMu ps2 q Mu ps1 qs 1

1

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Es ,X ps q u ps2 , X ps2 qq u ps1 , X ps1 qq

»s B u Lpsqu ps, X psqq Bs ps, X psqq ds s Es ,X ps q ru ps2 , X ps2 qq u ps1 , X ps1 qqs

»s Es ,X ps q Lpsqu ps, X psqq BBus ps, X psqq ds 1

1

2

1

1

1

2

1

s1

1

» s2

Es ,X ps q rups2 , X ps2qq ups1 , X ps1 qqs dsd Es ,X ps q rups, X psqqsds s Es ,X ps q ru ps2 , X ps2 qq u ps1 , X ps1 qqs Es ,X ps q ru ps2 , X ps2 qq u ps1 , X ps1 qqs 0. (5.14) 1

1

1

1

1

1

1

1

1

The equality in (5.14) establishes the result in Proposition 5.1.

As explained in Definition 5.1 it is assumed that the subspace DpLq contains an algebra of functions which forms a core for the operator L. Proposition 5.2. Let the family of operators Lpsq, 0 ¤ s ¤ T , generate a time-inhomogeneous Markov process


(5.15)

in the sense of Definition 5.3: see equality (5.12). Then the process X ptq has a modification which is right-continuous and has left limits on its life time. For the definition of life time see e.g. Theorem 2.9. The life time ζ is defined by ζ

#

inf ts ¡ 0 : X psq △u on the event tX psq △ for some s P p0, T qu,

ζ

T,

if X psq P E for all s P p0, T q.

(5.16) In view of Proposition 5.2 we will assume that our Markov process has left limits on its life time and is continuous from the right. The following proof is a correct outline of a proof of Proposition 5.2. If E is just a Polish space it needs a considerable adaptation. Suppose that E is Polish, and first assume that the process t ÞÑ X ptq is conservative, i.e. assume that Pτ,x rX ptq P E s 1. Then, by an important intermediate result (see Proposition 3.1 in Chapter 3 and the arguments leading to it) we see that the orbits tX pρq : τ ¤ ρ ¤ T u are Pτ,x -almost surely relatively compact in E. In case that the process t ÞÑ X ptq is not conservative, i.e. if, for

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some fixed t P rτ, T s, an inequality of the form Pτ,x rX ptq P E s 1 holds, then a similar result is still valid. In fact on the event tX ptq P E u the orbit tX pρq : τ ¤ ρ ¤ tu is Pτ,x-almost surely relatively compact: see Proposition 3.2 in Chapter 3. All details can be found in the proof of Theorem 2.9: see Subsection 3.1.1 in Chapter 3. Proof. As indicated earlier the argument here works in case the space E is locally compact. However, the result is true for a Polish space E: see Theorem 2.9. Let the function u : r0, T s E Ñ R belong to the space DpLq. Then the process s ÞÑ Mu psq Mu ptq, t ¤ s ¤ T , is a Pt,x -martingale. Let Dr0, T s be the set of numbers of the form k2n T , k 0, 1, 2, . . . , 2n . By a classical martingale convergence theorem (see e.g. Chapter II in [Revuz and Yor (1999)]) it follows that the following limit lim u ps, X psqq

Ò P r s

s t, s D 0,T

exists Pτ,x -almost surely for all 0 ¤ τ t ¤ T and for all x P E. In the same reference it is also shown that the limit lim u ps, X psqq exists

Ó P r s

s t, s D 0,T

Pτ,x -almost surely for all 0 ¤ τ ¤ t T and for all x P E. Since the locally compact space r0, T s E is second countable it follows that the exceptional sets may be chosen to be independent of pτ, xq P r0, T s E, of t P rτ, T s, and of the function u P DpLq. Since by hypothesis the subspace DpLq is Tβ -dense in Cb pr0, T s E q it follows that the left-hand limit at t of the process s ÞÑ X psq, s P Dr0, T s rτ, ts, exists Pτ,x -almost surely for all pt, xq P pτ, T s E. It also follows that the right-hand limit at t of the process s ÞÑ X psq, s P Dr0, T s pt, T s, exists Pτ,x -almost surely for all pt, xq P rτ, T q E. Then we modify X ptq by replacing it with X pt q limsÓt, sPDr0,T s pτ,T s X psq, t P r0, T q, and X pT q X pT q. It also follows that the process t ÞÑ X pt q has left limits in E. This completes the proof of Proposition 5.2. The hypotheses in the following Proposition 5.3 are the same as those in Proposition 5.2. The functions u and v belong to Dp1q pLq D pD1 q DpLq: see Definition 2.7.

Proposition 5.3. Let the continuous function u : r0, T s E Ñ R be such that for every s P rt, T s the function x ÞÑ ups, xq belongs to D pLpsqq and suppose that the function ps, xq ÞÑ rLpsqu ps, qs pxq is bounded and continuous. In addition suppose that the function s ÞÑ ups, xq is continuously differentiable for all x P E. Then the process s ÞÑ Mu psq Mu ptq is a Fst -martingale with respect to the probability Pt,x . If v is another such function, then the (right) derivative of the quadratic covariation process of

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the martingales Mu and Mv is given by: d hMu , Mv i ptq Γ1 pu, v q pt, X ptqq . dt In fact the following identity holds as well: Mu ptqMv ptq Mu p0qMv p0q

»t 0

»t

Mu psqdMv psq

0

Mv psqdMu psq

»t 0

Γ1 pu, v q ps, X psqq ds. (5.17)

Here Fst , s P rt, T s, is the σ-field generated by the state variables X pρq, t ¤ ρ ¤ s. Instead of Fs0 we usually write Fs , s P r0, T s. The formula in (5.17) is known as the integration by parts formula for stochastic integrals. Proof. We outline a proof of the equality in (5.17). So let the functions u and v be as in Proposition 5.3. Then we have Mu ptqMv ptq Mu p0qMv p0q

2n ¸1

k 0

Mu k2n t

n 2¸ 1

Mu

pk

Mv

1q2n t

pk

1q2n t

Mv

k2n t

Mu

k2n t

Mv k2n t

k 0

n 2¸ 1

pMuppk

1q2n tq Mu pk2n tqqpMv ppk

1q2n tq Mv pk2n tqq.

k 0

(5.18)

³t

The first term on the right-hand side of (5.18) converges to 0 Mu psqdMv psq, ³t the second term converges to 0 Mv psqdMu psq. Using the identity in (5.7) for the function u and a similar identity for ³v we see that the third term t on the right-hand side of (5.18) converges to 0 Γ1 pu, v q ps, X psqq ds. The observation that for every τ P r0, T s the process t ÞÑ Mu ptqMv ptq Mu pτ qMv pτ q

»t τ

Γ1 pu ps, q , v ps, qq pX psqq ds, (5.19)

τ ¤ t ¤ T , is a Pτ,x -martingale relative to the filtration pFtτ qtPrτ,T s , then completes the proof Proposition 5.3. Remark 5.2. The quadratic variation process of the (local) martingale s ÞÑ Mu psq is given by the process s ÞÑ Γ1 pu ps, q , u ps, qq ps, X psqq, and therefore Es1 ,x

» s2 2 dMu s s1

pq

Es ,x

» s2

1

s1

Γ1 pu ps, q , u ps, qq pX psqq ds

8

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under appropriate conditions on the function u. Very informally we may think of the following representation for the martingale difference: Mu ps2 q Mu ps1 q

» s2 s1

∇L u ps, X psqq dW psq.

(5.20)

Here we still have to give a meaning to the stochastic integral in the righthand side of (5.20). If E is an infinite-dimensional Banach space, then W ptq should be some kind of a cylindrical Brownian motion. It is closely related to a formula which occurs in Malliavin calculus: see [Nualart (1995)] (Proposition 3.2.1) and [Nualart (1998)]. Remark 5.3. It is perhaps worthwhile to observe that for Brownian motion pW psq, Px q the martingale difference Mu ps2 q Mu ps1 q, s1 ¤ s2 ¤ T , is given by a stochastic integral: M u p s2 q M u p s1 q

» s2 s1

∇u pτ, W pτ qq dW pτ q.

Its increment of the quadratic variation process is given by hMu , Mu i ps2 q hMu , Mu i ps1 q

» s2 s1

|∇u pτ, W pτ qq|2 dτ.

Next suppose that the function u solves the equation:

f s, x, u ps, xq , ∇L u ps, xq

Lpsqu ps, xq

B u ps, xq 0. Bs

(5.21)

If moreover, u pT, xq ϕ pT, xq, x P E, is given, then we have u pt, X ptqq ϕ pT, X pT qq

»T t

»T t

f s, X psq, u ps, X psqq , ∇L u ps, X psqq ds

dMu psq,

(5.22)

with Mu psq as in (5.7). From (5.22) we get u pt, xq Et,x ru pt, X ptqqs

Et,x rϕ pT, X pT qqs

»T t

(5.23)

Et,x f s, X psq, u ps, X psqq , ∇L u ps, X psqq

ds.

Theorem 5.1. Let u : r0, T s E Ñ R be a continuous function with the property that for every pt, xq P r0, T s E the function s ÞÑ Et,x ru ps, X psqqs is differentiable and that d B Et,x ru ps, X psqqs Et,x Lpsqu ps, X psqq ds Bs u ps, X psqq , t s T. Then the following assertions are equivalent:

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(a) The function u satisfies the following differential equation: Lptqu pt, xq

B u pt, xq Bt

f t, x, u pt, xq , ∇L u pt, xq

0.

(5.24)

(b) The function u satisfies the following type of Feynman-Kac integral equation:

upt, xq Et,x upT, X pT qq

»T t

f pτ, X pτ q, upτ, X pτ qq

, ∇L u

pτ, X pτ qqqdτ

»s t

.

(5.25)

(c) For every t P r0, T s the process s ÞÑ u ps, X psqqu pt, X ptqq

f τ, X pτ q, u pτ, X pτ qq , ∇L u pτ, X pτ qq dτ

is an Fst -martingale with respect to Pt,x on the interval rt, T s. (d) For every s P r0, T s the process t ÞÑ u pT, X pT qqu pt, X ptqq is an

FTt -backward

»T t


martingale with respect to Ps,x on the interval rs, T s.

Remark 5.4. Suppose that the function u is a solution to the following terminal value problem: p q p q pxq BBs u ps, xq f s, x, u ps, xq , ∇Lu ps, xq 0; (5.26) % upT, xq ϕpT, xq. Then the pair u ps, X psqq , ∇L u ps, X psqq can be considered as a weak so$ & L s u s,

lution to a backward stochastic differential equation. More precisely, for every s P r0, T s the process t ÞÑu pT, X pT qq u pt, X ptqq

»T t

f τ, X pτ q, u pτ, X pτ qq , ∇L u pτ, X pτ qq dτ on the interval rs, T s. The ÞÑ ∇Lu v ps, xq Γ1 pu, vqps, xq,

is an FTt -backward martingale relative to Ps,x symbol ∇L u v s, x stands for the functional v

p q

where Γ1 is the squared gradient operator: Γ1 pu, v qps, xq (5.27) 1 Tβ - lim Es,x rpu ps, X ptqq u ps, X psqqq pv ps, X ptqq v ps, X psqqqs . tÓs t s

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Possible choices for the function f are

f

(5.28) V ps, xqy and 1 L 1 2 s, x, y, ∇L ∇ ps, xq V ps, xq Γ1 pu, uq ps, xq V ps, xq. u 2 u 2

f s, x, y, ∇L u

(5.29) The choice in (5.28) turns equation (5.26) into the following heat equation:

B u ps, xq Lpsqu ps, q pxq V ps, xqups, xq 0; Bs % u pT, xq ϕpT, xq. The function v ps, xq defined by the Feynman-Kac formula ³ v ps, xq Es,x e V pρ,X pρqqdρ ϕ pT, X pT qq $ &

(5.30)

T s

(5.31)

is a candidate solution to equation (5.30). The choice in (5.29) turns equation (5.26) into the following HamiltonJacobi-Bellman equation:

B u ps, xq Lpsqu ps, X psqq 1 Γ pu, uq ps, xq V ps, xq 0; 1 B s 2 (5.32) % u pT, xq log ϕpT, xq, where log ϕpT, xq replaces ϕpT, xq. The function SL defined by the gen$ &

uine non-linear Feynman-Kac formula

SL ps, xq log Es,x e

³T s

p

p qq ϕ pT, X pT qq

V ρ,X ρ dρ

(5.33)

is a candidate solution to (5.32). Often these “candidate solutions” are viscosity solutions. However, this was the main topic in [Van Casteren (2009)] and is the main topic in Chapter 6. Remark 5.5. Let ups, xq satisfy one of the equivalent conditions in Theorem 5.1. Put Y pτ q u pτ, X pτ qq, and let M psq be the martingale determined by M ptq Y ptq u pt, X ptqq and by M psq M ptq Y psq

»s t

f τ, X pτ q, Y pτ q, ∇L u pτ, X pτ qq dτ.

Then the expression ∇L u pτ, X pτ qq only depends on the martingale part M of the process s ÞÑ Y psq. This entitles us to write ZM pτ q instead of ∇L u pτ, X pτ qq. The interpretation of ZM pτ q is then the linear functional d N ÞÑ hM, N i pτ q, where N is a Pt,x -martingale in M2 pΩ, FTt , Pt,x q. dτ Here a process N belongs to M2 pΩ, FTt , Pt,x q whenever N is martingale in

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L2 pΩ, FTt , Pt,x q which is Pt,x -almost surely continuous. In Definition 5.7 below it will be explained why these functionals exist. Their existence is guaranteed by Lebesgue’s differentiation theorem. For a discussion on this theorem see e.g. [Stein and Shakarchi (2005)]. Notice that the functional ZM pτ q is known as soon as the martingale M P M2 pΩ, FTt , Pt,x q is known. From our definitions it also follows that M pT q Y pT q

»T t

f pτ, X pτ q, Y pτ q, ZM pτ qq dτ, Pt,x -almost surely

provided that Y ptq M ptq. Remark 5.6. Let the notation be as in Remark 5.5. Then the variables Y ptq and ZM ptq only depend on the space-time variable pt, X ptqq, and as a consequence the martingale increments M pt2 q M pt1 q, 0 ¤ t1 t2 ¤ T , only depend on Ftt21 σ pX psq : t1 ¤ s ¤ t2 q. In Section 5.2 we give Lipschitz type conditions on the function f in order that the BSDE Y ptq Y pT q

»T t

f ps, X psq, Y psq, ZM psqq ds

M ptq M pT q, τ

¤ t ¤ T, (5.34)

possesses a unique pair of solutions

pY, M q P L2 pΩ, FTτ , Pτ,xq M2 pΩ, FTτ , Pτ,xq . Here M2 pΩ, FTt , Pt,x q stands for the space of all Pt,x -almost sure continuous pFst qsPrt,T s -martingales in L2 pΩ, FTt , Pt,x q. Of course instead of writ-

ing “BSDE” it would be better to write “BSIE” for Backward Stochastic Integral Equation. However, since in the literature on backward stochastic differential equations people write “BSDE” even if they mean integral equations we also stick to this terminology. Suppose that the σ pX pT qqmeasurable variable Y pT q P L2 pΩ, FTτ , Pτ,x q is given. In fact we will prove that the solution pY, M q of the equation in (5.34) belongs to the space S 2 Ω, FTt , Pt,x ; Rk M2 Ω, FTt , Pt,x ; Rk . For more details see the definitions 5.4 and 5.8, and Theorem 5.7. Remark 5.7. Let M and N be two martingales in M2 r0, T s. Then, for 0 ¤ s t ¤ T,

|hM, N i ptq hM, N i psq|2 ¤ phM, M i ptq hM, M i psqq phN, N i ptq hN, N i psqq ,

and consequently

2 d ds hM, N i s

p q ¤ dsd hM, M i psq dsd hN, N i psq.

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Hence, the inequality

»T d ds hM, N i s ds

pq

0

¤

»T 0

1{2

d hM, M i psq ds

1{2

d hN, N i psq ds

ds

(5.35) follows. The inequality in (5.35) says that the quantity »T d ds hM, N i psq ds is dominated by the Hellinger integral H pM, N q de0 fined by the right-hand side of (5.35). Remark 5.8. BSDEs, which can be of quadratic order, are also used in the context of concave utility functions (and their Legendre-Fenchel transforms, which are the so-called cost functions): see e.g. [Delbaen et al. (2009)]. Such functions are used in the theory of risk management. For more results on quadratic BSDEs see [Reveillac (2009)], and [Imkeller et al. (2009)]. In the latter paper the authors also describe the role of Malliavin calculus in the representations for solutions to BSDEs. Suppose that the underlying filter space is standard d-dimensional Brownian motion. Then the Malliavin derivative of the solutions represents the integrand of the martingale part of the solution (written as a Skorohod integrals, which turns out to be an Itˆ o integral). For a proof of Theorem 5.1 we refer the reader to [Van Casteren (2009)]. We insert a proof here as well. Proof. write

[Proof of Theorem 5.1.] For brevity, and only in this proof, we

F pτ, X pτ qq f τ, X pτ q , u pτ, X pτ qq , ∇L u pτ, X pτ qq .

(a) ùñ (b). The equality in (b) is the same as the one in (5.23) which is a consequence of (5.21). (b)

ùñ (a). We calculate the expression B E u ps, X psqq » s f τ, X pτ q , u pτ, X pτ qq , ∇L pτ, X pτ qq dτ . u Bs t,x t

First of all it is equal to

Et,x

B Bs u ps, X psqq

Lpsqu ps, X psqq

F ps, X psqq .

(5.36)

Next we also have by (5.25) in (b):

B E u ps, X psqq Bs t,x

»s t

f τ, X pτ q , u pτ, X pτ qq

, ∇L u

pτ, X pτ qq

dτ

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BBs Et,x

»T

Es,X psq u pT, X pT qq

s

F pτ, X pτ qq dτ

317

»s t

F pτ, X pτ qq dτ

(Markov property)

»T »s BBs Et,x Et,x u pT, X pT qq F pτ, X pτ qq dτ Fst F pτ, X pτ qq dτ s t »T t B Bs Et,x Et,x u pT, X pT qq F pτ, X pτ qq dτ Fs t »T B Bs Et,x u pT, X pT qq (5.37) F pτ, X pτ qq dτ 0. t

From (5.37) and (5.36) we get

B Bs ups, X psqq 0, s ¡ t.

Et,x

Lpsqups, X psqq f ps, X psq, ups, X psqq, ∇L u ps, X psqqq

(5.38)

Passing to the limit for s Ó t in (5.38) we obtain:

Et,x

0.

B Bt u pt, X ptqq

Lptqu pt, X ptqq

f t, X ptq , u pt, X ptqq

, ∇L u

pt, X ptqq

(5.39)

Since X ptq x Pt,x -almost surely, from (5.39) we obtain equality (5.24) in assertion (a). (a) ùñ (c). If the function u satisfies the differential equation in (a), then from the equality in (5.5) we see that 0 u ps, X psqq u pt, X ptqq

u ps, X psqq

u pt, X ptqq

u ps, X psqq u pt, X ptqq Mu psq Mu ptq , where, as in (5.7), Mu psq Mu ptq

»s t


»s t

»s t

B u Lpτ qu pτ, X pτ qq Bτ pτ, X pτ qq dτ

(5.40)

f τ, X pτ q, u pτ, X pτ qq , ∇L u pτ, X pτ qq dτ (5.41)

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u ps, X psqq u pt, X ptqq

»s t

»s t

u B Lpτ qu pτ, X pτ qq Bτ pτ, X pτ qq dτ

dMu pτ q.

(5.42)

Since the expression in (5.41) vanishes (by assumption (a)) we see that the process in (c) is the same as the martingale s ÞÑ Mu psq Mu ptq, s ¥ t. This proves the implication (a) ùñ (c).

The implication (c) ùñ (b) is a direct consequence of assertion (c) and the fact that X ptq x Pt,x -almost surely. The equivalence of the assertions (a) and (d) is proved in the same manner as the equivalence of (a) and (c). Here we employ the fact that the process t ÞÑ Mu pT q Mu ptq is an FTt -backward martingale on the interval rs, T s with respect to the probability Ps,x . This completes the proof of Theorem 5.1

Remark 5.9. Instead of considering ∇L u ps, xq we will also consider the bilinear mapping Z psq which associates with a pair of local semi-martingales pY1 , Y2 q a process which is to be considered as the right derivative of the covariation process: hY1 , Y2 i psq. We write ZY1 psq pY2 q Z psq pY1 , Y2 q

d hY1 , Y2 i psq. ds

The function f (i.e. the generator of the backward differential equation) will then be of the form: f ps, X psq, Y psq, ZY psqq; the deterministic phase ups, xq, ∇L p s, x q is replaced with the stochastic phase pY psq, ZY psqq. We u should find an appropriate stochastic phase s ÞÑ pY psq, ZY psqq, which we identify with the process s ÞÑ pY psq, MY psqq in the stochastic phase space S 2 M2 , such that Y ptq Y pT q

»T t

f ps, X psq, Y psq, ZY psqq ds

»T t

dMY psq,

(5.43)

where the quadratic variation of the martingale MY psq is given by d hMY , MY i psq ZY psq pY q ds Z psq pY, Y q ds d hY, Y i psq. This stochastic phase space S 2 M2 plays a role in stochastic analysis very similar to the role played by the first Sobolev space H 1,2 in the theory of deterministic partial differential equations. For a formal definition of the functional ZM psq the reader is referred to Definition 5.7.

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Remark 5.10. In case we deal with strong solutions driven by standard Brownian motion the martingale difference MY ps2 q MY ps1 q can be writ³s ten as s12 ZY psqdW psq, provided that the martingale MY psq belongs to the space M2 Ω, GT0 , P . Here GT0 is the σ-field generated by W psq, 0 ¤ s ¤ T . If Y psq u ps, X psqq, then this stochastic integral satisfies: » s2 s1

ZY psqdW psq u ps2 , X ps2 qq u ps1 , X ps1 qq

» s2 s1

B Lpsq Bs u ps, X psqq ds.

(5.44)

Such stochastic integrals are for example defined if the process X ptq is a solution to a stochastic differential equation (in Itô sense): X psq X ptq

»s t

b pτ, X pτ qq dτ

»s t

σ pτ, X pτ qq dW pτ q,

t ¤ s ¤ T. (5.45)

Here the matrix pσjk pτ, xqqj,k1 is chosen in such a way that d

ajk pτ, xq

d ¸

σjℓ pτ, xq σkℓ pτ, xq pσ pτ, xqσ pτ, xqqjk .

ℓ 1

The process W pτ q is Brownian motion or Wiener process. It is assumed that operator Lpτ q has the form Lpτ qupxq

b pτ, xq ∇upxq

B2 upxq. 1 ¸ ajk pτ, xq 2 j,k1 Bxj xk d

(5.46)

Then from Itˆ o’s formula together with (5.44), (5.45) and (5.46) it follows that the process ZY psq has to be identified with σ ps, X psqq ∇u ps, q pX psqq. For more details see e.g. [Pardoux and Peng (1990)] and [Pardoux (1998a)]. The equality in (5.44) is a consequence of a martingale representation theorem: see e.g. Proposition 3.2 in [Revuz and Yor (1999)]. Remark 5.11. Backward doubly stochastic differential equations (BDSDEs) could have been included in the present chapter: see Boufoussi, Mrhardy and Van Casteren [Boufoussi et al. (2007)]. In our notation a BDSDE may be written in the form: Y ptq Y pT q

»T

f t

»T t

s, X psq, Y psq, N

ÞÑ dsd hM, N i psq

g s, X psq, Y psq, N

ÞÑ

ds

d Ý hM, N i psq d B psq ds

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M ptq M pT q.

(5.47)

Here the expression »T t

g s, X psq, Y psq, N

ÞÑ

d Ý hM, N i psq d B psq ds

represents a backward Itˆ o integral. The symbol hM, N i stands for the quadratic covariation process of the (local) martingales M and N ; it is assumed that this process is absolutely continuous with respect to Lebesgue measure. Moreover,

tpΩ, FTτ , Pτ,xq , pX ptq : T ¥ t ¥ 0q , pE, E qu is a Markov process generated by a family of operators Lpsq, 0 ¤ s ¤ T , and Ftτ σ tX psq : τ ¤ s ¤ tu. The process X ptq could be the (unique) weak or strong solution to a (forward) stochastic differential equation (SDE): »t

X ptq x

τ

»t

b ps, X psqq ds

τ

σ ps, X psqq dW psq.

(5.48)

Here the coefficients b and σ have certain continuity or measurability properties, and Pτ,x is the distribution of the process X ptq defined as being the unique weak solution to the equation in (5.48). We want to find a pair pY, M q P S 2 pΩ, Ftτ , Pτ,xq M2 pΩ, Ftτ , Pτ,xq which satisfies (5.47). For applications of BDSDEs to viscosity solutions of stochastic partial differential equations the reader is referred to e.g. [Buckdahn and Ma (2001a,b); N’zi and Owo (2009); Pardoux and Peng (1994)]. Next we give some definitions. Fix pτ, xq P r0, T s E. In the definitions 5.4 and 5.5 the probability measure Pτ,x is defined on the σ-field FTτ . In Definition 5.8 we return to these notions. The following definition and implicit results described therein show that, under certain conditions, by enlarging the sample space a family of processes may be reduced to just one process without losing the S 2 -property. Definition 5.4. Fix pτ, xq P r0, T s E. An Rk -valued process Y is said to belong to the space S 2 Ω, FTτ , Pτ,x ; Rk if Y ptq is Ftτ -measurable (τ ¤ t

¤ T ) and if Eτ,x

sup |Y ptq|

2

τ

¤t¤T

8.

It is assumed that Y psq

Pτ,x -almost surely, for s P r0, τ s. The process Y psq, s 2 Ω, FTτ , Pτ,x ; Rk if belong to the space Sunif

sup

pτ,xqPr0,T sE

Eτ,x τ

sup |Y ptq|2

¤t¤T

Y pτ q,

P r0, T s, is said to

8,

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2 and it belongs to Sloc,unif Ω, FTτ , Pτ,x ; Rk provided that

sup

pτ,xqPr0,T sK

sup |Y ptq|

2

Eτ,x τ

¤t¤T

8

for all compact subsets K of E. If the σ-field Ftτ and Pτ,x are clear from the context we write S 2 or sometimes just S 2 .

r0, T s, Rk

Definition 5.5. Let the process M be such that the process t ÞÑ M ptq M pτ q, t P rτ, T s, is a Pτ,x -almost surely continuous martingale with the property that the random variable M pT qM pτ q belongs to L2 pΩ, F τ , P q. T τ,x 2 τ k Then M is said to belong to the space M Ω, FT , Pτ,x ; R . By the Burkholder-Davis-Gundy inequality (see inequality (5.89) below) it follows that

Eτ,x τ

sup |M ptq M pτ q|

2

¤t¤T

is finite if and only if M pT q M pτ q belongs to the space L2 pΩ, FTτ , Pτ,x q. Here an Ftτ -adapted process M pq M pτ q is called a Pτ,x -martingale provided that Eτ,x r|M ptq M pτ q|s 8 and Eτ,x M ptq M pτ q Fsτ M psq M pτ q, Pτ,x -almost surely, for T ¥ t ¥ s ¥ τ . The Pτ,x -almost sure continuous martingale difference s ÞÑ M psq M pτ q, s P rτ, T s, is said to belong to the space M2unif Ω, FTτ , Pτ,x ; Rk if

sup

Eτ,x

pτ,xqPr0,T sE

τ

sup |M ptq M pτ q|

¤t¤T

2

8,

and it belongs to M2loc,unif Ω, FTτ , Pτ,x ; Rk provided that

sup

pτ,xqPr0,T sK

sup |M ptq M pτ q|

2

Eτ,x τ

¤t¤T

8

for all compact subsets K of E. There is also need for a localized notion.

P

M2 Ω, FTτ , Pτ,x ; Rk . Then M is said to be absolutely continuous if the deterministic function t ÞÑ Eτ,x |M ptq|2 is absolutely continuous. The attribute AC is used to indicate that a 2 τ k martingale M P M Ω, FT , Pτ,x ; R is absolutely continuous: M P M2AC Ω, FTτ , Pτ,x ; Rk . For the other spaces a similar notation is used: M2AC,unif Ω, FTτ , Pτ,x ; Rk . Definition 5.6. Let M

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From the Burkholder-Davis-Gundy inequality (see inequality (5.89) below) it follows that the process M psq M p0q belongs to M2unif Ω, FTτ , Pτ,x ; Rk if and only if

sup

pτ,xqPr0,T sE

sup

Eτ,x |M pT q M pτ q|

pτ,xqPr0,T sE

2

Eτ,x rhM, M i pT q hM, M i pτ qs 8.

Here hM, M i stands for the quadratic variation process of the process t ÞÑ M ptq M p0q. The notions in the definitions 5.4 and 5.5 will exclusively be used in case the family of measures tPτ,x : pτ, xq P r0, T s E u constitute the distributions of a Markov process which was defined in Definition 5.2. In order to formalize our theory we insert a definition of the fiber spaces pΩ, FTτ , Pτ,xq, τ ¤ s ¤ T . As mentioned in Definition 5.5 the space M pΩ, FTτ , Pτ,x q consists of those L2 -martingales which are Pτ,x -almost surely continuous.

M2,s AC 2

Definition 5.7. By definition the space M2 pΩ, FTτ , Pτ,x q consists of those continuous martingales M with values in the space Rk which belong to τ L2 Ω, FTτ , Pτ,x ; Rk . The symbol M2,s AC pΩ, FT , Pτ,x q consists of those functionals Z psq : M2 pΩ, FTτ , Pτ,x q Ñ R for which there exists a martingale M all N P M2AC pΩ, FTτ , Pτ,x q the equality Z psqpN q

d hM, N i ptq ts dt

P M2AC pΩ, FTτ , Pτ,xq such that for

hM, N i ps lim hÓ0

hq hM, N i psq (5.49) h

d hM, N i psq is employed for the rightds derivative as indicated in (5.49). The notation Z psq ZM psq is used and the M2,s AC -norm of ZM psq is defined by holds.

Usually the notation

}ZM psq}M 2,s AC

Eτ,x

1{2

d hM, M i psq ds

.

τ Elements of the space M2,s AC pΩ, FT , Pτ,x q are denoted by ZM psq, where the 2 martingale M belongs to M pΩ, FTτ , Pτ,x q. From the Kunita-Watanabe inequality (see [Ikeda and Watanabe (1998)]) it follows that

2 d ds hM, N i s

pq ¤

d d ds hM, M i s ds hN, N i s ,

pq

pq

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where M, N P M2AC pΩ, FTτ , Pτ,x q, and so it makes sense to define the τ following inner-product on the space M2,s AC pΩ, FT , Pτ,x q: hZM psq, ZN psqiM2,s

AC

Eτ,x

d hM, N i psq , M, N ds

P M2AC pΩ, FTτ , Pτ,xq , (5.50)

and the M2,s AC -norm of ZM psq is defined by

}ZM psq}M 2,s AC

Eτ,x

1{2

d hM, M i psq ds

.

τ Relative to this inner-product and norm the space M2,s AC pΩ, FT , Pτ,x q is a pre-Hilbert space. Completion turns it into a Hilbert space.

Lemma 5.1 below gives some more information on these fiber spaces. Example 5.1. Again let the Markov process, with right-continuous sample paths and with left limits,

tpΩ, FTτ , Pτ,xq , pX ptq : T ¥ t ¥ 0q , pE, E qu be generated by the family of operators tLpsq : 0 ¤ s ¤ tu:

(5.51)

see definitions 5.2, equality (5.9), and 5.3, equality (5.11). Suppose that the squared gradient operators Γ1 psq, 0 ¤ s ¤ T , exist: see equality (5.2). Let the function u P Cb pr0, T s E q belong to the domain of the operator L Lpsq, 0 ¤ s ¤ T . Put Mu,τ psq u ps, X psqq u pτ, X pτ qq

»t τ

d dρ

Lpρq u pρ, X pρqq dρ.

Then the process s ÞÑ Mu,τ psq is a Pτ,x -martingale and, since hMu,τ , Mu,τ i psq hMu,τ , Mu,τ i pτ q

»s τ

Γ1 pu, uq pρ, X pρqq dρ

the martingale Mu.τ belongs to the space M2AC pΩ, FTτ , Pτ,x ; Rq. Next we define the family of operators tQ pt1 , t2 q : 0 ¤ t1

¤ t2 ¤ T u by Q pt1 , t2 q f pxq Et ,x rf pX pt2 qqs , f P Cb pE q , 0 ¤ t1 ¤ t2 ¤ T. (5.52) Fix ϕ P DpLq. Since the process t ÞÑ Mϕ ptq Mϕ psq, t P rs, T s, is a Ps,x -martingale with respect to the filtration pFts qtPrs,T s , and X ptq x 1

Pt,x -almost surely, the following equality follows: »t s

Es,x rLpρqϕ pρ, q pX pρqqs dρ

Et,x rϕ pt, X ptqqs Es,x rϕ pt, X ptqqs

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B ϕ ϕpt, xq ϕps, xq Es,x Bρ pρ, X pρqq dρ. (5.53) s The fact that a process of the form t ÞÑ Mϕ ptq Mϕ psq, t P rs, T s, is »t

a Ps,x -martingale follows from Proposition 5.1. In terms of the family of operators

tQ pt1 , t2 q : 0 ¤ t1 ¤ t2 ¤ T u the equality in (5.53) can be rewritten as »t s

Q ps, ρq Lpρqϕ pρ, q pxq dρ

ϕpt, xq ϕps, xq

»t s

Qpt, tqϕ pt, q pxq Qps, tqϕ pt, q pxq

Q ps, ρq

Bϕ pρ, q pxqdρ. Bρ

(5.54)

From (5.54) we infer that Lpsqϕps, qpxq

Qpt, tqϕ pt, q pxq Qps, tqϕ pt, q pxq lim tÓs ts

and that

Qpt, tqϕ pt, q pxq Qps, tqϕ pt, q pxq lim . (5.55) sÒt ts Equality (5.54) also yields the following result. If ϕ P DpLq is such that Bϕ pρ, yq, Lpρqϕ pρ, q py q Bρ Lptqϕpt, qpxq

then ϕ ps, xq Q pρ, tq ϕ pt, q pxq Es,x rϕ pt, X ptqqs .

(5.56)

Since 0 ¤ s ¤ t ¤ T are arbitrary from (5.56) we see

Q s, t1 ϕ t1 ,

pxq Q ps, tq Q

t, t1 ϕ t1 ,

pxq 0 ¤ s ¤ t ¤ t1 ¤ T, x P E.

(5.57) If in (5.57) we (may) choose the function ϕ pt1 , y q arbitrarily, then the family Qps, tq, 0 ¤ s ¤ t ¤ T , is automatically a propagator in the space Cb pE q in the sense that Q ps, tq Q pt, t1 q Q ps, t1 q, 0 ¤ s ¤ t ¤ t1 ¤ T . For details on propagators or evolution families see [Gulisashvili and van Casteren (2006)]. Remark 5.12. In the sequel we want to discuss solutions to equations of the form:

B Bt u pt, xq

Lptqu pt, q pxq


0.

(5.58)

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For a preliminary discussion on this topic see Theorem 5.1. Under certain hypotheses on the function f we will give existence and uniqueness results. Let m be (equivalent to) the Lebesgue measure in Rd . In a concrete situation where every operator Lptq is a genuine diffusion operator in L2 Rd , m we consider the following Backward Stochastic Differential equation u ps, X psqq Y pT, X pT qq

»T s

»T s

f ρ, X pρq, u pρ, X pρqq , ∇L u pρ, X pρqq dρ

∇L u pρ, X pρqq dW pρq .

(5.59)

Here we suppose that the process t ÞÑ X ptq is a solution to a genuine stochastic differential equation driven by Brownian motion and with oneBu pt, xq. In fact dimensional distribution upt, xq satisfying Lptqu pt, q pxq Bt in that case we will not consider the equation in (5.59), but we will try to find an ordered pair pY, Z q such that Y psq Y pT q

»T s

f pρ, X pρq, Y pρq , Z pρqq dρ

»T s

hZ pρq , dW pρqi .

(5.60) If the pair pY, Z q satisfies (5.60), then u ps, xq Es,x rY psqs satisfies (5.58). L Moreover Z psq ∇L u ps, X psqq ∇u ps, xq, Ps,x -almost surely. For more details see section 2 in [Pardoux (1998a)]. Remark 5.13. Some remarks follow: (a) In section 5.2 weak solutions to BSDEs are studied. (b) In section 7 of [Van Casteren (2009)] and in section 2 of [Pardoux (1998a)] strong solutions to BSDEs are discussed: these results are due to Pardoux and collaborators. (c) BSDEs go back to Nelson [Nelson (1967)]. In this context Bismut is also mentioned see e.g. [Bismut (1973, 1981b)]. d 1 ¸ B2u ps, xq ¸d b ps, xq Bu ps, xq, (d) If Lpsqups, xq aj,k ps, xq j 2 j,k1 Bxj xk Bxj j 1 then Γ1 pu, v q ps, xq

d ¸

j,k 1

aj,k ps, xq

Bu ps, xq Bv ps, xq. Bxj Bxk

As a corollary to theorems 5.1 and 5.5 we have the following result.

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Corollary 5.1. Suppose that the function u solves the following

B p q Lpsqups, q pyq f s, y, ups, yq, ∇Lps, yq 0; u Bs % 2 τ u pT, X pT qq ξ P L pΩ, FT , Pτ,xq . Let the pair pY, M q be a solution to $ & u s, y

Y ptq ξ

»T t


M pt q M pT q,

(5.61)

(5.62)

with M pτ q 0. Then

pY ptq, M ptqq pu pt, X ptqq , Muptqq ,

where Mu ptq upt, X ptqq upτ, X pτ qq

»t τ

»t

Lpsqups, qpX psqqds

Bu ps, X psqqds. τ Bs psq may be iden-

Notice that the processes s ÞÑ ∇L u ps, X psqq and s ÞÑ ZMu tified and that ZMu psq only depends on ps, X psqq. The decomposition

B u u pt, X ptqq u pτ, X pτ qq Bs ps, X psqq Lpsqu ps, q pX psqq ds τ Mu ptq Mu pτ q (5.63) splits the process t ÞÑ u pt, X ptqq u pτ, X pτ qq into a part which is bounded »t

variation (i.e. the part which is absolutely continuous with respect to Lebesgue measure on rτ, T s) and a Pτ,x -martingale part Mu ptq Mu pτ q (which in fact is a martingale difference part).

If Lpsq 12 ∆, then X psq W psq (standard Wiener process or Brownian motion) and (5.63) can be rewritten as

u 1 B u pt, W ptqq u pτ, W pτ qq Bs ps, W psqq 2 ∆u ps, q pW psqq ds τ »t ∇u ps, q pW psqq dW psq (5.64) »t

where

³t τ

τ

∇u ps, q pW psqq dW psq is to be interpreted as an Itô integral.

Remark 5.14. Suggestions for further research: (a) Find “explicit solutions” to BSDEs with a linear drift part. This should be a type of Cameron-Martin formula or Girsanov transformation. (b) Treat weak (and strong) solutions BDSDEs in a manner similar to what is presented here for BSDEs.

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(c) Treat weak (strong) solutions to BSDEs generated by a function f which is not necessarily of linear growth but for example of quadratic growth in one or both of its entries Y ptq and ZM ptq. (d) Can anything be done if f depends not only on s, x, ups, xq, ∇u ps, xq, but also on Lpsqu ps, q pxq? In the following proposition it is assumed that the operator L generates a strong Markov process in the sense of the definitions 2.7 and 2.8. Proposition 5.4. Let the functions f , g P DpLq be such that their product f g also belongs to DpLq. Then Γ1 pf, g q is well defined and for ps, xq P r0, T s E the following equality holds: Lpsq pf g q ps, q pxq f ps, xqLpsqg ps, q pxq Lpsqf ps, q pxqg ps, xq

Γ1 pf, gq ps, xq.

(5.65)

Proof. Let the functions f and g be as in Proposition 5.4. For h ¡ 0 we have: pf pX ps hqq f pX psqqq pg pX ps hqq g pX psqqq

f pX ps hqq g pX ps hqq f pX psqq g pX psqq (5.66) f pX psqqpgpX ps hqq gpX psqqq pf pX ps hqq f pX psqqqgpX psqq. Then we take expectations with respect to Es,x , divide by h ¡ 0, and pass to the Tβ -limit as h Ó 0 to obtain equality (5.65) in Proposition 5.4. 5.2

A probabilistic approach: Weak solutions

In this section and also in sections 5.3 we will study BSDE’s on a single probability space. In Section 5.4 and Chapter 6 we will consider Markov families of probability spaces. In the present section we write P instead of P0,x , and similarly for the expectations E and E0,x . Here we work on the interval r0, T s. Since we are discussing the martingale problem and basically only the distributions of the process t ÞÑ X ptq, t P r0, T s, the solutions we obtain are of weak type. In case we consider strong solutions we apply a martingale representation theorem (in terms of Brownian Motion). In Section 5.4 we will also use this result for probability measures of the form Pτ,x on the interval rτ, T s. In this section we consider a pair of Ft Ft0 adapted processes pY, M q P L2 Ω, FT , P; Rk L2 Ω, FT , P : Rk such that Y p0q M p0q and such that Y ptq Y pT q

»T t


M ptq M pT q

(5.67)

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where M is a P-martingale with respect to the filtration Ft σ pX psq : s ¤ tq. In [Van Casteren (2009)] we will employ the results of the present section with P Pτ,x , where pτ, xq P r0, T s E. For more details see §5.4 below. Proposition 5.5. Let the pair pY, M q be as in (5.67), and suppose that Y p0q M p0q. Then Y ptq M ptq

»t 0

f ps, X psq, Y psq, ZM psqq ds,

Y ptq E Y pT q

»T t

»T

M ptq E Y pT q

0

and

(5.68)

f ps, X psq, Y psq, ZM psqq ds Ft ;

(5.69)

ds Ft .

(5.70)

f ps, X psq, Y psq, ZM psqq

The equality in (5.68) shows that the process M is the martingale part of the semi-martingale Y . Proof. The equality in (5.69) follows from (5.67) and from the fact that M is a martingale. Next we calculate

E Y pT q

E

»T 0

»T

Y pT q

»t 0


t

ds Ft


ds Ft

f ps, X psq, Y psq, ZM psqq ds »t

Y ptq

0


(employ (5.67))

Y pT q »t 0

»T t


M ptq M pT q


Y pT q M pT q

»T 0


M ptq M pT q M ptq.

M ptq M pT q (5.71)

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The equality in (5.71) shows (5.70). Since M pT q Y pT q

»T 0


the equality in (5.68) follows.

In the following theorem we write z ZM psq ZM 1 ,...,M k psq and y belongs to Rk . The process M is a k-dimensional martingale in M2 Ω, FTτ , Pτ,x ; Rk . (see Definition 5.5) with the property that every function t

ÞÑ Eτ,x

M j t 2

pq

is absolutely continuous. From Lemma 5.1 d j below it follows that it makes sense to write M , M j ptq. The expresdt d sion hM, M i ptq, M M2 M1 , is shorthand for dt k ¸ d j d hM, M i ptq M , M j ptq. dt dt j 1

P M2AC Ω, FTτ , Pτ,x; Rk will be used: see Definition 5.6. Theorem 5.2. Fix pτ, xq P r0, T s E. Suppose that there exist finite conThe notation M

stants C1 and C2 such that

2 y2 y1 , f s, x1 , y2 , z f s, x1 , y1 , z ¤ C1 |y2 y1 | ; (5.72) d f s, x1 , y, ZM psq f s, x1 , y, ZM psq 2 ¤ C 2 hM2 M1 , M2 M1 i psq 2 1 2 ds (5.73) τ for all s P rτ, T s, x1 P E, y P Rk , z ZM psq P M2,s AC pΩ, FT , Pτ,x q. Then 2 there exists a unique pair of adapted processes pY, M q P S pΩ, FTτ , Pτ,xq M2 pΩ, FTτ , Pτ,x q such that Y pτ q M pτ q and such that the process M is the martingale part of the semi-martingale Y :

Y ptq M ptq M pT q

M pt q for all t P rτ, T s

»t τ

Y pT q

»T t


f ps, X psq, Y psq, ZM psqq ds, Pτ,x -almost surely, (5.74)

τ For the definition of the space M2,s AC pΩ, FT , Pτ,x q see Definition 5.7 above. The symbols ZM psq stand for the functionals:

ZM psqpN q

k ¸ d

ds j 1

Mj, Nj

psq.

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2 Here M and N are k-dimensional martingales in M Ω, FTτ , Pτ,x ; Rk with

ÞÑ Eτ,x |N ptq|2 are absolutely continuous it the follows that the function t ÞÑ hM, N i ptq °k j j ptq is also Pτ,x-almost surely absolutely continuous. Then j 1 M , N

the property that the functions t

ÞÑ Eτ,x |M ptq|2

and t

the Borel measure determined by such a function are Pτ,x -surely continuous relative to the Lebesgue measure on rτ, T s. As a consequence we see that hM, N i ptq hM, N i pτ q

»t τ

d hM, N i pρq dρ, Pτ,x -almost surely. (5.75) dρ

The equality in (5.75) also determines the domain of the function f which generates the BSDE in (5.74) in Theorem 5.2. It is defined on the space !

)

s, x1 , y, ZM psq : s P rτ, T s, x1

τ P E, y P Rk , ZM psq P M2,s AC pΩ, FT , Pτ,x q , and is continuous on this space. For the notation M2AC pΩ, FTτ , Pτ,x q see Definition 5.6. Let M be a member of M2AC pΩ, FTτ , Pτ,x q. Then the process

of functionals (see Definition 5.7 above) t ÞÑ tN

ÞÑ hM, N i ptq hM pτ q, N i pτ qu ,

N

P M2AC pΩ, FTτ , Pτ,xq ,

can be written as an element of the Hilbert-integral »t τ

M2,s pΩ, FTτ , Pτ,x q pq ds.

More precisely hM, N i ptq hM, N i pτ q hM, i ptq hM, i pτ q

»t τ

»t τ

d hM, N i psq ds, or briefly ds

d hM, i psq ds ds

»t τ

ZM psq ds,

τ where ZM psq P M2,s AC pΩ, FT , Pτ,x q. The functionals ZM psq can be considered as the reproducing kernel of the quadratic covariation process determined by the martingale M P M2 pΩ, FTτ , Pτ,x q. Lemma 5.1 below gives some formal arguments concerning the existence of these derivatives. For more details on direct Hilbert integrals and reproducing kernel techniques see e.g. [Thomas (1979, 1994)] and Berlinet and Thomas-Agnan [Berlinet and Thomas-Agnan (2004)].

5.2.1

Some more explanation

Suppose that the family of operators Lpsq, 0 ¤ s ¤ T , generates the strong Markov process

tpΩ, F , Ps,xq , pX ptq, 0 ¤ t ¤ T q , pE, E qu .

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Consider the operators Lpsq, 0 ¤ s ¤ T , as an operator with domain and range in Cb pr0, T s E q. Let Fts be the σ-field generated by X pρq, s ¤ ρ ¤ t. Let u P DpLq. Then the process Mu,τ : t ÞÑ upt, X ptqq upτ, X pτ qq

»t τ

B Bρ

Lpρq u pρ, q pX pρqq dρ,

t P rτ, T s, is a Pτ,x -martingale. In addition, suppose that the squared gradient operators Γ1 psq, 0 ¤ s ¤ T , exist. Let v be another function in DpLq. To the function v there also corresponds a Pτ,x -martingale t ÞÑ Mv,τ ptq, t P rτ, T s. Then the covariation process t ÞÑ hMu,τ , Mv,τ i ptq is given by hMu,τ , Mv,τ i ptq

»t τ

Γ1 pu, v q ps, X psqq ds, t P rτ, T s.

In other words the covariation process t ÞÑ hMu,τ , Mv,τ i ptq is absolutely continuous with respect to the Lebesgue measure. So for such martingales it makes sense to write d hMu,τ , Mv,τ i pt hq hMu,τ , Mv,τ i ptq hMu,τ , Mv,τ i ptq lim , Pτ,x -a.s.. hÓ0 dt h More generally we will consider martingales M P M2 Ω, FTτ , Pτ,x ; Rk with the property that the function t ÞÑ Eτ,x |M ptq| is absolutely continuous with respect to the Lebesgue measure: for more details on the space M2 Ω, FTτ , Pτ,x ; Rk see Remark 5.5. If M is such a martingale, then the variation process t ÞÑ hM, M i ptq is Ps,x -almost surely absolutely continuous. The latter is explained in Lemma 5.1 below. It is assumed that the σ-field Fττ contains the Pτ,x -negligible sets, and the filtration pFtτ qtPrτ,T s is continuous from the right. 2

Lemma 5.1. Let λ be the Lebesgue measure on the interval rτ, T s, and let M and N be martingales M2 Ω, FTτ , Pτ,x ; Rk , which by hypothesis are Pτ,x -almost surely continuous. Then the measure A ÞÑ Eτ,x

»

T

τ

1A pω, sq d hM, N i psq , A P FTτ

b Brτ,T s ,

(5.76)

splits into two positive measures, one of which is absolutely continuous relative to the product measure Pτ,x λ, and another one which is singular relative to Pτ,x λ. Consequently, by the Lebesgue decomposition theorem there exists an adapted process ρ ÞÑ hM,N pρq and a random measure νM,N such that hM, M i ptq hM, M i pτ q

»t τ

hM pρq dρ

νM,N pτ, ts.

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By Lebesgue’s differentiation theorem it follows that hM, N i ptq hM, N i pτ q

»t τ

d hM, N i pρq dρ dρ

»t τ

hM,N pρq dρ,

where the derivatives are in fact right derivatives. We use the notation ZM psqpN q hM,N psq

d hM, N i psq Pτ,x λ-almost everywhere. ds

By definition functionals of the form ZMpsq, M P M2 Ω, FTτ , Pτ,x ; Rk τ k belong to the space M2,s AC Ω, FT , Pτ,x ; R . Often we use the shorthand 2,s notation: MAC . Proof. By the Lebesgue decomposition theorem there exists a process ρ ÞÑ hM,N pρq, ρ P rτ, T s, and a measure νM,N which is singular relative to the measure Pτ,x λ such that for A P FTτ b Brτ,T s we have »

T

Eτ,x τ

Eτ,x

1A pω, ρq d hM, M i pρq

»

T

1A pω, ρq hM,N pρq dρ

τ

In (5.77) we take A of the form A C rτ, ts, C see hM, M i ptq hM, M i pτ q

»t τ

hM,N pρq dρ

νM,N pAq .

(5.77)

P FTτ , t P rτ, T s. Then we νM,N ppτ, tsq

(5.78)

Pτ,x -almost surely. Since t P rτ, T s is arbitrary, an application of Lebesgue’s d differentiation theorem yields the equality hpρq hM, M i pρq, Pτ,x λdρ almost everywhere (derivative from the right). This completes the proof of Lemma 5.1. From Lemma 5.1 it follows that for L2 -martingales it makes sense to write d hM, M i ptq, Pτ,x λ-almost everywhere (derivatives from the right). dt In the situation that t ÞÑ M ptq is a k-dimensional martingale relative to a filtration determined by d-dimensional Brownian motion the martingale t ÞÑ M ptq M 1 ptq, . . . , M k ptq can be written in the form

M j ptq Eτ,x M j pτ q

d »t ¸

k 1 τ

σj,k pρq dWk pρq, 1 ¤ j

¤ k,

(5.79)

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where we employed a martingale representation theorem: see e.g. [Protter (2005)] Theorem 43 in Chapter IV. Then the covariation process of the martingales M j1 and M j2 is given by M j1 , M j2 ptq °d ³ t k1 0 σj1 ,k psqσj2 ,k psq ds. It follows that the functional ZM ptq can be identified with the matrix process pσj,k ptqq1¤j ¤k, 1¤k¤d . Moreover, the estimate in (5.73) is a classical Lipschitz condition:

|f ps, x, y, ZM psqq f ps, x, y, ZM psqq|2 ¤ C22 2

1

k ¸ d ¸ 2 σ

j,k

1 psq σj,k psq2 .

j 1k 1

pt q

pτ q similar expression for M2j ptq. Here

M1j

Eτ,x M1j

°d

³t

1 k 1 τ σj,k

(5.80)

pρq dWk pρq, 1 ¤ j ¤ k, and a

In other words our setup encompasses the classical theory of Pardoux and others. Next suppose that the Markov process

pΩ, F , Ps,xq , pX ptq, 0 ¤ t ¤ T q ,

R d , B Rd

(

is generated by a second-order differential operator of the form

B2 . Bxk Bxℓ j 1 k,ℓ1 Then the corresponding squared gradient operators Γ1 psq, 0 ¤ s ¤ T , are L ps q

1 ¸ B2 ak,ℓ psq 2 k,ℓ1 Bxk Bxℓ d

12

d n ¸ ¸

σk,j psqσℓ,j psq

given by d ¸

Γ1 pu, v q ps, X psqq

ak,ℓ ps, X psqq

k,ℓ 1

Bu ps, X psqq Bv ps, X psqq . Bxk Bxℓ

Consider the operator L as an operator in Cb r0, T s Rd , and let u and v be a functions in DpLq. Let Mu,τ be the martingale given by Mu,τ ptq u pt, X ptqq u pτ, X pτ qq

»t τ

B Bs

Lpsq u ps, X psqq ds,

and we use a similar notation for Mv,τ ptq. Then the covariation process of the martingales Mu,τ and Mv,τ is given by hMu,τ , Mv,τ i ptq

»t

Γ1 pu, v q ps, X psqq ds

τ d ¸

»t

k,ℓ 1 τ

ak,ℓ ps, X psqq

(5.81)

Bu ps, X psqq Bv ps, X psqq ds. Bxk Bxℓ

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From (5.81) we infer ZMu,τ psq pMv,τ q

d ¸

k,ℓ 1

ak,ℓ ps, X psqq

Bu ps, X psqq Bv ps, X psqq . Bxk Bxℓ

The author is convinced that the present setup of BSDEs is also very convenient for Brownian motion on a Riemannian manifold, where we have a Laplace-Beltrami operator, and a squared gradient operator. For more information on Brownian motion on manifolds see e.g. [Elworthy (1982)], and [Hsu (2002)]. The book by Hsu also contains results on logarithmic Sobolev inequalities, and on spectral gap theory. These items will also be discussed in Chapter 9. The following proof contains just an outline of the proof of Theorem 5.2. Complete and rigorous arguments are found in the proof of Theorem 5.4: see Theorem 5.7 as well. Proof. [Outline of a proof of Theorem 5.2.] The uniqueness follows from Corollary 5.2 to Theorem 5.3 below. In the existence part of the proof of Theorem 5.2 we will approximate the function f by Lipschitz continuous functions fδ , 0 δ p2C1 q1 , where each function fδ has Lipschitz constant δ 1 , but at the same time inequality (5.73) remains valid for fixed second variable (in an appropriate sense). It follows that for the functions fδ (5.73) remains valid and that (5.72) is replaced with

|fδ ps, x, y2 , z q fδ ps, x, y1 , z q| ¤ 1δ |y2 y1 | .

(5.82)

In the uniqueness part of the proof it suffices to assume that (5.72) holds. In Theorem 5.5 we will see that the monotonicity condition (5.72) also suffices to prove the existence. For details the reader is referred to the propositions 5.6 and 5.7, Corollary 5.3, and to Proposition 5.8. In fact for M P M2 fixed, and the function y ÞÑ f ps, x, y, ZM psqq satisfying (5.72) the function y ÞÑ y δf ps, x, y, ZM psqq, ZM psq P M2,s AC is surjective as a mapping from Rk to Rk and its inverse exists and is Lipschitz continuous with constant 2, for δ ¡ 0 small enough. The Lipschitz continuity is proved in Proposition 5.7. The surjectivity of this mapping is a consequence of Theorem 1 in [Crouzeix et al. (1983)]. As pointed out by Crouzeix et al. the result follows from a non-trivial homotopy argument. A relatively elementary proof of Theorem 1 in [Crouzeix et al. (1983)] can be found for a continuously differentiable function in Hairer and Wanner [Hairer and Wanner (1991)]: see Theorem 14.2 in Chapter IV. In fact the result also is a consequence of the Browder-Minty theorem applied to the mapping

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y ÞÑ y δf ps, x, y, ZM psqq where δ ¡ 0 is such that δC1 1; see Theorem 5.10 in Subsection 5.4.1. For a few more details see remarks 5.19 and Remark 5.20. Let fs,x,M be the mapping y ÞÑ f ps, x, y, ZM psqq, and put

1 y, Z

fδ ps, x, y, ZM psqq f s, x, pI δfs,x,M q

M psq

(5.83)

.

1

Then the functions fδ , 0 δ p2C1 q , are Lipschitz continuous with constant δ 1 . Proposition 5.8 treats the transition from solutions of BSDE’s with generator fδ with fixed martingale M P M2 to solutions of BSDE’s driven by f with the same fixed martingale M . Proposition 5.6 contains the passage from solutions pY, N q P S 2 M2 to BSDE’s with generators of the form ps, y q ÞÑ f ps, y, ZM psqq for any fixed martingale M P M2 to solutions for BSDE’s of the form (5.74) where the pair pY, M q belongs to S 2 M2 . By hypothesis the process s ÞÑ f ps, x, Y psq, ZM psqq satisfies (5.72) and (5.73). Essentially speaking a combination of these observations show the result in Theorem 5.2. Remark 5.15. In the literature functions with the monotonicity property are also called one-sided Lipschitz functions. In fact Theorem 5.2, with f pt, x, , q Lipschitz continuous in both variables, will be superseded by Theorem 5.4 in the Lipschitz case and by Theorem 5.5 in case of monotonicity in the second variable and Lipschitz continuity in the third variable. The proof of Theorem 5.2 is part of the results in Section 5.3. Theorem 5.7 contains a corresponding result for a Markov family of probability measures. Its proof is omitted, it follows the same lines as the proof of Theorem 5.5. 5.3

Existence and uniqueness of solutions to BSDE’s

The equation in (5.58) can be phrased in a semi-linear setting as follows. Find a function u pt, xq which satisfies the following partial differential equation:

B p q Lpsqu ps, xq f s, x, ups, xq, ∇L ps, xq 0; u Bs (5.84) % upT, xq ϕ pT, xq , x P E. Here ∇L f ps, xq is the linear functional f1 ÞÑ Γ1 pf1 , f2 q ps, xq for smooth enough functions f1 and f2 . For s P r0, T s fixed the symbol ∇L f stands for the linear mapping f1 ÞÑ Γ1 pf1 , f2 q ps, q. One way to treat this kind $ & u s, x

2

2

of equation is considering the following backward problem. Find a pair of

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adapted processes pY, ZY q, satisfying Y ptq Y pT q

»T t

f ps, X psq, Y psq, Z psq p, Y qq ds M ptq M pT q, (5.85)

where M psq, t0 t ¤ s ¤ T , is a forward local Pt,x -martingale (for every T ¡ t ¡ t0 ). The symbol ZY1 , Y1 P S 2 r0, T s, Rk , stands for the functional d ZY1 pY2 q psq Z psq pY1 pq, Y2 pqq hY1 pq, Y2 pqi psq, Y2 P S 2 r0, T s, Rk . ds (5.86) If the pair pY, ZY q satisfies (5.85), then ZY ZM . For a precise definition of the functional ZM psq see Definition 5.7 above. Instead of trying to find the pair pY, ZY q we will try to find a pair pY, M q P S 2 r0, T s, Rk M2 r0, T s, Rk such that Y ptq Y pT q

»T


t

Next we define the spaces S 2 r0, T s, R with the definitions 5.4 and 5.5.

k

and M2

M ptq M pT q.

r0, T s, Rk

: compare

Definition 5.8. Let pΩ, F , Pq be a probability space, and let Ft , t P r0, T s, be a filtration on F . Let t ÞÑ Y ptq be an stochastic process with values in Rk which is adapted to the filtration Ft and which is P-almost surely continuous. Then Y is said to belong to the space S 2 r0, T s, Rk provided that E

sup |Y ptq|

8.

2

Pr s

t 0,T

Definition 5.9. The space of P-almost surely continuous Rk -valued mar k 2 k 2 tingales in L Ω, F , P; R is denoted by M r0, T s, R . So that a con tinuous martingale t ÞÑ M ptq M p0q belongs to M2 r0, T s, Rk if

E |M pT q M p0q|

2

Since the process t ÞÑ |M ptq| |M p0q| martingale difference we see that 2

E |M pT q M p0q|

2

8.

hM, M i ptq

(5.87) hM, M i p0q is a

E rhM, M i pT q hM, M i p0qs , (5.88) 2 and hence a martingale difference t ÞÑ M ptq M p0q in L Ω, F , P; Rk belongs to M2 r0, T s, Rk if and only if E rhM, M i pT q hM, M i p0qs is 2

finite. By the Burkholder-Davis-Gundy inequality this is the case if and only if

E

sup |M ptq M p0q|

2

0 t T

8.

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To be precise, let M psq, t ¤ s ¤ T , be a continuous local L2 -martingale taking values in Rk . Put M psq supt¤τ ¤s |M pτ q|. Fix 0 p 8. The Burkholder-Davis-Gundy inequality says that there exist universal finite and strictly positive constants cp and Cp such that

pM psqq2p ¤ E rhM pq, M pqip psqs ¤ CpE pM psqq2p , t ¤ s ¤ T. (5.89) ? If p 1, then cp 14 , and if p 12 , then cp 18 2. For more details cp E

and a proof see e.g. [Ikeda and Watanabe (1998)]. A version for càdlàg martingales, and p ¥ 1, can be found as Theorem 48 in [Protter (2005)]. For the original, and more general result with convex functions, see [Burkholder et al. (1972)]. As in Definition 5.6 there is a need for martingales with an absolutely continuous variation process. That is why we insert the following definitions. We also need a precise notion of the functionals ZM psq, where M is a continuous martingale in the space M2 r0, T s, Rk . Compare Definition 5.10 with Definition 5.7 above. Definition 5.10. Let M be a (P-almost surely continuous) martingale in M2 r0, T s, Rk . Then M is said to be absolutely continuous if the function t

ÞÑ E |M ptq|2

is absolutely continuous.

The subspace of

martingales is deM r0, T s, R consisting of the absolutely continuous k 2 k 2 noted by MAC r0, T s, R . Let M P M r0, T s, R . As in the proof of Lemma 5.1 it follows that for every N P M2 r0, T s, Rk the right derivative d hM, N i ps hq hM, N i psq s ÞÑ hM, N i psq lim exists P λ-almost hÓ0 ds h everywhere. Here λ is the Lebesgue measure on r0, T s. So for s P r0, T q k fixed it makes sense to introduce the spaces M2,s r 0, T s , P; R , 0 ¤ s T. AC 2,s k A functional Z psq belongs to the space M 0, T s , P; R if there exists a r AC 2 k 2 k martingale M P M r0, T s, R such that for all N P M r0, T s, R the limit hM, N i ps hq hM, N i psq Z psq pN q lim hÓ0 h exists P-almost surely. In order to indicate that the functional Z psq originates from the martingale M the notation Z psq ZM psq is used. As k in formula (5.50) of Definition 5.7 the space M2,s r 0, T s , P; R will be AC supplied with the inner-product: d hZM psq, ZN psqiM2,s E hM, N i psq , M, N P M2AC r0, T s, P; Rk , AC ds (5.90) 2

k

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and the M2,s AC -norm of ZM psq is defined by

}ZM psq}M 2,s AC

E

1{2

d hM, M i psq ds

.

k In the notation we often suppress the dependence on P: M2,s AC r0, T s, P; R 2,s 2,s k is often replaced with MAC r0, T s; R or even MAC . Let the process M 2 k be a k-dimensional martingale in M r0, T s, P; R (see Definition 5.9). From the proof of Lemma 5.1 it follows that it makes sense to write d j d M , M j ptq. The expression hM, M i ptq, is shorthand for dt dt k ¸ d j d hM, M i ptq M , M j ptq. dt dt j 1

The following theorem will be employed to prove continuity of solutions to BSDE’s. It also implies that BSDE’s as considered by us possess at most unique solutions. The variables pY, M q and pY 1 , M 1 q attain their values in °k Rk Rk endowed with its Euclidean inner-product hy 1 , yi j 1 yj1 yj , y 1 , y P Rk . Processes of the form s ÞÑ f ps, Y psq, ZM psqq are progressively measurable processes whenever the pair pY, M q belongs to the space mentioned in (5.91) of the next theorem. Theorem 5.3. Let the pairs pY, M q and pY 1 , M 1 q, which belong to the space L2

r0, T s Ω, FT0 , dt P M2

Ω, FT0 , P ,

(5.91)

and are P-almost surely continuous, be solutions to the following BSDE’s: »T

Y ptq Y pT q

t

Y 1 ptq Y 1 pT q

»T t

f ps, Y psq, ZM psqq ds

f 1 s, Y 1 psq, ZM 1 psq ds

M ptq M pT q,

and

M 1 ptq M 1 pT q

(5.92) (5.93)

for 0 ¤ t ¤ T . In particular this means that the processes pY, M q and pY 1 , M 1 q are progressively measurable and are square integrable. Suppose that the coefficient f 1 satisfies the following monotonicity and Lipschitz condition. There exist some positive and finite constants C11 and C21 such that the following inequalities hold for all 0 ¤ t ¤ T :

1 Y ptq Y ptq, f 1 t, Y 1 ptq, ZM 1 ptq f 1 pt, Y ptq, ZM 1 ptqq

¤

C11

2 1 Y t

p q Y ptq2 , and 1 f pt, Y ptq, ZM 1 ptqq f 1 pt, Y ptq, ZM ptqq2

(5.94)

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C21

¤

2 d

M 1 M, M 1 M

339

ptq. dt Then the pair pY 1 Y, M 1 M q belongs to S 2 Ω, FT0 , P; Rk

M2

(5.95)

Ω, FT0 , P; Rk ,

and there exists a constant C 1 which depends on C11 , C21 and T such that

E

2 sup Y 1 ptq Y ptq

¤ C 1 E Y 1 pT q Y pT q2 0 t T

»T

1 M M, M 1 M pT q

2 s ds .

1 f s, Y s , ZM s

p

0

pq

p qq f ps, Y psq, ZM p qq

(5.96)

The functionals ZM ptq and ZM 1 ptq belong to the space M2,t AC

k r0, T s, P; Rk M2,t AC r0, T s; R

, 0 ¤ t ¤ T.

Remark 5.16. From the proof it follows that for C 1 we may choose C 1 2 2 260eγT , where γ 1 2 pC11 q 2 pC21 q .

By taking Y pT q Y 1 pT q and f ps, Y psq, ZM psqq f 1 ps, Y psq, ZM psqq it also implies that BSDE’s as considered by us possess at most unique solutions. A precise formulation reads as follows. Corollary 5.2. Suppose that the coefficient f satisfies the monotonicity condition (5.94) and the Lipschitz condition (5.95). Then p Y, M q P there exists at most one P-almost surely continuous pair L2 r0, T s Ω, FT0 , dt P M2 Ω, FT0 , P which satisfies the backward stochastic differential equation in (5.92). Proof. [Proof of Theorem 5.3.] Put Y From Itˆ o’s formula it follows that 2

Y ptq M , M pT q M , M ptq

Y pT q2 »T

2 t

»T

2 t

»T

2

t

Y1 Y

and M

M1 M.

Y psq, f 1 s, Y 1 psq, ZM 1 psq f 1 ps, Y psq, ZM 1 psqq ds

Y psq, f 1 ps, Y psq, ZM 1 psqq f 1 ps, Y psq, ZM psqq ds Y psq, f 1 ps, Y psq, ZM psqq f ps, Y psq, ZM psqq ds

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2

»T

t

Y psq, dM psq .

(5.97)

(Notice that in the left-hand side of (5.97) the brackets h, i denote the increment of the variation process of the P-almost sure continuous martingale M P M2 r0, T s; Rk , and that in the right-hand side the brackets denote an inner-product in Rk .) Inserting the inequalities (5.94) and (5.95) into (5.97) shows:

Y ptq2 M , M pT q M , M ptq

¤ Y pT q2 »T

2 t

2

»T t

2 C11

2

»T

Y s 2 ds

2C21

pq

t

»T

Y s

pq

t

Y s f 1 s, Y s , ZM s

pq

p

pq

(5.98)

The elementary inequalities 2ab ¤ 2C21 a2

b2 and 2ab ¤ a2 2C21

b P R, apply to the effect that

1

Y ptq2 M , M pT q M , M pt q 2

»T

2

2 C11

1

2

2 C21

2

»T t

p

»T 0

pq

b2 , 0 ¤ a,

Y s 2 ds

pq

1 f s, Y s , ZM s

t

ds

p qq f ps, Y psq, ZM psqq ds

Y psq, dM psq .

¤ Y pT q2

1{2

d

M , M psq ds

p qq f ps, Y psq, ZM psqq2 ds

Y psq, dM psq

»t

2 0

Y psq, dM psq .

(5.99)

For a concise formulation of the relevant inequalities we introduce the following functions and the constant γ:

2 AY ptq E Y ptq ,

AM ptq E M , M pT q M , M ptq ,

2 C psq E f 1 ps, Y psq, ZM psqq f ps, Y psq, ZM psqq ,

B ptq AY pT q γ

1

2 C11

»T

t 2

C psqds B pT q 2 C21

2

.

»T t

C psqds,

and (5.100)

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Using the quantities in (5.100) and remembering the fact that the final term in (5.99) represents a martingale difference, the inequality in (5.99) implies: »T 1 A ptq ¤ B ptq γ AY psqds. (5.101) AY ptq 2 M t Using (5.101) and employing induction with respect to n yields: 1 AY ptq A ptq (5.102) 2 M »T ¸ » n T n 2 γ γ k 1 pT sqk pT sqn 1 A psqds. B psqds ¤ B ptq Y k! pn 1q! t k0 t

Passing to the limit for n Ñ 8 in (5.102) results in: AY ptq

»T

1 A ptq ¤ B ptq 2 M ³T

Since B ptq AY pT q

γ t

eγ pT sq B psqds.

C psqds from (5.103) we infer:

t

»T

1 A ptq ¤ eγ pT tq AY pT q 2 M

AY ptq

t

(5.103)

C psqds .

(5.104)

By first taking the supremum over 0 t T and then taking expectations in (5.99) gives:

E

2 sup Y t

pq

0 t T

¤E

Y T 2

p q

»T 0

2 C11

1

2

2 C21

2

0

E f 1 s, Y s , ZM s

p

2E

pq

»t

sup

0 t T

0

»T

2 E Y psq ds

p qq f ps, Y psq, ZM psqq2

ds

Y psq, dM psq .

(5.105)

Þ 0 Y psq, dM psq is Ñ » k t ¸ Yj psqYj psq d hMj , Mj i psq

The quadratic variation process of the martingale t given by the increasing process t ÞÑ

k ¸

³t

1

j1 1 j2 1 0 ³t Y process t 0

1

2

2

s d M , M s . The in»t

pq pq equality Yj psqYj psq d hMj , Mj i psq ¤ |Y psq|2 d hM, M i psq 0 0 j 1 j 1 follows from inequalities of the form (1 ¤ j1 , j2 ¤ k) »t 2 Yj psqYj psqd hMj , Mj i psq which is dominated by the k ¸

k ¸

1

2

»t

1

1

0

2

2

1

ÞÑ

2

1

2

2

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»t

¤ |Yj psq|

2

1

0

»t

d hMj2 , Mj2 i psq

|Yj psq|2 d hMj , Mj i psq. 2

0

1

1

(5.106)

° p M1 , . . . , Mk q, |Y |2 kj1 |Yj |2 , and by °k j 1 hMj , Mj i ptq. From the Burkholder-Davis-

pY1 , . . . , Yk q, definition hM, M i ptq Here Y

M

Gundy inequality (5.89) we know that

»t

sup

E

0 t T

0

Y psq, dM psq

¤

1{2 »T 2

Y s d M , M s . 4 2E

?

pq

0

pq

(5.107) (For more details on the Burkholder-Davis-Gundy inequality, see e.g.?[Ikeda and Watanabe (1998)].) Again we use an elementary inequality 4 2ab ¤ 1 2 32b2 and plug it into (5.107) to obtain 4a

»t

sup

E

0 t T

¤

?

0

Y psq, dM psq

4 2E sup Y t

pq

0 t T

¤ 14 E

2 sup Y ptq

1{2

» T

d M , M ps q

0

32E

0 t T

From (5.104) we also infer »T

γ 0

AY psqds ¤ γ

»T

eγ pT sq

0

e

γT

1

M, M

»T

AY pT q

s

»T

AY pT q

eγT 0

pT q

(5.108)

.

C pρqdρ ds

eγρ C pρqdρ.

(5.109)

Inserting the inequalities (5.108) and (5.109) into (5.105) yields:

E

2 sup Y t

0 t T

p q ¤e

γT

2 E Y T

p q

64E

From (5.104) we also get

E M , M pT q AM p0q

¤ 2e

γT

AY pT q

»T 0

M, M

C psqds

»T

e

γT

pT q

2e

0

C psqds

1 E 2

2 sup Y t

0 t T

(5.110)

.

γT

pq

(5.111)

2 E Y T

p q

»T 0

C psqds .

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A combination of (5.111) and (5.110) results in

E

2 sup Y t

p q ¤ 258eγT

0 t T

2 E Y T

p q

»T 0

C psqds .

(5.112)

Adding the right- and left-hand sides of (5.110) and (5.111) proves Theorem 2 5.3 with the constant C 1 given by C 1 260eγT , where γ 1 2 pC11 q 2 2 pC21 q . This completes the proof of Theorem 5.3.

In the definitions 5.8 and 5.9 the spaces S 2 r0, T s, Rk and M2 r0, T s, Rk are defined. In Theorem 5.5 we will replace the Lipschitz condition (5.113) in Theorem 5.4 for the function Y psq ÞÑ f ps, Y psq, ZM psqq with the (weaker) monotonicity condition (5.137). Here we write y for the variable Y psq and z for ZM psq. It is noticed that we consider a probability space pΩ, F , Pq with a filtration pFt qtPr0,T s Ft0 tPr0,T s where FT F . In Theorem 5.4 for every

k k fixed s P r0, T s the function f ps, , q is defined on R M2,s AC r0, T s, P; R : 2,s 2,s see Definition 5.10. Instead of MAC r0, T s, P; Rk we write MAC .

k Theorem 5.4. Let f psq : Rk M2,s AC Ñ R , 0 ¤ s ¤ T , be a Lipschitz continuous in the sense that there exists finite constants C1 and C2 such 2 k p Y, M q and p U, N q P S 0, T s , R that for any two pairs of processes r 2 k M r0, T s, R the following inequalities hold for all 0 ¤ s ¤ T :

|f ps, Y psq, ZM psqq f ps, U psq, ZM psqq| ¤ C1 |Y psq U psq| ,

|f ps, Y psq, ZM psqq f ps, Y psq, ZN psqq| ¤ C2

1{2

d hM N, M N i psq . ds (5.114)

|f ps, 0, 0q|2 ds 8. Then there exists a unique pair r0, T s, Rk M2 r0, T s, Rk such that

Suppose that E

pY, M q P S 2

³

and (5.113)

T 0

Y ptq ξ where Y pT q ξ

»T t

P L2


Ω, FT , Rk is given and Y p0q M p0q.

For brevity we write S 2 M2

S2

M ptq M pT q,

S 2 r0, T s, Rk M2 r0, T s,Rk Ω, FT0 , P; Rk M2 Ω, FT0 , P; Rk .

(5.115)

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In fact we employ this theorem with the function f replaced by fδ , 0 δ p2C1 q1 , defined by 1 (5.116) fδ ps, y, ZM psqq f s, pI δfs,M q y, ZM psq . Here fs,M py q f ps, y, ZM psqq. If the function f is monotone (or one-sided Lipschitz) in the second variable with constant C1 , and Lipschitz in the third variable with constant C2 , then the function fδ is Lipschitz in y with Lipschitz constant δ 1 . The proof of the uniqueness part follows from Corollary 5.2.

Proof.

In order to prove existence we proceed as follows. By induction we define a sequence pYn , Mn q in the space S 2 M2 as follows. Put Yrn n M

1

1

ptq E ptq E

»T

ξ t

»T

ξ 0

f ps, Yn psq, ZMn psqq

ds Ft , and

(5.117)


ds Ft .

(5.118)

n 1 ptq need not be continuous. It is The processes t ÞÑ Yrn 1 ptq and t ÞÑ M n 1 ptq easy to see that the jumps of the processes t ÞÑ Yrn 1 ptq and t ÞÑ M coincide. Moreover, if we subtract the jumps from Mn 1 ptq we still have a martingale, i.e. the process

t ÞÑ Mn

1

n 1 ptq ptq : M

¸

n M

¤

1

n 1 psq ps q M

(5.119)

s t

is still a martingale which belongs to M2 . In particular it is continuous. In the same manner we introduce the process Yn 1 ptq: t ÞÑ Yn

1

ptq : Yrn 1 ptq

¸

¤

n M

1

n 1 psq psq M

s t

¸

Yrn 1 ptq

Yrn

¤

1

psq Yrn 1 psq

.

(5.120)

s t

By construction the processes Mn 1 and Yn 1 are continuous. Since by as³T sumption the variable ξ 0 f ps, Yn psq, ZMn psqq ds belongs to L2 pΩ, FT , Pq it follows that the martingale Mn 1 belongs to L2 pΩ, FT , Pq. Moreover, using the fact that the process s ÞÑ f ps, Yn psq, Mn psqq is adapted we have: »T

ξ t

ξ

f ps, Yn psq, ZMn psqq ds »T t

n M

f ps, Yn psq, ZMn psqq ds

1

n 1 pT q pt q M

»T

E ξ 0


ds Ft

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MarkovProcesses


E

»T

ξ 0

»T

ξ

t

ξ E E


»T


»T

ξ 0

»T

ξ t

»T


E ξ 0


0

ds FT


ds Ft


ds Ft

345

»t 0

ds Ft


Yrn 1 ptq.

(5.121)

Since ξ Yn 1 pT q (5.121) implies that the jump parts of the process Yn 1 occur at the same time instances as those of Mn 1 . As a consequence these jump parts cancel each other. So without loss of generality we assume that the processes Yn 1 and Mn 1 are P-almost surely continuous, and that (5.121) is satisfied with Yn 1 ptq and Mn 1 ptq instead of Yrn 1 ptq and n 1 ptq respectively. M Suppose that the pair pYn , Mn q belongs S 2 M2 . We first prove that the pair pYn 1 , Mn 1 q is a member of S 2 M2 . As explained above we may and do assume that the pair of precesses t ÞÑ pYn 1 ptq, Mn 1 ptqq is continuous P-almost surely. Therefore we fix α 1 C12 C22 P R where C1 and C2 are as in (5.113) and (5.114) respectively. From Itô’s formula we get: e2αt |Yn

2 2α 1 ptq| e2αT |Yn 1 pT q|2

»T

»T

2

t

e2αs d hMn

1 , Mn 1 i

t

1

psq, f ps, Yn psq, ZM psqq f ps, Yn psq, 0qi ds

e2αs hYn

1

psq, f ps, Yn psq, 0q f ps, 0, 0qi ds

e2αs hYn

1 psq, f ps, 0, 0qi ds 2

t »T

2

»T

2 1 psq| ds

e2αs hYn t »T

2

t

e2αs |Yn

psq

n

»T

e2αs hYn t

1

psq, dMn 1 psqi . (5.122)

(Notice that the bracket in the left-hand side of (5.122) denotes the variation process of the k-dimensional martingale M , and that the brackets in

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the right-hand side denote inner-products in Rk .) We employ (5.113) and (5.114) to obtain from (5.122): e2αt |Yn

¤e

»T

2 1 ptq|

t

|Yn 1 pT q|

2

2αT

»T

2C1 t

»T t

e

2αs

t

e2αs |Yn

1

»T

2 1 psq| ds

»T

2C2

e2αs |Yn

2

e2αs |Yn

2α

e2αs d hMn

1 , Mn 1 i

t

|Yn 1 psq|

ps q

1{2

d hMn , Mn i psq ds

ds

psq| |Yn psq| ds

1 psq| |f ps, 0, 0q| ds 2

»T

e2αs hYn

1

t

psq, dMn 1 psqi . (5.123)

The elementary inequalities 2ab ¤ 2Cj a2 C0 e

1, in combination with (5.123) yield

2αt

»T

|Yn 1 ptq|

2

2α

e t

¤ e2αT |Yn 1 pT q|2 »T

2C12 t

»T

2

e

»T

1

psq|2 ds »T

2 1 psq| ds

hYn

1

t

t

1 2

»T t

e2αs d hMn

ds 1

0, 1, 2, with

»T t

e2αs |Yn

t

»T 2αs

|Yn 1 psq|

2

2C22

e2αs |Yn

e2αs |Yn

t

2αs

b2 , a, b P R, j 2Cj

psq|2 ds

1 2

»T t

1 , Mn 1 i

ps q

e2αs d hMn , Mn i psq

e2αs |Yn psq|2 ds

e2αs |f ps, 0, 0q|2 ds

psq, dMn 1 psqi ,

(5.124)

and hence by the choice of α from (5.124) we infer: e

2αt

|Yn 1 ptq|

2

»T

»T

e t

e2αs hYn

2 0

¤ e2αT |Yn 1 pT q|2 »T t

2αs

1

|Yn 1 psq|

2

»T

e2αs d hMn

ds

1 , Mn 1 i

t

ps q

psq, dMn 1 psqi 1 2

»T t

e2αs |f ps, 0, 0q| ds 2

e2αs d hMn , Mn i psq »t

e2αs hYn

2 0

1

1 2

»T t

e2αs |Yn psq|2 ds

psq, dMn 1 psqi .

(5.125)

The following steps can be justified by observing that the process Yn 1 be longs to the space L2 Ω, FT0 , P , and that sup0¤t¤T |Yn 1 ptq| 8 P-almost

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347

surely. By stopping the process Yn 1 ptq at the stopping time τN being the first time t ¤ T that |Yn 1 ptq| exceeds N . In inequality (5.125) we then replace t by t ^ τN , T by τN , and proceed as below with the stopped processes instead of the processes itself. Then we use the monotone convergence theorem to obtain inequality argument ³ (5.128). By the same approximation T 2αs we may assume that E t e hYn 1 psq, dMn 1 psqi 0. Hence (5.125) implies that

E e

¤e

2αt

2αT

»T

|Yn 1 ptq|

2

E |Yn »

1 E 2

e t

pT q|

2

1

T

e

2αs

2αs

t

|Yn 1 psq| »

1 E 2

|Yn psq|

2

e

2αs

»

ds

»T

ds

e

2αs

d hMn

t

T

t

2

1 , Mn 1 i

ps q

d hMn , Mn i psq

T

e

E

2αs

t

|f ps, 0, 0q|

2

ds

8.

(5.126)

Invoking the Burkholder-Davis-Gundy inequality with p 12 (see inequality (5.89)) and applying the inequality (see inequality (5.106)) »

e

2αs

hYn

0

¤

»t

e4αs |Yn

0

1

psq, dMn 1 psqi ,

1

psq|2 d hMn

»

e

2αs

hYn

0

1 , Mn 1 i

1

psq, dMn 1 psqi ptq

ps q

to (5.125) yields:

E

sup e2αt |Yn

0 t T

¤e

2αT

E |Yn

1 E 2

»

0

»

e 0

1

1 E 2

e2αs |Yn psq| ds

» T

e

2αs

0

d hMn , Mn i psq

2

2αs

8 2E

pT q|

2

T

E

?

T

2 1 ptq|

|f ps, 0, 0q|

»T 0

2

e4αs |Yn

ds

1

2E

»

psq|2 d hMn

T

e

2αs

hYn

1

0

1 , Mn 1 i

psq, dMn 1 psqi

psq

1{2

October 7, 2010

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348

(without loss of generality assume that E

³

T 0

e2αs hYn

1

psq, dMn 1 psqi

0; this can be achieved by localization)

¤ e2αT E |Yn 1 pT q| 1 E 2

2

»

T

e

2αs

0

1 E 2

|Yn psq|

2

1

?

a2 2

(8 2ab ¤

»

pT q|

2

1

T

e

2αs

0

e2αs d hMn , Mn i psq »

T

e

E

2αs

»

ptq|

|f ps, 0, 0q|

2

ds 1{2

T

e2αs d hMn

1 , Mn 1 i

0

psq

64b2 , a, b P R)

E |Yn

1 E 2

0

0 t T

1 E 2

ds

8 2E sup eαt |Yn

¤e

0

?

2αT

» T

1 E 2

|Yn psq|

2

sup e2αt |Yn

e 0

ds

2αs

»

d hMn , Mn i psq

T

e

E 0

1

» T

0 t T

ptq|2

2αs

|f ps, 0, 0q|

2

ds

» T

e2αs d hMn

64E

1 , Mn 1 i

0

psq

(apply (5.126))

¤ 65e2αT E |Yn 1 pT q| 65 E 2

»

2

T

e

2αs

0

» T

65E

e

2αs

0

65 E 2

»

0

|Yn psq|

2

T

e2αs d hMn , Mn i psq

ds

|f ps, 0, 0q|

2

ds

1 E 2

sup e

0 t T

2αt

|Yn 1 ptq|

2

. (5.127)


E

sup e2αt |Yn

0 t T

¤ 130e

2αT

2 1 ptq|

E |Yn

1

pT q|

2

» T

130E

e 0

2αs

|f ps, 0, 0q|

2

ds

(5.128)

October 7, 2010

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MarkovProcesses


» T

65E

» T

e

2αs

0

349

d hMn , Mn i psq

65E

e

2αs

0

From (5.126) and (5.128) it follows that the pair pYn S 2 M2 . Another application of Itô’s formula shows: e

|Yn 1 ptq Yn ptq|

2

2αt

»T

e

»T

|Yn

t

e2αs |Yn

1

1 , Mn 1

t

»T t

psq Yn psq|2 ds

1

»T

e2αs hYn

t

psq Yn psq, dMn 1 psq dMn psqi , we wrote △Yn psq Yn 1 psq Yn psq.

e2αt |Yn

2 1 ptq Yn ptq|

»T

|Yn

»T

e

2αs

t

»T

2C1

2

t

»T

»T

2α t

|Yn 1 psq Yn psq|

e2αs |Yn

e2αs hYn t

»T t

1

psq Yn psq|2 ds

1

1

1

1{2

d hMn Mn1 , Mn Mn1 i psq ds

psq Yn psq| |Yn psq Yn1 psq| ds

psq Yn psq, dMn 1 psq dMn psqi

¤ e2αT |Yn 1 pT q Yn pT q|2 1 2

e2αs |Yn

From (5.113),

Mn , Mn 1 Mni psq 2 1 pT q Yn pT q|

e2αs d hMn

2C2

(5.129)

1

where for brevity (5.114), and (5.129) we infer

¤e

q belongs to

e2αs △Yn psq, f ps, Yn psq, ZMn1 psqq f ps, Yn1 psq, ZMn1 psqq ds

2

t 2αT

8.

e2αs △Yn psq, f ps, Yn psq, ZMn psqq f s, Yn psq, ZMn1 psq ds

2

2

2α

ds

M n , M n 1 M n i ps q 2 1 pT q Yn pT q|

e2αs d hMn t 2αT

»T

|Yn psq|

2

»T

2C22 t

e2αs |Yn

1

psq Yn psq|2 ds

e2αs d hMn Mn1 , Mn Mn1 i psq

»T

2C12

e t

2αs

|Yn 1 psq Yn psq|

2

ds

1 2

»T t

e2αs |Yn psq Yn1 psq| ds 2

ds

October 7, 2010

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350

2

»T

e2αs hYn

1

t

Since α 1 e

C12

psq Yn psq, dMn 1 psq dMn psqi .

C22 the inequality in (5.130) implies: »T

|Yn 1 ptq Yn ptq|

2

2αt

»T

¤e

1 2 1 2

2

|Yn

»T t

psq Yn psq|2 ds

1

e2αs |Yn psq Yn1 psq| ds 2

t T

e2αs hYn

1

0 »t

e2αs hYn

2

t

1


»T »

e2αs |Yn

2

M n , M n 1 M n i ps q 2 1 pT q Yn pT q|

e2αs d hMn t 2αT

(5.130)

0

1



(5.131)

Upon taking expectations in (5.131) we see e

2αt

E |Yn »

ptq Yn ptq|

2

1 T

e2αs d hMn

E t

1

» T

2E t

1 E 2

»

T

d hMn Mn1 , Mn Mn1 i psq

e

2αs

|Yn psq Yn1 psq|

t

2

2E

e t

2αs

»

|Yn 1 psq Yn psq|

2

e t

ds

T

E

(5.132)

ds .

In particular it follows that » T

2αs

ds

e T

2αs

t

»

|Yn 1 psq Yn psq|

2

M n , M n 1 M n i ps q

¤ e2αT E |Yn 1 pT q Yn pT q|2 1 E 2

e

2αs

d hMn

1


October 7, 2010

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MarkovProcesses


¤

»

1 E 2

T

e

|Yn psq Yn1 psq|

2αs

t

1 E 2

»

351

2

ds

T

e

2αs

t

d hMn Mn1 , Mn Mn1 i psq ,

provided that Yn 1 pT q Yn pT q. As a consequence we see that the sequence pYn , Mnq converges with respect to the norm }}α defined by 2 Y M

E

»

T

e

2αs

0

α

|Y psq|

2

»T

ds

e

2αs

0

d hM, M i psq .

Employing a similar reasoning as the one we used to obtain (5.127) and (5.128) from (5.131) we also obtain: sup e2αt |Yn

1

¤¤

0 t T

ptq Yn ptq|2

¤ e2αT |Yn 1 pT q Yn pT q|2 »T

1 2 1 2

2


0

»T

e2αs |Yn psq Yn1 psq|2 ds

0

»T

e2αs hYn 0

1


»t

e2αs hYn

2 sup

¤¤

0 t T

1

0


(5.133)

By taking expectations in (5.133), and invoking the Burkholder-DavisGundy inequality (5.89) for p 12 we obtain:

E

sup e

¤¤

0 t T

2αt

|Yn 1 ptq Yn ptq|

¤ e2αT E |Yn 1 pT q Yn pT q|2 1 E 2 1 E 2

»

e T

0

2E

T 2αs

0

»

2


e2αs |Yn psq Yn1 psq| ds »t

sup

¤¤

0 t T

2

e 0

2αs

hYn

1


October 7, 2010

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MarkovProcesses


352

¤ e2αT E |Yn 1 pT q Yn pT q|2 1 E 2 1 E 2

»

T

e


e

2αs

|Yn psq Yn1 psq|

T

0

»

?

T

8 2E 0

e4αs |Yn

¤e

E |Yn

1

1

psq Yn psq|2 d hMn 1 Mn , Mn 1 Mn i psq

}}α )

pT q Yn pT q|

2

8 2E sup eαs |Yn

1

¤¤

0 s T

e

?

¤e

d hMn

1

0

(8 2ab ¤ 2αT

psq Yn psq|


pT q Yn pT q|

2

1

sup e

¤¤

2αs

0 s T

e

2 1 Yn Yn1 2 Mn Mn1 α

|Yn 1 psq Yn psq|

2

»T

64E

64b2 , a, b P R)

1 2 a 2

E |Yn

1 E 2

2 1 Yn Yn1 2 Mn Mn1 α

1{2

» T 2αs

ds

1{2

?

2

(insert the definition of 2αT

2αs

0

»

2αs

d hMn

1

0


.

(5.134)

Employing inequality (5.132) (with t 0) together with (5.134), and the definition of the norm }}α yields the inequality

E

sup e

¤¤

0 t T

1 E 2

2αt

»

|Yn 1 ptq Yn ptq|

T

e 0

2αs

d hMn

1

» T

2

129E

e

2αs

0

|Yn 1 psq Yn psq|

Mn , Mn 1 Mn i psq

2

ds

October 7, 2010

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MarkovProcesses


e2αT E |Yn 1 pT q Yn pT q|2 ¤ 131 2

353

2 131 Yn Yn1 4 Mn Mn1 α

1 E sup e2αs |Yn 1 psq Yn psq|2 . (5.135) 2 0¤s¤T (In order to justify the transition from (5.133) to (5.135) like in passing from inequality (5.125) to (5.128) a stopping time argument might be required. This time an appropriate stopping time τN would be the first time t ¤ T the process |Yn 1 ptq Yn ptq| exceeds N . The time T should then be replaced with τN .) Consequently, from (5.135) we get

sup e

E

¤ ¤

2αt

0 t T

|Yn 1 ptq Yn ptq|

»T

e

E

2

2αs

d hMn

1

0


2 Y M

E |Yn

2 131 Yn Yn1 . 2 Mn Mn1 α

(5.136) pT q Yn pT q| T Since by definition Yn pT q E ξ FT for all n P N, this sequence also converges with respect to the norm }}S M defined by

¤ 131e

2αT

S 2 M2

because Yn

1

2

1

E

sup |Y psq|

2

2

0 s T

p0q Mn 1 p0q E

»T

ξ 0

2

E rhM, M i pT q hM, M i p0qs ,

fn ps, Yn psq, ZMn psqq

This concludes the proof of Theorem 5.4.

0 ds F0 ,

n P N.

In the following Theorem 5.5 we replace the Lipschitz condition (5.113) in Theorem 5.4 for the function Y psq ÞÑ f ps, Y psq, ZM psqq with the (weaker) monotonicity condition (5.137). Here we write y for the variable Y psq and z for ZM psq. As in Theorem 5.4 for every s P r0, T s the function f psq f ps, , q is defined on Rk M2,s AC and by hypothesis it is continuous.

k Theorem 5.5. Let the function f psq : Rk M2,s AC Ñ R be monotone in the variable y and Lipschitz in z. More precisely, suppose that there exist finite constants C1 and C2such that for any two pairs of processes pY, M q and pU, N q P S 2 r0, T s, Rk M2 r0, T s, Rk the following inequalities hold for all 0 ¤ s ¤ T : 2 hY psq U psq, f ps, Y psq, ZM psqq f ps, U psq, ZM psqqi ¤ C1 |Y psq U psq| ,

(5.137)

October 7, 2010

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354

|f ps, Y psq, ZM psqq f ps, Y psq, ZN psqq| ¤ C2

d hM ds

1{2

N, M N i psq

,

(5.138) and

|f ps, Y psq, 0q| ¤ f psq K |Y psq| . pq 8, then there exists a unique pair pY, M q P S 2 r0, T s, Rk M2 r0, T s, Rk

(5.139)

³ 2 T If E 0 f s ds

such that Y ptq ξ where Y pT q ξ

»T

PL

t 2

f ps, Y psq, ZM psqq ds Ω, FT , R

k

M ptq M pT q,

(5.140)

is given and where Y p0q M p0q.

In order to prove Theorem 5.5 we need the following proposition, the proof of which uses the monotonicity condition (5.137) in an explicit manner.

Proposition 5.6. Suppose that for every ξ P L2 Ω, FT0 , P and M there exists a pair pY, N q P S 2 M2 such that Y ptq ξ

»T t


N ptq N pT q.

Then for every ξ P L2 Ω, FT0 , P there exists a unique pair pY, M q M2 which satisfies (5.140).

P M2

(5.141)

P S2

The following proposition can be viewed as a consequence of Theorem 12.4 in [Hairer and Wanner (1991)]. The result is due to Burrage and Butcher [Burrage and Butcher (1979)] and Crouzeix [Crouzeix (1979)]. The constants obtained by these authors are somewhat different from ours. Proposition 5.7. Fix a martingale M P M2 , and choose δ ¡ 0 in such a way that δC1 1. Here C1 is the constant which occurs in inequalk ity (5.137). Choose, for given y P R , the random variable Yr ptq P Rk

Yr ptq δf t, Yr ptq, ZM ptq . t, Yr ptq, ZM ptq is Lipschitz continuous

in such a way that y ping y

ÞÑ

f

Then the mapwith a Lipschitz

1 δC1 max 1, . Moreover, the mapping δ 1 δC1 y ÞÑ I δf pt, y, ZM ptqq is surjective and has a Lipschitz continuous in1 verse with Lipschitz constant . 1 δC1

constant which is equal to

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[Proof of Proposition 5.7.] Let the pair py1 , y2 q

Proof.

P Rk Rk and

the pair of Rk Rk -valued random variables Yr1 ptq, Yr2 ptq be such that the following equalities are satisfied:

Yr1 ptq δf

t, Yr1 ptq, ZM ptq

r2 t , ZM t f t, Y

pq

and y2

p q f

Yr2 ptq δf

t, Yr2 ptq, ZM ptq . (5.142) We have to show that there exists a constant C pδ q such that y1

t, Yr1 ptq, ZM ptq ¤ C pδ q |y2 y1 | .

In order to achieve this we will exploit the inequality: E D Yr2 ptq Yr1 ptq, f t, Yr2 ptq, ZM ptq f t, Yr1 ptq, ZM ptq

(5.143)

2

¤ C1 Yr2 ptq Yr1 ptq

.

(5.144)

Inserting the equalities in (5.142) into (5.144) results in E D y2 y1 , f t, Yr2 ptq, ZM ptq f t, Yr1 ptq, ZM ptq

2

δ f t, Yr2 ptq, ZM ptq f t, Yr1 ptq, ZM ptq E D ¤ C1 |y2 y1 |2 2δC1 y2 y1 , f t, Yr2 ptq, ZM ptq f t, Yr1 ptq, ZM ptq

C1 δ 2 f t, Yr2 ptq, ZM ptq

f

2

t, Yr1 ptq, ZM ptq .

(5.145)

Notice that (5.145) is equivalent to:

δ f t, Yr2 ptq, ZM ptq

f

2

t, Yr1 ptq, ZM ptq

¤ C1 |y2 y1 |2

E 1 D 2 δC1 y2 y1 , f t, Yr2 ptq, ZM ptq f t, Yr1 ptq, ZM ptq 2

C1 δ 2 f t, Yr2 ptq, ZM ptq

f

2

t, Yr1 ptq, ZM ptq .

(5.146)

2δC1 | . Notice that, since 1 δC ¡ 0, the constant α is 1 |12δC 1 1 positive as well, α 1 provided 2δC1 1. Since δC1 1 and D E 2 y2 y1 , f t, Yr2 ptq, ZM ptq f t, Yr1 ptq, ZM ptq

Put α

¤ αδ1 |y2 y1 |2

αδ f t, Yr2 ptq, ZM ptq

f

2

t, Yr1 ptq, ZM ptq , (5.147)

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356

the inequality in (5.146) implies δ f t, Yr2 t , ZM t

pq

pq

pq

pq

f t, Yr1 t , ZM t

1 ¤ max 1, 1 δCδC 1

|y2 y1 | .

(5.148)

δC1 1 The Lipschitz constant is given by C pδ q max 1, : compare δ 1 δC1 (5.148) and (5.143). The surjectivity of the mapping y ÞÑ y δf pt, y, ZM ptqq is a consequence of Theorem 1 in Croezeix et al [Crouzeix et al. (1983)]. Denote the mapping y ÞÑ t pt, y, ZM ptqq by ft,M . Then for 0 2δC1 1 the mapping I δft,M is invertible. Since

pI δft,M q1 I

δf t, pI δft,M q

and since by (5.148) the mapping y

ÞÑ f

1 , Z

M

pt q

,

t, pI δft,M q1 y, ZM ptq is Lip

δC1 1 we see that max 1, δ 1 δC1 1 the mapping y ÞÑ

pI δft,M q y is Lipschitz continuous with constant 1 . A somewhat better constant is obtained by again usmax 2, 1 δC1 ing (5.144), and replacing schitz continuous with Lipschitz constant

f t, Yr2 ptq, ZM ptq

f

t, Yr1 ptq, ZM ptq

with δ 1 pyr2 yr1 y2 y1 q. Then we see: |yr2 yr1 |2 hyr2 yr1 , y2 y1 i ¤ δC1 |yr2 yr1|2 ,

(5.149)

and hence p1 δC1 q |yr2 yr1 |2

(5.150)

¤ hyr2 yr1 , y2 y1 i ¤ |yr2 yr1 | |y2 y1 | .

Altogether this proves Proposition 5.7.

In Corollary 5.3 the process t ÞÑ M ptq, t P r0, T s,is a martingale in the space of Rk -valued martingales in L2 Ω, F , P; Rk which is denoted by M2 r0, T s, Rk : see Definition 5.9.

Corollary 5.3. For δ ¡ 0 such that 2δC1 1 there exist processes Yδ and Yrδ P S 2 and a martingale Mδ P M2 such that the following equalities are satisfied:

Yδ ptq Yrδ ptq δf t, Yrδ ptq, ZM ptq

Yδ pT q Yδ pT q

»T t

»T t

f s, Yrδ psq, ZM psq ds

Mδ ptq Mδ pT q

fδ ps, Yδ psq, ZM psqq ds

Mδ ptq Mδ pT q.

(5.151)

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357

Proof. From Theorem 1 (page 87) in [Crouzeix et al. (1983)] it follows that the mapping y ÞÑ y δf pt, y, ZM ptqq is a surjective map from Rk onto itself, provided 0 δC1 1. If y2 and y1 in Rk are such that y2 δf pt, y2 , ZM ptqq y1 δf pt, y1 , ZM ptqq. Then

|y2 y1 |2 hy2 y1 , δf pt, y2 , ZM ptqq δf pt, y1 , ZM ptqqi ¤ δC1 |y2 y1 |2 , and hence y2 y1 . It follows that the continuous mapping y ÞÑ y δf pt, y, ZM ptqq has a continuous inverse. Denote this inverse by pI δft,M q1 . Moreover, for 0 2δC1 1, the mapping y ÞÑ 1 f t, pI δft,M q , Zm ptq is Lipschitz continuous with Lipschitz constant

δ 1 , which follows from Proposition 5.7. The remaining assertions in Corollary 5.3 are consequences of Theorem 5.4 where the Lipschitz condition in (5.113) was used with δ 1 instead of C1 . This establishes the proof of Corollary 5.3.

Remark 5.17. For more information on the surjectivity of the mapping y ÞÑ y δf ps, y, z q the reader is referred to Remark 5.19 in Subsection 5.4.1. Proof. [Proof of Proposition 5.6.] The proof of the uniqueness part follows from Corollary 5.2. Fix ξ P L2 Ω, FT0 , P , and let the martingale Mn1 P M2 be given. Then by hypothesis there exists a pair pYn , Mn q P S 2 M2 which satisfies: Yn ptq ξ

»T t

f s, Yn psq, ZMn1 psq ds

Mn ptq Mn pT q.

(5.152)

Another use of this hypothesis yields the existence of a pair pYn 1 , Mn 1 q P S 2 M2 which again satisfies (5.152) with n 1 instead of n. We will prove that the sequence pYn , Mn q is a Cauchy sequence in the space S 2 M2 . Put γ 1 2C1 2C22 . We apply Itô’s formula to obtain eγT |Yn

γ

»T t

1

eγs |Yn

1

psq Yn psq|2 ds

»T

eγs hYn

2 »

pT q Yn pT q|2 eγt |Yn 1 ptq Yn ptq|2

1

t T

eγs d hMn

γ

t »T t

eγs |Yn

1

psq Yn psq, d pYn 1 psq Yn psqqi

1


psq Yn psq|2 ds

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358

»T

eγs hYn

2

2

MarkovProcesses

»T

eγs hYn

1

t »T

eγs Yn

2 t

1

t

psq Yn psq, d pMn 1 psq Mn psqqi

psq Yn psq, f ps, Yn 1 psq, ZM psqq f ps, Yn psq, ZM psqqi ds n

1

n

psq Yn psq, f ps, Yn psq, ZM psqq f ps, Yn psq, ZM psqq n

»T

eγs d hMn

n

1


1

t

ds

(employ (5.137) and (5.138))

¥γ

»T t

eγs |Yn

1

psq Yn psq|2 ds

»T

eγs hYn

2 t

2C1 2C2

»T t

»T

»T

t

1


eγs |Yn

1

eγs |Yn

1 psq Yn psq|

eγs d hMn

psq Yn psq|2 ds

(employ the elementary inequality 2ab ¤ 2a2

¥ γ 2C1

»T

1 2

»T

t

»T t

eγs |Yn

1

eγs d hMn

1

»T

eγs hYn

1

t

psq Yn psq|2 ds


psq Yn psq, d pMn 1 psq Mn psqqi .

From (5.153) we infer the inequality γ 2C1

2C22

»T t

»T

eγs d hMn t

1 2 2b )

eγs d hMn Mn1 , Mn Mn1 i psq

t

2

ds


1

t

2C22

1{2

d hMn Mn1 , Mn Mn1 i psq ds

1

eγs |Yn

1

psq Yn psq|2 ds

Mn , Mn 1 Mni psq

(5.153)

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MarkovProcesses


eγt |Yn

1

»T

ptq Yn ptq|2

eγs hYn

2 t

¤ eγT |Yn 1 pT q Yn pT q|2

1 2

»T t

1

359

psq Yn psq, dpMn 1 psq Mn psqqi

eγs d hMn Mn1 , Mn Mn1 i psq. (5.154)

By taking expectations in (5.154) we get, since γ »

T

eγs |Yn

E t

»

1

psq Yn psq|2 ds

e d hMn

E

1

t

¤ eγT E |Yn 1 pT q Yn pT q|2 »

T

e

|Yn 1 psq Yn psq|

2

» T

e d hMn

E t

¤

2

1 E 2n

1 E 2n

»

T

1

(5.155)

ds

Mn , Mn 1 Mn i psq

eγT E |Yk nk 1

k 1

1

γs

ptq Yn ptq|2

e d hMn Mn1 , Mn Mn1 i psq .

t

γs

n ¸

1

γs

T

t

eγt E |Yn

Iterating (5.155) yields: E

2C22 ,

2C1


»

1

T γs

1 E 2

pT q Yk pT q|2

eγt E |Yn

1

ptq Yn ptq|2

e d hM1 M0 , M1 M0 i psq γs

»

t T

e d hM1 M0 , M1 M0 i psq γs

t

(5.156)

where in the last line we used the equalities Yk pT q ξ, k P N. From the Burkholder-Davis-Gundy inequality with p 12 (see inequality (5.89)) together with (5.156) it follows that

E

»t

eγs hYn

max

¤¤

0 t T

¤4

?

0

»

T

2E

e 0

2γs

1 psq Yn psq, d pMn 1 Mn q psqi

|Yn 1 psq Yn psq|

2

d hMn

1

1{2


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360

¤4

?

2E sup e 2 γs |Yn 1

1

¤¤

0 s T

psq Yn psq| 1{2

» T

eγs d hMn

1

0

Mn , Mn 1 Mn i psq ?

(use the elementary inequality 4 2ab ¤ 14 a2

¤ 14 E

sup eγs |Yn

2 1 psq Yn psq|

¤ ¤

0 s T

γs

e d hMn

32E 1 E 4

1

0

sup e

¤ ¤

0 s T

1

2n5

32b2 )

»T

¤

MarkovProcesses

E 0

|Yn 1 psq Yn psq|

2

γs

»T

Mn , Mn 1 Mn i psq

eγs d hM1 M0 , M1 M0 i psq .

(5.157)

(In the first step of (5.157) we employed inequality (5.106) once more.) From (5.154) and (5.157) we obtain sup eγt |Yn

¤¤

0 t T

1

ptq Yn ptq|2

»T

eγs hYn

2 0

1


¤ e |Yn 1 pT q Yn pT q|

2

γT

»t

eγs hYn

2 sup

¤¤

0 t T

1

0

1 2

»T 0


psq Yn psq, d pMn 1 psq Mn psqqi .

(5.158)

From (5.156) (for n 1 instead of n), (5.157), and the fact that Yn Yn pT q ξ from (5.156) we infer the inequalities:

E

sup e

¤ ¤

0 t T

¤

1 E 2

2E

γt

»T 0

|Yn 1 ptq Yn ptq|

1

pT q

2


»t

sup

¤¤

0 t T

e 0

γs

hYn

1


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MarkovProcesses


¤

1 E 2

»

T

e d hMn Mn1 , Mn Mn1 i psq γs

0

1 E 2

sup eγs |Yn

¤¤

¤

1

0 s T

psq Yn psq|2

» T

e d hMn

1

0

sup e

¤¤

0 s T

65 E 2n

»T 0

γs

γs

64E 1 E 2

361

Mn , Mn 1 Mn i psq

|Yn 1 psq Yn psq|

2


(5.159)

From (5.159) we infer the inequality

E

sup eγt |Yn

¤¤

0 t T

ptq Yn ptq| ¤ 2

1

65 E 2n

»

T

0


(5.160) (In order to justify the passage from (5.154) to (5.160) like in passing from inequality (5.125) to (5.128) a stopping time argument might be required.) From (5.156) and (5.160) it follows that the sequence pYn , Mn q converges in the space S 2 M2 , and that its limit pY, M q satisfies (5.140) in Theorem 5.5. This completes the proof of Proposition 5.6. Proposition 5.8. Let the notation and hypotheses be as in Theorem 5.5. Let for δ ¡ 0 with 2δC1 1 the processes Yδ , Yrδ P S 2 and the martingale Mδ P M2 be such that the equalities of (5.151) in Corollary 5.3 are satisfied. Then the family "

pYδ , Mδ q : 0 δ

1 2C1

*

converges in the space S 2 M2 if δ decreases to 0, provided that the terminal value ξ Yδ pT q is given. Let pY, M q be the limit in the space S 2 Proposition 5.8 it follows that Yδ Mδ

M2 .

In fact from the proof of

Y (5.161) M S M Opδq as δ Ó 0, provided that }Yδ pT q Yδ pT q}L pΩ,F ,Pq O p|δ2 δ1 |q. 2

2

1

2

2

0 T

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362

Proof. [Proof of Proposition 5.8.] Let C1 be the constant which occurs 1 in inequality (5.137) in Theorem 5.5, and fix 0 δ2 δ1 p2C1 q . Our estimates give quantitative bounds in case we restrict the parameters δ, 1 . An appropriate choice for the δ1 and δ2 to the interval 0, p4C1 4q constant γ in the present proof turns out to be γ 6 4C1 (see e.g. the inequalities (5.163), (5.175), (5.176), and (5.177) below). An appropriate choice for the positive number a, which may be a function of the parameters δ1 and δ2 , in (5.174), (5.175) and subsequent inequalities below is given by 1 a pδ1 δ2 q . For convenience we introduce the following notation: r r △Y psq Yδ2 psq Yδ1 psq, △M psq Mδ2 psq Mδ1 psq, △ Y psq Yδ2 psq r r r r r r Yδ1 psq, and △f psq fδ2 psq fδ1 psq where fδ psq f s, Yδ psq, ZM psq . From the equalities in (5.151) we infer Yδ ptq

p q

»T

p q Yδ pT q

δ frδ t

Yrδ t

t

frδ psqds

Mδ ptq Mδ pT q.

!

(5.162)

)

pYδ , Mδ q : 0 δ p4C1 4q1 is bounded in the space S 2 M2 . Therefore we fix γ ¡ 0 and apply Itô’s formula to 2 the process t ÞÑ eγt |Yδ ptq| to obtain: eγT |Yδ pT q|2 eγt |Yδ ptq|2 First we prove that the family

γ γ

»T

eγs |Yδ psq| ds 2

t »T t

2

»T t »T

»T

t

2

2

γδ q

»T

e t

»T

t

»T t

eγs d hMδ , Mδ i psq

D E eγs Yrδ psq, frδ psq ds »T t


eγs hYδ psq, dMδ psqi

2 p1 2

»T

D E eγs Yδ psq Yrδ psq, frδ psq ds

eγs Yrδ psq ds

t

t

t

eγs hYδ psq, dYδ psqi

eγs Yrδ psq δ frδ psq ds 2

2

γ

»T

2

γs

D

»T t

»T

γ t

2

eγs δ frδ psq ds

D E eγs Yrδ psq, frδ psq f ps, 0, ZM psqq ds

pq pq

δ frδ s , frδ s


E

ds 2 p1 »T

2 t

γδ q

»T t

D E eγs Yrδ psq, f ps, 0, ZM psqq ds


October 7, 2010

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MarkovProcesses


γ

»T t

2 p1 2 p1 2 p1 »T t

2

eγs Yrδ psq ds γδ q γδ q γδ q

»T

γδ 2

2δ

»T t

363

2

eγs frδ psq ds

E D eγs Yrδ psq, frδ psq f ps, 0, ZM psqq ds

t

»T

D E eγs Yrδ psq, f ps, 0, ZM psqq f ps, 0, 0q ds

t

»T

D E eγs Yrδ psq, f ps, 0, 0q ds

t

»T


2 t


(employ the inequalities (5.137), (5.138), and (5.139) of Theorem 5.5)

¥γ

»T t

2

eγs Yrδ psq ds

2C1 p1

γδ q

2C2 p1

γδ q

2 p1 »T t

γδ q

C22 p1 t

t »T t

»T

»T t

2

eγs frδ psq ds

pq

eγs Yrδ

1{2 d s ds hM, M i s

pq

pq

ds

eγs Yrδ psq |f ps, 0, 0q| ds

t

1q p 1 γδ q

2δ

2 eγs Yrδ s ds

»T


¥ pγ 2 pC1 »T

»T

γδ 2

»T t

2

γδ qq

»T

t

e


γs

2 r Yδ s ds

pq

t

eγs d hM, M i psq p1 »T


2 t

γδ

γδ q

»T t

2

2δ

pγ 2 pC1 »T t

1q p 1

e t


¤ e |Yδ pT q| γT

γδ qq

2

p1

γδ q

pq

»T

2 t

»T

γδ

2

t

2

(5.163)

2δ

»T t

eγs hYδ psq, dMδ psqi e d hM, M i psq

2

eγs |f ps, 0, 0q| ds

2

eγs frδ psq ds

eγt |Yδ ptq|

2

»T

γs

C22

eγs frδ psq ds

eγs hYδ psq, dMδ psqi .

2 r Yδ s ds

γs

»T t

From (5.163) we infer the inequality: »T

e t

γs

|f ps, 0, 0q|

2

ds .

(5.164)

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From (5.164) we deduce

pγ 2 pC1

1q p 1 »

γδ 2

γδ qq E

¤ eγT E |Yδ pT q|

2

p1

γδ q C22 E

eγs Yrδ

t

pq

t

T

2 eγs frδ s ds

T

2δ E

»

»

2 s ds

pq

eγt E |Yδ ptq|

T

(5.165)

»

eγs d hM, M i psq

t

2

T

E t

eγs |f ps, 0, 0q| ds

2

.

In particular from (5.165) we see »

T

e

E

γs

2 r Yδ s ds

pq

t

¤ γ 2 pC

1

1

1q p1

γδ q

1 γ 2 pC1

γδ 1 q p1

1 γ 2 pC1

γδ 1 q p1

eγT E |Yδ pT q|

2

»

γδ q γδ q

T

e d hM, M i psq γs

C22 E »

t

2 f s ds .

T

e

E

pq

γs

t

(5.166)

In addition, from (5.164) we obtain the following inequalities »T

2 0


»t

¤ eγT |Yδ pT q|2 p1

γδ q

2 sup eγt |Yδ ptq|

2 sup

0 t T

»T

0 t T

0


e d hM, M i psq

»T

γs

C22 t

e

γs

t

|f ps, 0, 0q|

2

ds , (5.167)

and hence by using the Burkholder-Davis-Gundy inequality (5.89) for p in combination with inequality (5.106) we get:

E

sup eγt |Yδ ptq|

0 t T

¤ eγT E |Yδ pT q|2 p1

γδ q

»

»t

sup

E

0 t T T

t

e d hM, M i psq γs

C22 E

0

eγs hYδ psq, dMδ psqi »

T

e

E t

γs

|f ps, 0, 0q|

2

ds

1 2

October 7, 2010

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MarkovProcesses


¤ eγT E |Yδ pT q|2 γδ q

p1

»

γδ q

e2γs |Yδ psq| d hMδ , Mδ i psq »

e d hM, M i psq γs

1 E 2

2

E

sup eγt |Yδ ptq|

0 t T

T

e

γs

|f ps, 0, 0q|

e

γs

|f ps, 0, 0q|

t

2

ds

eγs |Yδ psq| d hMδ , Mδ i psq 2

64E

p1

1{2

T

t

» T 0

8 2E

C22 E

»T 0

¤ eγT E |Yδ pT q|2

?

365

»

T

»

e d hM, M i psq γs

C22 E t

T

E t

2

ds

.

(5.168) (In the second step in (5.168) inequality (5.106) has been used again.) From (5.165) and (5.168) we obtain

E

sup e

0 t T

γt

|Yδ ptq|

¤ 130eγT E |Yδ pT q|2 130 p1

γδ q

»

T

e d hM, M i psq γs

C22 E t

(5.169)

»

T

e

E t

γs

|f ps, 0, 0q|

2

ds

.

(In order to justify the passage from (5.167) to (5.169) like in passing from inequality (5.125) to (5.128) a stopping time argument might be required. (An appropriate stopping time τN would be the first time t ¤ T the process |Yδ ptq| exceeds N . The time T should then be replaced with τN .) Next we notice that 2 r fδ s

p q ¤ 2 f psq2

2

2K 2 Yrδ psq

2C22

d hM, M i psq, ds

and hence 2 2

D E 2 δ2 frδ2 psq δ1 frδ1 psq, △frpsq ¥ 2 |δ2 δ1 | frδ2 psq frδ1 psq

¥ 4 |δ2 δ1 |

f s 2

pq

2

K 2 Yrδ2 psq

2

K 2 Yrδ1 psq

C22

(5.170)

d hM, M i psq . ds (5.171)

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In a similar manner we also get 2

r δ2 fδ2 s

p q δ1 frδ psq

¤4

(5.172)

1

δ22

δ12

f s 2

pq

2

K 2 Yrδ2 psq

2

K 2 Yrδ1 psq

C22

d hM, M i psq . ds

¡ 0, and apply Itô’s lemma to the process t ÞÑ eγt |△Y ptq|2 to obtain 2 2 eγT |△Y pT q| eγt |△Y ptq| Fix γ

γ

»T

2

t

»T »T

e t

2

γs

»T t »T

2

γ

»T t

2

t

r △Y s

p q

t

pq

t

2 t

»T

pq

2 »T t

»T t

D E eγs △Yr psq, △frpsq ds

eγs d h△M, △M i psq

eγs h△Y psq, d△M psqi »T

2

2

eγs δ2 frδ2 psq δ1 frδ1 psq ds

γ t

E D eγs △Yr psq, △frpsq ds

»T

»T

2 δ1 frδ1 s ds

δ2 frδ2 s

D E eγs △Y psq △Yr psq, △frpsq ds

»T

t

t

eγs △Yr psq ds

2γ

eγs h△Y psq, d△Y psqi

2


t

γ

»T

eγs |△Y psq| ds

D E eγs δ2 frδ2 psq δ1 frδ1 psq, △Yr psq ds

D E eγs δ2 frδ2 psq δ1 frδ1 psq, △frpsq ds »T


2 t

eγs h△Y psq, d△M psqi .

(5.173)

Employing the inequalities (5.137), (5.171), (5.172) and an elementary one like 2 |hy1 , y2 i| ¤ pa

1q |y1 |

2

pa

1q1 |y2 | , y1 , y2 2

together with (5.173) we obtain eγT |△Y pT q|

2

¥

eγt |△Y ptq|2

γ 2C1

» T

γ a

1

t

2

eγs △Yr psq ds

P Rk ,

a ¡ 0, (5.174)

October 7, 2010

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MarkovProcesses


aγ

»T

2

eγs δ2 frδ2 psq δ1 frδ1 psq ds

t

»

8γ |δ2 δ1 |

pq

t

8γK |δ2 δ1 |

»

¥

γ 2C1

»T

»

a

T

e

γs

»T

1

t

a δ12

2

»T

e d hM, M i psq γs

C22 t

a

δ12

δ22

e d h△M, △M i psq

» T

e

γs

2 r Yδ1 s

pq

t

»T

γs

t

t

δ22

pq

2 |δ2 δ1 |

2

pq

eγs h△Y psq, d△M psqi

2

eγs d hM, M i psq

eγs △Yr psq ds

f s 2 ds

t

4γK

» T

2

r Yδ2 s ds

pq

γs

t

γ

4γ 2 |δ2 δ1 |

2 r Yδ1 s

T

e

C22 t


t

»T

2 eγs f s ds

T

2

»T

367

2

r Yδ2 s ds

pq


2 t

(5.175)

From (5.175) we obtain

γa a

2C1 1

»T

» T t

2

eγs △Yr psq ds »T

e d h△M, △M i psq γs

t

¤ eγT |△Y pT q|2 4γ 2 |δ2 δ1 |

» T

e

4γK

2

2 f s ds

γs

t

a δ12

pq

2 t

δ22

»T

a

eγs h△Y psq, d△M psqi

e d hM, M i psq γs

t

2 |δ2 δ1 |

2

C22 δ12

eγt |△Y ptq|

δ22

» T

e t

γs

2 r Yδ1 s

pq

2

r Yδ2 s ds

pq

.

(5.176) From (5.166) and (5.176) we infer

γa a

2C1 1

» T

e

E t

2 r s ds △Y

γs

pq

eγt E |△Y ptq|2

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368

»

T

e d h△M, △M i psq γs

E t

¤ eγT E |△Y pT q|2 γ1 pδ1 , δ2 q eγT E |Yδ pT q|2 2 γ1 pδ2 , δ1 q eγT E |Yδ pT q| 1

2

»

γ2 pδ1 , δ2 q E

T

e

γs

f s 2 ds

pq

t

»

γ2 pδ1 , δ2 q 4γ 2 |δ2 δ1 |

eγt |△Y ptq|

0 t T γT

2

T

e

γs

0

4γK

»t

2 sup

0 t T

0

»T 0

a δ12

pq

γ 2 pC1

δ2

1 1q p 1

γδ1 q

;

(5.178)

K p1 γδ2 q γ 2 pC1 1q p1 γδ2 q 2

.

»T

e d hM, M i psq γs

C22 0

a

e d hM, M i psq

eγs h△Y psq, d△M psqi δ22

f s 2 ds

2 |δ2 δ1 |

2

2

a δ12

2

¤ e |△Y pT q|2 4γ 2 |δ2 δ1 | »

δ22

K p1 γδ1 q γ 2 pC1 1q p1 γδ1 q

From (5.176) we also get: sup

a δ12

γs

t

2

1

T

C22 E

where γ1 pδ1 , δ2 q 4γK 2 2 |δ2 δ1 |

(5.177)

δ12

δ22

» T

e 0


γs

2 r Yδ1 s

pq

2

r Yδ2 s ds

pq

(5.179)

In what follows a stopping time argument might be required. This time an appropriate stopping time τN would be the first time t ¤ T the process |△Yn | |Yn 1 ptq Yn ptq| exceeds N . The time T should then be replaced with τN . From (5.179), (5.166), the inequality of Burkholder-Davis-Gundy (5.89) for p 12 and (5.177) with t 0 we obtain:

E

sup

e

0 t T

γt

|△Y ptq|

¤ eγT E |△Y pT q|2 4γ 2 |δ2 δ1 |

2

a δ12

δ22

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MarkovProcesses


» T

e

E

f s 2 ds

pq

γs

0

4γK 2 2 |δ2 δ1 |

a δ12

pq

» T

e

E 0

2E

sup

e d hM, M i psq γs

δ22

0

2

r Yδ2 s ds

pq

e

T

C22 E

2 r Yδ1 s

γs

»t

0 t T

»

369

0

γs

h△Y psq, d△M psqi

¤ eγT E |△Y pT q|2 γ1 pδ1 , δ2 q eγT E |Yδ pT q|2 2 γ1 pδ2 , δ1 q eγT E |Yδ pT q|

1

γ2 pδ1 , δ2 q C22 E

»

T

t

?

2

eγs d hM, M i psq

8 2E sup eγt |△Y ptq|

» T

0 t T

»

0

2 eγs f s ds

T

pq

E t

1{2


¤ eγT E |△Y pT q|2 γ1 pδ1 , δ2 q eγT E |Yδ pT q|2 γ1 pδ2 , δ1 q eγT E |Yδ pT q|2

1

γ 2 pδ 1 , δ 2 q 1 E 2

»

2

T

»

e d hM, M i psq γs

C22 E t

sup eγt |△Y ptq|

» T

2

64E

0 t T

0

T

e

E

2 f s ds

γs

t

pq

eγs d h△M, △M i psq . (5.180)

Consequently, from (5.177) and (5.180) we deduce, like in the proof of inequality (5.169),

E

sup e

0 t T

γt

|△Y ptq|

2

¤ 130 eγT E |△Y pT q|2 130 γ1 pδ1 , δ2 q eγT E |Yδ pT q|2 130γ2 pδ1 , δ2 q

» T

1

0

e d hM, M i psq γs

C22 E

γ1 pδ2 , δ1 q eγT E |Yδ2 pT q|2 »

T

e

E 0

γs

f s ds2

pq

.

(5.181)

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(Again it is noticed that the passage from (5.179) to (5.181) is justified by a stopping time argument. The same argument was used several times. The first time we used it in passing from inequality (5.125) to (5.128).) Another appeal to (5.177) and (5.181) shows:

γa a

1

E

2C1

»

T

e

E

γs

r 2 △Y s ds

pq

t

sup eγt |△Y ptq|

»

2

0 t T

T

E 0

131γ2 pδ1 , δ2 q

» T


¤ 131 eγT E |△Y pT q|2 131 γ1 pδ1 , δ2 q eγT E |Yδ pT q|2

1

γ1 pδ2 , δ1 q eγT E |Yδ2 pT q|2 »

e d hM, M i psq γs

C22 E 0

T

e

E

γs

f s ds2

pq

0

.

(5.182) The result in Proposition 5.8 now follows from (5.182) and the continuity of the functions y ÞÑ f ps, y, ZM psqq, y P Rk . The fact that the convergence of the family pYδ , Mδ q, 0 δ ¤ p4C1 4q1 is of order δ, as δ Ó 0, follows by the choice of our parameters: γ 4C1 4 and a pδ1 δ2 q1 . Proof. [Proof of Theorem 5.5.] The proof of the uniqueness part follows from Corollary 5.2. The existence is a consequence of Theorem 5.4, Proposition 5.8 and Corollary 5.3. The following result shows that in the monotonicity condition we may always assume that the constant C1 can be chosen as we like provided we replace the equation in (5.115) by (5.183) and adapt its solution. Theorem 5.6. Let the pair pY, M q M2 r0, T s, Rk . Fix λ P R, and put

pYλ ptq, Mλptqq

belong

e Y ptq, Y p0q

»t

λt

Then the pair pYλ , Mλ q belongs to S 2 sertions are equivalent:

M2 .

to

S2

r0, T s, Rk

e dM psq . λs

0

Moreover, the following as-

(i) The pair pY, M q P S 2 M2 satisfies Y p0q M p0q and Y ptq Y pT q

»T t


M ptq M pT q.

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371

(ii) The pair pYλ , Mλ q satisfies Yλ p0q Mλ p0q and »T

Yλ ptq Yλ pT q

λ

»T t

t

eλs f s, eλs Yλ psq, eλs ZMλ psq ds

Yλ psqds

Mλ ptq Mλ pT q.

(5.183)

Remark 5.18. Put fλ ps, y, z q eλs f s, eλs y, eλs z λy. If the function y ÞÑ f ps, y, z q has monotonicity constant C1 , then the function y ÞÑ fλ ps, y, z q has monotonicity constant C1 λ. It follows that by reformulating the problem one always may assume that the monotonicity constant is 0. Proof. [Proof of Theorem 5.6.] First notice the equality eλs ZMλ psq ZM psq: see Remark 5.5. The equivalence of (i) and (ii) follows by considering the equalities in (i) and (ii) in differential form. 5.4

Backward stochastic differential equations and Markov processes

In this section the coefficient f psq f ps, , , q, s P r0, T s, of our BSDE k is a mapping from E Rk M2,s AC to R . For the definition of the space 2,s 2,s τ MAC MAC pΩ, FT , Pτ,xq see Definition 5.7. Theorem 5.7 below is the analogue of Theorem 5.5 with a Markov family of measures tPτ,x : pτ, xq P r0, T s E u instead of a single measure. Put fn psq f ps, X psq, Yn psq, ZMn psqq ,

and suppose that the processes Yn psq and ZMn psq only depend of the statetime variable ps, X psqq. Put Y pτ, tq g pxq Eτ,x rg pX ptqqs, g P Cb pE q, and suppose that for every g P Cb pE q the function pτ, x, tq ÞÑ Y pτ, tqf pxq is continuous on the set tpτ, x, tq P r0, T s E r0, T s : 0 ¤ τ ¤ T u. Then it can be proved that the Markov process


(5.184)

has left limits and is right-continuous: see e.g. Theorem 2.9. Theorem 2.22 in [Gulisashvili and van Casteren (2006)] contains a similar result in case the state space E is locally compact and second countable. Suppose that the Pτ,x -martingale t ÞÑ N ptq N pτ q, t P rτ, T s, belongs to the space M2 rτ, T s, Pτ,x, Rk (see Definition 5.5). It follows that the quantity ZM psqpN q is measurable with respect to σ Fss , N ps q : see equalities

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372

(5.188), (5.189) and (5.190) below. The following iteration formulas play an important role: Yn Mn

1

1

ptq Et,X ptq rξs

1

»T

pT q

t

0

and Mn

1

Et,X ptq rfn psqs ds,

t

»t

ptq Et,X ptq rξs

Then the processes Yn Yn

»T

fn psqds

fn psqds

1

»T t

Et,X ptq rfn psqs ds.

are related as follows:

Mn

1

ptq Mn 1 pT q Yn 1 ptq.

Moreover, by the Markov property, the process t ÞÑ Mn

1

ptq Mn 1pτ q

Eτ,X pτ q ξ F τ t

Eτ,X pτ q Eτ,X pτ q

»

T

τ

»T

ξ τ

Eτ,X pτ q rξs fn psqds fn p

Eτ,X pτ q

» T

s ds Ftτ

q

Eτ,X pτ q

τ

s ds Ftτ

fn p

q

»T

ξ τ

fn psqds

is a Pτ,x -martingale on the interval rτ, T s for every pτ, xq P r0, T s E. In Theorem 5.7 below we replace the Lipschitz condition (5.113) in Theorem 5.4 for the function Y psq ÞÑ f ps, Y psq, ZM psqq with the (weaker) monotonicity condition (5.193) for the function Y psq ÞÑ f ps, X psq, Y psq, ZM psqq. Sometimes we write y for the variable Y psq and z for ZM psq. Notice that the functional ZMn ptq only depends on Ftt : h:T ¥t h¡t σ pX pt hqq and that this σ-field belongs to the Pt,x completion of σ pX ptqq for every x P E. This is the case, because by assumption the process s ÞÑ X psq is right-continuous at s t: see Proposition 5.3. In order to show this we have to prove equalities of the following type:

Es,x Y Fts

Et,X ptq rY s ,

Ps,x -almost surely, FTt -measurable.

(5.185)

for all bounded random variables which are By the monotone class theorem and density arguments the proof of (5.185) reduces to ± showing these equalities for Y nj1 fj ptj , X ptj qq, where t t1 t2 tn ¤ T , and the functions x ÞÑ fj ptj , xq, 1 ¤ j ¤ n, belong to the space Cb pE q. So we consider

Es,x

n ¹

j 1

fj ptj , X ptj qq

s F t

October 7, 2010

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MarkovProcesses


f1 pt, X ptqq Et,X ptq

n ¹

fj ptj , X ptj qq

j 2

Es,x f1 pt, X ptqq hÓ0,0 lim h t t

Es,x

2

f1 pt, X ptqq hÓ0,0 lim Es,x h t t

f1 pt, X ptqq Es,x

Et

h,X t h

Et,X ptq

t h

fj ptj , X ptj qq

s F

t

s F t

j 2

fj ptj , X ptj qq is right-continuous)

Et,X ptq

n ¹

fj ptj , X ptj qq

j 2 n ¹

j 2 n ¹

q

n ¹

s F

j 2

f1 pt, X ptqq Et,X ptq

p

± n

fj ptj , X ptj qq

j 2

t

n ¹

2

(the function ρ ÞÑ Eρ,X pρq

s F

373

fj ptj , X ptj qq

s F

t

fj ptj , X ptj qq , Ps,x -almost surely.

(5.186)

j 1

Next suppose that the bounded random variable Y is measurable with respect to Ftt . From (5.185) with s t it follows that Y Et,X ptq rY s, Pt,x -almost surely. Hence such a variable Y only depends on the spaceX ptq x Pt,x -almost surely it follows that time variable pt,X pt qq. Since t the variable Et,x Y Ft is Pt,x -almost equal to the deterministic constant Et,x rY s. A similar argument shows the following result. Let 0 ¤ s t ¤ T , and let Y be a bounded FTs -measurable random variable. Then the following equality holds Ps,x -almost surely:

Es,x Y Fts

Es,x

Y Fts .

(5.187)

In particular it follows that an Fts -measurable bounded random variable coincides with the Fts -measurable variable Es,x Y Fts Ps,x -almost surely for all x P E. Hence (5.187) implies that the σ-field Fts is contained in the Ps,x -completion of the σ-field Fts . In addition, notice that the functional ZM psq is defined by ZM psqpN q lim

Ó

t s

where hM, N i ptq hM, N i psq

hM, N i ptq hM, N i psq ts

(5.188)

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374

nlim Ñ8

2n ¸1

pM ptj

1,n

q M ptj,n qq pN ptj

1,n

q N ptj,n qq .

(5.189)

j 0

For this the reader is referred to the remarks 5.5, 5.6, 5.9, and to formula (5.86). The symbol tj,n represents the real number tj,n s j2n pt sq. The limit in (5.189) exists Pτ,x -almost surely for all τ P r0, ss. As a consequence the process ZM psq is Fsτ -measurable for all τ P r0, ss. It folsurely equal to the lows that the processN ÞÑ ZM ps qpN q is Pτ,x -almost functional N ÞÑ Eτ,x ZM psqpN q σ pFsτ , N psqq provided that ZM psqpN q is σ Fsτ , N ps³ q -measurable. If the martingale M is of the form M psq s u ps, X psqq 0 f pρqdρ, then the functional ZM psqpN q is automatically σ Fss , N ps q -measurable. It follows that, for every τ P r0, ss, the following equality holds Pτ,x -almost surely:

Eτ,x ZM psqpN q σ Fsτ , N ps

q Eτ,x

ZM psqpN q σ pFsτ , N ps

qq

. (5.190)

Moreover, in the next Theorem 5.7 the filtered probability measure

Ω, F , Ft0

,P tPr0,T s

is replaced with a Markov family of measures

Ω, FTτ , pFtτ qτ ¤t¤T , Pτ,x ,

pτ, xq P r0, T s E.

Its proof follows the lines of the proof of Theorem 5.5: it will not be repeated here. Relevant equalities which play a dominant role are the following ones: (5.128), (5.136), (5.169), and (5.182). In these inequalities the measure Pτ,x replaces P and the coefficient f ps, Y psq, ZM psqq is replaced with f ps, X psq, Y psq, ZM psqq. Then (5.191), which is the same as (5.128), is satisfied and with α 1 C12 C22 the following inequalities play a dominant role for the sequence pYn , Mn q:

sup e

Eτ,x τ

t T

2αt

|Yn 1 ptq|

2

¤ 130e2αT Eτ,x |Yn 1 pT q| »

2

e τ

2αs

T

130Eτ,x

T

65Eτ,x

»

d hMn , Mn i psq

τ

e2αs |f ps, 0, 0q| ds

2

»

T

65Eτ,x

e τ

2αs

|Yn psq|

2

ds

8,

(5.191) and

sup e

Eτ,x τ

¤t¤T

2αt

|Yn 1 ptq Yn ptq|

2

October 7, 2010

9:50


MarkovProcesses


»

T

e

Eτ,x

2αs

d hMn

τ

¤ 131e

2αT

375

Eτ,x |Yn

1

Mn , Mn 1 Mn i psq

pT q Yn pT q|

2

1

2 131 Yn Yn1 . 2 Mn Mn1 τ,x,α

(5.192) Compare these inequalities with (5.128) and (5.192). The inequality in (5.192) plays only a direct role in case we are dealing with a Lipschitz continuous generator f . In case the generator f is only monotone (or onesided Lipschitz) in the variable y, then we need the propositions 5.6, 5.7, 5.8, and Corollary 5.3.

Y The norm is defined by: M τ,x,α 2 Y M

Eτ,x

τ,x,α

» T

e τ

2αs

|Y psq|

2

»T

ds

e τ

2αs

d hM, M i psq .

A proof of these inequalities can be found in [Van Casteren (2008)] and in the proof of Theorem 5.4 in the present Chapter 5. The following theorem contains the most important results of the present section 5.4. Theorem 5.7. Let for every s P r0, T s the function f psq f ps, , , q be a k function from E Rk M2,s AC to R which is monotone in the variable y and Lipschitz in z. More precisely, suppose that there exist finite constants C1 and C2 such that for any two pairs of processes pY, M q and pU, N q P S 2 r0, T s, Rk M2 r0, T s, Rk the following inequalities hold for all 0 ¤ s ¤ T: hY psq U psq, f ps, X psq, Y psq, ZM psqq f ps, X psq, U psq, ZM psqqi

¤ C1 |Y psq U psq|2 , |f ps, X psq, Y psq, ZM psqq f ps, X psq, Y psq, ZN psqq| ¤ C2

d hM ds

(5.193)

1{2

N, M N i psq

(5.194)

,

and

|f ps, X psq, Y psq, 0q| ¤ f ps, X psqq K |Y psq| . (5.195) 2 τ k Fix pτ, xq P r0, T s E and let Y pT q ξ P L Ω, FT , Pτ,x ; R be given. ³ 2 T In addition, suppose Eτ,x τ f ps, X psqq ds 8. Then there exists a unique pair

pY, M q P S 2 rτ, T s, Pτ,x, Rk M2 rτ, T s, Pτ,x, Rk

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376

with Y pτ q M pτ q such that »T

Y ptq ξ Next let ξ

t


ET,X pT q rξ s

P

Suppose that the functions

M ptq M pT q.

(5.196)

2 τ pτ,xqPr0,T sE L pΩ, FT , Pτ,x q be given.

pτ, xq ÞÑ

Eτ,x |ξ |

2

pτ, xq ÞÑ

and

³ 2 T Eτ,x τ f s, X s ds are locally bounded. Then there exists a unique

p

p qq

pair

2 pY, M q P Sloc,unif rτ, T s, Rk M2loc,unif rτ, T s, Rk with Y p0q M p0q such that equation (5.196) is satisfied. Again let ξ ET,X pT q rξ s P pτ,xqPr0,T sE L2 pΩ, FTτ , Pτ,x q

Suppose that the functions

pτ, xq ÞÑ Eτ,x |ξ|

2

pτ, xq ÞÑ Eτ,x

and

» T τ

f s, X s 2 ds

p

p qq

are uniformly bounded. Then there exists a unique pair

2 pY, M q P Sunif rτ, T s, Rk M2unif rτ, T s, Rk with Y p0q M p0q such that equation (5.196) is satisfied.

The notations S2 M

2

be given.

rτ, T s, Pτ,x, Rk S 2 Ω, FTτ , Pτ,x; Rk rτ, T s, Pτ,x, Rk M2 Ω, FTτ , Pτ,x; Rk

and

are explained in the definitions 5.4 and 5.5 respectively. The same is true for the notions

2 r0, T s, Rk Sloc,unif Ω, FTτ , Pτ,x; Rk , M2loc,unif r0, T s, Rk M2loc,unif Ω, FTτ , Pτ,x ; Rk , 2 2 r0, T s, Rk Sunif Ω, FTτ , Pτ,x ; Rk , and Sunif M2unif r0, T s, Rk M2unif Ω, FTτ , Pτ,x ; Rk . 2,s τ k In addition, the space M2,s is explained in DefiniAC MAC Ω, FT , Pτ,x ; R 2 Sloc,unif

tion 5.7 (see Lemma 5.1 as well). The probability measure Pτ,x is defined on the σ-field FTτ . Since the existence properties of the solutions to backward stochastic equations are based on explicit inequalities, the proofs carry over to Markov families of measures. Ultimately these inequalities imply that boundedness and continuity properties of the function pτ, xq ÞÑ Eτ,x rY ptqs,

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377

0 ¤ τ ¤ t ¤ T , depend on the continuity of the function x ÞÑ ET,x rξ s, where ξ is a terminal value function which is supposed to be σ pX pT qq-measurable. In addition, in order to be sure that the function pτ, xq ÞÑ Eτ,x rY ptqs is continuous, functions of the form pτ, xq ÞÑ Eτ,x rf pt, u pt, X ptqq , ZM ptqqs have to be continuous, whenever the following mappings »

pτ, xq ÞÑ Eτ,x

T

τ

|ups, X psqq|

2

ds and pτ, xq ÞÑ Eτ,x rhM, M i pT qhM, M is

represent finite and continuous functions. In the next example we see how the classical Feynman-Kac formula is related to backward stochastic differential equations. Example 5.2. Suppose that the coefficient f has the special form: f pt, x, r, z q cpt, xqr and that the process s equation: $ ' ' X t,x s ' &

ÞÑ X x,tpsq is a solution to a stochastic differential

p q X ptq

' ' ' %

hpt, xq

»s

t,x

b τ, X t

t,x

pτ q

»s

dτ t

t ¤ s ¤ T;

X t,x psq x,

σ τ, X t,x pτ q dW pτ q,

0 ¤ s ¤ t.

In that case, the BSDE is linear, Y t,x psq g pX t,x pT qq

»T s

»T s

rcpr, X t,xprqqY t,xpsq

hpr, X t,x prqqs dr

Z t,x prq dW prq,

and hence it has an explicit solution. From an extension of the classical “variation of constants formula” (see the argument in the proof of the comparison theorem 1.6 in [Pardoux (1998a)]) or by direct verification we get: ³T c

Y t,x psq g X t,xpT q e s »T s

t,x

prqq dr

h r, X t,x prq e s cpα,X ³r

»T ³ r s

pr,X

e s cpα,X

t,x

t,x

pαqq dα dr

pαqqdα Z t,x prq dW prq.

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Now we have Y t,x ptq E rY t,x ptqs, so that Y t,x ptq

E gpX pT qqe p t,x

³T t

p qq ds

c s,X t,x s

»T

h s, X

t,x

t

³s c

psq

et

p

p qq dr ds ,

r,X t,x r

which is the well-known Feynman-Kac formula. Clearly, solutions to stochastic backward stochastic differential equations can be used to represent solutions to classical differential equations of parabolic type, and as such they can be considered as a nonlinear extension of the Feynman-Kac formula. Example 5.3. In this example the family of operators Lpsq, 0 ¤ s ¤ T , generates a Markov process in the sense of Definition 5.3: see (5.11). For a “smooth” function v we introduce the martingales: Mv,t psq v ps, X psqq v pt, X ptqq

»s t

B Bρ

Lpρq v pρ, X pρqq dρ.

(5.197) Its quadratic variation part hMv,t i psq : hMv,t , Mv,t i psq is given by hMv,t i psq

»s t

Γ1 pv, v q pρ, X pρqq dρ.

In this example we will mainly be concerned with the Hamilton-JacobiBellman equation as exhibited in (5.198). We have the following result for generators of diffusions: it refines Theorem 2.4 in [Zambrini (1998a)]. M Observe that Pt,xv,t stands for a Girsanov transformation of the measure Pt,x . Theorem 5.8. Suppose that the operator L Lpsq does not depend on s P r0, T s. Let χ : pτ, T s E Ñ r0, 8s be a function such that for all τ t ¤ T and for sufficiently many functions v Et,xv,t r|log χ pT, X pT qq|s 8. M

Let SL be a (classical) solution to the following Riccati type equation. For τ s ¤ T and x P E the following identity is true: $ & B SL ps, xq 1 Γ pS , S q ps, xq LpsqS ps, xq V ps, xq 0; 1 L L L Bs 2 (5.198) % SL pT, xq log χpT, xq, x P E. Then for any nice real valued v ps, xq the following inequality is valid: SL pt, xq ¤

M Et,xv,t

» T t

1 Γ1 pv, v q 2

V

pτ, X pτ qqdτ

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EMt,x rlog χ pT, X pT qqs , v,t

and equality is attained for the “Lagrangian action” v

SL pt, xq log Et,x exp

»T t

SL :

V pσ, X pσ qq dσ χ pT, X pT qq . (5.199)

M

The probability Pt,xv,t is determined by following equality (5.200). For all finite n-tuples t1 , . . . , tn in pt, T s and all bounded Borel functions fj : rt, T s E Ñ R, 1 ¤ j ¤ n, we have:

M Et,xv,t

n ¹

j 1

Et,x

fj ptj , X ptj qq

1 exp 2

»T t

Γ1 pv, v q pτ, X pτ qq dτ

(5.200)

Mv,t pT q

n ¹

fj ptj , X ptj qq .

j 1

Proof. This result is proved in Chapter 7: see Theorem 7.1. There is only a notational difference: here we write Lpsq instead of K0 psq in Theorem 7.1. It is just mentioned that Theorem 5.8 is fully proved with Lpsq L timeindependent in [Van Casteren (2003)]. In Theorem 5.8 the operator family tLpsq : s P r0, T su should be the generator of a diffusion process in the sense as in Definition 5.1. In addition, it should generate a Feller evolution in the sense of Theorem 2.11. Moreover, the squared gradient operator should exist in Tβ -sense, i.e. in the sense of (5.2). 5.4.1

Remarks on the Runge-Kutta method and on monotone operators

We conclude this chapter with an explanation of the relation which exists between surjectivity of the mapping y ÞÑ y δf pt, y, z q, y P Rk , and the Runge-Kutta method. Here t is a time variable, δ ¡ 0 is a (small) constant, and z is a functional which plays no role here. In the text which follows the z-dependence is suppressed, and h plays the role of δ. Remark 5.19. The surjectivity of the mapping y ÞÑ y δf ps, y, ZM psqq from Rk onto itself follows from Theorem 1 in [Crouzeix et al. (1983)]. The authors use a homotopy argument to prove this theorem for C1 0. Upon replacing f pt, y, ZM ptqq with f pt, y, ZM ptqq C1 y, where C1 is as in (5.72) the result follows in our version, and the conditions in [Crouzeix et al.

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(1983)] are satisfied. An elementary proof of Theorem 1 in [Crouzeix et al. (1983)] can be found for a continuously differentiable function in [Hairer and Wanner (1991)]: see Theorem 14.2 in Chapter IV. The author is grateful to Karel in’t Hout (University of Antwerp) for pointing out closely related Runge-Kutta type results and these references. In [Hairer and Wanner (1991)] and also in the newer version [Hairer and Wanner (1996)] (Theorem 14.2) the authors study the existence of a Runge-Kutta solution pgj q1¤j ¤s , gj P Rk , which is implicitly defined by an equation of the form gi y1

y0 y0

h h

s ¸

j 1 s ¸

aij f pt0 bj f pt0

cj h, gj q , i 1, . . . , s, cj h, gj q .

(5.201)

j 1

Here cj and bj are given constants which depend on the precise numerical method under discussion, and the same is true for the constants aij , 1 ¤ i, j ¤ s. The equations in (5.201) are motivated by a numerical treatment Byptq f pt, yptqq, yp0q y . of ordinary differential equations of the form 0 Bt The function f satisfies a one-sided Lipschitz condition of the form hf pt, y2 q f pt, y1 q , y2 y1 i ¤ C |y2 y1 |

2

(5.202)

for all t in an open interval of R and for all y1 , y2 P Rk . Here the symbol y with or without subscript is a vector in Rk . The Runge-Kutta matrix s A paij qi,j 1 is supposed to be an invertible s s matrix. The vector y1 is the new initial condition. Put

u, DA1 u 1 α0 A sup uPRinf k , u0 hu, Dui D where the supremum is taken over all diagonal matrices D with strictly positive entries. If A is the identity matrix, then α0 A1 1. In terms of the matrix A and the mapping F : pg1 , . . . , gs q ÞÑ pf pt0

c1 h, g1 q , . . . , f pt0

cs h, gs qq

the solvability of the Runge-Kutta equation (5.201) for all initial values y0 P Rk is equivalent to the surjectivity of the mapping g ÞÑ g hAF pg q, g P Rk .

Theorem 5.9. Let h ¡ 0 be such that hC α0 A1 , where C is as in (5.202). Then the equation in (5.201) has a solution.

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Under the extra assumption of continuously differentiability of the function f the authors of [Hairer and Wanner (1991)] base their proof on a study of the homotopy properties of the mapping: gi

y0

h

s ¸

aij f pt0

cj h, gj q

pτ 1qh

j 1

The equation in (5.203) has a solution gj reduces to the equation in (5.201).

s ¸

aij f pt0

cj h, y0 q . (5.203)

j 1

y0 for τ 0, and for τ 1 it

Remark 5.20. Finally we notice that in [Ramm (2007)] the author treats one-sided Lipschitz and monotone operators in the context of Hilbert and Banach spaces. He uses the so-called Dynamical System Method. We also mention that for Hilbert spaces the problem of surjectivity of the operator I δF is closely related to the fact that the operator F is m-accretive in the sense that F is one-sided monotone with monotonicity constant 0, and that I δF is surjective for some, and by Minty’s theorem, for all δ ¡ 0: for details see [Showalter (1997)]. For a closely related result, called the Browder-Minty theorem, see Theorem 9.45 in [Renardy and Rogers (2004)] or Theorem 2.2 in [Showalter (1997)]. Theorem 5.10. The Browder-Minty theorem states that a bounded, demicontinuous, coercive and monotone function T from a real, reflexive Banach space X into its continuous dual space X is automatically surjective. That is, for each continuous linear functional g P X , there exists a solution u P X of the equation T puq g. hy, T yi |y|Ñ8 |y | 8 holds, and monotonicity means that hy2 y1 , T y2 T y1i ¥ 0 for all y1 , y2 P X. The operator T is said to be demi-continuous if un Ñ u in X implies hx, T un T ui Ñ 0 for all x P X. It is bounded if it sends bounded sets to bounded sets. The operator T is said to be hemi-continuous if the function t ÞÑ hx, T px tuqi Ñ 0 is continuous for all x, u P X. The result in Theorem 5.10 was proved independently by Minty [Minty (1963)] and Browder [Browder (1963)]: see [Browder (1967)] as well. By a result due to Browder and Rockafellar for monotone operators hemi-continuity and demi-continuity are equivalent: see [Rockafellar (1997)] and [Rockafellar (1969)]. It is noticed that in order to pass from the finite-dimensional to the infinite-dimensional setting authors use a Galerkin method. In view of Theorem 5.10 it is quite well possible that the results in this chapter can The (non-linear) operator T is called coercive if the equality lim

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also be formulated and proved in the Hilbert space context, i.e. when the variables Y ptq and M ptq take their values in a Hilbert or (reflexive) Banach space instead of Rk : see [Browder et al. (1970)]. Theorem 2.25 in [Phelps (1993)] states that the multi-valued sub-differential of a continuous convex function which is everywhere defined in a Banach space is a maximal monotone operator. For set valued monotone operators the reader is referred to [Tarafdar and Chowdhury (2008)]. To conclude this chapter we insert a sample result in the Hilbert space setting: for details see Van [Van Casteren (2010)]. In what follows the symbol H stands for a Hilbert space, and the family tC pt, sq : 0 ¤ t ¤ s ¤ T u stands for a strongly continuous family of linear operators on H which is a forward evolution family, i.e. C pt1 , sq C ps, t2 q C pt1 , t2 q, 0 ¤ t1 ¤ s ¤ C pt, t sqh h t2 ¤ T , and C pt, tq I. In addition we write Aptqh lim , sÓ0 s h P D pAptqq. Let E be a Polish space, and tpΩ, FTτ , Pτ,xq , pX ptq, τ ¤ t ¤ T q , pE, E qu (5.204) an E-valued strong time-dependent Markov process with continuous paths, H a Hilbert space, and u : r0, T s E Ñ H a function with the property that the limit

Et,x ru pρ, X pρqqs upt, xq B lim Bt Lptq u pt, xq (5.205) ρÓt ρt exists for all pt, xq P r0, T s E. By hypothesis it is assumed that this convergence takes place in the Hilbert space H and is uniformly on compact subsets of r0, T s E. Observe that the operators Lpsq, 0 ¤ s ¤ T , are defined on a subspace of the space of continuous H-valued functions. The equality in (5.206) below should be compared with equality (2.77) in Definition 2.8. Theorem 5.11. Let H be a real Hilbert space. Let u : r0, T s E Ñ H be a continuous function with the property that for every pt, xq P r0, T s E the function s ÞÑ Et,x ru ps, X psqqs is differentiable and that for the derivatives from the right d B u ps, X psqq , t ¤ s T. Et,x ru ps, X psqqs Et,x Lpsqu ps, X psqq ds Bs (5.206) Then the following assertions are equivalent: (a) The function u satisfies the following differential equation: Lptqu pt, xq

Aptqupt, xq

B Bt u pt, xq


0.

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(b) The function u satisfies the following type of Feynman-Kac integral equation: u pt, xq Et,x rC pt, T qu pT, X pT qqs » T

Et,x t

C pt, τ qf τ, X pτ q, u pτ, X pτ qq

, ∇L u

pτ, X pτ qq

dτ .

(c) For every t P r0, T s there exists a Pt,x -martingale Mt psq on the interval rt, T s such that for t ¤ s ¤ T upt, X ptqq C pt, squ ps, X psqq »s

»ts t

C pt, τ qf τ, X pτ q, u pτ, X pτ qq , ∇L u pτ, X pτ qq dτ C pt, τ q dMt pτ q.

The result in Theorem 5.11 should be compared with Theorem 5.1. In [Van Casteren (2010)] conditions are given in order that an equation of the form Y ptq C pt, T q ξ

»T t

C pt, sq f ps, X psq, Y psq, ZM psqq ds

»T t

C pt, sq dM psq.

admits solutions in an appropriate stochastic phase space S 2 M2 : cf. equality (5.196) in Theorem 5.7. Again, as in the remaining part of this chapter the pair of H-valued processes pY ptq, M ptqq is adapted to the underlying (strong) Markov process (5.204). Again one-sided Lipschitz conditions play a role (in the variable Y ) and a two-sided Lipschitz condition is required in the variable ZM . Instead of the identity operator I as in Theorem 5.7 we now have a propagator tC ps, tq : 0 ¤ s ¤ t ¤ T u. It generator t ÞÑ Aptq is supposed to be bounded from above: there exists a constant C0 such that hy, ApsqyiH ¤ C0 hy, yiH , 0 ¤ s ¤ T , y P DpApsqq.


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Chapter 6

Viscosity solutions, backward stochastic differential equations and Markov processes In this chapter we explain the notion of stochastic backward differential equations and its relationship with classical (backward) parabolic differential equations of second order. The chapter contains a combination of stochastic processes like Markov processes and martingale theory and semilinear partial differential equations of parabolic type. Emphasis is put on the fact that the solutions to BSDE’s obtained by stochastic methods to BSDE’s are often viscosity solutions. The notations S2 M

2

rτ, T s, Pτ,x, Rk S 2 Ω, FTτ , Pτ,x; Rk rτ, T s, Pτ,x, Rk M2 Ω, FTτ , Pτ,x; Rk

and

were explained in the definitions 5.4 and 5.5 respectively. The same is true for the notions 2 Sloc,unif

M2loc,unif 2 Sunif

M2unif

2 r0, T s, Rk Sloc,unif Ω, FTτ , Pτ,x; Rk , r0, T s, Rk M2loc,unif Ω, FTτ , Pτ,x; Rk , 2 Ω, FTτ , Pτ,x ; Rk , and r0, T s, Rk Sunif r0, T s, Rk M2unif Ω, FTτ , Pτ,x; Rk .

2,s τ k The space M2,s is explained in Definition 5.7 AC MAC Ω, FT , Pτ,x ; R (see Lemma 5.1 as well). The probability measure Pτ,x is defined on the σ-field FTτ . Since the existence properties of the solutions to backward stochastic equations are based on explicit inequalities, the proofs carry over to Markov families of measures. Ultimately these inequalities imply that boundedness and continuity properties of the function pτ, xq ÞÑ Eτ,x rY ptqs, 0 ¤ τ ¤ t ¤ T , depend on the continuity of the function x ÞÑ ET,x rξ s, where ξ is a terminal value function which is supposed to be σ pX pT qq-measurable. In addition, in order to be sure that the function pτ, xq ÞÑ Eτ,x rY ptqs is

385

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continuous, functions of the form pτ, xq ÞÑ Eτ,x rf pt, u pt, X ptqq , ZM ptqqs have to be continuous, whenever the following mappings

pτ, xq ÞÑ Eτ,x

» T τ

|ups, X psqq|

2

ds

and

pτ, xq ÞÑ Eτ,x rhM, M i pT q hM, M is

(6.1)

represent finite and continuous functions. Comparison theorems enable us to compare solutions if these solutions can be compared at their endpoints. In the proof of these comparison theorems we introduced a new martingale: see formula (6.3). They also serve to prove that solutions to BSDE’s often are viscosity solutions: see e.g. Theorem 6.3. 6.1

Comparison theorems

As an introduction to the present section we insert a comparison theorem. This theorem will also be used to establish the fact that solutions to semilinear BSDE’s are in fact viscosity solutions. In the following theorem the measure P could be one of the probability measures P0,x , x P E. If the interval rτ, T s is taken instead of r0, T s then P could also be one of the measures Pτ,x , and, of course, FT should be replaced with FTτ . Recall that the space M2,t AC is explained in Definition 5.7. Theorem 6.1. Suppose that Y pT q ξ ¤ ξ 1 Y 1 pT q P-a.s., and f pt, x, y, z q ¤ f 1 pt, x, y, z q almost everywhere. Then Y ptq ¤ Y 1 ptq, 0 ¤ t ¤ T , P-a.s., provided that there exists a martingale N ptq such that the quadratic covariation process t ÞÑ hN, M 1 M i ptq satisfies f 1 pt, X ptq, Y ptq, ZM 1 ptqq f 1 pt, X ptq, Y ptq, ZM ptqq

d

N, M 1 M ptq. dt (6.2) If moreover Y p0q Y 1 p0q, then Y ptq Y 1 ptq, 0 ¤ t ¤ T , P-a.s. Moreover, if either P pξ ξ 1 q ¡ 0 or f pt, y, ZM ptqq f 1 pt, y, ZM ptqq, py, ZM ptqq P 1 R M2,t AC , on a set of positive dt dP measure, then Y p0q Y p0q. In fact for the martingale N ptq in (6.2) we may choose: N ptq

»t 0

f 1 ps, X psq, Y psq, ZM 1 psqq f 1 ps, X psq, Y psq, ZM psqq d 1 M M, M 1 M psq ds dM 1 psq dM psq , (6.3)

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387

where the derivative d 1 M M, M 1 M psq ds stands for the Radon-Nikodym derivative of the quadratic variation process t ÞÑ hM 1 M, M 1 M i ptq at t s (relative to the Lebesgue measure). For more explanation see Definition 5.7 and Lemma 5.1. In the following proposition we collect some properties of the martingale t ÞÑ N ptq. Among other things it says that the process t ÞÑ N ptq is well-defined and continuous provided the martingale t ÞÑ M 1 ptq M ptq is continuous. It is assumed that there exists a constant C 1 such that

1 f s, X s , Y s , ZM 1 s 1 2 d 1

p q p q p qq f 1 ps, X psq, Y psq, ZM psqq2 ¤ C ds M M, M 1 M psq, 0 ¤ s ¤ T. (6.4) Proposition 6.1. Suppose that the processes X psq, Y psq, M 1 psq, and M psq p

are such that (6.4) is satisfied for the constant C 1 . In addition suppose that the process M 1 M is a martingale belonging to M2 pr0, T s, Pq with the property that the quadratic variation process s ÞÑ hM 1 M, M 1 M i psq is absolutely continuous with respect to the Lebesgue measure. Then the process t ÞÑ N ptq is a martingale which is well-defined, and also belongs to M2 pr0, T s, Pq. The following inequality is satisfied: hN, N i ptq hN, N i psq ¤ C 1

2

pt sq.

(6.5)

The quadratic variation process t ÞÑ hN, N i ptq is absolutely continuous reld ative to the Lebesgue measure. Its Radon-Nikodym derivative hN, N i psq ds satisfies

|f 1 ps, X psq, Y psq, ZM 1 psqq f 1 ps, X psq, Y psq, ZM psqq|2 . d hN, N i psq d 1 ds M M, M 1 M psq ds (6.6)

In the notation of Definition 5.6 the martingale M 1 M belongs to the space M2AC pΩ, FT , P; Rq M2AC pr0, T s, Pq. Let s ÞÑ M1 psq and s ÞÑ M2 psq be two martingales with quadratic variation processes hM1 , M1 i and hM2 , M2 i respectively. Let the Doléans measures Qj : FT0 b Br0,T s Ñ r0, 8s, j 1, 2 be determined by Qj pA pa, bsq E r1A phMj , Mj i pbq hMj , Mj i paqqs ,

with A P 0 ¤ a ¤ b ¤ T, j 1, 2. In addition, let s s ÞÑ f2 psq be predictable process which belong to L2 Ω, FT0 FT0 ,

(6.7)

ÞÑ f1 psq and b Br0,T s , Q1

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and L2 Ω, FT0 b Br0,T s , Q2 respectively. In the proof of Proposition 6.1 we need + * the following equality: » pq 0

f1 psqdM1 psq,

» pq 0

f2 psqdM2 psq

pt q

»t 0

f1 psqf2 psqd hM1 , M2 i psq

(6.8) where t P r0, T s. A definition of Doléans measure like (6.7), and an equality like (6.8) are given in books on martingale theory, like [Williams (1991)]. Proof. [Proof of Proposition 6.1.] Equality (6.8) in Proposition 6.1 yields hN, N i ptq »t

|f 1 ps, X psq, Y psq, ZM 1 psqq f 1 ps, X psq, Y psq, ZM psqq|2

2 d 1 0 1 M M, M M psq ds

1 d M M, M 1 M psq »t 1 2 1 |f ps, X psq, Y psq, ZM 1 psqq f ps, Xpsq, Y 2psq, ZM psqq| d 0 M 1 M, M 1 M psq ds

d 1 M M, M 1 M psq ds ds »t 1 2 1 |f ps, X psq, Y psdq, ZM 1 psqq f ps, X psq, Y psq, ZM psqq| ds. (6.9) 0 M 1 M, M 1 M psq ds The equality in (6.5) follows from (6.9). Combining the equality in (6.4) and (6.9) results in the inequality in (6.5). The inequality in (6.6) follows from (6.5). If the martingale s ÞÑ pM 1 psq M psqq is continuous, then so is the martingale s ÞÑ N psq which is obtained as a stochastic integral relative to d pM 1 M q psq. This assertion also follows from Itô calculus for martingales: see e.g. [Williams (1991)]. This completes the proof of Proposition 6.1. Proof. [Proof of Theorem 6.1.] Following [Pardoux (1998a)] we introduce the process αptq, 0 ¤ t ¤ T , by αptq 0 if Y ptq Y 1 ptq, and αptq (6.10) 1

Y 1 ptq Y ptq f 1 t, X ptq, Y 1 ptq, ZM 1 ptq f 1 pt, X ptq, Y ptq, ZM 1 ptqq 1 if Y ptq Y ptq. Then αptq ¤ C1 P-almost surely. We also introduce the following processes: U ptq f 1 pt, X ptq, Y ptq, ZM ptqq f pt, X ptq, Y ptq, ZM ptqq ; (6.11)

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Y ptq Y 1 ptq Y ptq;

(6.12)

M ptq M 1 ptq M ptq; ξ Y pT q Y 1 pT q Y pT q ξ 1 ξ.

(6.13) (6.14)

In terms of αptq, ξ, U ptq, and the martingales N ptq and M ptq the adapted process Y ptq satisfies the following backward integral equation: Y ptq ξ

»T t

»T

αpsqY psqds

t

(6.15) U psqds M pT q

M pt q

From Itˆ o calculus and (6.15) it then follows that ³T

Y ptq Y pT qe t »T ³ s

p q 12 hN,N ipT q

α τ dτ

e t αpτ qdτ 2 xN,N ypsq 1

1 2

xN,N yptq

ptq

1 2 hN,N i

N, M pT q N, M ptq.

p qN ptq

N T

(6.16)

p qN ptqpU psqdsdM psqY psqdN psqq.

N s

t

Since the process Y ptq is adapted and since Itô integrals with respect to martingales with bounded integrands are martingales the equality in (6.16) implies:

³T

Y ptq E Y pT qe t »T ³ s

et

p q 12 hN,N ipT q

α τ dτ

p q 12 hN,N ipT q

α τ dτ

t

ptq

1 2 hN,N i

ptq

1 2 hN,N i

p qN ptq

N T

(6.17)

p qN ptq U psqds Ft .

N s

Since by hypothesis Y pT q ¥ 0 and U psq ¥ 0 for all s P r0, T s, the equality in (6.17) implies Y ptq ¥ 0. The other assertions also follow from representation (6.17). This completes the proof of Theorem 6.1. The following result can be proved along the same lines as Theorem 6.1. It will be used in the proof of Theorem 6.3 with V psq ϕ9 ps, X psqq

Lpsqϕps, qpX psqq,

with Y psq u ps, X psqq and Y 1 psq ϕ ps, X psqq. In fact the arguments in the proof of Theorem 2.4 of [Pardoux (1998a)] inspired our proof of the following theorem. Theorem 6.2. Fix pt, xq P r0, T q E and fix a stopping time τ such that t ³τ ¤ T . Let V psq be a progressively measurable process such that τ Et,x t |V psq| ds 8. Let pY, M q and pY 1 , M 1 q P S 2 prt, T s, Pt,x, Rq

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M2 prt, T s, Pt,x, Rq satisfy the following type of backward stochastic integral equations: »τ

Y psq Y pτ q

s

Y 1 psq Y 1 pτ q

»τ s

f pρ, X pρq, Y pρq, ZM pρqq dρ V pρqdρ

M psq M pτ q

and

M 1 psq M 1 pτ q

for t ¤ s τ . Suppose that Y pτ q ¤ Y 1 pτ q and

f s, X psq, Y 1 psq, ZM 1 psq

Then Y psq ¤ Y 1 psq, t ¤ s ¤ T . If

¤ V psq,

f s, X psq, Y 1 psq, ZM 1 psq

t ¤ s ¤ τ.

V psq

on a subset of rt, τ qΩ of strictly positive dsP-measure, then Y ptq Y 1 ptq. Proof.

Define the stochastic process f 1 ps, X psq, y, z q by

f 1 ps, X psq, y, z q f ps, X psq, y, z q

V psq f s, X psq, Y 1 psq, ZM 1 psq .

The arguments for the proof of Theorem 6.1 now apply with the martingale N psq, t ¤ s ¤ T , given by N psq

» s^τ t

f pρ, X pρq, Y pρq, ZM 1 pρqq f pρ, X pρq, Y pρq, ZM pρqq d 1 M M, M 1 M pρq dρ

dM 1 pρq dM pρq ,

(6.18)

and the process αpsq, t ¤ s ¤ T , defined by αpsq 0 if Y psq Y 1 psq, and αpsq

(6.19)

Y 1 ptq Y ptq 1 f s, X psq, Y 1 psq, ZM 1 psq f ps, X psq, Y psq, ZM 1 psqq if Y ptq Y 1 ptq. The other relevant processes are:

U psq V psq f 1 s, X psq, Y 1 psq, ZM 1 psq ;

Y psq Y 1 psq Y psq; M psq M 1 psq M psq; ξ Y pτ q Y 1 pτ q Y pτ q ξ 1 ξ.

(6.20) (6.21) (6.22) (6.23)

The remaining reasoning follows the lines of the proof of Theorem 6.1. This completes the proof of Theorem 6.2.

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Remark 6.1. If Y psq u ps, X psqq, u is “smooth”, and upt, xq satisfies (5.84), which is the same as (6.36) below, then Y psq satisfies (5.85), and vice versa. If f ps, x, y, z q only depends on y P R, then, by the occupation formula, »T t

g pY psqq Z psq pY, Y q ds

»T t

»

g pY psqq d hY pq, Y pqi psq

pLyT pY q Lyt pY qq gpyqdy, R

where dy is the Lebesgue measure, and Lyt pY q is the (density of the) local time of the process Y ptq. If g 1 and Y psq u ps, X psqq, then (5.85) is also equivalent to the following assertion: the process

exp Y psq Y pT q

» T s

f pτ, X pτ q, Y pτ q, Z pτ q p, Y qq

1 hY, Y i pτ q dτ 2

t0 t ¤ s ¤ T , is a local backward (exponential) Pt,x -martingale (for every T ¡ t ¡ t0 ). The function f depends on x P E, s P pt0 , T s, y P R, and on the square gradient operator pf1 , f2 q ÞÑ Γ1 pf1 , f2 q, or, more generally, on the covariance mapping pY1 , Y2 q ÞÑ hY1 , Y2 i psq of the local semi-martingales Y1 psq and Y2 psq. In order to introduce boundary conditions it is required to insert in equation (5.85) a term of the form »T t

h pX psq, s, Y psq, Z psq p, Y qq dApsq,

where Apsq is a process which is locally of bounded variation, and which only increases when e.g. X psq hits the boundary. To be more precise the equality in (5.85) should be replaced with: Y ptq Y pT q

»T t

»T t

f ps, X psq, Y psq, Z psq p, Y qq ds

h pX psq, s, Y psq, Z psq p, Y qq dApsq M ptq M pT q.

(6.24)

We hope to come back on this and similar problems in future work. In order to be sure about uniqueness and existence of solutions we probably will need some Lipschitz and linear growth conditions on the function f and some boundedness condition on ϕ. For more details on backward stochastic differential equations see e.g. [Pardoux and Peng (1990)] and [Pardoux (1998a)].

,

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6.2

Viscosity solutions

The main result in this section is Theorem 6.3. We begin with some formal definitions.

P r0, T s, and let F : C prt0 , T s E, Rq C prt0 , T s E, Rq C prt0 , T s E, Rq L C p0,1q prt0 , T s E, Rq , C prt0 , T s E, Rq Ñ C prt0 , T s E, Rq be a function with the following property. If pt, xq is any point in rt0 , T s E, then for all functions ϕ and ψ belonging to C prt0 , T s E, Rq, for which the Definition 6.1. Fix t0

4 functions

ps, yq ÞÑ ϕ ps, yq , ps, yq ÞÑ Lpsqϕ ps, q pyq, (6.25) ps, yq ÞÑ ψ ps, yq , and ps, yq ÞÑ Lpsqψ ps, q pyq (6.26) belong to Cb prt0 , T s E, Rq, for which the operators g ÞÑ ∇L ϕ pg q and g ÞÑ ∇L p g q are T -continuous mappings from D p Γ q to C pr t , T s E q, and β 1 b 0 ψ 9

9

which are such that in case ϕ9 pt, xq ψ9 pt, xq, Γ1 pϕψ, ϕψ qpt, xq 0, Lptqϕpt, xq ¤ Lptqψ pt, xq, and

ϕpt, xq

ψpt, xq

(6.27)

it follows that L F ϕ, 9 Lϕ, ϕ, ∇ϕ

pt, xq ¤ F

9 Lψ, ψ, ∇L ψ, ψ

pt, xq.

Here we wrote Bϕ , Lϕpt, xq rLptqϕpt, qs pxq, and ∇L g pt, xq Γ pϕ, gq pt, xq . ϕ9 1 ϕ Bt Of course, similarly notions are in vogue for the function ψ. It is noticed that Γ1 pϕ ψ, ϕ ψ q pt, xq 0 if and only if the equality L ∇L ϕ f pt, xq ∇ψ f pt, xq holds for all f

P C p0,1q pr0, T s E, Rq.

(6.28)

The proof of this assertion uses the inequality

|Γ1 pϕ ψ, f q pt, xq|2 ¤ Γ1 pϕ ψ, ϕ ψq pt, xqΓ1 pf, f q pt, xq

(6.29)

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together with the identity ∇L ϕψ pf q pt, xq Γ1 pϕ ψ, f q pt, xq. If f ϕ ψ we have equality in (6.29). An example of such a function F is: F pϕ1 , ϕ2 , ϕ3 , χq pt, xq ϕ1 pt, xq

ϕ2 pt, xq

where χ pt, xq is the linear functional g solution for the equation L 9 Lw, w, ∇w F w,

ÞÑ

pt, xq 0,

f pt, x, ϕ3 pt, xq , χ pt, xqq , (6.30) χpg q pt, xq. A viscosity sub-

wpT, xq g pxq

(6.31)

is a continuous function w with the following properties. First of all wpT, xq ¤ g pxq, and if ϕ : rt0 , T s E Ñ R is any “smooth function” (i.e. all three functions ϕ, 9 Lϕ, ϕ are continuous and the linear mapping ψ ÞÑ ∇L ϕ ψ Γ1 pψ, ϕq is continuous as well) Γ1 pϕ, ϕq, Lpsqϕ belong to C prt0 , T s E, Rq), and if pt, xq is any point in rt0 , T q E where the function w ϕ vanishes and attains a (local) maximum, then L F ϕ, 9 Lϕ, w, ∇ϕ

pt, xq ¥ 0.

(6.32)

pt, xq ¤ 0.

(6.33)

The function w is a super-solution for equation (6.31) if wpT, xq ¥ g pxq, and if for any “smooth” function ϕ with the property that the function w ϕ vanishes and attains a (local) minimum at any point pt, xq P rt0 , T q E, then L 9 Lϕ, w, ∇ϕ F ϕ,

If a function w satisfies (6.32) as well as (6.33) then w is called a viscosity solution to equation (6.31). The definition of the space D pΓ1 q was given in 5.3. The following result says essentially speaking that solutions to BSDE’s in (6.35) and viscosity solutions to equation (5.84), which is the same as (6.36) below, are intimately related in the sense that upt, xq Et,x rY ptqs, and conversely Y ptq u pt, X ptqq. As in Section 5.1 the family of operators Lpsq, 0 ¤ s ¤ T , generates a Markov process:

tpΩ, FTτ , Pτ,xq , pX ptq : T ¥ t ¥ 0q , p_t , T ¥ t ¥ 0q , pE, E qu . (6.34)

Y pt q upt, X ptqq Theorem 6.3. Let the ordered pair be a solution M ptq M ptq to the BSDE:

Y psq Y pT q

»T s

f pρ, X pρq, Y pρq, ZM pρqq dρ

M psq M pT q.

(6.35)

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Then the function upt, xq defined by upt, xq Et,x rY ptqs is a viscosity solution to the following equation $ & B u ps, xq Lpsqu ps, xq f s, x, ups, xq, ∇L ps, xq 0; u Bs (6.36) % upT, xq ϕ pT, xq , x P E, provided that the function upt, xq is continuous.

Notice that the equation in (6.36) is the same as the one in (5.84): see Remark 6.1. Proof. Let the function ϕps, y q be “smooth” and suppose that pt, xq is point in r0, T q E where the function u ϕ vanishes and attains a local maximum. This means that there exists a subset of the form rt, t εs U , where U is an open neighborhood of x such that sup

ps,yqPrt,t εsU

pups, yq ϕps, yqq upt, xq ϕpt, xq 0.

We have to show that

B ϕ pt, xq Bt

Lptqϕ pt, q pxq

f t, x, u pt, xq , ∇L ϕ pt, xq

where in (6.32) we have chosen

(6.37)

f t, x, upt, xq, ∇L ϕ pt, xq . (6.38) Assume to arrive at a contradiction that the expression in (6.37) is strictly less than zero: L F ϕ, 9 Lϕ, u, ∇ϕ

pt, xq ϕpt, xq

¥ 0,

Lptqϕpt, qpxq

9

B Bt ϕ pt, xq

Lptqϕ pt, q pxq

f t, x, u pt, xq , ∇L ϕ pt, xq

B ϕ ps, yq Bs

Lpsqϕ ps, q py q

f s, y, u ps, y q , ∇L ϕ ps, y q

0.

(6.39)

Upon shrinking ε ¡ 0 and the open subset U we may and do assume that for all ps, y q P rt, t εs U the inequality

0 (6.40) holds. Define the stopping τ by τ inf ts ¥ t : X psq R U u ^ pt εq. From (5.84) we have: upt, X ptqq u pτ, X pτ qq

»τ t

f pρ, X pρq, u pρ, X pρqq , ZM pρqq dρ

M ptq M pτ q.

(6.41)

Let Mϕ psq be the martingale associated to the function ϕ as in Proposition 5.3. Then ϕ pt, X ptqq ϕ pτ, X pτ qq

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»τ t

B Bs ϕ ps, X psqq

395

Lpsqϕ ps, q pX psqq ds

M ϕ pt q M ϕ p τ q .

From the definition of the stopping time τ it follows that u pτ, X pτ qq ϕ pτ, X pτ qq. An application of Theorem 6.2 with V psq ϕ9 ps, X psqq

with Y psq u ps, X psqq and Y 1 psq

ϕ pt, X ptqq Pt,x -almost surely. Since

¤

Lpsqϕps, qpX psqq,

ϕ ps, X psqq then shows u pt, X ptqq

upt, xq Et,x ru pt, X ptqqs and also ϕpt, xq Et,x rϕ pt, X ptqqs

this leads to a contradiction. This means that our assumption (6.39) is false, and hence the function upt, xq is a viscosity sub-solution to equation (5.84) which is the same as (6.36). In the same manner one shows that upt, xq is also a viscosity super-solution to (5.84). Altogether this completes the proof of Theorem 6.3. The following proposition says that solutions to the equation (5.84), which is the same as (6.36), are automatically continuous provided that the underlying Markov process is strong Feller: see the equalities in (6.42) below. For the notion of the strong Feller property see e.g. Definitions 2.5 and 2.16. Proposition 6.2. Let the pair pY, M q be a solution to equation (6.35) in Theorem 6.3. Suppose that the pair pY, M q belongs to the space 2 Sloc,unif pΩ, FTτ , Pτ,x; Rq M2loc,unif pΩ, FTτ , Pτ,x; Rq

(see Definitions 5.4 and 5.5). In addition, suppose that the Markov process in (6.34) is strong Feller. Then the function pt, xq ÞÑ upt, xq : Et,x rY ptqs is continuous on r0, T s E. This is a consequence of the strong Feller property and the following equalities: upt, xq Et,x rupT, X pT qqs

Et,x rupT, X pT qqs

»T t »T t

Et,x rf ps, X psq, Y psq, ZM psqqsds

(6.42)

Et,x Es,X psq rf ps, X psq, Y psq, ZM psqqs ds.

Definition 6.2. Let tY ptq : t P rτ, T su be a process in L1 pΩ, F , Pτ,x q which is adapted relative to a filtration pFtτ qτ ¤t¤T . Then the process tY ptq : t P rτ, T su is said to be of class (DL) if the collection

tY pS q : τ ¤ S ¤ T,

is uniformly integrable.

S stopping timeu

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Notice that an increasing process in L1 pΩ, F , Pq is automatically of class (DL), and that the same is true for a martingale. In addition, notice that that in our case the process Y ptq, 0 ¤ t ¤ T , which satisfies Y ptq Y pT q

»T t


M ptq M pT q,

(6.43)

where the pair pY, M q belongs to S 2 M2 pΩ, FTτ , Pτ,x q is automatically of class (DL) in the space L1 pΩ, FTτ , Pτ,x q. The reason being that a martingale is automatically of class (DL), and the same is true for a process of the form ³t t ÞÑ τ f ps, X psq, Y psq, ZM psqq ds, τ ¤ t ¤ T . In the proof we will employ a technique which is also used in the proof of the Doob-Meyer decomposition theorem. It states that a local rightcontinuous sub-martingale Yr ptq of class (DL) can be written in the form Yr ptq M ptq

Aptq

where t ÞÑ M ptq is a right-continuous local martingale, and t ÞÑ Aptq is a predictable increasing process. For details see e.g. [Protter (2005)] theorems 12 and 13 in Chapter 3. For another account see [Karatzas and Shreve (1991b)] Theorem 4.10. Another proof can be found in [Rao (1969)]. In [van Neerven (2004)] Van Neerven gives a detailed account of the corresponding result in [Karatzas and Shreve (1991b)]. In addition, in the proof of the Doob-Meyer decomposition theorem Van Neerven uses the following version of the Dunford-Pettis theorem. Theorem 6.4 (Dunford-Pettis). If pYn qnPN is uniformly integrable sequence of random variables, then there exists an integrable random variable Y and a subsequence pYnk qkPN such that weak-limkÑ8 Ynk Y , i.e., for all bounded random variables ξ the following equality holds: lim E rξYnk s E rξY s .

k

Ñ8

For a proof of this version of the Dunford-Pettis theorem the reader is referred to [Kallenberg (2002)]. From general arguments in integration theory and functional analysis, it then follows that the variable Y can be written as the P-almost sure limit of appropriately chosen convex combinations of the sequence tYnk : k ¥ ℓu, and this for all ℓ P N. In other words there Nℓ ¸

αℓ,k Yn , ℓ P N, in L1 pΩ, F , Pq with αℓ,k ¥ 0, and kℓ ° for which N α 1, L1 - lim Yrℓ Y , and lim Yrℓ Y P-almost surely. kℓ ℓ,k ℓÑ8 ℓÑ8 exists a sequence Yrℓ ℓ

k

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Proof. Proof of Proposition 6.2 By the strong Feller property it suffices to show that the process ρ ÞÑ f pρ, X pρq, u pρ, X pρqq , ZM pρqq only depends on the pair pρ, X pρqq. In other words we have to show that the functional ZM pρq only depends on pρ, X pρqq. We will verify this claim. Therefore we introduce the processes

P

2j t 2j

Yj ptq Et,X ptq Y ¸

Aj ptq

T

^T

and

Ek2j ,X pk2j q Y

¤

1

k 2j

0 k 2j t

^T Y

k 2j

^T

, (6.44)

j P N, t P r0, T s. Fix 0 ¤ t1 t2 ¤ T . From (6.44) we see that the increment Aj pt2 q Aj pt1 q is measurable relative to the σ-field generated by X k2j , t1 ¤ k2j t2 , k P N. Next, let pτ, xq P r0, T q E. Since Y psq u ps, X psqq, 0 ¤ s ¤ T , we are eligible to apply the Markov property to infer that Pτ,x -almost surely

Yj ptq Eτ,x Y

P

2j t 2j

T

^T

2j τ

¤k 2j t

τ F

and

t

¸

Aj ptq Aj pτ q

Eτ,x Y

1

k 2j

^T Y

k 2j

^T

τ F j . k2

(6.45)

Next we show that the process t ÞÑ Yj ptqAj ptq Aj pτ q is a Pτ,x -martingale. Let 0 ¤ t1 t2 ¤ T , and notice that the variables Yj pt1 q and Aj pt1 qAj pτ q are Ftτ1 -measurable. We employ (6.44) and (6.45) to obtain

Eτ,x Yj pt2 q Aj pt2 q

Eτ,x Eτ,x

Aj pτ q Ftτ1

Yj pt1q A j pt1 q Aj pτ q Yj pt2 q Yj pt1 q Aj pt2 q Aj pt1 q Ftτ

P

2 t2 2j

Eτ,x Y

T

^T

¸

j

Eτ,x Y

¤

τ F

t2

1

k 2j

2j t1 k 2j t2

Eτ,x

^T Y

(tower property of conditional expectations)

Eτ,x

P

Y

2 j t2 2j

T

¸

¤

2j t1 k 2j t2

^T Y

Y

1

k 2j

P

2 j t1 2j

T

^T

^T Y

1

P

Y

k 2j

2 j t1 2j

^T

T

^T

τ F j k2

k 2j

^T

τ F

t1

τ F

t1

τ F

t1

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Eτ,x

τ 0F t1

0.

(6.46)

From (6.46) it follows that for every pair pτ, xq P r0, T q E the processes t ÞÑ Yj ptq Aj ptq Aj pτ q, j P N, are Pτ,x -martingales relative to the filtration pFtτ qtPrτ,T s . Put Mj ptq Yj ptq Aj ptq. Then the process t ÞÑ Mj ptq Mj pτ q, t P rτ, T s, is a Pτ,x -martingale, and Yj ptq Yj pτ q

Aj ptq Aj pτ q Mj ptq Mj pτ q. (6.47) In (6.47) we let j tend to 8, and if necessary, we pass to a subsequence, to obtain Y ptq Y pτ q

»t τ


M ptq M pτ q,

(6.48)

where in L1 pΩ, Ftτ , Pτ,x q and Pτ,x -almost surely the following equalities hold »t τ

f ps, X psq, Y psq, ZM psqq ds lim

N n ¸

M ptq M pτ q lim

Nn ¸

Ñ8 kn αn,k pAjk ptq Ajk pτ qq , and

n

Ñ8 kn αn,k pMjk ptq Mjk pτ qq , (6.49)

n

°N

for certain real numbers αn,k ¥ 0 which satisfy knn αn,k 1. For all this see the comments following Theorem 6.4. It follows that Pτ,x -almost surely, the variables » t2 t1

f ps, X psq, Y psq, ZM psqq ds,

τ

¤ t1 t2 ¤ T,

(6.50)

are Ftt21 -measurable. Consequently, for almost every s P rτ, T s, the variable f ps, X psq, Y psq, ZM psqq is almost surely Pτ,x -measurable relative to σ ps, X psqq. Since the paths of the process X are continuous from the right it follows that for almost all s P r0, T s the variable f ps, X psq, Y psq, ZM psqq is Fst -measurable for all 0 ¤ t s. If 0¤ t s ¤ T by the strong Markov property relative to the filtration Fst sPrt,T s (see Theorem 2.9) we then have

Et,x Es,X psq rf ps, X psq, Y psq, ZM psqqs

Et,x Et,x f ps, X psq, Y psq, ZM psqq Fst Et,x rf ps, X psq, Y psq, ZM psqqs ,

and Es,X psq rf ps, X psq, Y psq, ZM psqqs

(6.51)

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Et,x f ps, X psq, Y psq, ZM psqq Fst Et,x f ps, X psq, Y psq, ZM psqq Fst f ps, X psq, Y psq, ZM psqq , Pt,x-almost surely.

(6.52)

From (6.35) and (6.52) we infer Y ptq Y pT q

»T t

Es,X psq rf ps, X psq, Y psq, ZM psqqs ds

M ptq M pT q,

(6.53)

and hence by (6.51) from (6.53) we get upt, xq Et,x rY ptqs Et,x ru pT, X pT qqs »T t

Et,x Es,X psq rf ps, X psq, Y psq, ZM psqqs ds.

(6.54)

As a consequence, the strong Feller property implies that the function

pt, xq ÞÑ Et,x Es,X psq rf ps, X psq, Y psq, ZM psqqs , (6.55) 0 ¤ t ¤ s ¤ T , x P E, is continuous. As a consequence, from (6.54) and (6.55) we infer that the function pt, xq ÞÑ upt, xq is continuous. This conclusion completes the proof of Proposition 6.2. 6.3

Backward stochastic differential equations in finance

In [Crandall et al. (1984)] the authors M.G. Crandall, L.C. Evans, and P.L. Lions study properties of viscosity solutions of Hamilton-Jacobi equations. In [Pardoux (1998b)] E. Pardoux uses viscosity solutions in the study of backward stochastic differential equations and semi-linear parabolic equations. In [El Karoui et al. (1997)] and in [El Karoui and Quenez (1997)] the authors employ backward stochastic equations to study American option pricing. We like to give an introduction to this kind of stochastic differential equations and the corresponding parabolic partial differential equations. As a rule the operator L generates a d-dimensional diffusion. For instance, if L 12 ∆, then the corresponding diffusion is Brownian motion. To some extent a solution to a BSDE corresponding to a semilinear parabolic partial differential equation generalizes the (classical) FeynmanKac formula. We also mention that Nelson [Nelson (1967)] was perhaps the first to consider backward stochastic differential equations. In the linear case Bismut [Bismut (1973, 1978)] also considered backward stochastic differential equations. Most of the material presented in this section is

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taken from [El Karoui and Quenez (1997)] and [El Karoui et al. (1997)]. See the papers in [El Karoui and Mazliak (1997)] as well. First we describe a model of assets and hedging strategies. There is a non-risky asset (the money market or bond) S 0 ptq, and there are n risky assets S j ptq, 1 ¤ j ¤ n. The process S 0 ptq satisfies the differential equation dS 0 ptq S 0 ptqrptqdt, where rptq is the short time interest rate.

The other assets satisfy a linear stochastic differential equation (SDE) of the form

dS ptq S ptq b ptqdt j

j

j

n ¸

σjk ptqdW

k

ptq

,

k 1

which is driven by a standard Wiener process W ptq W 1 ptq, . . . , W n ptq , defined on a filtered space Ω, pFt q0¤t¤T , P . It is assumed that pFt q0¤t¤T is generated by the Wiener process. Generally speaking the coefficients rptq, bj ptq, σjk ptq are supposed to be bounded predictable processes with values n n in R. We also write σj ptq pσjk ptqqk1 . The matrix rσjk ptqsj,k1 is called the volatility matrix. To ensure the absence of arbitrage opportunities in the market, it is assumed that there exists an n-dimensional bounded predictable vector process ϑptq such that bptq rptq1 σ ptqϑptq,

dt b P-almost surely.

The vector 1 is the column vector, which is constant 1, and ϑptq is called the risk premium vector. It is assumed that σ ptq has full rank. Consider a small investor, whose actions do not affect the market prices, and who can decide at time t P r0, T s what amount of the wealth V ptq to invest in the j-th stock, 1 ¤ j ¤ n. Of course his decisions are only based on the current information °n Ft ; i.e. π ptq π 1 ptq, . . . , π n ptq , and π 0 ptq V ptq j 1 π j ptq are predictable processes. The process π ptq is called the portfolio process. The existence of such a risk process ϑptq guarantees that the model is arbitrage free. Let us make this precise by beginning with some definitions. Definition 6.3. (a) A progressively measurable Rn -valued process π with the property »t 0

|π ptqσptq|2 dt

pπ1 ptq, . . . , πn ptqq : 0 ¤ t ¤ T »T 0

|π ptq pbptq rptq1q| dt 8,

is called a portfolio process.

(

P-almost surely

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(b) Put γ ptq exp

process M π ptq by M

π

ptq

»t 0

401

³t

rpτ qdτ , and define for a given portfolio π ptq the 0

γ psqπ psq rσ psqdW psq

pbpsq rpsq1q dss ,

0 ¤ t ¤ T.

The process M π ptq is called the discounted gains process. A portfolio π ptq is called tame if there exists a real constant q π such that P-almost surely M π ptq ¥ q π , 0 ¤ t ¤ T . (c) A tame portfolio π ptq that satisfies P rM π pT q ¥ 0s 1,

and P rM π pT q ¡ 0s ¡ 0,

is called an arbitrage opportunity (or “free lunch”). A market M is called arbitrage free if no such portfolios exist in it. The following theorem shows the relevance of the existence of a risk process ϑptq. Theorem 6.5. (i) If the market M is arbitrage-free, then there exists a progressively measurable process ϑ : r0, T s Ω Ñ Rn , called the market price or price of risk (or price of relative risk) process, such that bptq rptq1 σ ptqϑptq,

0 ¤ t ¤ T, P-almost surely.

(ii) Conversely, if such a price of risk process exists and satisfies, in addition to the above requirements, »T 0

|ϑptq|2 dt 8,

E exp

»T 0

P-almost surely,

1 ϑ ptqdW ptq

»T

2

0

and

|ϑptq|

(6.56)

2

dt

1,

(6.57)

then M is arbitrage free. From Novikov’s condition (see Proposition 3.5.12 in [Karatzas and Shreve (1991a)]), it follows that conditions (6.56) and (6.57) are satisfied if

E exp

» T

1 2

0

|ϑptq|

2

dt

8;

in particular this is the case if |ϑptq| is uniformly bounded in pt, ω q P For Novikov’s condition see Theorem 1.6 and its Corollary 1.3 in Chapter 1. It is noticed that under the condition (6.57) the process

r0, T s Ω.

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³t

W ptq 0 ϑ psq1ds is a Brownian motion with respect to the martingale measure Q which has Radon-Nikodym derivative dQ : exp dP

»T 0

ϑ ptqdW ptq

1 2

»T 0

|ϑptq|2 dt

.

For more details the reader is referred to [Karatzas (1997)], and to [Karatzas and Shreve (1998)]. Another valuable source of information is Kleinert [Kleinert (2003)], Chapter 20. Following Harrison and Pliska [Harrison and Pliska (1981)] a strategy pV ptq, π ptqq is called self-financing if the wealth °n process V ptq j 0 π j ptq obeys the equality V ptq V p0q

»t ¸ n

0 j 1

π j ps q

dS j psq , S j psq

or, equivalently, if it satisfies the linear stochastic differential equation π ptq pbptq rptq1q dt

dV ptq rptqV ptqdt

π ptqσ ptq rdW ptq

rptqV ptqdt

π ptqσ ptqdW ptq

ϑptqdts .

(6.58)

Often the left side of (6.58) contains a term dK ptq, where the process K ptq is, adapted, increasing and right-continuous, with K p0q 0, K pT q 8, Palmost surely. The process is called the cumulative consumption process. A pair pV ptq, π ptqq satisfying (6.58) is called a self-financing trading strategy. There exists a one to one correspondence between the pairs px, π ptqq and pairs pV ptq, π ptqq with V p0q x and which satisfy (6.58). Definition 6.4. A hedging strategy against a contingent claim ξ self-financing strategy pV ptq, π ptqq such that V pT q ξ with »

T

E 0

|σ ptqπptq|

2

dt

P L2 is a

8.

Theorem 6.6. An attainable square integrable contingent claim ξ is replicated by a unique hedging strategy pV ptq, π ptqq; i.e. there exists a unique solution pV ptq, π ptqq to equation (6.58) such that V pT q ξ. The following theorem elaborates on this statement. Theorem 6.7. Any square integrable contingent claim is attainable; i.e. the market is complete. In other words, for every square integrable ³ random variable ξ there exists a unique pair pX ptq, π ptqq such that T E 0 |σ ptqπ ptq|2 dt 8, and such that dX ptq rptqX ptqdt

π ptqσ ptq pϑptq dt

dW ptqq ,

X pT q ξ.

(6.59)

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The process X ptq represents the price the claim at time t, given by the of closed formula X ptq E H t pT qξ Ft , where H t psq, t ¤ s ¤ T , is the deflator process, starting at time t such that dH t psq H t psq rrpsqds

ϑ psqdW psqs ;

H t ptq 1.

(6.60)

Remark 6.2. Suppose that the process t ÞÑ X ptq satisfies equation (6.59). ( By Itˆ o’s calculus it follows that the process H 0 ptqX ptq : 0 ¤ t ¤ T is a stochastic integral such that

d H 0 pqX pq

ptq H 0 ptq tπ ptq X ptqϑ ptqu dW ptq.

Classical results about solutions to the linear SDE (6.60) with bounded coefficients yield the (uniform) boundedness of the martingale H 0 ptq in L2 ; moreover the process H 0 ptqX ptq : 0 ¤ t ¤ T is uniformly integrable. It follows that

"» s

»s

»

1 s |ϑpτ q|2 dτ 2 t t t leads to a more classical formulation of the contingent claim: H t psq exp

X ptq

E

EQ

exp

where exp

#» T t

exp

»T t

»T t

rpτ qdτ

»T

rpτ qdτ rpτ qdτ

rpτ qdτ

or, equivalently, X ptq E H t pT qξ Ft .

The closed form of the deflator process,

H 0 ptqX ptq E H 0 pT qξ Ft ,

t

ϑ pτ qdW pτ q

ϑ pτ qdW pτ q

ξ Ft ,

1 2

»T t

+

|ϑpτ q|

2

dτ

*

,

ξ Ft

(6.61)

is the discounted factor over the time interval

r0, T s and the measure Q is the risk-adjusted probability measure defined by the Radon-Nikodym derivative with respect to P: dQ dP

exp

#» T 0

ϑ pτ qdW pτ q

1 2

»T 0

|ϑpτ q|

2

+

dτ

.

Proof. [Proof of Theorem 6.7.] First we prove uniqueness. Let the pair pX ptq, πptqq, where X ptq is adapted and πptq is predictable, satisfy equation (6.59). Let the process H 0 ptq satisfy the differential equation as exhibited in (6.60). Then

d H 0 pqX pq

ptq H 0 ptq tπ ptq X ptqϑ ptqu dW ptq.

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As explained in the previousRemark 6.2, it follows that »T

X ptq EQ exp

rpτ qdτ ξ Ft . t This shows that that the process X ptq is uniquely determined. But once X ptq is uniquely determined, then the same is true for the process π ptq. ³t ϑ Corollary 1.7 in Chapter 10 implies that the process W ptq p s q ds is 0 Brownian motion with respect to the measure Q. Moreover, the process ³t ³t X ptq 0 r pτ q X pτ qdτ 0 π psqσ psq pdW psq ϑpsqdsq, where the process ³t ϑpsqds is a Brownian motion with respect to the measure t ÞÑ W ptq 0 Q. Let pX1 ptq, π1 ptqq and pX2 ptq, π2 ptqq be two solutions to the equation in (6.59). Then »T

X1 pT q X1 ptq

ξ EQ

»T t

ξ ξ

t

exp

rpτ qX1 pτ qdτ

»T t

rpτ qEQ exp

»T t »T t

rpτ qdτ

»T τ

X2 pT q X2 ptq

»T t

rpτ qX2 pτ qdτ

ξ Ft

rpsqds

ξ Ft dτ

π1 psqσ psq pdW psq

ϑpsqdsq

π2 psqσ psq pdW psq

ϑpsqdsq .

Hence,

»T

pπ1 psqσpsq π2 psqq pdW psq ϑpsqdsq 0, 0 ¤ t ¤ T. (6.62) ³ T 2 Thus EQ t |π1 pτ q π2 pτ q| dτ 0, and consequently the equality π1 ptq π2 ptq holds λ Q-almost surely. Here we wrote λ for the Lebesgue t

measure on R. Since the Q-negligible sets coincide with P-negligible sets, we get π1 ptq π2 ptq for λ P-almost all pt, ω q P r0, T s Ω. Next we prove the existence. Define the process Y ptq, 0 ¤ t ¤ T , by

Y ptq EQ exp

»T 0

r pτ q dτ

ξ Ft .

The process t ÞÑ Y ptq is a PQ -martingale, and since the processes t ÞÑ ³t W ptq ϑpsqds is a PQ -Brownian motion, there exists by a martingale 0 representation theorem a predictable process π rptq such that Y pT q Y ptq

»T t

π r psq pdW psq

ϑpsqdsq .

(6.63)

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From (6.63) we easily infer that

r ptq pdW ptq dY ptq π

Next, put π ptq exp

» t 0

rpτ qdτ

π r ptqσ ptq1

Then we have X pT q ξ, and dY ptq exp

»t 0

rpτ qdτ

and hence

» t

dX ptq rptqX ptqdt

rptqX ptqdt » t

exp 0

rptqX ptqdt

rpτ qdτ

exp 0

exp

and X ptq exp

π ptqσ ptq pdW ptq

rpτ qdτ

»t 0

rpτ qdτ


ϑptqdtq . » t 0

rpτ qdτ

Y ptq.

ϑptqdtq ,

dY ptq


ϑptqdtq .

This proves the existence of a solution to equation (6.59). Altogether this completes the proof of Theorem 6.7.

ϑptqdtq (6.64)

For more information on the martingale representation theorem in relation to hedging strategies in financial mathematics see e.g. [Shreve (2004)]. For a proof of the martingale representation theorem see e.g. [Protter (2005)]. 6.4

Some related remarks

In this section we will explain the relevance of backward stochastic differential equations (BSDEs). We will also mention that Bismut was the first to discuss BSDEs [Bismut (1978)], and [Bismut (1981b)]. Of course BSDEs were popularized by Pardoux and coworkers; see e.g. [Pardoux and Peng (1990); Pardoux and Zhang (1998); Pardoux (1998a, 1999)]. The first paper in which a solution to a BSDE is linked to a non-linear FeynmanKac formula is [Peng (1991)]. The BSDEs discussed in Chapters 5 and 6 have as input a Markov process which could be a solution to a Stochastic Differential Equation, and therefore these BSDEs could be considered as generalizations of forward-backward stochastic differential equations. In the more classical context such equations are treated in the book by MaYong [Ma and Yong (1999)]. Other relevant work is done by Lejay [Lejay

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(2002, 2004)]. There is also a link with control theory: see e.g. Yong and Zhou [Yong and Zhou (1999)]. For the close connection between BSDEs and hedging strategies in financial mathematics the reader is referred to e.g. [El Karoui et al. (1997)], and [El Karoui and Quenez (1997)]. Another paper related to obstacles, and therefore also to hedging strategies, is the reference [Karoui et al. (1997)]. For some more explanation the reader is also referred to §6 in [Van Casteren (2002)]. An important area of mathematics and its applications where backward problems play a central role is control theory: see e.g. [Soner (1997)]. In the finite-dimensional setting the paper [Crandall et al. (1992a)] is very relevant for understanding the notion of viscosity solutions. Classical results on viscosity solutions can also be found in [Jensen (1989)]. Not necessary continuous viscosity solutions also play a central role in applied fields like dislocation theory, see e.g. [Barles et al. (2008)] and [Barles (1993)]. As remarked in Chapter 5 for a recent paper in which the martingale approach is used to treat forward-backward stochastic differential equations we refer the reader to [Ma et al. (2008)].

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Chapter 7

The Hamilton-Jacobi-Bellman equation and the stochastic Noether theorem In this chapter we prove that the Lagrangian action, which may be phrased in terms of a non-linear Feynman-Kac formula, coincides under rather generous hypotheses with the unique viscosity solution to the Hamilton-JacobiBellman equation: see Theorem 7.1. The method of proof is based on martingale theory and Jensen inequality. A version of the stochastic Noether theorem is proved, as well as its complex companion: see Theorems 7.5 and 7.6 further on this chapter. The proofs of these Noether theorems are cumbersome and require a dextrous calculation. Whereas in the other chapters of the book we use the notation Lpsq, 0 ¤ s ¤ T , or Lpsq, 0 ¤ s ¤ T , to indicate the generator of a diffusion or a Markov process, in the present chapter we will use the family of operators K0 psq, 0 ¤ s ¤ T , to indicate such a family. In physical terms such an operator family K0 psq, 0 ¤ s ¤ T , is in notation closer to a Hamiltonian than the operator family Lpsq, s P r0, T s. 7.1

Introduction

We start this chapter by pointing out that Zambrini and coworkers [Albeverio et al. (2006a,b); Chung and Zambrini (2001); Thieullen and Zambrini (1997a,c,b,d); Zambrini (1998b,a)] have kind of a transition scheme to go from classical stochastic calculus (with non-reversible processes) to physical real time (reversible) quantum mechanics and vice versa. An important tool in this connection is the so-called Noether theorem. In fact, in Zambrini’s words, reference [Zambrini (1998a)] contains the first concrete application of this theorem. In [Zambrini (1998a)] the author formulates a theorem like Theorem 7.1 below, he also uses so-called “Bernstein diffusions” (see e.g. [Cruzeiro and Zambrini (1991)]) for the “Euclidean Born interpreta407

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tion” of quantum mechanics. The Bernstein diffusions are related to so

B B 9 9 lutions of Bt K0 V ηpt, xq 0, and of Bt K0 V η pt, xq 0. In the present paper we prove a version of the stochastic Noether theorem in terms of the carré du champ operator and ideas from stochastic control: see Theorem 7.5, which should be compared with Theorem 2.4 in [Zambrini (1998a)]. The operator K0 generates a diffusion in the following sense: for every C 8 -function Φ : Rν Ñ R, with Φp0, . . . , 0q 0, the following identity is valid: K0 pΦpf1 , . . . , fn qq

(7.1)

B Φ pf , . . . , f q K f 1 B Φ p f , . . . , f q Γ pf , f q 1 n 0 j 1 n 1 j k Bxj 2 j,k1 B xj B xk j 1 n ¸

n ¸

2

for all functions f1 , . . . , fn in a rich enough algebra of functions A, contained in the domain of the generator K0 , as described below. The condition Φ p0, . . . , 0q 0 will be omitted in case the function 1 belongs to the domain of the operator K0 . Throughout this chapter we will assume that the operator K0 K0 ptq, t P r0, T s, is a space-time operator. Compare all this with Definition 5.1 and the comments following it. 7.1.0.1

Hypotheses on the generator and the algebra A

We will assume that the constant functions belong to D pK0 q, and that K0 1 0. The algebra A has to be “large” enough. To be specific, we assume that the operator K0 is a space-time operator with domain in Cb pr0, T s E q, and that A is a core for the operator K0 , which means that the Tβ -closure of its graph tpϕ, K0 ϕq : ϕ P Au is again the graph of Tβ -closed operator, which we keep denoting by K0 . In addition, it is assumed that A is stable under composition with C 8 -functions of several variables, that vanish at the origin. Moreover, in order to obtain some nice results a rather technical condition is required: whenever pfn : n P Nq is a sequence in A that converges to f with respect to the Tβ -topology in Cb pr0, T s E q Cb pr0, T s E q and whenever Φ : R Ñ R is a C 8 function with bounded derivatives of all orders (including the order 0), then one may extract a subsequence pΦ pfnk q : k P Nq that converges to Φpf q in Cb pr0, T s E q, whereas the sequence pK0 Φ pfnk q : k P Nq converges in Cb pr0, T s E q. In fact it would be no restriction to assume that Φp0q 0, because we assume that the constant functions belong D pK0 q and K0 1 0. So we can always replace Φ by Φ Φp0q. Notice that all functions of the

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409

form eψ f , ψ, f P A, belong to A. Also notice that the required properties of A depend on the generator K0 . In fact we will assume that the algebra A is also large enough for all operators of the form f ÞÑ eψ K0 eψ f , where ψ belongs to A. In addition, we assume that 1 P D pK0 q, and that K0 1 0. The operator K0 is supposed to be Tβ -closed when viewed as an operator acting on functions in Cb pr0, T s E q. Remark 7.1. Let ds be the Lebesgue measure on r0, T s. If there exists a reference measure m on the Borel field E of E, and if we want to work in the Lp -spaces Lp pr0, T s E, ds mq, 1 ¤ p 8, then it is assumed that K0 has dense domain in Lp pr0, T s E, ds mq, for each 1 ¤ p 8. In addition, it is assumed that A is a subalgebra of D pK0q which possesses the following properties (cf. [Bakry (1994)]). Its is dense in Lp pr0, T s E, ds mq for all 1 ¤ p 8 and it is a core for K0 , provided K0 is considered as a densely defined operator in such a space. The latter means that the algebra A consists of functions in D pK0 q viewed as an operator in Lp pr0, T s E, ds mq.

The same is true for the space Cb pr0, T s E q Cb pr0, T s E, Cq, but then relative to the strict topology. In addition, it is assumed that A is stable under composition with C 8 -functions of several variables, that do not necessarily vanish at the origin. Moreover, as indicated above in order to obtain some nice results a more technical condition is required. Whenever pfn : n P Nq is a sequence in A that converges to f with respect to the graph norm of K0 (in L2 pr0, T s E, ds mq) and whenever Φ : R Ñ R is a C 8 function, vanishing at 0, with bounded derivatives of all orders (including the order 0), then there exists a subsequence pΦ pfnk q : k P Nq that converges to Φpf q in Cb pr0, T s E q, whereas the sequence pK0 Φ pfnk q : k P Nq converges in Cb pr0, T s E q and also in L1 pE, mq to K0 Φpf q. 7.1.0.2

Some additional comments

From (7.1) we see that

e K0 eψ f K0ψ ψ

K0 pϕψ q pK0 ϕq ψ

1 Γ1 pψ, ψ q f 2

K0 f Γ1 pψ, f q , ϕ pK0 ψ q Γ1 pϕ, ψ q

and (7.2) (7.3)

for ϕ, ψ P A, and f P D pK0 q. For the notion of the squared gradient operator (carré du champ opérateur) see equality (7.7). The operator K0 acts on the space and time variable, and the squared gradient operator Γ1 only acts on the space variable; its action depends on the time-coordinate. The

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B

symbol D1 stands for the operator D1 . Fix T ¡ t0 ¥ 0. In the reBt mainder of the present chapter we work in a continuous function spaces like Cb ppt0 , T s E q and sometimes in C ppt0 , T s E q. If we write D pD1 K0 q for the domain of the operator D1 K0 , then the corresponding space should be specified. In fact the space Cb ppt0 , T s E q is endowed with the strict topology Tβ , and also with that of uniform convergence. The operator D1 K0 is considered as the generator of the semigroup tS pρq : ρ ¥ 0u defined by S pρqf pτ, xq P pτ, pρ

sq ^ T q f ppρ

sq ^ T, q pxq

Eτ,x rf ppρ sq ^ T, X ppρ sq ^ T qqs . (7.4) Here tP ps, tq : 0 ¤ s ¤ t ¤ T u is the Feller propagator generated by the operator K0 : see Definition 2.8 and also Definition 2.7. The formula in (7.4) is the same as (3.90) in Chapter 3. Then it follows that for t ρ ¤ T we have S pρqP pτ

ρqf pτ, xq (7.5) where f P Cb pE q. Notice that in (7.5) the operator S pρq acts on the function ps, yq ÞÑ P pτ ρ, t ρq f ps, qpyq and that S pt ρq acts on the function ps, yq ÞÑ f pyq. The process ρ, t

ρq f pτ, xq P pτ, t

ρ q f pt

ρ, q pxq S pt

tpΩ, FTτ , Pτ,xq , pX ptq : T ¥ t ¥ 0q , p_t : T ¥ t ¥ 0q , pE, E qu (7.6) is the strong Markov process generated by K0 ; it is supposed to have continuous paths. In the space C pE q the operator K0 is considered as a local operator in the sense that a function f P C pE q belongs to its domain if there exists a function g P C ppτ, T q E q such that for every open subset U of E together with every compact subset K of U we have lim

sup

Ó p qPr0,T hsK

h 0 τ,x

g τ, x

p

q f pτ, xqEτ,xrf pτ h, hX pτ hqq : τU

¡ τ hs

0.

Here τU is the first exit time from U : τU inf tt ¡ 0 : X ptq P E zU u. We write g K0 f . From Proposition 1.6 in [Demuth and van Casteren (2000)] page 9 it follows that the constant function 1 belongs to the domain of K0 and that K0 1 0, provided K0 is time-independent. Remark 7.2. In a more classical context in e.g. Lp -spaces the operator K0 can often be considered as a differential operator in “distributional”

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sense. In a physical context the operators K0 psq, s P r0, T s, are considered as self-adjoint operators in L2 pE, mq. It is noticed that there exists a close relationship between the viscous Burgers’ equation (in an open subset of Rd )

BBUt

U ∇U

12 ∆U ∇V,

and the Hamilton-Jacobi-Bellman equation. If we write the vector field U in the form U ∇ϕ, then the function ϕ satisfies

BBϕt

7.2

1 1 ∇ϕ ∇ϕ ∆ϕ V 2 2

constant.

The Hamilton-Jacobi-Bellman equation and its solution

In this section we will mainly be concerned with the Hamilton-JacobiBellman equation as exhibited in equation (7.12) below. We have the following result for generators of diffusions: it refines Theorem 2.4 in [Zambrini (1998a)]. Its proof is contained in the proof of Theorem 7.3. We begin by inserting a definition. Definition 7.1. Fix a function v : pt0 , T s E

Ñ R in D pD1 K0q, where, B as above, D1 Bt is differentiation with respect to t. Let the process ( pΩ, F , Pt,xq , ppqv ptq, tq : t ¥ 0q , p_t : t ¥ 0q , R E, BR b E be the Markov process generated by the operator Kv D1 , where Kv is defined by Kv pf qpt, xq K0 f pt, xq Γ1 pv, f q pt, xq. Here, BR denotes the Borel field of R , and by Γ1 pv, f qpt, xq we mean Γ1 pv, f qpt, xq (7.7) 1 lim Et,x rpv ps, X psqq v pt, X ptqqq pf pX psq, sq f pt, X ptqqqs . sÓt s t It is also believed that the following version of the Cameron-Martin formula is true. For all finite n-tuples t1 , . . . , tn in p0, 8q the identity (7.9) is valid:

M Et,xv,t

n ¹

j 1

Et,x

fj ptj

1 exp 2

t, X ptj »T t

tqq


(7.8)

Mv,t pT q

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n ¹

fj ptj

t, X ptj

tqq

j 1

Et,x

n ¹

fj ptj

t, qv ptj

tqq

(7.9)

j 1

where the Et,x -martingale Mv,t psq, s ¥ t, is given by »s

Mv,t psq v ps, X psqq v pt, X ptqq

t

BBτ

K0 v pτ, X pτ qq dτ. (7.10)

Its quadratic variation part hMv,t i psq : hMv,t , Mv,t i psq is given by hMv,t i psq

»s t

Γ1 pv, v q pτ, X pτ qq dτ.

(7.11)

The equality in (7.8) serves as a definition of the measure Pt,xv,t pq, and the equality in (7.9) is a statement. M

The formula in (7.11) is explained in (the proof of) Proposition 5.3. Next we formulate a theorem in which we use the notation introduced in Definition 7.1. The next theorem is the same as Theorem 5.8 with K0 psq instead of Lpsq. Theorem 7.1. Let χ : pt0 , T s E

Ñ r0, 8s be a function such that r|log χ pT, X pT qq|s , v P D pD1 K0 q is finite for t0 t ¤ T . Here T ¡ t0 ¥ 0 are fixed times and tpΩ, FTτ , Pτ,xq , pX ptq : T ¥ t ¥ 0q , p_t : T ¥ t ¥ 0q , pE, E qu is the strong Markov process generated by the operator family K0 psq, 0 ¤ s ¤ T . Let SL be a solution to the following Riccati type equation. This equation is called the Hamilton-Jacobi-Bellman equation. For t0 s ¤ T and x P E the following identity is true: $ & B SL Bs ps, xq 12 Γ1 pSL , SL q ps, xq K0 psqSL ps, xq V ps, xq 0; %S pT, xq log χpT, xq, x P E. L M Et,xv,t

(7.12)

Then for any real valued v SL pt, xq¤

»

M Et,xv,t

T

t

P D pD1 K0 q the following inequality is valid:

1 Γ1 pv, v q V 2

pτ, X pτ qqdτ EMt,x rlog χpT, X pT qqs,

and equality is attained for the “Lagrangian action” v

v,t

SL .

(7.13)

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By definition Et,x rY s is the expectation, conditioned at X ptq x, of the random variable Y which is measurable with respect to the information M from the future: i.e. with respect to σ tX psq : s ¥ tu. The measure Pt,xv,t is defined in equality (7.8) below. Put ηχ pt, x q exp pSL pt, xqq, where SL

B K V η pt, xq 0, 0 χ Bt provided that K0 1pt, xq 0 for all pt, xq P r0, T s E. The proof of Theorem satisfies (7.12). From (7.1) it follows that

9

7.1 can be found in [Van Casteren (2001)]; Theorem 7.1 is superseded by the second inequality in assertion (i) of Theorem 7.3. Next, let χ : rt, T s E

Ñ r0, 8s be as in Theorem 7.1. In what follows We also write D1 ϕ φ. What is the relationship

BBt .

9

we write D1 between the following expressions? "

Φpt, xq :

sup

P p q

Φ D D1 K0

log Et,x

exp

# M Et,xv,t

inf

P p q

Φ D D1 K0

P p q

(7.14)

»T

V pσ, X pσ qq dσ χ pT, X pT qq ;

t

»

Φpt, xq :

*

1 Γ1 pΦ, Φq ¤ V, ΦpT, q ¤ log χpT, q ; 2

K0 Φ

T

1 Γ1 pv, v q 2

V

pτ, X pτ qqdτ

(7.15)

+

rlog χ pT, X pT qqs

" Φ D D1 K0

9

t

M Et,xv,t

inf

Φ

Φ 9

;

(7.16) *

1 Γ1 pΦ, Φq ¥ V, ΦpT, q ¥ log χpT, q . 2 (7.17)

K0 Φ

In order that everything works appropriately we need the following definition and lemma. Definition 7.2. The potential V : r0, T s E perturbation condition, provided that » s

lim sup

Ó

s 0

pτ,xqPr0,T ssE

lim sup Ó

sup

s 0

Eτ,x »τ

sup

pτ,xqPr0,T ssE

τ

τ s

τ

Ñ R satisfies the Myadera

V pρ, X pρqq dρ

P pτ, ρq V pρ, q pxqdρ 1.

(7.18)

For more information on Myadera perturbations the reader is referred to e.g. R¨ abiger, et al. [R¨ abiger et al. (1996, 2000)].

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Lemma 7.1. Suppose that α : lim sup

Ó

s 0

s

sup

pτ,xqPr0,T ssE

Then

sup

pτ,xqPr0,T sE Proof.

»τ τ

»

T

Eτ,x exp τ


V pρ, X pρqq dρ

8.

(7.19)

(7.20)

Choose n P N so large that

αn :

» pnτ

sup

pτ,xqPr0,T sE

T

q{pn 1q

τ


(7.21)

By (7.18) such a choice is possible. For τ P r0, T s fixed we choose a subdivision of the interval rτ, T s in such a way that

τ0 τ1 τn τn 1 T, where τj n n 1 1 j τ n j 1 T. Notice that τk 1 τk pT τ q{pn 1q ¤ T {pn 1q. Then by the Markov τ

property we have

» T

Eτ,x exp

Eτ,x

τ n ¹

n 1 ¹

V pρ, X pρqq dρ »

τj

»

n ,X

τj

1

exp

j 0

Eτ

V pρ, X pρqq dρ

1

exp

j 0

Eτ,x

τj

pτn q

τj

V pρ, X pρqq dρ

» τn

1

exp τn

V pρ, X pρqq dρ

(by induction)

¤ We also have

n ¹

» τk

sup Eτk ,y exp

P

k 0y E

» τk

Eτk ,y exp τk

1

V pρ, X pρqq dρ

τk

1

V pρ, X pρqq dρ

»

ℓ 8 1 τk 1 ¸ Eτ ,y 1 V pρ, X pρqq dρ ℓ! k τk ℓ 1

.

(7.22)

October 7, 2010

9:50


MarkovProcesses


»

8 ¸

1

» ¹ ℓ

Eτk ,y

ρℓ τk

τk ρ1

ℓ 1

415

V pρj , X pρj qq dρℓ . . . dρ1

j 1

1

(again Markov property) »

8 ¸

1

» ℓ¹ 1

Eτk ,y

ρℓ1

τk ρ1

ℓ 1

»

Eρℓ1 ,X pρℓ1 q

¤

8 ¸

ℓ 0

τk

ρℓ1

sup

pρ,zqPrτk ,τk 1 sE

(notice the inequality τn

¤

8 ¸

ℓ 0

αℓn

1

1 1α

1

V pρj , X pρj qq

j 1

V pρℓ , X pρℓ qq dρℓ » τk

1

Eρ,z ρ

dρℓ1 . . . dρ1

V ps, X psqq ds

¤ ρ pT τ q{pn

,

ℓ

1 q) (7.23)

n

where in the final step of (7.23) we used (7.21). From (7.22) and (7.23) we obtain (7.20). This completes the proof of Lemma 7.1. We also have to insert the standard Feynman-Kac formula, and its properties related to the strict topology. In addition, we have to discuss matters like stability and consistency of families of Kato-type or Myadera potentials. More precisely, let pVk qkPN be a sequence of potentials which satisfies, uniformly in k, a condition like (7.19). Under what consistency (or convergence) conditions are we sure that the corresponding perturbed evolutions tPVk ps, tq : 0 ¤ s ¤ t ¤ T u, k P N, converges to an evolution of the form tPV ps, tq : 0 ¤ s ¤ t ¤ T u. In addition, we want this convergence to behave in such a way that the operators PV ps, tq, 0 ¤ s ¤ t ¤ T , assign bounded continuous functions to bounded continuous functions, provided the same is true for each of the operators PVk ps, tq, k P N, 0 ¤ s ¤ t ¤ T . Theorem 7.2. Let the Feller evolution tP ps, tq : τ ¤ s ¤ t ¤ T u be the transition probabilities of the Markov process in (7.6). Let V : r0, T s E Ñ R be a Myadera type potential function with the following properties: (i)

Its negative part satisfies (7.19).

October 7, 2010

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416

(ii)

For every k, ℓ P N, and f

pτ, x, tq ÞÑ Eτ,x (iii)

»

P Cb pr0, T s E q, the function

pτ tq^T

Vk,ℓ pρ, X pρqq f pρ, X pρqq dρ

τ

is continuous. Here Vk,ℓ pV ^ ℓq _ pk q. The following equalities hold for all compact subsets K of E: »

lim

ℓ

sup

Ñ8 pτ,xqPr0,T sK

lim

k

(iv)

MarkovProcesses

T

Eτ,x

sup

Ñ8 pτ,xqPr0,T sK

τ

»

T

Eτ,x τ

The function V satisfies sup

pτ,xqPr0,T sE Then the functions

pτ, x, tq ÞÑ Eτ,x

exp

0 _ pV

T

Eτ,x

» pτ

ℓq pρ, X pρqq dρ 0,

0 _ pV »

τ

q^T

t

τ

and

kq pρ, X pρqq dρ 0.

(7.24)

|V pρ, X pρqq| dρ 8.

V pρ, X pρqq dρ f pX ptqq , f

P Cb pE q, (7.25)

are bounded continuous functions. Remark 7.3. Suppose that the functions in (7.24) are continuous; i.e. suppose that for every k P N the functions

pτ, xq ÞÑ Eτ,x pτ, xq ÞÑ Eτ,x

» »

T τ T τ

0 _ pV

kq pρ, X pρqq dρ

0 _ pV

kq pρ, X pρqq dρ

and

are continuous. Then (iii) is a consequence of (iv). From (iv) it follows that the pointwise limits in (7.24) are zero. By Dini’s lemma this convergence occurs uniformly on compact subsets of r0, T s E. Also observe that the limits in (7.24) decrease monotonically with increasing ℓ and k respectively. Proof. [Proof of Theorem 7.2.] Let f P Cb pE q be such that }f }8 ¤ 1. First we notice that V ¤ Vk,ℓ ¤ V , and hence |V Vk,ℓ | ¤ |V |. It follows that

Eτ,x exp

» pτ τ

q^T

t

V pρ, X pρqq dρ f pX ppτ

tq ^ T qq

October 7, 2010

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MarkovProcesses


Eτ,x

exp

»1

q^T

t

Eτ,x exp

¤

»1

» pτ τ

q^T

t

τ

t

τ

» pτ τ

pτ tq^T

q^T

Eτ,x exp

2m 2m

» pτ Eτ,x τ

2 1

q^T

t

sup

ps,yqPr0,T sE

Es,y exp

tq ^ T qq

sVk,ℓ pρ, X pρqqu dρ

dρ ds f

} }8

» pτ

q^T

t

τ

dρ

V pρ, X pρqq dρ

pV Vk,ℓ q pρ, X pρqq

V pρ, X pρqq dρ

In (7.26) we choose m so large that

tq ^ T qq

tp1 sqV pρ, X pρqq


tq ^ T qq ds,


Vk,ℓ pρ, X pρqq dρ f pX ppτ

q^T

t

tq ^ T qq

sVk,ℓ pρ, X pρqqu dρ


q^T

» pτ

τ t

tp1 sqV pρ, X pρqq

q^T

»

exp

» pτ τ

q^T

t

Eτ,x exp 0


t

τ

exp

¤ Eτ,x

¤

» pτ

Eτ,x

pV Vk,ℓ q pρ, X pρqq dρf pX ppτ

τ

and hence

» pτ

Eτ,x exp

q^T

t

τ

0

» pτ

» pτ

417

2m 2m

2 1

» pτ τ

q^T

t

p2m

2m dρ

2

q{p2m 2q

1

1{p2m

V pρ, X pρqq dρ

q

2

.

(7.26)

8.

(7.27)

From Lemma 7.1 it follows that such a choice of m is possible: see (7.19) and (7.21). From the Markov property we infer » pτ 1 Eτ,x τ 2m 2 !

p

q

q^T

t


2m dρ

2

October 7, 2010

9:50


MarkovProcesses


418

¤ p2m

»

1

2q!

τ

»

Eτ,x τ

Eτ,x

Eτ,x

pτ tq^T

»

|pV Vk,ℓ q pρ, X pρqq|

2m 2

dρ

»

2m ¹2

ρ1 ρ2m 2 pτ tq^T j1

|pV Vk,ℓ qpρj , X pρj qq| dρ2m

» 2m ¹1

dρ2m

1

ρ2m

τ

2

qq| dρ2m

2

1

. . . dρ1

»

¤ Eτ,x

. . . dρ1

|pV Vk,ℓ q pρj , X pρj qq|

ρ1 ρ2m 1 pτ tq^T j1 » pτ tq^T Eρ2m 1 ,X pρ2m 1 q |pV Vk,ℓ q pρ2m 2 , X pρ2m τ

2

»

2m ¹1

ρ1 ρ2m 1 pτ tq^T j1 » pτ tq^T

sup

ps,yqPrτ,pτ tq^T sE

Es,y

s

|pV Vk,ℓ qpρj , X pρj qq| dρ2m

|pV Vk,ℓ q pρ, X pρqq| dρ

1

. . . dρ1

(use induction)

¤ Eτ,x

» pτ

q^T

t

τ

|pV Vk,ℓ q pρ1 , X pρ1 qq| dρ1

sup

»

Es,y

ps,yqPrτ,pτ tq^T sE » pτ tq^T

¤ Eτ,x

s

ps,yqPrτ,pτ tq^T sE » pτ tq^T Eτ,x

τ

»

Eτ,x

|pV Vk,ℓ q pρ, X pρqq| dρ

|pV Vk,ℓ q pρ1 , X pρ1 qq| dρ1

τ

sup

¤

pτ tq^T

Es,y

pτ tq^T

s

0 _ pV

pτ tq^T

τ

»

|V pρ, X pρqq| dρ

ℓq pρ1 , X pρ1 qq dρ1

0 _ pV

kq pρ1 , X pρ1 qq dρ1

2m

1

2m

1

October 7, 2010

9:50


MarkovProcesses


sup

»

Es,y

ps,yqPrτ,pτ tq^T sE

pτ tq^T

s

419

|V pρ, X pρqq| dρ

2m

1

. (7.28)

From (7.26), (7.27), (7.28), assumptions (iii) and (iv) it follows that, uniformly on compact subsets of r0, T s E, the following equality holds:

» pτ

Eτ,x exp

τ

klim lim E Ñ8 ℓÑ8 τ,x

q^T

t


exp

» pτ

q^T

t

τ

tq ^ T qq


tq ^ T qq . (7.29)

In order to finish the proof of Theorem 7.2 we need to establish the continuity of the function

pτ, x, tq ÞÑ Eτ,x

exp

» pτ

q^T

t

τ


tq ^ T qq .

(7.30) By expanding the exponential in (7.30), using the Markov property together with assumption (ii) the continuity of the function in (7.30) follows. More precisely, we have

Eτ,x exp

8 ¸

» pτ τ

»

p1qn E

p1qn

n 1

Eτ,x

pτ tq^T

0

Eτ,x rf pX pτ 8 ¸


τ,x

n!

n 0

q^T

t

n ¹

» τ

Vk,ℓ pρ, X pρqq dρ

t ^ T qqs

n

tq ^ T qq f pX pτ

t ^ T qq

»

ρ1 ρn pτ tq^T

Vk,ℓ pρj , X pρj qq f pX pτ

t ^ T qq dρn . . . dρ1

j 1

(Markov property)

Eτ,x rf pX pτ 8 ¸

p1qk

n 1

» τ

t ^ T qqs

ρ1 ρn1 pτ tq^T

»

Eτ,x

n ¹1

j 1

Vk,ℓ pρj , X pρj qq

October 7, 2010

9:50


MarkovProcesses


420

» pτ

Eρn1 ,X pρn1 q

q^T

t

Vk,ℓ pρn , X pρn qq dρn f pX pτ

ρn1

tq ^ T q

dρn1 . . . dρ1 .

(7.31)

Notice that by assumption (ii) the function

pρ, t, yq ÞÑ Eρ,y Eρ,y

»

»

pτ tq^T

ρn1

Vk,ℓ pρn , X pρn qq dρn f pX ppτ

tq ^ T qq

(7.32)

pτ tq^T

ρn1

Vk,ℓ pρn , X pρn qq Eρn ,X pρn q rf pX ppτ

tq ^ T qqs dρn .

By induction with respect to n it follows that each term in the right-hand side of (7.31) is continuous. The series in (7.31) being uniformly convergent yields the continuity of the functions in (7.25). This concludes the proof of Theorem 7.2. 7.3

The Hamilton-Jacobi-Bellman equation and viscosity solutions

A result which is somewhat more general than Theorem 7.1 reads as follows. As above, we work in the space Cb ppt0 , T s E q, where T ¡ t0 ¥ 0 is fixed. The fact that the non-linear Feynman-Kac formula (7.33) yields a viscosity solution to the HJB-equation in (7.12) is proved by analytic means: see the proof of assertion (iii) below. In the semi-linear case this kind result was established by means of a stopping time argument: see the proof of Theorem 6.3 in Chapter 6. In fact using a stopping time argument yields a more refined result; one gets local rather than global inequalities. Theorem 7.3. (i) The following inequalities are valid: "

sup

P p q

Φ D D1 K0

Φpt, xq :

Φ 9

K0 Φ *

ΦpT, q ¤ log χ pT, q

¤ log Et,x

exp

»T t

1 Γ1 pΦ, Φq ¤ V, 2

V pσ, X pσ qq dσ χ pT, X pT qq

October 7, 2010

9:50


MarkovProcesses


#

¤ vPDpinf D K q 1

M Et,xv,t

»

1 Γ1 pv, v q 2


¤ ΦPDpinf D K q 1

t

0

M Et,xv,t

T

"

Φpt, xq :

0

Φ 9

421

V

pτ, X pτ qqdτ

+

1 Γ1 pΦ, Φq ¥ V, 2

K0 Φ

*

ΦpT, q ¥ log χ pT, q . (ii) If the function SL defined by the non-linear Feynman-Kac formula


»T t


(7.33) belongs to D pD1 K0 q, then the above 4 quantities are equal. Moreover the function SL satisfies the Hamilton-Jacobi-Bellman equation (7.12). The same is true if the expressions in (7.14) and in (7.17) are equal. (iii) In general the function in (7.33) is a viscosity solution of the Hamilton-Jacobi-Bellman equation (7.12). This means that if pt, xq P pt0 , T s E is given and if ϕ P D pD1 K0 q has the property that

rSL ϕs pt, xq sup trSL ϕs ps, yq : ps, yq P rt, T s E u ,

then

rϕ

K0 ϕs pt, xq

1 Γ1 pϕ, ϕq pt, xq ¤ V pt, xq. (7.34) 2 It also means that if pt, xq belongs to pt0 , T s E and if ϕ P D pD1 K0 q has the property that 9

rSL ϕs pt, xq inf trSL ϕs ps, yq : ps, yq P rt, T s E u , then

rϕ K0 ϕs pt, xq 12 Γ1 pϕ, ϕq pt, xq ¥ V pt, xq. If for all pt, xq P pt0 , T s E the expression 9

(iv)

Et,x exp

»T t

log Et,x

exp

»T t

V pσ, X pσ qq dσ χ pT, X pT qq ,

is strictly positive, then the following equality is valid:

(7.35)


(7.36)

October 7, 2010

422

9:50


MarkovProcesses


vPDpinf D K q 1

# M Et,xv,t

»

t

0

T

M Et,xv,t

1 Γ1 pv, v q 2


V

pτ, X pτ qqdτ

+

(7.37)

.

(v) Let S be a viscosity solution to p7.12q. Suppose that for every pt, xq pt0 , T s E there exist functions ϕ1 and ϕ2 P D pK0 q such that

pS ϕ1 q pt, xq

P

sup

y E,T

¡s¡t

pS ϕ1 q ps, yq,

and

P

(7.38)

pS ϕ2 q pt, xq yPE,Tinf¡s¡t pS ϕ2 q ps, yq. (7.39) Then S SL . More precisely, in the presence of p7.39q and p7.38q the 4 quantities in assertion piq are equal. Notice that the formula in (7.33) is the same as formula (5.33) in Chapter 5. The main difference is notational: in Chapter 5 and the other chapters we write Lpsq instead of K0 psq. The notation K0 tK0 psq : 0 ¤ s ¤ T u refers to a self-adjoint unperturbed (or free) Hamiltonian, which is often ~2 written as H0 , which usually is given by H0 ∆. The Schrödinger 2m Bψ equation is then given by pH0 V q ψ i~ . Here V stands for a potenBt tial function, which belongs to a certain Kato type class. In mathematics Planck’s normalized constant ~ and the particle mass m are often set equal to 1. Remark 7.4. It would be nice to have explicit, and easy to check, conditions on the function V which guarantee the strict positivity of the expression Et,x exp

»T t

V pσ, X pσ qq dσ , X pT q P B ,

where B is any compact subset of E. Another problem which poses itself is the following. What can be done if in equation (7.12) the expression p Γ1 pSL , SL q is replaced with pΓ1 pSL , SL qq , p ¡ 0. If 0 p 1, then the equation probably can be treated by the use of branching processes: see e.g. [Etheridge (2000)] or [Dawson and Perkins (1999)]. Remark 7.5. Another point of concern is the Novikov condition which is required to be sure that processes of the form

1 t ÞÑ exp M ptq hM, M i ptq and (7.40) 2

October 7, 2010

9:50


MarkovProcesses


t ÞÑ exp

M ptq

1 hM, M i ptq 2

p M pt q

423

hM.M i ptqq

(7.41)

are martingales. The Novikov condition reads as follows. Let M ptq be a martingale, and suppose that E exp 12 hM, M i ptq is finite for all t ¥ 0. Then the process in (7.40) is a martingale. So, strictly speaking, we have to assume in the sequel that the Novikov condition is satisfied: i.e. all the expectations (x P E, t0 ¤ t s ¤ T )

»s

1 Γ1 pϕ, ϕq τ, X pτ q dτ Et,x exp 2 t are supposed to be finite; otherwise we will only get local martingales. For more details on the Novikov condition see e.g. [Revuz and Yor (1999)], Corollary 1.16, page 309. Novikov’s condition is also treated in Theorem 1.6 and its Corollary 1.3 in Chapter 1.

Remark 7.6. Another problem is about the uniqueness of the viscosity solution of equation (7.12). In order to address this problem we use a technique, which is related to the methods used in [Dynkin and Kuznetsov (1996b)] p. 26 ff, and [Dynkin and Kuznetsov (1996a)], p. 1969 ff. Among other things we tried the method of “doubling the number of variables” as advertised in [Evans (1998)] page 547, but it did not work out so far. We also tried (without success) the jet bundle technique in [Crandall et al. (1992b)]. To be precise we use a martingale technique combined with suband super-solutions: see assertion (v) of Theorem 7.3. First we insert the following proposition. Proposition 7.1. (i)

The operator D1 K0 V extends to a generator of a semigroup exp ps pD1 K0 V qq, s ¥ 0, given by exp ps pD1 K0 V qq Φpt, xq

Et,x (ii)

exp

»s t

t

V pτ, X pτ qq dτ

Φ ps

t, X ps

Let the function SL pt, xq be given by


»T t

V pτ, X pτ qq dτ

tqq .

(7.42)

χ pT, X pT qq .

Then the following identity is valid

rexp ps pD1 K0 V qq exp pSLqs pt, xq exp pSLpt, xqq .

(7.43)

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424

(iii)

MarkovProcesses

Let Ψ : pt0 , T s E Ñ R be a function belonging to D pD1 K0 q, and let V0 : pt0 , T s E Ñ R be a function for which pps, y q P pt0 , ts E q

Ψps, y q log Es,y exp

»t s

V0 τ, X pτ q dτ

Ψ t, X ptq

.

(7.44) Then D1 Ψ K0 Ψ 12 Γ1 pΨ, Ψq V0 on pt0 , ts E. (iv) Conversely, let Ψ : pt0 , T s E Ñ R be a function belonging to the space D pD1 K0 q, and put V0 D1 Ψ K0 Ψ 12 Γ1 pΨ, Ψq. Then the equality in (7.44) holds. Remark 7.7. Suppose that the Feller propagator tP ps, tq : 0 ¤ s ¤ t ¤ T u has an integral kernel p0 ps, x; t, y q, which is continuous on

tpτ, x; t, yq P r0, T s E r0, T s E : 0 ¤ τ t ¤ T u , (7.45) and hence, for f : E Ñ r0, 8q any bounded Borel measurable function, we ³ have P pτ, tq f pxq E p0 pτ, x; t, y qf py qdmpy q, where m is a non-negative Radon measure on E. Instead of dmpy q we write dy most of the time. Define the measures µt,y τ,x on the σ-field generated by X pτ q, τ t ¤ T by µt,y τ,x pAq Eτ,x rp0 ps, X psq; t, y q 1A s , where A belongs to the σ-field generated by X pρq, τ ¤ ρ s, with s P pτ, tq fixed. By the Pτ,x -martingale property of the process s ÞÑ p0 ps, X psq; t, y q, τ ¤ s t, the measure µt,y τ,x is well defined and can be extended to the σ-field generated by X psq, τ ¤ s t. The latter can be done via the classical Kolmogorov extension theorem: see §3.1.7. The integral kernel of the operator exp ps pD1 K0 V qq is given by the Feynman-Kac formula: exp ps pD1 K0 V qq px; t, y q

»

exp

lim Et,x t1 Òt

»s

t

t

V pρ, X pρqqdρ dµst,xt,y

exp

» s t1 t

(7.46)

V pρ, X pρqqdρ p s t1 , X s

t1 ; s t, y .

The following argument shows this claim. Let f ¥ 0 be a bounded Borel measurable function. Then we have for t1 t: » s t1

» Et,x exp V pρ, X pρqqdρ pps t1 , X ps t1 q; s t, y q f py q dy E

Et,x

t

exp

» s t1 t

V pρ, X pρqqdρ

» E

p ps

t 1 , X ps t 1 q; s

t, y qf py qdy

October 7, 2010

9:50


MarkovProcesses


Et,x

exp

» s t1 t

425

V pρ, X pρqqdρ Es t1 ,X ps t1 q rf pX ps

tqqs

(Markov property)

Et,x

exp

» s t1 t

V pρ, X pρqqdρ f pX ps

tqq .

(7.47)

By taking limits as t1 Ò t in the first and last term in (7.47) our claim follows. Under appropriate conditions on V , the integral kernel of the operator exp ps pD1 K0 V qq is again continuous on the space mentioned in (7.45). In fact if the function V is bounded we obtain by expanding the exponential and using the martingale property of the process ρ ÞÑ p pρ, X pρq; t, y q, 0 ¤ ρ t: exp ps pD1 K0 V qq px; t, y q

p pt, x; s

t, y q

8 ¸

k 1 k ¹

p1qk

»

» »

ρk s

t ρ1

(7.48)

»

... t

p pρj 1 , yj 1 ; ρj , yj q V pρj , yj q p pρk , yk ; s

E

E

t, y q dyk . . . dy1 dρk . . . dρ1 .

j 1

In (7.48) we wrote ρ0 t and y0 x. Suppose that the function ps, t, xq ÞÑ p pt, x; s t, y q, 0 ¤ t s t T , x, y P E, is continuous. From the representation in (7.48) we see that each term in the right-hand side of (7.48) is continuous. Uniform convergence on compact subsets then yields the continuity of the left-hand side in (7.48). The proof of the following theorem is left as an exercise for the reader. Theorem 7.4. Suppose that function ps, t, xq ÞÑ p pt, x; s t, y q, 0 s t T , x, y P E, is continuous. In addition, suppose that »t

lim

sup

sup

Ó ¤ ¤T h x,yPE

h 00 τ

τ

p pτ, x; ρ, z q |V pρ, z q| p pρ, z; τ

h, y q dz

0.

¤t (7.49)

Then the integral kernel ps, t, x, y q ÞÑ exp ps pD1 K0 V qq px; t, y q, s ¡ 0, t P r0, T s, x, y P E, is continuous. Details for time-independent functions V and time-homogenous Markov processes on second countable locally compact spaces can be found in e.g. [Demuth and van Casteren (2000)].

October 7, 2010

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MarkovProcesses


426

Remark 7.8. Let Φpt, xq be a bounded continuous function which satisfies the following conditions: (1) The function pt, xq ÞÑ V pt, xqΦpt, xq is continuous; (2) The function pt, xq ÞÑ K0 Φpt, xq K0 ptqΦpt, qpxq is continuous; (3) The function t ÞÑ Φpt, xq is continuously differentiable for every x P E. Then the process

s ÞÑ exp

»s

»s

t

t

t

exp t

V pτ, X pτ qq dτ »τ t

t

Φ ps

t, X ps

V pρ, X pρqq dρ

tqq Φ pt, X ptqq

B Φ pτ, X pτ qq dτ (7.50) Bτ ( is a Pt,x -martingale relative to the filtration Fst t : 0 ¤ s ¤ T t . This assertion is a consequence of the fact that the operator family K0 pτ q, 0 ¤ τ ¤ T , generates the Markov process in (7.55), and the fact that the operator D1 K0 V extends to a generator of the semigroup defined by

K0 pτ q

V pτ, X pτ qq

(7.42). Proof. [Proof of Proposition 7.1.] (i) Let s1 and s2 be positive real numbers, and let Φ be a non-negative Borel measurable function defined on r0, 8q E. Then we have:

rexp ps1 pD1 K0 V qq exp ps2 pD1 K0 V qq Φs pt, xq »s t

Et,x exp V pτ, X pτ qq dτ 1

t

texp ps2 pD1 K0 V qq Φ ps1 Et,x

exp

"

exp

» s1

t

t

» s2

V pτ, X pτ qq dτ

s1 t

s1 t

t, X ps1

tqqu

Es1

V pτ, X pτ qq dτ

p

q

t,X s1 t

Φ ps 2

s1

t, X ps2

s1

tqq

(Markov property)

Et,x

exp

» s2

exp

» s1

t

t s1 t

s1 t

V pτ, X pτ qq dτ V pτ, X pτ qq dτ

Φ pX ps2

s1

tq, s2

s1

tq

*

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MarkovProcesses


» s2

427

s1 t

Et,x exp V pτ, X pτ qq dτ Φ pX ps2 t rexp pps1 s2 q pD1 K0 V qq Φs pt, xq.

tq, s2

s1

tq

s1

(7.51)

Next we show that the generator of the semigroup given by the formula in (7.42) extends the operator D1 K0 V . More precisely we will prove that that "

lim

Ó

s 0

1 Et,x exp s

»s

t

t

V pτ, X pτ qq dτ

BBt K0ptq V pt, xq Φpt, xq.

Φ pX ps

tq, s

tq

*

Φpt, xq

(7.52)

Here Φ is a function which belongs to the intersections of the domains of D1 (i.e. the time derivative), K0 (i.e. for each t P r0, T s the function x ÞÑ Φpt, xq belongs to the domain of K0 ptq, and the function pt, xq ÞÑ K0 ptqΦpt, xq is continuous), and the function pt, xq ÞÑ V pt, xqΦpt, xq is continuous as well. The expression

Et,x exp

»s

t

V pτ, X pτ qq dτ

t

Φ pX ps

can be rewritten as follows:

Et,x exp

»s

t

t

V pτ, X pτ qq dτ »s

tq, s

Φ pX ps

t

tq

Φpt, xq

tq, s

tq

(7.53)

Φpt, xq

V pτ, X pτ qq dτ 1 Φ pX ps tq, s tq t Et,x rΦ pX ps tq, s tqs Φpt, xq. (7.54) Since the operator family K0 pτ q, 0 ¤ τ ¤ T , generates the Markov process Et,x

exp

(see (7.6))

tpΩ, FTτ , Pτ,xq , pX ptq : T ¥ t ¥ 0q , p_t : T ¥ t ¥ 0q , pE, E qu

(7.55)

we know that Et,x rΦ pX ps

Φpt, xq

»s 0

tq, s

tqs

Et,x rpD1 K0 q Φ pτ

t, X pτ

tqqs dτ.

From (7.54) and (7.56) we infer the equality in (7.52). Next we prove assertion (ii):

rexp ps pD1 K0 V qq exp pSLqs pt, xq

(7.56)

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428

Et,x Et,x

»s

t »s t

exp

exp

p

Es

t

t

#

V pτ, X pτ qq dτ V pτ, X pτ qq dτ

q exp

t,X s t

»T s t

exp pSL ps

t, X ps

tqqq

V pτ, X pτ qq dτ

+

χ pT, X pT qq

(Markov property)

Et,x

exp

Et,x

exp

t

t

s t

V pτ, X pτ qq dτ

V pτ, X pτ qq dτ

»s

»T

t

t

s t

»s

»T

exp

exp

Et,x

exp

t

V pτ, X pτ qq dτ

χ pT, X pT qq

V pτ, X pτ qq dτ

V pτ, X pτ qq dτ

»T

χ pT, X pT qq

χ pT, X pT qq

exp pSLpt, xqq .

(7.57)

This proves assertion (ii). (iii) From (7.1) and the proof of assertion (ii) of Proposition 7.1 it follows that D1 Ψ K0 Ψ 12 Γ1 pΨ, Ψq eΨ pD1 K0 q eΨ eψ pD1 K0 V0 q eΨ V0 1 eΨ lim pexp ps pD1 K0 V0 qq I q eΨ V0 sÓs s

V0 ,

(7.58)

where we used the invariance exp ps pD1 K0 V0 qq eΨ pτ, xq eΨ pτ, xq, 0 s t τ . This proves assertion (iii). (iv) We write

exp ps pD1 K0 V0 qq eΨ eΨ

»s 0

pρ pD1 K0 V0 qq pD1 K0 V0 q eΨ dρ

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MarkovProcesses


»s »0s 0

»s 0

429

exp pρ pD1 K0 V0 qq eΨ eΨ pD1 K0 V0 q eΨ dρ

exp pρ pD1 K0 V0 qq eΨ eΨ pD1 K0 q eΨ V0 dρ exp pρ pD1 K0 V0 qq eΨ pV0 V0 q dρ 0.

(7.59)

The equality in (7.44) is a consequence of (7.59). Altogether this shows assertion (iv) and completes the proof of Proposition 7.1. Proof. [Proof of Theorem 7.3.] (i) The first and the final inequality in (i) follow from the non-linear Feynman-Kac formula. For Φ P D pD1 K0 q 9 we have with VΦ Φ K0 Φ 12 Γ1 pΦ, Φq:

Φpt, xq log Et,x exp

»T t

VΦ pτ, X pτ qq dτ

Φ pT, X pT qq .

The second inequality of (i) is a consequence of Jensen inequality, and should be compared with the arguments in [Zambrini (1998a)], who used ideas from Fleming and Soner: see Chapter VI in [Fleming and Soner (1993)]. Another relatively recent source of information is Chapter 8 in [Bressan and Piccoli (2007)]. The reader is also referred to [Sheu (1984)] and to [Van Casteren (2001)]. The inequality we have in mind is the following one:

log EMt,x rexp pϕqs ¤ EMt,x rϕs , v,t

v,t

(7.60)

with equality only if ϕ is constant Pt,x -almost surely. We apply (7.60) to the random variable ϕ ϕv , given by

»T

1 Γ1 pv, v q V pτ, X pτ qq dτ Mv,t pT qlog χ pX pT qq . (7.61) 2 t We also notice that the following processes are Pt,x -martingales on the interval rt, T s: ϕv

1 exp hMv,t i psq Mv,t psq and 2

1 exp hMv,t i psq Mv,t psq phMv,t i psq 2 By the Jensen inequality we have

M Et,xv,t

1 hMv,t i pT q 2

»T t

V pτ, X pτ qq dτ

(7.62) Mv,t psqq .

log χ pT, X pT qq

(7.63)

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430

M

(the process in (7.63) is a Pt,xv,t -martingale)

»T

12 hMv,t i pT q Mv,t pT q

M Et,xv,t

V pτ, X pτ qq dτ

t

log χ pT, X pT qq

(here we apply Jensen inequality)

¥ log EMt,x

v,t

e 2 hMv,t ipT q 1

p q³tT V pτ,X pτ qqdτ

Mv,t T

p

p qq

log χ T,X T

M

(definition of the probability measure Et,xv,t )

log Et,x

exp

»T

t

V pτ, X pτ qq dτ

log χ pT, X pT qq

.

(ii) The assertion in (ii) immediately follows from (i).

(iii) Let pt, xq belong to pt0 , T s E, and let ϕ be as in (7.34). Then we have

rϕ K0 ϕ V s pt, xq 12 Γ1 pϕ, ϕq pt, xq eϕpt,xq pD1 K0 V q eϕ pt, xq 1 rpexp psD1 sK0 sV q I q exp pϕqs pt, xq exp pϕpt, xqq lim sÓ0 s 9

1 eϕpt,xq limsÓinf 0 s

eS

L

pt,xqϕpt,xqeSL pt,xq

1 e p q limsÓinf 0 s

ϕ t,x

pt, xq

(

pt, xq

exp psD1 sK0 sV q eSL ϕ eSL

#

sup

pσ,yqPrt,T sE

+

eSL ps,yqϕps,yq eSL pt,xq

1 ¤ eϕpt,xq limsÓinf 0 s

exp psD1 sK0 sV q

(

exp psD1 sK0 sV q eSL ϕ eSL

#

#

sup

pσ,yqPrt,T sE +

sup

pσ,yqPrt,T sE

e

SL ϕ

e p qϕpσ,yq eSL pt,xq SL σ,y

(

pσ, yq

+

e S L

pt, xq

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MarkovProcesses


(

431

(

eSL ϕ pσ, y q : pσ, y q P rt, T s E exp pϕpt, xqq 1 lim inf exp psD1 sK0 sV q eSL pt, xq eSL pt,xq sÓ0 s

¤ sup eS

pt,xqϕpt,xqeϕpt,xq 0 0.

L

(7.64)

The latter equality follows because, for s ¡ 0 the equality

rexp psD1 sK0 sV q exp pSLqs pt, xq exp pSL pt, xqq

is valid: see Proposition 7.1, assertion (ii). The reverse inequality (7.35) follows in a similar manner. (iv) In view of assertion (i) we only have to prove that the expression in (7.37) is less than equal to the one in (7.36). To this end we consider (v P D pD1 K0 q) M Et,xv,t

» T

1 2

t

Γ1 pv, v q pτ, X pτ qq dτ »T

1 hMv,t i pT q 2

M Et,xv,t

t

»T t

V pτ, X pτ qq dτ

V pτ, X pτ qq dτ

log χ pT, X pT qq

log χ pT, X pT qq

(the process in (7.63) is a martingale)

»T

12 hMv,t i pT q Mv,t pT q

M Et,xv,t

t

V pτ, X pτ qq dτ

log χ pT, X pT qq

(definition of the martingale s ÞÑ Mv,t psq)

12

M Et,xv,t

»T t

M Et,xv,t

»T


t

pD1

K0 q v pτ, X pτ qq dτ

» " T t

»T t

v pT, X pT qq

»T t

V pτ, X pτ qq dτ

v pt, X ptqq

log χ pT, X pT qq

pD1 K0 q v pτ, X pτ qq 12 Γ1 pv, vq pτ, X pτ qq

V pτ, X pτ qq dτ

*

dτ

v pt, X ptqq v pT, X pT qq log χ pT, X pT qq

(pt, X ptqq pt, xq, Pt,x -almost surely)

vpt, xq

M Et,xv,t

»

T

t

"

pD1 K0 q v

*

1 Γ1 pv, v q pτ, X pτ qq dτ 2

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432

»T

V pτ, X pτ qq dτ

t

vpt, xq M Et,xv,t

»

T

v pT, X pT qq log χ pT, X pT qq

exp pv pτ, X pτ qqq rpD1

t

K0

V q exppv qs pτ, X pτ qq dτ


vpt, xq

exp »T t

1 exp hMv,t i pT q Mv,t pT q 2

Et,x

»T t

V pτ, X pτ qq dτ


»T t

V pτ, X pτ qq dτ


K0

v pT, X pT qq log χ pT, X pT qq (apply the equality in (7.2) with f

vpt, xq

»

T

Et,x exp t

1)


K0

V q exp pv qs pτ, X pτ qq dτ

»T

exp pv pt, X ptqq v pT, X pT qqq exp »T t


t

V pτ, X pτ qq dτ


K0


.

(7.65)

Choose w P D pD1 K0 q and define for s ¡ 0 the function vs by exp pvs q Then exppvs qpD1

K0

1 s

»s 0

exp pσ pD1 K0 V qq exppwq dσ.

pI exppspD1 K0 V qqq exppwq . V q exppvs q ³ s 0 exppσ pD1 K0 V qq exppwqdσ

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MarkovProcesses


433

So from (7.65) we obtain for w in the domain of D1 equality M Et,xvs ,t

» T

1 2

t

»T

Γ1 pvs , vs q pτ, X pτ qq dτ

vspt, xq

»

T

Et,x exp t

t

t

V pτ, X pτ qq dτ

log χ pT, X pT qq

rp³ I exp ps pD1 K0 V qqq exppwqs pτ, X pτ qq dτ s 0 rexp pσ pD1 K0 V qq exppwqs pτ, X pτ qq dσ

exp pvs pt, X ptqq vs pT, X pT qqq exp »T

K0 and s ¡ 0 the

»T t

V pτ, X pτ qq dτ

rp³ I exp ps pD1 K0 V qqq exppwqs pτ, X pτ qq dτ s rexp pσ pD1 K0 V qq exppwqs pτ, X pτ qq dσ 0

vs pT, X pT qq log χ pT, X pT qq

(7.66)

.

Upon letting w P D pD1 K0 q tend to the function SL in an appropriate manner, we obtain by invoking Proposition 7.1 the inequality #

inf

M Et,xv,t

v

» T

1 2

t

Γ1 pτ, X pτ qq dτ +

»T t

V pτ, X pτ qq dτ

log χ pT, X pT qq

:

P D pD1 K0 q ¤ SL pt, xq.

This proves assertion (iv). The “appropriate manner” should be such that wn Ñ SL implies that Tβ - lim espD1 K0 V q ewn

espD K V q eS eS ! In order that this procedure works, the semigroup espD pK Ñ8

1

0

L

n

1

L

(7.67)

.

0 9

V

qq : s ¥ 0)

should be continuous for the strict topology. This is true provided the un( perturbed semigroup espD1 K0 q : s ¥ 0 is continuous for the strict topology, and the potential function satisfies a Myadera type boundedness condition, as explained in Definition 7.2 and the corresponding Khas’minski lemma 7.1. (v). Let S be a viscosity solution to p7.12q. Here we use a martingale approach together with the idea of germs of a function. We will prove the following inequalities: S pt, xq ¤ sup tϕ1 pt, xq : Vϕ1

¤ V,

ϕ1 pT, q ¤ SL pT, qu

(7.68)

October 7, 2010

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MarkovProcesses


434

¤ inf tϕ2 pt, xq : Vϕ ¥ V, ϕ2 pT, q ¥ SLpT, qu ¤ S pt, xq, (7.69) 1 Γ1 pϕ, ϕq. In view of assertion (i) in Theorem where Vϕ ϕ K0 ϕ 2 7.3 we then infer S SL . Fix pt, xq P pt0 , T s E. Let ϕ1 P D pD1 K0 q 2

9

be such that

pS ϕ1 qpt, xq sup tpS ϕ1 qps, yq : y P E, T ¥ s ¥ tu .

We notice that the processes Mϕ,t and MSL ,t , defined by respectively Mϕ,t psq exp MSL ,t psq exp

»s

»s

t

t

Vϕ pτ, X pτ qq dτ

ϕ ps, X psqq

V pτ, X pτ qq dτ

SL ps, X psqq

ϕ pt, X ptqq , and

SL pt, X ptqq ,

t ¤ s ¤ T , are Pt,x -martingales. The latter assertion follows from the Markov property together with the Feynman-Kac formula: see (7.43), which M is also true for Vϕ instead of V and ϕ replacing SL . Let Pt,xϕ,t denote the Mϕ,t probability measure defined by Pt,x pAq Et,x rMϕ,t ps2 q1A s, s2 ¥ s1 , where A is Fst1 -measurable. Since S is a viscosity sub-solution we see that Vϕ1 pt, xq ¤ V pt, xq. Fix ε ¡ 0 and choose δ ¡ 0 in such a way that, for some neighborhood U of x in E, the inequality Vϕ1 ps, y q ¤ V ps, y q 12 ε is valid for ps, y q P U rt, t δ s. Here we use the continuity of V ps, y q in y x and its right continuity in s t. Then we choose a family of germs of “smooth” functions pUα , ϕα q, α P A, with the following properties:

Uα rt, T s E, i.e. the family Uα , α P A, forms an open cover of the set rt, T s E; (b) For every α, β P A, ϕα ϕβ on Uα Uβ ; (c) For every α P A there exists ptα , xα q P Uα such that pS ϕα q ps, y q ¤ pS ϕα q ptα, xα q, for ps, yq P Uα and sα ¤ s; 1 (d) For every α P A, the inequality Vϕα ¤ V 2 ε is valid on Uα ; (e) If pt, xq belongs to Uα , then pS ϕα q pt, xq ¤ 0; (f) If pT, y q belongs to Uα , then 1 1 ϕα pT, y q ¤ S pT, y q εpT tq SL pT, y q εpT tq. 2 2 Since S is a viscosity sub-solution property (d) is in fact a consequence of (c); we will need (d). Then we define the function ψ1 : rt, T s E Ñ R as follows ψ1 ps, y q ϕα ps, y q, for ps, y q P Uα . Then, on Uα , Vψ1 Vϕα ¤ 1 V 2 ε. We write (a)

V1

Vψ D1 ψ1 1

K0 ψ1

1 Γ1 pψ1 , ψ1 q . 2

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435

By assertion (iii) and (iv) of Proposition 7.1 we have 1 Ψε1 ps, y q : ψ1 ps, y q εpT 2

log Es,y

exp

log Es,y Then

s

ψ1 T, X pT q

exp

V1 τ, X pτ q

exp

»T

sq 12 εpT tq

»T

Ψε1 ps, y q ¤ log Es,y exp

12 ε

1 εpT 2

VΨε1 τ, X pτ q dτ

t

»T s

dτ

tq

(7.70)

Ψε1

V τ, X pτ q dτ

T, X pT q

SL

.

T, X pT q

SL ps, yq, and hence ψ1 pt, xq ¤ SL pt, xq εpT tq. By construction we also have S pt, xq ¤ ψ1 pt, xq. Consequently S pt, xq ¤ SL pt, xq εpT tq. Since ε ¡ 0 is arbitrary we see S pt, xq ¤ SL pt, xq. In fact, since VΨ ¤ V , and since Ψε1 pT, y q ¤ SL pT, y q, we see that S pt, xq ¤ sup tϕ1 pt, xq : Vϕ ¤ V, ϕ1 pT, q ¤ SL pT, qu . ε 1

1

A similar argument shows the inequality S pt, xq ¥ inf tϕ2 pt, xq : Vϕ2

¥ V,

ϕ2 pT, q ¥ SL pT, qu .

To be precise, again we fix ε ¡ 0, and let ϕ2 P D pD1 K0 q be a function such that pS ϕ2 q pt, xq inf tpS ϕ2 q ps, y q : ps, y q P rt, T s E u. We choose δ ¡ 0 and a neighborhood U of x in such a way that Vϕ2 ps, y q ¥ V ps, y q 12 ε for ps, y q P U rt, t δ s. Then we choose a family of germs of ”smooth” functions pUα , ϕα q, α P A, with the following properties: (a) (b) (c) (d) (e)

Uα rt, T s E, i.e. the family Uα forms an open cover of the set rt, T s E; α, β P A implies ϕα ϕβ on Uα Uβ ; For every α P A there exists ptα , xα q P Uα such that pS ϕα q ps, y q ¥ pS ϕα q ptα, xα q, for ps, yq P Uα and sα ¤ s; For every α P A, the inequality Vϕ ¥ V 12 ε is valid on Uα ; If pt, xq belongs to Uα , then pS ϕα q pt, xq ¥ 0; α

October 7, 2010

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436


MarkovProcesses


(f) If pT, y q belongs to Uα , then 1 ϕα pT, y q ¥ S pT, y q εpT 2

tq SL pT, yq 12 εpT tq.

Since S is a viscosity super-solution property (d) is in fact a consequence of (c). Then we define the function ψ2 : rt, T s E Ñ R as follows ψ2 ps, y q ϕα ps, y q, for ps, y q P Uα . In addition, we write as above V2

Vψ D1 ψ2

K0 ψ1

2

Then, on Uα , Vψ2 Vϕα Proposition 7.1 imply Ψε2 ps, y q : ψ2 ps, y q

¤V

1 2 ε.

1 Γ1 pψ2 , ψ2 q . 2

As above, assertions (iii) and (iv) of

1 ε pT 2

sq 12 εpT tq ¥ SL ps, yq. (7.71) By construction we have S pt, xq ¥ ψ2 pt, xq, and hence SL pt, xq ¤ Ψε2 pt, xq ¤ ψ2 pt, xq εpT tq ¤ S pt, xq εpT tq. Since ε ¡ 0 is arbitrary we infer SL pt, xq ¤ S pt, xq. In fact, since VΨ ¥ V , and since Ψε2 pT, y q ¥ SL pT, y q, we see that S pt, xq ¥ sup tϕ1 pt, xq : Vϕ ¤ V, ϕ1 pT, q ¤ SL pT, qu . ε 2

1

In the mean time we also proved that the 4 quantities in assertion (i) are equal. This concludes the proof of Theorem 7.3. 7.4

A stochastic Noether theorem

The following theorem may be called the stochastic Noether theorem: cf. [Zambrini (1998a)] Proposition 2.3 and Theorem 2.4. For a discussion and formulation of the classical (deterministic) Noether theorem, which in fact can be considered as the second constant of motion for a mechanical system, the reader is referred to [Thieullen and Zambrini (1997b)], pages 300–302, and [Thieullen and Zambrini (1997d)] page 423. In §7.4.1 we also give a short formulation of this theory. Theorem 7.5. Let T be a differentiable function which only depends on

B

time. As above the operator D1 stands for D1 Bt . Suppose that the functions ϕ, w, and T satisfy the following identities.

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437

dT (a) K0 f K0 Γ1 pf, wq Γ1 pK0f, wq Γ1 f, BBwt ϕ for all funcdt tions f P D pK0 D1 q for which Γ1 pK0 f, wq exists as well. Bϕ K ϕ Γ pV, wq BpT V q . (b) 0 1 Bt Bt Put Bf K 9 V f , N pf q Γ pf, wq T Bf ϕf , and Hpf q 0 1 Bt Bt B f D pf q (7.72) Bt Γ1 pσL , f q K0 f . Suppose that the function σL satisfies:

BV T Γ BσL ε, w , 1 Bt Bt 1 where ε K0 σL Γ1 pσL , σL q V . 2 Write n : Γ1 pσL , wq εT ϕ. The following assertions hold true. (i) If Hpf q 0, then H pN pf qq 0 as well. More generally: H pN0 pf qq N0 pHpf qq for appropriately chosen functions f . So the operators H (c)

Dε

and N0 commute. For the definition of N0 see (7.74) below. (ii) Dn 0. (iii) The process t ÞÑ n pt, X ptqq is a martingale with respect to the probability measures

» 1 t Γ1 pσL , σL q ps, X psqqds 1A , A ÞÑ Et,x0 exp MσL ,t0 ptq 2 t0 where as in (7.10) Mf,t0 ptq is given by Mf,t0 ptq f pt, X ptqq f pt0 , X pt0 qq

»t

t0

pK0 D1 q f ps, X psqqds. (7.73)

Remark 7.9. The operator N0 is defined by N0 pf q Γ1 pf, wq

T K0 9 V f

ϕf.

(7.74)

The proof of assertion (i) shows that the operators H and N0 commute: H pN0 f q N0 pHf q, f P D pHq D pN0 q, Hf P D pN0 q, and N0 f P D pHq. The following proposition shows a situation where (c) is satisfied. Proposition 7.2. Suppose SL , the minimal Lagrangian action, belongs to

BBt . Set σL SL in Theorem 7.5. Then (c) is satisfied; more precisely, Dε D1 V and D1 σL ε 0.

the domain of D1

K0 .

Here D1

October 7, 2010

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MarkovProcesses


[Proof of Proposition 7.2.] Notice that 1 (7.75) ε K0 SL Γ1 pSL , SL q V D1 SL , 2 and hence B2 SL Γ S , BSL K BSL

Dε D pD1 SL q 2 1 L 0 Bt Bt Bt 2 BBtS2L 12 BBt Γ1 pSL , SLq BBt K0 pSL q

B B SL 1 (7.76) Bt Bt 2 Γ1 pSL , SLq K0 SL BBVt . Proof.

Proposition 7.2 easily follows from (7.75) and (7.76).

The equality in (7.77) below will be used in the proof Theorem 7.5. Lemma 7.2. For all appropriate functions f , w, T , and ϕ the following identity is true: 12 Γ1 pf, f q BBTt 12 Γ1 pΓ1 pf, f q , wq Γ1 pf, Γ1 pf, wqq

12 K0 f 2 BBTt Γ1 K0 f 2 , w K0 Γ1 f 2, w Γ1 f 2 , BBwt ϕ

f K0 pf q BBTt Γ1 pK0 pf q , wq K0 Γ1 pf, wq Γ1 f, BBwt ϕ . (7.77) Proof.

[Proof of Lemma 7.2.] The equality 12 Γ1 pf, f q 12 K0 f 2 f K0f

together with Γ1 pf K0 f, wq f Γ1 pK0 f, wq

K0 f Γ1 pf, wq

yields 12 Γ1 pf, f q BBTt 12 Γ1 pΓ1 pf, f q , wq Γ1 pf, Γ1 pf, wqq " * 1 2 BT 2 2 2 K 0 f B t Γ1 K 0 f , w K 0 Γ1 f , w " * B T f K0 f Bt Γ1 pK0 f, wq K0 Γ1 pf, wq 1 K0 Γ1 f 2 , w f K0 Γ1 pf, wq pK0 f q Γ1 pf, wq Γ1 pf, Γ1 pf, wqq 2

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( 21 K0 Γ1 f 2 , w f K0 Γ1 pf, wq)

K0 pf Γ1 pf, wqq

439

pK0 f q Γ1 pf, wq Γ1 pf, Γ1 pf, wqq

"

*

12 K0 f 2 BBTt Γ1 K0 f 2 , w K0 Γ1 f 2 , w " * B T f K0 f Bt Γ1 pK0 f, wq K0 Γ1 pf, wq .

Since Γ1 f 2 , ψ (7.78).

(7.78)

2f Γ1 pf, ψq, equality (7.77) in Lemma 7.2 follows from

[Proof of Theorem 7.5.] (i). We calculate:

Proof.

H pN f q N pHf q

B f H pΓ1 pω, f qq H T Bt H pϕf q Γ1 pHf, wq T BBt pHf q BBt pΓ1 pf, wqq K0 V Γ1 pf, wq B T Bf ϕf K V T Bf K V pϕf q 0 0 Bt Bt

Bt Γ1 BBft , w Γ1 pK0f, wq Γ1 pV f, wq

2 B Bf ϕ K V f B f ϕ T B t2 B t K 0 V f 0 Bt

Γ1 f, BBwt ϕ K0 Γ1 pf, wq Γ1 pK0 f, wq BT K T Bf Γ T, Bf

0 Bt Bt 1 Bt

BBϕt K0 ϕ Γ1 pV, wq T BBVt f

B w Γ1 Bt ϕ, f K0 Γ1 pf, wq Γ1 pK0 f, wq pK0f q BBTt pK0 T q K0 f Γ1 pT, K0f q Γ1 pT, V f q

B ϕ B V B T Bt K0 ϕ Γ1 pV, wq T Bt Bt V f

ϕHf

9

9

9

9

9

(T only depends on t)

Γ1

Bw ϕ, f K Γ pf, wq 0 1 Bt

Γ1 pK0 f, wq

pK0 f q BBTt

(7.79)

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T B K0 ϕ (7.80) Bt V f 0, Bf K V f . The equality in where in (7.79) we employed the identity 0 Bt

BBϕt

BV Γ1 pV, wq T Bt

9

(7.80) follows by our assumptions (a) and (b). (ii). We compute Bn Γ pσ , nq K n Dpnq 0 Bt 1 L

BBt pΓ1 pσL , wqq BBt pεT q BBt ϕ Γ1 pσL , Γ1 pσL , wqq Γ1 pσL , εT q Γ1 pσL , ϕq K0 pΓ1 pσL , wqq K0 pεT q K0 ϕ

B σL B w Γ1 Bt , w Γ1 σL , Bt ε BBTt BBεt T BBϕt Γ1 pσL , Γ1 pσL , wqq Γ1 pσL , εq T Γ1 pσL , ϕq K0 pΓ1 pσL , wqq K0 pεq T K0 ϕ

B σL B w Γ1 Bt V, w Γ1 σL , Bt ϕ ε BBTt BBεt T BBϕt Γ1 pσL , Γ1 pσL , wqq Γ1 pσL , εq T K0 pΓ1 pσL , wqq K0 pεq T K0 ϕ Γ1 pV, wq

Γ1 BBσtL V, w Γ1 σL , BBwt ϕ V BBTt

K0 σL 12 Γ1 pσL , σL q BBTt BBεt T BBϕt Γ1 pσL , Γ1 pσL , wqq Γ1 pσL , εq T K0 pΓ1 pσL , wqq K0 pεq T K0 ϕ Γ1 pV, wq

Γ1 BBσtL V, w Γ1 σL , BBt w ϕ BpVBtT q

K0 σL 12 Γ1 pσL , σL q BBTt B pεBt V q T BBϕt Γ1 pσL , Γ1 pσL , wqq Γ1 pσL , εq T K0 pΓ1 pσL , wqq K0 pεq T K0 ϕ Γ1 pV, wq

BV T Γ σ , Bw ϕ

Γ1 BBσtL ε, w Dpεq 1 L Bt Bt BBϕt K0 ϕ Γ1 pV, wq BpVBtT q

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T 1 B K0 σL Bt Γ1 K0σL 2 Γ1 pσL , σL q , w Γ1 pσL , Γ1 pσL , wqq K0 pΓ1 pσL , wqq

B σL V B Dpεq Γ1 Bt ε, w Bt T

B T B w pK0 σL q Bt Γ1 pK0 σL , wq K0Γ1 pσL , wq Γ1 σL , Bt ϕ BBϕt K0 ϕ Γ1 pV, wq BpVBtT q 12 Γ1 pσL , σL q BBTt 12 Γ1 pΓ1 pσL , σL q , wq Γ1 pσL , Γ1 pσL , wqq (employ Lemma 7.2 with f σL )

BV T Γ1 BBσtL ε, w Dpεq (7.81) Bt

pK0 σL q BBTt Γ1 pK0 σL , wq K0Γ1 pσL , wq Γ1 σL , BBwt ϕ BBϕt K0 ϕ Γ1 pV, wq BpVBtT q

1 2 BT 2 2 2 Bw K0 σL Γ1 K0 σL , w K0 Γ1 σL ,w Γ1 σL , ϕ 2 Bt Bt

σL K0 pσL q BBTt Γ1 pK0 pσL q , wq K0 Γ1 pσL , wq Γ1 σL , BBwt ϕ . Substituting the equalities (a), (b) and (c) in (7.81) shows (ii), i.e. Dpnq

1 Γ1 pσL , σL q 2

0.

(iii) Let f be a function in the domain of K0 D1 . As in equation (7.10) of §7.1 the Et,x0 -martingale Mf,t0 ptq, t ¥ t0 , is given by the equality in (7.73). Let f and g be two functions in D pK0 D1 q. Then the quadratic covariation hMf,t0 , Mg,t0 i ptq of Mf,t0 ptq and Mg,t0 ptq is given by hMf,t0 , Mg,t0 i ptq

»t

t0

Γ1 pf, g q pτ, X pτ qq dτ.

(7.82)

By (ii) Dpnq 0, and hence pK0 D1 q n Γ1 pσL , nq. It follows that n pt, X ptqq n pt0 , X pt0 qq Mn,t0 ptq

Mn,t ptq

»t

t0 »t

0

t0

pK0 D1 q n pτ, X pτ qq dτ Γ1 pσL , nq pτ, X pτ qq dτ. (7.83)

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Let f be a function in D pK0 D1 q. From Itô’s formula we obtain:

1 exp Mf,t0 ptq hMf,t0 , Mf,t0 i ptq n pt, X ptqq n pt0 , X pt0 qq 2

»t

t0

1 2 1 2

exp Mf,t0 psq »t t0 »t

»t

t0

t0

»t

t0 »t t0

1 hMf,t0 , Mf,t0 i psq n ps, X psqq dMf,t0 psq 2

exp Mf,t0 psq

exp Mf,t0 psq

exp Mf,t0 psq

exp Mf,t0 psq

exp Mf,t0 psq

1 hMf,t0 , Mf,t0 i psq nps, X psqqd hMf,t0 , Mf,t0 i psq 2

1 hMf,t0 , Mf,t0 i psq nps, X psqqd hMf,t0 , Mf,t0 i psq 2

1 hMf,t0 , Mf,t0 i psq dMn,t0 psq 2

1 hMf,t0 , Mf,t0 i psq 2

pK0 D1 q n ps, X psqq ds

1 hMf,t0 , Mf,t0 i psq Γ1 pf, nq ps, X psqq ds 2

(employ (7.83))

Et,x -martingale (7.84)

»t 1 exp Mf,t psq hMf,t i psq pΓ1 pf, nq Γ1 pσL , nqq ps, X psqq ds, 2 t where we wrote hMf,t i psq hMf,t , Mf,t i psq. Suppose Γ1 pf σL , wq 0

0

0

0

0

0

0

0. From (7.84) it follows that the process

1 t ÞÑ exp Mf,t0 ptq hMf,t0 , Mf,t0 i ptq 2

»

1 t Γ1 pf, f q ps, X psqq ds n pt, X ptqq 2 t0 is a Et0 ,x -martingale. So, with f σL , assertion (iii) of Theorem 7.5 follows, and completes the proof of Theorem 7.5.

exp

Mf,t0 ptq

The following theorem can be considered as a complex version of the Noether theorem: see Theorem 7.5 above and Theorem 3.1 in [Zambrini (1998a)]. It has a physical interpretation: N ptq, defined by N ptqf

iΓ1 pf, wq T ptq

K0 9 V f

ϕf ,

is called a Noether observable. Theorem 7.6. Let the functions T , w, and ϕ be related as in (a1 ) and (b1 ) below:

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B w K0 Γ1 pf, wq Γ1 pK0 f, wq iΓ1 f, Bt ϕ for all funcdt tions f belonging to D pK0 D1 q for which Γ1 pK0 f, wq makes sense as well. Bϕ iK ϕ Γ pV, wq BpT V q . (b1 ) 0 1 Bt Bt B K V commute. Then the operators N ptq and 0 iB t

dT (a1 ) K0 f

9

³

Suppose K0 f dm 0, f given by

P D pK0q L1 pE, mq.

Then the adjoint N ptq is

N ptq f

iΓ1 pf, wq 2i pK0 wq f T ptq K0 V f ϕf. B K V also commutes with the opHence the self-adjoint operator 0 iB t erators N ptq N ptq and N ptq N ptq . 9

9

Proof.

Let f be a “smooth enough” function. Then a calculation yields:

B B N ptq K0 V f iBt K0 V N ptqf iB t

Bf B f iΓ1 iBt K0 V f, w T ptq K0 V iBt K0 V f

B f ϕ iB t K0 V f

B iBt K0 V iΓ1 pf, wq T ptq K0 V f ϕf

B f 1 Γ1 Bt , w iΓ1 pK0 f, wq iΓ1 pV f, wq i T ptqK0 BBft 1i T ptqV BBft T ptq K0 V 2 f 1i ϕ BBft ϕK0 f ϕV f BBt Γ1 pf, wq 1i BBt T ptq K0 V f 1i B pBϕft q 2 i K0 V Γ1 pf, wq T ptq K0 V f K0 pϕf q ϕV f

B f Γ1 Bt , w iΓ1 pK0 f, wq iV Γ1 pf, wq if Γ1 pV, wq

1 i T ptqK0 BBft 1i T ptqV BBft 1i ϕ BBft ϕK0 f

B f B w 1 B T pt q 1 B T ptq K0 f Vf Γ1 Bt , w Γ1 f, Bt i Bt i Bt 9

9

9

9

9

9

9

9

9

9

9

9

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1 BV f 1 T ptqK Bf 1 T ptqV Bf T pt q 0 i Bt i Bt i Bt 1 Bϕ 1 Bf f ϕ iK0 Γ1 pf, wq iV Γ1 pf, wq i Bt i Bt pK0 ϕq f Γ1 pf, ϕq ϕK0 f

B w iΓ1 pK0f, wq if Γ1 pV, wq Γ1 f, Bt ϕ 1i BTBpttq K0 f 1 B pT ptqV q 1 Bϕ f f iK0 Γ1 pf, wq pK0 ϕq f i Bt i Bt

1i BTBpttq pK0 f q 1i K0 Γ1 pf, wq 1i Γ1 pK0 f, wq Γ1 f, BBwt ϕ " 1 B pT ptqV q Bϕ 1 K ϕ* . f Γ1 pV, wq (7.85) i Bt Bt i 0

The result in Theorem 7.6 follows from the assumptions (a1 ) and (b1 ).

Corollary 7.1. Suppose that the functions w, T (which only depends on t), and ψ (which only depends on the space variable, not on the time t) possess the following properties: (a1 ) The set of functions f for which the equality dT K0 f K0 Γ1 pf, wq Γ1 pK0 f, wq Γ1 pf, K0 w ψq dt makes sense and is valid is dense in the space L2 pE rt0 , T s, dm dtq. (b1 ) The following equality is valid: 2 B K 2 w K ψ Γ pV, wq B pT V q . 0 1 B t2 0 Bt Put

N ptqf

where f Proof.

iΓ1 pf, wq T ptq

PD

K0 V f 9

B Bt

K0 9 V . Then N ptq commutes with

Set ϕ

Bw Bt

iK0 w

iK0 w

B iB t

iψ f ,

K0 9 V .

iψ in Theorem 7.6. Then

B w K0 Γ1 pf, wq Γ1 pK0 f, wq iΓ1 f, Bt ϕ K0 Γ1 pf, wq Γ1 pK0f, wq Γ1 pf, K0 w ψq K0f dT . (7.86) dt Bψ 0, we see that (b1 ) of Theorem This shows (a1 ) of Theorem 7.6. Since Bt

7.6 is satisfied as well. This proves Corollary 7.1.

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The following proposition isolates the properties of the function w. Proposition 7.3. Suppose that the function w has property (a) of Theorem 7.5, or (a1 ) of Theorem 7.6, or (a1 ) of its Corollary 7.1. Then, for all functions f , g P D pD1 K0 q, the following identity is true: dT Γ1 pf, g q Γ1 pΓ1 pf, g q, wq Γ1 pΓ1 pf, wq, g q Γ1 pf, Γ1 pg, wqq . (7.87) dt Remark 7.10. Let χ be a smooth enough function. From the proof of Proposition 7.3 it follows that the mapping dT f ÞÑ pK0 f q K0 pΓ1 pf, wqq Γ1 pK0 f, wq Γ1 pf, χq dt is a derivation if and only if (7.87) is satisfied for all functions f and g in a “large enough” algebra of functions belonging to D pD1 K0 q. Proof. [Proof of Proposition 7.3.] Let f and g be functions in D pD1 K0 q with the property that its product f g also belongs to D pD1 K0 q. We write

Bw ϕ, χ Bt

χ

as the case may be. Then dT K0 Γ1 pf g, wq K0 p f g q dt

1 i

Bw ϕ , Bt

or χ K0 w ψ,

Γ 1 pK 0 pf g q , w q

Γ1 pf g, χq

K0 pΓ1 pf, wq g f Γ1 pg, wqq ppK0 f q g Γ1 pf, gq f pK0gqq dT dt Γ1 ppK0 f q g Γ1 pf, g q f pK0 g q , wq f Γ1 pg, ξ q Γ1 pf, χq g ppK0 f q g Γ1 pf, gq f pK0gqq dT dt pK0 Γ1 pf, wqq g Γ1 pΓ1 pf, wq , gq Γ1 pf, wq pK0 gq pK0 f q Γ1 pg, wq Γ1 pf, Γ1 pg, wqq f pK0 Γ1 pg, wqq Γ1 pK0 f, wq g pK0 f q Γ1 pg, wq Γ1 pΓ1 pf, g q , wq Γ1 pf, wq K0 g f Γ1 pK0 g, wq f Γ1 pg, χq Γ1 pf, χq g

pK0f q dT K0 Γ1 pf, wq Γ1 pK0 f, wq Γ1 pf, χq g dt

f

pK0 gq dT K0 Γ1 pg, wq dt

Γ1 pf, gq dT dt

Γ1 pK0 g, wq

Γ1 pΓ1 pf, wq , g q

Γ1 pg, χq

Γ1 pf, Γ1 pg, wqq Γ1 pΓ1 pf, g q , wq . (7.88)

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An application of either (a) of Theorem 7.5 or (a1 ) of Theorem 7.6 or of Corollary 7.1 then yields (7.87) in Proposition 7.3. Remark 7.11. Let the functions T , w and ψ satisfy (a1 ) and (b1 ) of Corollary 7.1. Put χ K0 w ψ. Then the triple pT, w, χq satisfies: dT K0 Γ1 pf, wq Γ1 pK0 f, wq dt space of L2 pE, mq); B2w K χ Γ pV, wq B pT V q ; (b) 0 1 B t2 Bt B p χ K0 w q (c) 0. Bt (a) K0 f

Γ1 pf, χq (for f in a dense sub-

In order to find Noether observables the equations (a), (b) and (c) have to be integrated simultaneously. Proposition 7.3 simplifies this somewhat in the sense that one first tries to find w, then χ. The couple pw, χq also has to d 1 ¸ B B satisfy (b). Notice that in case E Rd and K0 f aj,k 2 j,k1 B xj Bxk f , then Γ1 pf, g q

d ¸

aj,k

j,k 1

Bf Bg Bxj Bxk .

Upon choosing linear functions f and g

we see that w has to satisfy:

Baj,k Bw Bxm Bxℓ ℓ,m1 d d ¸ ¸ B2 w Bak,ℓ Bw 2 aj,ℓ ak,m aj,m Bxℓ Bxm ℓ,m1 Bxm Bxℓ ℓ,m1

aj,k

dT dt

d ¸

aℓ,m

Baj,ℓ a Bw . Bxm k,m Bxℓ ℓ,m1 d ¸

B2 w is, up to a first order perBxl Bxm 1 dT turbation, the inverse of the matrix paℓ,m qdℓ,m1. 2 dt

It follows that the matrix with entries

7.4.1

Classical Noether theorem

Let Q p E q be the configuration manifold of a classical dynamical system. The paths are C 2 -maps q : t ÞÑ q ptq, t P I : rt0 , T s. The Lagrangian is written as pq, q, 9 tq ÞÑ Lpq, q, 9 tq: q9 P T Q, the tangent bundle of Q. For simplicity we assume here Q R3 . Then T Q may be identified with Q. We assume an external force of the form F ∇V , where V is a scalar 2 potential. Then L 12 |q9| V pq, tq. The action functional S, defined on a

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a domain DpS q C 2 prt0 , T s, Qq, is given by S pq pq; t0 , uq

»u t0

Lpq psq, q9psq, sqds.

Hamilton’s least action principle says that among all regular trajectories between two fixed configurations q pt0 q q0 and q pT q q1 , the physical motion q is a critical point of the action S, i.e. its variational ( its Gˆ ateaux) derivative in any smooth direction δq cancels: δS pq qpδq q 0. Equivalently q solves the Euler-Lagrange equations in Q: d dt

BL BL . Bq Bq 9

For the Hamilton-Jacobi theory one adds an initial or final boundary condition: S pq0 q S0 pq0 q or S pT q ST pq1 q. Noether’s theorem is the second most important theorem of classical Lagrangian mechanics. Let Uα : Q I Ñ Q I be given a given one-parameter group (α P R) local group of transformations of the pq, tq-space: pq, tq ÞÑ pQpq, t; αq, τ pq, t; αqq. The functions Q and τ are supposed to be C 2 in their variables, and Qpq, t; 0q q, τ pq, t; 0q t. Therefore Q pq, t; αq q τ pq, t; αq t

αX pq, tq

αT pq, tq

opαq;

(7.89)

opαq.

The pair pX pq, tq, T pq, tqq is called the tangent vector field of the family tUαu, and pT, X q its infinitesimal generator. The action S is said to be divergence invariant if there exists a C 2 -function Φ, such that for all α ¡ 0 but small enough, the equality S q pq; t10 , t11 S Qpq; τ01 , τ11 α

» t11

dΦ pqptq, tqdt t10 dt

opαq,

(7.90)

for any C 2 -trajectory q pq in DpS q and for any time interval rt10 , t11 s in rt0 , T s. Noether’s theorem says that for a divergence invariant Lagrangian action the expression

BL X Bq

B L L Bq q T Φ pqptq, tq BL defines the momentum observable, is constant. The first factor p Bq BL q. According to E. Cartan and the second one the energy H L Bq 9

9

9

9

9

9

the Noether constant can be considered as the central geometrical object of classical Hamiltonian mechanics.

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7.4.2


MarkovProcesses


Some problems

We want to mention some problems which are related to this and earlier chapters. As we proved in Chapter 3 Theorems 2.9 through 2.13 are true if the space E is a Polish space, and if Cb pE q is the space of all bounded continuous functions on E. Instead of the topology of uniform convergence we consider the strict topology. This topology is generated by semi-norms of the form: f ÞÑ supxPE |upxqf pxq|, f P Cb pE q. The functions u ¥ 0 have the property that for every α ¡ 0 the set tu ¥ αu is compact (or is contained in a compact subset of E). The functions u need not be continuous. Problem 7.1. Is there a relationship with work done by Eberle [Eberle (1995, 1996, 1999)]? In [Altomare and Attalienti (2002a)] the authors Altomare and Attaliente take a somewhat different point of view. Their state space is still second countable and locally compact. They take a bounded continuous function w : E Ñ p0, 8q and the consider the space C0w pE q as being the collection of those function f P C pE q with the property that the function wf belongs to C0 pE q. The space C0w pE q is supplied with the norm }f }w }wf }8 , f P C0w pE q. They study the semigroup P w ptqf : w1 P ptqpwf q, where P ptq, t ¥ 0, is a Feller semigroup. Properties of P ptq are transferred to ones of P w ptq and vice versa. Using these weighted continuous function spaces the authors prove some new results on the well-posedness of the BlackScholes equation in a weighted continuous function space; see [Altomare and Attalienti (2002b)]; see Chapter 5 for more on this in the usual case. In [Mininni and Romanelli (2003)] Mininni and Romanelli estimate the trend coefficient in the Black-Scholes equation. The paper is somewhat complementary to what we do in Chapter 5. Problem 7.2. Is it possible to rephrase Theorems 2.9 through 2.13 for reciprocal Markov processes and diffusions? Martingales should then replaced with differences of forward and backward martingales. A stochastic process pM ptq : t ¥ 0q on a probability space pΩ, F , Pq is called a backward martingale if E M ptq F s M psq, P-almost surely, where t s, and F s is the σ-field generated by the information from the future: F s σ pX puq : u ¥ su. Of course we assume that M ptq belongs to L1 pΩ, F , Pq, t ¥ 0. Let pΩ, F , Pq be a probability space. An E-valued process pX ptq : 0 ¤ t ¤ 1q is called reciprocal if for any 0 ¤ s t ¤ 1 and every pair of

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P ps, tqq, B P σ pX pτ q : τ P r0, ss rt, 1sq the equality £ (7.91) P A B X psq, X ptq P A X psq, X ptq P B X psq, X ptq

events A P σ pX pτ q : τ

is valid. By D we denote the set

tps, x, t, B, u, z q : px, z q P E E, 0 ¤ s t u ¤ 1, B P E u . (7.92) A function P : D Ñ r0, 8q is called a reciprocal probability distribution or D

a Bernstein probability if the following conditions are satisfied: (i) the mapping B ÞÑ P ps, x, t, B, u, z q is a probability measure on E for any px, z q P E E and for any 0 ¤ s t u ¤ 1; (ii) the function px, z q ÞÑ P ps, x, t, B, u, z q is E b E-measurable for any 0 ¤ s t u ¤ 1; (iii) For every pair pC, Dq P E b E, px, y q P E E, and for all 0 ¤ s t u ¤ 1 the following equality is valid: »

D

P ps, x, u, dξ, v, y q P ps, x, t, C, u, ξ q

»

C

P ps, x, t, dη, v, y q P pt, η, u, D, v, y q .

Then the following theorem is valid for E

Rν (see [Jamison (1974)]).

Theorem 7.7. Let P ps, x, t, B, u, y q be a reciprocal transition probability function and let µ be a probability measure on E b E. Then there exists a unique probability measure Pµ on F with the following properties: (1) With respect to Pµ the process pX ptq : 0 ¤ t ¤ 1q is reciprocal; (2) For all pA, B q P E b E the equality Pµ rX0 P A, X1 P B s µ pA B q is valid; (3) For every 0 ¤ s t u ¤ 1 and for every A P E the equality

Pµ X ptq P A X psq, X puq

P ps, X psq, t, A, u, X puqq

is valid.

For more details see [Thieullen (1993)] and [Thieullen (1998)]. An example of a reciprocal Markov probability can be constructed as follows; it is kind of a pinned Markov process. Let

tpΩ, F , Pxq, pX ptq : t ¥ 0q, pϑt : t ¥ 0q, pE, E qu be a (strong) time-homogeneous Markov process, and suppose that for every t ¡ 0 and every x P E, the probability measure B ÞÑ P rX ptq P B s has a

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450

Radon-Nikodym derivative p0 pt, x, y q with respect to some reference measure dy. Also suppose that p0 pt, x, y q is strictly positive and continuous on p0, 8q E E. Put p ps, x, u, ξ, v, y q Put P ps, x, u, B, v, y q Markov probability. 7.4.2.1

p0 pu s, x, ξ q p0 pv u, ξ, y q , 0 ¤ s u v. p0 pv s, x, y q

³

B

p ps, x, u, ξ, v, y q dξ. Then P is a reciprocal

Conclusion

This chapter is a reworked version of [Van Casteren (2003)]. One of the main results is contained in Theorem 7.3. The method of proof is based on martingale methods. For more information on viscosity solutions the reader is referred to [Crandall et al. (1992b)]. Another feature of the present chapter is the statement and proof of a generalized Noether theorem (Theorem 7.5) and its complex companion (Theorem 7.6). The proofs are of a computational character; they only depend on the properties of the generator of the diffusion and the corresponding carré du champ operator. They imitate and improve results obtained by Zambrini in [Zambrini (1998a)]. Moreover the results solve problems posed in [Van Casteren (2001)] (Problem 4, Theorem 16, pp. 257-258) and in §2 of [Van Casteren (2000a)]. In particular see Problem 4 and the question prior and related to the suggested Theorem 6 on pp. 48–50 of [Van Casteren (2000a)]. The present chapter is a substantial extension of [Van Casteren (2000b)].

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Long Time Behavior

451

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Chapter 8

On non-stationary Markov processes and Dunford projections

The aim of this chapter is to present some criteria for checking ergodicity of time-continuous finite or infinite Markov chains in the sense that µ9 ptq K ptqµptq, where every K ptq, t P R, is a weak -closed linear Kolmogorov operator on the space of complex Borel measures M pE q on a complete metrizable separable Hausdorff space E, and so E is a Polish space. The obtained results are valid in the non-stationary case and can be used as reliable and valuable tools to establish ergodicity. Some theoretical approximation results are given as well. The present chapter was initiated by some results in the Ph.D. thesis of Katilova [Katilova (2004)]: see [Van Casteren (2005a)] as well. What in the present chapter is called σ pM pE q, Cb pE qqconvergence, or σ pM pE q, Cb pE qq-topology, in the probability literature is often referred to as weak convergence, or weak topology. In functional analytic terms these notions should be called weak -convergence, or weak topology. Here “weak ” refers to the pre-dual space of M pE q which is the space Cb pE q endowed with the strict topology. In order to avoid misunderstandings we sometimes write “σ pM pE q, Cb pE qq” instead of “weak” (probabilistic notion) or “weak” (functional analytic notion). Nevertheless, we will employ the notation “weak ” and “σ pM pE q, Cb pE qq” interchangeably; we will write e.g. “weak -continuous semigroup” where, strictly speaking, we mean “σ pM pE q, Cb pE qq-continuous semigroup”. For applications of the use of invariant measures for time-dependent problems the reader may want to consult [Geissert et al. (2009)] and [Hieber et al. (2009)]. 8.1

Introduction

Let E be a complete metrizable topological space which is separable with Borel field E: in other words E is a Polish space. By M pE q we denote the 453

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vector space of all complex Borel measures on E, supplied with the total variation norm: # + Varpµq sup

n ¸

|µ pBj q| : Bj is a partition of E

.

(8.1)

j 1

In view of inequality (3) in Theorem 8.1 in Section 8.2 (except in Example 8.4) we will not use the total variation norm, but the following equivalent one:

}µ} sup t|µpB q| : B P E u , µ P M pE q. (8.2) In fact we have }µ} ¤ Varpµq ¤ 4 }µ}. In the other sections and in Example 8.4 the symbol Var pµq, µ P M pE q, stands for the total variation norm of the measure µ. ³Let f be a bounded Borel function and µ a measure in M pE q. Instead of E f dµ we often write hf, µi. By hypothesis the family K ptq, t P R, is a family of linear operators with domain and range in M pE q which are σ pM pE q, Cb pE qq-closed. This means that if pµn qnPN is a sequence in D pK ptqq, the domain of K ptq, for which there exists Borel measures µ and ν P M pE q such that, for all f P Cb pE q, limnÑ8 hf, µn i hf, µi and such that limnÑ8 hf, K ptqµn i hf, νi, that then µ belongs to D pK ptqq and K ptqµ ν. Instead of σ pM pE q, Cb pE qq-closed we usually write weak -

closed. An important example of a weak -closed linear operator is the adjoint of an operator with domain and range in Cb pE q. We consider a continuous system of the form: µ9 ptq K ptqµptq,

8 t 8,

where each K ptq is a weak -closed linear operator on M pE q.

Definition 8.1. Let K be a weak -closed linear operator on M pE q.

(8.3)

(a) An eigenvalue µ of K is called dominant if limtÑ8 etK pI P q 0. Here P is the Dunford projection» on the generalized eigenspace 1 corresponding to µ; i.e. P pλI K q1 dλ, where γ is a 2πi γ (small) positively oriented circle around µ. The disc centered at µ and with circumference γ does not contain other eigenvalues. (b) An eigenvalue µ of K is called critical if it is dominant and the zero space of K µI is one-dimensional. We consider the simplex P pE q measures on E:

M pE q consisting of all Borel probability

P pE q tµ P M pE q : µpE q 1 and µpB q ¥ 0 for all Borel subsets of E u , (8.4)

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and the subspace M0 pE q of co-dimension one in M pE q: M0 pE q tµ P M pE q : µpE q 0u .

8.2

(8.5)

Kolmogorov operators and weak -continuous semigroups

Under appropriate conditions on the family K ptq, t ¥ t0 , a solution to the equation in (8.3), i.e. a solution to d hf, µptqi hf, K ptqµptqi , t0 ¤ t 8, f P Cb pE q, dt where µ pt0 q P P pE q is given, can be written in the form: µptq X pt, t0 q µpt0 q,

t0

¤ t 8;

(8.6)

(8.7)

the operator-valued function X pt, t0 q satisfies the following differential equation in weak -sense:

B (8.8) Bt X pt, t0 q K ptqX pt, t0 q . It is an evolution family in the sense that X pt, t2 q X pt2 , t1 q X pt, t1 q, t ¥ t2 ¥ t1 ¥ t0 , X pt, tq I. We also assume that weakast - limtÓs X pt, sq µ µ, i.e.

lim hf, X pt, sq µi hf, µi for all f

P Cb pE q and µ P M0 pE q. Suppose now that for every t the operator K ptq is Kolmogorov or, what is Ó

t s

the same, has the Kolomogorov property. This in the meaning that for the operator K ptq the following formulas are valid: ℜK ptqµpE q ℜ h1, K ptqµi 0 for all µ P P pE q and

ℜ hf, K ptqµi ¥ 0 for all pf, µq P Cb pE q P pE q for which supppf q

£

supppℜµq H.

(8.9) (8.10)

Here Cb pE q is the convex cone of all nonnegative functions in Cb pE q. Unfortunately this notion is too weak for our purposes. In fact for our purposes we need a modification of the notion of (sub-)Kolmogorov operator which we label as sectorial sub-Kolmogorov operator. It is somewhat stronger than (8.10). Definition 8.2. Let K be a linear operator with domain and range in M pE q. Suppose that its graph GpK q : tpµ, Kµq : µ P DpK qu is

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closed in the product space pM pE q, }}q pM pE q, σ pM pE q, Cb pE qqq. Here σ pM pE q, Cb pE qq stands for weak -topology which M pE q gets from its predual space Cb pE q. The operator K is called a sub-Kolmogorov operator if for every µ P DpK q the equality sup tℜ hf, µi : 0 ¤ f

¤ 1, f P CbpE qu εinf ¡0 sup tℜ hf, µi : 0 ¤ f ¤ 1, ℜ hf, Kµi ¤ ε, f P Cb pE qu .

(8.11)

holds. The sub-Kolmogorov operator K is called sectorial if it is a subKolmogorov operator with the property that there exists a finite constant C such that the inequality

|λ| sup t|hf, µi| : |f | ¤ 1, f P CbpE qu ¤ C sup t|hf, λµ Kµi| : |f | ¤ 1, f P CbpE qu holds for all µ P DpK q and for all λ P C with ℜλ ¡ 0.

(8.12)

The following definition should be compared with the corresponding definition in Definition 4.2: see (4.13). In fact these two notions are equivalent: this is a consequence of assertion (f) in Proposition 4.3. Lemma 8.1 is in fact a rewording of assertion (f) in the latter proposition. Lemma 8.1. Let L be a linear operator with domain and range in Cb pE q. The following assertions are equivalent: (i) For every λ ¡ 0 and for every f

P DpLq the following inequality holds: λ }f }8 ¤ }λf Lf }8 ; (8.13) (ii) For every ε ¡ 0 the following inequality holds for all f P DpLq: ! ) sup t|f pxq| : x P E u ¤ sup |f pxq| : ℜ f pxqLf pxq ¤ ε . (8.14) Definition 8.3. An operator L with domain and range in Cb pE q is said to be dissipative, if for every f P DpLq and every ε ¡ 0 the following identity holds: sup t|f pxq| : x P E u sup

!

)

|f pxq| : ℜ f pxqLf pxq ¤ ε, x P E . (8.15) An operator L with domain and range in Cb pE q which satisfies the maximum principle is called sectorial if there exists a constant C such that for all λ P C with ℜλ ¡ 0 the inequality

|λ| }f }8 ¤ C }pλI Lq f }8 ,

holds for all f

P DpLq.

(8.16)

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Notice that the notion of dissipativeness is equivalent to the following one: for every f P DpLq there exists a sequence pxn qnPN E such that lim |f pxn q| }f }8

Ñ8

n

and

lim ℜ f pxn qLf pxn q

Ñ8

n

¤ 0.

(8.17)

From (8.17) it follows that the present notion of “being dissipative” coincides with the notion in Chapter 4: see §4.2. In particular, the reader is referred to (4.13) in Definition 4.2, and to assertion (f) in Proposition 4.3. Apparently, the conditions in Remarks 8.1 and 8.2 below are not verifiable (or they might not be satisfied in interesting cases, where the operators K respectively L generate analytic semigroups). In §8.6 we give a new characterization of operators which generate an analytic (or holomorphic) semigroup. It also contains a triviality result in the sense that it characterizes an operator L as being the zero operator if only appropriate boundedness hLx, x i , conditions are imposed on the absolute values of the expressions hx, x i ast x P X, x P X , hx, x i 0, where X is a Banach space with dual X : see Proposition 8.9. Remark 8.1. Suppose that there exists 0 γ 12 π such that for every µ P DpK q and every ε ¡ 0 there exists a function f P Cb pE q, 0 ¤ |f | ¤ 1, such that Varpµq ¤ |hf, µi| ε and such that there exists ϑpµq P R satisfying hf, Kµi |hf, Kµi| eiϑpµq . Then (8.12) is satisfied π ¥ |ϑpµq| ¥ γ 12 π and hf, µi |hf, µi| with C satisfying C sin γ 1. Remark 8.2. Similarly, let L be an operator with domain and range in Cb pE q. Suppose that there exists 0 γ 12 π such that for every f P Cb pE q and every ε ¡ 0 there exists x P E, 0 ¤ |f | ¤ 1, such that }f }8 |f pxq| 1 and such that there exists ϑpxq P R satisfying π ¥ |ϑpxq| ¥ γ 2 π and Lf pxq | Lf pxq| iϑpxq |f pxq| e . Then the operator L is sectorial in the sense that f pxq }λf Lf }8 ¥ sin γ |λ| }f }8 , f P DpLq. How to check a condition like the one in (8.11) or (8.12)? Therefore we first analyze the right-hand side of (8.11). Let E Eℜµ Eℜµ be the Hahn-decomposition of E corresponding to theJordan-decomposition of the measure ℜµ. Then Eℜµ Eℜµ H, pℜµq Eℜµ pℜµq Eℜµ 0, and if B P E is a subset of Eℜµ , then pℜµq pB q ¥ 0. In other words the signed measure ℜµ is positive on Eℜµ . Similarly the signed measure ℜµ . In addition we have is positive on Eℜµ sup tℜ hf, µi : 0 ¤ f

¤ 1, f P Cb pE qu

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458

!

)

ℜµ Eℜµ sup ℜµpC q : C Eℜµ , C compact . (8.18) Let Cn , n P N, be a sequence of compact subsets of Eℜµ and let On , n P N, be a sequence of open subsets of E such that Cn Eℜµ On , and such that D lim ℜ h1Cn , Kµi lim ℜ h1On , Kµi ℜ 1E

Ñ8

Ñ8

n

n

In addition suppose that

ℜµ

E , Kµ .

(8.19)

1C , |ℜµ|i nlim (8.20) Ñ8 h1O 1C , |ℜKµ|i 0. Here the measures |ℜµ| and |ℜKµ| stand measures of ℜµ D for the variation E and ℜKµ respectively. Suppose that ℜ 1E , Kµ ¤ 0. Let fn , n P N, be a sequence of functions in Cb pE q with the property that 1C ¤ fn ¤ 1O . lim h1On

Ñ8

n

n

n

n

ℜµ

n

n

Then from (8.19) and (8.20) it follows that E D ℜµ Eℜµ ℜ 1E , µ lim ℜ hfn , µi and (8.21) ℜµ nÑ8 D E (8.22) 0 ¥ ℜ 1E , Kµ lim ℜ hfn , Kµi . ℜµ nÑ8 D E Suppose that the inequality ℜ 1E , Kµ ¤ 0 holds. Then the ℜµ

(in-)equalities in (8.18), (8.21), and (8.22) show that the left-hand side of (8.11) is less than or equal to its right-hand side. The converse inequality being trivial shows that equality (8.11) holds.

In order to establish an equality like the one in (8.12) it suffices to exhibit a Borel measurable function g : E Ñ C with the following properties: |g| 1, the expression hg, µi hg, Kµi is a negative real number, and Varpµq sup t|hf, µi| : |f | ¤ 1, f

P Cb pE qu hg, µi .

Next let K L , where L is a closed linear operator with domain and range in Cb pE q. Suppose that ℜLf ¤ 0 on C whenever C is a compact subset of E and f P DpLq is such that 1C ¤ f ¤ 1. Then the operator K satisfies (8.11). Next let µ P DpK q be such that ℜ h1, Kµi ¤ 0, and suppose

sup tℜ hf, µi : 0 ¤ f

¤ 1, f P CbpE qu εinf sup tℜ hf, µi : 0 ¤ f ¤ 1, ℜ h1 f, Kµi ¥ ε, f P Cb pE qu . ¡0

(8.23)

Then the inequality in (8.11) follows from (8.23). Suppose that for every positive measure µ P DpK q the following inequalities are satisfied: KµpE q ¤ 0 and µpB q 0 implies KµpB q ¥ 0. Then,

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for every measure µ P DpK q there exists a Borel subset E of E such that Kµ pE q ¤ 0, provided that in the Jordan-decomposition µ µ µ the measure µ belongs to DpK q. This fact follows from the next obser E be the Hahn-decomposition of E correspondvation. Let E E ing to the Jordan-decomposition of the measure µ. Then E E H, µ pE q µ pE q 0 and hence, by the new hypotheses, Kµ E Kµ pE q Kµ E Kµ E ¤ 0. For more details on Hahn-Jordan decompositions see e.g. Chapter 14 in [Zaanen (1997)]. The following theorem is the main motivation to introduce (sub-)Kolmogorov operators K. Theorem 8.1. Let K be an sub-Kolmogorov operator as in Definition 8.2. Then, for every λ ¡ 0 and µ P DpK q, the following inequalities hold: λ sup ℜµpB q ¤ sup ℜ pλI K q µpB q; (8.24) B E

P

B E

P

P

B E

P

B E

λ inf ℜµpB q ¥ inf ℜ pλI

K q µpB q; λ sup |µpB q| ¤ sup |pλI K q µpB q| . B E

B E

Proof.

P

(8.25)

P

(8.26)

[Proof of Theorem 8.1.] First we notice the equality: sup ℜµpB q sup tℜ hf, µi : 0 ¤ f ¤ 1, f P Cb pE qu .

P

B E

Assertion (8.25) is a consequence of (8.24): apply (8.24) with µ. Assertion (8.26) also follows from (8.24) by noticing that

|hf, µi| sup ℜ f, eiϑ µ ,

µ replacing

Prπ,πs

ϑ

and then applying (8.24) to the measures eiϑ µ and ϑ P rπ, π s. The inequality in (8.24) remains to be shown. Fix µ P M pE q and f P Cb pE q, 0 ¤ f ¤ 1. Then we have λℜ hf, µi ℜ hf, pλI K q µi ℜ hf, Kµi . (8.27) From (8.27) we get λ sup tℜ hf, µi : 0 ¤ f ¤ 1, f P Cb pE q, ℜ hf, Kµi ¤ εu

¤ sup tℜ hf, pλI K q µi : 0 ¤ f ¤ 1, f P Cb pE q, ℜ hf, Kµi ¤ εu ε ¤ sup tℜ hf, pλI K q µi : 0 ¤ f ¤ 1, f P Cb pE qu ε. (8.28)

Employing equality (8.11) in Definition 8.2 and (8.28) we get λ sup tℜ hf, µi : f P Cb pE q, 0 ¤ f ¤ 1u

εinf sup tℜ hf, µi : 0 ¤ f ¤ 1, ℜ hf, Kµi ¤ ε, f P Cb pE qu ¡0 ¤ sup tℜ hf, pλI K q µi : 0 ¤ f ¤ 1, f P Cb pE qu .

(8.29) Inequality (8.24) follows from (8.29). This concludes the proof of Theorem 8.1.

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8.3


MarkovProcesses


Kolmogorov operators and analytic semigroups

In the present section we recall some properties of weak -continuous bounded analytic semigroups acting on M pE q. These results have their counterparts for strongly continuous bounded analytic semigroups. Theorem 8.2. Suppose, in addition to the fact that K is a sectorial subKolmogorov operator, that there exists λ0 ¡ 0 such that pλ0 I K q DpK q M pE q. Then for every real-valued function f P Cb pE q and every µ P DpK q with values in R the expression hf, Kµi is real. Assume that the graph of the operator K is σ pM pE q, Cb pE qq-closed, and that the same is true for all operators µ ÞÑ 1C Kµ, µ P DpK q, where C is any compact subset of E. ³ Here the measure 1C Kµ is defined by the equality hf, 1C Kµi C f dKµ, f P Cb pE q. Moreover, there exists a finite constant C such that for every λ P C with ℜλ ¡ 0 the following assertions hold:

(1) pλI K q DpK q M pE q. (2) Let µ P DpK q be a real-valued measure on E. Then

|λ| sup t|hf, µi| : 0 ¤ f ¤ 1, f P Cb pE qu ¤ sup t|hf, pλI K q µi| : 0 ¤ f ¤ 1, f P Cb pE qu .

(8.30)

(3) The inequality

(4)

|λ| sup t|hf, µi| : |f | ¤ 1, f P Cb pE qu ¤ C sup t|hf, pλI K q µi| : |f | ¤ 1, f P Cb pE qu (8.31) holds for all measures µ P DpK q. 1 Suppose that the function x ÞÑ pλI K q δx , x P E, is Borel measurable. Let µ be a bounded Borel measure on E. Then the following equality holds: »

λ pλI

K q1 δx dµpxq λ pλI K q1 µ.

(8.32)

Proof. [Proof of Theorem 8.2.] First we will show the following assertion. If a function f P Cb pE q and a measure µ P DpK q are real-valued, then the expression hf, Kµi belongs to R. For this purpose we choose measures νλ P M pE q, λ ¡ 0, such that λµ pλI K q νλ . Then λ piµq pλI K q piνλ q. By (8.24) in Theorem 8.1 we have for B P E

λℑνλpB q λℜpiνλpB qq ¥ BinfPE ℜpλI K qpiνλqpB q BinfPE λℜpiµpB qq 0.

(8.33)

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From (8.33) it follows that ℑνλ pB q ¤ 0 for all B P E. By the same procedure with µ instead of µ we see ℑνλ pB q ¥ 0 for all B P E. Hence we get ℑνλ pB q 0 for all B P E, or, what is the same, the measures νλ λRpλqµ, λ ¡ 0, take their values in the reals. From (8.26) it follows that }1C λRpλqKµ} ¤ }Kµ}, λ ¡ 0, C compact subset of E. Let pCk qkPN be increasing sequence of compact subsets of E such that limkÑ8 |Kµ| pCk q |Kµ|pE q. By the theorem of Banach-Alaoglu, which states the closed dual unit ball in a dual Banach space is weak -compact, it follows that there exists a double sequence tλk,n : k , n P Nu such that for every fixed k λk,n tends to 8 as n Ñ 8, and measures νk P M pE q such that lim hf, 1Ck K pλk,n R pλk,n q µqi lim hf, 1Ck λk,n R pλk,n q Kµi hf, νk i ,

Ñ8

Ñ8

n

n

(8.34) f P Cb pE q. Since λk,n R pλk,n q µ µ R pλk,n q Kµ inequality (8.26) implies λk,n }λk,n R pλk,n q µ µ} ¤ }Kµ} ,

we see that lim }λk,n R pλk,n q µ µ} 0.

(8.35)

Ñ8

n

From (8.34) and (8.35) it follows that the pair pµ, νk q belongs to the closure of G p1Ck K q in the space pM pE q, }}q pM pE q, σ pM pE q, Cb pE qqq. Since by assumption the subspace G p1Ck K q is closed for this topology we see that νk 1Ck Kµ, and hence 1Ck Kµ being the σ pM pE q, Cb pE qq-limit of a sequence of real measures is itself a real-valued measure. Since hf, Kµi limkÑ8 hf, 1Ck Kµi we see that Kµ is a real measure. (1). As a second step we prove assertion (1), i.e. we show that for every λ P C with ℜλ ¡ 0 the equality pλI K q DpK q M pE q holds. Therefore we put

1 , and Rpλq

R pλ0 q pλ0 I K q

8 ¸

pλ0 λqk R pλ0 qk

1

.

k 0

By the inequality (8.26) this series converges for λ in the open disc

tλ P C : C |λ λ0 | λ0 u . Moreover, for such λ we have pλI K q Rpλq I (and R pλq pλI K q is the identity on DpK q). Next, consider the subset of C defined by tλ P C : ℜλ ¡ 0, pλI K q DpK q M pE qu . (8.36) Then the set in (8.36) is open and closed in the half plane tλ P C : ℜλ ¡ 0u. Hence it coincides with the half-plane tλ P C : ℜλ ¡ 0u. It follows that

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there exists a family of bounded linear operators Rpλq, ℜλ ¡ 0, such 1 that Rpλq pλI K q . Note that in this construction we equipped the space M pE q with the norm }µ} sup t|hf, µi| : 0 ¤ f ¤ 1u. Altogether this proves (1).

(2). We fix 0 ¤ f ¤ 1, f P Cb pE q, and µ P DpK q, µpB q P R, B P E. Then hf, Kµi belongs to R, and for an appropriate choice of ϑ P rπ {2, π {2s we have

|λ| hf, µi ℜ f, λeiϑ µ ℜ f, pλI K q eiϑ µ ℜ f, K eiϑ µ ℜ f, pλI K q eiϑ µ cos ϑ hf, Kµi . (8.37) From (8.37) and equality (8.11) in Definition 8.2 we infer:

|λ| sup thf, µi : 0 ¤ f ¤ 1, f P Cb pE qu |λ| εinf ¡0 sup t hf, µi : 0 ¤ f ¤ 1,hf, Kµi ¤ ε, f P Cb pE qu iϑ ¤ εinf cos ϑ hf, Kµi : 0 ¤ f ¤ 1, ¡0 sup ℜ f, pλI K q e µ hf, Kµi ¤ ε, f P Cb pE qu ¤ εinf psup t|hf, pλI K q µi| : 0 ¤ f ¤ 1, f P Cb pE qu εq . ¡0

(8.38)


|λ| sup thf, µi : 0 ¤ f ¤ 1, f P Cb pE qu ¤ sup t|hf, pλI K q µi| : 0 ¤ f ¤ 1, f P Cb pE qu .

(8.39)

The conclusion in (8.30) of item (2) of Theorem 8.2 now follows by applying (8.39) to the real measures µ and µ. (3) The inequality in (8.31) is the same as (8.12) in Definition 8.2.

(4) Let µ be a bounded Borel measure on E, and let λ ¡ 0. Then we want to show the equality in (8.32). Therefore we put νx λ pλI K q1 δx , x P E. So that νx P DpK q and pλI K q νx λδx . Then since the operator K is σ pCb pE q, M pE qq-closed we see λµ λ

»

δx dµpxq

»

pλI K q νx dµpxq pλI K q

and consequently, λ pλI

K q1 µ

»

νx dµpxq

»

λ pλI

»

νx dµpxq, (8.40)

K q1 δx dµpxq.

(8.41)

The equality in (8.41) is the same as the one in (8.32). The final step in (8.40) can be justified as follows. We choose double sequences

txj,n : n P N, 1 ¤ j ¤ Nn u E

and

tCj,n : n P N, 1 ¤ j ¤ Nn u E

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such that hf, µi

» lim hf, µn i and f, νx dµpxq lim hf, νn i , f

Ñ8

Ñ8

n

where hf, µn i

n

N n ¸

µ pCj,n q f pxj,n q, and hf, νn i

j 1

N n ¸

µ pCj,n q

463

P Cb pE q, »

(8.42) f dνxj,n .

j 1

Here we employ the Borel measurability of the function x ÞÑ pλI K q1 δx . As a consequence of (8.42) we infer that »

σ pM pE q, Cb pE qq - lim νn

νx dµpxq and (8.43) nÑ8 σ pM pE q, Cb pE qq - lim pλI K q νn λσ pM pE q, Cb pE qq - lim µn λµ. nÑ8 nÑ8

Since the graph of the operator K is σ pM³pE q, Cb pE qq-closed, the equalities in (8.43) imply that the measure B ÞÑ νx pB q dµpxq, B P E, belongs to ³ ³ DpK q and that pλI K q νx dµpxq pλI K q νx dµpxq , which is the same as (8.40). This completes the proof of assertion (4), and also of Theorem 8.2

Corollary 8.1. Let the sectorial sub-Kolmogorov operator K in Theorem 8.1 have the additional property that for some λ0 P C, with λ0 ¡ 0, the range of λ0 I K coincides with M pE q. Then for all λ P C with ℜλ ¡ 0 the 1 exists as a bounded linear operator which is defined operator pλI K q on all of M pE q, and which satisfies

|λ| Var pλI K q1 µ ¤ CVar pµq , ℜλ ¡ 0, µ P M pE q. (8.44) Here Var pµq stands for the total variation norm of the measure µ; it satisfies Var pµq sup t|hf, µi| : |f | ¤ 1u . Proof. [Proof of Corollary 8.1.] From assertion (1) and (2) in Theorem 8.2 it follows that the inverse operators pλI K q1 , ℜλ ¡ 0, exist as continuous linear operators. Then the inequality in (8.31) implies that

|λ| Var pµq ¤ CVar ppλI K q µq ,

ℜλ ¡ 0, µ P M pE q.

(8.45)

The inequality in (8.44) follows from the inequality in (8.45). The representation of the operator etK given in (8.47) is explained in (the proof of) Theorem 8.8 (see equality (8.287)).

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Proposition 8.1. Operators K which have weak -dense domain and which satisfy (8.44) generate weak -continuous analytic semigroups ( π etK : |arg t| ¤ α , for some 0 α . 2 The operators tℓ 1 etK and ptqℓ K ℓ etK , t ¡ 0, ℓ P N, have the representations » ω i8 tℓ 1 tK 1 ℓ2 dλ, etλ etλ 2 pλI K q (8.46) e pℓ 1q! 2πi ωi8 and ptqℓ K ℓ etK (8.47) pℓ 1q!

π1

»8

sin2 ξ ! I ξ2

8

2iξ p2iξI tK q1

)ℓ

1 2 dξ,

2iξ p2iξI tK q

!

)

1 sup |λ| pλI K q : ℜλ ¡ 0 ! ) C1 p0q sup I λ pλI K q1 : ℜλ ¡ 0 , the following in-

respectively. Consequently, with C p0q and with equality holds:

tℓ K ℓ etK

¤ pℓ 1q C p0q2 C1 p0qℓ , t ¥ 0, ℓ P N. ℓ! For ℓ 0 formula (8.46) can be rewritten as: etK

π1

»8

8

sin2 ξ 1 2 dξ. 2iξ p2iξI tK q 2 ξ

(8.48)

(8.49)

The formula in (8.49) can be used to define the semigroup etK , t ¥ 0. For ℓ 1 formula (8.47) reduces to

tKe tK

2 π

»8

) sin2 ξ ! 1 2 2iξ p2iξI tK q1 3 dξ. 2iξ p 2iξI tK q 8 ξ 2 (8.50)

From Cauchy’s theorem it follows that the right-hand side of pℓ 1q! is equal to (8.46) multiplied by tℓ 1 » ω i8 » pℓ 1q! ℓ2 dλ pℓ 1q! ω i8 eλ pλI tK qℓ2 dλ. tλ e p λI K q 2πitℓ 1 ωi8 2πi ω i8 (8.51) Integration by parts shows that the right-hand side of (8.51) does not depend ℓ P N, and hence pℓ 1q! » ω i8 eλ pλI tK qℓ2 dλ 1 » ω i8 eλ pλI tK q2 dλ. 2πi 2πi ωi8 ω i8 (8.52) Proof.

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The right-hand side of (8.52) is the inverse Laplace transform at s 1 of the function s ÞÑ sestK and thus it is equal to etK . This shows (8.46). Since 1 1 I λ pλI K q K pλI K q the equality in (8.46) entails: ptqℓ K ℓetK pℓ 1q! 1 2πit 1 2πi

»ω

»

8 etλ

i

8 8 eλ

ω i ω i

8

ω i

etλ 2 I λ pλI λ2

eλ 2 I λ pλI λ2

K q1

tK q1

ℓ

ℓ

λ2 pλI

λ2 pλI

K q2 dλ

tK q2 dλ, (8.53)

and hence (8.47) follows. The inequality in (8.48) follows immediately from (8.47). The equalities in (8.49) and (8.50) are easy consequences of (8.46) and (8.47) respectively. Altogether this proves Proposition 8.1. Lemma 8.2. Suppose that for ℜλ ¡ 0 the operator λI K has a bounded inverse defined on M pE q. Suppose that C p0q defined by !

1 : ℜλ ¡ 0)

C p0q : sup λ pλI K q

(8.54)

is finite. Let 0 α 12 π be such that 2C p0q sin 12 α 1. Then for λ P C with the property that |argpλq| 12 π α the operator λI K has a bounded inverse with the property that |λ| pλI K q1 ¤ C pαq, |argpλq| ¤ 12 π α, where " * 1 1 C pαq : sup λ pλI K q : |argpλq| ¤ π α . (8.55) 2 If 0 ¤ 2 sin 12 α C p0q 1, then C pαq 8, and C p0q C pαq ¤ . (8.56) 1 2 sin 12 α C p0q In addition, the analytic semigroup esK , |argpsq| ¤ α, can be defined by the same formula as employed in (8.49): » 1 8 sin2 ξ esK µ p2iξq2 p2iξI sK q2 µ dξ, µ P M pE q, |argpsq| ¤ α, π 8 ξ 2 (8.57) and hence sK C p0q2 e ¤ C pαq2 ¤ (8.58) 2 , |argpsq| ¤ α. 1 2 sin 12 α C p0q

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Proof. λ λI

Fix λ P C with ℜλ ¡ 0, and observe the equality

eiα K

1

1

eiαλ pλI K q1 I 1 eiα λ pλI K q1 8 ¸

eiαλ pλI K q1

1 eiα

j

λ pλI

K q1

j

.

j 0

(8.59) The inequality in (8.56) then follows from (8.59). The equality in (8.57) follows from (8.49) and the fact that the vector-valued functions in the right-hand side and the left-hand side of (8.57) are holomorphic in s on an open neighborhood of the indicated sector in C. This proves Lemma 8.2.

K qj1

Proposition 8.2. The powers of the resolvent operators pλI have the representation λj

1

pλI K qj1 µ

λeiα j!

j

1

»8

iα iα sj ese λ ese K µ ds,

P N,

j

0

(8.60) where 0 α 12 π if ℑλ ¥ 0 and ℜλ ¡ 0, and 0 ¡ α ¡ 21 π if ℑλ ¤ 0 and ℜλ ¡ 0. Next choose 0 ¤ α1 α 12 π in such a way that 0 ¤ 2 sin 12 α C p0q 1. In addition the following estimate holds for all j P N and for all λ P C with |argpλq| ¤ 12 π α1 12 π α:

|λ|j

1

λI

p K qj1 ¤ ¤

C p0 q2

1

pcos p|arg λ| αqq 1

psin pα α1 qq

j 1

C p0q2

1 2 sin

»8

8

2 sin2 ξ 2eiα iξ 2eiα iξI 2 ξ

sK

1 2α

1 2α

Proof. Let C pαq be as in (8.55) and suppose C pαq iα measure ese K µ has the representation:

iα 1 ese K µ π

1 2 sin

j 1

2 . (8.61)

C p0q

8.

2

2

C p0q

µ dξ.

Then the

(8.62)

From (8.62) and (8.57) the following estimate is obtained: iα se K e

¤ C pαq2 ¤

C p0 q2

2 ,

1 2C p0q sin 12 α

s ¡ 0,

(8.63)

where C p0q is defined in (8.55). From (8.63) and (8.60) we see that the following estimate holds for all j P N and for all λ P C with |argpλq| ¤

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α1

12 π α: |λ|j 1 pλI K qj1 ¤

1 2π

1

pcos p|arg λ| αqq

j 1

467

C p0q2

1 2 sin

1 2α

2 . C p0q (8.64)

It is clear that (8.64) implies (8.61). This completes the proof of Proposition 8.2.

Proposition 8.3. Let the constants C0 and C1 be such that C1 ℓ ℓ tK t K e ¤ pℓ 1q!C 2 C ℓ , t ¥ 0, ℓ P N. 0 1 Then the following inequality is valid: |λ| pλI K q1 ¤ 274 ?635 C02 C1 , ℜλ ¡ 0.

¥ 1 and (8.65) (8.66)

Proof. Suppose that |argpsq| ¤ α where α satisfies 0 ¤ 2C1 sin Then the measure esK µ can be written as esK µ eps|s|qK e|s|K µ

8 ¸

|s| 1 s

1.

ℓ

ℓ!

ℓ 0

1 2α

p|s| K qℓ e|s|K µ,

(8.67)

and the representation (8.67) together with (8.65) implies the inequality: sK C02 e ¤ (8.68) 2 , |argpsq| ¤ α, 1 2C1 sin 12 α provided 0 2C1 sin 12 α 1. Again the representation in (8.60) ia available. The inequality in (8.61) is replaced with 1 C02 |λ|j 1 pλI K qj1 ¤ pcos p|arg λ| αqqj 1 1 2 sin 12 α C1 2

¤

C02

1

(8.69)

psin pα α1 qq 1 2 sin 12 α C1 2 provided |argpλq| ¤ 12 π α1 12 π α. Since 2pj 3qC1 ¡ j 1, the angle α can be chosen in such a way that 2pj 3qC1 sin 12 α j 1 to obtain the estimate (note that C1 ¥ 1and take α1 0): |λ|j 1 pλI K qj1 j 3 j 1 j 1 j 1 ¤ 14 pj 3qj 1 2 C1 pj 3q pj 1q{2 C02 C1j 1 pj 1q 4C12 pj 3q2 pj 1q2 j 3 2j 1 pj 3qj 1 ¤ 14 pj 3qj 1 C 2C j 1 (8.70) pj 1q 4 pj 3q2 pj 1q2 pj 1q{2 0 1 for ℜλ ¡ 0. If j 0 (8.70) reduces to (8.66). This shows Proposition 8.3. j 1

,

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Remark 8.3. The assumption that C1 ¥ 1 in the inequalities in (8.65) is not too surprising. In fact from (8.65) it follows that C1 ¥ 1 (by the spectral mapping theorem). Corollary 8.2. Let the operator L be the generator of a Tβ -continuous Feller semigroup in Cb pE q. Suppose that L is sectorial. Then its adjoint K L is a sectorial sub-Kolmogorov operator like in Definition 8.2. Moreover, the graph of the operator K is weakÆ -closed and K generates a weak continuous bounded analytic semigroup on M pE q. Proof. As in Theorem 8.1 K has the additional property that for some λ0 P C, with λ0 ¡ 0, the range of λ0 I K coincides with M pE q. Then for 1 all λ P C with ℜλ ¡ 0 the operator pλI K q exists as a bounded linear operator which is defined on all of M pE q. Since L is sectorial it follows that for the operator L the following inequality holds for all λ P C with ℜλ ¥ 0 and for all f P DpLq:

|λ| }f }8 ¤ C }pλI Lq f }8 .

Of course, from (8.71) we see:

|λ| pλI Lq1 f 8 ¤ C }f }8 ,

From (8.72) we obtain, by duality,

f

|λ| Var pλI K q1 µ ¤ CVar pµq ,

(8.71)

P Cb pE q, ℜλ ¡ 0.

(8.72)

µ P M pE q, ℜλ ¡ 0.

(8.73)

We still have to prove that the operator K is a sub-Kolmogorov operator. This can be achieved as follows. Let ℜµ be the real part of the measure µ P DpK q. Then there exists a Borel subset Eℜµ on which ℜµ is a positive measure and which has the property that sup tℜ hf, µi : 0 ¤ f

¤ 1u ℜµ

Eℜµ .

(8.74)

Choose compact subsets Cn and open subsets On of E such that Cn Eℜµ On , and such that lim |ℜµ| pOn zCn q 0. Since µ P DpK q we get nÑ8 D E D 1 E ℜµ Eℜµ ℜ 1E , µ lim ℜ 1E , λ pλI K q µ ℜµ ℜµ λÑ8 D 1 E λlim lim ℜ fn , λ pλI K q µ Ñ8 nÑ8 D E lim lim ℜ λ pλI Lq1 fn , µ , (8.75)

Ñ8 nÑ8

λ

where 1Cn ¤ fn ¤ 1On , fn P Cb pE q. Fix λ ¡ 0 and consider the function 1 gλ,n : λ pλI Lq fn , which satisfies 0 ¤ gλ,n ¤ 1. Moreover, we have D E D E 1 1 ℜ λ pλI Lq fn , Kµ ℜ λL pλI Lq fn , µ

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ℜ λ2 pλI Lq1 fn λfn , µ

ℜ 1EzO λ2 pλI Lq1fn , µ ℜ 1O zC pλ2 pλI Lq1fn λfn q, µ E D 1 ℜ 1C λ2 pλI Lq fn λfn , µ . (8.76) Since the measure ℜµ is positive on E zOn and the function gλ,n is nonnegD

E

n

n

n

n

ative the first term on the right-hand side of (8.76) is less than or equal to zero. The function gλ,n satisfies gλ,n ¤ 1 and the measure ℜµ is positive on Cn , and hence the third term in (8.76) is less than or equal to zero as well. Here we also used the fact that fn 1 on Cn . The middle term in the right-hand side of (8.76) is dominated by

2λ 1On zCn gλ,n , |ℜµ| ¤ 2λ |ℜµ| pOn zCn q . (8.77)

Inserting (8.77) in (8.76) and using the fact that the first and the third term of the right-hand side of (8.76) are dominated by 0 shows the inequality: D E 1 ℜ λ pλI Lq fn , Kµ ¤ 2λ |ℜµ| pOn zCn q . (8.78) Since limnÑ8 |ℜµ| pOn zCn q 0, from (8.74), (8.75), and (8.78) we infer that the operator K is a sub-Kolmogorov operator: see Definition 8.2. The proof of Corollary 8.2 is now complete.

Remark 8.4. In fact in Section 8.2 we will need an inequality of the form

|λ| Var pµq ¤ CVar ppλI K q µq ,

ℜλ ¡ 0, µ P M pE q.

(8.79)

In the presence of (8.79) the operator K generates a bounded analytic semigroup; see Theorem 8.8 below. This is the case if K L , where L is an operator with domain and range in Cb pE q with the property that

|λ| }f }8 ¤ C }pλI Lq f }8 ,

ℜλ ¡ 0, f

P DpLq.

The following theorem is related to a similar result for continuous function spaces rather than for measures by Cerrai (see [Cerrai (1994)] and Appendix B in [Cerrai (2001)]). In K¨ uhnemund (see [K¨ uhnemund (2003)]) the reader may find a generalization of such a result in the context of so-called bicontinuous semigroups. The notion of strongly continuous semigroup is replaced with bi-continuity in the sense that the convergence of semigroups is always assumed with respect to the topology Tβ , whereas the boundedness is always meant in the norm sense. The notion of (infinitesimal) generator is also adapted: for Tβ -generators convergence is considered in the Tβ sense, and boundedness is phrased in terms of the norm. In the present situation the Banach space is the space of all bounded signed measures

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on E endowed with the variation norm and the topology Tβ is the weak topology. A related paper is [Dorroh and Neuberger (1993)]. A result which includes Theorem 8.3 below is formulated in [Bratteli and Robinson (1987)] as Theorem 3.1.10 page 171. The strict topology is also called mixed topology, or K-topology: see the references given in Subsection 2.3.1 of Chapter 2. Theorem 8.3. Let K be a weak-closed linear operator with weak-dense domain in M pE q. Suppose that K possesses the sub-Kolmogorov property in the sense of Definition 8.2. Fix λ0 ¡ 0 and suppose that for every x P E there exists a measure µλx0 such that λ0 δx

pλ0 I K q µλx .

(8.80)

0

Then there exists a weak-continuous semigroup S ptq : etK , t ¥ 0, such that

f, etK I µ lim hf, Kµi , for all f P Cb pE q and µ P DpK q. tÓ0 t

0 From Theorem 8.1 it follows that the measures µλ1,x : µλx0 , x P E, are subprobability measures. If h1, Kµi 0, then these measures are probability measures.

Proof. We will show that our assumptions imply the conditions set forth in Theorem 3.1.10 of [Bratteli and Robinson (1987)]. Assertion (3) of Theorem 8.1 implies λ }µ} ¤ }pλI

K q µ} ,

λ ¡ 0, µ P DpK q,

(8.81)

where }µ} denotes the norm of µ as defined in (8.2). The inequality in (8.81) is the first condition which is required to apply Theorem 3.1.10. Let µ be a measure in M pE q. Then by (8.80) we have λ0 µ

»

E

λ0 δy dµpy q

»

pλ0 I K q µλy dµpyq pλ0 I K q

»

0

E

E

µλy 0 dµpy q,

and so the range of λ0 I K coincides with M pE q. Hence, the result in Theorem 8.3 follows from Theorem 3.1.10 in [Bratteli and Robinson (1987)]. Since the operators K ptq, t ¥ t0 , in equation (8.6) are supposed to have the Kolmogorov property, the evolution family X pt, sq, t ¥ s ¥ t0 , consists of Markov operators in the sense that hf, X pt, t0 q µi ¥ 0 whenever f P Cb pE q is non-negative and µ belongs P pE q; in addition, h1, X pt, t0 q µi 1 for

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µ P P pE q. Since all operators K ptq are Kolmogorov it follows that X pt, t0 q is Markov for all t ¥ t0 . This can be seen by the following approximation argument. Fix t0 T and put

K n pt q K t 0

Z

pT t0 q 2n t t0 2n T

t0

^

K pϕn ptqq ,

(8.82)

where

Z ^ pT t0 q 2n Tt tt0 2n . 0 n Then Kn ptq K pt0 pT t0 q j2 q for j j 1 t 0 p T t 0 q n ¤ t t 0 pT t 0 q n . 2 2 Solutions to the system µptq K ptqµptq, t0 ¤ t ¤ T , are approximated by

ϕn ptq t0

9

solutions to the equation: µ9 n ptq Kn ptqµn ptq,

¤ t ¤ T. (8.83) A solution to (8.83) can be written in the form µn ptq Xn pt, t0 q µn pt0 q, with

ℓ¹ 1

Xn pt, sq epttℓ,n qK ptℓ,n q

eptj

t0

1,n

tj,n qK ptj,n q eptk

1,n

sqK ptk,n q ,

j k 1

j where t0 ¤ s ¤ t ¤ T , tj,n t0 pT t0 q n , 0 ¤ j ¤ 2n , tk,n 2 tk 1,n , and tℓ,n ¤ t tℓ 1,n . We also need Duhamel’s formula:

pXn pt, t0 q Xm pt, t0 qq µ

»t

t0

¤s

Xn pt, sq pKn psq Km psqq Xm ps, t0 q µ ds.

In (8.85) we let m Ñ 8 and use weak -convergence to obtain:

pXn pt, t0 q X pt, t0 qq µ

(8.84)

»t

t0

(8.85)

Xn pt, sq pKn psq K psqq X ps, t0 q µ ds. (8.86)

Of course, we assume that the sequences »t

t0

Xn pt, sq Kn psqXm ps, t0 q µ ds

t0

converge in weak -sense to »t

t0

Xn pt, sq Kn psqX ps, t0 q µ ds

respectively as m Ñ 8.

»t

and

Xn pt, sq Km psqXm ps, t0 q µ ds

»t

and t0

Xn pt, sq K psqX ps, t0 q µ ds

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Theorem 8.4. Let the sequences tKn ptq : n P Nu and tXn pt, t0 q : n P Nu be as in (8.82) and in (8.84). Suppose that for all m P N and all t0 ¤ t1 ¤ t2 ¤ T the measure Xm pt2 , t0 q µ belongs to D pK pt1 qq for all measures µ P M pE q. Also suppose that for every probability measure µ P M pE q the family of measures tKn ptq Xm pt, t0 q µ : t0 ¤ t ¤ T, 1 ¤ n ¤ mu is Tβ -equicontinuous, i.e. there exists a function u P H pE q such that sup sup |hf, Kn ptq Xm pt, t0 q µi| ¤ }uf }8 , f

¤¤

¤

t0 t T n m

P CbpE q.

(8.87)

(a) Then X pt, t0 q µ : }} - limnÑ8 Xn pt, t0 q µ exists and µptq : X pt, t0 q µ satisfies: µ9 ptq K ptqµptq, provided that for all t0 s ¤ T lim }pK ptq K psqq µ} 0

(8.88)

Ò

t s

for all measures µ P sh t s D pK ptqq for some h ¡ 0. (b) Suppose that for every s, t P rt0 , T s, s ¤ t, the sequence tXn pt, sq : n P Nu is uniformly weak -continuous, and that for all measures µP

£

D pK ptqq

s h t s

the following equality holds weak - lim K ptqµ K psqµ.

Ò

(8.89)

t s

Then X pt, t0 q µ : weak - lim Xn pt, t0 q µ, µ

Ñ8

µptq : X pt, t0 q µ satisfies: µ9 ptq K ptqµptq. n

P

M pE q, exists and

For more details on Tβ -equi-continuous families of measures see Theorem 2.3. The sequence tXn pt, sq : n P Nu is called uniformly weak -continuous, if for every function f P Cb pE q and every measure µ P M pE q the sequence of continuous functions ps, tq ÞÑ hf, Xn pt, sq µi, t0 ¤ s ¤ T , n P N, is uniformly continuous. See Remark 2.4 as well.

Let u ¥ 0 be a function in H pE q; i.e. for every α ¡ 0 the set tu ¥ αu is contained in a compact subset of E. In the proof we apply the BanachAlaoglu theorem to the effect that the collection of measures Bu

£

P p q

f Cb E

tµ P M pE q : |hf, µi| ¤ }uf }8 u

(8.90)

is σ pM pE q, Cb pE qq-compact: see Theorem 2.6. As a consequence, we see that every sequence in the collection Bu defined in (8.90) has a σ pM pE q, Cb pE qq-convergent subsequence. Here we use the fact that the

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space Cb pE q endowed with the strict topology is separable; i.e. Cb pE q contains a Tβ -dense countable subset. Proof. [Proof of Theorem 8.4.] By hypothesis (8.87) both terms in the right-hand side of in Duhamel’s formula (8.85) are Tβ -equi-continuous. So there exists a function u P H pE q such that » t Xn pt, sq Kn psqXm ps, t0 q µ ds ¤ }uf }8 and sup sup f,

¤¤

¤

t0 t T n m

t0

» t sup sup f, Xn t, s Km s Xm s, t0 µ ds n¤m

¤¤

t0 t T

t0

p q

pq

p

q

¤ }uf }

(8.91)

(8.92)

for all f P Cb pE q. By the Banach-Alaoglu theorem we may assume that through a subsequence pmj q the weak limit in the right-hand side of (8.85) exists for all t0 ¤ t ¤ T , and that therefore the weak limit of the sequence Xmj pt, t0 q µ exists as well for all t0 ¤ t ¤ T . Again employing the Tβ -equicontinuity condition in (8.87) we may assume that, for every n P N, the weak limit weak - limj Ñ8 Kn psq Xmj ps, t0 q µ exists. Since, in addition, the operators Xn pt, sq are continuous for the weak -topology, we let m Ñ 8 along an appropriate subsequence and use weak -convergence to obtain:

pXn pt, t0 q X pt, t0 qqµ

»t

t0

Xn pt, sqpKn psq K psqqX ps, t0 qµ ds. (8.93)

Our extra hypothesis (8.88) then completes the proof of assertion (a) of Theorem 8.4. The assumption that for every s, t P rt0 , T s, s ¤ t, the sequence tXn pt, sq : n P Nu is uniformly weak -continuous together with weak - limtÒs K ptqµ K psqµ completes the proof of assertion (b) of Theorem 8.4 as well. Remark 8.5. Under Tβ -equi-continuity conditions the sequences Xm ps, t0 q µ and Km psqXm ps, t0 q µ possess subsequences which converge in weak -sense for all t0 ¤ s ¤ T . The Kolmogorov property of the operator function K ptq entails that solutions µn ptq of (8.83) are non-negative, i.e. hf, µn ptqi ¥ 0 for f ¥ 0, f P Cb pE q, and take their values in the simplex P pE q for each initial condition µpt0 q P P pE q. The latter is true because if h1, µn pt0 qi 1, then h1, µn ptqi 1 for all T ¥ t ¥ t0 . Consequently, the mappings µn pt0 q ÞÑ µn ptq, t ¥ t0 , leave the simplex P pE q invariant, provided that µptq is a solution to (8.83). Passing to the limit in (8.83) yields the desired result. This passage can be justified under certain conditions. If the function µn ptq satisfies (8.83), then µn ptq µn pt0 q

»t

t0

Kn psqµn psqds.

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Example 8.1. Let K be a weak -closed Kolmogorov operator with weak dense domain, and let ppt, xq be a Borel measurable strictly positive function defined on rt0 , T s E with the property that for every x P E the function t ÞÑ p pt, xq is continuous. Define the families of operators K1 ptq and K2 ptq, t P rt0 , T s by K1 ptq µpB q

»

B

p pt, xq pKµq pdxq and K2 ptq µpB q

»

B

K pppt, qµq pdxq

Suppose that K has the following property, which is somewhat stronger than the standard Kolmogorov property of Definition 8.2. For every µ ¥ 0, µ P DpK q, and every B P E for which µpB q 0 we have KµpB q ¥ 0. Then the operators K1 ptq and K2 ptq share this stronger Kolmogorov property. 0 Fix λ0 ¡ 0 and suppose that for every x P E there exists a measure µt,λ x t,λ0 such that λ0 δx pλ0 p pt, q K q µx . Then the operator K1 ptq generates a weak -continuous semigroup: see Theorem 8.3. If for every x P E there exists a measure νxt,λ0 such that λ0 p pt, q δx pλ0 p pt, q K q νxt,λ0 . 0 0 Then the measure µt,λ defined by the equality νxt,λ0 p pt, q µt,λ satx x t,λ0 isfies: λ0 δx pλ0 Kp pt, qq µx . Hence, by Theorem 8.3 the operator K2 ptq generates a weak -continuous semigroup in M pE q. If the function pt, xq ÞÑ ppt, xq is uniformly bounded, then the results of (a) in Theorem 8.4 are applicable for the family K1 ptq. If the domains of the operators K2 ptq do not depend on t P rt0 , T s, then the results of (b) in Theorem 8.4 are applicable for the family K2 ptq. Example 8.2. A better example is a family of operators K ptq, t ¥ 0, which are adjoint of operators Lptq with domain and range in Cb pE q, i.e. K ptq Lptq , which generate a time-dependent strong Markov process

tpΩ, Ftτ , Pτ,xq , pX ptq : t ¥ τ q , pE, E qu

such that

B E rf pt, X ptqqs E rpD Lptqqf pt, X ptqqs, f P DpD q £ DpLptqq, τ,x 1 1 Bt τ,x where 0 ¤ τ t ¤ 8. The operator D1 stands for the derivative with respect to time: see Definition 2.8. We put Y pτ, tq f pxq Eτ,x rf pX ptqqs, f P Cb pE q, and X pt, τ q µ Y pτ, tq µ, µ P M pE q. This means that hY pτ, tq f, µi hf, X pt, τ q µi, f P Cb pE q, µ P M pE q. Put P pτ, x; t, B q Pτ,x rX ptq P B s, 0 ¤ τ ¤ t 8, B P E. Then Y pτ, tq f pxq

»

f py qP pτ, x; t, dy q , f

P Cb pE q, 0 ¤ τ ¤ t 8.

(8.94)

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Hence, hf, X pt, τ q µi

»

f py q

»

P pτ, x; t, dy q dµpxq, f

475

P Cb pE q, 0 ¤ τ ¤ t 8.

(8.95) It is assumed that for every t ¥ 0 the operator Lptq generates a bounded analytic Feller semigroup esLptq , |arg s| ¤ αptq. In addition, assume that the operator K ptq Lptq has a spectral gap of width 2ω ptq, and that |λ| pλI Lptqq1 ¤ cptq for ℜλ ¥ ωptq, λ 0. It follows that the operators Lptq generate analytic semigroups esLptq where s P C belong to a sector with angle opening. Then it follows that there exist a constant cptq and an angle 21 π β ptq π such that

|λ| pλI Lptqq1 ¤ cptq,

for all λ P C with |argpλq| ¤ β ptq.

(8.96)

For a proof see Theorem 8.8 and its corollaries 8.4 and 8.5. Let esLptq , s ¥ 0, be the (analytic) semigroup generated by the operator Lptq. Then the (unbounded) inverse of the operator Lptq is given by the strong integral ³8 f ÞÑ 0 esLptq f ds. From (8.228) it follows that for µ P M0 pE q and ℜλ ¡ 0 the inequality D E |λ| g, λI |M0pEq Lptq |M0pEq 1 µ ¤ }g}8 Var pµq , (8.97) holds whenever the function g is of the form g λf Lptqf , with f P D pLptqq. Here M0 pE q is the space of all complex Borel measures µ on E sLptq with the property that µpE q 0: see (8.5). Suppose that Var e µ ¤

cptqe2ωptqs Var pµq for all µ P M0 pE q and s ¥ 0. Then for ℜλ g P C0 pE q and µ P M0 pE q we have D E pλ 2ωptqq g, pλ 2ωptqq I |M0pEq Lptq |M0pEq 1 µ »8D E pλ 2ωptqq g, esppλ2ωptqqI |M0 pEq Lptq |M0 pEq q µ ds, 0

¥ ωptq,

and hence, if |λ 2ω ptq| ¤ 2ω ptq we have D E |λ 2ωptq| g, pλ 2ωptqq I |M0pEq Lptq |M0pEq 1 µ » 8 D E ¤ |λ 2ωptq| g, esppλ2ωptqqI |M0 pEq Lptq |M0pEq q µ ds 0

¤ |λ 2ωptq|

»8 0

¤ cptq |λ 2ωptq|

|M pE q 0 µ ds }g }8

espℜλ2ωptqq Var esLptq »8 0

espℜλ2ωptqq e2sωptq dsVar pµq }g }8

(8.98)

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476

2ω ptq| cptq |λ ℜλ }g}8 Var pµq ¤ 2cptq }g}8 Var pµq .

(8.99)

In view of (8.96), (8.97) and (8.99) it makes sense to consider the largest ω ptq with the property that for all functions g P C0 pE q, and all Borel measures µ P M0 pE q the complex-valued function D 1 E λ ÞÑ λ g, λI |M0 pE q Lptq |M0 pE q µ extends to a bounded holomorphic function on all half-planes of the form (

λ P C : ℜλ ¡ 2ω 1 ptq

with ω 1 ptq ω ptq. In follows that there exists a constant cptq such that for all functions g P Cb pE q and µ P M0 pE q the following inequality holds: D E |λ| g, λI |M0pEq Lptq |M0pEq 1 µ ¤ cptq }g}8 Var pµq , ℜλ ¥ ωptq.

The following definition is to be compared with the definitions 8.5 and 9.14 (in Chapter 9). Definition 8.4. The number 2ω ptq is called the M pE q-spectral gap of the operator Lptq . It is also called the uniform or L8 -spectral gap of the operator Lptq. Next let P pτ, x; t, B q be the transition probability function of the process

tpΩ, Ftτ , Pτ,xq , pX ptq : t ¥ τ q , pE, Bqu generated by the operators Lptq. Suppose that, for every τ P p0, 8q and

every Borel probability measure on E, the following condition is satisfied:

B P pτ, x; t, q dµpxq 0. Bt E Let µ be any Borel probability measure on E. Put µptq Y pτ, tq µ, where Y pτ, tqf pxq Eτ,x rf pX ptqqs , f P Cb pE q. Then µptq Lptq µptq. Moreover, c pt q lim Var pµptqq 0. tÑ8 ω ptq cptq tÑ8 ω ptq lim

»

Var

9

9

We will show this. With the above notation we have: Var pµ9 ptqq

" d sup hf, µ t i : f dt

pq

P Cb pE q, }f }8 1

*

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477

" * sup hY τ, t f, µi : f Cb E , f 8 1 t " » » sup f y P τ, x; t, dy dµ x : f Cb E , f 8 t E E "» » sup f y P τ, x; t, dy dµ x : f Cb E , f 8 t E E »

»

B B B B

Var

p q

P p q }}

pq p

q pq

P p q } } 1

*

* B p qB p q p q P p q } } 1 B B Bt E P pτ, x; t, q dµpxq ¤ E Var Bt P pτ, x; t, q dµpxq.

(8.100)

ÞÑ P pτ, x; t, B q has density p pτ, x; t, yq, then B the total variation of the measure B ÞÑ P pτ, x; t, B q is given by Bt B P pτ, x; t, q » B p pτ, x; t, yq dy. Var (8.101) Bt E Bt If there exists a unique P pE q-valued function t ÞÑ π ptq such that Lptq π ptq 0, then the system Lptq µptq µptq is ergodic. This asserIf the probability measure B

9

tion follows from Theorem 8.5 below. Observe that versions of the Bismut-Elworthy formula with higher order derivatives can be used to prove that certain Feller type semigroups are analytic: see e.g. [Cerrai (2001)] Chapter 3 and Chapter 6. Section 8.7 is devoted to a discussion on this formula. 8.3.1

Ornstein-Uhlenbeck process

The simplest example of this kind of the process is the following one. Example 8.3. In this example we consider the generator L : 12 ∆ x ∇ of the so-called Ornstein-Uhlenbeck process in Cb Rd : see Theorem 1.19 assertion (d), in section E of [Demuth and van Casteren (2000)]. There exists a probability space pΩ, F , Pq together with a Rd -valued Gaussian process tX psq : s ¥ 0u, called Ornstein-Uhlenbeck process, such that EpX psqq 0 and such that E pXj ps1 qXk ps2 qq

1 exp 2

ps1

s2 q

exp 2 minps1 , s2 q

1

δj,k (8.102)

12

exp p |s1 s2 |q exp

ps1

s2 q

δj,k , (8.103)

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478


MarkovProcesses


for all s1 , s2 ¥ 0, and for 1 ¤ j, k ¤ d. Put X x ptq expptqx X ptq. Then the process tX x ptq : t ¥ 0u is the Ornstein-Uhlenbeck process of initial velocity x. Let f : Rd Ñ C be a bounded Borel measurable function. Then E rf pX x ptqqs is given by E rf pX x ptqqs

»

a

f et x

1 e2t y

|y|2 p?πqd

exp

dy.

Moreover, the Ornstein-Uhlenbeck process is a strong Markov process. This is also true for Brownian motion and for the oscillator process. Its integral kernel p0 pt, x, y q is given by p0 pt, x, y q

1

p1 e2t qd{2

exp

e2t |x|2

e2t |y |2 2et hx, yi 1 e2t

.

The semigroup in Cb Rd is given by

rexpptLqf s pxq ? d p πq 1

»

»

p0 pt, x, y qf py q exp

f expptqx

|y|2 ?dy d p πq a 2 1 expp2tqy exp |y | dy.

Its invariant measure is determined by taking the limit: lim rexpptLqf s pxq

1

π d {2

Ñ8

t

»

f py qe|y| dy. 2

For more details the reader is referred to e.g. [Simon (1979)]. The joint distributions of the processes (see Theorem 1.19.(d) of [Demuth and van Casteren (2000)])

(

tX ptq : t ¥ 0u and et B e2t 1 {2 : t ¥ 0 coincide. The process tX ptq!: t ¥ 0u also possesses the same ) law (i.e. joint ³t distribution) as the process 0 exp ppt sqq dB psq : t ¥ 0 . The semigroup generated by L is not a bounded analytic one. This can 1 be seen by rewriting the expression for λRpλq λ pλI Lq , ℜλ ¡ 0. For convenience we write: q ps, x, y q

1

p1 s2 qd{2 1

p1 s2 qd{2

exp

exp

s2 |x|

2

|y|2 2s hx, yi 1 s2

2 |y1sxs2|

.

(8.104)

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MarkovProcesses


Then we have lim q pet , x, y q exp

|y|2

Ñ8 2 p0 pt, x, y q e|y| q et , x, y , t ¡ 0, t

479

, and also

B q ps, x, yq 2 pyj sxj q q ps, x, yq and B yj 1 s2 B2 q ps, x, yq 2 q ps, x, yq 4 pyj sxj q2 q ps, x, yq . 1 s2 pByj q2 p1 s2 q2

(8.105)

From the equalities in (8.105) we get: 1 ∆y q ps, x, y q dq ps, x, y q hy, ∇y q ps, x, y qi 2 ! 2 d 1 s s2 qps, x, yq p1 2ss2 q2 s |x|2 s |y|2 p1

s BBs q ps, x, yq BBt q

)

s2 q hy, xi q ps, x, y q

et , x, y et s .

(8.106)

d P DpLq, and let µ0 be the Borel measure on R which has density 2 π d{2 exp |y | with respect to the Lebesgue measure. Then integration

Let f

by parts yields: λ

»8 0

eλt etL f pxqdt

»8 t8 tL λt 1 e e f pxq t0 0 »8 » hf, µ0 i 1 eλt d q 0 R »8 » hf, µ0 i 1 eλt q Rd

0

1 eλt etL Lf pxqdt

et , x, y Lf py q

dy dt π d{2

1 et , x, y ∆f py q hy, ∇f py qi

2

dy dt π d{2

(apply again integration by parts)

hf, µ0 i

»

Rd

»8 0

1 eλt

1 ∆y q et , x, y 2 »8

dy t t dq e , x, y y, ∇y q e , x, y f py q d{2 dt π

hf, µ0 i p1 eλt q 0 » d 2e2tt|x|2 |y|2 pet et q hy, xiu qpet , x, yqf pyq dy dt e2t 1 pe2t 1q2 π d{2 R d

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480

hf, µ0 i

»8

» Rd

1 eλt

0

!

)

|x|2 |y|2 pet et q hy, xi d dy

q et , x, y dtf py q 2 2t e 1 π d{2 pe2t 1q ? 2t 1 (make the substitution y et x 1e y ) » »8 ! a

) 1 eλt y 1 2 e2t 1 y 1 , x hf, µ0 i d 2 e2t 1 R 0 1 a exp y1 2 f et x 1 e2t y1 dt πdyd{2 . (8.107) 2e

2t

d

By the same token we get λ

»8 0

eλt etL f pxqdt

f pxq

»8

»

lim

Ó

η 0

exp

Rd

η

eλt d e2t 1

1 2 t y f e x

a

!

2 2 y 1

1 e2t y 1 dt

a

) e2t 1 y 1 , x

dy 1 . π d{2

(8.108)


»8 λt tL λ e e f x dt hf, µ0 i 0 ! ) 2 2 2t t t » » 8 2e x y e e hy, xi d

1 eλt 2t 2 e 1 d e2t 1 R 0 dy q et , x, y dt d{2 f 8 π ! ) » »8 2e2t x 2 y2 et et hy, xi d 1 eλt 2 e2t 1 e2t 1 Rd 0

pq

¤

||

| | p p q

q

}}

¤

q et , x, y dt

dy }f }8 π d{2

(make the substitution y

»8

» Rd

0

1

||

q

?

etx

d eλt 2t e 1

| | p p q

!

2

1 e2t y 1 )

|y1 |2

?

)

e2t 1 hy 1 , xi

e2t 1

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481

1

y1 2 dt πdyd{2 }f }8 » » 8 ! a

) 1 eλt y 1 2 e2t 1 y 1 , x d 2 e2t 1 R 0 dy 1 2 exp y 1 dt d{2 }f }8 π » » 8 ! ) a 1 eλt 2 2t 1q hy, xi d | y | 2 p e e2t 1 R 0

1 2 dy exp |y | dt 2 p2πqd{2 }f }8

» »8 1 eλt dy 1 2 2 ¤ d | y | exp | y | dt }f }8 2t 1 d{2 e 2 p 2π q R 0

» » 8 ? 2 1 eλt 1 2 ? 2t |hy, xi| exp 2 |y| dt p2πdyqd{2 }f }8 e 1 R 0 » 8 » 1 eλt 2 8 1 eλt ? 2t dt |x| }f }8 . ¤ 2d dt }f }8 ? (8.109) e2t 1 π 0 e 1 0 exp

d

d

d

d

We will also estimate the absolute value of the quantity: » » dy dy q p0, x, y q f py q d{2 q et , x, y f py q d{2 π π » »8 )

2e2s ! 2 2 s s d e2s 1 |x| |y| e e hy, xi t e2s1 1 q es, x, y ds f pyq πdyd{2 » »8! ! a

)) d 2 y1 2 e2s 1 y1 , x e2s1 1 exp y1 2 t a dy 1 f es x 1 e2s y 1 ds d{2 π # ++

» »8# 2s 1 e 1 1 2 2 d |y| hy, xi exp |y | 2 e2s 1 2 t

f es x

1 e2s y 2

ds

dy

p2πqd{2 .

(8.110)

Here we used the equality in (8.106): )

2e2s ! 2 2 s s d e2s 1 |x| |y| e e hy, xi e2s1 1 q es, x, y

BBs q

es , x, y .

(8.111)

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482

From (8.110) we obtain the following estimate in the same manner as we got the inequality in (8.109): » q 0, x, y f y dy π d{2 »8

p

q pq

¤ 2d

»8 0

d

q et , x, y f py q

?1π

ds }f }8

eλt p0 pt, x, y q e|y| dt λ 2

»1

t

e2s 1

»

»8 t

?

dy π d{2

1 ds |x| }f }8 . e2s 1

(8.112)

x. In addition, the substitution s et shows the equality:

Suppose y λ

1

0

»1 0

»1 0

1 sλ s q ps, x, y q ds 1 s2

s |x|2 2 1 sλ p s, x, y q q 1 s2

sλ1 q ps, x, y q ds

s |y |2 1 1 s2

s2 hx, yi

ds.

(8.113)

From (8.113) we infer λ

»8» 0

d

f py qeλt p0 pt, x, y q e|y|

»1 0

»1 0

1 sλ s 1 s2

2 1 sλ 1 s2

»

»

dy dt π d {2

f py qq ps, x, y q f py qq ps, x, y q

(make the substitution y »1

2

sx

?

dy ds π d{2 s |x|

2

s |y | 1 1 s2 2

s2 hx, yi dy ds π d{2

1 s2 y 1 )

» λ 1 a 2 d 11ss2 s f sx 1 s2 y1 e|y1 | πdyd{2 ds 0 »1 λ » a a

2 11ss2 f sx 1 s2 y1 s y1 2 1 s2 x, y1 0 1 2 e|y1 | πdyd{2 ds » »1 a 1 2 dy 1 s 1 sλ 12 2 y 1 e|y | y f sx 1 s d 2 ds 1 s2 π d{2 0 »1 » 1 a 2 2 1 sλ ? 2 f sx 1 s2 y1 x, y1 e|y1 | πdyd{2 ds. (8.114) 1s 0

Let C pt, sq, t ¥ s, t, S P R, be a family of d d matrices with real entries, with the following properties:

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483

(a) C pt, tq I, t P R, (I stands for the identity matrix). (b) The following identity holds: C pt, sqC ps, τ q C pt, τ q holds for all real numbers t, s, τ for which t ¥ s ¥ τ . (c) The matrix valued function pt, s, xq ÞÑ C pt, sqx is continuous as a func( tion from the set pt, sq P Rd Rd : t ¥ s Rd to Rd .

Define the backward propagator YC on Cb Rd by YC ps, tqf pxq f pC pt, sqxq, x P Rd ,and f P Cb Rd . Then YC is a backward propagator on the space Cb Rd , which is σ Cb Rd , M Rd -continuous. Here the symbols M Rd stand for the vector space of all signed measures on Rd . Let W ptq be standard m-dimensional Brownian motion on pΩ, Ft , Pq and let σ pρq be a deterministic continuous function which takes its values in the space of d m-matrices. Put Qpρq σ pρqσ pρq . Another interesting example is the following: YC,Q ps, tq f pxq

»

1

p2πqd{2

E

f

2 1 e 2 |y| f C pt, sqx

C pt, sqx

»t s

» t s

C pt, ρqQpρqC pt, ρq dρ

1{2

y dy

C pt, ρqσ pρqdW pρq

(8.115)

,

where A is an arbitrary d d matrix, and where Qpρq σ pρqσ pρq is a the propagators YC,Q and YC,S are positive-definite d d matrix. Then backward propagators on Cb Rd . We will prove this. Next suppose that the forward propagator C on Rd consists of contractive operators, i.e. C pt, sqC pt, sq ¤ I (this inequality is to be taken in matrix sense). Choose a family S pt, sq of square d d-matrices such that C pt, sqC pt, sq S pt, sq S pt, sq I, and put » 2 1 1 YC,S ps, tq f pxq e 2 |y| f pC pt, sqx S pt, sqy q dy. (8.116) d{2 p2πq In fact the example in (8.116) is a special case of the example in (8.115) provided Qpρq is given by the following limit: Qpρq lim

Ó

h 0

If Qpρq is as in (8.117), then

I C pρ hq C pρ hq . h

S pt, sq S pt, sq I C pt, sq C pt, sq

»t s

(8.117)

C pt, ρq QpρqC pt, ρq dρ.

The following auxiliary lemma will be useful. It is the finite-dimensional analog of Proposition 1.5 in Chapter 1. Condition (8.118) is satisfied if

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484

the three pairs pC1 , S1 q, pC2 , S2 q, and pC3 , S3 q satisfy: C1 C1 S1 S1 C2 C2 S2 S2 C3 C3 S3 S3 I. It also holds if C2 C pt2 , t1 q, and Sj S j

S3 S3

» tj

tj1 » t2 t0

C ptj , ρq σ pρqσ pρq C ptj , ρq dρ,

j

1,

2,

and

C pt2 , ρq σ pρqσ pρq C pt2 , ρq dρ.

Lemma 8.3. Let C1 , S1 , C2 , S2 , and C3 , S3 be d d-matrices with the following properties: C3

Let f

P Cb

C2 C1 ,

and

d

C2 S1 S1 C2

R , and put Y1,2 f pxq

»

1

Y1,3 f pxq

»

1

p2πq {

d 2

Y1,3 .

(8.118)

S1 y q dy;

(8.119)

e 2 |y| f pC2 x

S2 y q dy;

(8.120)

e 2 |y| f pC3 x

S3 y q dy.

(8.121)

1

p2πq {

d 2

S3 S3 .

e 2 |y| f pC1 x 1

p2πq {

d 2

Y2,3 f pxq

Then Y1,2 Y2,3

»

1

S2 S2

1

2

2

2

Proof. Let the matrices Cj and Sj , 1 ¤ j ¤ 3, be as in (8.118). Let f P Cb Rd . First we assume that the matrices S1 and C2 are invertible, and we put A3 S11 C21 S3 , and A2 S11 C21 S2 . Then, using the equalities in (8.118) we see A3 A3 I A2 A2 . We choose a d d-matrix A such that A A I A2 A2 , and we put D A1 A2 A3 . Then we have A3 A3 I D D. Let f P Cb Rd . Let the vectors py1 , y2 q P Rd Rd and py, z q P Rd Rd be such that

Since we obtain

y1 y2

A3 0

A2 A1 y . A1

1 A pI 2

A2 A2 pI

A2 A2 q

det pI

A2 A2 q det pI

(8.122)

z

A2 A2 q

1 A , 2

A2 A2 q .

Hence, the absolute value of the determinant of the matrix in the right-hand side of (8.122) can be rewritten as: det A3 0

A2 A1 2 det A3 pdet Aq1 2 A1

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pA3 A3 q det pI det det pA Aq det pI

A2 A2 q A2 A2 q

485

1.

(8.123)

From (8.122) and (8.123) it follows that the corresponding volume elements satisfy: dy1 dy2 dy dz. We also have

|y1 |2 |y2 |2 |y|2 |z Dy|2 .

(8.124)

Employing the substitution (8.122) together with the equalities dy1 dy2 dy dz and (8.124) and applying Fubini’s theorem we obtain: Y1,2 Y2,3 f pxq

¼

2 2 1 1 e 2 p|y1 | |y2 | q f pC2 C1 x C2 S1 y1 S2 y2 q dy1 dy2 d p2πq ¼ 1 12 p|y|2 |zDy|2 q f pC3 x S3 y q dy dz p2πqd » e 1 12 |y|2 f pC3 x S3 y q dy Y1,3 f pxq (8.125) p2πqd e

for all f P Cb Rd . If the matrices S1 and C2 are not invertible, then we S1,ε S I, replace the C1 with C1,ε eε C1 and S1,ε satisfying C1,ε C1,ǫ 1,ε ε and limεÓ0 S1,ε S1 . We take S2,ε e S2 instead of S2 . In addition, we S2,ε S I, choose the matrices C2,ε , ε ¡ 0, in such a way that C2,ε C2,ǫ 2,ε and limεÓ0 C2,ε C2 . This completes the proof of Lemma 8.3. ³t

Proposition 8.4. Put X τ,xptq C pt, τ q x τ C pt, ρq σ pρqdW pρq. Then τ,x the process X ptq is Gaussian. Its expectation is given by E rX τ,x ptqs C pt, τ q x, and its covariance matrix has entries

P-cov Xjτ,x psq, Xkτ,x ptq

» t s

C pt, ρq QpρqC pt, ρq dρ (

.

(8.126)

j,k

Let pΩ, F , Pτ,x q , pX ptq, t ¥ 0q , Rd , B d be the corresponding time-inhomogeneous Markov process. Then this process is generated by the family operators Lptq, t ¥ 0, where Lptqf pxq

1 ¸ Qj,k ptqDj Dk f pxq 2 j,k1 d

h∇f pxq, Aptqxi .

Here the matrix-valued function Aptq is given by Aptq lim

The semigroup esLptq , s ¥ 0, is given by esLptq f pxq

Ó

h 0

C pt

(8.127) h, tq I . h

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MarkovProcesses


486

»s

E f e p qx sA t

»

1

0

epsρqAptq σ ptqdW pρq

» s

2 1 e 2 |y| f esAptq x

p2πqd{2 » p ps, x, y; tq f pyqdy

where, with QAptq psq

p ps, x, y; tq is given by

0

»s

p2πqd{2

y

dy

0

eρAptq QptqeρAptq dρ, the integral kernel

1

1{2

(8.128)

p ps, x, y; tq b

e p q QptqeρAptq dρ ρA t

det QAptq psq

1 e 2

pQ

D

p q psqq

A t

1 pyesAptq xq,yesAptq xE

.

If all eigenvalues of the matrix Aptq have strictly negative real part, then the measure B

ÞÑ

1

»

p2πqd{2

2 1 e 2 |y| 1B

» 8 0

e p q QptqeρAptq dρy dy ρA t

defines an invariant measure for the semigroup esLptq , s ¥ 0. From Remark 8.7 below it follows that our theory is not directly applicable to the Ornstein-Uhlenbeck process as exhibited in Proposition 8.4. Therefore we will modify the example in the next proposition. Proposition 8.5. Let the Rd -valued process X ptq be a solution to the following stochastic differential equation: X ptq C pt, τ q X pτ q

»t τ

C pt, ρq F pρ, X pρqq dρ

»t τ

C pt, ρq σ pρ, X pρqq dW pρq.

(8.129) Under appropriate conditions on the functions F and σ the equation in (8.129) has a unique weak solution. More precisely, it is assumed that x ÞÑ σ pt, xq is Lipschitz continuous with a constant which depends continuously on t, and that for some strictly positive continuous functions k1 ptq, k2 ptq and k3 ptq, and strictly positive finite constants ε ¡ 0, α ¡ 0, the following inequality holds for all y, z P Rd : y 1 ε F pt, y z q , k2 ptq |z |α k3 ptq. (8.130) |y| ¤ k1 ptq |y|

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MarkovProcesses


487

It is also assumed that the functions y ÞÑ F pt, y q and y ÞÑ σ pt, y q are locally Lipschitz, i.e., for every compact subset K of Rd there exists a continuous function t ÞÑ CK ptq such that for all y1 and y2 P K the inequalities

|F pt, y2 q F pt, y1 q| ¤ CK ptq |y2 y1 | , |σ pt, y2 q σ pt, y1 q| ¤ CK ptq |y2 y1 | ,

hold. The corresponding Markov process

Ω, Fτt , Pτ,x , pX ptq, t ¥ 0q , Rd , B d

and (8.131) (

is generated by the time-dependent linear differential operators Lptq, given by Lptqf pxq h∇f pxq, Aptqx where Aptq lim

Ó

C pt

h 0

aj,k pt, xq

1 ¸ Dj Dk f pxqaj,k pt, xq, (8.132) 2 j,k1 d

F pt, xqi

d ¸

h, tq C pt, tq , h

and

σj,ℓ pt, xq σk,ℓ pt, xq .

ℓ 1

It is assumed that the operator Aptq satisfies hAptqy, yi ¤ 0, y P Rd . Moreover, let X τ,xptq, t ¥ τ , be a solution to (8.129) with X pτ q x. Then

Eτ,x

n ¹

fj pX ptj qq

j 1

E

n ¹

fj pX

τ,x

ptj qq

,

j 1

where E is the expectation with respect to the distribution of Brownian motion. In addition,

B Bt Eτ,x rf pX ptqqs Eτ,x rLptqf pX ptqqs . ³ Proof. Fix a C 1 -function ϕ : Rd Ñ r0, 8q such that R ϕpy qdy 1, and supp pϕq t|y | ¤ 1u. Moreover, assume that ϕpy q is symmetric in the sense ³ that ϕpy q ϕpy q, y P Rd . This property implies e.g. R yϕpy qdy 0. In addition, let εn , n P N, be a sequence of positive real numbers such that 0 εn 1 ¤ εn ¤ 1, n P N, and such that limnÑ8 εn 0. Let the process t ÞÑ Y ptq be such that E supτ ¤t¤T |Y ptq| 8, and define the processes s ÞÑ Fn ps, Y psqq, n P N, by » Fn ps, Y psqq F ps, Y psq εn y q ϕpy qdy d

d

Rd

October 7, 2010

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MarkovProcesses


488

» Rd

F ps, y q ϕ

Y psq y εn

dy . εkn

Then the functions Fn have properties similar to F , and for each fixed n, the functional Y pq ÞÑ Fn pt, Y ptqq is globally Lipschitz continuous. Instead of looking at the equation in (8.129) we consider the sequence of equations (n P N): Xn ptq C pt, τ q Xn pτ q »t τ

»t τ

C pt, ρq Fn pρ, Xn pρqq dρ

C pt, ρq σ pρ, Xn pρqq dW pρq.

(8.133)

Assuming that the equation in (8.133) has a solution Xn ptq, then we write Zn ptq

»t τ

C pt, ρq σ pρ, Xn pρqq dW pρq and Yn ptq Xn ptq Zn ptq.

(8.134) In terms of Yn ptq and Zn ptq the equation in (8.133) reads as follows (notice that Zn pτ q 0): »t

Yn ptq C pt, τ q Yn pτ q

τ

C pt, ρq Fn pρ, Yn pρq

Moreover, from (8.130) it follows that Yn ptq Fn pt, Yn ptq Zn ptqq , |Yn ptq|

¤ k1 ptq |Yn ptq|1

ε

k2 ptq |Zn ptq|

k3 ptq

α

From our hypotheses it follows that d d Yn ptq | Yn ptq| Yn ptq, dt dt |Yn ptq| Yn ptq AptqYn ptq, |Y ptq| Fn pt, Yn ptq n

¤ k1 ptq |Yn ptq|1

ε

k2 ptq |Zn ptq|

(8.135)

(8.136)

εn .

Zn ptqq ,

k3 ptq

α

Zn pρqq dρ.

Yn ptq |Yn ptq|

εn .

(8.137)

From (8.134) we also see: Zn ptq

»t τ

C pt, ρq σ pρ, Yn pρq

Zn pρqq dW pρq.

(8.138)

Applying H¨ older’s inequality to (8.137) shows d Eτ,x r|Yn ptq|s ¤ k1 ptq pEτ,x r|Yn ptq|sq1 dt

ε

k2 ptqEτ,x r|Zn ptq|α s k3 ptq εn . (8.139)

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MarkovProcesses


489

Next put y1,n ptq Eτ,x r|Yn ptq|s, and let y2,n ptq be any continuously differentiable positive function with the following properties: y2,n pτ q ¥ y1,n pτ q |x|, and y9 2,n ptq ¥ k1 ptqy2,n ptq1

ε

k2 ptqEτ,x r|Zn ptq|

α

s

k3 ptq

εn .

(8.140)

Then from (8.137), (8.139), and Lemma 8.4 below we obtain y2,n ptq ¥ y1,n ptq, t ¥ τ . A martingale solution to equation (8.129) can be found as follows. First find a (weak) solution X0 ptq, t ¥ τ ¥ 0, to the equation X0 ptq C pt, τ q X0 pτ q

»t τ

C pt, ρq σ pρ, X0 pρqq dW pρq.

(8.141)

Then choose F0 pt, y q in such a way that F pt, y q σ pt, y q F0 pt, y q. After that we define the finite-dimensional distributions of the process XF ptq as follows. First we introduce the process ζ pt, τ q, t ¥ τ : ζ pt, τ q

»t τ

F0 pρ, X0 pρqq dW pρq

1 2

»t τ

|F0 pρ, X0 pρqq|2 dρ.

(8.142)

Then the process t ÞÑ eζ pt,τ q , t ¥ τ , is a local martingale with respect to the filtration FtW,τ : σ pW pρq : τ ¤ ρ ¤ tq, t ¥ τ , generated by Brownian motion, and which X0 pτ q x, P-almost surely. This means is such that that if E eζ pt,τ q X0 pτ q x 1, then the process t ÞÑ eζ pt,τ q , t ¥ τ , is a martingale with respect to the measure A ÞÑ P A X pτ q x , A P FtW,τ . The finite-dimensional distributions of the process XF ptq, t ¥ τ , are given by the Girsanov formula: Eτ,x rf pXF pt1 q , . . . , XF ptn qqs

E

eζ pt,τ q f pX0 pt1 q , . . . , X0 ptn qq X0 pτ q

Here we assume that the function f :

x . (8.143) d R Rd Ñ R is a bounded looooooomooooooon

Borel function, and τ ¤ t1 tn ¤ t. In order to prove that equality (8.143) determines the distribution of the process XF ptq, t ¥ τ , we have to show that the martingale problem for the family of operators Lptq, t ¥ τ , in (8.127) is well-posed. Therefore, we apply Itô’s formula to obtain: n times

eζ pt,τ q f pX0 ptqq eζ pτ,τ q f pX0 pτ qq

»t τ

eζ pρ,τ q f pX0 pρqq hF0 pρ, X pρqq , dW pρqi

»t τ

eζ pρ,τ q h∇f pX0 pρqq , σ pρ, X pρqq dW pρqi

October 7, 2010

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MarkovProcesses


490

»t τ »t τ

eζ pρ,τ q h∇f pX0 pρqq , ApρqX0 pρqi dρ eζ pρ,τ q h∇f pX0 pρqq , σ pρ, X0 pρqq F0 pρ, X0 pρqqi dρ

1 ¸ 2 j,k1 d

»t τ

»t τ

eζ pρ,τ q σ pρ, X0 pρqq σ pρ, X0 pρqq

j,k

Dj Dk f pX0 pρqq dρ

eζ pρ,τ q f pX0 pρqq hF0 pρ, X pρqq , dW pρqi

»t τ »t τ

eζ pρ,τ q h∇f pX0 pρqq , σ pρ, X pρqq dW pρqi eζ pρ,τ q Lpρqf pX0 pρqq dρ.

(8.144)

It follows that that the process t ÞÑ eζ pt,τ q f pX0 ptqq f pX0 pτ qq

»t τ

eζ pρ,τ q Lpρqf pX0 pρqq dρ

is a martingale with respect to the measure A ÞÑ P A X pτ q x , A P FtW,τ , provided that E eζ pt,τ q X pτ q x 1. Hence under the latter condition it follows that the process t ÞÑ XF ptq is a Pτ,x -martingale. Essentially speaking this proves that the martingale problem for the operators Lptq, t ¥ τ , possesses solutions. In order to establish the Markov property we need the uniqueness of solutions. The uniqueness of solutions can be achieved as follows. Let t ³ÞÑ X 1 ptq andX 2 ptq, t ¥ τ , be solutions to equat tion (8.129). Put Z j ptq τ σ ρ, X j pρq dW pρq, and Y j ptq X j ptqZ j ptq. ³ t Then Z j ptq τ σ ρ, Y j pρq Z j pρq dW pρq, and Y j ptq C pt, τ q Y j pτ q

»t τ

F ρ, Y j pρq

Z j pρq dρ.

(8.145)

Let K be a compact subset of rτ, 8q Rd , and define the stopping times j τK , j 1, 2, and τK by

inf t ¡ τ :

t, X j ptq

(

P rτ, 8q Rd zK and τK min τK1 , τK2 . Then on the event tτK ¡ tu by the local Lipschitz property of the function j τK

F and σ we have (see (8.131)) Y 2 pt q Y 1 pt q d 2 d 1 2 1 Y ptq Y ptq Y pt q Y pt q , 2 dt dt |Y ptq Y 1 ptq| 2 1 Y pt q Aptq Y 2 ptq Y 1 ptq , |YY 2 ppttqq Y 1 ptq|

October 7, 2010

9:50


MarkovProcesses


F t, Y

2

1

1

t Y 2 t t Y 2 t

¤ CK p q CK p q

Y 2 pt q Y 1 pt q , 2 |Y ptq Y 1 ptq|

ptq Z ptq F t, Y ptq Z ptq p q Y 1 ptq Z 2 ptq Z 1 ptq » t p q Y 1 ptq σ ρ, X 2pρq σ

2

491

τ

ρ, X 1 pρq

W pρq . (8.146)

From the Gronwall inequality (8.189) in Lemma 8.6 and (8.146) we infer: 2 Y t

³t

p q Y 1 ptq ¤ Y 2 pτ q Y 1 pτ q e C pρqdρ »t ³ 1 1 e C pρ qdρ CK pρq |Z2 pρq Z1 pρq| dρ. τ

t ρ

K

K

τ

Inequality (8.147) on the event tτK

¡ tu entails:

2 Y t Y 1 t 1tτK ¡tu ³t 2 Y τ Y 1 τ 1tτK ¡tu e τ CK pρqdρ »t ³

p q p q ¤ p q p q 1 1 e C pρ qdρ CK pρq |Z2 pρq Z1 pρq| 1tτ t ρ

K

τ 2

³t

Y pτ q Y 1 pτ q 1tτ ¡tu e C pρqdρ » ρ »t ³ C pρ1 qdρ1 CK pρq σ ρ1 , X 2 e t ρ

K

τ

τ

1tτ ¡tudρ ³ p q Y 1 pτ q 1tτ ¡tu e 1 1 e C pρ qdρ CK pρq 2 Y τ »t ³

K

t ρ

t τ

K

K

¡tu dρ

K

τ

K

(8.147)

ρ1 σ ρ1 , X 1 ρ1 dW ρ1

pq

CK ρ dρ

K

τ

» ρ^τK 1 1 1 1 1 2 1 σ ρ ,X ρ σ ρ ,X ρ 1tτK ¡ρ1 u dW ρ 1tτK ¡tu dρ τ ³t 2 Y τ Y 1 τ 1tτK ¡τ u e τ CK pρqdρ »t ³

¤

p q p q 1 1 e C pρ qdρ CK pρq t ρ

K

τ

» ρ^τK σ ρ1 , X 2 ρ1 τ

σ ρ1 , X 1 ρ1 1tτK ¡ρ1 u dW ρ1 1tτK ¡τ udρ.

(8.148) It follows that

τ

sup Y 2 psq Y 1 psq 1tτK ¡su

¤s¤t

October 7, 2010

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492

¤ Y 2 pτ q Y 1 pτ q 1tτ ¡τ ue »t ³ 1 1 e C pρ qdρ CK pρq K

t ρ

τ

K

³t τ

pq

CK ρ dρ

K

»τ ρ^τK σ ρ1 , X 2 ρ1

1tτ

σ

ρ1 , X 1 ρ1

1tτK ¡ρ1 u dW ρ1

¡τ udρ,

(8.149)

and hence by the elementary inequalities 2ab 2a2 2b2 , a, b P R,

τ

MarkovProcesses

¤

a2

b2 and pa

bq

2

¤

2 sup Y 2 psq Y 1 psq 1tτK ¡su

¤s¤t

³t

¤ 2 Y 2 pτ q Y 1 pτ q2 1tτ ¡τ ue2 C »t»t ³ ³ C pρ1 qdρ1 2 e CK pρ1 q e τ

K

t ρ1

τ

t ρ2

K

τ ρ1 τK

» ^ σ ρ1 , X 2 ρ1 »τρ2 ^τK σ ρ1 , X 2 ρ1

K

pρqdρ

p q

CK ρ1 dρ1

CK pρ2 q

σ ρ1 , X 1 ρ1 1tτK ¡ρ1 udW ρ1

σ ρ1 , X 1 ρ1 1tτK ¡ρ1 udW ρ1

τ 1tτ ¡τ udρ1 dρ2 ³ ¤ 2 Y 2 pτ q Y 1 pτ q2 1tτ ¡τ ue2 C pρqdρ »t»t ³ ³ C pρ1 qdρ1 C pρ1 qdρ1 CK pρ1 q e CK pρ2 q e K

t τ

K

t ρ1

τ

K

t ρ2

K

K

τ

» ρ1 ^τK σ ρ1 , X 2 ρ1 τ

» ρ2 ^τK σ ρ1 , X 2 ρ1 τ

2

σ ρ1 , X 1 ρ1 1tτK ¡ρ1 u dW ρ1

2

σ ρ1 , X 1 ρ1 1tτK ¡ρ1 u dW ρ1

1tτ ¡τ udρ1 dρ2 ³ ¤ p q Y 1 pτ q2 1tτ ¡τ ue2 C pρqdρ ³ 1 1 1 1 2 e C pρ qdρ CK pρq e C pρ qdρ 1 K

2 Y 2 τ »t ³

t ρ

»

τ ρ τK

τ

^

t τ

K

t τ

K

σ ρ1 , X 2 ρ1

σ

K

K

ρ1 , X 1 ρ1

2

1tτK ¡ρ1 u dW ρ1 1tτK ¡τ udρ, (8.150)

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MarkovProcesses


493

The fact that the process ρ ÞÑ

» ρ^τK

σ ρ1 , X 2 ρ1

τ

ρ1 , X 1 ρ1

σ

1tτK ¡ρ1 u dW ρ1

is a martingale with respect to Brownian motion entails the equality » ρ^τK σ E τ » ρ^τK E

2

ρ1 , X 2 ρ1 σ ρ1 , X 1 ρ1 1tτK ¡ρ1 u dW ρ1 1tτK ¡τ u σ ρ1 , X 2 ρ1

τ

2

σ ρ1 , X 1 ρ1 2 1tτK ¡ρ1 u dρ1 1tτK ¡τ u .

(8.151) By taking expectations in (8.150) and using (8.151) we get

E τ

2 sup Y 2 psq Y 1 psq 1tτK ¡su

¤s¤t

¤ 2E

2

2 Y τ »t ³

³t

p q Y 1 pτ q2 1tτ ¡τ u e2 C pρqdρ ³ 1 1 1 1 e C pρ qdρ CK pρq e C pρ qdρ 1 t ρ

K

τ

K

t τ

K

τ » ρ τK

K

2 ^ 1 , X 2 ρ1 1 , X 1 ρ1 1tτ ¡ρ1 u dW ρ1 1tτ ¡τ u dρ σ ρ σ ρ K K τ ³t 2 2E Y 2 τ Y 1 τ 1tτK ¡τ u e2 τ CK pρqdρ »t ³ ³

E ¤

pp

p q p q 1 1 e C pρ qdρ CK pρq t ρ

2

τ

E

p qq p

K

» ρ^τK

p qq

t 1 1 e τ CK pρ qdρ

σ ρ1 , X 2 ρ1

τ

p q

1

(employ the local Lipschitz property of the function x rK pρq) Lipschitz constant C

¤ 2E

Y 2 τ »t ³ τ

E ¤ 2E

³t

p q Y 1 pτ q2 1tτ ¡τ u e2 C pρqdρ ³ 1 1 1 1 e C pρ qdρ CK pρq e C pρ qdρ 1 t ρ

2

» ρ^τK τ

Y 2 τ

t τ

K

r2 ρ1 X 2 ρ1 C K

p q Y 1 pτ q2 1tτ

K

ÞÑ σ pρ, xq

K

τ

K

K

σ ρ1 , X 1 ρ1 2 1tτK ¡ρ1 udρ1 dρ

X1

¡τ u e2

³t τ

2 ρ1 1tτK ¡ρ1 u dρ1 dρ

pq

CK ρ dρ

with

October 7, 2010

9:50


MarkovProcesses


494

³t

2 e

τ

pq

1

CK ρ dρ

» t^τK

2

E

r 2 ρ X 2 ρ C K

pq

τ

2 ρ 1tτK ¡ρu dρ .

p qX p q 1

(8.152) From the Burkholder-Davis-Gundy inequality for p 2 we obtain;

E τ

2 sup Z 2 psq Z 1 psq 1tτK ¡su

¤s¤t

» s^τK E sup σ ρ, X 2 ρ τ ¤s¤t

¤ 4E ¤ 4E

» t^τK τ » t τK

^

τ

p q σ

τ

ρ, X pρq

σ ρ, X 2 ρ

ρ, X pρq

2

p q σ

1

1

1τ K

2 1τK ¡ρ dW ρ 1tτK ¡su

pq

2 ¡ρ dρ1tτ

K

¡τ u

r 2 pρq X 2 pρq X 1 pρq 1tτ ¡ρu dρ1tτ ¡τ u . C K K K

2

Next we estimate the expectation of maxτ ¤s¤t X K psq where

X K ptq Y 2 ptq Y 1 ptq

Z 2 ptq Z 1 ptq 1tτK ¡tu

Y K pt q

Here the notations Y K ptq and Z K ptq are self-explanatory. Put uK psq E

sup X 2 ρ

τ

1

From (8.152) and (8.153) we then obtain:

2 ρ 1tτK ¡ρu .

2 uK ptq ¤ 4E Y 2 pτ q Y 1 pτ q 1tτK ¡τ u e2

2 2 e

ψptq where

τ

pq

CK ρ dρ

χptq

»t τ

Z K ptq. (8.154)

p qX p q

¤ρ¤s

³ t

(8.153)

1

³t

» t

2

1 τ

τ

pq

CK ρ dρ

r2 pρq uK pρqdρ C K

c1 pρquK pρqdρ

(8.155)

2 ψ ptq 4E Y 2 pτ q Y 1 pτ q 1tτK ¡τ u e2

³ t

χptq 2 2 e τ CK pρqdρ 1

2

1 ,

³t τ

pq ,

CK ρ dρ

r 2 pt q . and c1 ptq C K

From the Gronwall inequality (8.188) in Lemma 8.6 below and (8.155) we then obtain: uK ptq ¤ ψ ptq

χptq

»t ³ t τ

1 1 1 e ρ χpρ qc1 pρ qdρ c1 pρqψ pρqdρ.

(8.156)

October 7, 2010

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MarkovProcesses


Since the functions t infer uK ptq ¤ ψ ptqeχptq

³t

τ

4E Y 2 τ 4E X 2 τ

495

ÞÑ c1 ptq and t ÞÑ ψptq are increasing from (8.156) we pq

c1 ρ dρ

³t

³t

p q Y 1 pτ q2 1tτ ¡τ u e2 C pρqdρ eχptq c pρqdρ ³ ³ p q X 1 pτ q2 1tτ ¡τ u e2 C pρqdρ χptq c pρqdρ . (8.157) If X 2 pτ q X 1 pτ q P-almost surely, then (8.157) implies X 2 ptq X 1 ptq on the event tτK ¡ tu. Since K is an arbitrary compact subset of rτ, 8q K

K

τ

t τ

K

τ

1

t τ

K

1

Rd the latter proves that the stochastic differential equation (8.129) in 2 2 Proposition 8.5 is uniquely solvable in the space Sloc Sloc Rd consisting

of continuous semi-martingales X withe property that E supτ ¤s¤t |X psq|2 is finite. Of course all this is true provided that solutions to the stochastic 2 differential equation (8.129) belong to the space Sloc . But this follows from general arguments: see e.g. [Ikeda and Watanabe (1998)] or [Øksendal and Reikvam (1998)]. This completes the proof of Proposition 8.5. The following lemma and also Lemma 8.6 were employed in the proof of Proposition 8.5. Lemma 8.5 is included because it shows how, in case g pt, y q k ptqy ptq1 ε , solutions to equations of the form y9 ptq g pt, y ptqq C ptq behave themselves for large t. Lemma 8.4. Fix τ ¤ T , and let g : rτ, T s R Ñ R be a continuous function, which is continuously differentiable in the second variable. In addition, let C : rτ, T s Ñ R be a measurable function. Let the R-valued continuous functions t ÞÑ y2 ptq and t ÞÑ y1 ptq, τ ¤ t ¤ T , satisfy the following differential inequalities: y9 1 ptq ¤ g pt, y1 ptqq

C ptq, τ

¤ t ¤ T, y2 ptq ¥ g pt, y2 ptqq C ptq, τ ¤ t ¤ T. If y2 pτ q ¥ y1 pτ q, then y2 ptq ¥ y1 ptq, τ ¤ t ¤ T . Proof. Put Φptq y2 ptq y1 ptq, and

and

(8.158) (8.159)

9

Ψptq exp Then Ψptq ¡ 0, and d pΦptqΨptqq dt

» t » 1 τ

0

D2 g pρ, p1 sqy1 pρq

sy2 pρqq ds dρ .

October 7, 2010

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MarkovProcesses


496

» t » 1

B D2 g pρ, p1 sqy1 pρq sy2 pρqq ds dρ Bt Φptq exp τ 0

»1 Φptq Φptq D2 g pt, p1 sqy1 ptq sy2 ptqq ds Ψptq 9

0

»1

y2 ptq y1 ptq py2 ptq y1 ptqq D2 g pt, p1 sqy1 ptq 0 py2 ptq g pt, y2ptqq y1 ptq g pt, y1 ptqqq Ψptq ¥ 0, 9

9

9

sy2 ptqq ds Ψptq

9

(8.160)

where in inequality (8.160) we used (8.158) and (8.159). Hence we get ΦptqΨptq ¥ Φpτ qΨpτ q

Φpτ q y2 pτ q y1 pτ q ¥ 0, (8.161) and thus y2 ptq y1 ptq Φptq ¥ 0, which completes the proof of Lemma 8.4.

Lemma 8.5. Let y : rτ, 8q Ñ r0, 8q be a solution to the following ordinary differential equation y9 ptq C ptq k ptqy ptq1

ε

, t ¥ τ.

(8.162)

It is assumed that the functions C ptq and k ptq are strictly positive and C ptq continuous, that ε ¡ 0, and that the quotient γ : γ ptq does not k pt q depend on t. Then supt¥τ y ptq 8. In addition, the following inequality holds for t ¡ τ : y t

p q γ 1{p1

Moreover, with η (1) (2) (3) (4)

³8

11ε

»t

q ¤ ε

ε

τ

k pρqdρ

1{ε

, t ¡ τ.

(8.163)

the following assertions are true:

If τ k pρqdρ 8, then limtÑ8 y ptq γ 1{p1 εq . If ³y pτ q γ η , then y ptq γ η . 8 If ³τ k pρq dρ 8 and y pτ q ¡ γ η , then the limit limtÑ8 y ptq ¡ γ η . 8 If τ k pρq dρ 8 and y pτ q γ η , then the limit limtÑ8 y ptq γ η .

The importance of inequality (8.163) lies in the fact that in this inequality there is no reference to the initial value y pτ q of the solution t ÞÑ y ptq. It seems that the inequality in (8.163) is somewhat nicer and stronger than the inequality in (2.15) of [Goldys and Maslowski (2001)].

1 1 ε . From (8.169) in the proof of Lemma 8.5 we see that y pτ q ¡ γ η implies y pτ q ¡ y ptq ¡ γ η ,

Remark 8.6. As in the proof of Lemma 8.5 put η

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and that y ptq decreases to its limit. We also see that y pτ q γ η entails y pτ q y ptq γ η , and that y ptq increases to its limit. If the integral »1»t

k pρqη pp1 sqC pρqη

τ

0

sk pρqη y pρqq dρ ds ε

(8.164)

increases to 8 with t, then limtÑ8 y ptq γ η . Notice that the integrals in (8.164) tend to 8 whenever the function k ptq and C ptq are constant. In order that the limit lim y ptq γ 1{p1 εq one needs the fact that the integral

Ñ8

t

»8 τ

k pρq 1

1 ε

C pρq 1

ε ε

dρ γ 1

»8

ε ε

τ

k pρqdρ

diverges. If it converges, then the limit limtÑ8 y ptq still exists, but it is not equal to γ η . Moreover, the limit depends on the initial value. If y pτ q γ η , then equality (8.169) implies y pτ q y ptq γ η for all t ¥ τ . Moreover, y ptq increases to γ η . If y pτ q γ η , then y ptq γ η , t ¥ τ . Proof.

[Proof of Lemma 8.5.] For brevity we write η

introduce the function ϕptq, t ¥ τ , defined by ϕptq pγ η ptq y ptqq ep1

q ³01 ³τt kpρqη pp1sqC pρqη

1 1

p qη ypρqqε dρ ds .

ε

sk ρ

ε

. We

(8.165)

We differentiate the function in (8.165) to obtain ϕ9 ptq

pγ ptqη yptqq ϕptq γ ptqη y ptq »1 η ϕptqp1 εqk ptq pp1 sqC ptqη

d dt

0

sk ptqη y ptqq ds, ε

(8.166)

and hence

pγ ptqη yptqq ϕptq

dtd pγ ptqη yptqq ϕptq 9

ϕptqp1

εq pC ptq

η

»1

kptq yptqq pp1 sqC ptqη η

0

sk ptqη y ptqq ds ε

d pγ ptqη yptqq ϕptq dt »1

B pp1 sqC ptqη skptqη yptqq1 ε ds 0 Bs

d η dt pγ ptq yptqq ϕptq ϕptq kptqyptq1 ε C ptq ϕptq

(8.167)

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(y ptq satisfies equation (8.162))

d pγ ptqη yptqq ϕptq dt

dtd pγ ptqη q ϕptq 0

ϕptqy9 ptq (8.168)

where we used the fact that γ ptq does not depend on t ¥ τ . Consequently, from (8.168) it follows that the function ϕptq does not depend on t ¥ τ . From the definition of ϕ (see (8.165)) we see that y ptq γ η

pypτ q γ qexp p1

εq

η

»1»t 0

τ

(8.169) k pρ q

η

pp1 sqC pρq

η

sk pρq y pρqq dρ ds η

ε

» 1» t

pypτ q γ q exp p1 εq k pρqpp1 sqγ s y pρqq dρ ds . 0 τ Suppose τ t. From (8.169) we see that y pτ q ¡ γ η implies y pτ q ¡ y ptq ¡ γ η , and that y ptq decreases to its limit. We also see that y pτ q γ η entails y pτ q y ptq γ η , and that y ptq increases to its limit. If y pτ q ¤ γ η , then equality (8.169) implies y ptq ¤ γ η for all t ¥ τ . Even more is true: 0 ¤ γ η y ptq (8.170) η

pγ ypτ qqexp p1

εq

η

¤γ

η

εq

p1

exp

¤ γ η exp p1

γ η exp γ εη

ε

η

εq »t τ

»1»t 0 »1

τ »t

0

τ

k pρq

η

0

τ

pp1 sqC pρq

k pρq pp1 sqγ

η

η


sy pρqq dρ ds

k pρqp1 sqε γ εη dρ ds

ε

ε

k pρqdρ .

Next we put Φε pτ, ρq p1

»1»t

εq

»1»ρ 0

k ρ1

p1 sqγ η

τ

sy ρ1

ε

dρ1 ds.

(8.171)

If the function y ptq solves equation (8.162), then (8.169) implies

pypρq γ η q eΦ pτ,ρq ypτ q γ η , ε

and consequently we get e

p q1

»t

εΦε τ,t

B eεΦ pτ,ρq dρ Bρ ε

τ

(8.172)

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ε p1

εq

»t»1 τ 0 »1»t

sy pρqq eεΦε pτ,ρq ds dρ

k pρq pp1 sqγ η

ε

ε p1 εq k pρq γ η eΦ pτ,ρq 0 τ If y pτ q ¡ γ η , then (8.173) implies

s py pτ q γ η q

ε

e

p q 1 ε p1 εq

»1»t

εΦε τ,t

¥1

»t

ε τ

τ

0

499

k pρq γ η eΦε pτ,ρq

ε

(8.173)

dρ ds.

s py pτ q γ η q

ε

dρ ds

k pρqdρ py pτ q γ η q . ε

(8.174)


e p q¥ 1 ε

»t

Φε τ,t

¥

»t

ε τ

τ

k pρqdρ py pτ q γ

k pρqdρ

1{ε

q

η ε

1{ε

py pτ q γ η q .

(8.175)

From (8.172) with ρ t together with (8.175) we see that 0 ¤ y ptq γ η

¤

»t

ε τ

k pρqdρ

1{ε

(8.176)

.

From (8.176) we see that (8.163) holds provided that y pτ q ¡ γ η .

If 0 ¤ y pτ q γ η we proceed as follows. Again we use (8.173) to obtain

e

p q 1 ε p1 εq

»1»t

εΦε τ,t

¥1

ε p1

1

ε

»t τ

εq

0 »t τ

τ

k pρq γ η eΦε pτ,ρq s pγ η y pτ qq

k pρ q

»1 0

eΦε pτ,tq

ε

¥

»t

1 »t

ε τ

(8.177)

k pρqdρ pγ η y pτ qq

ε

1{ε

1{ε

¥ ε kpρqdρ pγ η ypτ qq . τ From (8.169) with γ η ¡ y pτ q together with (8.178) we then get »t

γ y ptq pγ y pτ qq eΦε pτ,tq ¤ ε η

dρ ds

pp1 sq pγ η ypτ qqqε ds dρ

k pρqdρ pγ η y pτ qq .

Hence we see

ε

η

τ

k pρqdρ

(8.178)

1{ε

.

(8.179)

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Inequality (8.163) in Lemma 8.5 now follows from (8.176) and (8.179). The monotonicity properties of the function t ÞÑ y ptq follow from the equality in (8.169). Proof of assertion (1). If we get limtÑ8 y ptq γ η .

³8 τ

k pρq dρ

8, then from inequality (8.163)

Proof of (2). This assertion is a direct consequence of (8.169). Proof of assertion (3). The following arguments show that limtÑ8 y ptq γ η . Here the function t ÞÑ y ptq is a solution to the equation in equation (8.162). The estimates in (8.182) and (8.186) below are particularly useful ³8 k pρq dρ 8. τ If y pτ q ¡ γ η , then (8.169) with ρ instead of t implies y pρq y pτ q, ρ ¡ τ , and y ptq γ η

pypτ q γ q exp p1 η

pypτ q γ q exp p1 η

¥ pypτ q γ q exp p1 η

pypτ q γ η q exp p1

¥ pypτ q γ η q exp p1

εq εq εq εq

» 1» t 0

τ

» 1» t

(8.180) k pρ q

»t τ

pp1 sqC pρq

k pρq pp1 sqγ

0 τ »1»t 0

η

τ

sy pρqq dρ ds

εq y pη qε

»t τ

sy pρqq dρ ds

(8.181)

pypτ q γ η q exp p1

sy pρq ¥ γ η

k pρq dρ .

εq

and therefore

p1 sqγ η

ε

(8.182)

Hence from (8.180) we obtain, with ρ instead of t, y pρq ¥ γ η

ε

η

ε

η

k pρq pp1 sqy pρq

k pρqy pρqε dρ

sk pρq y pρqq dρ ds

η

s py pτ q γ η q exp

»ρ

k ρ1 y ρ1

ε

dρ1 ,

(8.183)

τ

p1

εq

»ρ

k ρ1 y ρ1

τ

ε

dρ1 ,

(8.184)

Again using (8.180) and (8.184) we then obtain: 0 ¤ y pt q γ η

pypτ q γ qexp p1 η

εq

» 1» t 0

τ

(8.185) k pρ q

η

pp1 sqC pρq

η


ε

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MarkovProcesses


pypτ q γ q exp p1 ¤ pypτ q γ η q "

p1

exp

»1»t τ

0

s py pτ q γ

η

γ

εq

η

»1»t

εq

η

τ

0

k pρq pp1 sqγ

q exp p1

εq

»ρ

ε k ρ1 y ρ1 dρ1

¥ 2pε1q^0 pγ ηε

¤ pypτ q γ q exp p1 εq2pε1q^0 γ ηε εq2pε1q^0

p1

exp

ε p1

εq

»ρ

exp »t τ

pypτ q γ q

η ε

»1»t

k pρq exp

ε p1

¤ pypτ q γ η q exp p1

»t τ

εq

»ρ

εq2pε1q^0 γ ηε

τ

»t τ

k pρq exp

y pτ q γ η y pτ q

ε

1 exp

(use the elementary equality 1 ea

»t

τ

³1

pypτ q γ q exp p1 εq2pε1q^0 γ ηε exp

2pε1q^0 pypτ q γ η qε

0

»t τ

*

εqy pτ qε

k pρqdρ

εp1

»ρ τ

εqy pτ q

»t

ε

aesa ds, a ¥ 0)

»t

η

"

aε q, a ¡ 0, ε ¡ 0)

k pρqdρ

εp1

pypτ q γ q exp p1 εq2pε1q^0 γ ηε

k pρqdρ

τ

»t

dρ ds

ε k ρ1 y ρ1 dρ1 dρ

η

2pε1q^0 exp εp1 εq

k pρqdρ ds

εq2pε1q^0 γ ηε

2pε1q^0 pypτ q γ η qε

"

τ

ε k ρ1 y ρ1 dρ1 dρ ds

exp

0

2pε1q^0

*

k pρ qs ε py pτ q γ η q ε

τ

0

τ

pypτ q γ η q exp p1 !

»1»t

ε

τ

η

exp

sy pρqq dρ ds

ε

η

k pρq

(use the elementary inequality pγ η aqε

501

τ

k ρ1 dρ1

k pρqdρ

τ

k pρ1 qdρ1 dρ

k pρ1 qdρ1

*

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»1

exp 0

ε p1

»t

εq sy pτ q

ε

*

k ρ1 dρ1 ds .

(8.186)

τ

From the inequalities in (8.181) and (8.186) the assertion in (3) follows. The proof of assertion (4) is similar, and therefore omitted. This completes the proof Lemma 8.5. The following lemma contains versions of the Gronwall inequality. It was used in the proof of Proposition 8.5. funcLemma 8.6. Let ϕptq, c1 ptq, χptq and ψ ptq be nonnegative continuous ³t tions on the interval rτ, 8q such that ϕptq ¤ ψ ptq χptq τ c1 pρqϕpρqdρ, t ¥ τ . Then ϕptq ¤ ψ ptq

χptq

χptq

»t

» t n¸ 1

χptq

ϕptq ¤ χptqϕpτ q χptq

τ

c1 pρqϕpρqdρ.

³ t

χ pρ1 q c1 pρ1 q dρ1 ρ

χptqϕpτ qe

τ

c1 pρqψ pρqdρ

»t ³ t

τ

τ

1 1 1 e ρ χpρ qc1 pρ qdρ c1 pρqψ pρqdρ.

(8.188)

z pρqdρ, then (8.188) implies:

»t τ

z pρqdρ

1 1 1 e ρ χpρ qc1 pρ qdρ χpρqc1 pρq ϕpτ q ³t

(8.187)

j

j!

τ j 0

³t

χ pt q

»t ³ t

»t ¸ 8

c1 pρqψ pρqdρ

n

n!

τ

j

j!

χ pρ1 q c1 pρ1 q dρ1

ρ

χptq

If ψ ptq χptqϕpτ q

χ pρ1 q c1 pρ1 q dρ1

³ t

χptq

ψptq

t ρ

τ j 0

From (8.187) it follows that: ϕptq ¤ ψ ptq

³

pq pq

χ ρ c1 ρ dρ

χptq

»t ³ t

e

»ρ

p q p q

z ρ2 dρ2 dρ

τ

χ ρ1 c1 ρ1 dρ1 ρ

τ

z pρqdρ.

(8.189)

Remark 8.7. If the matrix Aptq 0, then the operator Lptq does not generate an analytic semigroup. This means that our theory is not directly applicable to the example in Proposition 8.4. We could make C pt, τ q statedependent and Aptq also. One way of doing this is by taking a unique solution to a stochastic differential equation: dX ptq b pt, X ptqq dt

σ pt, X ptqq dW ptq,

t¥τ

¥0

(8.190)

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and then defining the family C pt, τ, X pτ qq by X ptq C pt, τ, X pτ qq. The functional C pt, τ, X pτ qq then depends on the σ-field generated by X pτ q and Ftτ σ pW pρq : τ ¤ ρ ¤ tq. The evolution Y pτ, tq is then defined by

Y pτ, tq f pxq E f pX ptqq X pτ q x

Eτ,x rf pC pt, τ, X pτ qqqs , t ¥ τ.

In this general setup we do not have explicit formulas anymore. Moreover, this choice of C pt, τ, xq does not give any Aptq, because the function t ÞÑ X ptq C pt, τ, X pτ qq is not differentiable in a classical sense. Of course it satisfies (8.190). 8.3.2

Some stochastic differential equations

We want to study the processes t ÞÑ X ptq, s ÞÑ X t,Aptq psq and t ÞÑ τ,Apτ q X0 ptq, which are solutions to the following stochastic integral equations, and their inter-relationships: X ptq C pt, τ qX pτ q

»t τ

X t,Aptq psq esAptq X t,Aptq p0q

C pt, ρq σ pρ, X pρqq dW pρq, »s 0

»t

p qptq eptτ qApτ qX τ,Apτ qpτ q 0

τ,A τ

X0

epsρqAptq σ t, X t,Aptq pρq dW pρq,

epρτ qApτ qσ τ, X0

and

p qpρq dW pρq.

τ,A τ

τ

(8.191)

For t ¥ s ¥ τ the matrix family C pt, τ q satisfies C pt, τ q C pt, sq C ps, τ q, C pτ h, τ q I and the matrix family Apτ q is defined by Apτ q lim . In h Ó0 h differential form the stochastic integral equations in (8.191) read as follows: dX ptq AptqX ptqdt

σ pt, X ptqq dW ptq;

dX t,Aptq psq AptqX t,Aptq psqds

p qptq Apτ q X τ,Apτ qptq 0

τ,A τ

dX0

»t

(8.192)

σ t, X t,Aptq psq dW psq, τ


and

τ,Apτ q eptτ qApτ qσ τ, X0 ptq dW ptq.

We will consider the following exponential martingale E τ ptq exp

»t τ

b pρ, X pρqq dW pρq

1 2

»t τ

p qpρq dW pρq dt

τ,A τ

(8.193)

|b pρ, X pρqq|2 dρ

(8.194)

,

(8.195)

and its companions E t,Aptq psq

(8.196)

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exp

»s

b t, X

p qpρq dW pρq 1

t,A t

2

0

»s 2

t,Aptq ρ dρ , b t, X

pq

0

and

p qptq

τ,A τ

E0

exp

(8.197)

»t

p qpρq dW pρq

τ,A τ

b τ, X0 τ

» 2

1 t τ,Apτ q ρ dρ . b τ, X0

2

Instead of E 0 ptq we write E ptq. Put M τ ptq

»t τ

pq

τ

bpρ, X pρqqdW pρq, M t,Aptq psq

»s 0

b t, X t,Aptq pρq dW pρq,

and

p qptq

τ,A τ

M0

»t τ

p qpρq dW pρq.

τ,A τ

b τ, X0

(8.198)

Then by Itˆ o calculus we have: dE τ ptq E τ ptqdM τ ptq,

dE t,Aptq psq E t,Aptq psqdM t,Aptq psq,

p qptq E τ,Apτ qptqdM τ,Apτ qptq. 0 0

τ,A τ

dE0

(8.199)

Ñ C be a C 2 -function. Again employing Itô calculus shows: df pX ptqq

Let f : Rd

d ¸

Dk f pX ptqq dXk ptq

k 1

h∇f pX ptqq , AptqX ptqi

1 ¸ Qj,k pt, X ptqq Dj Dk f pX ptqq dt 2 j,k1 d


h∇f pX ptqq , σ pt, X ptqq dW ptqi .

(8.200)

By the same token we get

df X t,Aptq psq

d ¸

Dk f X t,Aptq psq dXk

p q ps q

t,A t

k 1

1 ¸ Qj,k t, X t,Aptq psq Dj Dk f X t,Aptq psq ds 2 j,k1 d

D

∇f X t,Aptq psq , AptqX t,Aptq psq

E

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1 ¸ Qj,k t, X t,Aptq psq Dj Dk f X t,Aptq psq ds 2 j,k1 D E ∇f X t,Aptq psq , σ t, X t,Aptq psq dW psq . (8.201) d

In addition we have, again by Itô calculus,

p qptq

τ,A τ

df X0

d ¸

p qptq dX τ,Apτ qptq 0,k

τ,A τ

D k f X0

k 1

1 ¸ τ,Apτ q τ,Apτ q Qj,k τ, X0 p τ qD j D k f X 0 p tq dt 2 j,k1 d

D

p qptq , Apτ qX τ,Apτ q ptqE 0

τ,A τ

∇f X0

1 ¸ τ,Apτ q τ,Apτ q Qj,k τ, X0 p tq D j D k f X 0 p tq dt 2 j,k1 D E τ,Apτ q ptq , σ τ, X0τ,Apτ qptq dW ptq ∇f X0 »t ∇f X0τ,Apτ qptq , Apτ q epρτ qApτ qσ τ, X0τ,Apτ qpρq dW pρq dt. d

τ

(8.202)

We also need the covariation processes: E D E t,Aptq pq, f X t,Aptq pq psq, and hE pq, f pX pqqi ptq, E D τ,Apτ q E0 pq, f X0τ,Apτ qpq ptq. The covariation process hE pq, f pX pqqi ptq is determined by

(8.203)

d hE pq, f pX pqqi ptq E ptq h∇f pX ptqq , σ pt, X ptqq b pt, X ptqqi dt. (8.204)

The covariation process E t,Aptq pq, f X t,Aptq pq psq is determined by E D d E t,Aptq pq, f X t,Aptq pq psq (8.205) D E E t,Aptqpsq ∇f X t,Aptqpsq , σ t, X t,Aptqpsq b t, X t,Aptqpsq ds. E D τ,Apτ q Likewise the covariation process E0 pq, f X0τ,Apτ qpq ptq is determined by E D τ,Apτ q d E0 pq, f X0τ,Apτ qpq ptq (8.206)

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E0τ,Apτ qptq

D

p qptq , σ τ, X τ,Apτ qptq b τ, X τ,Apτ qptq E dt. 0 0

τ,A τ

∇f X0

Next we calculate the stochastic differential of the processes

E t,Aptq psqf X t,Aptq psq

E ptqf pX ptqq ,

p qptqf X τ,Apτ qptq . 0

τ,A τ

and E0

Using Itˆ o calculus, the equality in (8.195), and the first equality in (8.198) and in (8.199), in conjunction with (8.200) and (8.204) shows d pE ptqf pX ptqqq

pdE ptqq f pX ptqq E ptqdf pX ptqq E ptqf pX ptqq b pt, X ptqq dW ptq

E ptq h∇f pX ptqq , AptqX ptqi

d hE pq, f pX pqqi ptq


E ptq h∇f pX ptqq , σ pt, X ptqq dW ptqi

E ptq h∇f pX ptqq , σ pt, X ptqq b pt, X ptqqi dt E ptqf pX ptqq b pt, X ptqq dW ptq E ptq h∇f pX ptqq , σ pt, X ptqq dW ptqi E ptqLb ptqf pX ptqq dt (8.207) where with Qpt, xq σ pt, xqσ pt, xq we wrote Lb ptqf pxq h∇f pxq , Aptqx σ pt, xq b pt, xqi

1 ¸ Qj,k pt, xq Dj Dk f pxq . 2 j,k1 d

(8.208)

Put Qt,Aptq psq and

»s 0

eρAptq σ pt, xqσ pt, xq eρAptq dρ

»s 0

eρAptq Q pt, xq eρAptq dρ,

Y pτ, tq f pxq E E τ ptqf pX ptqq X pτ q x .

Then

Y pτ, sq Y ps, tq f pxq Y pτ, tq f pxq,

f

(8.209)

P Cb pE q, x P E, τ ¤ s ¤ t. (8.210)

Next we will calculate the stochastic derivative of the process

s ÞÑ E t,Aptq psqf X t,Aptq psq .

More precisely, upon employing Itô calculus, the martingale in (8.196), and the second martingale in (8.198) and in (8.199), in conjunction with (8.201) and (8.205) we obtain

d E t,Aptq psqf X t,Aptq psq

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dE t,Aptq psq f X t,Aptq psq E t,Aptq psqdf X t,Aptq psq E D d E t,Aptq pq, f X t,Aptq pq psq

E t,Aptq psqf E

p q psq

t,A t

X t,Aptq psq b τ, X t,Aptq psq dW psq

D

∇f X t,Aptq psq , Apτ qX t,Aptq psq

E

1 ¸ ds Qj,k τ, X t,Aptq psq Dj Dk f X t,Aptq psq 2 j,k1 D E E t,Aptq psq ∇f X t,Aptq psq , σ τ, X t,Aptq psq dW psq E D E t,Aptq psq ∇f X t,Aptqpsq , σ τ, X t,Aptqpsq b τ, X t,Aptqpsq ds d

E t,Aptq psqf X t,Aptqpsq b τ, X t,Aptqpsq dW psq D E E t,Aptq psq ∇f X t,Aptq psq , σ τ, X t,Aptq psq dW psq E t,Aptq psqLb ptq f X t,Aptq psq ds where Lb ptq is as in (8.208).

(8.211)

In a quite similar manner we obtain the stochastic differential of the process t ÞÑ E0

p qptqf X τ,Apτ qptq . 0

τ,A τ

Upon employing Itˆ o calculus, the equality in (8.197), and the third martingale in (8.198) and in (8.199), in conjunction with (8.202) and (8.206) we get

p qptqf X τ,Apτ qptq 0 τ,Apτ q dE0 ptq f X0τ,Apτ qptq E0τ,Apτ qptqdf X0τ,Apτ qptq E D τ,Apτ q d E pq, f X τ,Apτ qpq ptq

τ,A τ

d E0

0

0

p qptqf X τ,Apτ qptq b τ, X τ,Apτ qptq dW ptq 0 0

τ,A τ E0

p qptq D∇f X τ,Apτ qptq , Apτ qX τ,Apτ qptqE 0 0

τ,A τ E0

1 ¸ τ,Apτ q τ,Apτ q Qj,k τ, X0 p tq D j D k f X 0 p tq dt 2 j,k1 d

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p qptq D∇f X τ,Apτ qptq , σ τ, X τ,Apτ qptq dW ptqE 0 0

τ,A τ

E0

E0τ,Apτ qptq Apτ q

τ,Apτ q ∇f X0 ptq , »t τ

τ,Apτ q epρτ qApτ qσ τ, X0 pρq dW pρq dt

E D p qptq ∇f X0τ,Apτ qptq , σ τ, X0τ,Apτ qptq b τ, X0τ,Apτ qptq dt E τ,Apτ qptqf X τ,Apτ qptq b τ, X τ,Apτ qptq dW ptq τ,A τ E0 0

0

0

p qptq D∇f X τ,Apτ qptq , σ τ, X τ,Apτ qptq dW ptqE 0 0

τ,A τ E0

E0τ,Apτ qptq Apτ q

τ,Apτ q ∇f X0 ptq , »t τ


p qpρq dW pρq dt

τ,A τ

p qptqL pτ q f X τ,Apτ qptq dt b 0

τ,A τ E0

(8.212)

where Lb pτ q is as in (8.208): Lb pτ qf pxq

h∇f pxq , Apτ qx σ pτ, xq b pτ, xqi 1 ¸ Qj,k pτ, xq Dj Dk f pxq . 2 j,k1 d

(8.213)

Next let s ÞÑ X t,Aptq psq be the solution to the stochastic integral equation: X

»s

p qpsq esAptq X t,Aptqp0q

t,A t

0

which is equivalent to dX t,Aptq psq AptqX t,Aptq psqds

epsρqAptq σ t, X t,Aptq pρq dW pρq, (8.214)

σ t, X t,Aptq psq dW psq,

(8.215)

which is the same as the second in (8.191) and which in differential form is given in (8.193). In terms of the exponential martingale s ÞÑ E t,Aptq psq defined in (8.196) the semigroup esLb ptq , s ¥ 0, is given by:

esLb ptq f pxq E E t,Aptq psqf X t,Aptq psq X t,Aptq p0q x .

(8.216)

We also want give conditions in order that for every µ P M Rd the limit

lim Var Lb ptq Y pτ, tq µ

Ñ8

t

0.

(8.217)

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509

We suppose that the coefficients bpt, xq bptq and σ pt, xq σ ptq only depend on time. Then the (formal) adjoint of the operator Lb ptq can be written as follows: Lb ptq f pxq

(8.218)

h∇f pxq, Aptqx σptqbptqi tr pAptqq f pxq

d ¸

³t

1 Qj,k ptqDj Dk f pxq. 2 j,k1

Put QC pτ, tq τ C pt, ρqσ pρqσ pρq C pt, ρq dρ. Then for the evolution family Y pτ, tq we have: Y pτ, tq f pxq

p2π1qd{2 »

»

e 2 |y| f

2

1

C pt, τ qx

»t τ

C pt, ρqσ pρqbpρqdρ pQC pτ, tqq1{2 y dy

1

(8.219)

p2πqd{2 det pQC pτ, tqq1{2

1 1{2 C pt, τ qx exp QC pτ, tq 2

»t τ

C pt, ρqσ pρqbpρqdρ

2 y f y dy.

pq

Next suppose that the coefficients bptq bpt, xq and σ ptq σ pt, xq only depend on the time t, and put

1 1

1 exp p s q x, x . Q gs pxq t,Aptq 2 p2πqd{2 det Qt,Aptq psq 1{2 Then

1

gs pξ q exp Qt,Aptq psqξ, ξ , p 2 and hence by the Fourier inverse formula esLb ptq f pxq

»

hbptq, W psqi

E exp

f e p q x

»s

sA t

1 p2πqd

»

E exp

0

»

»s

sA t


hbptq, W psqi

exp i ξ, e p q x

1 p2πqd

1 |bptq|2 s 2

0

1 |bptq|2 s 2


exp i ξ, e p q x

»s

sA t

0

fppξ qdξ

epsρqAptq dρ σ ptqbptq

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» s

1 p sρqAptq p sρqAptq e exp σ ptqσ ptq e dρ ξ, ξ fppξ qdξ 2 0

» »s 1 sAptq ρAptq p2πqd exp»i ξ, e x 0 e dρ σptqbp tq s 1 eρAptq σ ptqσ ptq eρAptq dρ ξ, ξ exp fppξ qdξ 2 0

» »s 1 sAptq ρAptq { p2πqd exp i ξ, e x 0 e dρ σptqbptq gs f pξqdξ

gs f e p q x

»s

e p q dρ

sA t

»

0

1

p2πqd{2

ρA t

1{2

det Qt,Aptq psq

1 exp Qt,Aptq psq1{2 esAptq x 2

»

1

2 1 e 2 |y| f esAptq x

p2πqd{2

»s

»s

e p q σ ptqbptqdρ y ρA t

0

2 f y dy

1{2

pq

eρAptq σ ptqbptqdρ Qt,Aptq psq

0

y dy.

(8.220)

From the representation in (8.220) it follows that the operator Lbptq does not generate a bounded analytic semigroup. In fact if f P Cb Rd is such that its first and second derivative is also continuous and bounded, then we have Lb ptqesLb ptq f pxq

esL ptq Lbptqf pxq Lbptq gs f

esAptq x

b

»

Lb ptq gs esAptq x

j 1,k 1

Aj,k ptq

tr pAptqq d 1 ¸

2 j,k1

0

e p q σ ptqbptqdρ

ρA t

0

eρAptq dρ

pyqf pyq dy

Bgs esAptq x » s eρAptq σptqbptqdρ y

B yj 0

»

d ¸

»s

»s

yk

d ¸

»

ℓ 1

gs

Qj,k ptq

σk,ℓ ptqbℓ ptq f py q dy

e p qx

»s

sA t

»

B

2

gs B yj B yk

e p q σ ptqbptqdρ y f py q dy ρA t

0

e p qx

»s

sA t

e p q σ ptqbptqdρ y f py q dy ρA t

0

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MarkovProcesses


Bgs pyq Aptq esAptq x » s eρAptq σptqbptqdρ y σptqbptq

B yj 0 j

»

d ¸

j 1,k 1

f e p qx

»s

sA t

tr pAptqq d 1 ¸

2 j,k1

511

»

e p q σ ptqbptqdρ y dy ρA t

0

gs p y q f

Qj,k ptq

»

esAptq x

B gs pyq f B yj B yk 2

»s 0

eρAptq σ ptqbptqdρ y dy

esAptq x

»s 0

eρAptq σ ptqbptqdρ y dy. (8.221)

All terms in (8.221) are uniformly bounded in x except the very first one, which grows like a constant times |x|. In order that the operator Lb ptq generates and sufficient that a boundedanalytic semigroup it is necessary sLb ptq sLb ptq sups¡0 sLb ptqe 8 and sups¡0 e 8: see e.g. [Engel and Nagel (2000)]. Suppose that the real parts of the eigenvalues of the matrix Aptq are strictly negative. From (8.220) it follows that the measure B

ÞÑ 1

p2πqd{2

»

2 1 e 2 |y| 1B

slim Ñ8

»s

1{2 e p q σ ptqbptqdρ lim Qt,Aptq psq y dy sÑ8 ρA t

0

serves as an invariant measure for the semigroup esLb ptq , s ¥ 0. Using the τ,Apτ q processes X ptq, X τ,Apτ qptq, and X0 ptq, t ¥ τ , we introduce the filtered probability spaces pΩ, Ftτ , Pτ,x q and

p0q

Ω, Ftτ , Pτ,x . Here the σ-field Ftτ ,

τ ¤ t, is generated by the variables W pρq, τ be Ftτ -measurable. Then we put

¤ ρ ¤ t.

Let the variable F

Eτ,x rF s E E τ ptqF X pτ q x .

(8.222)

p0q

On the other hand the definition of Pτ,x is more of a challenge. First we take F which is measurable with respect to Ftτ of the form F ±n τ,Apτ q ptj q . Then we put j 1 fj X

X τ

¹ 0q Epτ,x rF s E E τ,Apτ qptq fj X τ,Apτ q ptj q j 1

E

n

p qx

p qptq ¹ f X τ,Apτ q pt q X pτ q x . j j 0 j 1 n

τ,A τ E0

(8.223)

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512

Example 8.4. Another not too artificial example is the adjoint of the form Lptq

1 ¸ B2 aj,k pt, xq 2 j,k1 Bxj xk d

d ¸

j 1

bj pt, xq

B Bxj ,

defined on a dense subspace of the space C0 Rd , i.e. the space of all bounded continuous functions with zero boundary conditions. The least d that is required for the square matrix paj,k pt, xqqj,k1 is that it is invertible, symmetric and positive-definite. We also observe that, for such a choice of the coefficients aj,k pt, xq the operator Lptq satisfies the fol d lowing maximum principle. For any function f P C0 R belonging to the domain D pLptqq there exists a(point px0 , y0 q P Rd Rd such that sup |f pxq f py q| ; px, y q P Rd Rd |f px0 q f py0 q|, such that the next inequality holds:

!

)

f px0 q f py0 q

pLptqf px0 q Lptqf py0 qq ¤ 0. (8.224) Since the function px, y q ÞÑ |f pxq f py q| attains its maximum at px0 , y0 q it follows that ∇f px0 q ∇f py0 q 0. It also follows that the function x ÞÑ ℜ f px0 q f py0 q pf pxq f py0 qq attains it maximum at x0 . Hence, by ℜ

inequality (8.232) below we see that

ℜ f px0 q f py0 q Lptqf px0 q

ℜ Lptq f px0 q f py0 q pf pq f py0 qq px0 q ¤ 0,

(8.225)

where the functions by the same token we also have:

ℜ f px0 q f py0 q Lptqf py0 q ¤ 0. (8.226) From (8.224) we infer for α P C, λ ¥ 0, and f P D pLptqq the string of inequalities: 4 }λ pf

¥

α1q Lptqf }28 sup |λ pf pxq f pyqq Lptqf pxq

px,yqPRd Rd sup

px,yqP Rd

Rd

!

Lptqf py q|

2

!

|λ|2 |f pxq f pyq|2

)

2λℜ f pxq f pyq pLptqf pxq Lptqf pyqq |Lptqf pxq Lptqf pyq|2 ! ) ¥ |λ|2 |f px0 q f py0 q|2 2λℜ f px0 q f py0 q pLptqf px0 q Lptqf py0 qq |Lptqf px0 q Lptqf py0 q|2

)

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MarkovProcesses


¥ |λ|2 |f px0 q f py0 q|2 |λ|2 ¥ |λ|

2

inf }f

P

α C

sup

px,yqP Rd

α1}8 .

Rd

513

|f pxq f pyq|2

2

(8.227)

From the inequalities in (8.227) we obtain for ℜλ ¥ 0 and f 2 inf }λf

P D pLptqq:

Lptqf α1}8 ¥ λ αinfPC }f α1}8 . (8.228) A similar argument shows that for λ ¥ 0 and f P D pLptqq we also have: }λf Lptqf }8 ¥ λ }f }8 , (8.229) provided that for every function f P C0 Rd belonging to the domain ( D pLptqq there exists a point x0 P Rd such that sup |f pxq| ; x P Rd ) ! |f px0 q|, and such that ℜ f px0 qLptqf px0 q ¤ 0. In fact the operators Lptq satisfy the maximum principle in the sense that ℜ pLptqf px0 qq ¤ 0 whenever f P DpLptqq and x0 P Rd is such that ℜf px0 q supxPR ℜf pxq. One way of seeing this directly runs as follows. Let f P D pLptqq. If x0 P Rd is such that ℜf px0 q supxPR ℜf pxq. Then ℜ hx x0 , ∇f px0 qi 0, and thus, for all x P Rd , ℜf pxq ℜf px0 q hx x0 , ∇ℜf px0 qi »1 d 2 ¸ p1 sq pxj x0,j q pxk x0,k q BBx ℜf pp1 sqx0 sxq ds j B xk 0 j,k1 P

α C

d

d

ℜf px0 q

»1 0

p1 sq

d ¸

pxj x0,j q pxk x0,k q

j,k 1

2 BBx ℜf Bx pp1 sqx0 j

sxq ds.

k

(8.230)

From (8.230) and the fact that the function ℜf attains its maximum at x0 we see that »1

ℜ 0

p1 sq

d ¸

j,k 1

2 pxj x0,j q pxk x0,k q BxBBx f pp1 sqx0 j

k

sxq ds ¤ 0.

(8.231) From the inequality in (8.231) it easily follows that the Hessian D ℜf px0 q 2

which is the matrix with entries

B2 ℜf px q is negative-definite: 0 Bxj Bxk

i.e.

it is symmetric and its eigenvalues are less than or equal to 0. Since the d matrix a pt, x0 q : paj,k pt, x0 qqj,k1 is positive-definite (i.e. its eigenvalues

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514

are nonnegative and the matrix is symmetric) and the functions bj pt, xq, 1 ¤ j ¤ d, are real-valued, we infer that

B2 ℜf px q ¸d b pt, x q B ℜf px q 0 j 0 0 Bxj Bxk Bxj j 1 j,k1 Tr a pt, x0 q D2 ℜf px0 q a a (8.232) Tr a pt, x0 qD2 ℜf px0 q a pt, x0 q ¤ 0.

ℜLptqf px0 q

d ¸

aj,k pt, x0 q

(This notation was also used in formula (1.143) in Chapter 1.) The matrix a a pt, x0 q is a positive-definite matrix with its square equal to a pt, x0 q. In addition, we used the fact that in (8.232) the identity

B2 ℜf px q 0 Bxj Bxk j,k1 can be interpreted as Tr a pt, x0 q D2 ℜf px0 q . It follows that the operators Lptq generate analytic semigroups esLptq where s P C belongs to a sector d ¸

aj,k pt, x0 q

with angle opening, which may be chosen independently of t provided that sup sup sup s PLptq s, x, s t¡0 s¡0 xPRd

B B

p

q

d R

8.

Here the Markov transition function PLptq ps, x, B q, ps, xq B P BRd , t ¥ 0, is determined by the equality esLptq f pxq

»

Rd

f py qPLptq ps, x, dy q , f

P Cb

P r0, 8q Rd ,

Rd .

For the reason why, see the inequality in (8.100) and the equality in (8.101). Then it follows that there exist a constant C and an angle 12 π β π again independent of t such that

|λ| pλI Lptqq1 ¤ C,

for all λ P C with |argpλq| ¤ β.

(8.233)

For a proof see Theorem 8.8 and its corollaries 8.4 and 8.5. Let esLptq , s ¥ 0, be the (analytic) semigroup generated by the operator Lptq. Then the (unbounded) inverse of the operator Lptq is given by the strong integral ³8 f ÞÑ 0 esLptq f ds. From (8.228) it follows that for µ P M0 Rd and λ ¡ 0 the inequality D 1 E λ g, λI |M0 pRd q Lptq |M0 pRd q µ ¤ }g }8 Var pµq , (8.234) holds whenever the function g is of the form g λf Lptqf , with f P D pLptqq. Here M0 pRd q is the space of all complex Borel measures µ on

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MarkovProcesses


Rd with the property that µpRd q cptqe2ωptqsVar pµq for all µ

g

515

0. Suppose that Var esLptq µ

¤ Then for ℜλ ¥ ω ptq,

P M0 R and s ¥ 0. Rd and µ P M0 pRd q we have D E pλ 2ωptqq g, pλ 2ωptqq I |M0pRd q Lptq |M0pRdq 1 µ »8 s pλ2ω ptqqI |M pRd q Lptq |M pRd q 0 0 pλ 2ωptqq g, e µ ds, d

P C0

(8.235)

0

and hence, if |λ 2ω ptq| ¤ 2ω ptq we have D E |λ 2ωptq| g, pλ 2ωptqq I |M0pRd q Lptq |M0pRd q 1 µ » 8 ¤ |λ 2ωptq| g, es pλ2ωptqqI |M0 pRd q Lptq |M0pRd q µ ds 0

¤ |λ 2ωptq|

»8 0

espℜλ2ωptqq Var e »8

p q |M0 pRd q µ ds }g }

sL t

8

¤ cptq |λ 2ωptq| espℜλ2ωptqq e2sωptq dsVar pµq }g}8 0 | λ 2ω ptq| }g} Var pµq ¤ 2cptq }g} Var pµq . c pt q ℜλ

8

8

(8.236)

In view of (8.233), (8.234) and (8.236) it makes sense to consider the largest d that for all functions g P C R , and all Borel ω ptq with the property 0 d measures µ P M0 R the complex-valued function D 1 E λ ÞÑ λ g, λI |M0 pRd q Lptq |M0 pRd q µ extends to a bounded holomorphic function on all half-planes of the form (

λ P C : ℜλ ¡ 2ω 1 ptq

with ω 1 ptq ω ptq. In follows that there exists a constant cptq such that for all functions g P Cb pE q and µ P M0 Rd the following inequality holds: D E |λ| g, λI |M0pRd q Lptq |M0pRdq 1 µ ¤ cptq }g}8 Var pµq , ℜλ ¥ ωptq.

The following definition is to be compared with the definitions 8.4 and 9.14 in Chapter 9. Definition 8.5. The number 2ω ptq is called the M pE q-spectral gap of the operator Lptq .

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516

Next let P pτ, x; t, B q be the transition probability function of the process (

pΩ, Ftτ , Pτ,xq , pX ptq : t ¥ τ q , Rd , B generated by the operators Lptq. Suppose that, for every τ P p0, 8q and

every Borel probability measure on Rd , the following condition is satisfied:

B P pτ, x; t, q dµpxq 0. tÑ8 Bt R Let µ be any Borel probability measure on Rd . Put µptq Y pτ, tq µ, where Y pτ, tqf pxq Eτ,x rf pX ptqqs, f P C0 pRd q. Then µptq Lptq µptq. lim

cptq ω ptq

»

Var

d

9

Moreover,

c pt q

Ñ8 ω ptq Var pµ9 ptqq 0.

lim

t

We will show this. With the above notation we have: Var pµ9 ptqq

" d hf, µ t i : f dt " sup hY τ, t f, µi t " » » sup f y P t Rd Rd "» » sup f y P t Rd Rd »

pq

sup

B B B B

Var BBt

P C0 pRd q, }f }8 1

p q

: f

*

P C0 pRd q, }f }8 1

*

p q pτ, x; t, dyq dµpxq : f P C0 pRd q, }f }8 1

*

* p q BB pτ, x; t, dyq dµpxq : f P C0 pRd q, }f }8 1

» B P pτ, x; t, q dµpxq. P pτ, x; t, q dµpxq ¤ Var Bt

Rd

Rd

(8.237)

ÞÑ P pτ, x; t, B q has density p pτ, x; t, yq, then B the total variation of the measure B ÞÑ P pτ, x; t, q is given by Bt

» B B Var P pτ, x; t, q p pτ, x; t, y q dy. Bt R Bt If there exists a unique P pE q-valued function t ÞÑ π ptq such that Lptq π ptq 0, then the system Lptq µptq µptq is ergodic. This asserIf the probability measure B

d

9

tion follows from Theorem 8.5 below. In order to perform some explicit computations we next assume that d 1. It is assumed that the coefficient apt, xq is strictly positive on R. Moreover, by hypothesis we assume that there exists a function B pt, xq

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MarkovProcesses


517

»8 B such that bpt, xq apt, xq B pt, xq and such that e2B pt,ηq dη 8. Bx 8 The adjoint K ptq of Lptq acts on a subspace of the dual space of C0 pRd q

which may be identified with the space of all complex Borel measures on Rd . Formally, K ptqµ is given by

1 B2 papt, qµq BBx pbpt, qµq . 2 B x2 Let the time-dependent measure µptq have the property that K ptqµptq 0. Then the family of measures µptq has density ϕpt, xq given by K ptqµ

ϕpt, xq C1 ptq

e2B pt,xq apt, xq

C2 ptq

»x a

e2B pt,xq2B pt,ηq dη, apt, xq

(8.238)

where t ÞÑ Cj ptq, j 1, 2, are some functions which only depend on time. In order to be sure that for every t the measure µptq belongs to M pRq and is non-trivial we make additional hypotheses on the coefficients. If both integrals »8

8

e2B pt,xq dx apt, xq

and

»8 »x

8

a

e2B pt,xq2B pt,ηq dη dx apt, xq

(8.239)

e2B pt,xq2B pt,ηq dη dx 8, apt, xq

or

matter how the are finite, then the function x ÞÑ ϕpt, xq belongs to L1 pRq no ³8 constants C1 ptq and C2 ptq are chosen. The requirement 8 ϕpt, xqdx 1 does not make them unique. We have uniqueness of solutions in M pRq to the eigenvalue problem K ptqµptq 0 and µ pt, Rq 1 provided either one of the following conditions is satisfied: »8

8 »8

8

e2B pt,xq dx 8 and apt, xq

»8 »x

e2B pt,xq dx 8 and apt, xq

»8 »x

8 8

a

a

e2B pt,xq2B pt,ηq dη dx 8. apt, xq

(8.240) (8.241)

In the cases (8.240) and (8.241) we have respectively µpt, B q C1 ptq

»

B

e2B pt,xq dx apt, xq

and

» »x

e2B pt,xq2B pt,ηq dη dx, apt, xq B a where the constants C1 ptq and C2 ptq are chosen in such a way that the total mass µpt, Rq 1. The operators Lptq generate a diffusion in the sense that there exists a time-inhomogeneous Markov process µpt, B q C2 ptq

tpΩ, Ftτ , Pτ,xq , pX ptq : t ¥ τ q , pR, Bqu

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MarkovProcesses


518

such that

B E rf pX psqqs E rLpsqf pX psqqs , f P DpLpsqq, τ,x Bs τ,x where 0 ¤ τ s ¤ 8. We put Y pτ, tq f pxq Eτ,x rf pX ptqqs, f P Cb pRq. Then, under appropriate conditions on the coefficients apt, xq and bpt, xq the operators Y pτ, tq leave the space C0 pRq invariant, and hence the ad joint operators Y pτ, tq are mappings from M pRq to M pRq. For a given probability measure µpτ q the measure-valued function µptq : Y pτ, tq µpτ q satisfies B hf, µptqi B f, Y pτ, tq µpτ q B hY pτ, tq f, µpτ qi Bt Bt » Bt » B Bt Y pτ, tq f pxqµpτ, dxq BBt Eτ,x rf pX ptqqs µpτ, dxq »

Eτ,x rLptqf pX ptqqs µpτ, dxq hY pτ, tq Lptqf, µpτ qi hf, Lptq µptqi . P D pLptqq. From (8.228) it follows that for all λ P C with ℜλ ¥ 0

Let f the following inequality holds inf |λ| }f

P

α C

α1}8 ¤ 2 αinfPC }pλI Lptqq f α1}8 .

cptq Ñ8 ω ptq Var pLptq µptqq

If lim t

0, then the equation Lptq µptq

sLptq

(8.242)

µptq 9

is ergodic, provided that Var e µ ¤ cptqe2sωptq Var pµq for all µ P M0 pE q. This assertion follows from Theorem 8.5 below, by observing that the dual of the space C0 pRq endowed with the quotient norm }f } : inf }f α1}8 is the space M0 pRq.

P

α C

For explicit formulas for invariant measures for (certain) OrnsteinUhlenbeck semigroups we refer the reader to [Da Prato and Zabczyk (1992b)] Theorems 11.7 and 11.11, and to [Metafune et al. (2002b)]. For some recent regularity and smoothing results see [Bogachev et al. (2006)].

8.4

Ergodicity in the non-stationary case

We begin with a relevant definition. Definition 8.6. The system (8.6) is called ergodic, if there exists a unique solution π ptq to the equation K ptqπ ptq 0, with π ptq P P pE q, such that lim Var pµptq π ptqq 0

Ñ8

t

(8.243)

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for all solutions µptq P P pE q to the equation µ9 ptq K ptqµptq.

Remark 8.8. Fix t P R and let K ptq be a Kolmogorov operator with 0 as an isolated point in its spectrum. Then 0 is a dominant eigenvalue of K ptq, and let P ptq : M pE q Ñ M pE q be the Dunford projection on the generalized eigen-space corresponding to the eigenvalue 0 with eigen-vector π ptq P P pE q. If the eigenvalue 0 has multiplicity 1, then P ptq projects the space M pE q onto the one-dimensional subspace Cπ ptq. Since 0 is a dominant eigenvalue of K ptq, a key spectral estimate of the following form is valid: D E sK ptq pI P ptqq µ ¤ cptqe2ωptqs }f }8 Var pµq , f P Cb pE q, µ P M pE q, f, e (8.244) where ω ptq is strictly positive, }f }8 is the supremum-norm of f P Cb pE q, Var pµq is the total variation norm of µ P M pE q, and where cptq is some finite constant. A P pE q-valued function π ptq for which K ptqπ ptq 0 is called a stationary or invariant P pE q-valued function of the system in (8.6). In addition to (8.6) we assume that the continuous function π ptq with values in P pE q satisfies K ptqπ ptq 0, and we suppose that this function is uniquely determined.

ÞÑ µptq satisfy (8.6); i.e. µ9 ptq d K ptqµptq, t ¡ t0 , or more precisely hf, µptqi hf, K ptqµptqi, f P Cb pE q. dt In addition, suppose that there exist strictly positive functions t ÞÑ ω ptq and t ÞÑ cptq possessing the following properties: Theorem 8.5. Let the function t

(i) For every t ¥ t0 there exists a real number with ℜλ ¡ ω ptq such that

pλI K ptqq pD pK ptqqq M pE q;

(ii) The following identity holds true: cptq cptq lim Var pµ9 ptqq lim Var pK ptqµptqq 0; tÑ8 ω ptq tÑ8 ω ptq (iii) The inequality

|λ| Var pµq ¤ cptqVar pλµ K ptqµq , holds for all µ P D pK ptqq and all λ P C with ℜλ ¡ ω ptq. Then there exists a P pE q-valued function t ÞÑ π ptq such that lim Var pµptq π ptqq 0, tÑ8 and such that K ptqπ ptq 0; i.e. the system in (8.6) is ergodic.

(8.245)

(8.246)

(8.247)

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Remark 8.9. The inequality in (8.247) is only required on the union of the right half-plane tλ P C : ℜλ ¡ 0u and the circular disc tλ P C : |λ| ¤ ω ptqu. This will follow from the proof of Theorem 8.5. Remark 8.10. Let g P Cb pE q be such that D 1 E cptq }g}8 Var pµq , µ ¤ g, K ptq|M0 pE q ω pt q

µ P M0 pE q,

(8.248)

where the constants cptq and ω ptq satisfy (8.246). Then lim hg, µptq π ptqi 0.

(8.249)

Ñ8

t

If the collection of functions g satisfying (8.248) for an appropriate choice of cptq and ω ptq satisfying (8.246) is dense in Cb pE q, then (8.249) holds for g P Cb pE q. The following proposition has some independent interest; it says that an operator which has the properties (i) and (iii) of Theorem 8.5 generates a bounded analytic weak -continuous semigroup in M0 pE q with r ω of C by exponential decay. For ω ¡ 0 we define the open subset Π r ω tλ P C : ℜλ ¡ 0u tλ P C : |λ| ω u. Π Proposition 8.6. Let K be a sectorial sub-Kolmogorov operator for which there exist constants ω and c such that pλI K q DpK q M pE q for some r ω and such that λPΠ

|λ| Var pµq ¤ cVar pλµ Kµq (8.250) r ω and for all µ P D pK q. Then the operator K generates a for all λ P Π ( weak -continuous bounded analytic semigroup etK : |argptq| ¤ α . On the

range of the operator K this analytic semigroup has exponential decay as t Ñ 8. rω Proof. [Proof of Proposition 8.6.] We consider the subset Πω of Π defined by

Πω

!

)

r ω : λ 0, pλI K q D pK q M pE q . λPΠ

(8.251)

First suppose that λ0 belongs to Πω . Put R pλ0 q pλ0 I K q1 , and define the operators Rpλq, |λ λ0 | c1 |λ0 |, by Rpλq °8 j j 1 . From (8.250) it follows that the operators Rpλq j 0 pλ0 λq R pλ0 q are well defined and that pλI K q Rpλq I for λ P C such that |λ λ0 | c1 |λ0 |. Hence the set Πω is an open subset of the punctured r ω zt0u. Next let λn , n P N, be a sequence in Πω with limit λ0 in the subset Π

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r ω zt0u. For n P N so large that |λ0 λn | c1 |λn | punctured open subset Π we have

pλ0 I K q

8 ¸

pλn λ0 qj R pλn qj 1 I,

j 0

1

where we wrote R pλn q pλn I K q . It follows that the punctured set r ω zt0u. Πω zt0u is open and closed in the connected punctured open set Π Since the latter is topologically connected and since by assumption Πω is r ω , λ 0, the range of the operator non-empty it follows that for every λ P Π 1 λI K coincides with M pE q. As above we put Rpλq pλI K q , λ P r ω . Inequality (8.250) implies that pλI K q1 ¤ c, λ P Π r ω . From Π the arguments in the proofs of Theorem 8.7 and Corollary 8.3 it follows that the resolvent Rpλq extends to a sectorial region of the form Πω,β : r ω tλ P C : |argpλq| ¤ β u, where 1 π β π, and the norm of the of Π 2 the resolvent Rpλq satisfies an estimate of the form:

|λ| }Rpλq} ¤ c1 ,

Put P

1 2πi

»

|λ|ω

pλI K q1 dλ

λ P Πω,β .

and A

1 2πi

Then we have » 1 pλI pλI K qq pλI K q1 dλ KP 2πi |λ|ω » » 1 1 2πi λpλI K q1 dλ pλI 2πi |λ|ω |λ|ω and KA

»

1 2πi |λ|ω » 1 2πi |λ|ω

(8.252)

»

|λ|ω

1 pλI λ

K q1 dλ. (8.253)

K qpλI K q1 dλ 0,

1 pλI K λI q pλI K q1 dλ λ » 1 1 dλI pλI K q1 dλ I P. λ 2πi |λ|ω

(8.254)

It follows that RpK q, the range of K, is weak -closed and that I P is a continuous linear projection from M pE q onto RpK q with null space RpP q N pK q. From Theorem 8.3 it follows that (K generates a weak continuous sub-Kolmogorov semigroup etK : t ¥ 0 in M pE q. By (8.252) we see that this semigroup is analytic. Since the set Πω,β contains a halfplane of the form tλ P C : ℜλ ¥ ω0 u where ω ¡ ω0 ¡ 0 the representation

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in (8.258) with ω 1 ω0 and ℓ 1( can be used to show the exponential decay of the semigroup etK : t ¥ 0 on the range of K. This completes the proof of Proposition 8.6.

Suppose that |λ| Varpµq ¤ cVar pλµ Kµq for ℜλ ¥ ω, µ P DpK q. Then the operator I P can be written as » ω i8 »8 1 1 1 I P K p λI K q dλ K esK ds. (8.255) 2πi ωi8 λ 0 On the range of K (which coincides with the range of I P ) the operator A has the representation: » ω i8 »8 1 1 1 A p λI K q dλ esK pI P q ds. (8.256) 2πi ωi8 λ 0 On the space M pE q the operator etK can be represented by » ω1 i8 1 tℓ tK etλ pλI K qℓ1 dλ, ω 1 ¡ 0, ℓ ¥ 1. (8.257) e ℓ! 2πi ω1 i8 On the range of K the operator etK has the representation: » ω1 i8 tℓ tK 1 ℓ1 dλ, ω 1 ¡ ω, ℓ ¥ 1. (8.258) e etλ pλI K q ℓ! 2πi ω1 i8 Notice that by (8.254) the operator K has a bounded inverse on its range. It 1 follows that the function λ ÞÑ pλI K q restricted to RpK q is holomorphic in a neighborhood of λ 0.

Remark 8.11. We may say that the condition supt¡0 tLetL 8 is kind of an analytic maximum principle.analytic maximum principle. In this remark only, suppose that E is locally compact and second countable. Let L be the generator of a Feller-Dynkin Fix t ¡ 0 semigroup. tL tL and choose x P E in such a way that e f pxq e f 8 . Then we have

ℜ etL f pxqtLetL f pxq

¤ 0.

Next assume that the operator L is such that

the corresponding Feller-Dynkin semigroup has an integral ppt, x, y q with respect to a reference measure dmpy q. This means that the semigroup etL ³ tL is given by e f pxq p pt, x, y q f py qdmpy q. Then L generates a bounded analytic semigroup if and only if » » tB p pt, x, y q dmpy q sup sup sup sup |tL p pt, , yq pxq| dmpyq 8. Bt t¡0 xPE E t¡0 xPE E This is the case if and only if for some α P 0, 21 π an inequality of the form »

sup

sup

P | p q|¤α xPE

t C: arg t

holds.

|p pt, x, yq| dmpyq 8

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For the moment we only suppose that the operator K generates a bounded analytic weak -continuous semigroup on M pE q. Let γr : 21 π, 12 π , 0 r 8, be a parametrization of the semi-circle γr pϑq reiϑ , 12 π ¤ ϑ ¤ 1 2 π. Then by Cauchy’s theorem the following equality of sums of integrals holds for 0 r R 8: » » 1 ir 1 1 1 1 p λI K q dλ pλI K q1 dλ πi iR λ πi γr λ 1 πi »

» iR ir

1 pλI λ

K q1 dλ

(8.259) K q1 dλ. By using the parameterizations ξ ÞÑ iξ, R ¡ ξ ¡ r, and ξ Ñ Þ iξ, r ξ R and letting R tend to 8 we obtain: » » 1 2 8 2 1 1 ξ I K2 pλI K q1 dλ. dξ (8.260) π πi λ

1 πi

γR

1 pλI λ

r

γr

It follows that »8 » 2 2 8 2 2 1 pK q ξ I K dξ π pK q ξ2 I π r » r 1 1 πi λ pλI K λI q pλI K q1 dλ γ » r » 1 πi λ1 dλI πi1 pλI K q1 dλ γr γr » 1 I πi pλI K q1 dλ. γr From (8.261) we also obtain:

K2

1

dξ

(8.261)

2 8 pK q ξ2 I K 2 1 dξ I K π r » » πi1 1dλ I πi1 λ pλI K q1 dλ γr γr » 2r 1 π I πi λ pλI K q1 dλ. γr »

(8.262)

We formulate these results in the form of a proposition. Proposition 8.7. Put »8 2 Qr pK q ξ2 I π r

K2

1

dξ

and

Pr

πi1

» γr

pλI K q1 dλ. (8.263)

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Then I

Qr

Pr , R pPr q DpK q, and

K I

2 π

»8 r

KPr πi1

pK q

»

γr

2

ξ I

λ pλI

K

2

1

sup

Pr

ϑ

1 1 2 π, 2 π

s

dξ

K q1 dλ 2rπ I.

Moreover, the following inequality is valid:

}KPr } ¤ r

iϑ reiϑ I re

K

1

2r . π

(8.264)

(8.265)

Definition 8.7. A linear operator Q : M pE q Ñ M pE q is called sequentially weak -closed if its graph tpµ, Qµq : µ P M pE qu is sequentially weak closed in M pE q M pE q. This means that for any sequence pµn qnPN which itself converges to µ for the σ pM pE q, Cb pE qq-topology, and for which the sequence pQµn qnPN converges to ν P M pE q with respect to the σ pM pE q, Cb pE qq-topology the equality ν Qµ follows. In the following proposition we collect a number of alternative ways to represent the operators Q and P . Recall that the projection operator P is called a Dunford projection. Proposition 8.8. Let K be a sub-Kolmogorov operator which gener( ates a weak -continuous semigroup esK : s ¥ 0 in M pE q. Put Rpλq pλI K q1 , ℜλ ¡ 0. The following assertions are true:

(1) Suppose that the weak -limit

Qµ σ pM pE q, Cb pE qq - lim pK q Rpλqµ

Ó

λ 0

exists for all µ P M pE q. In addition, suppose that the operator Q is sequentially weak -closed. Then Q is a projection from M pE q onto the weak -sequential closure of the space RpK q. Its zero space is N pK q, and the projection P I Q on N pK q is given by P µ σ pM pE q, Cb pE qq - lim λRpλqµ.

Ó

λ 0

(2) Suppose that the weak -limit

Qµ σ pM pE q, Cb pE qq - lim pK q

Ò8

t

»t

esK µds 0

exists for all µ P M pE q. In addition, suppose that the operator Q is sequentially weak -closed. Then Q is a projection from M pE q onto the

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weak -sequential closure of the space RpK q. Its zero space is N pK q, and the projection P I Q on N pK q is given by P µ σ pM pE q, Cb pE qq - lim etK µ,

Ñ8

t

provided that σ pM pE q, Cb pE qq - limtÑ8 Ke µ 0 for all µ P DpK q. (3) Suppose that the semigroup generated by K is bounded and analytic. In addition, assume that the weak -limit tK

2 Qµ σ pM pE q, Cb pE qq - lim r Ó0 π

pK q

»8

ξ2I

K2

1

µdξ

r

exists for all µ P M pE q, and suppose that the operator Q is sequentially weak -closed. Then Q is a projection from M pE q onto the weak sequential closure of the space RpK q. Its zero space is N pK q, and the projection P I Q on N pK q is given by P µ σ pM pE q, Cb pE qq - lim

Ó

r 0

1 πi

»

γr

pλI K q1 µ dλ,

µ P M pE q.

Here γr is the curve γr pϑq reiϑ , 12 π ¤ ϑ ¤ 12 π. (4) Suppose that 0 is an isolated point of the spectrum of K and that in a neighborhood of 0 the following inequality holds for a finite constant C, for all µ P DpK q and for all λ P C in a (small) disc around 0:

Then the range of More precisely, put Qµ Pµ

|λ| Varpµq ¤ CVar pλµ Kµq . K is weak -closed, and M pE q RpK q

(8.266) N pK q.

»

1 pK q λ1 pλI K q1 µ dλ, and 2πi γ rr » 1 pλI K q1 µ dλ 2πi γrr

where µ P M pE q. Here γ rr stands for the full circle: γ rr pϑq reiϑ , π ¤ ϑ ¤ π, and for |λ| ¤ r the inequality in (8.266) holds. Then Q is a weak -continuous projection mapping from M pE q onto RpK q, and P I Q is weak -continuous projection mapping from M pE q onto N pK q. Moreover, I Q P . Remark 8.12. If the operator (K is the weak -generator of a bounded ( analytic semigroup etK : t ¥ 0 . Then the families etK : t ¥ 0 and ( tKetK : t ¥ 0 are uniformly bounded. It follows that lim Var KetK µ

Ñ8

t

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0, and hence the assumptions of assertion (3) entail those of (2). The identity »8 »8 1 λt tK e e µ dt et eλ tK µ dt λR pλq µ λ 0

0

shows that assertion (1) is a consequence of (2). Finally, by residue-calculus and the hypothesis in assertion (4) we also have » 1 λRpλqµ. pλI K q1 µ dλ σ pM pE q, CbpE qq - lim λÓ0 2πi γrr It follows that the conditions in assertion (4) imply those of (1). Remark 8.13. Let pµ, ν q P M pE q M pE q be such that there exists a sequence pµn qnPN M pE q together with a sequence pλn qnPN p0, 8q which decreases to 0 if n tends to 8 such that

pµ, ν q σ pM pE q, Cb pE qq - nlim Ñ8 pµn , µn λRpλqµn q .

Then it is assumed that the graph of the operator Q contains the pair pµ, ν q. Let the sequence pµn , µn λn R pλn q µn q tend to pµ, ν q for the weak -topology. First we show that Qν Qµ. By assumption we know that σ pM pE q, Cb pE qq - lim pµ λn R pλn q µn q

Ñ8

n

σ pM pE q, Cb pE qq - nlim Ñ8 pKR pλn q µn q Qµ.

(8.267)

We also have:

σ pM pE q, Cb pE qq - lim pµn µ λn R pλn q pµn µqq ν Qµ. (8.268)

Ñ8

n

Since µn converges to µ in the weak sense the equality in (8.268) implies: σ pM pE q, Cb pE qq - lim

Ñ8 pλn R pλn q pµn µqq ν Qµ.

n

In addition, we have

lim Var pKλn R pλn q pµn µqq lim Var

Ñ8

n

Ñ8

n

λ2n R pλn q λn

(8.269)

pµn µq 0

(8.270) and hence, since the operator K is sequentially weak closed we infer K pν Qµq 0.

But we also have N pK q N pQq and thus Q pν Qµq 0. Since Q2 Q we see Qν Qµ. Fix N P N. Using the equalities λn R pλn q pν Qν q ν Qν and Qν Qµ we obtain the identities: 1 µn µ pλn R pλn qqN 1 pµn µq pν Qν q N 1

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N1 N1

N ¸

1 j 0 N ¸

1 j 0

527

pλn R pλn qqj tpI λn R pλn qq pµn µq pν Qν qu pλn R pλn qqj tpI λn R pλn qq pµn µq pν Qµqu .

Hence, if we assume from the start that σ pM pE q, Cb pE qq - lim pλn R pλn q pµn qq 0

Ñ8

n

whenever λn Ó 0 and σ pM pE q, Cb pE qq - limnÑ8 µn weak -closure of RpK q.

0, then RpQq is the

Proof. [Proof of Proposition 8.8.] Proof of assertion (1). Let µ P M pE q. First we notice the equalities µ KR pλqµ λRpλqµ P DpK q, and 2 lim K pλRpλqµq lim λ Rpλqµ λµ 0. The latter limit is taken

Ó

Ó

λ 0

λ 0

with respect to the variation norm. In addition, we see that P µ : σ pM pE q, Cb pE qq-lim λRpλqµ exists. Since the graph of K is sequentially

Ó

λ 0

weak -closed, it follows that P µ belongs to DpK q and KP µ. Hence, we see that the measure µ Qµ belongs to N pK q then. Consequently, if Qµ 0, then µ µ Qµ P N pK q. If Kµ 0, then Qµ lim pK q pλR pλq µq lim pλR pλq Kµq 0.

Ó

Ó

λ 0

λ 0

The previous arguments show the equalities of spaces: pI Qq M pE q N pK q N pQq. It follows that Q pI Qq 0, and thus Q Q2 . From the definition of Q it follows that RpQq, the range of Q, is contained in the sequential weak -closure of RpK q. Conversely, let ν σ pM pE q, Cb pE qqlimnÑ8 Kµn , where pµn qnPN is a sequence in DpK q. Then Q pKµn ν q Q pKµn q ν ν Qν Kµn ν ν Qν, which converges for the weak topology to ν Qν. It follows that the pair p0, ν Qν q belongs to the sequential weak -closure of the graph of Q, and consequently ν Qν. Proof of assertion (2). In the proof of this assertion we use the identity ³t µ K 0 esK µds etK µ instead of µ KR pλq µ λR pλq µ. Then we let t tend to 8. Proof of assertion (3). In the proof of this assertion we employ the identity µ

K

»8 r

Then we let r

ξ2 I

K2

¡ 0 tend to 0.

1

µ dξ

πi1

»

γr

pλI K q1 µ dλ.

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Proof of assertion (4). Here we have the identity: » » 1 1 1 1 K pλI K q µ dλ 2πi pλI K q1 µ dλ. µ 2πi λ γ γ rr rr Hence, here we have » » 1 1 1 1 Qµ p Kq p λI K q µ dλ, and P µ pλI K q1 µ dλ. 2πi λ 2πi γ γ rr rr Essentially speaking this proves assertion (4). This completes the proof of Proposition 8.8. In all these cases we prove that pI Qq M pE q N pK q N pQq, and Q pKµq K pQµq Kµ for µ P DpK q. Consequently, Q2 Q. If Qµ 0, then µ µ Qµ P N pK q, and hence N pQq N pK q. Conversely, if µ P DpK q is such that Kµ 0, then the definition of Q implies Qµ 0.

Theorem 8.6. Suppose that the operator K generates a bounded analytic weak -continuous semigroup on M pE q, and that for every f P Cb pE q and µ P M pE q the integral » 1 E 2 8D f, pK q ξ 2 I K 2 µ dξ (8.271) π 0 exists as an improper Riemann integral. Suppose that ! ) for every µ P M pE q,

1

the family of measures λ pλI K q µ : ℜλ ¡ 0 is Tβ -equi-continuous. Then for every µ P M pE q, the functional »8D 1 E f, pK q ξ 2 I K 2 µ dξ, f P Cb pE q (8.272) f ÞÑ 0

is continuous on pCb pE q, Tβ q, and hence it can be identified with a measure. In addition, it is assumed that for every f P Cb pE q the equality » 8D » 8D E 1 E 2 2 1 lim f, pK q ξ I K µn dξ f, pK q ξ 2 I K 2 µ dξ

Ñ8

n

0

0

holds whenever pµn : n P Nq is a sequence in M pE q which converges with respect to the σ pM pE q, Cb pE qq-topology to a measure µ P M pE q, i.e. lim hg, µn i hg, µi for all g P Cb pE q.

Ñ8

n

For µ P M pE q let Qµ denote the measure corresponding to the functional: » 1 E 2 8D f ÞÑ f, pK q ξ 2 I K 2 µ dξ hf, Qµi . π 0 Then for every µ P M pE q the measure µ Qµ belongs to DpK q and K pµ Qµq 0. Moreover, RpQq is the weak sequential closure of RpK q, and Q2 Q. In addition I Q sends positive measures to positive mea sures, and R pQq N pQq t0u. If h1, Kµi 0 for all µ P DpK q, then I Q sends the convex set of probability measures on E to itself.

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Proof. [Proof of Theorem 8.6.] As in Proposition 8.7 we introduce the operators Qr

2 pK q π

»8

2

ξ I

K

2

1

dξ

and Pr

r

1 πi

»

γr

pλI K q1 dλ.

(8.273) Pr . Notice that, for given µ P M pE q, the collection Then I Qr ! ) λ pλI K q1 µ : ℜλ ¡ 0 is Tβ -equi-continuous. As a consequence we see that the functional in (8.272) belongs to M pE q. The proof of Theorem 8.6 can be completed as the proof of Proposition 8.8.

Proof. [Proof of Theorem 8.5.] Let µptq be as in (8.6), and let π ptq satisfy K ptqπ ptq 0. It follows that µ9 ptq K ptqµptq belongs to M0 pE q. Since the spectrum of the operator K ptq|M0 pE q is contained in the complement of a circle sector of the form

tλ P C : ℜλ ¥ ωptq : |arg pλ

ω ptqq| ¤ β u

β π, we have: pI P ptqq µptq

with 21 π

1 2πi K ptq »8

» ωptq

81 pλI K ptqq1 dλµptq λ ωptqi8 i

1 pωptq iξq I |M pEq K ptq|M pEq 1 ω p t q iξ 8 K ptq|M pE q pµptq π ptqq dξ (8.274) 1 K ptq|M pEq K ptq|M pEq pµptq πptqq µptq πptq. (8.275) From (8.275) we see that P ptqµptq π ptq and hence K ptqP ptqµptq 0.

1 2π

0

0

0

0

0

Using (8.247) and (8.274) as a norm estimate we obtain the following one: Var ppI P ptqq µptqq

¤

1 2π

»8

8

1 |ωptq

K ptq|M0 pE q »8

iξ |

Var

pωptq

pµptq πptqq

iξ q I |M0 pE q K ptq|M0 pE q

1

dξ

ptq 1 ¤ c2π dξVar K ptq|M pE q pµptq π ptqq 8 |ω ptq iξ |2 2ωcpptqtq Var pK ptqµptqq 2ωcpptqtq Var pµptqq .

0

9

(8.276)

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The estimate in (8.276) and (8.246) entails the following result lim Var ppI

Ñ8

t

P ptqq µptqq tlim Ñ8 Var pµptq πptqq 0.

This essentially proves Theorem 8.5.

Remark 8.14. In this remark we give an alternative representation of the operator P ptq. Since the measure K ptqµptq belongs to M0 pE q, from (8.247) it follows that 1 K ptq 2πi

» ωptq

8

i

p qi8

ω t

pλI K ptqq1 λ1 dλ µptq 0,

(8.277)

and hence, by Cauchy’s theorem,

pI P ptqq µptq

1 K ptq 2πi

» ωptq

8

i

pλI K ptqq1 λ1 dλ µptq

ωptqi8 » ωptq i8

1 2πi K ptq »

p qi8

ω t

pλI K ptqq1 λ1 dλ µptq

1 1 2πi K ptq pλI K ptqq1 dλ µptq λ t|λ|ωptqu » » 1 1 1 dλ µptq pλI K ptqq1 dλ µptq 2πi λ 2πi t|λ|ωp»tqu t|λ|ωptqu 1 µptq 2πi pλI K ptqq1 dλ µptq, t|λ|ωptqu and consequently, P ptqµptq

1 2πi

»

t|λ|ωptqu

pλI K ptqq1 dλ µptq.

(8.278)

1 lim λ pλI K ptqq µptq. λÓ0 Since the operator K ptq has the Kolmogorov property, we see that for λ ¡ 0 the operator λ pλI K ptqq1 sends positive measures to positive measures, and hence P ptqµptq is a positive Borel measure. By the same argument h1, P ptqµptqi 1. The following corollary is applicable if K ptq Lptq , where the operators From residue calculus it follows that P ptqµptq

satisfy the analytic maximum principle. The latter means that

sup sup sK ptqesK ptq 8,

¡ ¡

s 0 t 0

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and that the operators Lptq satisfy the maximum principle. Such densely defined operators in Cb pE q generate bounded analytic semigroups esLptq where s belongs to a sector with angle opening independent of t. It follows that the operators λI Lptq are invertible for all λ P C with |parg λq| ¤ β with 12 π β π, and where for some constant C (independent of t) the

Lptqq1 ¤ C holds for λ P C with |pλq| ¤ β. Corollary 8.3. Let the family K ptq, t ¥ 0, be a family of generators of weak -continuous semigroups in M pE q with the property that the operators esK ptq , s ¥ 0, t ¥ 0, map positive measures to positive measures and each operator K ptq has the property that |λ| Var pµq ¤ CVar pλµ K ptqµq , ℜλ ¡ 0, µ P D pK ptqq , (8.279) inequality |λ| pλI

where C is a constant which does not depend t. Suppose that the constants ω ptq and cptq are such that one of the following conditions

Var esK ptq µ

¤ cptqe2ωptqs Var pµq , for s ¡ 0 or (8.280) |λ| Var pµq ¤ cptqVar pλµ K ptqµq , for all λ P C such that |λ| ¤ ωptq (8.281)

is satisfied for all µ P M0 pE q D pK ptqq. Let t ÞÑ µptq be a solution to the equation µ9 ptq K ptqµptq, t ¥ 0, with µptq P P pE q. If (8.246) is satisfied, then the system µ9 ptq K ptqµptq is ergodic, provided that there exists a unique function π ptq P P pE q such that K ptqπ ptq 0.

1

Proof. There exists 12 π β π such that |λ| pλI K ptqq ¤ C for λ P C with |pλq| ¤ β, with C independent of t: see Theorem 8.7 and the corollaries and 8.4 and 8.5. For µptq π ptq P M0 pE q D pK ptqq such that ω ptq K ptq pµptq π ptqq µ9 ptq and λ P C such that |λ 2ω ptq| ¤ , and such 2cptq that ℜλ ¥ ω ptq, and for µ P M0 pE q we have µptq π ptq

»8 0

espλI 2ωptqI K ptqq ppλ 2ω ptqq pµptq π ptqq µ9 ptqq ds,

and hence for such λ

cptq Var pµ9 ptqq . ℜλ 2 ω ptq (8.282) An easy application of Theorem 8.5 then completes the proof of Corollary 8.3. Var pµptq π ptqq ¤ cptq

|λ 2ωptq| ¤ 1 Var pµptq πptqq

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(

Families of semigroups esK ptq : s ¥ 0 t¥t0 which satisfy (b) of the following theorem are called uniformly bounded and uniformly holomorphic families of operator semigroups: cf. [Blunck (2002)]. The next result will be used with Aptq 2ωI M0 pE q K ptq M0 pE q : see Corollary 8.6 below.

Theorem 8.7. Let Aptq, t ¥ t0 , be a family of closed linear operators, each of which has a dense domain in a Banach space pX, }}q. Suppose that, for 1 every t ¥ t0 , and for every λ P C with ℜλ ¡ 0, the inverses pλI Aptqq exist and are bounded. Then the following assertions are equivalent:

Aptqq1 8; t¥t ℜλ¡0 sup sup sAptqesAptq 8 and sup sup esAptq 8.

(a) sup sup |λ| pλI 0

(b)

¡ ¥

¡ ¥

s 0 t t0

s 0 t t0

Proof. Most standard proofs for one generator A can be adapted to include a family of operators Aptq, t ¥ t0 : (see e.g. [Van Casteren (1985)], page 84, or [Pazy (1983a)] Theorem 5.2 and formula (5.16)). Another thorough discussion can be found in Chapter II section 4 of [Engel and Nagel (2000)]. It is also a consequence of the following theorem. For convenience, and because we need to keep track of the constants an outline of the proof is included. Theorem 8.8. Let K be the generator of a strongly continuous semigroup 1 with the property that for λ P C with ℜλ ¡ 0 the inverse pλI K q exists as a bounded linear operator. Then the following assertions are true: (i) If, for some finite constant C, the inequality

|λ| pλI K q1 ¤ C holds for all λ P C with ℜλ ¡ 0, then

tK e

¤ 2e C 2 and

tKetK

¤ eC 2 p1

C q for all t ¡ 0.

(8.283)

(8.284)

(ii) If there exist finite constants C1 and C2 such that tK e

then

¤ C1 and

tKetK

¤ C2 ,

for all t ¡ 0,

(8.285)

|λ| pλI K q1 ¤ C holds for all λ P C with ℜλ ¡ 0.

Here the constant C is given by C

2 pC2 e

1q C1

(8.286)

?e C2 . 2π

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Representations as in (8.287) and (8.288) below can be found in [Blunck (2001)], [Eisner (2005)], and [Eisner and Zwart (2007)]. Proof.

Assertion (i) follows from the representations: tetK 1 2 tK t Ke 2

1 2πi 1 2πi

8

»ω

λ2 etλ pλI K q2

i

8 8

ω i »ω i

8

λ3 etλ pλI

ω i »ω i

1 2πi together with the choice ω

8

8

ω i

1 dλ; λ2

(8.287)

K q3 λ12 dλ 2 1 dλ, 2

λ2 etλ pλI K q

(8.288)

λ

1t .

The proof of assertion (ii) is somewhat more delicate. At first we fix

t0

¡ 0 and we consider t ¡ 0 with the property that |t t0 | ¤ C et0 1 .

(8.289)

2

We notice the inequality t ¥ t0

C2 e , (8.290) C2 e 1 whenever t satisfies (8.289). Moreover, for n ¥ 0 we have the representation e

tK

p t0 q ℓ K ℓ e t K

n ¸ t

ℓ 0

1 n!

0

ℓ!

»t

t0

pt sqn K n

1 sK

e

ds.

The remainder term in (8.291) can be estimated as follows: »t 1 n n 1 sK t s K e ds n! t0 » sK n t n 1 1 n 1 sK n 1 t sn e n 1 n! t0 sn 1 » n 1 n 1 C2n 1 t t sn ds n 1 t0 min t, t0 n!

p q

¤

p q p

¤p

q

¤ pn pn1q 1qC! 2 n 1

n

q

p q p p qq 1 |t t0 |n 1 pmin pt, t0 qqn 1

(employ (8.289) and (8.290)) n 1 ¤ pnpn 1q1q! C n 2

1 n 1 1 n 1 C2 e

ds

1

(8.291)

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(use Stirling’s formula: pn

¤a

1 2π pn

1q

a

1 q! ¥

1qen1 pn

2π pn

1qn

1

) (8.292)

.

This inequality clearly shows that the remainder term converges to 0 unit0 formly for t and t0 satisfying: |t t0 | ¤ . From (8.291) we see that C2 e 1 t0 the semigroup etK for t P C chosen in such a way that |t t0 | ¤ C2 e 1 can be represented as: etK

et K 0

8 t ¸

p t0 q ℓ K ℓ e t K .

(8.293)

0

ℓ!

ℓ 1

From (8.293) it follows that tK e

et K ¤ 0

8 t ¸

| t0 |ℓ K ℓet K 0

ℓ! ℓ 8 1 ℓ ℓℓ t K t0 K ¸ 8 ¸ ℓℓ ℓ 1 0 e ℓ ¤ C ℓ ℓ! 2 C2 e 1 ℓ! ℓ ℓ1 ℓ1 pC2 e 1q ℓ 1

(again we employ Stirling’s formula ℓ! ¥

¤

?

2πℓeℓ ℓℓ )

8 ¸

8 pC eqℓ pC2 eqℓ ? 1 ¤ ¸ 2 ?1 ?e C2 . ℓ ℓ 2π 1q 2πℓ ℓ1 pC2 e 1q 2π ℓ1 pC2 e

(8.294)

Consequently, by our assumption et0 K tK e

¤ C1

¤ C1 , for all t0 ¡ 0, we get ?e C2 , (8.295) 2π

P C is chosen in such a way that (8.289) is satisfied for some

1 1 1 t0 ¡ 0. If we choose 3 π ¡ α ¡ 0 in such a way that sin 2 α , 2C2 e 2 t0 and if |argptq| ¤ α, then t satisfies: |t t0 | ¤ , with t0 |t|. Hence, C2 e 1 tK the norm of e satisfies (8.295). For λ P C such that 21 π 12 α argpλq whenever t

1 2π

1 2α

we have:

»8 i i 1 α 2 pλI K q e exp λe 2 α sI 0

e 2 α sK ds, i

(8.296)

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and hence |λ| pλI

¤

535

K q1

»8 i i λe 2 α s ds exp e 2 α sK ds exp 0

»8

1 e argpλq α s ds C1 ? C2 2 2π 0

cos argp1λq 1 α C1 ?e2π C2 . (8.297) 2 By the same token we also get, for λ P C such that 21 π 12 α argpλq 1 1 2 π 2 α,

¤ |λ|

exp

|λ| cos

»8 i i 1 α 2 pλI K q e exp λe 2 α sI

and hence |λ| pλI

¤

i

(8.298)

0

K q1

»8 i i λe 2 α s ds exp e 2 α sK ds exp 0

»8

¤ |λ|

e 2 α sK ds,

exp

0

|λ| cos

argpλq

1 α s 2

ds C1

?e

2π

C2

1 C1 ?e C2 . (8.299) argpλq 12 α 2π From (8.297) and (8.299) we infer:

1 e 1 |λ| pλI K q ¤ cos |argpλq| 1 α C1 ?2π C2 , (8.300) 2 1 for 21 π 12 α argpλq 12 π 2 α. Inequality (8.286) in Theorem 8.8 follows from (8.300) with λ P C such that |argpλq| 12 π. This completes the proof of Theorem 8.8.

cos

An inspection of the proof of assertion (ii) in Theorem 8.8, in particular inequality (8.300), yields the following result, which says that the resolvent family of a bounded analytic semigroup is bounded in a sector with an opening which is larger than the open right half-plane. Corollary 8.4. Let the hypotheses and notation be as in Theorem 8.8. 1 Choose the angle 31 π ¡ α ¡ 0 in such a way that sin 12 α . 2C2 e 2 Choose 0 ¤ β 12 α. Then

1 e 1 |λ| pλI K q ¤ sin 1 α β C1 ? C2 , |arg λ| ¤ 12 π β. 2π 2 (8.301)

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The result in Corollary 8.4 extends to uniformly bounded and uniformly analytic semigroups. Notice that (8.303) is equivalent to an inequality of the form (t ¥ t0 ):

|λ| pλI Aptqq1 ¤ C,

for λ P C with ℜλ ¡ 0,

(8.302)

where the constants C and C1 , C2 are related in an explicit manner: see Theorem 8.8. Corollary 8.5. Let Aptq, t ¥ t0 , be a family of closed densely defined linear operators. Suppose there exist finite constants C1 and C2 such that sAptq e

¤ C1 and

sAptq sA t e

pq

¤ C2 ,

for all s ¡ 0 and for all t ¥ t0 .

Choose 0 α 13 π in such a way that sin 1 2 α.

Then, for all t ¥ t0 , the inequality

1 2α

1 2C2 e

(8.303)

2

. Fix 0 ¤ β

|λ| pλI Aptqq1 ¤ C pβ q (8.304) is true for all λ P C with|arg λ| ¤ 12 π β. Here the constant C pβ q is given 1 C1 ?e C2 . by C pβ q sin 12 α β 2π In the we use Theorem 8.7 and Corollary 8.5 with Aptq following corollary 2ωI M pE q K ptq M pE q . Corollary 8.6. Let the function t ÞÑ µptq solve the equation: µptq K ptqµptq, µptq P P pE q. Suppose that lim Var pµptqq 0, and that there exists ω ¡ 0 such that tÑ8 c : sup s p2ωI K ptqq esp2ωI K ptqq M pE q 8. (8.305) s,t¡0 If, in addition, there exists only one continuous function t ÞÑ π ptq with values in P pE q such that K ptqπ ptq 0, then limtÑ8 Var pµptq π ptqq 0. Notice that the operator p2ωI K ptqq esp2ωI K ptqq is a mapping from M0 pE q to M0 pE q. 0

0

9

9

0

Proof. An appeal to Corollary 8.5 together with the hypothesis in inequality (8.305) shows that there exists a finite constant c1 such that λ λI M0 pE q

||

p2ωI

K ptqq

1 M0 pE q

¤ c1

for all λ with ℜλ ¡ 0. (8.306)

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The latter result follows in fact from the theory of families of uniform holomorphic semigroups (the inequality (8.306) is uniform in t ¡ t0 ). Consequently, we obtain:

|λ 2ω| λI M pEq p2ωI for all λ with ℜλ ¥ ω. 0

K ptqq M0 pE q

1

¤ 3c1

The result in Corollary 8.6 then follows from Theorem 8.5.

Examples of operators L which generate analytic Feller semigroups can be found in [Taira (1997)]. Other valuable sources of information are [Metafune et al. (2002a)] and [Taira (1992)].

8.5

Conclusions

In this chapter we discussed some properties of the fundamental operator of the non-stationary, or time-dependent continuous system (8.6). Moreover, in some particular cases, when we deal with a family of Kolmogorov operators K ptq, we introduce and prove some efficient criteria for checking ergodicity (Theorem 8.5). This is done by using the Dunford projection on the eigenspace corresponding to the critical eigenvalue 0 of K ptq. (

The properties of the families of semigroups esK ptq : s ¥ 0 t¥t0 are examined in detail in Theorem 8.7 and Theorem 8.8 as well as in Corollary 8.4 and Corollary 8.5. The obtained results allow us to present Corollary 8.6 providing the ergodicity of non-stationary system in terms of bounded analytic semigroups. In addition, in §9.4 we discuss a rather general situation in which we have a spectral gap: see e.g. Proposition 9.16. Some of this work was based on ideas and concepts of Katilova [Katilova (2008, 2004, 2005)]. What follows next can be found in [Van Casteren (2005a)]. Theorem 8.9 is inspired by ideas in Nagy and Zemanek: see [Nagy and Zem´ anek (1999)]. The result can also be found in the Ph.-D. thesis of Katilova: see [Katilova (2004)], Theorem 8.9. Theorem 8.9. Let M be a bounded linear operator in a Banach space X. By definition the sub-space X0 of X is the }}-closure of the vector sum

}}

of the range and zero-space of I M : X0 R pI M q N pI M q . Suppose that the spectrum of M is contained in the open unit disc union t1u. The following assertions are equivalent: (i)

sup|λ| 1 p1 λq pI

λM q1 x 8 for every x P X0 ;

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supnPN }M n x} 8 and supnPN pn 1q }M n pI M q x} 8 for every x P X0 ; (iii) supt¡0 etpM I q x 8 and supt¡0 t pM I q etpM I q x 8 for x P X0 ; (iv) There exists 21 π α π such that for all x P X0 : (ii)

!

)

|λ| pλI pM I qq1 x : α argpλq α 8; There exists 12 π α π such that for all x P X0 : ! ) 1 sup pI M q ppλ 1q I M q x : α argpλq α 8; For every x P X0 the following limits exist 1 P x : lim M n x and pI P q x lim pI M q I reiϑ M x; nÑ8 Ñ sup

(v)

(vi)

1

reiϑ

0 r 1

(vii)

For every x P X0 the following limit exists

pI P q x :

lim pI M q I reiϑ M reiϑ Ñ1

1

x.

0 r 1

Moreover, if M satisfies one of the conditions (i) through (vii), then X0

R pI M q}}

N pI M q .

Remark 8.15. The Banach-Steinhaus theorem implies that in (i) through (v) in Theorem 8.9 the vector norms may be replaced with the operator norm restricted to X0 ; i.e. the operator M must be restricted to X0 . These assertions (i) through (v) are also equivalent if X0 is replaced with the space X. This fact will be used in Definition 8.8. Conditions (a) and (b) of the following corollary from [Arendt et al. (2001)] are satisfied, if the space X is reflexive. The closed range condition in (c) has been used by Lin in [Lin (1974)] and in [Lin (1975)]; in the latter reference he also tied it up with Doeblin’s ergodicity condition. For a precise formulation of Doeblin’s ergodicity condition see item (ii) in Definition 10.8. Corollary 8.7. Let M be a bounded linear operator in a Banach space pX, }}q. As in Theorem 8.9 let X0 be the closure in X of the sub-space R pI M q N pI M q. Suppose that, for 0 λ 1 exist and are bounded, and that 1, the inverse operators p I λM q 1 sup p1 λq pI λM q 8. If one of the following conditions:

0 λ 1

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(a) the zero space of the operator pI M q , which is a sub-space of the bidual space X is in fact a subspace of X; (b) the σ pX , X q-closure of R ppI M q q coincides with its }}-closure; (c) the range of I M is closed in X; is satisfied, then the space X0 coincides with X, and hence all assertions in Theorem 8.9 are equivalent with X replacing X0 . Remark 8.16. If sup }M n } 8, then sup

P

n N

0 λ 1

p1 λq pI λM q1 8.

Definition 8.8. An operator M which satisfies the equivalent conditions (i) – (v) of Theorem 8.9 with the space X replacing X0 is called an analytic operator. Proof. [Proof of Corollary 8.7.] If the range of I M is closed, then by the closed range theorem, the range of I M is weak -closed and hence (c) implies (b). We will prove that (a) as well as (b) implies X0 X. First we assume (a) to be satisfied. Pick x P X, and consider x pI

M q pI λM q1 x p1 λq M pI λM q1 x x xλ

xλ , (8.307) where xλ p1 λq M pI λM q1 x. Then sup0 λ 1 }xλ } 8, and consequently the family xλ , 0 λ 1, has a point of adherence x in X ; i.e. x belongs to the σ pX , X q-closure of the subset txλ : 1 η λ 1u, and this for every 0 η 1. Fix x P X . Then D 1 E p1 λq M pI λM q x, pI M q x D E p1 λq pI M q pI λM q1 x, M x

¤ p1 λq pI M q pI λM q1 x }M x } .

Since sup0 λ 1 p1

λ I

qp

1 λM

q

pI M q pI λM q1 λ1

(8.308)

8, the identity

I p1 λq pI

1

λM q1

yields that sup0 λ 1 pI M q pI λM q 8. Consequently, (8.308) implies

x , pI M q x lim xλ , pI M q x λÒ1 D E lim p1 λq pI M q pI λM q1 x, M x 0.

Ò

λ 1

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Hence x annihilates R pI M q and so it belongs to the zero space of the operator pI M q . By assumption this zero space is a subspace of X. We infer that the vector x can be written as x x x1 x1 , where x1 is a member of N pI M q, and where x x1 belongs to the weak closure of the range of I M . However this weak closure is the same as the norm-closure of R pI M q. Altogether this shows X X0 }}-closure of R pI M q N pI M q.

Next we assume that (b) is satisfied. Let x0 be an element of X which annihilates X0 ; i.e. which has the property that hx, x0 i 0 for all x P X0 . Then x0 annihilates R pI M q, and hence it belongs to zero space of pI M q . Since x0 also annihilates the zero-space of I M , it belongs to the weak -closure of R pI M q . By assumption (b), we see that x0 is a member of its norm-closure; i.e. x0 belongs to the intersection

}}

N pI M q R pI M q . We will show that x0 0. By the HahnBanach theorem [Hahn (1958)] it then follows that X0 X. Since x0 belongs to the }}-closure of R pI M q , it follows that x0

}} - lim pI M q pI λM q λÒ1

1

x0 .

(8.309)

pI M q x1 . Then pI M q x1 pI M q pI λM q 1 pI M q x1 p1 λq M pI λM q 1 pI M q x1 . (8.310) 1 pI M q x , 0 λ 1, is bounded, Since the family M pI λM q 1

To see this we first suppose that x0

we see that (8.309) is a consequence of (8.310) provided x0 belongs to the range of pI M q . By the uniform boundedness of the family pI M q pI λM q 1 , 0 λ 1, the same conclusion is true if x0 belongs to the closure of the range of pI M q . Since, in addition, x0 is a member of N pI M q , it follows that x0 0. This proves Corollary 8.7. This completes the proof of Corollary 8.7. Proof. [Proof of Theorem 8.9.] (i) ùñ (ii). Fix 0 r 1. The following representations from Lyubich [Lyubich (1999)] are being used:

pn 1 pn 2

1qM n 1qpn

»

p1 λq2 pI λM q2 λn 1 pdλ ; 1 λq2 |λ|r 2qM n pI M q

1 2πi

(8.311)

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»

p1 λq2 pI M q pI λM q3 λn 1 pdλ 1 λq2 |λ|r » 1 2πi p1 λq2 pI λM q2 n 2 1 2 dλ λ p1 λq |λ»|r 1 3 3 2πi p1 λq pI λM q n 2 1 2 dλ. (8.312) λ p1 λq |λ|r ! ) Put C : sup p1 λq pI λM q1 |X0 : |λ| 1 . From (8.311) we infer 1 2πi

pn

1q }M n } ¤

C2 1 rn 2π

»π

1

π |1 reiϑ |

2 dϑ

C2 1 . rn 1 r2

(8.313)

n n 2 yields

The choice r2

}M n |X0} ¤ 23 eC 2 .

(8.314)

In the same spirit from (8.312) we obtain 1 pn 2

1qpn

The choice r2

2q }M n pM

nn pn

I q |X0 } ¤

C2

C3

1

1

rn 1

1 r2

.

1 yields the inequality: 3

I q |X0} ¤ 4e3 C 2 C 3 . This proves the implication (i) ùñ (ii). (ii) ùñ (iii). The representations (see [Nagy and Zemánek (1999)]) etpM I q

e t

1q }M n pM

8 tk ¸

k 0

k!

M k and tpM

I qetpM I q et

8 tk ¸

k 0

1

k!

M k pM

show that (iii) is a consequence of (ii).

Iq

(iii) ùñ (iv). This is a (standard) result in analytic operator semigroup theory: see e.g. [Van Casteren (1985)], Chapter 5, Theorem 5.1. (iv)

ùñ (v). The equality pI M q ppλ 1q I M q1 I λ pλI pM I qq1

shows the equivalence of (iv) and (v). (v)

ùñ (i). Fix x P X0 . The choice

1 1 λ 1 eiϑ 2i sin ϑ e 2 iϑ , |ϑ| ¤ 2α, 2

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yields the boundedness of the function

M q I eiϑ M 1 x on the interval rα, αs. Since, for |λ| 1, λ 1, the function λ ÞÑ pI M q pI λM q1 x

ϑ ÞÑ pI

is continuous, it follows that this function is bounded on the unit circle. The maximum modulus theorem shows that this function is bounded on the unit disc, which is assertion (i).

ùñ (vi). Fix x P X0 . For 0 r 1 and ϑ P R we also have I P reiϑ pI M q x »π 1 1 r2 2π1 p I M q I eit M pI M q x dt 2 1 2r cos pϑ tq r

(i)

π

pI M q I reiϑ M

1

pI M q x.

(8.315)

In (8.315) we use the continuity of the boundary function eit

ÞÑ pI M q I eit M

to show that reiϑ

lim

Ñ1, 0¤r 1

I P reiϑ

1

pI M q x

(8.316)

p I M q x pI P q p I M q x pI M q x

(8.317) exists, and that I P is a bounded projection on X0 . From (i) it follows 1 that the function λ ÞÑ pI M q pI λM q x is uniformly bounded on the unit disc, and hence that the limit in (8.317) exists for all y in the closure of RpI M q. In addition, for such vectors y we have pI P q y y. The limit in (8.317) trivially exists for x P X such that M x x, and hence we conclude that the limit in (i) exists for all x P X0 , because x pI P qx P x, where pI P qx belongs to the closure of the range of I M and where

P qx x lim pI M q pI λM q1 x λÒ1 lim p1 λq M pI λM q1 x. (8.318) λÒ1 From (8.318) it follows that pI M q P x 0. In addition, from (ii), which is equivalent to (i), we see that limnÑ8 M n y 0 for all y in the range of I M ; here we use the boundedness of the sequence pn 1q M n pI M q, n P N. The boundedness of the sequence M n , n P N, then yields limnÑ8 M n y 0 for y P RpI P q, because the range of I M is dense in the range of I P . An arbitrary x P X0 can be written P x x pI

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as x pI P q x P x. From the previous arguments it follows that limnÑ8 M n x P x. Fix x P X0 . Altogether this shows the implication (v) ùñ (vi), provided we show the continuity of the function in (8.316) in 1 the sense that limtÑ0 pI M q I eit M pI M q x pI M q x. However, this follows from the identity

pI M q I eit M 1 pI M q x pI M q x eit 1 pI M q I eit M 1 M x, together with the uniform boundedness (in 0 |t| ¤ π) of the family of

operators:

pI M q I eit M 1 . In the latter we use the implication (v) ùñ (i). The implication (vi) ùñ (vii) being trivial there remains to be shown that (vii) implies (i). For this purpose we fix x P X0 and we consider the

continuous function on the closed unit disc, defined by $ ' & I

p M q pI λM q1 x F pλqx : pI P qx lim pI M q pI λM q1 x ' Ñ % |λ| 1 λ

1

for |λ| ¤ 1, λ 1, for λ 1.

From (vii) it follows that the function F pλqx is well-defined and continuous. Hence it is bounded. The theorem of Banach-Steinhaus then implies (i) completing the proof of Theorem 8.9. For more recent results about stability and asymptotic behavior of linear semigroups the reader is referred to [van Neerven (1996)] or to [Eisner (2010)]. Books on operator semigroups are e.g. [Pazy (1983b)], [Goldstein (1985)], [Engel and Nagel (2000)], [Balakrishnan (2000)], [Kantorovitz (2010)]. 8.6

Another characterization of generators of analytic semigroups

Let L be a closed linear operator with domain DpLq and RpLq in a Banach space pX, }}q with topological dual pX , }}q. Suppose that DpLq is dense and that there exists λ P C, ℜλ ¡ 0 such that pλI Lq X. We want to give a characterization of generators of bounded analytic semigroups purely in terms of dual elements and arguments of complex numbers of the form

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hLx, x i , x P DpLq, x P X , hx, x i 0. For a concise notation we hx, x i introduce the following subsets and quantities. Fix 0 η 1. Put S1 px, η q tx

P X : }x } ¤ 1, |hx, x i| ¥ η }x}u , x P X. For brevity write, for x P DpLq, hx, x i 0, inf |fL px, x q| hLx, x i x PS px,η q , and qL px, η q fL px, x q . hx, x i sup |fL px, x q| 1

x

(8.319)

(8.320)

PS1 px,ηq

If L 0, then by definition qL px, η q 0. In addition, the following quantities are introduced (x P DpLq): α1 px, η q inf arg fL px, x q , α2 px, η q sup arg fL px, x q , x PS1 px,η q x PS1 px,η q

and βL px, η q max

1 π π p α2 px, η q α1 px, η qq , α2 px, η q , α1 px, η q . 2 2 2 (8.321)

The following result follows from Lemma 8.9 below and standard results on generation of bounded analytic semigroups. Theorem 8.10. Let L be a closed linear operator with dense domain DpLq in a Banach space pX, }}q with dual pX , }}q. Fix η P p0, 1q, and let S1 px, η q, x P X, be as in (8.319), and define the quantities qL px, η q and βL px, η q, x P DpLq, as in (8.320) and (8.321) respectively. Suppose that there exists λ P C, ℜλ ¡ 0, such that R pλI Lq X. Then the following assertions are equivalent: (i) The operator L generates a bounded analytic semigroup; (ii) There exists a δ pη q ¡ 0 such that for all x P DpLq the inequality in (8.337) holds:

max

1 qL px, η q 1 , sin βL px, η q 1 qL px, η q 2

(iii) The following inequality holds: inf

inf

sup

P } }1 ℜλ¡0 x PS1 px,ηq

x X, x

1

¥ δpηq;

x i hλLx, ¡ 0. hx, x i

(8.322)

(8.323)

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(iv) There exists a strictly finite constant C such that the following inequality holds for all x P DpLq and all λ P C, ℜλ ¥ 0:

|λ| }x} ¤ C }λx Lx} .

(8.324)

We need some elementary results for complex numbers and functions. Lemma 8.7. Let w 0 be a complex number. Then the following inequalities hold:

1 w w max 1 |w| , 1 2 |w| ¤ |1 w| ¤ 1 |w| 1 |w| ¤ 2 max 1 |w|, 1 |ww| . (8.325) Put w

Proof.

|w| eiϑ , π ¤ ϑ ¤ π. Then 1

w 1 |w| 2 sin 2 ϑ .

(8.326)

By writing |1 w| 1 2 |w| cos 12 ϑ |w| the first inequality follows by squaring both sides and using (8.326). The second inequality from the equality 2

2

|1 w|

2i sin 1 ϑ 2

p1 |w|q e

,

i 12 ϑ

which can be checked easily. The third inequality in (8.325) being trivial this completes the proof of Lemma 8.7. Lemma 8.8. Let α1 and α2 be real numbers such

that π 1 1 1 pα2 α1 q , α2 2 π, α1 2 π . Then Put β max 2 inf

Pr

ϑ

1 1 2 π, 2 π

sup

s tPrα ,α s 1

sin

2

¤ α1 ¤ α2 ¤ π.

1 1 1 | t ϑ| inf sup sin |t ϑ| sin β. 1 1 2 2 2 ϑPr 2 π, 2 π s tPtα1 ,α2 u (8.327)

First we write

Proof. M :

inf

Pr

ϑ

1 1 2 π, 2 π

sup

s tPrα ,α s 1

2

sin

1 |t ϑ| 2

1 1 inf max sup sin pt ϑq , sup sin pϑ tq . 1 1 2 2 ϑPr 2 π, 2 π s tPrα1 ,α2 s tPrα1 ,α2 s (8.328)

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From (8.328) we deduce

1 1 inf max sin pα2 ϑq , sin pϑ α1 q . M¥ 1 1 2 2 ϑPr 2 π, 2 π s

(8.329)

Then we distinguish cases: α1 α2 ¤ π, π ¤ α1 α2 ¤ π, and α2 . If 2π ¤ α α ¤ π, then from (8.329) we get π ¤ α1 1 2 M ¥ sin 12 α1 12 π with ϑ 21 π, if π ¤ α1 α2 ¤ π then M ¥ sin 41 pα2 α1 q with ϑ 12 pα1 α2 q, and finally, if π ¤ α1 α2 ¤ 2π, 1 1 then it turns out that M ¥ sin 2 α2 2 π with ϑ 12 π. This shows M ¥ sin 21 β. In order to obtain an upper bound we write:

1 sup sin M1 : max 2 tPrα1 ,α2 s M2 : max

sup

Pr

t α1 ,α2

s

1 2

sin

1 sup sin 2 tPrα1 ,α2 s

t

t

1 pα1 2

1 M3 : max sup sin 2 tPrα1 ,α2 s

1 1 π , sup sin 2 2 tPrα1 ,α2 s

1 πt 2

;

1 pα1 2

α2 q ,

α2 q t

;

t

1 1 π , sup sin 2 2 tPrα1 ,α2 s

12 π t

, (8.330)

M2 sin 14 pα2 α1 q and notice that M1 sin 12 α2 12 π if α1 α2 ¥ π, 1 1 if π ¤ α1 α2 ¤ π, and M3 sin 2 α1 2 π if α1 α2 ¤ π. It follows that M ¤ max pM1 , M2 , M3 q. This concludes the proof of Lemma 8.8. Lemma 8.9. Put S1 px, η q tx P X : }x } ¤ 1, |hx, x i| ¥ η }x}u, 0 η ¤ 1, x P X. The notation as in (8.319), (8.320), and (8.321) is in use. Let pxn qnPN be a sequence in DpLq. Then limnÑ8 βL pxn , η q 0 if and only if π π2 ¤ lim inf α1 pxn , η q lim sup α2 pxn , η q ¤ . (8.331) nÑ8 2 nÑ8 Finally, put δL pη q inf

inf

sup

¡ P p q } }1 x PS1 px,ηq

ℜλ 0 x D L , x

max

|1 |λfL px, x q|| ,

1 sin |arg pλfL px, x qq| . 2

(8.332)

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Then

P p q

ηq |1 |λfL px, x q|| 11 qqLppx, , x, η q

sup

sin

sup

inf

¡

ℜλ 0 x S1 x,η

inf

¡

ℜλ 0 x S1 x,η

P p q

inf

Pr

ϑ

1 1 2 π, 2 π

547

and

(8.333)

L

1 |arg pλfL px, x qq| 2

sup

s x PS px,ηq

sin

1

1 |ϑ 2

1 arg pfL px, x qq| sin βL px, η q . 2 (8.334)

Moreover, δL pη q

inf

P p q } }1

x D L , x

max

1 qL px, η q , 1 qL px, η q

1 inf sup sin |ϑ 2 ϑPr 12 π, 12 π s x PS1 px,η q

xPDpLinfq, }x}1 max

arg pfL px, x qq|

1 1 qL px, η q , sin βL px, η q , 1 qL px, η q 2

(8.335)

and the following inequalities hold for all x P DpLq and for λ P C, ℜλ ¥ 0: 1 p1 ηq δL pηqη }x} ¤ 12 p1 ηq }x λLx} 2 (8.336) ¤ sup |hx λLx, x i| ¤ }x λLx} . x PS1 px,η q

In addition, δL pη q ¡ 0 if and only if there exists δ ¡ 0 such that for all x P DpLq the following inequality holds:

1 qL px, η q 1 max , sin βL px, η q ¥ δ. (8.337) 1 qL px, η q 2 Proof. The (in-)equalities in (8.331) are easy consequences of (8.321). The equality in (8.333) is an exercise on inequalities, and so is the first equality in (8.334). The second equality in (8.334) follows from (8.327) in Lemma 8.8. The equalities (8.333) and (8.334) yield the equalities in (8.335). Next let x P DpLq and λ P C be such that ℜλ ¥ 0. The second inequality in (8.336) is trivial and so is the first one when η 1. So assume that 0 η 1. Choose x0 P X in such a way that |hx, x0 i| 12 p1 η q }x} and }x0 } 12 p1 ηq. By the Hahn-Banach theorem such a linear functional exists. If y P X is such that }y } ¤ 12 p1 η q, then for ϑ P rπ, π s we have iϑ 1 1 e x y ¤ }x0 } }y } ¤ p1 η q p1 ηq 1. (8.338) 0 2 2

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In addition, again for ϑ P rπ, π s and y P X with }y } ¤ 12 p1 η q, we have

x, eiϑ x y ¥ |hx, x i||hx, y i| ¥ 1 p1 η q }x} 1 p1 η q }x} η }x} . 0 0 2 2 (8.339) iϑ From (8.338) and (8.339) it follows that all vectors of the form e x0 y , ϑ P rπ, π s, }y } ¤ 12 p1 η q, belong to the set S1 px, ηL q. Then we have sup |hx λLx, x i| x PS1 p1,η q

ℜ x λLx, eiϑ x0 ¥ sup sup 1 ϑPrπ,π s }y }¤ 2 p1η q

y

(by the right choice of ϑ)

¥

sup

}y }¤ p1ηq 1 2

ℜ hx λLx, y i

1 p1 ηq }x λLx} . 2

(8.340)

The inequality in (8.340) completes the proof of (8.336). Since the assertion in (8.337) is trivial this completes the proof of Lemma 8.9. Proof. [Proof of Theorem 8.10.] The equivalence of the assertions (i) and (iv) is a standard result in the theory of analytic semigroups: see e.g. [Van Casteren (1985)], page 84, or [Pazy (1983a)] Theorem 5.2 and formula (5.16). Another thorough discussion can be found in Chapter II section 4 of [Engel and Nagel (2000)]. The equivalence of the assertions (ii) and (iii) is a consequence of the inequalities (8.325) in Lemma 8.7. The implication (ii) ùñ (iii) is follows from inequality (8.335) in Lemma 8.9. Finally, the proof of Theorem 8.10 is completed by showing the implication (iii) ùñ (iv). To this end put δ

1 sup inf inf xPDpLq ℜλ¡0 x PS1 px,x q

Then by (8.323) in (iv) δ Lemma 8.9 it follows that

λ hLx, x i . hx, x i

¡ 0, and from the first inequality in (8.336) in

δη }x} ¤ }x λLx} , x P DpLq, ℜλ ¡ 0.

(8.341)

1 1 and δη λ instead of λ. Therefore the proof of Theorem 8.10 is now complete. The inequality in (8.341) is equivalent to (8.324) with C

In the following proposition we prove a triviality result. The following characterization of the zero operator does not seem to be known.

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Proposition 8.9. Let L be a closed linear operator with dense domain DpLq in a Banach space pX, }}q with dual pX , }}q. Put S1 px, η q tx

P X , }x } ¤ 1, |hx, x i| ¥ η }x}u ,

x P X, 0 η 1. (8.342)

Then the following assertions are equivalent: (i) The operator L is trivial: L 0; (ii) There exists η in the open interval p0, 1q such that the following inequality holds: | hλLx, x i| inf inf sup |hx, x i| ¡ 0, xPDpLq, }x}1 λ¥0 x PS px,η q and there exists λ P C, λ 0 such that R pλI Lq X. 1

1

(8.343)

From the proof of Lemma 8.9 it follows that (8.343) is equivalent to (see (8.337)): 1 qL px, η q

P p q 1 qL px, ηq inf

x D L

¡ 0.

(8.344)

Proof. The implication (i) ùñ (ii) being trivial, we only consider the implication (ii) ùñ (i). Consider the subset Λ : tλ P Czt0u : pλI Lq DpLq X u. By assumption the set Λ H. Let δ ¡ 0 be a strictly positive lower bound of the expression in (8.343). Then for λ P C, x P DpLq, there exists x P S1 px, η q such that we have:

hλLx, x i }x λLx} ¥ |hx, x i hλLx, x i| 1 hx, x i |hx, x i| | hλLx, x i| ¥ 1 |hx, x i| |hx, x i| ¥ δη }x} . (8.345)


}λx Lx} ¥ |λ| ηδ }x} , for all x P DpLq and all λ P C. (8.346) Let λ0 0 be such that pλ0 I Lq DpLq X, and define the operator R pλ0 q : X Ñ X by R pλ0 q pλ0 I Lq x x, x P DpLq. Then by (8.346) for 1 λ λ0 we see |λ0 | }R pλ0 q} ¤ . For λ P C such that |λ λ0 | |λ0 | ηδ δη we define the operator Rpλq : X Ñ X by Rpλqx

8 ¸

k 0

pλ0 λqk R pλ0 qk

1

x.

Then pλI Lq Rpλqx x for all x P X, and Rpλq pλI Lq x x for all 1 x P DpLq. In other words: Rpλq pλI Lq . It follows that Λ is an open

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subset of Czt0u. Next let pλn qnPN be a sequence in Λ which converges to λ P Λ. Then for large enough n we have |λn λ| |λn | δη. Since λn P Λ, the above argument with λn instead of λ0 shows that R pλI Lq X. It follows that Λ is closed in Czt0u as well. Consequently, Λ Czt0u. So that for every λ P C, λ 0, we have pλI ) (8.346) ! Lq D pLq X. From 1 it follows that the family of operators pI λLq : λ P Czt0u is uni 1 1 formly bounded: pI λLq ¤ . Next fix x P X and x P X . As δη D E 1 a consequence the function fx,x : λ ÞÑ pI λLq x, x is a bounded

holomorphic function on Czt0u. By the classical theory about holomorphic functions it follows that the function fx,x extends to a bounded holomorphic function on C. By Liouville’s theorem this function is constant. All this means that:D E D E fx,x pλq pI λLq1 x, x lim pI λLq1 x, x , λ P C.

Ñ0

λ

(8.347) Next we identify the limit in (8.347). To this end we first assume that x P D pLq. Then we have 1 1 1 pI λLq x x ¤ |λ| pI λLq Lx ¤ |λ| pI λLq }Lx}

¤ |ηδλ| }Lx} , (8.348) so that limλÑ0 fx,x pλq hx, x i, x P DpLq, x P X . Since D E 1 lim pI λLq x, x hx, x i for all x P DpLq, λÑ0 ) ! and the family operators pI λLq1 : λ P Czt0u is uniformly bounded (or equi-continuous), it follows that for every x in the closure of DpLq D E 1 and every x P X the function λ ÞÑ pI λLq x, x equals the constant hx, x i. ESo, since by assumption DpLq is dense in X we infer D pI λLq1 x, x hx, x i for all λ P C, x P X, and x P X . As a conse1 quence we see that pI λLq I for all λ P C. Then Lx 0 for x P DpLq. Since L is closed with dense domain it necessarily follows that L 0. This concludes the proof of Proposition 8.9.

8.7

A version of the Bismut-Elworthy formula

In this section we want to present a version of the Bismut-Elworthy formula for derivatives of Feller propagators applied to a bounded continuous func-

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551

tion. In the infinite-dimensional setting we introduce the following Feller propagator (compare with (1.138)): Qpτ, tqf pxq Eτ,x rf pX ptqqs E rf pX τ,x ptqqs

(8.349)

where X ptq X τ,xptq is a unique weak solution to the equation (compare with (1.23) and with (1.139)) »t

X ptq x

τ

b ps, X psqq ds

»t τ

σ ps, X psqq dWH psq, t ¥ τ.

(8.350)

where X ptq X τ,xptq is a unique weak solution to the equation (compare with (1.23) and with (1.139)). Like in Chapter 1 we assume that the process t ÞÑ WH ptq is a cylindrical Brownian motion, that σ ps, xq : H Ñ E is a family of linear operator from the Hilbert H to the Banach space, and that bps, xq takes its values in the Banach space E. In addition to the stochastic differential equation satisfied by the E-valued process t ÞÑ X τ,x ptq, t ¥ τ , we consider the corresponding flow F : pt, xq ÞÑ X τ,x ptq, t ¥ τ , and the corresponding velocity process t ÞÑ V τ,v ptq, t ¥ τ , defined by V τ,v ptq hv, DF pt, qi, v P E, and t ¥ τ . The velocity process satisfies the following stochastic integral equation: V

τ,v

»t

pt q v

»t τ

τ

Dσ ps, q pX τ,x psqq pV τ,v psqq dWH psq

Db ps, q pX τ,x psqq pV τ,v psqq ds,

(8.351)

where t ¥ τ , v P E, and x P E. We also introduce the propagator δQ pτ, tq, 0 ¤ τ ¤ t ¤ T , by hv, δQ pτ, tq ϕpxqi E rhV τ,v ptq, ϕ pX τ,x ptqqis .

(8.352)

Indeed, uniqueness of solutions to equation (8.350) and (8.351) implies the propagator property of the family δQ pτ, tq, 0 ¤ τ ¤ t ¤ T . More precisely, for ρ ¤ ρ1 ¤ s we have:

v, δQ ρ, ρ1 δQ ρ1 , s ϕpxq

E V ρ,v ρ1 , δQ ρ1 , s ϕ X ρ,v ρ1 D E E E V ρ1 ,V ρ,v pρ1 q psq , ϕ X ρ1 ,X ρ,v pρ1 q psq (uniqueness of solutions)

E rE rhV ρ,v psq , ϕ pX ρ,v psqqiss

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E rhV ρ,v psq , ϕ pX ρ,v psqqis hv, δQ pρ, sq pxqi . In addition, for 0 ¤ ρ ¤ s ¤ T , x, v P E, we have hv, DQ pρ, sq ϕpxqi hv, δQ pρ, sq Dϕpxqi .

(8.353)

(8.354)

For this equality we refer to the literature: see [Li (1994)]. Next we apply Itˆ o’s lemma to the process s ÞÑ Q ps, tq ϕ pX τ,x psqq Q pτ, tq ϕpxq to obtain: Q ps, tq ϕ pX τ,x psqq Q pτ, tq ϕpxq

Q ps, tq ϕ pX τ,xpsqq Q pτ, tq ϕ pX τ,xpτ qq »s LpρqQ pρ, tq ϕ pX τ,xpρqq dρ » τs τ

1 2

»s τ

hdX τ,x pρq, DQ pρ, tq pX τ,x pρqqi

»s τ

Tr σ pρ, X τ,x pρqq D2 Q pρ, tq ϕσ pρ, X τ,x pρqq dρ

hσ pρ, X τ,xpρqq dWH pρq, DQ pρ, tq ϕ pX τ,xpρqqi .

(8.355)

Notice that the equality

B Qps, tqϕpxq LpsqQps, tqf pxq Bs

(8.356)

is a consequence of the Theorem 1.16. The reader should compare the equality in (8.356) with the equalities in (5.55). Here the operator Lpsq is the same as the one in (1.143), i.e. 1 Lpsqf ps, xq hbpt, xq, Df pt, xqi Tr σ ps, xq D2 f ps, xqσ ps, xq . 2 (8.357) Let s Ò t in both sides of (8.355) to obtain: ϕ pX τ,x ptqq Q pτ, tq ϕpxq

»t τ

hσ pρ, X τ,xpρqq dWH pρq, DQ pρ, tq ϕ pX τ,xpρqqi .

(8.358)

Next we assume that the stochastic integral in the right-hand side of (8.358) is a martingale. Then we calculate: »tD E 1 τ,v τ,x τ,x E ϕ pX ptqq dWH pρq, σ pρ, X pρqq V pρq τ

E pϕ pX ptqq Q pτ, tq ϕpxqq τ,x

»tD τ

H

dWH pρq, σ pρ, X

τ,x

pρqq1 V τ,v pρq

E H

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E

» t τ

E E

hσ pρ, X τ,x pρqq dWH pρq, DQ pρ, tq ϕ pX τ,x pρqqi

»tD τ

τ

τ

E

dWH pρq, σ pρ, X τ,xpρqq1 V τ,v pρq

» t D » t

553

σ pρ, X τ,xpρqq

H

1 V τ,v pρq, σ pρ, X τ,xpρqq DQ pρ, tq ϕ pX τ,x pρqqE

hV τ,v pρq, DQ pρ, tq ϕ pX τ,x pρqqi dρ .

H

(8.359)

From (8.354) it follows that the expression in (8.359) can be rewritten as » t

E τ

E

hV τ,v pρq, DQ pρ, tq ϕ pX τ,x pρqqi dρ

» t τ

hV τ,v pρq, δQ pρ, tq Dϕ pX τ,x pρqqi dρ

(definition of the operator δQpτ, ρq together with Fubini’s theorem)

»t τ

hv, δQ pτ, ρq δQ pρ, tq Dϕpxqi dρ

(propagator property (8.353)) »t

hv, δQ pτ, tq Dϕpxqi dρ τ pt τ q hv, DQ pτ, tq ϕpxqi .

(8.360)

In the final equality in (8.360) we again made an appeal to (8.354). From (8.359) and (8.360) we deduce:

E ϕ pX τ,xptqq

»tD τ

dWH pρq, σ pρ, X τ,xpρqq1 V τ,v pρq

pt τ q hv, DQ pτ, tq ϕpxqi .

E H

(8.361)

Although the derivation of the formula in (8.361) was not rigorous, we presented it because of its importance. The invertibility of the operators σ ps, xq can be relaxed. The real requirement is that the velocity process t ÞÑ V τ,v ptq is such that it belongs to the range of σ pt, X τ,xptqq: V τ,v ptq τ,v σ pt, X τ,xptqq Vr ptq wheret ÞÑ Vr τ,v ptq is an adapted H-valued process »t

such that τ

2

E Vr τ,v psq

H

ds 8.

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Definition 8.9. The equality in (8.361) is known as the Bismut-Elworthy formula. The Bismut-Elworthy formula has many applications. There are also versions in the context of Brownian motion on a manifold. Versions of the Bismut-Elworthy formula with higher order derivatives exist and can be used to prove that certain Feller type semigroups are analytic: see e.g. [Cerrai (2001)] Chapter 3 and Chapter 6. For a formulation and and a proof in the infinite-dimensional context the reader is referred to [Da Prato et al. (1995)]. Proofs for the finite-dimensional case can be found in [Bismut (1981a, 1984)] and in [Elworthy and Li (1994)]. The reader is also referred to [Li (1994)]. For an application of the Bismut-Elworthy formula to Backward Stochastic Differential Equations in control theory see e.g. [Fuhrman and Tessitore (2002, 2004)].

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Chapter 9

Coupling methods and Sobolev type inequalities

In this chapter we begin with a discussion of a coupling method by Chen and Wang. We want to establish a spectral gap related to solutions of stochastic differential equations: see Theorem 9.1. In addition we want to include results which do not depend on the matrix σ pt, xq (diffusion coefficient) which is such that the matrix apt, xq σ pt, xqσ pt, xq is positive-definite. We have a Poincaré inequality in mind: see Proposition 9.10, and Definition 9.15. Related inequalities are (tight) logarithmic Sobolev inequalities: see Definition 9.17, and Proposition 9.11. Another feature of this chapter is the use of the first iterated squared gradient operator, and the abstract Hessian: see the equalities in (9.224), (9.235), and (9.236). In Theorem 9.20 a relationship is established between a spectral gap and an iterated squared gradient inequality of the form (9.226).

9.1

Coupling methods

In this section we want to apply a coupling method to prove the following theorem, which is due to Chen and Wang: see [Chen and Wang (1997)] Theorem 4.13. The operator L pLptqqt¥0 is of the form: Lptqf pxq

1 ¸ B2 f pxq ai,j pt, xq 2 i,j 1 Bxi Bxj d

d ¸

i 1

bi pt, xq

Bf pxq . Bxi

(9.1)

The matrix apt, xq pai,j pt, xqqdi,j 1 is supposed to be positive definite, The functions x ÞÑ ai,j pt, xq, t ¥ 0, belong to C 2 Rd , and the functions pt, xq ÞÑ ai,j pt, xq are continuous. In addition, bpt, xq is of the form bi pt, xq

1 ¸ BV pt, xq ai,j pt, xq 2 j 1 Bxj d

555

Bai,j pt, xq . Bxj

(9.2)

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556

Here for every t ¥ 0 the function³ x ÞÑ V pt, xq is a member of C 2 Rd and has the property that Z ptq : eV pt,xq dx 8; moreover, the function pt, xq ÞÑ V pt, xq is continuous on r0, 8q Rd. Let µt be the probability measure with density Z ptq1 eV pt,xq with respect to the d-dimensional Lebesgue measure. Then µt is an invariant measure for Lptq and the semigroup esLptq generated by Lptq, provided such a semigroup exists. Let us check this. Let Lptq be the (formal) adjoint of Lptq. We notice 2Lptq f pxq

B2 pa pt, xqf pxqq 2 ¸d B pb pt, xqf pxqq i BxiBxj i,j Bxi i i,j 1 i1 d d d 2 ¸ ¸ B ai,j pt, xq B f pxq ¸ f pxq B f pxq B ai,j pt, xq Bx Bx 2 Bxi Bxj i1 bipt, xq Bxi i j i,j 1 i,j 1 d ¸ B2 ai,j pt, xq 2 ¸d Bbipt, xq f pxq, BxiBxj Bxi i,j 1 i1

d ¸

and hence

2Lptq eV pt,xq

B2 V pt, xq eV pxq ¸d a pt, xq BV pt, xq BV pt, xq i,j BxiBxj Bxi Bxj i,j 1 i,j 1 d d ¸ ¸ B a p t, x q B V p t, x q B V p t, x q i,j 2eV pt,xq Bxi Bxj i1 bipxq Bxi i,j 1 d d 2 ¸ ¸ B p t, x q B b p t, x q a i i,j eV pt,xq (9.3) BxiBxj 2 i1 Bxi . i,j 1 From (9.3) in conjunction with (9.2) we see Lptq eV pt, 0, and conse eV pt,xq

d ¸

ai,j pt, xq

quently, Z pt q

»

Lptqf dµ

»

»

pLptqf pxqq e p q dx f pxq L eV pt,qpxqdx 0. V t,x

Note that we used the symmetry of the matrix apt, xq pai,j pt, xqqdi,j 1 . In the following theorem 9.1 we consider the time-homogeneous case, i.e. the operator L does not depend on the time t. It is not clear how to get such a result in the time-dependent case. It is assumed that the coefficients apxq and bpxq are such that the martingale problem is uniquely solvable for for L, and that the corresponding Markov process is irreducible in the sense

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Coupling and Sobolev inequalities

MarkovProcesses

557

that the transition probability measures B ÞÑ P pt, x, B q, B P BRd , t ¡ 0, x P Rd , are equivalent, i.e. all of them have the same null-sets. In fact this is a stronger notion than the standard notion of irreducibility. However, if all functions of the form pt, xq ÞÑ P pt, x, B q, B P E, are continuous, then these two notions coincide: see Lemma 9.1 below. Definition 9.1. A time-homogeneous Markov process with state space E and probability transition function P pt, x, q is called irreducible if P pt, x, U q ¡ 0 for all pt, xq P p0, 8q E and all non-empty open subsets U of E. Lemma 9.1. Let pt, x, B q ÞÑ P pt, x, B q be a transition probability function with the property that for every pt, B q P p0, 8q E the function x ÞÑ P pt, x, B q is lower semi-continuous. Then all measures P pt, x, q, pt, xq P p0, 8q E, are equivalent if and only if, for every non-void open subset U and every pt, xq P p0, 8q E, P pt, x, U q ¡ 0. Proof. First suppose that for every non-void open subset U the quantity P pt, x, U q is strictly positive for all pairs pt, xq P p0, 8q E. Let pt0 , x0 , B q P p0, 8q E ³E be such that P pt0 , x0 , B q 0. Fix s P p0, t0 q. Then 0 P pt0 , x0 , B q P ps, y, B q P pt0 s, x, dy q, and hence the function y ÞÑ P ps, y, B q is P pt0 s, x, q-almost everywhere zero. Assume that there exists y0 P E and ε ¡ 0 such that P ps, y0 , B q ¡ ε ¡ 0, and put Uε ty P E : P ps, y, B q ¡ εu. Then Uε is a non-void open subset of E. Moreover, 0 P pt0 , x0 , B q

¥

»

Uε

»

P ps, y, B q P pt0 s, x0 , dy q

P ps, y, B q P pt0 s, x0 , dy q ¥ εP pt0 s, x0 , Uε q ¡ 0

(9.4)

where in the final step of (9.4) we used our initial hypothesis. Anyway, our assumption that P pt0 , x0 , B q 0 leads to a contradiction with the assertion that all transition probabilities of the form P pt, x, U q, pt, xq P p0, 8q E, U open, U H, are strictly positive. Next assume that all measures P pt, x, q, pt, xq P p0, 8q E, are equivalent, and assume that for some non-empty open subset U of E the quantity P pt, x, U q 0. Then, by our assumption we may and will assume that x P U , and that we may choose t ¡ 0 as close to zero as we please. By the normality we have 1 limtÓ0 P pt, x, U q 0. Again we end up with a contradiction. This completes the proof of Lemma 9.1.

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MarkovProcesses


558

Let pX ptq, Px q be a Markov process with the Feller property. Among other things this implies that limtÓ0 Px rX ptq P U s 1 for all open subsets U of E, and for all x P U . If all probability measures B ÞÑ P pt, x, B q Px rX ptq P B s, B P E, have the same null-sets, then the corresponding timehomogeneous Markov process (with the Feller property) is irreducible in the sense of Definition 9.1. To this end, assume that there exists a non-void open subset U of E such that P pt, x, U q 0. Since all measures P pt, x, q, pt, xq P p0, 8qE have the same negligible sets, we may and will assume that x P U and t is as close to zero as we please. Since limtÓ0 Px rX ptq P U s 1, this leads to a contradiction, and hence our Markov process is irreducible, provided all transition probability measures P pt, x, q have the same nullsets. The proof of the following theorem will be given at the end of §9.3. Theorem 9.1. Suppose that there exists a ¡ 0 such that hapxqξ, ξi ¤ a |ξ | for all x, ξ P Rd . Let apxq σ pxqσ pxq and put

2

γ

sup

P

x y

Tr pσ pxq σ py qq pσ pxq σ py qq

|x y|2

Rd

2 hbpxq bpy q, x yi

.

(9.5) (Here as elsewhere TrpAq stands for the trace of the matrix or trace class operator A.) Then the following inequality holds for all globally Lipschitz functions f : Rd Ñ R, all x P Rd , and all t ¥ 0:

2

etL |f | pxq etL f pxq 2

If γ

γt 0, then 1 γe

γt ¤ a p1 γe q etL |∇f |2 pxq.

(9.6)

is to be interpreted as t.

In the next corollary we write:

(

λmin paq inf hapxqξ, ξi : px, ξ q P Rd Rd , |ξ | 1 .

(9.7)

Corollary 9.1. In addition to the hypotheses in Theorem 9.1 suppose that γ ¡ 0. ³ Then the diffusion ³ 2 generated by L is mixing in the sense that 2 limtÑ8 etL f dµ f dµ , and the spectral gap of L satisfies gap pLq ¥ γ

λmin paq . a

(9.8)

Proof. [Proof of Corollary 9.1.] Let µ be the invariant probability measure corresponding to the generator L. The fact that the diffusion generated by L is ergodic follows from results in [Chen and Wang (2003)]: see Theorem 9.2 below. The mixing property is a consequence of assertion (ii) in

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MarkovProcesses


Theorem 9.2. Since etL |f |

2

we see that »

|f |

2

dµ

»

etL f 2 tL 2 e f dµ

»t

559

eptsqL Γ1 esL f , esL f ds,

(9.9)

0

»t»

Γ1 esL f , esL f dµ ds

(9.10)

0

where we used the L-invariance of the measure µ several times. From (9.9) 2 ³ it follows that limtÑ8 etL f dµ exists. It is not clear that this limit is ³

2

equal to f dµ . The equality in (9.9) is an immediate consequence of equality (9.158) in the proof of Theorem 9.1 below. We wrote Γ1 pf, g q ha∇f, ∇gi

d ¸

ai,j

i,j 1

Bf Bg . Bxi Bxj

(9.11)

By taking the limit as t Ñ 8 in (9.9) we obtain »

»

|f |2 dµ

2

f dµ

»8»

Γ1 esL f , esL f dµ ds.

(9.12)

0

The result in Corollary 9.1 is a consequence of (9.6), (9.7), (9.11), and (9.12). In the proof of Corollary 9.1 we used a result on ergodicity. The following result can be found as Theorem 4 in [Maslowski and Seidler (1998)]. It is applicable in our situation. For its proof we refer the reader to [Stettner (1994)] and [Seidler (1997)]. A general discussion about this kind of properties can be found in [Maslowski and Seidler (1998)]. For convenience we insert an outline of a proof. We need the following definition: compare with property (a) in Proposition 9.1 below. Definition 9.2. Let D be a subspace of Cb pE q. It is said that D almost separates compact and closed sets, if for every compact subset K and closed subset F such that K F H there exist a constant α ¡ 0 and a function u P D such that α ¤ upxq upy q for all x P K and all y P F . Remark 9.1. If the linear subspace D contains the constant functions, and is closed under taking finite maxima, then D almost separates compact and closed subsets if and only for every closed subset F of E, and every x P E zF there exists a function u P D such that upxq ¡ supyPD upy q. Let F be closed subset of E. First suppose that D almost separates compact subsets not intersecting F . Since a set consisting of one singleton x P E zF is compact,

October 7, 2010

560

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MarkovProcesses


there exists a function u and a constant α ¡ 0 such that α upxq upy q, for all y P F . Then upxq ¡ α supyPF upy q ¡ supyPF upy q. Conversely, let K and F be compact and closed subset of E which do not intersect. Suppose that for every x P K there exists a function ux P D such that ux pxq ¡ supyPF ux py q. Then by subtracting the constant αx supyPF ux py q we see that vx : ux αx satisfies vx pxq ¡ 0 ¥ supyPF vx py q. By compactness there exist finitely many functions vj : vxj , 1 ¤ j ¤ N , such that max vj pxq ¥ α ¡ 0 ¥ sup max vj py q, x P K,

¤¤

1 j N

P ¤¤

y F 1 j N

(9.13)

where α inf xPK max1¤j ¤N vj pxq, which is strictly positive real number. It follows that 0 α ¤ max1¤j ¤N vj pxq max1¤j ¤N vj py q, x P K, y P F . Definition 9.3. Consider the Markov process in (9.14) below. Let the family of time-translation operators have the property that X psq ϑt X ps tq Px -almost surely for all x, and are such that ϑs t ϑs ϑt for all s, t P r0, 8q. Its tail or asymptotic σ-field T is defined by T t¡0 ϑt1 F . In fact an event A belongs to T if and only if for every t ¡ 0 there exists 1 an event At P F such that A ϑ t At , or what amounts to the same 1A 1At ϑt . Remark 9.2. In fact we may assume that At P T . The reason being 1 A , and hence for At we may choose that A ϑs1t As t ϑt1 ϑ t s s 1 At s¡0 ϑ . A s t s For more details on the notion of strong Feller property see Definitions 2.5 and 2.16. Theorem 9.2. Let

tpΩ, F , PxqxPE , pX ptq, t ¥ 0q , pE, E qu

(9.14)

be a time-homogeneous Markov process on a Polish space E with a transition probability function P pt, x, q, t ¥ 0, x P E, which is conservative in the sense that P pt, x, E q 1 for all t ¥ 0 and x P E. Assume that the process X ptq is strong Feller in the sense that for all Borel subsets B of E the function pt, xq ÞÑ P pt, x, B q is continuous on p0, 8q E. In addition, suppose that all measures B ÞÑ P pt, x, B q, B P E, t ¡ 0, x P E, are equivalent, and that the process has an invariant probability measure µ. In addition suppose that the domain of the generator L of the Markov process almost separates compact and closed subsets. Then the following assertions are true:

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MarkovProcesses


(i) For every f

561

P L1 pE, µq and every x P E the equality lim

Ñ8

t

1 t

»t 0

f pX psqq ds

»

(9.15)

f dµ E

holds Px -almost surely; (ii) For every x P E the following equality holds:

lim Var pP pt, x, q µq 0.

(9.16)

Ñ8

t

In particular, both assertion (i) and (ii) imply that the invariant measure µ is unique. Remark 9.3. In Theorem 10.12 in Chapter 10 it will be shown that the Markov process (9.14) admits a σ-finite invariant measure provided that this process satisfies the conditions of Theorem 9.2, and that it is topologically recurrent. The Markov process (9.14) is called topologically recurrent if every non-empty open subset is recurrent. In addition, in Corollary 10.5 a condition will be formulated which implies that this invariant measure is in fact finite, and hence may be taken to be a probability measure. The equality in (9.15) is known as the strong law of large numbers or the pointwise ergodic theorem of Birkhoff. In (9.16) Varpν q stands for the variation norm of the measure ν. The property in (ii) is stronger than the weak and strong mixing property. If the process in (9.14) has property (ii), then it is said to be ergodic. There exist stronger notions of ergodicity: see e.g. [Chen (2005)]. The property in (ii) is closely related to the fact that in the present situation the tail σ-field is trivial. Mixing properties are heavily used in ergodic theory: see e.g. [Meyn and Tweedie (1993b)]. Suppose that there exists a (reference) measure m on E and a measurable function pt, x, yq ÞÑ ppt, x, yq, pt, x, yq P p0, 8q E E, which is strictly positive such that for every pt, x, B q P p0, 8q E E the equality P pt, x, B q ³ ppt, x, y qdmpy q holds. Then P pt, x, Aq 0 if and only if mpAq 0, and so all measures P pt, x, q have the same null-sets. For a proof of Theorem 9.2 the reader is referred to the cited literature. We will also include a proof, which is based on work by Seidler [Seidler (1997)]: see Theorem 10.12. Lemma 9.2 says that property (ii) in Theorem 9.2 is stronger than the strong mixing property, which can be phrased as follows: for every f and g P L2 pE, µq we have lim Eµ rf pX ptqq g pX p0qqs lim

Ñ8

t

Ñ8

t

»

tL

e f E

pxqgpxqdµpxq

»

»

f dµ E

gdµ. E

(9.17)

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562

³

Here Eµ rF s E Ex rF s dµpxq, F P L8 pΩ, F q. Notice that by CauchySchwarz’ inequality and by the L-invariance of the probability measure µ we have: »

¤

tL e f x g x dµ x » »

pqpq

2

etL |f | dµ

»

»

tL e f x 2 dµ x » »

pq ¤

pq

p q |gpxq|2 dµpxq

|g|2 dµ |f |2 dµ |g|2 dµ 8 whenever f , g P L2 pE, µq. 2

Lemma 9.2. Suppose that µ is an L-invariant probability measure which, for each x P E, satisfies (9.16) in Theorem 9.2. Then lim etL f pxqetL g pxq

Ñ8

t

»

»

»

f dµ

»

and

gdµ »

tL tL Ñ8 e f pxq e g pxqdµpxq f pxq dµpxq g pxq dµpxq

lim

t

for all f and g

(9.18)

P Cb pE q.

Proof. Let the functions f and g belong to Cb pE q. The second equality in (9.18) is a consequence of the first one and the dominated convergence theorem of Lebesgue. The first equality is a consequence of the following equalities and (9.16) in Theorem 9.2: » » tL e f x etL g x f y dµ y g y dµ y » tL e f x f y dµ y etL g x » » f y dµ y etL g x g y dµ y » » f y P t, x, dy f y dµ y etL g x » » » f y dµ y g y P t, x, dy g y dµ y

p q

¤

p q

p q

pq pq

pq pq

pq p

p q p q

q

p q

pq pq

pq

pq pq

pq pq

pq pq pq p q ¤ 2 }f |8 }g}8 Var pP pt, x, q µq .

pq

pq pq

(9.19)

The right-hand side of (9.19) together with (9.16) completes the proof of Lemma 9.2. In case the Markov process in Theorem 9.2 originates from a Feller-Dynkin semigroup with a locally compact state space, then the following proposition is automatically true. In case we are dealing with a Polish state space,

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MarkovProcesses


563

we need the extra condition that the domain of the generator has the property described in property (a) in Proposition 9.1 below. This property says that, up to any ε ¡ 0, the domain of L separates disjoint compact and closed sets. In the locally compact and a strong Markov process originating from a Dynkin-Feller semigroup, it is only required that C0 pE q has this property, which is automatically the case. Since by assumption P pt, x, E q 1 there is no need to consider E △ : see final assertion in Theorem 2.9. Proposition 9.1. Let K be a compact subset of E and let U be an open subset of E such that K U . Let τU c be the hitting time of E zU : τU c inf ts ¡ 0 : X psq P E zU u. Assume that the generator L has the following separation property: (a) For every x P K there exist a function u upxq ¡ supyPU c upy q.

ux

P DpLq

such that

Then lim sup Px rτU c

Ó P

t 0 x K

¤ ts 0.

(9.20)

In Proposition 9.2 below we will give alternative formulations for (9.20). Proof. Since K, and since the domain of L contains the constant functions there exist finitely many functions uj P DpLq, 1 ¤ j ¤ N , and a constant α ¡ 0 such that 0 α ¤ inf max uj pxq sup max uj py q.

P

¤¤

P

x K1 j N

¤¤

y Uc 1 j N

(9.21)

To see this the reader is referred to the arguments leading to (9.13). Choose the constant α ¡ 0 and the functions uj P DpLq, 1 ¤ j ¤ N , satisfying (9.21). Then for x P K and 1 ¤ j ¤ N we have

uj pxq sup uj py q Px rτU c

P

y Uc

¤ ts

¤ Ex ruj pX p0qq uj pX pτU qq , τU ¤ ts Ex ruj pX ptqq uj pX pτU qq , τU ¤ ts Ex ruj pX p0qq uj pX ptqq , τU ¤ ts »t Ex uj pX ptqq uj pX pτU ^ tqq c

c

c

c

(9.22)

c

c

» t

Ex τU c

Luj pX psqq ds, τU c

¤t

τU c

^t


^t t

Ex ru pX p0qq u pX ptqq , τU c

¤ ts

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MarkovProcesses


564

Ex

Ex uj pX ptqq uj pX pτU c

τU c

^t t

» t

Ex τU c

^ tqq

»t τU c

^t


Ex ruj pX p0qq uj pX ptqq , τU c

Luj pX psqq

¤t

ds FτU c ^t ,

¤ ts

(Doob’s optional sampling theorem) » t

Luj pX psqq ds, τU ¤ t Ex Ex ruj pX p0qq uj pX ptqq , τU ¤ ts τ ¤ t sup Luj pyq Ex r|uj pX p0qq uj pX ptqq|s . (9.23) y PE The choice of α ¡ 0 together with (9.23) shows: α sup Px rτU ¤ ts xPK sup Luj py q ¤ t 1¤max max sup Ex r|uj pX p0qq uj pX ptqq|s . (9.24) j ¤N y PE 1¤j ¤N xPK We also notice the inequalities (1 ¤ j ¤ N ): pEx r|uj pX p0qq uj pX ptqq|sq2 ¤ Ex |uj pX p0qq uj pX ptqq|2 2uj pxq puj pxq Ex ruj pX ptqqsq Ex uj pX ptqq2 uj pxq2 (9.25) 2uj pxq uj pxq etL uj pxq etL |uj |2 pxq uj pxq2 . ( tL Since the semigroup e : t ¥ 0 is Tβ -continuous from (9.25) and (9.24) c

c

Uc

c

we infer that

lim sup Ex r|uj pX p0qq uj pX ptqq|s 0, 1 ¤ j

Ó P

t 0 x K

From (9.23) and (9.26) it follows that

lim sup sup Px rτU c

Ó

t 0

P

x K

¤ N.

¤ ts ¤ ε.

(9.26)

(9.27)

Hence, since in (9.27) ε ¡ 0 is arbitrary, this concludes the proof of Proposition 9.1. Remark 9.4. Suppose that in Proposition 9.1 the state space E is second countable and locally compact. In this case there exists a function u P C0 pE q such that 1K ¤ u ¤ 1U . Then we use the time-homogeneous strong Markov property to rewrite (9.22) as follows: Px rτU c

¤ ts Ex ru pX ptqq , τU ¤ ts c

Ex r1 u pX ptqq , τU c

¤ ts

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MarkovProcesses


565

Ex ru pX ptqq u pX pτU qq , τU ¤ ts Ex ru pX pτU qq , τU ¤ ts Ex r1 u pX ptqq , τU ¤ ts Ex EX pτ q ru pX pt τU qq u pX p0qqs , τU ¤ t Ex r1 u pX ptqq , τU ¤ ts ¤ sup sup Ey ru pX psqq upX p0qqs Ex r|u pX p0qq u pX ptqq|s c

c

c

c

c

c

Uc

c

c

¤

R Pr s

y U s 0,t

sup sup esL upy q upy q

Pr s P

s 0,t y E

etL |upxq u| pxq.

(9.28)

Since, uniformly on E, etL u u converges to zero when t Ó 0, the proof of Proposition 9.1 can be finished as in the non-locally compact case. Remark 9.4 shows that assertion (i) in Proposition (9.2) automatically holds when the state space E is second countable and locally compact. It also holds when the domain of the generator almost separates points and closed sets (see (a) in Proposition 9.1), and when the functions x ÞÑ Px rτU c s are continuous on the open subset U : see also item (i) in Proposition 9.3. Proposition 9.2. Let d be a metric on E which is compatible with its Polish topology. Then the following assertions are equivalent: (i)

For every compact subset K and every open subset U of E such that K U the equality in (9.20) holds, i.e. lim sup Px rτU c ¤ ts 0 where

Ó8 xPK

t

τU c stands for the first hitting time of the complement of U , which is also called the first exit time from U . (ii) For every compact subset K of E and every η ¡ 0 the following equality holds:

lim sup Px

Ó P

t 0 x K

(iii)

sup d pX psq, xq ¥ η

¤

0 s t

0.

(9.29)

For every compact subset K and every open subset U of E such that K U , and every sequence ptn qnPN p0, 8q which decreases to 0, there exists a sequence of open subsets pUn qnPN such that Un K, n P N, and which has the property that lim sup Px rτU c

¤ tn s 0. (9.30) For every compact subset K of E and every η ¡ 0 and every sequence ptn qnPN p0, 8q which decreases to 0 there exists a sequence of open subsets pUn qnPN such that Un K, n P N, and with the property that: lim sup Px sup d pX psq, xq ¥ η 0. (9.31) nÑ8 Ñ8 xPUn

n

(iv)

P

x Un

¤

0 s tn

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566

The result in Proposition 9.2 resembles the result in Proposition 4.6: see the proof of Lemma 4.2. In [Seidler (1997)] Seidler employs assumption (9.29) to a great extent. Assertions (iii) and (iv) of Proposition 9.2 show that in [Seidler (1997)] hypothesis (A5) is in fact a consequence of (A4). Proposition 2.4 in [Seidler (1997)] then shows that there exists a compact recurrent subset whenever there exists a point x0 P E with the property that every open subset containing x0 is recurrent. For a precise formulation and a proof the reader is referred to Proposition 9.4 and its proof below. See formula (9.20) in Proposition 9.1 how the almost separation property of the generator L of the Markov process in (9.14) implies that the equivalent conditions in Proposition 9.2 are satisfied. Proof. As already indicated the proof is in the spirit of the proof of Lemma 4.2. Also note that, since Un K, the implications (iii) ùñ (i) and (iv) ùñ (ii) are trivially true.

(i) ùñ (ii). Let K be a compact ¤subset of E. Fix η ¡ 0, and consider the open subset U defined by U ty P E : dpy, xq ηu. Then K U , and U c

E zU

£

P

P

x K

ty : dpy, xq ¥ ηu. "

x K

is contained in the event x P K we have

It follows that the event tτU c

sup d pX psq, xq ¥ η

*

for all x

0 s t

Px rτU c

ts ¤ P x

P K.

tu

Then for

sup d pX psq, xq ¥ η .

(9.32)

0 s t

Then (ii) follows from (i) and (9.32).

(ii) ùñ (i). Let the compact K and the open subset of E be such that K U . Then by compactness there exist points x1 , . . . , xn in K and strictly positive numbers η1 , . . . , ηn such that K

n ¤

ty P E : d py, xj q ηj u

j 1

Put V

n ¤

ty P E : d py, xj q 2ηj u U.

j 1

(9.33)

nj1 ty P E : d py, xj q 2ηj u. Then Uc

Vc

n £

ty P E : d py, xj q ¥ 2ηj u .

(9.34)

j 1

Let y P V c and x P K be arbitrary. Then by (9.33) there exists jx t1, . . . , nu such that d px, xjx q ηjx . It follows that 2ηjx

¤ d py, xj q ¤ d py, xq x

d px, xjx q d py, xq

ηjx ,

P

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MarkovProcesses


567

and hence dpy, xq ¡ ηjx . Put η min1¤j ¤n ηj . Consequently, from (9.34) we infer U c xPK ty P E : dpy, xq ¡ η u, and hence for all x P K the event tτU c tu is contained in tsup0 s t d pX psq, xq ¡ η u. Putting these observations together shows sup Px rτU c

P

x K

ts ¤ sup Px P

x K

sup d pX psq, xq ¡ η ,

(9.35)

0 s t

and hence by (9.35) assertion (i) follows from (ii).

Fix η ¡ 0, and put Un tx P E : d px, K q 2n η u. In the proofs of the implications (i) ùñ (iii) and (ii) ùñ (iv) we take the sequence pUn qnPN .

(i) ùñ (iii). Let ptn qnPN be a sequence which decreases to 0. Since K is a compact subset of U , it follows that Un U for n sufficiently large. Assuming that the limit in (9.30) does not vanish, then there exists δ ¡ 0 and a subsequence ptnk qkPN together with a sequence pxk qkPN , xk P Unk , such that Pxk rτU c

¤ tn s ¡ δ.

(9.36)

k

Since xk P Unk there exists x1k P K such that d pxk , x1k q 2nk η. By compactness of K (and metrizability) there exists a subsequence x1kℓ ℓPN which converges to x1 P K. Then by the triangle inequality d xkℓ , x1

¤d

xkℓ , x1kℓ

d x1kℓ , x1

¤ 2 n

η

kℓ

From (9.37) it follows that the set K 1 : tx1 u

!

d x1kℓ , x1 .

(9.37)

)

xnkℓ : ℓ P N is compact.

From (9.36) we see that δ

sup1 Px P

x K

τU c

¤ tn

kℓ

.

(9.38)

From assertion (i) it follows that the right-hand side of (9.38) converges to 0, when ℓ Ñ 8. Since the latter is a contradiction we see that assertion (iii) is a consequence of (i). The proof of the implication (ii) are left to the reader.

ùñ (iv) follows the same lines: details


Proposition 9.3. Let the notation and hypotheses be as in Proposition 9.1. In particular τU c is the first hitting time of the complement of the open set U , and K is a compact subset of U . Let g P L8 r0, 8q E, Br0,8q b E and t ¡ 0 be fixed. Then the following assertions are true:

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568

(i)

The following functions are continuous on U : x ÞÑ Ex rg pt, X ptqq , τU c

(ii)

¡ ts

and x ÞÑ Ex rg pτU c , X pτU c qqs .

Let K be a compact subset of U . Then the family of measures

tB ÞÑ Px rpτU

(iii)

MarkovProcesses

c

, X pτU c qq P B s : x P K u

is tight. Here B varies over the Borel subsets of r0, 8q E. The function x ÞÑ Px rτU c 8s is lower semi-continuous.

In assertion (iii) the subset U may be an arbitrary Borel subset. In the proof we use the fact that s τU c ϑs decreases to τU c Px -almost surely when s decreases to 0. Remark 9.5. A proof similar to the proof of (i) shows that the function x ÞÑ Px rτU c 8s is continuous on U as well. Proof. For brevity we write τ τU c . Let s P p0, tq be arbitrary (small) and x P K where K is a fixed compact subset of U . (i) Then we have

Ex EX psq rg pt, X pt sqq , τ

¡ t ss Ex rg pt, X ptqq , τ ¡ ts Ex rg pt, X pt sqq ϑs , τ ϑs ¡ t ss Ex rg pt, X ptqq , τ ¡ ts Ex rg pt, X pt sqq ϑs , τ ϑs ¡ t s, τ ¡ ss Ex rg pt, X pt sqq ϑs , τ ϑs ¡ t s, τ ¤ ss Ex rg pt, X ptqq , τ ¡ ts (on the event tτ ¡ su the equality s τ ϑs τ holds Px -almost surely) Ex rg pt, X pt sqq ϑs , τ ϑs ¡ t s, τ ¤ ss . (9.39) From (9.39) and the Markov property we infer: Ex EX psq g t, X t

r p

p sqq , τ ¡ t ss Ex rg pt, X ptqq , τ ¡ ts ¤ }g pt, q}8 Px rτ ¤ ss . (9.40)

By Proposition 9.1 the right-hand side of (9.40) converges to zero uniformly on compact subsets of U . Since, by the strong Feller property, the functions x ÞÑ Ex EX psq rg pt, X pt sqq , τ ¡ t ss , s P p0, tq, are continuous, we infer that the function x ÞÑ Ex rg pt, X ptqq : τ ¡ ts is continuous as well. Let h P L8 pE, E q. We will use the continuity on U of functions of the form x ÞÑ Ex rh pX ptqq , τ ¡ ts to prove that the function x ÞÑ

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MarkovProcesses


569

Ex rg pτU c , X pτU c qqs is continuous on U . To this end let x P K. We consider the following difference:

Ex rg pτ, X pτ qq , τ

8s Ex EXpsq rg ps τ, X pτ qq , τ 8s Ex rg pτ, X pτ qq , τ 8s Ex EX psq rg ps τ, X pτ qq , τ 8s , τ ¡ s Ex EX psq rg ps τ, X pτ qq , τ 8s , τ ¤ s

(Markov property)

Ex rg pτ, X pτ qq , τ 8s Ex rg ps τ, X pτ qq ϑs, τ ϑs 8, τ ¡ ss Ex EX psq rg ps τ, X pτ qq , τ 8s , τ ¤ s Ex rg pτ, X pτ qq , τ 8s Ex rg ps τ ϑs , X ps τ ϑs qq , s τ ϑs 8, τ ¡ ss Ex EX psq rg ps τ, X pτ qq , τ 8s , τ ¤ s (on the event tτ ¡ su the equality s τ ϑs τ holds Px -almost surely) Ex rg pτ, X pτ qq , τ ¤ ss Ex EX psq rg ps τ, X pτ qq , τ 8s , τ ¤ s . (9.41) By the strong Feller property the functions

x ÞÑ Ex EX psq rg ps

τ, X pτ qq , τ

8s

, s ¡ 0,

are continuous. From (9.20) in Proposition 9.1 together with (9.41) we see that, uniformly on the compact subset K, the functions

x ÞÑ Ex EX psq rg ps

τ, X pτ qq , τ

8s

, s ¡ 0,

converge to x ÞÑ Ex rg pτ, X pτ qq , τ 8s whenever s Ó 0. Consequently, since K is an arbitrary compact subset of U we see that the function x ÞÑ Ex rg pτ, X pτ qq , τ 8s is continuous on U .

(ii). Let K be a compact subset of the open subset U , and let τ τU c the hitting of U c , the complement of U . In order to prove that the family of Px -distributions, x P K, of the space-time variable pτ, X pτ qq, is tight, by assertion (a) of Theorem 2.3 it suffices to prove that for every sequence of bounded continuous functions pfn : n P Nq Cb pr0, 8q E q which decreases pointwise to zero we have: lim sup Ex rfn pτ, X pτ qq , τ

Ñ8 xPK

n

8s 0.

(9.42)

By Dini’s lemma and by assertion (i), the equality in (9.42) follows from the pointwise equality: lim Ex rfn pτ, X pτ qq , τ

Ñ8

n

8s 0.

(9.43)

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570


MarkovProcesses


The equality in (9.43) follows from Lebesgue’s dominated convergence theorem. (iii) By the Markov property we have the equalities Px rτ

8s sup Px rs τ ϑs 8s sup Ex PX psq rτ 8s . (9.44) s¡0 s¡0 Functions of the form x ÞÑ Ex rg pX psqqs, where g is a bounded Borel function, are continuous, and hence by (9.44) the function x ÞÑ Px rτ 8s is lower semi-continuous. The same argument works in case τ is the hitting time of a Borel subset of E. This completes the proof of Proposition 9.3. Under the hypotheses of the equivalent properties in Proposition 9.2 it will be shown that there exists a compact recurrent subset, provided all open subsets are recurrent. More precisely we have the following result. Proposition 9.4. Suppose that there exists a point x0 P E such that every open neighborhood of x0 is recurrent, and suppose that the equivalent properties in Proposition 9.2 are satisfied. In addition, suppose that all probability measures B ÞÑ P pt, x, B q, pt, xq P p0, 8q E, are equivalent. Then there exists a compact recurrent subset. In fact, the following assertion is true. Fix t0 ¡ 0, and let K be a compact subset of E with the property that P pt0 , x0 , K q ¡ 0, and x0 R K. Then K is recurrent. Since the equivalent properties in Proposition 9.2 are satisfied whenever the domain of the generator L almost separates points and closed subsets and if it contains the constant functions, the following corollary is an immediate consequence of Proposition 9.4. Corollary 9.2. Suppose that there exists a point x0 P E such that every open neighborhood of x0 is recurrent, and suppose that the domain of the generator L almost separates points and closed subsets, and contains the constant functions. In addition, suppose that all probability measures B ÞÑ P pt, x, B q, pt, xq P p0, 8q E, are equivalent. Then there exists a compact recurrent subset. More precisely, the following statement is true. Fix t0 ¡ 0, and let K be a compact subset of E with the property that P pt0 , x0 , K q ¡ 0, and x0 R K. Then K is recurrent. Proof. Let x0 be as in Proposition 9.4. Fix t0 ¡ 0, and let K be a compact subset of E with the property that P pt0 , x0 , K q ¡ 0, and x0 R K. By inner-regularity of the measure B ÞÑ P pt0 , x0 , B q such compact subset K exists, We shall prove that K is recurrent. Let τK be the first hitting

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MarkovProcesses


571

time of K and let pUℓ qℓPN be sequence of open neighborhoods of x0 with respective first hitting times τ pℓq , ℓ P N. We suppose that this sequence forms a neighborhood base of x0 , and that U ℓ 1 Uℓ where U ℓ 1 stand for the closure of Uℓ 1 . We assume that Uℓ K H. For every ℓ P N we pℓq define the following sequence of stopping times: τ1 τ pℓq , and

pℓq

τn

1 inf

!

)

s ¡ τnpℓq

2t0 : X psq P Uℓ .

(9.45)

pℓq

Since the open subset Uℓ is recurrent, the hitting times τn are finite Px almost surely for all x P E, and for all n P N. As in the proof of Lemma 9.3 below we introduce the following sequence of events: Aℓn

!

τnpℓq

¤ τnpℓq

ϑτ p q ¤ τnpℓq ℓ n

)

t0

pℓq P F pℓq , and we have τn 1

ℓ, n P N. Then An

τK

Px Apnℓq Fτnpℓq

Ex

PX pτnℓ q rτK

!

¤ t0 s ¥

τK

ϑτ p q ¤ t0

)

ℓ n

inf Py rτK

P

y Uℓ

¤ t0 s .

,

(9.46)

(9.47)

By assertion (i) in Proposition 9.3 we see that the function y ÞÑ Py rτK ¤ t0 s 1 P rτK ¡ t0 s is continuous at y x0 . From (9.47) it then follows that 1 1 Px Apnℓq Fτnpℓq ¥ Px0 rτK ¤ t0 s ¥ Px0 rX pt0 q P K s 2 2 1 (9.48) 2 P pt0 , x0 , K q ¡ 0 for ℓ ¥ ℓ0 . From the generalized Borel-Cantelli lemma (or the Borel° 8 Cantelli-Lévy lemma) it then follows that Px n1 1Apnℓq 8 1, ℓ ¥ ℓ0 , and hence the compact subset K is recurrent. For a precise formulation of the Borel-Cantelli-Lévy lemma the reader is referred to [Shiryayev (1984)] Corollary 2 page 486 or to Theorem 9.3 below. This completes the proof of Proposition 9.4.

A precise formulation of the generalized Borel-Cantelli lemma reads as follows: see e.g. (the proof of) Corollary 5.29 in [Breiman (1992)]. Theorem 9.3. Let pΩ, G, Pq be a probability space and let pGn qnPN be filtration in G. Let pAn qnPN be a sequence of events such that An P Gn 1 , n P N. Then the following equality of events holds P-almost surely:

tω P Ω : ω P An infinitely oftenu

#

ω

PΩ:

8 ¸

P An Gn ω

+

p q8

.

n 1

(9.49)

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572


MarkovProcesses


The following result shows that Proposition 9.4 also holds for Markov chains. Proposition 9.5. Let

tpΩ, F , Pxq , pX pnq, n P Nq , pϑn , n P Nq , pE, N qu

(9.50)

be a Markov chain with the property that all Borel measures B ÞÑ P p1, x, B q Px rX p1q P B s, x P E, are equivalent. In addition suppose that for every Borel subset B the function x ÞÑ P p1, x, B q is continuous. Let there exist a point x0 P E such that every open neighborhood of x0 is recurrent. Then there exists a compact recurrent subset. In fact, the folthe lowing assertion is true. Let K be a compact subset of E ztx0 u with 1 property that P p1, x0 , K q ¡ 0. Then K is recurrent, i.e. Px τK 8 1 for all x P E. 1 Here τK

inf tk ¥ 1 : k P N, X pkq P K u.

Proof. The proof can be copied from the proof of Proposition 9.4 with 1 . A similar convention is used for the hitting times of the t0 1, τK τK ( 1 open neighborhoods Uℓ of x0 . Also notice that τK ¤ 1 tX p1q K u, and that the function x ÞÑ P p1, x, K q is continuous. These arguments suffice to complete the proof of Proposition 9.5. Next we collect some of the results proved so far. The existence of a compact recurrent subset will also be used when we prove the existence of a σ-finite invariant Radon measure: see Theorem 10.12. For the notion of strong Feller property see Definitions 2.5 and 2.16. Theorem 9.4. As in Theorem 9.2 let

tpΩ, F , PxqxPE , pX ptq, t ¥ 0q , pE, E qu

(9.51)

be a time-homogeneous Markov process on a Polish space E with a transition probability function P pt, x, q, t ¥ 0, x P E, which is conservative in the sense that P pt, x, E q 1 for all t ¥ 0 and x P E. Assume that the process X ptq is strong Feller in the sense that for all Borel subsets B of E the function pt, xq ÞÑ P pt, x, B q is continuous on p0, 8q E. In addition, suppose that all measures B ÞÑ P pt, x, B q, B P E, t ¡ 0, x P E, are equivalent. Suppose that there exists x0 P E with the property that all open neighborhoods of x0 are recurrent. In addition assume that the generator of the process almost separate points and closed subsets, in the sense that for every x P U with U open there exists a function v P DpLq such that v pxq ¡ supyPE zU v py q. Then there exists a compact subset A which is

October 7, 2010

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recurrent. Moreover, every Borel subset B for which P pt0 , x0 , B q some pt0 , x0 q P p0, 8q is recurrent.

MarkovProcesses

573

¡ 0 for

Theorem 10.8 and its companion Theorem 10.9 show that under the hypotheses of Theorem 9.4 a Borel subset is recurrent if and only if it is Harris recurrent. For the notion of the almost separation property the reader may want to see Remark 9.1 following Definition 9.2: see Proposition 9.1 as well. Proof. In assertion (i) of Proposition 9.1 it is shown that the almost separation implies the very relevant property (9.20) which is somewhat strengthened in Proposition 9.2. Using this property we see that the function x ÞÑ Px rτA ¤ ts is continuous on E zA where A is compact. From the proof of Proposition 9.4 it follows that there exists a recurrent compact subset. From Lemma 9.3 below we see that all Borel subsets B for which P pt0 , x0 , B q ¡ 0 for some pt0 , x0 q P p0, 8q E are recurrent. This completes the proof of Theorem 9.4.

Again we consider the time-homogeneous Markov process (9.14) in Theorem 9.2. Theorem 10.8 and its companion Theorem 10.9 show that in the context of a strong Markov process with the strong Feller property the collection of recurrent Borel subsets coincides with the collection of Harris recurrent subsets provided that all measures B ÞÑ P pt, x, B q, B P E, pt, xq P p0, 8q E, are equivalent. Definition 9.4. Let A be a Borel subset of E, and τA its first hitting time: τA inf ts ¡ 0 : X psq P Au. The subset A is called recurrent if Px rτA

8s 1

for all x P E.

The subset A is called Harris recurrent provided Px

» 8 0

1A pX psqq ds 8

1

for all x P E.

(9.52)

Definition 9.5. Let µ be an invariant measure for the Markov process in (9.14). Then the Markov process is µ-Harris recurrent provided every Borel subset A for which µpAq ¡ 0 is Harris recurrent. Suppose that all measures B ÞÑ P pt, x, B q, B P E, pt, xq P p0, 8q E, are equivalent. Then the corresponding Markov process is called Harris recurrent if every Borel subset for which P p1, x0 , B q ¡ 0 for some x0 P E is Harris recurrent. The following theorem says among other things that, if the Markov process possesses a finite invariant measure µ, then there exists a compact recurrent subset K of E such that µpK q ¡ 0. It is closely related to Theorem

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MarkovProcesses


574

2.1 in [Seidler (1997)]. An adapted version will be employed in the proof of Theorem 10.12 in Chapter 10: see (10.221)–(10.238). In particular the σ-finiteness will be at stake: see the arguments after the (in-)equalities (10.205) and (10.220). Another variant can be found in Theorem 9.11 below. For more details on the notion of strong Feller property see Definitions 2.5 and 2.16. Theorem 9.5. Let the Markov process have right-continuous sample paths, be strong Feller, and irreducible. Let K E be a compact subset which is non-recurrent. Then sup

»8

P

x E

0

P pt, x, K q dt 8,

µpK q 0

and

(9.53)

for all finite invariant measures µ. If, in addition, P p1, x0 , K q some x0 P E, then

Px sup t ¥ 0, X ptq P K 1

(

8 1,

lim P t, x, K 1

and

Ñ8

t

for all x P E and all compact subsets K 1 .

¡ 0 for

0

(9.54)

Proof. Let K be a non-recurrent compact subset of E. We begin by showing that sup

P

x E

»8 0

P pt, x, K q dt 8.

(9.55)

The proof of (9.55) follows the same pattern as the corresponding proof by Seidler in [Seidler (1997)], who in turn follows Khasminskii [Has1 minski˘ı (1960)]. Let τ be the first hitting time of K. Since K is non-recurrent there exists y0 R K such that Py0 rτ

8s Py rX ptq R K 0

for all t ¥ 0s ¡ 0.

By Remark 9.5 which follows Proposition 9.3 the function x ÞÑ Px rτ 8s is continuous on E zK. Hence there exists an open neighborhood V of y0 such that α : inf Px rτ

P

x V

¡ 0 arbitrary, and choose y P K.

Fix t0 have Py

» 8 0

Ey

8s ¡ 0.

1K pX ptqq dt t0

ω

ÞÑ PX pt qpωq

0

Then by the Markov property we

» t0

0

(9.56)

1K pX ptqpω qq dt

»8 0

1K pX ptqq dt t0

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MarkovProcesses


¥ Ey ¥ Py

ω

ÞÑ PX pt qpωq

» t0 0

» t0

0

0

575

1K pX ptqpω qq dt t0 , X ptq R K for all t ¥ 0

1K pX ptqq dt t0 , X ptq R K for all t ¥ t0

» t0

1K pX ptqq dt t0 , X pt0 q P V, X ptq R K ¥ Py 0 ¥ Ey PX pt q rτ 8s , X pt0 q P V

for all t ¥ t0

0

(apply (9.56), the definition of α) P pt0 , x, V q : q ¡ 0, ¥ αP pt0 , y, V q ¥ α xinf PK

(9.57)

where we used the irreducibility of our Markov process, and the continuity of the function x ÞÑ P pt0 , x, V q. Hence we infer sup Py

» 8

P

y K

Put

"

κ inf t ¡ 0 :

»t 0

0

1K pX ptqq dt ¥ t0

1K pX psqq ds ¥ t0

*

inf

"

¤ 1 q.

t¡0:

»t 0

(9.58) *

1K pX psqq ds t0 .

(9.59) Then κ is a stopping time relative to the filtration pFt qt¥0 , because X psq is Ft -measurable for all 0 ¤ s ¤ t. Moreover, by right-continuity of the process t ÞÑ X ptq it follows that X pκq P K on the event tτ 8u. Let y P E. By induction we shall prove that Py

» 8 0

1K pX ptqq dt ¡ kt0

To this end we put αk

sup Ex P

x K

¤ p1 qqk1 , k P N, k ¥ 1.

» 8 0

(9.60)

1K pX psqq ds ¥ kt0 .

(9.61)

If x belongs to K, then by the Markov property we have: Px

» 8 0

Ex

1K pX psqq ds ¡ pk

PX pκq

Ex PX pκq ¤ α1 αk .

» 8 0

» 8 0

1 qt 0

Px

» 8 κ

1K pX psqq ds ¡ kt0 , κ 8 »8

1K pX psqq ds ¡ kt0 ,

0

1K pX psqq ds ¡ kt0 , κ 8

1K pX psqq ds ¥ t0

(9.62)

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MarkovProcesses


576

From (9.62) and induction we infer sup Px

» 8

P

x K

¤

0

αk1

1K pX psqq ds ¥ kt0

sup

» 8

P

x K

0

1K pX psqq ds ¥ t0

k

¤ p1 qqk ,

where in the final step of (9.63) we employed (9.58). If y then we proceed as follows: Py

» 8 0

Py

1K pX psqq ds ¡ pk

» 8

κ

1 qt 0

(9.63)

P E is arbitrary,

1K pX psqq ds ¡ kt0 , κ 8 » 8

Ey PX pκq 1K pX psqq ds ¡ kt0 0 ¤ p1 qqk Py rκ 8s ¤ p1 qqk .

,κ 8

(9.64)

The inequality in (9.64) implies the inequality in (9.60). To show the first part of (9.53) we observe that for x P E we have »8 0

P pt, x, K q dt Ex

» 8

8 ¸

¤

k 1

¤ t0

1K pX psqq ds

0

pk 1qt0

kt0 Px

8 ¸

Px

» 8 0

k 2

¤ t0

t0

8 ¸

»8 0

1K pX psqq ds ¤ kt0

1K pX psqq ds ¡ pk 1qt0

k p1 q q

k 2

t0

1 q

1

k 2

1 q2

8. (9.65)

The first part of (9.53) is a consequence of (9.65) indeed. In fact from (9.65) we also obtain µpK q 0 for any finite invariant measure µ. Let µ be an invariant probability measure. That µpK q 0 can be seen by the following (standard) arguments: µpK q

1 T

»T 0

» E

µpK q dt

1 T

»T 0

1 T

»T » 0

E

P pt, y, K q dµpy qdt

P pt, y, K q dt dµpy q ¤

1 sup T xPE

»8 0

P pt, x, K q dt

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MarkovProcesses


¤ Since T

t0 T

1

1 q

1 q2

577

(9.66)

.

¡ 0 is arbitrary (9.66) implies µpK q 0.

Next assume that the compact subset K has the additional property that P p1, x0 , K q ¡ 0. Let K 1 be an arbitrary compact subset. We want to prove that

³8

Px sup t ¥ 0 : X ptq P K 1

(

8 1.

(9.67)

Put hpxq 0 P pt, x, K q dt. Then by (9.65) the function h P L8 pE, E q. The function hpxq is also lower semi-continuous, because the functions x ÞÑ P pt, x, K q, t ¡ 0, are continuous. Moreover, it is strictly positive, by the ( fact that for all t ¡ 0 and all x P E, P pt, x, K q ¡ 0. Put Hn h ¡ n1 . Then there exists m P N such that K 1 Hm . Fix x P E, denote by σ the first hitting time of K 1 , and let σ pk q be the first hitting time of K 1 after time k, i.e. σ pk q k σ ϑk . Taking into account that X pσ pk qq P K 1 Hm Px -almost surely on the event tσ pk q 8u we obtain: 1 Px rσ pk q 8s ¤ Ex rh pX pσ pk qqq , σ pk q 8s m »8

Ex

»8 0

»8 0

»8 0

Ex

0

P ps, X pσ pk qq , K q ds, σ pk q 8

Ex PX pσpkqq rX psq P K s , σ pk q 8 ds

¤

k

σ pk qq P K Fσpkq , σ pk q 8 ds

Ex r1K pX ps

σ pk qqq , σ pk q 8s ds

»

8 pq

σ k

» 8

»8

Ex Px X ps

k

1K pX psqq ds, σ pk q 8

(σ pk q ¥ k on the event tσ pk q 8u)

¤ Ex

1K pX psqq ds, σ pk q 8

P ps, x, K q ds.

(9.68)

The sequence of events tσ pk q 8u, k P N, decreases. From (9.68) it follows that its intersection has Px -measure zero. It follows that its complement has full Px -measure. This means that for Px -almost all ω there exists k P N

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MarkovProcesses


578

such that σ pk qpω q 8, and, consequently, (9.67) holds. From (9.67) we also readily infer limtÑ8 P pt, x, K 1 q 0, because after the process X ptq has visited K 1 it only returns there finitely many times Px -almost surely. This completes the proof of Theorem 9.5. !

)

³t

A stopping time of the form inf t ¡ 0 :

1 pX psqq ds ¡ 0 is called the 0 K

penetration time of K: compare with (9.59). Lemma 9.3. Let the hypotheses and notations be as in Theorem 9.2. Suppose that there exists a compact subset K which is recurrent. Then all Borel subsets B with the property that P pt0 , x0 , B q ¡ 0 for some pair pt0 , x0 q P p0, 8q E (or, equivalently, P pt, x, B q ¡ 0 for all pairs pt, xq P p0, 8q E) are recurrent. Proof. Let B P E be such that P pt, x, B q ¡ 0 for some (all) pairs pt, xq P p0, 8q E. Let τB be the (first) hitting time of B: τB inf tt ¡ 0 : X ptq P B u. We need to show that Px rτB 8s 1 for all x P E. By our assumptions we have inf Px rτB

P

x K

P rX p1q P B s inf P p1, x, B q : q ¡ 0. ¤ 1s ¥ xinf PK x xPK

(9.69)

Let τ be the first hitting time of K, and define a sequence of hitting times of K as follows: τ1

τ,

and τn

1

inf tt ¡ τn

Then, for any n P N, τn Put An

tτn ¤ τn

τB

2 : X ptq P K u τn

2

τ

ϑτ

n

2.

(9.70)

8 and X pτn q P K Px-almost surely for all x P E. ϑτ ¤ τn

1u tτB

n

ϑτ ¤ 1, τn 8u . n

(9.71)

The events in (9.71) should be compared with similar ones in (9.46). Then An P Fτn 1 Fτn 1 , and we have with q as in (9.69)

8 ¸

Px An Fτn

n 1

8 ¸

Px

tτB ϑτ ¤ 1u Fτ n

n 1

8 ¸

8 ¸

PX pτn q rτB

k 1

¥

k 1

¤ 1s ¥

8 ¸

n

inf Py rτB

yPK

¤ 1s

k 1

q

8,

Px -almost surely

(9.72)

for all x P E. Therefore by the generalized Borel-Cantelli lemma (see e.g. [Shiryayev (1984)] Corollary VII 5.2, or see equality (9.49) in Theorem 9.3)

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Px -almost all ω belong to An for infinitely many n P N. However, if ω then τB pω q ¤ τn 1 8. This concludes the proof of Lemma 9.3.

P An ,

The following result is a reformulation of Lemma 9.3 for Markov chains with values in E. Its proof can be copied from the proof of Lemma 9.3. Lemma 9.4. Let the notation and hypotheses be as in Proposition 9.5. Suppose that there exists a compact subset K which is recurrent. Then all Borel subsets B with the property that P pt0 , x0 , B q ¡ 0 for some pair pt0 , x0 q P p0, 8q E (or, equivalently, P pt, x, B q ¡ 0 for all pairs pt, xq P p0, 8q E) are recurrent. For the notion of a Harris recurrent subset, the reader is referred to Definition 9.4. The following result follows merely from the recurrence properties of our Markov process. These recurrence properties were established in Lemma 9.3. The existence of a finite invariant probability measure is not required. Proposition 9.6. Let the hypotheses and notation be as in Theorem 9.2 except that the existence of an invariant probability measure is required. Assume that there exists a compact recurrent subset. Then every non-empty open subset U of E is Harris recurrent. Proof. Let U be any open subset of E. Suppose H U E. Since our Markov process is recurrent, there exists a pair pt0 , x0 q P p0, 8q E such that P pt0 , x0 , U q ¡ 0. Let the compact subset K of U be such that P pt0 , x0 , K q ¥ 12 P pt0 , x0 , U q ¡ 0. From Lemma 9.3 we infer that the compact subset K is recurrent. Let τU c be the hitting time of E zU . From (9.20) in Proposition 9.1 we see that there exists q ¡ 0 such that 1 1 sup Py rτU c ¤ q s . Then we see inf Py rτU c ¡ q s ¥ . Let τ τK be y PK 2 2 y PK the first hitting time of K. Then by recurrence Px rτ 8s 1, x P E. Instead of τU c we write σ. We define the double sequence of hitting times of K and E zU :

σn τ ϑσ . (9.73) In addition we introduce the events: Qn tσn τn ¡ q u. For every y P E τ1

τ,

σn

τn

we have:

8 ¸

n 1

Py Q n Fτ n

σ ϑτn ,

8 ¸

n 1

τn

Py σ ϑτn

1

n

¡ q Fτ

n

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8 ¸

PX pτn q rσ

8 1 ¸ ¥ 2 n1

¡ τs ¥

n 1

8 ¸

inf Px rσ

x PK

¡ ηs

n 1

8,

Py -almost surely.

(9.74)

From (9.74) and the generalized Borel-Cantelli lemma (again see e.g. [Shiryayev (1984)] Corollary VII 5.2 or the equality in (9.49) in Theorem 9.3) we infer

Py lim sup Qn

Ñ8

n

Since 1U pX ptqq 1 on the event tτn Py

» 8 0

1,

y

P E.

(9.75)

¤ t σn u, (9.75) implies

1U pX ptqq dt 8

1,

y

P E.

In other words the open subset U is Harris recurrent. This completes the proof of Proposition 9.6.

(

Definition 9.6. Let Ftt21 : 0 ¤ t1 ¤ t2 8 be a collection ofσ-fields on Ω such that, for every t1 P r0, 8q fixed, the collection Ftt21 t2 ¥t1 is a filtration, and such that for every t2 P p0, 8q the collection Ftt21 t ¤t 1 2 is also a filtration. A family of random variables A pt1 , t2 q : Ω Ñ R, 0 ¤ t1 ¤ t2 8, is called an additive process relative to the collection ( Ftt21 : 0 ¤ t1 ¤ t2 8 if it possesses the following properties: (1) the equality A pt1 , t2 q A pt2 , t3 q A pt1 , t3 q holds for all 0 ¤ t1 ¤ t2 ¤ t3 ; (2) for every 0 ¤ t1 ¤ t2 the random variable A pt1 , t2 q is Ftt21 -measurable.

In case of a time-homogeneous Markov process, like in Theorem 9.2 an additive process A ptq : Ω Ñ R, 0 ¤ t 8, is called a time-homogeneous additive process relative to the collection tFt : 0 ¤ t 8u if it possesses the following properties: (1) the equality A psq A pt sq ϑs A ptq holds Px -almost surely for all 0 ¤ s ¤ t; (2) for every t ¥ 0 the random variable A ptq is Ft -measurable. If in the above definitions the plus signs are replaced with multiplication signs, then the corresponding processes are called multiplicative and timehomogeneous multiplicative respectively.

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Instead of time-homogeneous additive process we usually just say additive process; a similar convention is adopted in case of multiplicative processes. If A pt1 , t2 q is an additive process, then exp pApt1 , t2 q is a multiplicative process. In fact there is a relationship between these two notions. Let t ÞÑ Aptq be an additive process in the time-homogeneous case. Then it can also be considered as an additive process of two variables by writing A pt1 , t2 q A pt2 t1 q ϑt1 , 0 ¤ t1 ¤ t2 8. Let f :³r0, 8q E Ñ R be a Borel measurable function with the propt erty that 0 |f ps, X psqq| ds 8, Px -almost surely for all x P E. Then ³t the process pt1 , t2 q ÞÑ Af pt1 , t2 q t12 f pρ, X pρqq dρ is an additive process. In the time-homogenous case, and if the function f only depends on the ³t state variable, then the process t ÞÑ Af ptq : 0 f pX pρqq dρ is a (timehomogenous) additive process. Let τ : Ω Ñ r0, 8s be a terminal stopping time in the sense that for every pair pt1 , t2 q, 0 ¤ t1 t2 8, the event tt1 τ ¤ t2 u is Ftt21 -measurable. Then the process pt1 , t2 q ÞÑ M pt1 , t2 q, 0 ¤ t1 ¤ t2 8, defined by M pt1 , t2 q 1 1tt1 τ ¤t2 u is a multiplicative process. If τ is a time-homogeneous terminal stopping time, then the process t ÞÑ 1tτ ¡tu is a multiplicative process. This fact from the observation that s τ ϑs τ Px -almost surely on the event tτ ¡ su: the latter is just the notion of (time-homogeneous) terminal stopping time. Examples of terminal stopping times are first entry and first hitting times of Borel subsets; penetration times are terminal stopping times. If a Markov process like (9.14) in Theorem 9.2 is present, then for Ftt21 we may take the universal completion of the right closure of σ pX psq : t1 ¤ s ¤ t2 q. An important property which is used here is the fact that the corresponding Markov process has right-continuous paths (or orbits). Let µ be a Radon measure on E which is σ-finite. In the following ³ proposition we write Eµ rF s E Ex rF s dµpxq for any random variable F : Ω Ñ R for which Eµ r|F |s dµpxq 8, or F ¥ 0. The existence of a σ-finite Radon measure under the recurrence hypotheses of Theorem 10.12 will be proved in Chapter 10.

Proposition 9.7. Let the hypotheses and notation be as in Theorem 9.2, except that the invariant measure µ is not necessarily finite, but is allowed to be a σ-finite Radon measure. Let pAptqqt¥0 and pB ptqqt¥0 be additive processes such that Eµ r|Ap1q|s 8, and 0 Eµ rB p1qs 8. Then the

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equality


MarkovProcesses


Aptq EEµ rrBApp11qsqs 1 Px lim tÑ8 B ptq µ holds for µ-almost all x P E. Moreover, the equality Ex rAptqs Eµ rAp1qs lim tÑ8 Ex rB ptqs Eµ rB p1qs holds for µ-almost all x P E.

(9.76)

(9.77)

Remark 9.6. Let t ÞÑ Aptq be an additive process, and let µ be an invariant measure. Then the function t ÞÑ Eµ rAptqs is linear in t, and so there exists a constant k pApqq such that Eµ rAptqs tk pApqq. In other words, the equality in (9.77) implies: Ex rAptqs lim EEµ rrBA1 ss kk ppBApqq (9.78) tÑ8 Ex rB ptqs pqq . µ 1

Below the proof of Proposition 9.7 is copied from the proof of Proposition 5.5 in [Seidler (1997)]. Some of the techniques are borrowed from Azema et al [Azéma et al. (1967)] section II.2, and the Chacon-Ornstein theorem as exhibited in Krengel [Krengel (1985)]: see Theorem 9.9. In the proof of Proposition 9.7 we need some definitions and terminology which we collect next. Definition 9.7. Let µ be a σ-finite Borel measure on E. An operator S : L1 pE, µq Ñ L1 pE, µq is called a positive operator or positivity preserving operator if f ¥ 0 µ-almost everywhere implies Sf ¥ 0 ³µ-almost ³ everywhere. It is called a contraction operator if E |Sf | dµ ¤ E |f | dµ for all f P L1 pE,³ µq. The operator S : L8 pE, µq Ñ L8 pE, µq is defined ³ by the equality E pSf q g dµ E f pS g q dµ for all f P L1 pE, µq and all g P L8 pE, µq. Since the measure µ is σ-finite the dual space of L1 pE, µq is identified with L8 pE, µq. Notice that S gn decreases to 0, whenever gn decreases pointwise to 0. A function (or better a class of functions) h P L8 pE, µq is called harmonic if S h h. A harmonic function is also called an S -invariant function or just invariant function: see Definition 9.9. A non-negative function h for which h ¥ S h is called superharmonic. A superharmonic function h is called strictly superharmonic on a subset A of E provided h ¡ S h on A. A subset B P E is called Sabsorbing if Sf P L1 pB, µq for all³ f P L1 pB,³ µq. The system ppE, E, µq , S q is called a dynamical system if Sf dµ f dµ for all f P L1 pE, µq. In the³ same manner the system ppΩ, F , Pµ q , S q is called a dynamical system ³ if SZ dPµ Z dPµ for Z P L1 pΩ, F , Pµ q.

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The definition of dynamical system will be used for invariant measures for Markov processes with state space E and sample path space Ω: i.e. the process

tpΩ, F , PxqxPE , pX ptq, t ¥ 0q , pE, E qu as exhibited in (9.51) in Theorem 9.4 and in Theorem 9.2. In this case Pµ ³ is defined by Pµ rAs Px rAs dµpxq, A P F . The following decomposition theorems, 9.6, 9.7, and 9.8 can be found in [Krengel (1985)] theorems 1.3, 1.5, and 1.6 in Chapter 3. The decomposition of E into a conservative part C and its complement D a dissipative part is called the Hopf decomposition. The results are also applicable for the measure space pΩ, F , Pµ q instead of pE, E, µq where µ is a σ-invariant Radon measure on E. Since µpC q Pµ rX p0q P C s, C P E, the measure µ is σ-finite if and only if Pµ is so. These theorems will be applied with 1 Sf pxq Pa f pxq eaL f pxq Ex rf pX paqqs³ with f P L pE, µq where µ is ³ an invariant measure for the operator Pa , Pa f dµ f dµ, f P L1 pE, µq, and the operator SZ Z ϑa , Z P L1 pΩ, F , Pµ q. In both cases a ¡ 0. Since our underlying Markov process is recurrent it follows that the conservative subset C coincides with E µ-almost everywhere. For the recurrence properties of our Markov process see Theorem 10.16 and Theorem 10.9 in Chapter 10. Theorem 9.6. Let S be a positive contraction on L1 pE, µq. Then there exists a decomposition of E into disjoint sets C and D which are determined uniquely modulo µ by: (C1) If h is superharmonic, then h S h on C; (D1) There exists a bounded superharmonic function h0 which is strictly superharmonic on D. The function h0 may be constructed in such a way that limnÑ8 pS q h0 on D, and h0 0 on C. n

0

Theorem 9.7. Let S be a positive contraction on L1 pE, µq. Let C and D be the subsets as described in Theorem 9.6. Then the decomposition of E into the disjoint sets C and D is also determined uniquely modulo µ by:

n (C2) For all h ¥ 0 h P L8 pE, µq the sum 8 n0 pS q h 8 on the subset ( °8 n C n0 pS q h ¡ 0 ; (D2) There exists a function hD P L8 pE, µq, hD ¥ 0, for which thD ¡ 0u °8 n D, and n0 pS q h ¤ 1. °

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Theorem 9.8. Let S be a positive contraction on L1 pE, µq. Let C and D be the subsets as described in Theorem 9.6. Then the decomposition of E into the disjoint sets C and D is also determined uniquely modulo µ by: °8

(C3) For all functions f ¥ 0, f P( L1 pE, µq, the sum °8 n subset C n0 S f ¡ 0 ; °8 (D3) For all functions f ¥ 0, f P L1 pE, µq, n0 S n f

n S f

n 0

8 on the

8 on D.

Definition 9.8. Let S : L1 pE, µq Ñ L1 pE, µq be a positive contraction. The decomposition of E into the disjoint union of C and D E zD as determined by one of the theorems 9.6, 9.7 or 9.8 is called the Hopf decomposition of E relative to S. The subset C is called the conservative part of S, and D is called the dissipative part. The operator S is called conservative if µ pE zC q 0. The following theorem is a version of the Chacon-Ornstein theorem. For more details see e.g. [Petersen (1989)], [Krengel (1985)], [Foguel (1980)], and [Neveu (1979)]. Let B be a Borel subset of E and put HB f j °8 IB j 0 SIE zB f , where IB f 1B f and f P L1 pE, µq. If B E, then HB f f , f P L1 pE, µq. 1 Theorem 9.9. Let S be a positive contraction on µq. Let 0 ¤ f, g °nL pE, k S f be functions in L1 pE, µq. Then the limit lim °kn0 k converges to a nÑ8 S g ( °8k0 finite µ-almost everywhere on the set x P E : k0 S k g pxq ¡ 0 . On the conservative part C the limit can be identified with a quotient of the form Qf where Qf is the µ-conditional expectation on the σ-field of S -invariant Qg subsets of HC f . On the dissipative part D the limit of this quotient can be identified as a quotient of fixed numbers.

Let J be the σ-field of S -invariant subsets. Fix f P L1 pE, µq. In Theorem 9.9 the function Qf can be identified with the Radon-Nikodym derivative of the measure HC f µ restricted to I with respect to the measure µ also d HC f µ J . Here HC f µ is the measure which has confined to J : Qf d µJ density HC f relative to µ. This Radon-Nikodym derivative is often called the µ-conditional expectation of HC f on J . The following result can be found in Skorohod: see Theorem 5 and its corollary in Chapter 1, §1, of [Skorokhod (1989)]. Theorem 9.10. Let µ be a non-zero invariant σ-finite measure on E, and

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585

³

put Pµ rAs Px rAs dµpxq, A P F . Then Pµ is a σ-finite measure on ( 1 0 . Assume that all probability R△R F . Put I R P F : Pµ ϑ 1 measures of the form B ÞÑ P p1, x, B q, x P E, are equivalent. Then the following assertions are true: (a) If B P E is such that P p1, x, B q 1 for µ-almost all x P B, then either µpB q 0 or µ pE zB q 0. (b) Suppose that the random variable Y P L1 pΩ, F , µq possesses the following property: Y Y ϑ1 Pµ -almost everywhere. Then for all n P N the equality

EX pnq rY s Ex Y Fn

(9.79)

holds Px -almost surely for µ-almost all x P E. The equality Ex rY s Ex EX pnq rY s holds µ-almost everywhere for all n P N, including n 0. Moreover, the equality Y EX p0q rY s holds Pµ -almost everywhere. (c) Events in I are Pµ -trivial in the sense that either Pµ rRs 0 or Pµ rΩzRs 0. (d) Let Y P L1 pΩ, F , µq be a random variable with the property that Y Y ϑ1 Pµ -almost everywhere. Then Y is zero Pµ -almost everywhere if µpE q 8, and constant Pµ -almost everywhere if µ is finite. Remark 9.7. Assertion (b) of Theorem 9.10 only uses the invariance of the σ-finite measure µ. The others also use the fact that all measures of the form B ÞÑ P p1, x, B q, B P E, x P E, are equivalent. Proof. Let pAn qnPN be an increasing sequence in E such that µ pAn q 8 for all n P N and E nPN An . Put Ωn tX p0q P An u. Then Ωn Ωn 1 , Ω nPN Ωn , and Pµ rΩn s µ pAn q. This shows that the measure Pµ is σ-finite.

(a). Let B P E be such that P p1, x, B q 1 for µ-almost all x P B, and assume that µpB q ¡ 0. Then P p1, x, E zB q 0 for µ-almost all x P B. Since µpB q ¡ 0, there exists at least one x0 P B such that P p1, x0 , E zB q 0. Since all measures of the form C ÞÑ P p1, x, C q, x P E, are equivalent, it follows that P p1, y, E zB q 0 for µ-almost all y P E. Consequently, Pµ rE zB s 0. This proves Assertion (a). (b). First observe that by the Markov property, and by the invariance of the measure µ we have Eµ r|Y

ϑn Y ϑn 1 |s Eµ EX pnq r|Y Y ϑ1 |s Eµ EX pn1q r|Y Y ϑ1 |s Eµ EX p0q r|Y Y ϑ1 |s

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586

Eµ r|Y Y ϑ1 |s .

(9.80)

From (9.80) we infer by induction that Y Y ϑn Pµ -almost everywhere for all n P N. Let A P Fn , and consider the (in-)equalities: 0 Eµ r|Y

¥

»

E

»

Y ϑn |s

»

E

Ex r|Y

Y ϑn |s dµpxq

|Ex rpY Y ϑn q 1A s| dµpxq Ex Y 1A

r

s Ex

Ex Y 1A

s Ex

E

Ex Y

ϑn Fn

1A dµpxq

(Markov property)

»

»E

r

EX pnq rY s 1A dµpxq

Ex Y

EX pnq rY s 1A dµpxq. (9.81) E From (9.81) we see that Ex Y Fn EX pnq rY s Px -almost surely for µalmost all x P E, and n P N, n ¥ 1. The latter is the same as saying the for µ-almost all x P E the process n ÞÑ EX pnq rY s is a Px -martingale. It also proves (9.79) in Assertion (b) for n P N, n ¥ 1. By putting A Ω in (9.81) we infer Ex rY s Ex EX pnq rY s µ-almost everywhere on E. In

order to complete the proof of Assertion (b) we need to show the equality Y EX p0q rY s Pµ -almost everywhere. Since the process n ÞÑ EX pnq rY s is a Px -martingale we see that its limit exists Px -almost surely for µ-almost all x P E. Moreover this limit is Pµ -almost surely equal to Y . We shall prove that this limit is also equal to EX p0q rY s Pµ -almost everywhere. Therefore we consider for 8 α β 8 the quantity Pµ rα Y

β s nlim Ñ8 Pµ α EX pnq rY s β

(employ the invariance of µ)

nlim Pµ α EX p0q rY s β Ñ8 Pµ α EX p0q rY s β .

(9.82)

Since 8 α β 8 are arbitrary, the equalities in (9.82) yield Y EX p0q rY s Pµ -almost everywhere. This completes the proof of assertion (b).

(c). Let R be a member of I. Then 1R 1R ϑ1 Pµ -almost everywhere. Since µ is an invariant measure we also get 1R 1R ϑn Pµ -almost everywhere for all n P N. In addition, an application of assertion (b) yields 1R

EX p0q r1R s PX p0q rRs

Pµ -almost everywhere.

(9.83)

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Put B tx P E : Px rRs 1u. From (9.83) we see R tX p0q P B u, and hence 1R 1B pX p0qq, Pµ -almost everywhere. We also see that ΩzR tX p0q P E zB u. It follows that µpB q Pµ rRs and µ pE zB q Pµ rΩzRs. Assume Pµ rRs µpB q ¡ 0. Let x0 P B be any point for which 1R ϑ1 1R Px0 -almost surely. Since R belongs to I, and µpB q ¡ 0, the latter equality holds for µ-almost all x0 P B. Then P p1, x0 , B q P p1, x0 , tx P E : Px rRs 1uq

Px PX p1q rRs 1 Px PX p0q rRs ϑ1 1 Px r1R ϑ1 1s Px r1R 1s Px rRs 1 (9.84) where in the final equality of (9.84) we used the fact that x0 P B. It follows that for µ-almost all x0 P B we have P p1, x0 , B q 1. From assertion (a) we then infer that µ pE zB q 0. But then Pµ rΩzRs 0. This shows 0 0

0

0

0

Assertion (c).

(d). Let Y P L1 pΩ, F , µq be such that Y Y ϑ1 Pµ -almost everywhere. Since Y ^ 0 pY ϑ1 q^ 0 pY ^ 0q ϑ1 Pµ -almost everywhere we assume without loss of generality that Y ¥ 0. Let m be the µ-essential supremum of Y . If m 8, then we consider the Pµ -invariant event tY ¡ nu. Observe that Pµ rY ¡ ns ¡ 0, and so by (c) its complement has Pµ -measure zero. In other words Y ¡ n Pµ -almost everywhere. Since this is true for all n P N we see Y 8, Pµ -almost everywhere. Since µ is non-zero and Y P L1 pΩ, F , Pµ q this is a contradiction. So we assume that m 8. If ξ m we have Pµ rY ¡ ξ s ¡ 0, and hence by (c) and Pµ -invariance of the event tY ¡ ξ u it follows that Pµ rY ¤ ξ s 0. Thus we see Y ¥ ξ Pµ -almost everywhere on Ω. Since ξ m is arbitrary we obtain Y ¥ m Pµ -almost everywhere on Ω. By definition we have m ¥ Y Pµ -almost everywhere on Ω. Consequently Y m Pµ -almost everywhere on Ω. If µpE q Pµ rX p0q P E s Pµ rΩs 8, then necessarily Y m 0 Pµ almost everywhere. If µpB q 8 we see that Y m Pµ -almost everywhere, where m is a finite constant. This completes the proof of Theorem 9.10.

Definition 9.9. Subsets B P E with the property that P pt, x, B q 1 for µ-almost all x P B are called µ-invariant subsets. Subsets B P E with the property that P pt, x, B q 1 for all x P B are called invariant subsets. 1 Events A P F with the property that R ϑ t R are called invariant events; 1 events with the property that Pµ ϑt R△R 0 for all t ¡ 0 are called Pµ invariant events. For the notion of tail σ-fields in F the reader is referred to Definition 9.3.

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Notice that a subset B is µ-invariant if and only if P pt, x, A B q P pt, x, Aq for µ-almost all x P B. If Pt denotes the operator Pt hpxq ³ P pt, x, dy qhpy q, h P L1 pE, µq, then B is µ-invariant if and only if Pt 1B pxq 1, x P B. Moreover, a function h P L8 pE, µq, h ¥ 0 µalmost everywhere is harmonic or invariant if Pt h h on th ¡ 0u for all t ¡ 0: compare with Definition 9.7. [Proof of Proposition 9.7.] We begin by putting

Proof.

M

#

8 ¸

B p1q ϑj

+

8

,

j 1

and note that M is obviously ϑ1 -invariant, so either Pµ rM s 0, or Pµ rΩzM s 0. This fact follows from Theorem 9.10 assertion (c). But Eµ rB p1qs implies

Eµ

8 ¸

B p1q ϑj

Eµ

j 1

8 ¸

B p1 q

¡

0

8,

j 1

(the measure Pµ is ϑ1 -invariant), so the possibility Pµ rM s 0 is excluded. Define a positive contraction T : L1 pPµ q Ñ L1 pPµ q, by u ÞÑ u ϑ1 . Let V be a Borel subset such that µpV q 8 and which satisfies Px

» 8 0

1V pX psqq ds 8

1

for all x P E,

(9.85)

³1

and set v 0 1V pX psqq ds. The existence of such a set V is guaranteed by Proposition 9.6 and the fact that the measure µ is a regular Radon measure. Then v P L1 pPµ q because Eµ rv s

»

vdPµ

»1» 0

E

P ps, y, V q dµpy qds µpV q 8,

and hence we have

8 ¸

j 0

T jv

»8 0

1V pX psqq ds 8, Pµ -almost everywhere.

(9.86)

This means that the operator T is conservative (cf. [Krengel (1985)], Theorem 1.6 Chapter 3: see Theorem 9.8 and Definition 9.8) and by the ChaconOrnstein theorem (see Theorem 9.9) and the Neveu-Chacon identification

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theorem (see e.g. [Krengel (1985)], theorems 2.7 and 3.4 Chapter 3) we obtain that °n j Apnq Eµ rAp1qs j 0 T Ap1q lim Pµ -almost everywhere. lim °n j n Ñ8 nÑ8 B pnq Eµ rB p1qs j 0 T B p1q (9.87) Now, exactly the same procedure as in [Azéma et al. (1967)] applies, and hence we see that the discrete time result (9.87) implies that Pµ rΩzC s 0, where " * Aptq Eµ rAp1qs C lim E rB p1qs . (9.88) tÑ8 B ptq µ For details the reader is referred to Proposition 9.9 in section 9.2. So there exists N P E, µpN q 0 and Px rC s 1 for all x R N . Let y P E be arbitrary, then Py rC s Ey r1C

»

z

E N

ϑ1 s Ey

EX p1q r1C s

»

E

Pz rC sP p1, y, dz q

Pz rC sP p1, y, dz q 1,

since P p1, y, N q 0 by the fact that all measures B ÞÑ P pt, y, B q, B P E, ³ pt, yq P p0, 8q E, are equivalent, and E P p1, z, N q dµpz q µpN q 0. This proves equality (9.76) in Proposition 9.7. In order to prove equality (9.77) we introduce a positivity preserving contraction mapping S : L1 pE, µq Ñ L1 pE, µq by setting Sf pxq ³ f pz qP p1, x, dz q, f P L1 pE, µq. As in the proof of equality (9.76) let V E be a Borel subset of E³ such that µpV q 8 and such that (9.85) is satisfied. 1 Put hpxq Ex rv s 0 P ps, x, V q ds. Then h P L1 pE, µq and

8 ¸

S hpxq n

n 0

»8 0

P ps, x, V q ds 8, x P E.

(9.89)

Hence the contraction mapping S is conservative. Let A be the σ-field of S-absorbing subsets: see Definition 9.7 (cf. [Krengel (1985)], Definition 1.7 Chapter 3). The equivalence of transition probabilities of our Markov process in (9.14) implies easily that µ is trivial on A: i.e. µpAq 0 or µ pE zAq 0 for all A P A. Define the functions f and g by f pxq Ex rAp1qs, and g pxq Ex rB p1qs. Then f , g P L1 pE, µq, g ¥ 0, and hence again by the Chacon-Ornstein theorem (see Theorem 9.9) we have °N

lim

N

Ñ8

n n 0S f °N n n 0S g

³

dµ ³E fg dµ EEµ rrBApp11qsqs E

µ

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#

µ-almost everywhere on

8 ¸

xPE:

+

S g pxq ¡ 0 . n

(9.90)

n 0

Notice that » Sf pxq

E

Ez rA1 s P p1, x, dz q Ex EX p1q rAp1qs

We know that Pµ

Px

8 ¸

8 ¸

B p1q ϑj

j 0

B p1q ϑj

Ex rAp1q ϑ1 s . (9.91)

8 0, and thus we also have

8 0

for µ-almost all x P E.

j 0

Therefore

8 ¸

S j g pxq

j 0

8 ¸

Ex rB p1q ϑj s 8

(9.92)

j 0

for µ-almost all x P E, and hence (9.90) yields that the equality Ex rApnqs lim EEµ rrBApp11qsqs nÑ8 Ex rB pnqs µ holds for µ-almost all x P E. Again, the proof can be completed as in [Azéma et al. (1967)]. For details see Proposition 9.9 in section 9.2. Altogether this completes the proof of Proposition 9.7. In Corollary 9.3 we establish the uniqueness of σ-finite invariant measures. However, notice that, up to a multiplicative constant, the equality in (9.77) is a consequence of the uniqueness of σ-finite invariant measures: see the proof of Lemma 9.7. Corollary 9.3. Let the assumptions and notation be as in Proposition 9.7. Let µ1 and µ2 be two σ-finite non-trivial invariant measures. Then up to a finite strictly positive constant these two measures coincide. Proof. Let pB ptqqt¥0 be an additive process such that 0 Eµ rB p1qs 8 and 0 Eµ rB p1qs 8. Let f P L1 pE, µ1 q L1 pE, µ2 q. From Propo1

2

sition 9.7 we infer that

³

f dµ1 Eµ1 rB p1qs E

and hence

»

³

E E frBdµp12qs µ2

»

Eµ2 rB p1qs f dµ2 f dµ1 . (9.93) Eµ1 rB p1qs E E The asserted uniqueness follows from (9.93) and the density of L1 pE, µ1 q L1 pE, µ2 q in either L1 pE, µ1 q or L1 pE, µ2 q. The proof of Corollary 9.3 is now complete.

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Corollary 9.4. Let the assumptions and notation be as in Proposition 9.7. Then the following assertions are valid: (a) The³Markov process in (9.14) is µ-Harris recurrent, that is the equality 8 Px 0 1A pX psqq ds 8 1 holds for all x P E and for all A P E for which µpAq ¡ 0. » 1 t (b) Suppose µpE q 8. Then lim f pX psqq ds 0 Px -almost surely tÑ8 t 0 for all x P E and all f P L1 pE, µq. ³ » f dµ 1 t f pX psqq ds E (c) Suppose µpE q 8. Then lim Px -almost tÑ8 t 0 µ pE q surely for all x P E and all f P L1 pE, µq.

Proof. (a). Assume that there exists z P E and A P E with µpAq ¡ 0 ³8 such that 0 1A pX psqq ds 8 on an event Ω1 with Pz pΩ1 q ¡ 0. We will arrive at a contradiction. Let V P E be such that µpV q 8 and (9.85) are satisfied. Then by assumption ³t

lim ³0t

Ñ8

t

1A pX psqq ds

0 1V pX psqq ds

0

Px -almost surely on Ω1 .

(9.94)

However, according to (9.76) in Proposition 9.7 the limit in (9.94) should be ³ 1 ³1 ³ Eµ 0 1A pX psqq ds 0 E Ex r1A pX psqqs dµpxq ds Eµ

³

1 0

³1 ³

1V pX psqq ds

³1 ³

0 E

Ex r1V pX psqqs dµpxq ds

³01 ³E P ps, x, Aq dµpxq ds µµppVAqq . (9.95) P ps, x, V q dµpxq ds 0 E Since µpAq ¡ 0 and µpV q 8 the equality in (9.95) leads to a contradiction. Hence assertion (a) follows.

(b). Fix ε ¡ 0, x P E, and f P L1 pE, µq, f ¥ 0. Since µpE q 8 and µ is σ-finite there exists a subset B P E such that µpB q 8, and ³ f E dµ 2ε . By (9.76) of Proposition 9.7 there exists a random variable µpB q tε which is Px -almost surely finite such that ³t

f pX psqq ds

³

¤ EµpfBdµ q 0 1B pX psqq ds

³t

Since

0

³t 0

f pX psqq ds t

ε 2

¤ 2ε ε ³t

for all t ¥ tε .

¤ ³t0 f pX psqq ds 0 1B pX psqq ds

(9.96)

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Assertion (b) follows from (9.96). (c). This assertion is an immediate consequence of Proposition 9.7. Altogether this completes the proof of Corollary 9.4. In the proof of Proposition 9.8 below we need Theorem 10.2 of Chapter 10. It is taken from Jamison and Orey [Jamison et al. (1965)] Theorem 1, and Lemma 3. A result like Lemma 3 can also be found in Meyn and Tweedie [Meyn and Tweedie (1993b)] Theorem 18.1.2. The result is called Orey’s convergence theorem. Let ν be a measure on E. The measures ³ P ptq ν, t ¥ 0, are defined by B ÞÑ E P pt, x, B q dν pxq. The following proposition should be compared with Theorem 10.2. For the notion of “Harris recurrence” of Markov chains see Definition 10.2 in Chapter 10. The definitions 9.4 and 9.5 contain the corresponding notions for continuous time Markov processes. Proposition 9.8. Let the hypotheses and notation be as in Proposition 9.7. Let µ be a σ-finite invariant measure. Then the Markov chain pX pnq : n P Nq is µ-Harris recurrent, and lim Var pP ptq µ2 P ptq µ1 q 0

(9.97)

Ñ8

t

for all probability measures µ1 and µ2 on E. Remark 9.8. The proof of Proposition 9.8 yields a slightly stronger result than (9.97). In fact by (9.113) we have ¼

lim

Ñ8

t

Var pP pt, x, q P pt, y, qq dµ1 pxq dµ2 py q 0.

(9.98)

E E

It is clear that´the result in (9.98) is stronger than (9.97). Moreover, the function t ÞÑ E E Var pP pt, x, q P pt, y, qq dµ1 pxq dµ2 py q decreases, so that (9.98) follows once we know it for any sequence ptn : n P Nq which increases to 8. Put »8 n1 n pαRpαqq 1B pxq α ppnαtq 1q! eαt P pt, x, B q dt Px b π0 rX pTnq P B s 0 where α ¡ 0, n P N, and x P E. Here the process pTn : n P Nq consists of the jump process of a Poisson process

pΛ, G, πt qt¥0 , pN ptq, t ¥ 0q ,

(

ϑP t : t ¥ 0 , r0, 8q

which has intensity α0 , and which is independent of the strong Markov process

tpΩ, F , PxqxPE , pX ptq, t ¥ 0q , pϑt , t ¥ 0q , pE, E qu .

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For more details see (10.140), (10.143), and Lemma (10.42) in Chapter 10. Again let µ1 and µ2 probability measures on E. Fix α0 ¡ 0. Then, under the conditions of Proposition 9.8 we have ¼

Var αRpαq1pq pxq αRpαq1pq py q dµ1 pxq dµ2 py q

lim

Ó

α 0

E E

nlim Ñ8 0.

¼

Var

pα0 R pα0 qqn 1pq pxq pα0 R pα0 qqn 1pqpyq

dµ1 pxq dµ2 py q

E E

(9.99)

Proof. [Proof of Proposition 9.8.] The proof follows the lines of Duflo et al [Duflo and Revuz (1969)], which reduces the proof to the corresponding result for discrete time Markov chains: see Jamison and Orey [Jamison and Orey (1967)]. In the formal sense in [Duflo and Revuz (1969)] the authors only consider a locally compact state space, but changing to a Polish space does not affect their proof. Nevertheless we will repeat the arguments.

First notice that the process pX pnq : n P Nq is a Markov chain with transition probability function px, B q ÞÑ P p1, x, B q, px, B q P E E. Since all these measures are equivalent the chain pX pnq : n P Nq is aperiodic: see Proposition 10.1 in Chapter 10 and the comments preceding it. We will check that it is Harris recurrent. Let µ be the invariant measure, and choose an arbitrary B P E for which 0 µpB q 8, and put R

#

8 ¸

+

1B pX pnqq 8 .

(9.100)

n 1

Then ϑ11 R R, i.e. the event R is ϑ1 -invariant. Hence we either have Pµ rRs 0 or Pµ rΩzRs 0: see Theorem 9.10 assertion (c). Then the mapping T : L1 pΩ, F , Pµ q Ñ L1 pΩ, F , Pµ q defined by T u u ϑ1 is a conservative positive contraction, and 1B pX p1qq P L1 pΩ, F , Pµ q. Hence

8 ¸

T n 1B pX p1qq

n 0

8 ¸

If Pµ rRs 0, then 0 Eµ

1B pX pnqq P t0, 8u Pµ -almost everywhere.

n 1

8 ¸

n 1

1B pX pnqq

(9.101)

8 » ¸

n 1 E

P pn, x, B q dµpxq

8 ¸

n 1

µpB q. (9.102)

Since µpB q ¡ 0 the equality in (9.102) is a contradiction. It follows that Pµ rΩzRs 0, and hence there exists a subset N P E such that µpN q 0

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and Py rΩzRs 0 for all y P E zN . So that for y P E³zN we have Py rRs 1. Since µpN q 0, and µ is invariant we see that E P p1, z, N q dµpz q µpN q 0, and hence p1, z, N q 0 for µ-almost all z P E. Since µ is nontrivial, this implies that P p1, z, N q 0 for at least one z P E. Since all the measures B ÞÑ P p1, z, B q, z P E, are equivalent, we see that P p1, z, N q 0 for all z P E. So that furthermore, for x P E arbitrary, we infer

Px rRs Ex r1R ϑ1 s Ex Ex 1R ϑ1 F1

(Markov property)

Ex

EX p1q r1R s

» E

(employ P p1, x, N q 0)

(for y

»

z

E N

Py rRs P p1, x, dy q

Py rRs P p1, x, dy q

P E zN the equality Py rRs 1 holds)

»

z

E N

P p1, x, dy q P p1, x, E zN q P p1, x, E q 1.

(9.103)

From (9.103) we get Px rRs 1 for all x P E. Consequently, the Markov chain pX pnq : n P Nq is Harris recurrent and aperiodic: see Definition 10.2 and Proposition 10.1 in Chapter 10 and the comments preceding it. From Theorem 10.2, which is Orey’s convergence theorem, we obtain lim Var pP pn, x, q P pn, y, qq 0 for all x, y

Ñ8

n

P E.

(9.104)

Next our aim is to establish the triviality of the tail σ-field of the Markov process pX ptq : t ¥ 0q. For the notion of tail σ field see Definition 9.3. Let A P I, the tail σ-field. Then for every t ¥ 0 there exists a tail event At P I such that 1A 1At ϑt (see Definition 9.3). So for x P E we have

Px rAs Ex r1A s Ex r1At

ϑt s Ex Ex 1A ϑt Ft » ϑt s Pz rAt s P pt, x, dz q .

t

Ex EX ptq r1A (9.105) E By taking t n Ñ 8 in (9.104) and employing (9.105) we see that Px rAs Py rAs, x, y P E, and A P I. Since At P I we see that the function x ÞÑ Px rAt s is constant. From (9.105) it follows that this constant equals the constant function x ÞÑ Px rAs. By the martingale convergence theorem t

we see

Px rAs PX pnq rAs Px A Fn

Ñ8 1 ÝÑ A

n

Px -almost surely.

(9.106)

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Equality (9.106) implies that either Px rAs 1 for all x P E or that Px rAs 0 for all x P E. This proves the triviality of the tail σ-field I. In order to complete the proof of Proposition 9.8 we proceed as in the proof of Theorem II.4 of [Duflo and Revuz (1969)], who follow Blackwell and Freedman [Blackwell and Freedman (1964)] Theorem 2. Put F t ϑ1 F . Then the arguments of Duflo and Revuz read as follows. First, let B P F and m a probability measure on E. Then we have £

Pm A

and hence

sup Pm A

P»

A Ft

»

B

Pm rAs Pm rB s

Pm 1B F t A

£

B

Pm B F t

Ω

Pm rB s

»

dPm , »

Pm rAs Pm rB s ¤ B dPm .

Pm r s

p1B Pm rB sq dPm

A

sup

P

A Ft

Pm B F t

A

Pm rB s dPm (9.107)

By the backward martingale convergence theorem (see e.g. [Doob (1953)] Theorem 4.2) the limit

lim Pm B F tn

Ñ8

n

nlim Ñ8

»

E

Px B F tn dmpxq

(9.108)

exists Pm -almost surely and in L1 pΩ, F , Pm q for all sequences ptn qnPN which increase to 8. The limit in (9.108) is measurable relative to the tail σ-field I. Since the tail σ-field is trivial, this means that the limit limtÑ8 Pm B F t Pm rB s, Pm -almost surely. From (9.107) we see that

£

lim sup Pm A

Ñ8 APF t

t

B

Pm rAs Pm rB s 0.

(9.109)

Let px, y q P E E, and A0 P E. We apply (9.109) with m 12 pδx δy q, A tX ptq P A0 u, and B tX p0q xu or B tX p0q y u. Then we obtain lim sup |P pt, x, A0 q P pt, y, A0 q| 0.

Ñ8 A0 PE

t

(9.110)

Since Var pP pt, x, q P pt, y, qq ¤ 2 sup |P pt, x, Aq P pt, y, Aq|

P

(9.111)

A E

equality (9.110) implies lim Var pP pt, x, q P pt, y, qq 0.

Ñ8

t

(9.112)

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Next let µ1 and µ2 be two probability measures on E. Then »

Var E

P pt, x, q dµ1 pxq

¼

Var ¤

»

E

P pt, y, q dµ2 pxq

pP pt, x, q P pt, y, qq dµ1 pxq dµ2 pyq

E E

¼

Var pP pt, x, q P pt, y, qq dµ1 pxq dµ2 py q,

(9.113)

E E

and hence by equality (9.110) and inequality (9.113) we obtain »

lim Var

Ñ8

t

E

P pt, x, q dµ1 pxq

» E

P pt, y, q dµ2 pxq

0.

(9.114)

Since equality (9.114) is equivalent to (9.97) this completes the proof of Proposition 9.8. The following theorem is another version of Theorem 9.5. Theorem 9.11. Let the Markov process have right-continuous sample paths, be strong Feller, and irreducible. Let A be a recurrent compact subset of the state space E, and K E any compact subset. Then there exists an closed neighborhood Kε with K in its interior such that for h ¡ 0 sup

P

x E

»8 0

Px rX ptq P Kε , h

τA ϑh

¡ ts dt 8.

(9.115)

For the notion of strong Feller property see Definitions 2.5 and 2.16. Proof. Without loss of generality may and shall assume that K A. Otherwise replace K by K A. From the arguments following (10.222) in the proof of Theorem 10.12 we see that there exists ε ¡ 0 such that »

h τA ϑh

sup Ey

P

y E

0

1Kε pX pρqq dρ

8

(9.116)

where Kε is an ε-neighborhood of K. This completes the proof of Theorem 9.11. By definition we have RA p0qf pxq

»8 0

Ex rF pX pρqq , τA

¡ ρs dρ Ex

» τA 0

f pX pρqq dρ

(9.117)

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for those Borel measurable function f for which the integrals in (9.117) exist. As a corollary to 9.11 we have the following result. The proof follows by observing that τA ¤ h τA ϑh and the definition of RA p0qf : see (9.117). Corollary 9.5. Let the hypotheses and notation be as in Theorem 9.11. In addition, let K be a compact subset of E and h ¡ 0. Then there exists a bounded function f P Cb pE q, 1K ¤ f ¤ 1, such that sup RA p0qf py q sup Ey

P

P

y E

y E

¤ sup Ey

» τA 0

»

P

y E

f pX pρqq dρ

h τA ϑh 0

f pX pρqq dρ

8.

(9.118)

Let f be as in (9.118). Then there exists a constant Cf such that for all g P Cb pE q the following inequality holds: sup RA p0q p|g | f q py q ¤ Cf }g }8 .

P

(9.119)

y E

Proof. Let Kε be as in Theorem 9.11 and choose f P Cb pE q in such a way that 1K ¤ f ¤ 1Kε . Then f satisfies (9.118), and (9.119) is satisfied with Cf given by the right-hand side of (9.118). Altogether this completes the proof of Corollary 9.5.

9.2

Some ergodic theorems

In this section we prove some results which are relevant to finish the arguments in the proof of Proposition 9.7. In particular we want to prove that Pµ rΩzC s 0, where the invariant subset C is given in (9.88), i.e. " * Aptq Eµ rAp1qs C lim E rB p1qs . (9.120) tÑ8 B ptq µ We also want to prove that Ex rAptqs lim (9.121) EEµ rrBApp11qsqs tÑ8 Ex rB ptqs µ holds for µ-almost all x P E. Both proofs can be found in [Azéma et al. (1967)]. However, since we want to make the present book elf-contained we will give an independent proof. The proofs will be based on the theorem of Chacon-Ornstein for discrete dynamical systems: see Theorem 9.9. Lemma 9.5. Let µ be a σ-finite invariant measure, and let Z : Ω Ñ R be a bounded random variable such that Z ϑa Z Pµ -almost surely for all a ¡ 0. Then the variable Z is constant Pµ -almost surely.

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Proof. Let ν be a probability measure which is equivalent with µ. Then the process

Eν Z Ft (9.122) is a martingale with Z limtÑ8 Eν Z Ft limtÑ8 EX ptq rZ s. Then we introduce for given k P R the subset Fk ty P E : Ey rZ s ¥ k u. Then there are two possibilities either ν pFk q ¡ 0 or ν pE zFk q 1. If ν pFk q ¡ 0, then ³ 8 we have Pν 0 1F pX psqq ds 8 1, and hence lim suptÑ8 EX ptq rZ s ¥ k Pν -almost surely. Consequently, Z limtÑ8 EX ptq rZ s ¥ k Pν -almost surely. In the other case, ν pE zFk q 1, we will get Z ¤ k. It follows that EX ptq rZ s Eν Z ϑt Ft

k

Z is a constant Pµ -almost surely. This completes the proof of Lemma 9.5.

Lemma 9.6. Let the hypotheses and notation be as in Proposition 9.7. Let Aptq exists Pµ -almost surely. C be as in (9.120). Suppose that the limit lim tÑ8 B ptq Then Px rC s 1 for µ-almost all x P E. Proof.

We consider the dynamical system

tpΩ, F , Pµq : pX ptq, t ¥ 0qu together with the countable dynamical subsystems (skeletons)

tpΩ, F , Pµq : pX pnaq, n P Nqu , a ¡ 0. Aptq By assumption, the limit Z : lim exists Pµ -almost surely. Then we tÑ8 B ptq have Z ϑa Z Pµ -almost surely for all a ¡ 0. By Lemma 9.5 we see that Z C Pµ -almost surely, where C is a real constant. Denote Ia the σ-field invariant corresponding to the operator Ta : Z ÞÑ Z ϑa , Z P L1 pΩ, F , Pµ q. Then by the Chacon-Ornstein theorem (Theorem 9.9) we know that CA,B

Aptq tlim Ñ8 B ptq

Apnaq nlim Ñ8 B pnaq

Eµ Apaq Ia Eµ B paq Ia

(9.123)

where Eµ Apaq Ia denotes conditional expectation on the σ-field Ia relative to the measure Pµ which is not necessarily a probability measure. Nevertheless the notion “conditional expectation” relative to such measures also makes sense. From (9.123) we deduce:

Eµ Apaq Ia

CA,B Eµ B paq Ia

.

(9.124)

For the Chacon-Ornstein theorem and the Neveu-Chacon identification theorem see e.g. [Krengel (1985)], theorems 2.7 and 3.4 in Chapter 3, [Petersen

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(1989)] Theorem 8.1, [Foguel (1980)] §1.3, and [Neveu (1979)]. So that by integrating the left-hand side and the right-hand side of (9.124) relative to the measure Pµ we obtain: Eµ rApaqs CA,B Eµ rB paqs .

(9.125)

Since the expression in the right-hand side of (9.125) does not depend on a we get Eµ rAp1qs CA,B Eµ rB p1qs. Let C be the event in (9.120). Then 1C ϑa 1C Pµ -almost surely for all a ¡ 0. By Lemma 9.5 it follows that 1C 1 Pµ -almost surely. Since, for a ¥ 0, »

p1 Ey r1C ϑa sq dµ Eµ r1 1C ϑa s Eµ r1 1C s 0,

we get Py rC s 1 for µ-almost all y P E. This completes the proof of Lemma 9.6.

(9.126)

Let a ¡ 0. In the proof of the following lemma and of equality (9.121) we need the following invariant σ-field on E: Ja

!

PE : P

£

P pa, x, Aq 1B pxq for all A P E and for µ-almost all x P E u tB P E : P pa, x, B q 1B pxq, for µ-almost all x P E u . B

a, x, A

B

(9.127)

The definition of Ja should be compared with the notion of µ-invariant subset in Definition 9.9. An application of the Chacon-Ornstein theorem to the dynamical system tppE, E, µq , Pa qu, with Pa f pxq eaL f pxq ³ Ex rf pX paqqs f py qP pa, x, dy q, f P L1 pE, µq, is that for all a ¡ 0 Ex rApnaqs nÑ8 Ex rB pnaqs lim

QQaEEpq rrBAppaaqsqs ppxxqq a

pq

(9.128)

for µ-almost all x P E. For the Chacon-Ornstein theorem and the NeveuChacon identification theorem see e.g. [Krengel (1985)], theorems 2.7 and 3.4 in Chapter 3. Here Qa is the µ-conditioning operator on the σ-field J . In other words: ³if h P L1 pE, µq, then Qa h is Ja -measurable and ³a Qa hpxqf pxq dµpxq hpxqf pxq dµpxq for all bounded functions f which are Ja measurable. Of course, the measure µ is the invariant measure for ( the semigroup etL : t ¥ 0 . The operator Qa has the following invariance property:

»

Pa f pxqQa hpxq dµpxq

»

f pxqQa hpxq dµpxq, h P L1 pE, µq, f

P L8 pE, µq. (9.129)

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³

Here Pa f pxq eaL f pxq P pa, x, dy qf py q, f P L8 pE, µq. The equality in (9.129) can also be written as Pa Qa h Qa h, h P L1 pE, µq. It follows that if Qa hpxq hpxq on the subset th 0u, then the measure ³ B ÞÑ B hpxqdµpxq is a Pa -invariant measure. Lemma 9.7. Let the hypotheses and notation be as in Proposition 9.7. Ex rAptqs Suppose that the limit lim exists for µ-almost all x P E. Then tÑ8 Ex rB ptqs Ex rAptqs Eµ rAp1qs lim for µ-almost all x P E. tÑ8 Ex rB ptqs Eµ rB p1qs

Proof. Let h ¥ 0 be a function which is bounded and which is measurable with respect to Ja for all a ¡ 0. Then for f P L1 pE, µq we have by invariance of the function»h » » eaL f pxqhpxq dµpxq

eaL pf hq pxq dµpxq

f pxqhpxq dµpxq. (9.130) Since the equality in (9.130) holds for all a ¡ 0 and all f P L1 pE, µq we

infer that the measure hµ is also an invariant measure. By uniqueness it follows that the function h is a constant µ-almost everywhere. Since for all a ¡ 0 we have equality of the following limits Ex rAptqs Ex rApnaqs (9.131) HA,B pxq : lim nlim tÑ8 Ex rB ptqs Ñ8 Ex rB pnaqs the Chacon-Ornstein theorem implies that the function x ÞÑ HA,B pxq in (9.131) is Ja -measurable for all a ¡ 0: see e.g. [Krengel (1985)], theorems 2.7 and 3.4 in Chapter 3. Since such functions are µ-almost everywhere constant, we infer that the function HA,B is µ-almost everywhere a constant CA,B . So we see Qa Epq rApaqs pxq CA,B Qa Epq rB paqs pxq, for µ-almost all x P E. (9.132) Since the constant function 1 is Ja -measurable the equality in (9.132) yields: »

Ex rApaqs dµpxq

CA,B

»

»

Qa Epq rApaqs pxq dµpxq »

Qa Epq rB paqs pxq dµpxq

CA,B Ex rB paqs pxq dµpxq. (9.133) ³ Ex rApaqs dµpxq Since the quotient ³ does not depend on a ¡ 0 we obtain Ex rB paqs dµpxq ³ Ex rAp1qs dµpxq HA,B CA,B ³ . (9.134) E rB p1qs dµpxq x

The equality in (9.134) completes the proof of Lemma 9.7.

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601

Proposition 9.9. Let the hypotheses and notation be as in Proposition 9.7. Let C be the event in (9.120). Then the event Px rC s 1 for µ-almost all x P E. The equality in (9.121) holds for µ-almost all x P E. Proof. Since we already proved the lemmas 9.5, 9.6 and 9.7 we only need to show that the following limits exist: (1) in order to see that Px rC s

1 for µ-almost all x P E, with C as in Aptq (9.120) it is required that the limit lim exists Pµ -almost surely. tÑ8 B ptq (2) in order that the equality in (9.121) holds we need the existence of the Ex rAptqs limit: lim for µ-almost all x P E. tÑ8 Ex rB ptqs Let the additive process B ptq ¥ 0 be such that 0 Pµ rB paqs 8. Then Ex rB p8qs

8 ¸ 8 ¸

Ex rB ppn

1qaq B pnaqs

n 0

Ex rB paq ϑna s

n 0

enaL Epq rB paqs pxq,

(9.135)

n 0

and hence »

8 ¸

Ex rB p8qs dµpxq

8 » ¸

Ex rB paqs dµpxq 8.

(9.136)

n 0

From the recurrence property of the process X, the hypothesis that all measures of the form B ÞÑ P pt, x, B q are equivalent, and the equality in (9.136) we infer that B p8q 8 Px -almost surely for µ-almost all x P E, and that B p8q 8 Pµ -almost surely: see the proof of Proposition 9.7, and see Theorem 9.8. Since B p8q 8 Px -almost surely for µ-almost all x P E and Pµ -almost surely, in both cases it is easy to see that the existence of these limits is guaranteed as soon as we know the existence ³t of these limits by taking B ptq of the form B ptq 0 1F pX psqq ds where F is a Borel subset with 0 µpF q 8. Let a ¡ 0 and x P E, and ³ put Pa f pxq eaL f pxq Ex rf pX paqqs eaL f pxq f py qP pa, x, dy q, f bounded and Borel measurable. In addition put Ta Z Z ϑ , where Z is a ³a a random variable which is F -measurable. We write Z 1 pX psqq ds and a 0 F ³a fa pxq Ex 0 1F pX psqq ds Ex rZa s. Since the process X is recurrent we know that (see the proof of Proposition 9.7)

8 ¸

n 0

Tan Za

»8 0

1F pX psqq ds 8, Pµ -almost surely, and

(9.137)

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8 ¸

Pan fa pxq Ex

n 0

» 8 0

1F pX psqq ds

8

for µ-almost all x P E. (9.138)

From the Chacon-Ornstein theorem it then follows that the limits in (1) and (2) above exist as long as we take t na, a ¡ 0, and let n P N tend to 8. But then these limits also exist when we let t tend to 8. These observations complete the proof of Proposition 9.9.

9.3

Spectral gap

Next we return to problems and results concerning spectral gaps and related topics. This section is concluded with a proof of Theorem 9.1. We start with an introductory remark. Remark 9.9. Of course, the estimate in (9.8) in Corollary 9.1 gives an interesting lower bound for gappLq only in case λmin paq ¡ 0; we always have λmin paq ¥ 0. Condition (9.5) and the finiteness of a in Theorem 9.1 can be replaced by a Γ2 -condition, without violating the conclusion in (9.6). In fact a condition of the form Γ2 f , f ¥ γΓ1 f , f , f P A, yields a stronger result: see Theorem 9.18 and Example 9.1, Proposition 9.18 and the formulas (9.269) and (9.270). It is also noticed that in the presence of an operator L as described in (9.1), and the corresponding squared gradient operator Γ1 pf, g q pxq

1 ¸ B2 f pxq ai,j pxq 2 i,j 1 Bxi Bxj d

(9.139)

the standard Euclidean distance is not the necessarily the “natural” distance for problems related to the presence of a spectral gap. In fact the more adapted distance dL or dΓ1 is probably given by the following formula: dL px, y q sup |f pxq f py q| : Γ1 f , f

(

¤ 1, f P D pΓ1 q

.

(9.140)

One of the tools used in estimates related to coupling methods is finding the correct metric on Rd Rd which serves as a “prototype” estimate. The reader should compare this observation with comments and techniques used by Chen and Wang in e.g. [Chen and Wang (1997, 2000, 2003)]. In Lemma 9.8 below the standard Euclidean distance is used (like in [Chen and Wang (1997)]). In fact, it could be that it would be more appropriate to use the distance presented in (9.140). As remarked earlier, this technique might lead to geometric considerations related to Γ2 -calculus.

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603

Remark 9.10. As noticed in the preface of this book recent applications of the Γ2 -condition to problems related to transportation costs can be found in recent work by [Gozlan (2008)], which in turn is related to [Gozlan (2007)] and [Gozlan and Léonard (2007)]. Gozlan also introduces socalled local logarithmic Sobolev inequalities. In addition he establishes a link with the large deviation principle; more particularly, he expresses the rate function in » terms of the relative entropy or the mutual information dµ , also called the conditional Shannon informaH µ ν dµ log dν E tion in the discrete setting, between probability measures µ and ν on E. Another name for this quantity is Kullback-Leibler distance; for more properties of this “distance” see e.g. [Kullback (1997)]. For a general theory concerning optimal transport see [Villani (2003, 2009)]. A new variational method of finding the rate function for the large deviation principle is used in [Budhiraja et al. (2008)]. The proof of Theorem 9.1 will be based on coupling arguments. In the present situation we will consider unique week solutions to the following stochastic differential equation in Rd Rd :

X ptq Y ptq

»t

X psq Y psq

»t

σ ps, X psqq dW pρq σ pρ, Y pρqq

b pρ, X pρqq dρ. b pρ, Y pρqq 0 s (9.141) Of course this equation is a natural analog of an equation of the form

»t

X ptq X psq

s

σ pρ, X pρqq dW pρq

»t 0

b pρ, X pρqq dρ.

(9.142)

X psq can be In equation (9.141) we assume that the column vector Y ps q prescribed, and in (9.142) we may prescribe X psq. Let us introduce the r as follows: coupling operator L r s f px, y q L

1 ¸ B2 f px, yq ai,j ps, x, xq 2 i,j 1 BxiBxj d

d

1 ¸ B2 f px, yq ai,j ps, y, xq 2 i,j 1 ByiBxj d

d ¸

i 1

bi ps, xq

Bf px, yq Bxi

d ¸

i 1

1 ¸ B2 f px, yq ai,j ps, x, y q 2 i,j 1 Bxi Byj

1 ¸ B2f px, yq ai,j ps, y, y q 2 i,j 1 B yi B yj

bi ps, y q

d

Bf px, yq . B yi

(9.143)

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Here the matrix aps, x, y q pai,j ps, x, y qqi,j 1 is given by d

ai,j ps, x, y q pσ ps, xqσ ps, y q qi,j

d ¸

σi,k ps, xqσj,k ps, y q.

k 1

r s and the It follows that the diffusion matrix r aps, x, y q of the operator L drift vector rbps, x, y q are given by respectively:

p

r a s, x, y

q

and

p

r b s, x, y

q

σ ps, xqσ ps, xq σ ps, xqσ ps, y q σ ps, y qσ ps, xq σ ps, y qσ ps, y q

σ ps, xq 0 0 σ ps, y q

Id Id Id Id

σ ps, xq 0 , 0 σ ps, y q

(9.144)

bps, xq . bps, y q

(9.145)

Here Id is the d d identity matrix. Notice that

Id Id Id Id

αβ αβ

α α , β β

where the d d matrices α and β are chosen in such a way that αα ββ Id . The stochastic differential equation in (9.141) corresponds to the choice α Id (and β 0). We also assume that the corresponding martingale problem is well-posed. In the present context the corresponding martingale problem reads as follows. For every pair px,y q P Rd Rd , and s ¥ 0, find a probability measure Ps,x,y on Cb Rd Rd which makes the process f pt, X ptq, Y ptqq f ps, X psq, Y psqq

»t s

r pρ, X pρq, Y pρqq dρ Lf

(9.146)

a Ps,x,y -martingale with respect to the filtration determined by Brownian motion tW psq : s ¥ 0u. Moreover, we want the probability measure Ps,x,y to be such that Ps,x,y rX psq x, Y psq y s 1. For more details on the martingale problem the reader is referred to e.g. Theorems 2.11 and 2.12. Saying that the martingale problem is well posed for the operator is equivalent to saying that the stochastic differential equation in (9.141) has unique weak solutions. If the coefficients σ ps, xq and bps, xq are such that the equation in (9.141) has unique strong solutions, then it possesses unique weak r For more solutions, and hence the martingale problem is well-posed for L.

X ptq details the reader is referred to §1.1 in Chapter 10. Let the pair Y ptq

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605

be a unique weak solution solution tothe coupled differential

stochastic

X ps q x d y in R Rd . Then equation (9.141) starting at time s in Y psq we define the stopping time τ by

inf tt ¡ 0 : X ptq Y ptqu , if there exists t P p0, 8q such that X ptq Y ptq. If no such finite t exists, then we write τ 8. The following theorem can be found in [Chen and τ

Wang (1997)] as Theorem 3.1. Their proof uses an approximation argument. As Chen and Wang indicate, it is also a consequence of theorems 6.1.3, 8.1.3 (and 10.1.1) in [Stroock and Varadhan (2006)]. The reader should compare the result in Theorem 9.12 with Theorem 1.3. Theorem 9.12. Suppose that the martingale is well posed for the operator L, or what is equivalent, suppose that the pair pσ ps, xq, bps, xqq possesses unique weak solutions. Let Ps,x,y be the unique solution to the martingale problem staring at the pair px, y q. Then X ptq Y ptq Ps,x,y -almost surely on the event tτ ¤ tu. The proof Theorem 9.12 will be given after Remark 9.11 below. The following definition is taken from [Stroock and Varadhan (2006)] Chapter 8. The connection with the well-posedness of the martingale problem will be explained in §1.1 in Chapter 10. In particular we have that the martingale problem is well-posed for the operator L if the pair pσpt, yq, bpt, yqq, t ¥ 0, y P Rd, satisfies Itô’s uniqueness condition from any point ps, xq P r0, 8q Ed . In fact this is the theorem of Watanabe and Yamada [Watanabe and Yamada (1971)]. Definition 9.10. Let ps, xq P r0, 8q Rd . The pair pσ pt, y q, bpt, y qq, t ¥ s, y P Rd , is said to possess at most one weak solution from ps, xq, if and only if for every probability space pΩ, F , Pq, every non-decreasing family tFt : t ¥ 0u of sub-σ-fields of F , and every triple β : r0, 8q Ω Ñ Rd , ξ : r0, 8q Ω Ñ Rd , and η : r0, 8q Ω Ñ Rd such that pΩ, Ft , P; β ptqq is a d-dimensional Brownian motion, and the equations ξ ptq x and η ptq x

» s_t s

» s_t s

σ pρ, ξ pρqq dβ pρq

σ pρ, η pρqq dβ pρq

» s_t s

» s_t s

b pρ, ξ pρqq dρ, t ¥ 0,

b pρ, η pρqq dρ, t ¥ 0,

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hold P-almost surely, then ξ ptq η ptq P-almost surely. Instead of possessing a “unique weak solution from ps, xq”, it is also customary to say that for the o’s uniqueness condition is satisfied from ps, xq pair pσ ps, xq, bps, xqq the Itˆ or after s starting from x. The following definition specializes Theorem 2.11 and 2.12 to the case of the differential operator L pLptq; t ¥ 0u as exhibited in (9.1). Definition 9.11. Let the operator L be given by (9.1), and let Ω Rd

r0,8q

, and X ptqpω q X pt, ω q ω ptq, ω

P Ω, t ¥ 0. Put Fts σ pX pρq : s ¤ ρ ¤ tq, 0 ¤ s ¤ t 8, and F σ pX psq : s ¥ 0q. The martingale problem is said to be well-posed for the operator L starting from ps, xq P r0, 8q Rd if there exists a unique probability measure P on P with the following properties: (a) P rX ptq x : 0 ¤ t ¤ ss 1. (b) For every f P s¡0 D pLpsqq C0 Rd the process t ÞÑ f pX ptqq f pX psqq

»t s

Lpsqf pX psqq ds

is a P martingale with respect to the filtration pFts qt¥s .

Let pΩ, Fts , Pqt¥s be a filtered probability space, and let pt, ω q ÞÑ X pt, ω q be a progressively measurable process. There are several equivalent formulations for the process X possessing properties (a) and (b) on some probability space. The reader is referred to e.g. Theorem 4.2.1 in [Stroock and Varadhan (2006)]. We begin by defining a progressively measurable process. Definition 9.12. Let pΩ, Fts qt¥s be a filtered space, and let pE, E q be a measurable space. Let X : rs, 8q Ω Ñ E be a processes (or just a function). The process X is called progressively measurable if for every t1 , t2 , with s ¤ t1 t2 8, the function X : rt1 , t2 s Ω Ñ E is Brt1 ,t2 s Ft2 E-measurable. The symbol Brt1 ,t2 s stand for the Borel field of the interval rt1 , t2 s. If E is a topological space with Borel field E, and if X is rightcontinuous, then X is progressively measurable relative to the filtration Ω, Fts t¥s . Here Fts ρ¡t Fρs . Definition 9.13. Let pΩ, Fts , Pqt¥s be a filtered probability space and let the progressively measurable process X ptq have the properties in (a) and (b) of Definition 9.11 relative to the present filtered probability space. Then

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607

X ptq is called an Itˆ o process on pΩ, Fts , Pqt¥s with covariance matrix apt, xq and drift vector bpt, xq, pt, xq P r0, 8q Rd . In fact the same definition can be used if the coefficients aptq and bptq are processes which are progressively measurable. The following theorem says that an Itô process after a stopping time is again an Itˆ o process. It is the same as Theorem 6.1.3 in [Stroock and Varadhan (2006)]: Sd stands for the symmetric d d matrices with real entries. Theorem 9.13. Let pΩ, Fts , Pq be a filtered probability space, and let a : rs, 8q Ω Ñ Sd , and brs, 8q Ñ Rd be bounded progressively measurable functions. Moreover, let X : rs, 8q Ω Ñ Rd be an Itˆ o process with covariance a and drift b, and let τ : Ω Ñ rs, 8q be an pFts qt¥s -stopping time. Suppose that the process t ÞÑ X ptq is right-continuous and P-almost surely continuous. Let ω ÞÑ Qω be regular conditional probability distribution corresponding to the conditional probability: A ÞÑ P A Fτs . Then there exists a P-null N set such that t ÞÑ X ptq is an Itˆ o process on rτ pω q, 8q relative to Qω , ω R N . For a proof of Theorem 9.13 we refer the reader to [Stroock and Varadhan (2006)]. The function pω, Aq ÞÑ Qω pAq, ω P Ω, A P F s σ pX pρq : ρ ¥ sq, possesses the following properties: (a) For every B P F s the function ω ÞÑ Qω rB s is Fτs -measurable; (b) For every A P Fτs and B P F s the following equality holds: £

P A

B

»

A

Qω rB s dPpω q;

(9.147)

(c) There exists a P-negligible event N such that Qω rApω qs 1 for all for ω R N.

In item (c) we write Apω q tA : A Q ω, A P Fτs u, ω P Ω. Property (c) expresses the regularity of the conditional probability Qω . Property (b) is a quantitative property pertaining to the definition of conditional expectation, and (a) is a qualitative property defining conditional expectation. The following theorem appears as Theorem 8.1.3 in [Stroock and Varadhan (2006)]. Theorem 9.14. Let a and b be bounded Borel measurable functions with attain values in Sd and Rd respectively. Define the matrix functions r a and r b as in (9.144) and (9.145). Then the coefficients σ and b satisfy Itˆ o’s

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608

uniqueness conditions starting from ps, y q if and only if any solution Pr r from ps, y, y q has the to the martingale problem relative to the operator L r property that P rX ptq Y ptq, t ¥ ss 1. Here, the processes X ptq and Y ptq attain their values in Rd and are such that for all f P C02 Rd Rd the process t ÞÑ f pX ptq, Y ptqq f pX psq, Y psqq

»t s

Lpρqf pX pρq, Y pρqq dρ, t ¥ s,

is a Pr-martingale after s relative to filtration determined by the σ-fields Fts σ ppxpρq, X pρqq : ρ P rs, tsq. Remark 9.11. In both theorems 9.13 and 9.14 the bounded progressively measurable processes t ÞÑ aptq and t ÞÑ bptq may be replaced with locally bounded Borel measurable functions from r0, 8q Rd to Sd and Rd respectively. Of course the processes aptq and bptq have to read as a pt, X ptqq and b pt, X ptqq respectively. This is a consequence of Theorem 10.1.1 in [Stroock and Varadhan (2006)]. Proof. [Proof of Theorem 9.12.] The result in Theorem 9.12 is a consequence of Theorem 9.13 in conjunction with Theorem 9.14. In fact Theorem 9.13 reduces the stopping time τ to a fixed time of the form τ pω q, where ω P Ω is fixed. Since at time τ pω q, X pτ pω qq Y pτ pω qq Theorem 9.14 shows that the coupling is successful (i.e. X ptqpω q Y ptqpτ q Qω -almost surely for Ps,x,y -almost all ω) in case the pair pσ pt, xq, bpt, xqq consists of bounded functions and admits unique weak solutions. It then follows that X ptq Y ptq Ps,x,y -almost surely on the event tτ ¤ tu. In formulas the arguments read as follows. From Theorem 9.13 we have

P X ptq Y ptq Fτs 1tτ ¤t, X psqx, Y psqyu

Pτ,X pτ q,Y pτ q rX ptq Y ptqs 1tτ ¤t, X psqx, Y psqyu .

(9.148)

From Theorem 9.14 and (9.148) we get Ps,x,y rX ptq Y ptq, τ

¤ ts P rX ptq Y ptq, X psq x, Y psq y, τ ¤ ts E P X ptq Y ptq Fτs , X psq x, Y psq y, τ ¤ t E Pτ,X pτ q,Y pτ q rX ptq Y ptqs , X psq x, Y psq y, τ ¤ t E r1, X psq x, Y psq y, τ ¤ ts P rX psq x, Y psq y, τ ¤ ts Ps,x,y rτ ¤ ts . (9.149)

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From (9.149) we infer that X ptq

tτ ¤ tu.

609

Y ptq Ps,x,y -almost surely on the event

Remark 9.11 takes care of locally bounded coefficients. This finishes the proof of Theorem 9.12. In the following lemma we suppose that the operator L is timeindependent.

X pt q Lemma 9.8. Let the process Y ptq cess. If there exists γ P R such that

Ex,y |X ptq Y ptq|

be a coupling of the L-diffusion pro-

2

¤ |x y|2 eγt

(9.150)

for all t ¥ 0 and all px, y q P Rd Rd , then for all functions f continuous.

PC

tL 2 ∇e f 1 d

R

¤ eγt etL |∇f |2 ,

(9.151)

with a bounded gradient which is uniformly

Proof. Let τ be the coupling time of the processes X ptq and Y ptq solving the coupled stochastic differential equation (9.141), and let f P Cb Rd have a uniformly bounded gradient ∇f . Then by inequality (9.150) we have etL f x

p q etL f pyq2 E f pX ptqq f pY ptqq |X ptq Y ptq| , τ ¡ t2 x,y |X ptq Y ptq| |x y| |x y|2 2 2 ¤ Ex,y |f pX ptqq f pY pt2qq| , τ ¡ t Ex,y |X ptq Y 2ptq| , τ ¡ t |X ptq Y ptq| |x y| 2 ¤ eγtEx,y |f pX ptqq f pY pt2qq| , τ ¡ t |X ptq Y ptq| » 2 1 X ptq Y ptq γt e Ex,y ∇f pp1 sqY ptq sX ptqq , |X ptq Y ptq| ds , τ ¡ t 0 ¤ eγtEx,y

» 1

|∇f pp1 sqY ptq sX ptqq| ds, τ ¡ t . (9.152) Next fix ε ¡ 0, and choose δ ¡ 0 in such a way that |y z | ¤ δ implies |∇f pyq|2 ¤ |∇f pz q|2 ε2 . Then from (9.152) we obtain: etL f pxq etL f py q2 |x y|2 0

2

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610

¤ eγtEx,y

» 1 0

eγt Ex,y

|∇f pp1 sqY ptq

» 1

0

sX ptqq| ds, |Y ptq X ptq| ¤ δ

|∇f pp1 sqY ptq

2

sX ptqq| ds, |Y ptq X ptq| ¡ δ

2

¤ eγtEx,y |∇f pX ptqq|2 , |Y ptq X ptq| ¤ δ 2 eγt }∇f }8 Px,y r|Y ptq X ptq| ¡ δ s eγt ε2 ¤ eγtEx,y |∇f pX ptqq|2 , |Y ptq X ptq| ¤ δ eγt

1 2 2 } ∇f } E | Y p t q X p t q| x,y 8 δ2

eγt ε2

(use (9.150))

¤ eγtEx,y |∇f pX ptqq|2

e2γt

eγt ε2 .

1 }∇f }28 |y x|2 δ2 In (9.153) we let y tend to x to obtain: tL 2 ∇e f x

(9.153)

p q ¤ eγtEx,x |∇f pX ptqq|2 e2γtε2 . (9.154) Since Ex,x rg pX ptqqs etL g pxq, g P Cb Rd , and ε ¡ 0 is arbitrary the conclusion in Lemma 9.8 follows from (9.154).

We conclude this section with a proof of Theorem 9.1. Proof. [Proof of Theorem 9.1.] Put hpx, y q |x y | . From the reprer which now does not depend on t, we sentation in (9.143) of the operator L, see that 2

r px, y q Tr pσ pxq σ py qq pσ pxq σ py qq Lh

2 hbpxq bpy q, x yi . (9.155)

From Itˆ o’s formula and (9.141) we get

|X ptq Y ptq|2 |X p0q Y p0q|2 d »t ¸

k,ℓ 1 0

2

d »t ¸

k 1 0

pXk psq Yk psqq pσk,ℓ pX psqq σk,ℓ pY psqqq dWk psq pXk psq Yk psqq pbk pX psqq bk pY psqqq ds

d ¸ d »t ¸

i 1k 1 0

pσi,k pX psqq σi,k pY psqqq pσi,k pX psqq σj,k pY psqqq ds

|X p0q Y p0q|2

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Coupling and Sobolev inequalities d »t ¸

k,ℓ 1 0

2

611

pXk psq Yk psqq pσk,ℓ pX psqq σk,ℓ pY psqqq dWk psq

d »t ¸

k 1 0 »t

hX psq Y psq, b pX psqq b pY psqqi ds

pσ pX psqq σ pY psqqq pσ pX psqq σ pY psqqq ds. (9.156) 0 Put ϕptq Ex,y |X ptq Y ptq|2 . Then (9.156) and the definition of γ in (9.5) we see that ϕ1 ptq ¤ γϕptq. It follows that ϕptq ¤ ϕp0qeγt . From Tr

Lemma 9.8, in particular from (9.151) we see that tL 2 ∇e f d

¤ eγt etL |∇f |2 ,

(9.157) for all functions f P C R with bounded uniformly continuous gradient. b Let f P Cb Rd be such a function. Then from (9.157) we infer e

tL

|f | f 2

tL 2 e f

»t

B esL eptsqL f 2 ds 0 Bs »t D E BBs esL a∇eptsqL f , ∇eptsqL f ds 0 »t D E ¤ a BBs esL ∇eptsqL f, ∇eptsqLf ds 0 »t 2 a BBs esL ∇eptsqL f, ∇ ds 0 »t ¤ a eptsqγ esLeptsqL |∇f |2 ds 0 1 eγt tL 2 a e |∇f | .

γ The inequality in (9.159) completes the proof of Theorem 9.1.

9.4

(9.158)

(9.159)

Some related stability results

Let L be the generator of a Tβ -diffusion which, by definition, is a timehomogeneous Markov process ( Ω, Ft0 , Px , pX ptq, t ¥ 0q , pϑt , t ¥ 0q , pE, E q . Let Γ1 be the corresponding squared gradient operator. With f P DpLq we associate the martingale t ÞÑ Mf ptq defined by Mf ptq f pX ptqq f pX p0qq

»t 0

Lf pX psqq ds.

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612

For more details on the squared gradient operators see e.g. [Bakry (1994)] and [Bakry (2006)]. Then for f , g P DpLq we have hMf , Mg i ptq (

»t 0

Γ1 pf, g q pX psqq ds.

(9.160)

Denote by etL : t ¥ 0 the semigroup generated by L. Theorem 9.15. Let f t ¥ 0 and x P E: f pX pρ

L2 . Then the following identities hold for ρ,

tqq EX pρq rf pX ptqqs

M f pρ

»ρ

tq Mf pρq

M f pρ and

PD

tq Mf pρq

Mepρ tσqL Lf pσ q Mepρ tσqL Lf pρq dσ

ρ

»t

(9.161) (

t

MeptσqL Lf pρ

0

(

σ q MeptσqL Lf pρq dσ,

2

Ex f pX pρ


Ex |f pX pρ tqq|2 |Ex rf pX pρ tqqs|2 epρ tqL |f |2 pxq eρL etL f pxq2 » t p tσqL p t σ q L Ex Γ1 e f, e f pX pρ σ qq dσ

»t

0

epρ

q Γ1 eptσqL f , eptσqL f

σ L

0

pxq dσ.

Remark 9.12. In (9.161) we need the fact that f hypotheses f P DpLq suffices.

(9.162)

PD

L2 . In (9.162) the

First we prove the equality in (9.161). Therefore we write:

Proof. M f pρ

tq Mf pρq

Mf pρ »ρ ρ

t q M f pρ q

t

»σ

Mf pρ

»ρ

ρ

"

e pρ

t

ρ

(

Mepρ tσqL Lf pσ q Mepρ tσqL Lf pρq dσ

q Lf pX pσqq epρ tσqL Lf pX pρqq

t σ L

*

epρ tσqL L2 f pX pσ1 qq dσ1 dσ t q M f pρ q

»ρ ρ

t

epρ

q Lf pX pσqq dσ

t σ L

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»ρ

t

ρ »ρ t

epρ

t σ L

»ρ

t

ρ

»ρ

q Lf pX pρqq dσ e pρ

q L2f pX pσ1 qq dσ dσ1

t σ L

σ1

Mf pρ

t q M f pρ q t

ρ »ρ t

B pρ Bσ e

»ρ

613

»ρ

t

epρ

q Lf pX pσqq dσ

t σ L

ρ

q f pX pρqq dσ

t σ L

B epρ tσqL Lf pX pσ qq dσ dσ 1 1 B σ σ »ρ t t q M f pρ q epρ tσqL Lf pX pσ qq dσ

ρ

t

1

Mf pρ

ρ

f pX pρqq e f pX pρqq tL

»ρ

t

Lf pX pσ1 qq epρ

ρ

f pX pρ »ρ

t

ρ »ρ t

tq f pX pρqq epρ

»ρ

f pX pρ

ρ

Lf pX psqq ds

q Lf pX pσqq dσ

Lf pX pσ1 qq epρ

ρ

t

f pX pρqq EX pρq rf pX ptqqs

t σ L

q Lf pX pσ1 qq dσ1

t σ1 L

q Lf pX pσ1 qq dσ1

t σ1 L

tqq EX pρq rf pX ptqqs .

(9.163)

The equality in (9.161) is the same as the one in (9.163). The proof of (9.162) is much more difficult. We will employ the equalities in (9.160) and (9.161) to obtain it. From (9.161) we get f X ρ t Mf ρ t

p p

qq EX pρq rf pX ptqqs2 »t

p |Mf pρ

(

2

q Mf pρq Mep q Lf pρ σ q Mep q Lf pρq dσ 0 2 tq Mf pρq|

»t ( 2ℜ Mf pρ tq Mf pρq Mep q Lf pρ σ q Mep q Lf pρq dσ t

σ L

t

» t MeptσqL Lf ρ 0

p

t

σ L

σ L

t

0

σ q MeptσqL Lf pρq

(

2 dσ .

σ L

(9.164)

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For brevity we write △ρ Mg pσ q Mg pρ

σ q Mg pρq,

P DpLq. (9.165) Next we use the fact that processes of the form σ ÞÑ △ρ Mg pσ(q, g P DpLq, are Px -martingales with respect to the filtration Fρρ σ : σ ¡ 0 . From this g

together with (9.160) and (9.164) we obtain, using the notation in (9.165):

2

Ex f pX pρ


Ex |△ρ Mf ptq|2 » t » t

Ex 0

0

0

0

0

(

△ρ Mf ptq △ρ MeptσqL Lf pσ q dσ (

Ex |△ρ Mf ptq| Ex

2ℜEx

△ρ Meptρ1 qL Lf pρ1 q △ρ Meptρ2 qL Lf pρ2 q dρ1 dρ2 2

» t » t

» t

» t

2ℜ Ex 0

△ρ Mf pσ q△ρ MeptσqL Lf pσ q dσ

△ρ Meptρ1 qL Lf pρ1 ^ ρ2 q△ρ Meptρ2 qL Lf pρ1 ^ ρ2 q dρ1 dρ2

(employ (9.160) several times)

Ex

» t

Γ1 f , f 0

pX pρ

» t » σ

Γ1 f , eptσqL Lf

2ℜ Ex 0

Ex

0

Ex

0

» t » t » ρ1 ^ρ2 » t

σ qq dσ

Γ1 f , f 0

pX pρ

» t » t » t 0

σ

σ1 qq dσ1 dσ

σ qq dσ

Γ1 f , eptσqL Lf

σ1

pX pρ

σ qq dσ dρ1 dρ2

pX pρ

Γ1 eptρ1 qL Lf , eptρ2 qL Lf

σ

σ1 qq dσ dσ1

pX pρ

σ qq dρ1 dρ2 dσ

(the operator Γ1 is bilinear)

Ex

» t

Γ1 f , f 0

» t

2ℜ Ex

pX pρ

σ qq dσ

»t

Γ1 f , 0

σ1

2ℜ Ex Ex

p X pρ

» t » t 0

Γ1 eptρ1 qL Lf , eptρ2 qL Lf

0 0

eptσqL Lf dσ

pX pρ

σ1 qq dσ1

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»

»

t

» t 0

» t

2ℜ Ex » t

Ex 0

0

eptρ2 qL Lf dρ2

σ

Γ1 f , f

» t

»t

σ

0

Ex

eptρ1 qL Lf dρ1 ,

Γ1

Ex

Ex

t

615

pX pρ

σ qq dσ

Γ1 f , eptσ1 qL f f

pX pρ

Γ1 eptσqL f f , eptσqL f f

0

σ qq dσ

Γ1 eptσqL f , eptσqL f

pX pρ

pX pρ

σ1 qq dσ1

pX pρ

σ qq dσ

σ qq dσ .

(9.166)

The equality in (9.166) yields (9.162) for f P D L2 . Since D L2 is Tβ -dense in DpLq we infer (9.162) for f P DpLq. An easier proof of equality (9.162) reads as follows. We calculate:

B "epρ σqL eptσqL f 2 * Bσ 2 epρ σqL L eptσqL f ! ) epρ σqL LeptσqL f eptσqL f eptσqL f LeptσqL f epρ σqL Γ1 eptσqL f , eptσqL f .

(9.167)

In (9.167) we used the identity L fg

Lf g

The equality in (9.168) is true for f , g (9.167) we obtain: »t 0

(9.168)

P DpLq such that f g P DpLq. From

epρ σqL Γ1 eptσqL f , eptσqL f dσ

epρ tqL |f |2 eρL etLf 2 .

Γ1 f , g .

f Lg

»t 0

B "epρ Bσ

*

q eptσqL f 2 dσ

σ L

(9.169)

The equality in (9.169) implies (9.162), and completes the proof of Theorem 9.12. Remark 9.13. Suppose that there exist constants c that Γ1 eρL f , eρL f

¤ ceγρeρLΓ1

¡ 0 and γ P R such

f, f .

(9.170)

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616

From (9.169) and (9.170) with ρ 0 we obtain:

etL |f |

etLf 2

2

¤

»t 0 »t

eρL Γ1 eptρqL f , eptρqL f

dρ

!

eρL ceptρqγ eptρqL Γ1 f , f

0

γc 1 etγ

)

dρ

etL Γ1 f , f .

(9.171)

The inequality in (9.171) is the same as inequality (4.14) in Theorem 4.13 in [Chen and Wang (1997)]. If µ is an invariant probability for the operator L, then (9.171) implies »

lim

Ñ8

t

etL f

»

|f |

2

etLf pxq2 pxqdµpxq

dµ lim

»

Ñ8

t

tL 2 e f dµ

¤

c γ

»

Γ1 f , f dµ,

(9.172)

provided γ ¡ 0. From (9.172) it follows that the L2 -spectral gap of L is bounded from below by γ {c. The inequality in (9.172) can be considered as a spectral gap or Poincaré inequality: compare with Definition 9.15 below. The following definition is to be compared with the Definitions 8.4 and 8.5. This definition is also closely related to Fang’s spectral gap theorem in [Fang (1993)]: see Theorem 5.4 in [Driver (1995; Last revised: January 29, 2003)] as well. The latter reference also contains some results on the relationship between Fang’s spectral gap theorem and the logarithmic Sobolev inequality: see Section 5.4 in [Driver (1995)]. Definition 9.14. Let µ be the unique invariant measure of the generator of a diffusion L with associated squared gradient operator Γ1 . Then the L2 pµq-spectral gap of the operator L is defined by the equality 2gap pLq inf

"»

Γ1 f , f dµ : f

»

P D pL q,

f dµ 0,

»

|f |2 dµ 1

*

.

(9.173) Proposition 9.10. Let the measure µ and gappLq ¡ 0 be as in Definition 9.14. Then γ P p0, 8q satisfies γ ¤ 2 gappLq if and only if the following inequality holds for all t ¡ 0 and for all f P Cb pE q: »

tL 2 e f dµ

» 2 etL f dµ

¤ etγ

»

|f |

2

dµ

» 2 f dµ .

(9.174)

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¡ 0 and f P Cb pE q if and if the

The inequality in (9.174) holds for all t inequality »

holds for all f

Γ1 f , f dµ ¥ γ

»

617

|f |

2

dµ

2 » f dµ

(9.175)

P DpLq.

Definition 9.15. An inequality of the form (9.175) is called a Poincaré or a spectral gap inequality of L2 pE, µq-type. ³

³

Notice that by invariance of the measure µ we have etL f dµ f dµ, ³ and Lf dµ 0, f P DpLq. Also notice that, since µ is a probability ³ ³ measure, the decomposition f f f dµ f dµ splits the function f ³ in two orthogonal functions (one of them being the constant f dµ) in the space L2 pE, µq. Hence we have »

|f α|

2

inf

P

α C

dµ

» f ¼

12

»

2 f dµ dµ

»

|f |

2

dµ

2 » f dµ

|f pxq f pyq|2 dµpxq dµpyq.

(9.176)

Remark 9.14. If the probability measure µ is invariant under the semigroup generated by L, then »

Γ1 f , g dµ

»

»

L f g dµ

Lf g dµ

»

»

Lf g dµ

f pLg q dµ

»

pL

»

f pLg q dµ

L q f g dµ

(9.177)

where L is the adjoint of the operator L in the space L2 pE, µq. From (9.177) we infer 2gappLq inf

"»

Γ1 f , f dµ : "

inf

»

»

f dµ 0,

pL L q f f dµ :

»

»

|f |

2

dµ 1

f dµ 0,

»

*

|f |

2

*

dµ 1 ,

and hence the number 2gappLq is the bottom of the spectrum of the op( ³ erator pL L q in the space f f dµ : f P L2 pE, µq which is the orthogonal complement of the subspace consisting of the constant functions in L2 pE, µq. In particular, if L L , then gappLq is the gap in the spectrum of L between 0 and rgappLq, 8q σµ pLq. Here σµ pLq denotes the spectrum of L as an operator in the space L2 pE, µq. In fact it would have been better to write gap pL L q instead of 2gappLq. Of course 0 is an eigenvalue of L and the constant functions are the corresponding eigenvectors.

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618

Proof. [Proof of Proposition 9.10.] If γ ¡ 0 is such that (9.174) is satis³ 2 ³ 2 fied for all t ¡ 0 and for all f P Cb pE q. Then we subtract |f | dµ f dµ from both sides of (9.174) and divide by t ¡ 0 to obtain: 1 t

»

tL 2 e f dµ

»

|f |

2

dµ

¤

Lf f

f Lf dµ ¤ γ

»

L |f |

2

Γ1

f, f

³

|f |

2

or what amounts to the same: »

»

|f |

2

dµ

2 » f dµ .

(9.178)

In (9.178) we let t Ó 0 to obtain: »

eγt 1 t

dµ ¤ γ

»

dµ

» 2 f dµ ,

|f |

2

dµ

(9.179)

» 2 f dµ .

(9.180)

Since by invariance L |f | dµ 0 from (9.180) we infer (9.175) and hence γ ¤ gappLq. For the converse statement we consider, for f P DpLq and γ ¡ 0 such that γ ¤ gappLq, the function ϕptq

» tL e f

2

»

2

etL f dµ dµ

» »

tL 2 e f dµ tL 2 e f dµ

»

2

etL f dµ

2 » f dµ .

(9.181)

Then from (9.175) we infer ϕ1 ptq

»

L etL f etL f »

2 L etL f dµ

»

¤ γ

Γ1 etL f , etL f »

tL 2 e f dµ

etL f LetL f dµ »

Γ1 etL f , etL f

dµ

dµ » 2 tL e f dµ

γϕptq,

(9.182)

and hence ϕptq ¤ eγt ϕp0q, which is the same as (9.174). Since, it is easy to see that γ ¤ gap pLq if and only if inequality (9.175) holds for all f P DpLq, this proves Proposition 9.10.

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619

Definition 9.16. Let µ be an invariant probability measure and let f ¥ 0 be a Borel measurable function which is not µ-almost everywhere zero. Then the entropy of f with respect to µ is defined by Entpf q

»

f log f dµ

»

»

f dµ log

f dµ

»

f log ³

f dµ. f dµ

(9.183)

Definition 9.17. Let µ be an probability measure. A logarithmic Sobolev inequality takes the form

Ent

»

|f |2 ¤ A |f |2 dµ

1 λ

»

Γ1 f , f dµ

(9.184)

for all f in a large enough subalgebra A of Cb pE q. Here A ¥ 0 and λ ¡ 0 are constants. If the constant A can be chosen to be A 0, then (9.184) is called a tight logarithmic Sobolev inequality.

Here Ent |f | is defined in Definition 9.16. The following proposition gives a relationship between tight logarithmic Sobolev inequalities and the Poincaré inequality: see Definition 9.15 and inequality (9.175). 2

Proposition 9.11. Suppose that L satisfies a logarithmic Sobolev inequality with constants A and λ ¡ 0, and suppose that L satisfies a Poincaré inequality with a constant γ ¡ 0. Then L satisfies a tight logarithmic Sobolev inequality. In the proof we use an inequality which we owe to Rothaus. It is given in Proposition 9.19 below as inequality (9.274). ³

Proof. Let f P A and put fp f f dµ. A combination of inequality (9.274) and Poincaré’s inequality yields:

Ent

|f | ¤ 2

» 2 2 p 2 f dµ Ent fp » » 1 2 2 A fp dµ Γ1 f , f dµ

¤p

q

λ

(invoke Poincaré’s inequality with constant γ

¤

2

A γ

1 λ

¡ 0)

» p2 f dµ.

(9.185)

The inequality in (9.185) is a tight logarithmic Sobolev inequality. This proves Proposition 9.11.

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Definition 9.18. Let µ be an probability measure. A Sobolev inequality of order p ¡ 2 has the form »

|f |p dµ

2{p

»

¤ A |f |2 dµ

»

1 λ

Γ1 f , f dµ

(9.186)

for all f in a large enough subalgebra A of Cb pE q. Here, as in Definition 9.17, A ¥ 0 and λ ¡ 0 are constants. In the following proposition we see that a tight logarithmic Sobolev inequality implies the Poincaré inequality. Proposition 9.12. Suppose that in (9.184) the constant A 0. Then the inequality in (9.175) is satisfied with γ 2λ, and hence λ ¤ gappLq.

1

Proof. Insert f by ε2 , to obtain 0¥λ

»

» λ p1

(log p1

εg q2

p1

ε2

εg q2

ε2

log ³ log

λ

p1 ε 2

2λ

»

εg q2 ε

p1 p1

2g

εg

2

g dµ

ε

g dµ

g dµ

From (9.187) we infer g dµ

ε 2g 2

2

2

»

2

»

2

2λ

ε2 g 2 ³ dµ ε2 g 2 dµ

2 +

»

»

Γ1 pg, g q dµ »

Γ1 pg, g q dµ

#

g dµ

»

O x3 for x Ñ 0)

»

2

εg q2 dµ εg q2 dµ 1 2εg ³ 2ε gdµ

1

xq x 12 x2 »

¡ 0, g P Cb pE, Rq, into (9.184), and divide

εg, ε

»

εg

dµ

2 2

»

2

g dµ

¤

»

g dµ ε

Γ1 pg, g q dµ

Γ1 pg, g q dµ

2

»

»

g 2 dµ

O pεq

O pε q.

(9.187)

Γ1 pg, g q dµ.

(9.188)

From (9.188) and the bi-linearity of Γ1 it follows that »

2λ

|g|

2

dµ

» 2 g dµ

¤

»

Γ1 pg, g q dµ,

for g P DpLq which take complex values. By employing Proposition 9.10 this proves Proposition 9.12.

(9.189)

October 7, 2010

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A combination of the propositions 9.11 and 9.12 yields the following corollary. Corollary 9.6. Suppose that the operator L satisfies a logarithmic Sobolev inequality. Then L satisfies a tight logarithmic Sobolev inequality if and only if it satisfies a Poincaré inequality. In the following proposition we see that a Sobolev inequality combined with a Poincaré inequality yields a Sobolev inequality with a constant A 1. In the proof we employ inequality (9.273) in Proposition 9.19 below. Proposition 9.13. Suppose that the operator L (or in fact the corresponding squared gradient operator Γ1 ) satisfies a Sobolev inequality of order p ¡ 2 with constants A and λ: see inequality (9.186) in Definition 9.18. In addition suppose that L satisfies a Poincaré inequality of the form (9.175) with constant γ ¡ 0. Then L satisfies a Sobolev inequality of order p ¡ 2 1 A 1 with constants A 1 and λ0 satisfying pp 1 q γ λ . λ0 Proof. Let f P A. An appeal to inequality (9.273) in Proposition 9.19 yields the following inequalities: »

|f |

p

2{p

dµ

¤ ¤

» 2 f dµ » 2 f dµ »

p1 λ

¤

» 2 f dµ

» f p 1 » p 1 A f »

p q

p q

f dµ, f

Γ1 f

pp 1 q

A γ

1 λ

p 2{p f dµ dµ 2 » f dµ dµ

»

»

f dµ dµ

»

Γ1 f , f dµ.

(9.190)

The claim in Proposition 9.13 follows from (9.190).

The following theorem says that the entropy defined in terms of an invariant probability measure has exponential decay for t Ñ 8 provided that L satisfies a tight logarithmic Sobolev inequality. Theorem 9.16. Let λ ¡ 0. The following assertions are equivalent. (i) For all functions f

P A the following inequality holds: » λEnt |f |2 ¤ Γ1 f , f dµ.

(9.191)

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622

P A the following inequality holds: Ent etL |f |2 ¤ e2λt Ent |f |2 .

(ii) For all functions f

(9.192)

The proof is based on the equalities (see (9.196) below): d Ent dt

Proof.

» Γ etL f 1 1

| |2 , etL |f |2 2 etL |f | dµ 2 2 etL |f | » 1{2 1{2

2 2 tL tL 2 Γ1 e |f | , e |f | dµ.

P A. We calculate 2 etL |f | 2 tL e |f | log ³ dµ 2 etL |f | dµ

[Proof of Theorem 9.16.] Let f

d 2 Ent etL |f | dt

dtd

»

(µ is L-invariant)

dtd

»

»

LetL |f |

2

»

etL |f |2 log etL |f |2 dµ

LetL |f |

2

log etL |f |

2

log etL |f |

2

»

LetL |f | dµ 2

dµ

(9.193)

dµ.

Put h etL |f | . We will rewrite the expression in (9.193 as follows. First we notice the equality: 2

pLf1q f2 L pf1 f2 q f1 Lf2 Γ1 pf1 , f2q

(9.194)

for appropriately chosen f1 and f2 . Hence, by L-invariance of µ we have »

pLf1 q f2 dµ

»

f1 Lf2 dµ

»

Γ1 pf1 , f2 q dµ.

(9.195)

From (9.193) and (9.195) with f1 etL |f |2 h, and f2 log etL |f |2 log h we get, by using transformation properties of the squared gradient operator Γ1 , d Ent etL |f |2 dt

» »

hL log h dµ

»

»

Γ1 ph, log hq dµ

»

Lh 1 Γ1 ph, hq Γ1 ph, hq dµ h dµ dµ h 2 h2 h » » 12 Γ1 phh, hq dµ 2 Γ1 h1{2 , h1{2 dµ

h

October 7, 2010

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MarkovProcesses


2

»

Γ1

e

tL

|f |

2

1{2

, e

tL

623

|f |

2

1{2

dµ.

(9.196)

If assertion (i) is true, then (9.196) implies: d Ent etL |f |2 ¤ 2λEnt etL |f |2 , dt

and consequently Ent etL |f | ¤ e2λt Ent Conversely, if (ii) holds true, then we have

Ent etL |f |

2

2

Ent |f |2

t

¤e

|f |2

2λt 1 t

which is assertion (ii).

Ent

|f |2

.

(9.197)

In (9.197) we let t Ó 0 and we use (9.196) to obtain

λEnt

|f | ¤ 2

»

Γ1 p|f | , |f |q dµ ¤

»

Γ1 f , f dµ.

(9.198)

The proof of the inequality Γ1 p|f | , |f |q ¤ Γ1 f , f is given in the proof of Lemma 9.11: see (9.248), (9.249), and (9.250). From (9.198) assertion (i) follows. This completes the proof of Theorem 9.16. Proposition 9.14. Fix A ¥ 0 and λ ¡ 0, and let µ be an invariant probability measure. The following assertions are equivalent: (i) For all f P A the logarithmic Sobolev inequality in (9.184) holds. (ii) There exists p P p1, 8q such that Ent pf p q ¤ A

A

» »

A

f p dµ

p2 4λpp 1q

holds for f

» »

P A, f ¥ 0.

f p2 Γ1 pf, f q dµ

p2 4λ

for f P A, f ¥ 0. (iii) For all p P p1, 8q the inequality Ent pf p q ¤ A

»

f p dµ

»

»

f p1 Lf dµ

(9.199)

f p2 Γ1 pf, f q dµ

f p dµ

p2 4λ

f p dµ

p2 4λpp 1q

»

f p1 Lf dµ

(9.200)

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Proof. The proof follows by observing that Γ1 pϕpf q, ϕpf qq pϕ1 pf qq2 Γ1 pf, f q for all C 1 -functions ϕ and for all f P A. The choice ϕpf q f p{2 shows that (i) implies (ii). The choice ϕpf q f q{p shows (ii) implies (iii) with q instead of p. Finally, the choice p 2 shows the implication (iii) ùñ (i), and completes the proof of Proposition 9.14. The following result is taken from [Bakry (2006)]. Theorem 9.17. Let A ¥ 0 and λ ¡ 0 be two constants, and let p P p0, 8q. Let the functions pptq and mptq be determined by the equalities: pptq 1 p1

e4λt ,

m pt q A

and

1 t

pp1tq

(9.201)

.

Then the following assertions are equivalent: (i) The logarithmic Sobolev inequality (9.184) is satisfied with constants A and λ; (ii) For all t ¡ 0 and f P Lp pE, µq the following inequality holds tL e f

pq¤e

p q }f } . p

m t

p t

(9.202)

0 we have etL f pptq

¤ }f }p, and hence the mapping ÞÑ etLf is contractive form Lp pE, µq to Lpptq pE, µq. Proof. (i) ùñ (ii). Fix t0 P p0, 8q. Without loss of generality we may Notice that for A

f

and do assume that tL pptq e f

pq

p t

Otherwise we divide f

function g ptq, t ¡ 0, by g ptq exp

A

¥ 1 p

»

etL f

pptq

dµ ¤ 1, 0 ¤ t ¤ t0 .

!

(9.203) )

0 by sup etL f pptq : t P r0, t0 s . Define the

pp1tq

»

etL f

pptq

1{pptq

dµ

(9.204)

.

Then a calculation shows the equality:

»

1 1 g 1 ptq exp A p pptq » pptq p1 ptq

A pptq2 etLf dµ " pptq p 1 pt q tL Ent e f pptq2

tL

e f

pptq

» tL

e f

11{pptq

dµ

pptq

»

log

tL

e f

pptq

dµ

*

dµ

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»

etL f

pptq1

625

LetL f dµ.

(9.205)

From assertion (iii) in Proposition 9.14 with pptq instead of p we see

Ent

etL f

pptq

¤A A

»

etL f

pptq

dµ

etL f

pptq

dµ

»

»

pptq1 tL 1 p pt q2 etL f Le f dµ, 4λ pptq 1 » pptq1 pptq2 etL f LetL f dµ. 1 p ptq (9.206)

Then (9.206) together with (9.205) shows:

g 1 ptq exp A

1 p

pp1tq

»

etL f

pptq

1 » ¤ A ppppttqq2 etLf pptq dµ " » » pptq p1 ptq pptq2 tL A e f dµ pptq2 p 1 pt q » » etL f »

etL f

pptq

pptq1

log

etL f

pptq

etL f

pptq1

*

dµ

LetL f dµ

dµ

LetL f dµ »

»

11{pptq

dµ

1 ppppttqq2 etLf pptq log etL f pptq dµ dµ ¤ 0 (9.207) where we used (9.203). From (9.207) it follows that g 1 ptq ¤ 0, t P r0, t0 s, and hence g ptq ¤ g p0q, which shows inequality (9.202) in assertion (ii). Since t0 P p0, 8q is arbitrary assertion (ii) follows from (i). ³

(ii) ùñ (i). It suffices to prove assertion (i) in case f p dµ 1. Again let the function g be defined in (9.204). Now we use g 1 p0q to show that (i) is a consequence of (ii). In fact from assertion (ii) we get g ptq ¤ g p0q, t³ ¥ 0, and hence g 1 p0q ¤ 0. From (9.205) for t 0 and the fact that f p dµ 1 we see that inequality (9.199) in assertion (ii) of Proposition 9.14 follows. Proposition 9.15. Suppose that there exist constants c such that

2

2

!

¡ 0 and γ P R, )

epρ tqL f ¤ ceργ eρL etL |f |2 etLf 2 for all f P Cb pE q, ρ, t ¥ 0. Then the inequality Γ1 eρL f , eρL f ¤ ceργ eρL Γ1 f , f 0 ¤ etL eρL f

(9.208)

(9.209)

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holds for all ρ ¥ 0 and all f P Cb pE q. Consequently, the inequality in (9.171) holds. Conversely, if (9.209) holds, then the inequality in (9.208) holds as well. Consequently, if (9.208) or (9.209) is valid, then the inequality in (9.171) holds. Proof. Let ρ ¥ 0, and 0 ¤ t ¤ s. Then by (9.208) with epstqL f instead of f we get

etL epρ

q f 2 epρ sqL f 2

s t L

q epstqL f 2 ceγρ eρL esL f 2

¤ ceγρepρ

t L

2 2 ceγρeρL etL epstqL f epρ sqL f .

(9.210)

We divide the terms in (9.210) by t ¡ 0 and let t tend to zero to obtain:

Γ1 eps

q f , eps ρqL f

ρ L

2

L eps ρqL f Lepρ sqLf epρ sqL f epρ sqL f Lepρ ¤ ceγρeρL L esLf 2 LesLf esL f esL f LesLf ceγρeρL Γ1 esLf , esL f .

q f

s L

(9.211)

In order to obtain (9.211) we again employed (9.168). In (9.211) we let s tend to zero to get: Γ1 eρL f , eρL f

L eρL f 2 LeρLf eρL f f LeρLf ¤ ceγρeρL L |f |2 Lf f f Lf ceγρeρL Γ1 f , f .

(9.212)

Notice that (9.212) coincides with the inequality in (9.209). As in Remark 9.13 we see that (9.212) yields e

tL

|f | 2

tL 2 e f

¤

»t 0

»t 0

eρL Γ1 eptρqL f , eptρqL f !

dρ

eρL ceptρqγ eptρqL Γ1 f , f

γc 1 etγ

etL Γ1 f , f .

Notice that (9.213) is the same as (9.171).

)

dρ (9.213)

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Next suppose that (9.209) holds. Then by (9.162) with eptσqL f instead of f we obtain

2

etL eρL f

¤

»t

etLeρL f 2

0

»t

eσL Γ1 eptσqL eρL f , eptσqL eρL f dσ

ceγρ eρL eσL Γ1 eptσqL f , eptσqL f dσ

0

ceγρeρL

»t

eσL Γ1 eptσqL f , eptσqL f dσ

0

ceγρeρL etL |f |2 etL f 2 .

(9.214)

The inequality in (9.214) is the same as the one in (9.208). Altogether this proves Proposition 9.15.

In the following lemma we want to establish conditions in order that the inequality (9.208) or the equivalent one (9.209) is satisfied.

P CbpE q, fix t ¡ 0, and put for ρ ¥ 0 2 2 upρq eγρ eρL v p0q eγρ eρL etL |f | etL f ,

Lemma 9.9. Let f

2

v pρq etL eρL f

pρ e

2 tqL f , and

Γ1 epρ tqLf , epρ tqL f Suppose wpρq ¥ γv pρq, ρ ¥ 0. Then upρq ¥ v pρq, ρ ¥ 0. wpρq etL Γ1 eρL f , eρL f

Proof.

(9.215)

.

(9.216)

wpρq γupρq, ρ ¥ 0.

(9.217)

A calculation shows:

u1 pρq v 1 pρq Lupρq Lv pρq

Inserting the inequality wpρq ¥ γv pρq in (9.217) shows:

u1 pρq v 1 pρq ¥ Lupρq Lv pρq γ pupρq v pρqq , ρ ¥ 0.

(9.218)

From (9.218) we see u1 pρq v 1 pρq Lupρq Lv pρq γ pupρq v pρqq

where ppρq ¥ 0. Then we have

upρq v pρq eγρ eρL pup0q v p0qq This proves Lemma 9.9.

»ρ 0

ppρq, ρ ¥ 0, (9.219)

eγ pρσq epρσqL ppσ qdσ

¥ 0. (9.220)

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We observe that wpρq ¥ γv pρq for all ρ ¥ 0 if and only if

etL Γ1 pg, g q Γ1 etL g, etL g

¥γ

etL |g |

2

etLg2

(9.221)

for all functions g of the form g eρL f , ρ ¥ 0. The following lemma gives conditions in order that the inequality (9.221) is satisfied. Lemma 9.10. Suppose that LΓ1 pg, g q 2ℜ Γ1 Lg, g

for all functions g of the form g e (9.221) is satisfied for such functions.

etL Γ1 pg, g q Γ1 etL g, etL g

0

¥γ

¥ γΓ1 pg, gq (9.222) f , ρ ¥ 0. Then the inequality in

[Proof of Lemma 9.10.] We write

Proof. »t

ρL

eρL LΓ1 eptρqL g, eptρqL g

»t 0

2ℜ

Γ1 LeptρqL g, eptρqL g

eρL Γ1 eptρqL g, eptρqL g dρ γ etL |g |

2

etL g2

The inequality in (9.223) proves Lemma 9.10.

.

dρ (9.223)

The bilinear mapping pf, g q ÞÑ Γ2 pf, g q, f , g

P A, where Γ2 pf, g q LΓ1 pf, g q Γ1 pLf, g q Γ1 pf, Lg q

(9.224)

is called the first iterated square gradient operator. The inequality in (9.222) says that Γ2 pg, g q ¥ γΓ1 pg, g q ,

g

P A.

(9.225)

The following result can also be found as Lemma 1.2 and Lemma 1.3 in [Ledoux (2000)]: proofs go back to [Bakry (1985a,b)]. It shows that there is a close connection between semigroup inequalities and the Γ2 -condition as exhibited in (9.226).

P R. The following assertions are equivalent: The following inequality holds for all f P A: Γ2 f , f γΓ1 f , f ¥ 0. (9.226) For every t ¥ 0 and f P A the following inequality holds: Γ1 etL f , etL f ¤ eγt etL Γ1 f , f . (9.227)

Theorem 9.18. Let γ (i)

(ii)

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(iii) For every t ¥ 0 and f

P A the following inequality holds: 1{2 Γ1 etL f , etL f ¤ e γt etL Γ1 f , f 1{2 . The following inequality holds for all f P A: 1 2

(iv)

Γ2 f , f

γΓ1

f, f

¥ Γ1 Γ1

Γ1 f , f , Γ1 f , f 4Γ1 f , f

Γ1 f , f

1{2

(9.228)

, Γ1 f , f

1{2

.

(9.229)

Notice that the inequality in (9.226) is the same as the one in (9.225). For more details on the iterated square gradient operators see e.g. [Bakry (1985a,b, 1994, 2006, 1991)], [Bakry and Ledoux (2006)], [Ledoux (2000, 2004)], and [Rothaus (1981b,a, 1986)]. Remark 9.15. Let Ψ1 , Ψ2 : Rn Ñ R be smooth, i.e. C p2q -functions, and F pf1 , . . . , fn q a vector in An . In the proof we employ the following equality: Γ1 pΨ1 pF q, Ψ2 pF qq

n ¸

p1q p2q

X i X j Γ 1 pf i , f j q

(9.230)

i,j 1

pkq BΨk pF q, 1 ¤ i ¤ n, k 1, 2. With Ψ pg q Ψ pg q g 2 , g 1 2 Bxi 1{2

where Xi

Γ1 f , f , this shows the equality-sign in (9.229). Compare (9.230) and (9.237) below. In the implication (i) ùñ (iv) we also need the Hessian of a function f . The Hessian H pf q of f is the bilinear mapping defined in (9.235) below. Its main transformation property is given in (9.236). The equality in (9.230) is a consequence of the equality Γ1 pf, g q Lpf g qpLf qg f pLg q for appropriately chosen functions f and g together with the transformation property of the operator L: see equality (9.168) and (7.1) with L instead of K0. In Bakry’s terminology the operator L is the generator of a diffusion. Proof. The implication (iii) ùñ (ii) follows from the Cauchy-Schwarz inequality in conjunction with (9.228). In fact tL 2 e gh

p q ¤ etL |g|2 etL |h|2 ¤ }g}28 etL |h|2 1{2 applied with g 1 and h Γ1 f , f shows that (iii) ùñ (ii). (ii) ùñ (i). Subtracting the left-hand side from the right-hand side of (9.227) and dividing by t ¡ 0 and letting t Ó 0 yields: pL γ q Γ1 f , f Γ1 Lf , f Γ1 f , Lf ¥ 0. (9.231)

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However, the inequality in (9.231) is equivalent to (9.226).

(iv) ùñ (iii). We fix f s P r0, ts, by 1 Φpsq e 2 γs esL

P A and t ¡ 0, and we define the function Φpsq,

"

Γ1 eptsqL f , eptsqL f

1{2 *

(9.232)

.

Then we want to show Φptq ¥ Φp0q. Since Φptq Φp0q suffices to prove that Φ1 psq ¥ 0. Therefore we calculate: Φ1 psq

e

1 2 γs

sL

1 2 γs


³t

1{2

B Γ eptsqL f , eptsqLf 1{2 Bs 1 1{2 1 sL p tsqL p tsqL f L γ Γ1 e f, e 2

1 e 2 γs

e

1 L γ 2

sL

12 e

1 2 γs

sL

1

1{2 Γ1 eptsqL f , eptsqL f

Γ1 LeptsqL f , eptsqL f

e 12 γs 12 e

sL

L

1 2 γs

sL

1 γ 2

12 e

L

1 2 γs

sL

sL

1{2

1

1{2 Γ1 eptsqL f , eptsqL f

1 γ 2

Γ2

eptsqL f , eptsqL f



LΓ1 eptsqL f , eptsqL f

1 1 γs e 2 2

Γ1 eptsqL f , LeptsqL f


LΓ1 eptsqL f , eptsqL f sL

e 12 γs

1{2

1{2

Γ2 eptsqL f , eptsqL f Γ1 eptsqL f , eptsqL f

1{2

0

Φ1 psqds, it

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(L g 2

e

2gLg

1 2 γs

sL

12 e 12 e

Γ1 pg, g q with g

1 L γ 2

1 2 γs

sL

(Γ1 g 2 , g 2

sL


Γ1 Γ1 eptsqL f , eptsqL f

1 1 γs e 2 2

sL

sL

1{2

, Γ1 eptsqL f , eptsqL f

1{2


)

1{2


1{2


1{2


γΓ1

3{2

eptsqL f , eptsqL f


1{2

)

4 Γ1 eptsqL f , eptsqL f

1{2

1{2

Γ1 Γ1 eptsqL f , eptsqL f , Γ1 eptsqL f , eptsqL f

1 1 γs e 2 2

1{2


4g2Γ1 pg, gq with g

12 e 12 γs


2L Γ1 eptsqL f , eptsqL f

sL

1 2 γs

631

.

(9.233) Put g eptsqL f . In order that the expression in (9.233) is positive it suffices to prove the inequality: 1 Γ1 pg, g q pΓ2 pg, g q γΓ1 pg, g qq ¥ Γ1 pΓ1 pg, g q , Γ1 pg, g qq . (9.234) 4 The inequality in (9.234) is a consequence of assertion (iv). The implication (i) ùñ (iv) remains to be shown. Here we use the fact that L generates a diffusion. We will start from (9.226), i.e. from Γ2 f , f

γΓ1

f, f

¥0

for all f P A. Without loss of generality we assume that the function f is real-valued. For a given function f P A we introduce its Hessian H pf q as the bilinear form: 1 H pf q pg, hq rΓ1 pΓ1 pf, g q , hq Γ1 pΓ1 pf, hq , g q Γ1 pf, Γ1 pg, hqqs , 2 (9.235) g, h P A. Let Ψ1 , Ψ2 : Rn Ñ R be smooth functions, and let p1q BΨ1 pF q and F pf1 , . . . , fn q be a vector in An . Put Xi Bxi

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B2 Ψ1 pF q, 1 ¤ Bxi Bxj with p2q instead of p1q. p1q

i, j

Xi,j

¤

n. A similar convention is used for Ψ2

A cumbersome calculation shows that the first iterated square gradient operator Γ2 satisfies: n ¸

Γ2 pΨ1 pF q, Ψ2 pF qq

p1q p2q

X i X j Γ2 p f i , f j q

i,j 1 n ¸

i,j,k 1 n ¸

p1q p2q

p2q p1q

Xi Xj,k H pfi q pfj , fk q

Xi Xj,k

p1q p2q

Xi,j Xk,ℓ Γ1 pfi , fk q Γ1 pfj , fℓ q .

(9.236)

i,j,k,ℓ 1

For the definition of the iterated squared gradient operator Γ2 see (9.224). In the calculation to obtain (9.236) a similar but much simpler formula is used: Γ1 pΨ1 pF q, Ψ2 pF qq

n ¸

p1q p2q

Xi Xj Γ1 pfi , fj q .

(9.237)

i,j 1

In Remark 9.15 it was shown how the formula in (9.237) can be obtained. Again, let Ψ : Rn Ñ R be a “smooth” function. If the function F ÞÑ ΨpF q varies among all real polynomials of second order, then the function

X1 , . . . , Xn ; pXi,j qi,j 1

ÞÑ Γ2 pΨpF q, ΨpF qq γΓ1 pΨpF q, ΨpF qq (9.238) is a positive polynomial. We may apply this for n 2, f1 f , f2 g, and the function Ψpf, g q chosen in such a way that X2 X1,1 X2,2 0. n

Then from (9.236), (9.237) and (9.238) we get: X12 pΓ2 pf, f q γΓ1 pf, f qq

2 2X1,2 Γ1 pf, g q

2

4X1 X1,2 H pf q pf, g q

Γ1 pf, f q Γ1 pg, g q

¥0

(9.239)

for all X1 and X1,2 P Rzt0u. Then we choose Ψpf, g q in such a way that X1 pΓ2 pf, f q γΓ1 pf, f qq 2X1,2 H pf q pf, g q. From (9.239) we then infer: 4 pH pf q pf, g qq

2

¤ 2 pΓ2 pf, f q γΓ1 pf, f qq

Γ1 pf, g q

2

Γ1 pf, f q Γ1 pg, g q . (9.240)

Since 2H pf q pf, g q Γ1 pΓ1 pf, f q , g q, (9.240) implies

pΓ1 pΓ1 pf, f q , gqq2 ¤ 2 pΓ2 pf, f q γΓ1 pf, f qq Γ1 pf, gq2

Γ1 pf, f q Γ1 pg, g q

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(use the inequality Γ1 pf, g q

¤ Γ1 pf, f q Γ1 pg, gq) ¤ 4 pΓ2 pf, f q γΓ1 pf, f qq Γ1 pf, f q Γ1 pg, gq . (9.241) Choosing g Γ1 pf, f q, and employing (9.241) entails (9.229) with the real function f instead of a complex function f P A. By splitting a complex 2

function in its real and imaginary part we see that (9.229) follows for all f P A. This completes the proof of the implication (i) ùñ (iv), and concludes the proof of Theorem 9.18. Proposition 9.16. Suppose that (9.222) is satisfied for all functions g P DpLq. Then the equivalent inequalities (9.208) and (9.209) in Proposition 9.15 are satisfied with c 1. If γ ¡ 0, then the operator L has a spectral gap ¥ γ. Proof. [Proof of Proposition 9.16.] If (9.222) is satisfied for all functions g P DpLq, then by Lemma 9.10 the inequality (9.221) is satisfied for all functions g P DpLq. Lemma 9.9 implies that

2

eγρ eρL etL |f |2 etL f

¥ etL eρLf 2 epρ

q f 2 .

t L

(9.242)

Proposition 9.15 and (9.242) show that the equivalent inequalities (9.208) and (9.209) in Proposition 9.15 are satisfied with c 1. Hence we obtain the inequality in (9.171) with c 1: e

tL

|f | 2

tL 2 e f

¤

»t 0

»t

eρL Γ1 eptρqL f , eptρqL f

!

eρL eptρqγ eptρqL Γ1 f , f

0

γ1 1 etγ

etL Γ1 f , f .

dρ )

dρ (9.243) ³

Let µ be an invariant probability measure such that limtÑ8 etL f pxq f dµ for all f P Cb pE q and x P E. The existence and uniqueness of such an invariant probability measure is guaranteed by Orey’s convergence theorem: see Theorem 10.2, and also (9.104). It is required that the Markov process is Harris recurrent. The monotonicity property in Lemma 10.15 of Chapter 10 implies that this limit exists by letting t ¡ 0 tend to 8 instead of n P N. Then by integrating (9.243) against µ and taking the limit as t Ñ 8, we find »

γ

|f |

2

dµ

» 2 f dµ

¤

»

Γ1 f , f dµ.

(9.244)

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From (9.244) and Definition 9.14 the claim in Proposition 9.16 readily follows. The inequality (9.252) below is a consequence of equality (9.162) in Theorem 9.15. For convenience we insert a (short) proof here as well. The inequality in (9.253) employs the full power of Theorem 9.18. The proof of Theorem 9.19 requires the following lemma. Lemma 9.11. Suppose that the constant γ satisfies the inequality in (9.251) in Theorem 9.19 below. Let f P A, and s ¥ 0. Then the following inequality holds:

Γ1 esL |f | , esL |f | 2

2

$ & Γ1 f

¤ eγsesL %

esL |f |2

| |2 , |f |2 |f |2

, . -

.

(9.245)

In addition, the following inequality holds:

|f |2 , |f |2 ¤ 4Γ1 |f |2

Γ1

f, f .

(9.246)

If in (9.246) the function f is real-valued, then this inequality is in fact an equality. From inequality (9.228) in assertion (iii) of Theorem 9.18 we infer

Proof.

Γ1 e

sL

e

|f |

1 2 γs

2

,e

esL

sL

|f |

2

$ ' &

|f |

1{2

1{2

1 2 2 γs sL ¤ e 2 e Γ1 |f | , |f |

Γ1

' %

|f |2 , |f |2 |f |2

1{2 , / .

/ -

(Cauchy-Schwarz inequality)

¤ e

1 2 γs

esL |f |

2

1{2

esL

$ & Γ1 f %

| |2 , |f |2 |f |2

, 1{2 .

. -

(9.247)

The inequality in (9.245) easily follows from (9.247). The equality in (9.246) follows from the transformation rules of the squared gradient operator Γ1 . More precisely, with f u iv, u, v real and imaginary part of f , we have

Γ1

|f |2 , |f |2 4u2Γ1 pu, uq

8uvΓ1 pu, v q

4v 2 Γ1 pv, v q ,

(9.248)

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and 4 |f | Γ1 f , f 2

Since

4

u2

a

v2

pΓ1 pu, uq

a

2uvΓ1 pu, v q ¤ 2 u Γ1 pv, v q v

Γ1 pu, uqq .

(9.249)

Γ1 pu, uq ¤ u2 Γ1 pv, v q

v 2 Γ1 pu, uq , (9.250) the inequality in (9.246) readily follows from (9.248), (9.249) and (9.250). This completes the proof of Lemma 9.11. Theorem 9.19. Suppose that the constant γ P R satisfies one of the equivalent conditions in Theorem 9.18 for the operator L: i.e.

¥ γΓ1

P A. Then the following inequalities hold for f P A and t ¥ 0: 2 1 eγt tL 2 etL |f | etL f ¤ Γ1 f , f , and e γ γt etL |f |2 log |f |2 etL |f |2 log etL |f |2 ¤ 4 1 e etL Γ2 f , f

f, f

for all f

γ

(9.251)

(9.252) Γ1 f , f

.

(9.253) The inequality in (9.252) can be called a pointwise Poincaré inequality. It is a consequence of assertion (ii) of Theorem 9.18. The inequality in (9.253) may be called a logarithmic Sobolev inequality. Its proof is based on the assertion (iii) in Theorem 9.18, which is a consequence of assertion (iv). It is clear that assertion (iv) is an improvement of our basic assumption (9.251).

P A and t ¡ 0. Then we have »t 2 B esL eptsqL f 2 ds etL |f |2 etL f 0 Bs »t 2 ! ) esL L eptsqL f LeptsqLf eptsqL f eptsqLf LeptsqL f ds

Proof.

Let f

0

»t

esL Γ1 eptsqL f , eptsqL f ds.

(9.254)

0

We employ (9.227) in assertion (ii) of Theorem 9.18 and use the identity in (9.254) to obtain: e

tL

|f | 2

tL 2 e f

¤

»t 0

eγ ptsq esL eptsqL Γ1 f , f ds

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γt

1 γe

etL Γ1 f , f .

(9.255)

The inequality in (9.255) is the same as the one in (9.252). The proof of inequality (9.253) is similar, be it (much) more sophisticated. In fact we write:

|f |2 log |f |2 etL |f |2 log etL |f |2 »t ! ) BBs esL eptsqL |f |2 log eptsqL |f |2 ds 0 »t ! esL L eptsqL |f |2 log eptsqL |f |2

etL

0

L eptsqL |f |2 log eptsqL |f |2 ) eptsqL |f |2 L log eptsqL |f |2 ds

»t 0

!

esL Γ1 eptsqL |f | , log eptsqL |f | 2

»t

e

sL

)

ds

, f2 .

$ & Γ1 eptsqL f

| |2 , eptsqL | | 2 eptsqL |f |

%

0

2

-

ds.

(9.256)

An appeal to inequality (9.245) in Lemma 9.11 and employing the equality in (9.256) yields: etL

¤

|f |2 log |f |2 etL |f |2

»t

eγ ptsq esL eptsqL

0

1 eγt γ

¤ 4 1 γe

etL

γt

log etL

$ & Γ1 f %

| |2 , |f |2 |f |2

etL Γ1 f , f

| |2 , |f |2 |f |2

$ & Γ1 f %

.

|f |2

, . -

ds

, . -

(9.257)

The inequality (9.257) shows (9.253) and completes the proof of Theorem 9.19. The following theorem contains some sufficient conditions in order that an operator L possesses a spectral gap in L2 pE, µq, where µ is an invariant probability measure on the Borel field E of E.

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Theorem 9.20. Let L be the generator of a diffusion process with transition probability function P pt, x, q, t ¥ 0, x P E. Suppose that the following conditions are satisfied:

(a) Γ2 f , f ¥ γΓ1 f , f for all f P A. (b) All probability measures B ÞÑ P pt, x, B q, B P E, with pt, xq P p0, 8q E are equivalent, in the sense that they have the same null-sets. (c) The operator L has an invariant probability measure µ. If in (a) γ ¡ 0, then the spectral gap of L, gappLq, in L2 pE, µq satisfies: gappLq ¥ γ. By invoking (9.252) in Theorem 9.19 we have

Proof. etL

|f |2 etL f 2 ¤ 1 γe

γt

etL Γ1 f , f

, f

P A.

(9.258)

From (9.258), and the invariance of the measure µ we get »

|f |2

dµ

»

tL 2 e f dµ

¤ 1 γe

γt »

Γ1 f , f

dµ, f

P A.

(9.259)

Suppose that γ ¡ 0. The recurrence of the underlying Markov process in conjunction with Orey’s convergence theorem (see the arguments in the proof of Proposition 9.16) shows the following inequality by letting t tend to 8 in (9.259): »

|f |2

»

2

dµ f dµ

¤ γ1

»

Γ1 f , f

dµ, f

P A.

(9.260)

The assertion in Theorem 9.20 then follows from (9.260) and the definition of L2 -spectral gap. Example 9.1. Next let E Lf

12

d ¸

Rd, and L be the differential operator:

aj,k Bj Bk f

d ¸

bj Bj f, f

P Cbp2q

Rd ,

(9.261)

j 1

j,k 1

Bj f BBxf , 1 ¤ j ¤ d. It is assumed that the coefficients aj,k , and j bj , 1 ¤ j ¤ d, 1 ¤ k ¤ d, are space dependent and twice continuously

where

differentiable. Then the corresponding square gradient operator is given by Γ1 pf, g q

d ¸

j,k 1

aj,k Bj f

Bk g.

(9.262)

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Let f and g be functions in C p3q Rd . We want to simplify an expression of the form LΓ1 pf, g q Γ1 pLf, g q Γ1 pf, Lg q .

(9.263)

Notice that if f g, then (9.263) is the same as (9.222). In order to rewrite (9.263) we need the following proposition. This proposition is also valid for general diffusion operators L.

Proposition 9.17. Let the functions f , g and h belong to C p3q Rd . Then the following identities hold: L pf ghq pLf q gh

f pLg q h

Γ1 pf, g q h

Γ1 pf g, hq Γ1 pf, g q h

f g pLhq

f Γ1 pg, hq

gΓ1 pf, hq .

gΓ1 pf, hq , and (9.264) d

Proposition 9.18. Let the functions f and g belong to C p3q R . Then LΓ1 pf, g q Γ1 pLf, g q Γ1 pf, Lg q #

d ¸

Laj,k

d ¸

an,k Bn bj

n 1

j,k 1

d ¸

an,j Bn bk

+

Bj f Bk g.

(9.265)

n 1

[Proof of Proposition 9.18.] First we rewrite

Proof.

LΓ1 pf, g q

d ¸

L paj,k Bj f

Bk gq

j,k 1

d ¸

tpLaj,k q Bj f Bk g

j,k 1

Γ1 paj,k , Bj f q Bk g

d ¸

Γ1 paj,k , Bk g q Bj f

pLaj,k q Bj f Bk g

aj,k pLBj f q Bk g

j,k 1

d ¸

Γ1 paj,k , Bj f q Bk g

j,k 1 d ¸

aj,k Γ1 pBj f, Bk g q

d ¸

j,k 1

pLaj,k q Bj f Bk g

d ¸

j,k 1

d ¸

j,k 1

j,k 1

aj,k Γ1 pBj f, Bk g qu

aj,k pLBj f q Bk g

j,k 1

d ¸

aj,k Bj f pLBk g q

Γ1 paj,k , Bk g q Bj f

aj,k Bj f pLBk g q

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Coupling and Sobolev inequalities d ¸

d ¸

aj,k an,m Bn Bm Bj f

d d ¸ ¸

Bk g

d ¸

d d ¸ ¸

Bn Bm Bk g

j,k 1 n,m 1 d ¸

d ¸

aj,k bn Bj f

Bn Bk g

j,k 1 n 1

an,m Bn aj,k Bm Bj f

Bk g

j,k 1 n 1

aj,k an,m Bj f

aj,k bn Bn Bj f

j,k 1 n,m 1 d ¸

639

Bk g

j,k 1 n,m 1 d ¸

d ¸

an,m Bn aj,k Bm Bk g Bj f

j,k 1 n,m 1 d ¸

d ¸

aj,k an,m Bn Bj f

Bm Bk g.

(9.266)

j,k 1 n,m 1

We also rewrite Γ1 pLf, g q Γ1

d ¸

d ¸

aj,k Bj Bk f

j 1

j,k 1

d ¸

d ¸

Γ1 paj,k Bj Bk f, g q

d ¸

d ¸

aj,k Γ1 pBj Bk f, g q

j,k 1 d ¸

Γ1 paj,k , g q Bj Bk f

j,k 1

bj Γ1 pBj f, g q

j 1

Γ1 pbj Bj f, g q

j 1

j,k 1

bj Bj f, g

d ¸

Γ1 pbj , g q Bj f

j 1

d ¸

d ¸

aj,k an,m Bn Bj Bk f

Bm g

j,k 1 n,m 1 d ¸

d ¸

an,m Bn aj,k Bj Bk f

Bm g

j,k 1 n,m 1 d ¸

j 1 d ¸

bj

d ¸

an,m Bn Bj f

Bm g

n,m 1 d ¸

j 1 n,m 1

an,m Bn bj

Bj f Bmg.

(9.267)

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By the same token we have Γ1 pf, Lg q Γ1

d ¸

f,

d ¸

aj,k Bj Bk g

j 1

j,k 1

d ¸

d ¸

aj,k Γ1 pf, Bj Bk g q

Γ1 paj,k , f q Bj Bk g

j,k 1

j,k 1

d ¸

d ¸

bj Γ1 pf, Bj g q

j 1

bj Bj g

Γ1 pbj , f q Bj g

j 1

d ¸

d ¸

aj,k an,m Bn f

Bm Bj Bk g

j,k 1 n,m 1 d ¸

d ¸

an,m Bn aj,k Bm f

Bj Bk g

j,k 1 n,m 1 d ¸

d ¸

bj

j 1 d ¸

an,m Bn f

Bm Bj g

n,m 1 d ¸

an,m Bn bj

Bmf Bj g.

(9.268)

j 1 n,m 1

From (9.266), (9.267) and (9.268) we infer: LΓ1 pf, g q Γ1 pLf, g q Γ1 pf, Lg q

d ¸

j,k 1

d ¸

pLaj,k q Bj f Bk g #

d ¸

an,k Bn bj tBj f Bk g

j 1 n,k 1

Laj,k

d ¸

an,k Bn bj

n 1

j,k 1

d d ¸ ¸

d ¸

an,j Bn bk

+

Bk f Bj gu

Bj f Bk g

n 1

Lb pAqj,k Bj f Bk g

(9.269)

j,k 1

where Lb pC q is a matrix with entries: Lb pC qj,k

Lcj,k

d ¸

n 1

cn,k Bn bj

d ¸

cn,j Bn bk .

(9.270)

n 1

Here C is the matrix with entries cj,k and b stands for the column vector with components bj . The symbol Lb can be considered as a mapping which assigns to a square matrix consisting of functions again a square matrix

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consisting of functions. The operator L is the original differential operator given in (8.132). The proof of Proposition 9.18 is now complete. If we want to check an inequality like (9.208) or, what is equivalent, (9.209), then it is probably better to consider the corresponding stochastic differential equations.

P R. Suppose that the inequality +

Corollary 9.7. Fix γ d ¸

#

Laj,k

d ¸

an,k Bn bj

n 1

j,k 1

d ¸

an,j Bn bk

n 1

for all f

P DpLq and ρ ¥ 0.

aj,k λj λk

j,k 1

holds for all complex vectors pλ1 , . . . , λd q P Cd . Then Γ1 eρL f , eρL f

d ¸

¥γ

λj λk

¤ eργ eρL Γ1

f, f

(9.271)

(9.272)

Remark 9.16. The inequality in (9.271) says that in matrix sense the following inequalities hold: Lb pAq ¥ γA. Here we used the notation as in (9.270), and A is the symmetric matrix with entries aj,k , 1 ¤ j, k ¤ d. For some of our applications we will need the following somewhat technical proposition. The result is due to Rothaus (see [Rothaus (1986)]) and the inequality in (9.274) is named after him. A proof of the inequality (9.274) can be found in [Deuschel and Stroock (1989)]. Another proof can be found in [Bakry (1994)]; for completeness we insert an outline of a proof. Proposition 9.19. Let µ be a probability measure on the Borel field of E and let f P Cb pE q. Fix p ¥ 2. Then the following inequalities hold: »

|f |p dµ

2{p

»

¤

and

Ent

|f | ¤ 2

2

f dµ

» 2 f

»

pp 1 q

» f

»

p

f dµ dµ

Ent f

2 f dµ dµ

»

2{p

,

(9.273)

2 f dµ .

(9.274)

³

Proof. Put fp f f dµ. By homogeneity we assume that f³ is the form ³ 2 f 1 tg where the function g is such that ℜ g dµ 0 and |g | dµ 1, ³ ³ 2 and where t ¥ 0. Then f f dµ tg, and |1 tg | dµ 1 t2 . Put F1 ptq

»

|1

tg | dµ p

2{p

pp 1qt

»

2

|g|

p

2{p

dµ

,

and

(9.275)

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F2 ptq

»

|1

tg | log |1

tg | dµ 1

2

2

»

t2 log 1

t2

t2 |g|2 log |g|2 dµ.

(9.276)

We will show F1 ptq ¤ 1 and F2 ptq ¤ 2t2 , t ¥ 0. The inequality in (9.273) is a consequence of F1 ptq ¤ 1, and similarly (9.276) follows from F2 ptq ¤ 2t2 . We will use the following representations: »t

tFk1 p0q

Fk ptq Fk p0q

0

pt sq Fk2 psqds,

k

1, 2.

(9.277)

Then F 1 ptq 2

»

1

|1

tg | dµ p

2pp 1qt

»

p2 1 »

tg |p2 ℜg

|1

t |g |2 dµ

p2

|g|

p

dµ

(9.278)

.

From (9.278) we infer: F12 ptq 2

2 p

1

»

2

»

|1

2pp 2q

2pp 1q ¤2

2 p

1

2pp 1q

tg | dµ p

tg | dµ p

» »

|1

» »

p2 1 »

tg | dµ p

|g|

p

»

2pp 1q

|1

p2 2 »

tg |

|1

|1

tg |

ℜg

t |g |

p 2

2

2

dµ

|g |2 dµ

p 2

p2 1 »

|1

tg |

ℜg

t |g |

p 4

2

2

dµ

p2

dµ

|1

tg | dµ

|1

tg | dµ

p

p

|g|p dµ

2 2 » p

p2 1 »

|1 tg| ℜg

t |g |

p 2

|1

tg |

2

2

dµ

|g |2 dµ

p 2

2

p

(9.279)

.

In (9.279) we apply H¨ older’s inequality to obtain: »

|1 tg| |g|2 dµ ¤ p 2

»

|1

tg |

p

1 2 » p

|g|

p

2

p

dµ

.

(9.280)

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p p and . From (9.280) and (9.279) we p2 2 0. Since F11 p0q 0 equality (9.277) with k 1 implies

As conjugate exponents we used

then infer F12 ptq ¤ F1 ptq ¤ F1 p0q 1.

Next we calculate the first and second derivative of t ÞÑ F2 ptq:

F21 ptq 2

»

2

» »

log 1

t |g |

2

ℜg

2

2

t |g |

ℜg

2t log

1

t

2

2

dµ 2t log 1

t2

dµ »

2t 2t |g|2 log |g|2 dµ

t |g |2 log 1

ℜg

t2 |g |

2tℜg

t2 |g |2 dµ

2tℜg

»

2t |g|2 log |g|2 dµ.

(9.281)

Its second derivative is given by F22 ptq 2

»

|g|2 log 1

2 log

1

»

¤ 2 |g|

2

2 log »

log 1

t2

2tℜg

1 t2

2 |g|2 log 1

|g|

2

»

2

dµ

ℜg

4

|1

t |g |2

2

tg |

2

dµ

2

1 4t t2

t2 |g |

»

2

2tℜg

t |g | 2

|g|2

dµ

4

|g|2 dµ

2

1 4t t2

t2 |g |

2

2tℜg

|g|

2

dµ

4 1

t2

2 log

1

t2 .

(9.282) Since the function x ÞÑ log x, x ¡ 0, is concave, and the mea³ 2 sure B ÞÑ B |g | dµ is a probability measure, Jensen inequality im ³

³

|g|2 log h dµ ¤ log |g|2 h dµ . Applying this inequality to h |1 tg|2 1 »2tℜg t2 |g|2 in (9.282) shows 4 4 2 F22 ptq ¤ 2 log 1 2tℜg t2 |g | dµ 2 log 1 t2 . 2 1 t 1 t2 plies

(9.283)

Since F2 p0q 0 F21 p0q it follows from the representation in (9.277) that F2 ptq ¤

»t

ds ¤ 2t2 . (9.284) s2 From (9.283) the inequality in (9.274) follows. This concludes the proof of Proposition 9.19. 0

pt sq 1

4

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9.5


Notes

The result in Theorem 9.1 is taken from [Chen and Wang (1997)] Theorem 4.13. In [Chen and Wang (1997)] the authors wonder whether the condition that there exists a constant a ¡ 0 such that hapxqξ, ξi ¤ a |ξ |2 for all x, ξ P Rd is really necessary to arrive at a Poincaré inequality. This problem is not solved in Theorem 9.19. However, inequality (9.226) gives a condition in terms of the iterated squared gradient operator Γ2 and Γ1 which guarantees a pointwise Poincaré type inequality: see inequality (9.252) in Theorem 9.19. As mentioned earlier in [Bakry (1994)] and [Bakry (2006)] Bakry gives much more information on (iterates) of squared gradient operators. The squared gradient operator was introduced by Roth in [Roth (1976)] as a tool to study Markov processes. For that matter this is still an important tool: see e.g. Carlen and Stroock [Carlen and Stroock (1986)], Qian [Qian (1998)], Aida [Aida (1998)], Mazet [Mazet (2002)], Barlow, Bass and Kumagai [Barlow et al. (2005)], and Wang [Wang (2005)]. Of course the main inspirators for promoting and studying the subject of (iterated) squared ´ gradient operators were and still are Emery and Bakry: see e.g. [Bakry ´ (1985a,b, 1991, 1994, 2006); Bakry and Emery (1985)]. For a link with isoperimetric inequalities the reader is referred to [Chavel and Feldman (1991)], and to [Chavel (2001, 2005)]. More information about Sobolev inequalities and log-Sobolev inequalities can be found in [Carlen et al. (1987)], and [Davies (1990)] where a connection with heat kernel diagonal bounds is established. Another relevant paper is [Varopoulos (1985)], and the book by Varopoulos et al [Varopoulos et al. (1992)]. The latter book contains a wealth of information related to Sobolev inequalities, Poincaré inequalities, isoperimetric inequalities, and Nash inequalities, and their interrelations. In the abstract of [Ledoux (1992)] Ledoux writes “In the line of investi´ gation of the works by D. Bakry and M. Emery ([Bakry and Emery (1985)]) and O. S. Rothaus ([Rothaus (1981a, 1986)]) we study an integral inequality behind the “Γ2 ” criterion of D. Bakry and M. Emery (see previous reference) and its applications to hypercontractivity of diffusion semigroups. With, in particular, a short proof of the hypercontractivity property of the Ornstein-Uhlenbeck semigroup, our exposition unifies in a simple way several previous results, interpolating smoothly from the spectral gap inequalities to logarithmic Sobolev inequalities and even true Sobolev inequalities. We examine simultaneously the extremal functions for hypercontractivity

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and logarithmic Sobolev inequalities of the Ornstein-Uhlenbeck semigroup and heat semigroup on spheres.” It seems that these phrases are still in place. In fact the techniques of (iterated) squared gradient operators can also be applied in the infinitedimensional setting: see e.g. [Wang (2005)]. Examples and other results about invariant measures in the infinitedimensional context can be found in the books by Da Prato and Zabczyk [Da Prato and Zabczyk (1996)], and by Cerrai [Cerrai (2001)], and papers by Seidler [Seidler (1997)], Eckmann and Hairer [Eckmann and Hairer (2001)], Goldys and van Neerven [Goldys and van Neerven (2003)], Goldys and Maslowski [Goldys and Maslowski (2006b)], and Es-Sarhir and Stannat [Es-Sarhir and Stannat (2007)]. In our abstract setting we followed for a great part the paper by Seidler [Seidler (1997)]. In the following Chapter 10 we also employ techniques from Markov chain theory as exhibited by Meyn and Tweedie [Meyn and Tweedie (1993b)]. Of course the general ChaconOrnstein theorem goes back to Chacon and Ornstein [Chacon and Ornstein (1960)]. Other relevant literature can be found in [Petersen (1989)], [Krengel (1985)], [Foguel (1980)], and [Neveu (1979)]. It is also mentioned that Azema et al [Azéma et al. (1967)] made the Chacon-Ornstein theorem corresponding to continuous time Markov processes available to the mathematical public. A novelty in the present chapter is the fact that the almost separation property of the generator of the Markov process in (9.14) together with a topological irreducibility condition implies that the process admits a compact recurrent subset. This observation follows from a combination of Propositions 9.1, 9.2, and 9.4: in particular see Corollary 9.2 and Theorem 9.4.


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Chapter 10

Invariant measure

In this final chapter we prove the existence and uniqueness of invariant measures for recurrent time-homogeneous Markov processes. Our uniqueness result relies on Orey’s theorem for Markov chains: see Theorem 10.2. The proof of Orey’s convergence theorem is based on renewal theory: see Lemma 10.14, and the bivariate linked forward recurrence time chain employed in its proof. Orey’s theorem is combined with the presence of a compact recurrent subset to obtain, up to a multiplicative constant, a unique invariant measure; see Theorem 10.12. The equalities in (10.205) and (10.206) play a central role. Proposition 10.8 contains the technical relevant details. In particular the identity in (10.272) is a crucial equality. Under certain conditions this invariant measure is finite: see Corollary 10.5. In Theorem 10.9 we see that for certain conservative strong Feller processes the notions of recurrent and Harris recurrent coincide. 10.1

Markov Chains: Invariant measure

Some of what follows is taken from [Chib (2004)] and [Meyn and Tweedie (1993b)]. One of the motivations to study time-homogeneous Markov chains is the fact that Monte Carlo methods sample a given multivariate distribution π by constructing a suitable Markov chain with the property that its limiting, invariant distribution, is the target distribution π. In most problems of interest, the distribution π is absolutely continuous and, as a result, the theory of MCMC (Markov Chain Monte Carlo) methods is based on that of Markov chains on continuous state spaces outlined, for example, in [Meyn and Tweedie (1993b)] and [Nummelin (1984)]. Reference [Tierney (1994)] is the fundamental reference for drawing the connections between this elaborate Markov chain theory and MCMC methods. Basically, the 647

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goal of the analysis is to specify conditions under which the constructed Markov chain converges to the invariant distribution, and conditions under which sample path averages based on the output of the Markov chain satisfy a law of large numbers and a central limit theorem. 10.1.1

Some definitions and results

A Markov chain is a sequence of random variables (or state variables) X tX piq : i P Nu together with a transition probability function px, B q ÞÑ P px, B q, x P E, B P E. The evolution of the Markov chain on a space E is governed by the transition kernel

P px, B q P X pi

P X pi

1q P B X piq x, Fi1

1 q P B X pi q x ,

px, B q P E E,

(10.1)

where the second line embodies the time-homogeneous Markov property that the distribution of each succeeding state in the sequence, given the current and the past states, depends only on the current state. Note that Fi1 represents the σ-field generated by the variables tX pj q : 0 ¤ j ¤ i 1u. In fact, a complete description of a time-homogeneous Markov chain is given by:

tpΩ, F , Pxq , pX piq, i P Nq , pϑi , i P Nq , pE, E qu where

Px rX p1q P B s P X p1q P B X p0q x

P X pi

(10.2)

1q P B X piq x

P px, B q P p1, x, B q . (10.3) The operators ϑi , i P N, are time shift operators: ϑi ϑj ϑi j , i, j P N. Moreover, X piq ϑj X pi j q Px -almost surely for all x P E and all i, j P N. A convenient way to express the Markov property goes as follows: Px X pi 1q P B Fi PX piq rX p1q P B s , px, B q P E E, i P N. If in (9.14) we confine the time r0, 8q to the discrete time N, then we get a Markov chain with a not necessarily discrete state space. The Markov chain obtained from (9.14) is called a skeleton of the time-homogeneous Markov process in continuous time. The transition kernel is thus the distribution of X pi 1q given that X piq x. The nth step ahead transition kernel is given by P pn, x, B q P

n

px, B q

»

E

P px, dy q P pn1q py, B q,

(10.4)

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Invariant measure

where B

649

ÞÑ P p1q px, B q P px, B q P p1, x, B q ,

B

P E,

(10.5)

is a probability measure on E, the Borel field of the state space E. In fact the Markov property of the time-discrete process in (10.2) is equivalent to the following Chapman-Kolmogorov equation: P pn

m, x, B q P

n m

px, B q

»

E

P n px, dy q P m py, B q, n, m P N, x P E.

(10.6) Instead of the skeleton tX piq : i P Nu we could have taken a skeleton of the form

tX pδiq : i P Nu ,

δ

¡ 0.

(10.7)

Again we get a Markov chain, and the results of Meyn and Tweedie can be used. However, note that hitting times phrased in terms of a skeleton in general are larger than the original hitting times. On the other hand, in our setup the paths of the Markov process are continuous from the right, and so in principle our Markov process can be approximated by skeletons of the form (10.7). The goal is to find conditions under which the nth iterate of the transition kernel converges to the invariant measure or distribution π as n Ñ 8. The invariant distribution is one »that satisfies π pB q

E

P px, B qdπ pxq.

(10.8)

The invariance condition states that if X piq is distributed according to π, then all subsequent elements of the chain are also distributed as π. Markov chain samplers are invariant by construction and therefore the existence of the invariant distribution does not have to be checked. A Markov chain is reversible, or satisfies the detailed balance condition, if there exists a reference measure m on³ E such that the transition function P px, B q can be written as P px, B q E ppx, y qdmpy q, where the integral kernel ppx, y q satisfies f pxqppx, y q f py qppy, xq,

(10.9)

for a Borel measurable function f pq which is the Radon-Nikodym derivative of some Borel measure B ÞÑ π pB q, B P E. If this condition holds, it can be shown that π is an invariant measure: see e.g. [Tierney (1994)]. To verify this we evaluate the right hand side of (10.8): »

P px, B q dπ pxq

» "»

*

B

p px, y q dmpy q f pxq dmpxq

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» "» B

» "» »B B

*

f pxqppx, y qdmpxq dmpy q *

ppy, xqf py qdmpxq dmpy q

f py qdmpy q π pB q.

A minimal requirement on the Markov chain for it to satisfy a law of large numbers is the requirement of π-irreducibility. This means that the chain is able to visit all sets with strictly positive probability under π from any starting point in E. Formally, a Markov chain is said to be π-irreducible if for every x P E,

π pAq ¡ 0 ñ P X piq P A X p0q x

¡ 0,

for some i ¥ 1.

(10.10)

The property in (10.10) can also be phrased in terms of the hitting time of A: τA1 min tm ¥ 1 : X pmq P Au. If X pmq R A for all m P N, m ¥ 1, then we put τA1 8. An equivalent way to write (10.10) goes as follows: if A P A P 1 E is such that π pAq ¡ 0, then Px τA 8 ¡ 0 for all x P E. If the space E is connected and the function ppx, y q is positive and continuous, then the Markov chain with transition probability function given by P px, B q ³ ppx, y qdmpy q and the invariant probability measure π is π-irreducible. B In our case another important property of the Markov chain is its aperiodicity, which ensures that the chain does not cycle through a finite number of sets. For topics related to 10.1 see Definitions 10.6 and 10.7. Definition 10.1. A Markov chain is aperiodic if there exists no partition of E pD0 , D1 , . . . , Dp1 q for some p ¥ 2 such that for all i P N

P X piq P Di mod ppq |X p0q P D0

»

D0

Px X piq P Di mod ppq dµ0 pxq 1, (10.11)

for some initial probability distribution µ0 . If the probability µ0 and the partition pD0 , . . . , Dp1 q did have the property spelled out in (10.11), then there exists a state x0 P D0 such that

Px

0

X piq P Di mod ppq

1, for all i P N. (10.12) It follows that not all probability measures B ÞÑ P pi, x0 , B q, i P N, i ¥ 1, P i, x0 , Di mod ppq

have the same null-sets. So we have the following result. Proposition 10.1. Let the time-homogeneous Markov chain in (10.2) have a transition probability function P pi, x, B q, i P N, x P E, B P E, where

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MarkovProcesses

651

P px, B q P p1, x, B q, and P p0, x, B q 1B pxq. Suppose that all probability measures B ÞÑ P pi, x, B q, i ¥ 1, i P N, x P E, have the same negligible sets. Then the Markov chain in (10.2) is aperiodic. These definitions allow us to state the following results from [Tierney (1994)] which form the basis for Markov chain Monte Carlo methods, and other asymptotic results. The first of these results gives conditions under which a strong law of large numbers holds and the second gives conditions under which the probability density of the nth iterate of the Markov chain converges to its unique, invariant density. Theorem 10.1. Suppose tX piq, Px uxPE is a π-irreducible timehomogeneous Markov chain with transition kernel P px, B q P p1, x, B q and invariant probability distribution π. Then π is the unique invariant distribution of P px, B q and for all π-integrable real-valued functions h, 1 ¸ h pX piqq Ñ n i1 n

»

hpxqdπ pxq as n Ñ 8, Px -almost surely.

(10.13)

If the invariant measure is σ-finite and not finite, then the limit in (10.13) is zero. That is why irreducible Markov chains with a (unique) σ-finite invariant measure, which is not finite, are called Markov chains which are null-recurrent. For ergodicity results in null recurrent Markov chains, like the theorem of Chacon-Ornstein for quotients of time averages as in (10.13), the reader is referred to [Krengel (1985)]: see Theorem 9.9. Recurrent Markov chains with a finite invariant measure are called positive recurrent. There is a close relationship between expectations of (first) return times and invariant measures. In the discrete state space setting we have the following. Put Ty inf tm ¥ 1 : X pmq y u, y P E, and write µx,y Ex rTy s. Then the following equality holds: π py q lim P n px, ty uq

Ñ8

n

1 . µy,y

(10.14)

The result in (10.14) is called Kac’s theorem: see Theorem 10.2.2 in [Meyn and Tweedie (1993b)]. For more details the reader is referred to the literature: [Norris (1998)] and [Karlin and Taylor (1975)]. Some older work can be found in [Orey (1964)], [Kingman and Orey (1964)], and [Jamison et al. (1965)]. The following Theorem of Orey, or Orey’s convergence theorem can be found in Meyn and Tweedie [Meyn and Tweedie (1993b)] theorem 13.3.3 and 18.1.2. For the claim in (10.15) the positivity of the recurrent Markov chain is not required. It suffices to have a σ-finite invariant measure, which

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MarkovProcesses


652

is guaranteed by a result due to Foguel [Foguel (1966)] for irreducible chains with a recurrent compact subset: see Theorem 2.2 in [Seidler (1997)]. The existence of a σ-finite Borel measure is also proved in Chapter 10 of the new version of the book [Meyn and Tweedie (1993b)]. The assertion as written is proved in Duflo and Revuz [Duflo and Revuz (1969)], who use a method developed by Blackwell and Freedman [Blackwell and Freedman (1964)], who in turn rely on a result by Orey [Orey (1959)] which states a result like (10.15) for point measures µi δxi , i 1, 2. The following theorem was used in the proof of Proposition 9.8. In [Kaspi and Mandelbaum (1994)] Theorem 1 and Lemma 1 the authors establish a close relationship between recurrence and Harris recurrence. A similar result for the fine topology was found by Azema et al in [Azéma et al. (1965/1966)] Proposition IV 4. Theorem 10.2. Suppose that tX pnq, Px uxPE is an irreducible timehomogeneous aperiodic Markov chain with a transition kernel, denoted by P px, B q P p1, x, B q, which is Harris recurrent. Then for all probability measures µ1 and µ2 on E ¼

lim

Ñ8

n

Var pP n px, q P n py, qq dµ1 pxq dµ2 py q 0,

(10.15)

where Var denotes the total variation norm. If the Markov chain is positive Harris recurrent, then for µ2 the invariant probability measure π may be chosen. This existence follows from positive recurrence. Then the following equality holds for all probability measures µ1 on E:

»

lim Var

Ñ8

n

P

n

px, qdµ1 pxq πpq 0.

(10.16)

Let B P E. The proof of Theorem 10.2 is based on among other things the decomposition of the event tX pnq P B u over the times of the first and the last entrance time, or entry time to A prior to the time n:

Px rX pnq P B s Px X pnq P B, τA1

n¸1

j ¸

¥n

¥nj

, X pj k q P A ,

¥nj

, X pj k q P A ,

Ex EX pkq PX pj kq X pn j q P B, τA1

j 1k 1

¥ k, X pkq P A Px X pnq P B, τA1 ¥ n τA1

n¸1

j ¸

j 1k 1

τA1

Ex EX pkq PX pj kq X pn j q P B, τA1

k

,

(10.17)

October 7, 2010

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MarkovProcesses

Invariant measure

653

where in the final step of (10.17) we used the following equality of events: ( ( τA1 ¥ k, X pk q P A τA1 k , k P N, k ¥ 1. The formula in (10.17) can be found in [Meyn and Tweedie (1993b)] formula (13.39). Its proof is an easy consequence of the Markov property. The entrance time τA1 τA1,1 is defined in (10.25) of Theorem 10.4: τA1 inf tn ¥ 1 : X pnq P Au. In terms of functions the equality in (10.17) reads:

Ex rf pX pnqqs Ex f pX pnqq , τA1

n¸1

j ¸

j 1k 1

τA1

, f

P Cb pE q.

¥n

Ex EX pkq EX pj kq f pX pn j qq , τA1

k

¥nj

, X pj k q P A , (10.18)

In §10.3 we provide a proof of Orey’s convergence theorem. Definition 10.2. The Markov chain pX pnq : n P Nq in (10.2) is called positive Harris recurrent if there exists an invariant probability measure on E relative to X, and if px, B q P E E satisfies P px, B q ¡ 0, then

Px

8 ¸

1B pX pnqq 8

1.

n 1

A further strengthening of the conditions is required to obtain a central limit theorem for sample-path averages. A key requirement is that of an ergodic chain, i.e., a chain that is irreducible, aperiodic and positive Harrisrecurrent: for a definition of the latter, see [Tierney (1994)] and [Meyn and Tweedie (1993b)]. In addition, one needs the notion of geometric ergodicity. An ergodic Markov chain with invariant distribution π is geometrically ergodic if there exists a non-negative real-valued Borel function x ÞÑ C pxq and a positive constant r ³ 1 such that Var pP n px, q π pqq ¤ C pxqrn for all n P N, and such that C pxqdπ pxq 8. The authors of [Chan and Ledolter (1995)] show that if the Markov chain is ergodic, has invariant probability distribution π, and is geometrically ergodic, then for all L2 pE, π q-integrable measurable real-valued functions h, and any initial distribution, the distri³ ? p bution of n hn hpxqdx converges weakly to a normal distribution with mean zero and variance σh2 and σh2

Var h pX p0qq

2

8 ¸

k 1

¥ 0 as n Ñ 8.

Here p hn

n1

n ¸

h pX piqq,

i 1

Cov rth pX p0qq , h pX pk qqus. The following

theorem discusses the problem of the existence of an invariant measure. It

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654

is taken from [Meyn and Tweedie (1993b)] Theorem 10.0.1. It is supposed that all measures B ÞÑ P p1, x, B q, B P E, x P E, have the same null-sets. Put E tA P E : P p1, x0 , Aq ¡ 0u. Irreducibility is meant in the sense that Px rτA 8s ¡ 0 for all x P E, and all subsets A P E . In our setting we may assume that irreducibility can be phrased in terms of reachability of any open subset with positive probability from any starting point and in as short time as we please: see Lemma 9.1. It is not clear what the exact analog is of (10.22) below in case we are working with continuous time processes like the one in (9.14). It is quite well possible that in that case Dynkin’s formula plays a central role. Let tpΩ, F , Px q , pX ptq, t ¥ 0q , pϑt , t ¥ 0q , pE, E qu be a time-homogeneous strong Markov process, and let A be a Borel subset of E with hitting time τA : τA inf ts ¡ 0 : X psq P Au. For λ ¡ 0 we have Dynkin’s formula: »8 0

eλs Ex rf pX psqqs ds

Ex

eλτA EX pτA q

» 8 0

»8 0

eλs Ex rf pX psqq , τA

eλs f pX psqq ds

Rpλqf pxq

»8 0

(10.19)

.

If we use the resolvent notation: eλs esL f pxqds, and RA pλqf pxq

¡ ss ds

»8 0

eλs esLA f pxqds, (10.20)

then the equality in (10.19) can be rewritten as: Rpλqf pxq RA pλqf pxq (

Ex

eλτA Rpλqf pX pτA qq .

(10.21)

The semigroup esLA : s ¥ 0 is defined by

¡ ss , f P L8 pE, E q , s ¥ 0, x P E. This semigroup need not be strongly continuous. It lives on Ac E zA. It esLA f pxq Ex rf pX psqq : τA

is quite well possible that equality (10.272) below in Proposition 10.8 is the correct analog of (10.22). The following result appears as Theorem 10.0.1 in [Meyn and Tweedie (1993b)]: see Theorem 10.4.4 and Theorem l0.4.9 l.c. as well. The result refines Theorem 1 in [Harris (1956)]. Theorem 10.3. Let the time-homogeneous Markov chain X with a Polish state space E be m-irreducible in the sense that for all A P E for which mpAq ¡ 0 and all x P E there exists n P N such that Px rX pnq P As ¡ 0. Suppose that the process X be recurrent relative to the measure m. Then it admits, up to multiplicative constants, a unique σ-finite invariant measure

October 7, 2010

9:50


MarkovProcesses

Invariant measure

π. Let A P E be such that Px rτA measure π satisfies: π pB q

»

Ex

A

»

Ex

A

1

τA ¸

655

8s 1 for π-almost all x P E.

The

1B pX piqq dπ pxq

i 1

¸

1 τA 1

1B pX piqq dπ pxq, B

P E.

(10.22)

i 0

This measure π is such that π rB s 0 if and only if mpB q 0. The invariant measure is finite (rather than merely σ-finite), if there exists a 1 compact subset C such that sup Ex τC 8. Moreover, π pE q

» A

P

x C

Ex τA0 dπ pxq

» C

Ex τC1 dπ pxq.

In (10.22) τA1 stands for the first hitting time of the Borel subset A: τA1

min tm ¥ 1 : X pmq P Au 1

τA0 ϑ1

where another stopping time τA0 also plays a relevant role: τA0

min tm ¥ 0 : X pmq P A,

m non-negative integeru .

In [Meyn and Tweedie (1993b)] Meyn and Tweedie discuss “petite” and “small” sets. Theorem 10.3 follows from a combination of the following theorems and propositions in [Meyn and Tweedie (1993b)]: Theorem 10.0.1 (in which ψ-irreducibility and “petite sets” play a crucial role), a rephrasing of assertion (i) of Proposition 5.2.4 in terms of petite sets, which is in fact the same as assertion (i) of Proposition 5.5.4, and assertion (ii) in Theorem 6.2.5 (which states that in a topological Markov chain all compact subsets are “petite”). Meyn and Tweedie use the following terminology. Let B ÞÑ ϕpB q be a finite measure on E. A Markov chain is called ϕ-irreducible, if every set A P E for which ϕpAq ¡ 0 the quantity Px τA0 8 ¡ 0 for all x P E. In our case we may take ψ pAq ϕpAq P p1, x0 , Aq, A P E. The assumption that all measures of the form A ÞÑ P pt0 , x0 , Aq are equivalent, makes the choice of x0 P E irrelevant. Let a : pak qkPN be a sequence of non-negative real numbers which add up to one. Then we define the function px, Aq ÞÑ Ka px, Aq, px, Aq P E E, by Ka px, Aq °8 n k0 ak P px, Aq. Note that P px, Aq P p1, x, Aq. Denote by P pNq the collection of positive sequences which add up to 1. A subset A P E is called “petite” if there exists a sequence a P P pNq and a non-trivial measure

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MarkovProcesses


656

νa such that Ka px, B q ¥ νa pB q for all B P E and all x P A. If we can find a of the form ak δn pk q, k P N, and a corresponding non-trivial measure νn , for some n P N, then A is called “small”; this means that P n px, B q Kδn px, B q ¥ νn pB q, B P E, and νn a non-trivial measure. It says that for Markov chains which are ψ-irreducible and aperiodic the collection of “small sets” coincides the collection of “petite sets”. The Markov chain X is called topological, or a Markov T -chain, if the space E is a complete metrizable (locally compact) Hausdorff space, and the function x ÞÑ P px, B q P p1, x, B q is lower semi-continuous for every B P E. In fact the authors assume that for every B P E the function x ÞÑ P px, B q dominates a strictly positive lower semi-continuous function, whenever it itself is strictly positive. Observe that by the Markov property

Px τA1

8 Px

8 ¤

tX pnq P Au Ex

PX p1q

n 1

8 ¤

tX pn 1q P Au

,

n 1

and hence, by the strong Feller property, the function x ÞÑ Px τA1 8 is in fact continuous. For the notion of strong Feller property see Definitions 2.5 and 2.16. In the results, which we mention above and which will follow, the local compactness does not play a role. As a corollary to (the proof of) Theorem 10.3 we have the following result. Corollary 10.1. Let the notation and assumptions be as in Theorem 10.3. Then the following equality holds for f P L1 pE, π q: »

lim

Ñ8

n

z

E A

Ex f pX pnqq , τA0

¥n

dπ

0.

(10.23)

A result, corresponding to Theorem 10.3 in the continuous time setting, reads as follows. Theorem 10.4. Let tpΩ, F , Px q , pX ptq, t ¥ 0q , pϑt , t ¥ 0q , pE, E qu be a strong Markov process with right-continuous paths. Fix h ¡ 0. Let π be a σ-finite invariant measure for this Markov process. Then the following equality holds for all f P L1 pE, π q, and for all Borel subsets A with the property that π pAq » A

8 and Px ¸{

Ex

1,h τA h

k 1

τA0,h

8 1 for π-almost all x P E:

f pX pkhqq dπ pxq

»

f pxqdπ pxq.

(10.24)

October 7, 2010

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MarkovProcesses

Invariant measure

657

In (10.24) the stopping times τA1,h , h ¡ 0, are defined by

inf tℓh : ℓ P N, ℓ ¥ 1, X pℓhq P Au h τA0,h ϑh (10.25) where τA0,h inf tℓh : ℓ P N, ℓ ¥ 0, X pℓhq P Au. If there exists A P E with ³ the property that A Ex τA1,h dπ pxq 8 for some h ¡ 0, then the invariant ³ measure π is finite, and h π pE q A Ex τA1,h dπ pxq. τA1,h

If h 1 we write τA1 instead of τA1,1 : see formula (10.17) above. The proof of Theorem 10.4 is completely analogous to that of Theorem 10.3. ³ Instead of the operator T , given by T f pxq Ex rf pX p1qqs f py qP px, dy q, we now introduce the operators Th , h ¡ 0, Th f pxq Ex rf pX phqqs ³ f py qP ph, x, dy q, where P pt, x, B q is the probability transition function. We also need the operator TA,h defined by

TA,h f pxq Ex f pX phqq ,

τA0,h

¥h

where PA ph, x, B q Px X phq P B, τA0,h following corollary.

¥h

»

f py qPA ph, x, dy q,

. Again the proof yields the

Corollary 10.2. Let the notation and assumptions be as in Theorem 10.4. Then the following equality holds for f P L1 pE, π q: »

lim

Ñ8

n

z

E A

Ex f pX pnhqq , τA0,h

¥ nh

dπ pxq

0.

(10.26)

Proof. [Proof of Theorem 10.3.] Let A P E be as in Theorem 10.3. We introduce two operators T and TA , defined by respectively

T f pxq Ex rf pX p1qqs , and TA f pxq Ex f pX p1qq , τA0 Notice that TA f T f 1A T f 1E zA T f , so that TA f induction with respect to n we see n ¸

1A T TAk1 f

1E zA TAn f

f

k 1

n ¸

pT I q TAk1 f,

¥1

, f

P Cb pE q . (10.27)

0 on A. Then by f

P Cb pE q.

(10.28)

k 1

Hence, since π is an invariant measure the equality in (10.28) implies n » ¸

k 1 A

T TAk1 f pxq dπ pxq

»

z

E A

TAn f pxq dπ pxq

» E

f pxq dπ pxq

(10.29)

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MarkovProcesses


658

for f P L 1 pE, π q. Let f P L8 pE, E q L1 pE, π q, f ¥ 0. By the assumption that Px τA0 8 1, for π-almost all x P E, we have f lim pf TAn f q,

Ñ8

n

π-almost everywhere, and hence we obtain »

f dπ E

»

lim pf

Ñ8

En

»

TAnf q dπ

lim inf pf

TAn f q dπ

Ñ8

E n

(Fatou’s lemma)

¤ lim inf nÑ8

» E

pI TAnq f dπ lim inf nÑ8

lim inf nÑ8

E

E

pI TAq

pI T

n ¸

1A T q

n ¸

TAk1 f dπ

k 1

T 1A T )

(employ the identity TA »

»

TAk1 f dπ

k 1

(the measure π is T -invariant)

lim inf nÑ8

»

A

k 1

1 τA

¸

Ex

TAk1 f dπ

A

»

n ¸

T

8 » ¸

k 1 A

f pX pk qq dπ pxq.

(10.30)

k 1

The inequality in (10.30) shows that »

¤

f dπ E

»

Ex

A

1

τA ¸

f pX pk qq dπ pxq.

k 1

Of course, in (10.31) we assumed Px τA0 hand the equality in (10.28) yields: n » ¸

8 1, x P E.

(10.31) On the other

T TAk1 f dπ

k 1 A n » ¸

¤

T TAk1 f dπ

k 1 A

T TAk1 f dπ

»

z

TAn f dπ

»

E A

»

»

f dπ

n ¸

E

Ek 1

pT I q TAk1 f dπ (10.32)

f dπ. E

From (10.32) we get, by letting n several times 1 »

A

Ex

τA ¸

k 1

Ñ 8 and using the Markov property

f pX pk qq dπ pxq ¤

»

f dπ. E

(10.33)

October 7, 2010

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MarkovProcesses

Invariant measure

659

Combining (10.33) and (10.31) shows the equality:

»

Ex

A

1

τA ¸

f pX pk qq dπ pxq

k 1

»

(10.34)

f dπ. E

The equality in (10.34) completes the proof of Theorem 10.3.

Remark 10.1. If³ in Theorem 10.3³ we only assume π to be sub-invariant in the sense that E T f pxqdπ pxq ¤ E f pxqdπ pxq, f P L1 pE, π q, f ¥ 0, then for such functions we have n » ¸

k 1 A

T TAk 1 f

»

pxq dπ

z

TAn f

E A

pxq dπpxq ¤

»

f pxq dπ pxq.

E

(10.35)

Proof. [Proof of Corollary 10.1.] The equality in (10.29) can be rewritten as follows: »

Ex

A

» E

^ ¸

1 τA n

p p qq

»

pq

f X k dπ x

z

E A

k 1

Ex f pX pnqq , τA0

¥n

dπ pxq

f pxqdπ pxq.

(10.36)

The equality in (10.34) together with (10.36) yields the result in Corollary 10.1. To establish we need once more the fact that Px τA0 8 1 for π-almost all x P E. This completes the proof of Corollary 10.1. In the following corollary we give a result similar to the one in Theorem 10.3, but here we do not necessarily assume that Px τA0 8 1 for πalmost all x P E. Corollary 10.3. Define the measures π1 and π8 by the equalities: » E

f pxq dπ1 pxq inf sup

»

P P

ℓ Nn N A

ℓinf sup PN P

Ex

»

Ex

n N A

» E

f pxq dπ8 pxq sup inf

P

P

P

ℓ N

^n ¸

T ℓ f pX pk qq dπ pxq

k 1 1 τA

f pX pk

z

»

ℓqq dπ pxq, and (10.37)

k 1

»

ℓ N n N E A

sup ninfPN

^ ¸

1 τA n

z

E A

Ex T ℓ f pX pnqq , τA0

Ex f pX pn

¥n

ℓqq , τA0

¥n

dπ pxq

dπ pxq, (10.38)

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MarkovProcesses


660

where the function f ¥ 0 belongs to L1 pE, π q. Then the measures π1 and π8 are T -invariant, and they split the measure π: »

f dπ E

If, Px τA0

»

»

f dπ1 E

E

f dπ8 , f

P L1 pE, πq .

(10.39)

8 1 for π-almost all x P E, then π8 0 and π1 π.

Since f ¥ 0, the infima and suprema in (10.37) and (10.38) are in fact limits. This observation follows from the equality in (10.40) and the invariance of the measure π. From (10.36) we get:

Proof. »

Ex

A

^n ¸

1 τA

f pX pk

ℓqq dπ pxq

k 1

» A

» E

^ ¸

1 τA n

Ex

T ℓ f pX pk qq dπ pxq

k 1

T ℓ f pxqdπ pxq

» E

»

z

E A

Ex rf pX pn

»

ℓqq , τA

z

E A

Ex T ℓ f pX pnqq , τA0

f pxq dπ pxq.

¥ ns dπpxq ¥n

dπ pxq

(10.40)

The splitting in (10.39) follows from (10.40). If Px τA0 8 1 for πalmost all x P E, then Corollary 10.1 yields π8 0, and hence π1 π. This completes the proof of Corollary 10.3. 10.2

Markov processes and invariant measures

In what follows we establish in the continuous time setting an analog to ( Theorem 10.3. The semigroup esLA : s ¥ 0 which we will use is defined by: esLA f pxq Ex rf pX psqq : τA

¡ ss ,

f

P Cb pE q.

(10.41)

Its generator LA is pointwise defined by LA f pxq lim

Ó

t 0

etLA f pxq f pxq1E zAr pxq t

(10.42)

for all functions f P Cb pE q for which these limits exist for all x P E. Note that etLA f pxq LA f pxq 0 for x P Ar . The semigroup esLA lives on E zAr . Let g P Cb pE q. Then the function Lg is defined to the extent to ehL g pxq g pxq which the pointwise limit Lg pxq lim , x P E, exists. In h Ó0 h

October 7, 2010

9:50


MarkovProcesses

Invariant measure

661

Theorem 10.13, which is a consequence of Theorem 10.12 it will be shown under what conditions there exists, up to a multiplicative constant, a unique σ-finite invariant measure which is finite on compact subsets. The result should be compared with (10.24) in Theorem 10.4. Theorem 10.5. Suppose that the state space E of the irreducible timehomogeneous Markov process X is Polish. Let A P E be such that Px rτA 8s 1 for π-almost all x P E. Let π be a σ-finite invariant measure, and let f P L1 pE, π q, f ¥ 0. So it is assumed that the Borel measure π is ³such that for every compact subset K the following (in-)equalities hold: ³ hL 0 ¤ P r X p h q P K s dπ p x q π p K q 8 . It then follows that e f dπ E x E ³ 1 f dπ, for all f P L p E, E, π q . Then the following equalities hold: E e

e

hL

hLA

»h

e

0

0 » t

esLA f ds

esLA f ds,

(10.43)

0

»h

ehL I

eρLA f dρ 0

»8

esLA f ds,

0

(10.44)

» »h

»t

esLA f ds dπ

eρLA etLA f dρ dπ E

0

» »h

0

eρLA f dρ dπ, E

0

»

Ó

h 0

E

» E

eρLA etLA f dρ

f ds

ehL I

»8

ehL ehLA

lim

ehL ehLA h

ehL ehLA »

lim

Ó

h 0

E

»

Ñ8

etLA f dπ E

(10.45)

»t

»

»

esLA f ds dπ Ar

esLA f ds dπ

0

»8

etLA f dπ

f dπ

0

»8

ehL ehLA h

lim

t

»h sLA

eρLA f dρ 0

»

»t 0

ehL ehLA

E

»

E

eρLA f dρ dπ,

z

0

»

esLA f ds dπ

f dπ Ar

0

f dπ, E

(10.46)

»h E Ar

»

(10.47)

»

f dπ, and

(10.48)

E

0.

(10.49)

Suppose that the subset A possesses the additional properties that π rAr s 8, and 1 lim inf hÓ0 h

»

E

Ex EX phq rτA s , τA

¤h

dπ pxq

8.

(10.50)

October 7, 2010

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MarkovProcesses


662

Then the measure π is finite»and 1 Ex EX phq rτA s , τA π rE s π rAr s lim hÓ0 h E

¤h

dπ pxq.

(10.51)

The discrete analog of formula (10.43) is the formula in (10.28). The finiteness result in (10.50) and hypothesis in Theorem 10.5 should be compared with the result in Corollary 10.5 under the assumption in (10.292). Here Ar stands for the collection of regular points of A: Ar tx P A : Px rτA 0s 1u . From Blumenthal’s zero-one law we know that Px rτA 0s 0 or 1. Since the paths are right-continuous it follows that Ar A, where A is the (topological) closure of A.

Remark 10.2. Suppose that for any function g ¥ 0 which is such hL that the function e I g belongs to ³L1 pE, E, π q, and is such that ³ hL e I g dπ ¤ 0, then, by hypothesis, ehL I g dπ 0. The proof of Theorem 10.5 then shows that the equality in (10.49) holds: see equality (10.56) and the inequalities (10.64) and (10.65) below. However, such a hypothesis does not seem to be realistic. The present proof uses (10.256) in Proposition 10.7 below: see inequality (10.270). [Proof of Theorem 10.5.] The equality in (10.43) is a consequence

Proof. of

I

ehL

A

»t 0

esLA f ds

»h

eρLA f dρ f 0

etL

A

f.

Notice that all terms in (10.43), except the last one, are non-negative provided that f ¥ 0. The equality in (10.45) follows by integrating the lefthand and right-hand side of (10.43) with respect to the invariant measure π ³t whereby the fact has been used that functions of the form 0 esLA f ds belong to L1 pE, E, π q for t P p0, 8q. Let B P E, and let g P L1 pE, E, π q. Since »

³h

»

eρLA dρ g dπ g dπ (10.52) hÓ0 B h B pE zAr q the equality in (10.46) follows from (10.45). Since, by assumption, A is recurrent, in (10.43) we can let t tend to 8 to obtain (10.44). Moreover, from (10.45) we deduce 0

lim

»

E

¤

ehL ehLA h ³h

»

0 E

e

ρL

h

dρ

»t

e

sLA

f ds dπ

0

1E zAr f dπ

¤

³h

»

0

»

E

z

E Ar

eρLA dρ 1E zAr f dπ h

f dπ.

(10.53)

October 7, 2010

9:50


MarkovProcesses

Invariant measure

663

Letting t Ò 8 in (10.53) and invoking monotone convergence we see »

E

³

Next we show that write: »

e

e

hL

E

hLA

»8

ehL ehLA h

»8

0

ehL I

E

e

sLA

¤

esLA f ds dπ

³8 0

»

e

hL

E

(10.54)

f dπ.

z

E Ar

0.

esLA f ds dπ

tlim Ñ8

f ds dπ

0

»

e

For this purpose we

hLA

»t

esLA f ds dπ 0

(the measure π is invariant)

tlim Ñ8

»

» »

E h

E

0

I ehLA

»t

esLA f ds dπ 0

eρLA f dρ dπ lim

» »h

tlim Ñ8

» »h

eρLA dρ I E

0

etL

A

eρLA etLA f dρ dπ.

Ñ8

t

E

f dπ

(10.55)

0

From (10.55) we obtain: » E

ehL I »

»8

esLA f ds dπ

0

ehL ehLA

E

» »h E

»8 0

esLA f ds dπ

eρLA f dρ dπ lim

0

tlim Ñ8

» »h E

» »h

Ñ8

t

e pρ

E

A

»8

esLA f ds dπ

0

eρLA etLA f dρ dπ

» »h

eρLA f dρ dπ E

0

1E zAr f dρ dπ.

0

From (10.56) we see that for f

E

0

ehL

I

q

t LA

»

E

»

(10.56)

¥ 0, f P L1 pE, E, πq, the inequality

ehL I

»8

esLA f ds dπ

0

¤0

(10.57)

holds. In order to prove the reverse inequality we proceed as follows. Let g P D pLA q L1 pE, E, π q be arbitrary. Then we have » »h E

¤

0

eρLA etLA 1E zAr f dρ dπ

» »h E

»

E

0 »h 0

» »h

epρ tqLA 1E zAr pf LA g q dρ dπ epρ tqLA 1E zAr f LA g dρ dπ

E

» E

epρ

q LA g dρ dπ

t LA

0

eph tqLA g dπ

»

etLA g dπ E

October 7, 2010

9:50



664

¤

MarkovProcesses

» »h E

h

1E zAr f

E

eph

t L

0

»

»

q 1E zAr f LA g dρ dπ

epρ

LA g dπ

»

E

q g dπ

»

E

etLA g dπ

t LA

»

eph tqLA g dπ

E

etLA g dπ.

(10.58)

E

From (10.56) and (10.58) we obtain » E

ehL I

¥ h

»

E

»8

esLA f ds dπ

0

1E zAr f

(10.59) »

LA g dπ

lim inf

Ñ8

t

E

etLA g dπ

»

eph

E

q g dπ .

t LA

³

From the equality in (10.45) it follows that the limit limtÑ8 E etLA g dπ exists and is finite for g P L1 pE, E, π q. Consequently, the inequality in (10.59) entails »

e E

hL

I

»8

e

sLA

f ds dπ

0

¥ h

» E

1E zAr f

LAg dπ

(10.60)

for³ all g P D pLA q L1 pE, E, π q. Fix α ¡ 0 but small, and put gα 08³ eαs esLA f³ ds. Then the function gα belongs to L1 pE, E, πq; in fact α E gα dπ ¤ EzAr f dπ. In addition, we have

LA gα »8 1EzA f pαI LA q eαsesL

1E zAr f

r

A

f ds

α

»8

0

1EzA f 1EzA f r

α

r

»8 0

eαs esLA f ds

0

eαs esLA f ds α

»8

eαs esLA f ds. (10.61)

0

By (10.256) in Proposition 10.7 below we see that lim α

Ó

α 0

» »8 E

eαs esLA f ds dπ

0

0.

(10.62)

Observe that the proof of Proposition 10.7 does not depend on Theorem 10.5: see inequality (10.270). From (10.57), (10.60), (10.61) and (10.62) we infer »

lim

Ó

h 0

E

ehL I

»8 0

esLA f ds dπ

0.

(10.63)

Using this fact, and integrating the equality in (10.44) results in equality (10.47). Dividing the terms in (10.47) by h ¡ 0, letting h Ó 0, and employing (10.52) leads to the equality in (10.48).

October 7, 2010

9:50


MarkovProcesses

Invariant measure

665

The proof of the equality in (10.49) follows from the arguments leading to (10.58). More precisely, let h ¡ 0 be arbitrary. Then we have »

e

tLA

f dπ

E

¤

»

e

tLA

f

E

³h 0

eρLA dρ f h

»

dπ

e

³ h ρL A tLA 0 e

dρ

h

E

f dπ

³ h ρL ³ h ρL » A e A dρ dρ tLA 0 e 0 e 1E zAr f f dπ e f dπ h h E E ³ h ρL ³h ρL » » A A dρ dρ tLA 0 e 0 e f dπ f dπ. e 1E zAr f h h E E »

tL

(10.64) Then (10.45), the inequalities in (10.58) together with (10.61) and (10.62) applied to (10.64) implies »

etLA f dπ

lim

Ñ8

t

E

¤

» 1E zAr f E

³h 0

eρLA dρ f dπ, h ¡ 0. h

(10.65)

Since the right-hand side of (10.65) tends to 0 when h Ó 0 the equality in (10.49) follows. The equality in (10.51) follows from (10.48) by putting f 1. Notice the equality »t

e 0

sLA

f pxq ds Ex

» t^τA 0

f pX psqq ds , f

¥ 0, t ¡ 0.


The following corollary is similar to Corollary 10.1 which in turn followed from the proof of Theorem 10.3. It is a direct consequence of (10.49). Corollary 10.4. Let the notation and assumptions be as in Theorem 10.5. Then the following equality holds for all f P L1 pE, E, π q: »

lim

Ñ8

t

10.2.1

z

E Ar

Ex rf pX ptqq , τA

¡ ts dπpxq 0.

(10.66)

Some additional relevant results

Theorem 10.6 is the most important result of the present subsection. We will assume that the squared gradient operator Γ1 exists for functions in the domain of the generator of our Markov process tpΩ, F , Pxq , pX ptq, t ¥ 0q , pϑt , t ¥ 0q , pE, E qu. For the definition of squared gradient operator the reader is referred to the formulas (5.2) and (5.3) in

October 7, 2010

9:50


MarkovProcesses


666

Chapter 5 or formula (7.7) in Chapter 7. Let v be a function ³in DpLq and t define the martingale Mv ptq by Mv ptq v pX ptqq v pX p0qq 0 Lv pX psqq. A consequence of Proposition 5.3 is the following equality: Ex v X t

p p qq v pX p0qq

Ex rhMv , Mv i ptqs

»t 0

»t 0

2 Lv X s ds

p p qq

Ex rΓ1 pv, v q pX psqqs ds.

(10.67)

Moreover, the separation property (a) in Proposition 9.1 has to be strengthened to inequality (10.68) in (a1 ): (a1 )

For every x P E zAr and every ε ¡ 0 there exists a function v such that the following inequality holds for all y P A:

pΓ1 pv, vq pxqq1{2 ε pvpxq vpyqq .

P D pL q (10.68)

The following remark serves to support the idea that in Theorem 10.5 it is not so obvious to take limits for h Ó 0. Remark 10.3. It is tempting to take the limit for h Ó 0 in equality (10.53) of Theorem 10.5. This limit would be

pL LA q

»t

e

sLA

f ds

e

0

tLA

f

1EzA f r

»t

However, it is not so clear how to define pL LA q Under the condition (a1 ) we will show that lim

Ó

h 0

ehL ehLA h

»t 0

esLA f ds.

L ³t 0

(10.69)

0

esLA f dspxq for x P Ar .

esLA f dspxq 0, x P E zAr .

(10.70)

Sometimes it is convenient to know circumstances under which an equality of the form Lf LA f 1Ar Lf , f P DpLq, holds. Such an equality is a consequence of hypothesis (a1 ). In addition we have »t

LA 0

esLA f ds etLA f

f,

on E zAr ,

(10.71)

an equality which was also employed in the proof of Theorem 10.5. We will need the following lemma: it resembles Proposition 9.1. A somewhat more sophisticated version will show that the limit in (10.42) is in fact a strict limit on E zAr provided that E zAr is an open subset of E. The latter is the case if A Ar is a closed subset of E, in other words, if all points of the closed set A are regular for the Markov process.

October 7, 2010

9:50


MarkovProcesses

Invariant measure

667

Lemma 10.1. Let x P E zAr , and suppose that (a1 ) is satisfied. Then the following equalities hold: Px rτA ¤ ts 0, and (10.72) lim tÓ0 t

pL LA q f pxq 0 for f P DpLq. (10.73) In addition: pL LA q f 1Ar Lf , and consequently LA f 1E zAr Lf for f P DpLq. If A is closed, then the limit in (10.42) and (10.72) can be taken uniformly on compact subsets of the open subset E zA, so that for f P DpLq the limit in (10.42) is in fact a limit in terms of the strict topology on E zA. Remark 10.4. Suppose that the subset A is closed. Then the convergence in (10.72) is uniformly for x in compact subsets of E zA. Since we have the following inclusion of events tX psq P Au tτA ¤ su, s ¡ 0, it follows that the paths of the Markov process tpΩ, F , Px q , pX ptq, t ¥ 0q , pϑt , t ¥ 0q , pE, E qu are necessarily Px -almost surely continuous. For this result see Proposition 4.6 in §4.4. Proof. [Proof of Lemma 10.1.] Fix x P E zAr and let ε ¡ 0. Then by assumption (a1 ) there exists a function v P DpLq such that on the event tτA ¤ tu the following inequality holds Px -almost surely: v pxq sup v py q

¤

t inf

P z

P

y E Ar

y Ar

v pX p0qq v pX pτA qq

min pLv py q, 0q 1tτA ¤tu » τA

Lv pX psqq ds 1tτA ¤tu .

(10.74)

³t

0

In (10.74) we write Mv ptq v pX ptqq v pX p0qq 0 Lv pX psqq ds, and we take expectations to obtain by the martingale property of the process t ÞÑ Mv ptq :

v pxq sup v py q

t inf

P z

P

y E Ar

y Ar

min pLv py q, 0q Px rτA

¤ ts

¤ Ex rMv pτA q , τA ¤ ts Ex rMv ptq , τA ¤ ts .

(10.75) Applying the Cauchy-Schwarz’ inequality to the right-hand side of (10.75) and employing the equality in (10.67) yields

v pxq sup v py q

¤

P

y Ar

Ex |Mv ptq|

2

» t

Ex 0

t inf

1{2

P z

y E Ar

min pLv py q, 0q Px rτA

¤ ts

pPx rτA ¤ tsq1{2

Γ1 pv, v q pX psqq ds

1{2

pPx rτA ¤ tsq1{2 .

(10.76)

October 7, 2010

9:50


MarkovProcesses


668

By continuity of the function y ÞÑ Γ1 pv, v q py q, y (a1 ) from (10.76) we obtain for 0 t ¤ tε :

v pxq sup v py q

t inf

P z

P

y E Ar

y Ar

¤ εt1{2 vpxq sup vpyq P

y Ar

P E, and using assumption

min pLv py q, 0q

pPx rτA ¤ tsq1{2

t inf

P z

y E A

min pLv py q, 0q , r

(10.77)

and hence Px rτA ¤ ts ¤ ε2 t for 0 t ¤ tε . This proves equality (10.72) in Lemma 10.1. We use the equality in (10.72) to prove that pL LA q f pxq 0. Therefore we write tL e f x

p q etL f pxq |Ex rf pX ptqqs Ex rf pX ptqq, τA ¡ ts| |Ex rf pX ptqq, τA ¤ ts| ¤ }f }8 Px rτA ¤ ts . (10.78) The equality in (10.73) follows from (10.72) and (10.78). Finally let f P DpLq. Equality (10.73) shows that pL LA q f py q 0 for y P E zAr . If y P Ar , then LA f py q 0. Consequently pL LA q f 1A Lf . A

r

In order to finish the proof of Lemma 10.1 we have to prove that the indicated limits are uniform on compact subsets of E zA when A is a closed subset of E. So from now on A is a closed subset of E. First we do this for the limit in (10.72). Let K be a compact subset of E zA, and let ε ¡ 0 be arbitrary. Then there exist functions vj P DpLq, 1 ¤ j ¤ N , such that K

N ¤

#

{ x P E zA : pΓ1 pvj , vj q pxqq

1 2

ε

+

vj pxq sup vj py q

P z

.

y E A

j 1

(10.79) E r Γ p v , v q p X p s qqs ds , y 1 j j By uniform continuity of the functions pt, y q ÞÑ 0 t 1 ¤ j ¤ N , on the compact subset r0, t0 s K, for t0 ¡ 0, the inclusion in (10.79) entails that there exists a strictly real number tε ¡ 0 such that N K j 1 Kj where x P K belongs to Kj if and only if the inequality ³t

» t

Ex 0

εt {

1 2

Γ1 pvj , vj q pX psqq ds

vj pxq sup vj py q

P

y A

1{2

t inf min pLv py q, 0q

P z

y E A

³t

(10.80)

t ¤ tε . Here, of course, 0 Ey rΓ1 pvj , vt j q pX psqqs ds is interpreted as Γ1 pvj , vj q py q when t 0. Let x P Kj . As in the proof of (10.72) we obtain Px rτA ¤ ts ¤ ε2 t for 0 t ¤ tε : see the inequalities in

holds for 0

October 7, 2010

9:50


MarkovProcesses

Invariant measure

669

(10.76) and (10.77). It follows that for 0 t ¤ tε and x P K we have Px rτA ¤ ts ¤ ε2 t. As a consequence we see that the limit in (10.72) is uniform for x P K, where K is an arbitrary compact subset of E zA, i.e. lim sup

Ó P

t 0 x K

Px rτA t

¤ ts 0,

for all compact subsets K of E zA.

(10.81)

The equality in (10.81) together with the inequality in (10.78) shows that the convergence in (10.42) is uniform for x in compact subsets of E zA. This concludes the proof of Lemma 10.1.

The following lemma shows that equality (10.71) holds. Lemma 10.2. The equality in (10.71) holds for f Proof.

P CbpE q.

The proof follows a standard procedure. We write »t

ehLA

»t 0

»t

0

»t 0

eps hqLA f pxq ds h

h »t h t

esLA f dspxq

esLA f pxqds esLA f pxqds

esLA f pxq ds

»t

»t 0 »h 0

0

esLA f pxq ds

esLA f pxq ds esLA f pxq ds.

(10.82)

Upon dividing (10.82) by h and sending h to zero we obtain the equality in (10.71). This completes the proof of Lemma 10.2. The following lemma shows that equality (10.70) holds. Lemma 10.3. The limit in (10.70) converges uniformly on compact subsets of E zAr . Proof. Without loss of generality we assume that f order to prove (10.70) we write »

»

¥ 0, f P Cb pE q.

In

t ehL ehLA t sLA 1 0¤ e f dspxq Ex esLA f pX phqq ds, 0 ¤ τA ¤ h h h 0 0 ¤ t }f }8 Px rτAh ¤ hs . (10.83) The equality in (10.70) follows from Lemma 10.1 and (10.83). This shows the claim in Lemma 10.3.

October 7, 2010

9:50


MarkovProcesses


670

The following theorem transfers properties of the invariant measure to properties on E zAr provided that certain conditions are satisfied. As in Theorem 10.5 the result should be compared with (10.24) in Theorem 10.4. Theorem 10.6. Let the hypotheses in Theorem 10.5 be strengthened with hypothesis (a1 ). It is understood that the measure π is L-invariant with properties as described in Theorem 10.5. Then the following equality holds for f P L1 pE, E, π q: »8

»

1 hÓ0, h¡0 h

ehL

lim

Ar

»

esLA f ds dπ

f dπ Ar

0

»

(10.84)

f dπ. E

Notice that 1Ar g 0 π-almost everywhere whenever g belongs the L1 domain of LA . This fact is used in (10.86) below. Proof. Let f ¥ 0 belong to L1 pE, E, π q. From equality (10.47) in Theorem 10.5 it follows that, in order to obtain (10.84), it suffices to prove that »

lim

Ó

z

h 0

E Ar

ehL ehLA h

»8

esLA f ds dπ

0

To achieve the equality in (10.85) we choose g and notice ehL ehLA 8 sLA e f ds h 0 » 8 hL hLA e h e esLA pf 0

0.

(10.85)

P DpLq D pDA q arbitrarily,

»

hLA

»8

A

»8

e h e hL hL e e hL

0

h

LA gq ds

0

esLA LA g ds

0 hL

hL LA gq ds e he hL pf LA gq ds e h I g

esLA pf esLA

»8

A

1E zAr g

ehLA I g. (10.86) h

Next we integrate (10.86) with respect to π and invoke (10.47) to obtain » E

z

Ar

ehL ehLA h

»

z

E Ar

»

e E

z

Ar

»8

esLA f ds dπ

0

ehL I g dπ h

hL

e h

hLA

»8 0

» E Ar

z

ehLA I g dπ h

esLA pf

LAgq ds dπ

October 7, 2010

9:50


MarkovProcesses

Invariant measure

¤

³h

»

eρLA dρ 1E zAr f h

0

»E

LA g dπ ¤

671

³h

»

0 E

eρL dρ 1E zAr f h

LA g dπ

|f LA g| dπ. (10.87) In (10.87) we let h Ó 0 and deduce, for g P DpLq D pLA q arbitrary, » »8 » » ehL ehL sL lim sup e f ds dπ Lg dπ L g dπ z

E Ar

A

Ó

¤

A

z

h 0

h

E Ar

»

z

E Ar

z

E Ar

0

|f LA g| dπ.

z

A

E Ar

(10.88) ³8

By taking g of the form g gα 0 eαs esLA f ds, and applying (10.256) in Proposition 10.7 below we get that the right-hand side of (10.88) is as small as we please: see (10.61) in the proof of Theorem 10.5. Using the arguments in Lemma 10.1, which depends directly on the hypothesis in (a1 ), we see that Lgα LA gα on E zAr . The inequality in (10.88) then entails the equality in (10.85), which completes the proof of Theorem 10.6. 10.2.2

An attempt to construct an invariant measure

In this subsection we will try to give a construction of an, up to a multiplicative constant, unique σ-finite measure provided the hypotheses of Theorem 10.5 are fulfilled. We will use Dynkin’s formula, and we will employ resolvent techniques: see (10.21). We will begin with establishing a number of relevant formulas, which we collect in Proposition 10.5 below. In what follows we employ the following notation: » Rpλqf pxq

pλI Lq1 f pxq »8

8

0

eλs esL f pxq ds

eλs Ex rf pX psqqs ds,

0 1 RA pλqf pxq pλI LA q f pxq » τ λs Ex e f pX psqq ds

(10.89)

A

»8 0

»8

0

eλs Ex rf pX psqq : τA

¡ ss ds

eλsesL f pxqds, 0 PA pλq pL λI q RA pλq I 1A ppL λI q RA pλq I q pλI Lq HA pλqRpλq 1A pλI Lq HA pλqRpλq, A

(10.90)

r

r

(10.91)

October 7, 2010

9:50


MarkovProcesses


672

where HA pλqf pxq

#

Ex eλτA f pX pτA qq ,

x P E zAr ,

(10.92) f pxq, x P Ar . The equalities in (10.91) follow from equality (10.130) in Proposition 10.4. Lemma 10.4. Let f P DpLq be such that HA pλqf equalities in (10.91) yield PA pλq pL λI q f pL λI q HA pλqf and λRpλq

#

λRpλq

1 eλ h ehL I RA λ1

»h

1 eλ h ehL I HA λ1 f

1 eλ s esL ds

+

0

P DpLq.

Then the (10.93)

L λ1 I f

(10.94) (10.95)

»h

λpλRpλq I q eλ1 s esL ds HA pλ1 qf λ1 λRpλq 0 for h ¡ 0, λ1 ¡ 0, and λ ¡ 0.

»h 0

1 eλ s esL ds HA pλ1 qf,

Proof. The equality in (10.93) is an immediate consequence of (10.91). The equality in (10.94) is a consequence of the following identities: RA λ1 L λ1 I f f HA λ1 f and (10.96) »h

1 1 eλ s esL L λ1 I f ds eλ h ehL f

f. (10.97) The equalities in (10.96) and (10.97) hold for f P DpLq, λ1 ¡ 0, and h ¡ 0. 0

The equality in (10.95) is closely related to (10.93). This can be seen as follows:# + »h λ1 h hL 1 λ1 s sL λRpλq e e I RA λ e e ds L λ1 I f

λRpλq

#

0

L λ1 I

λ L λ1 I Rpλq

»h

1 eλ s esL dsRA λ1

0

»h 0

»h

1 eλ s esL ds

0

1 eλ s esL ds RA λ1 L λ1 I

»h

+

L λ1 I f

(

I f

λ L λ1 I Rpλq eλ1 s esL ds HA λ1 f. (10.98) 0 Since LRpλq λRpλq I, equality (10.94) is a consequence of (10.98). In

order to obtain (10.98) we also used the identity » h λ1 s sL 1 L λ1 I e e f ds eλ h ehL f f, f 0

This completes the proof of Lemma 10.4.

P Cb pE q.

October 7, 2010

9:50


MarkovProcesses

Invariant measure

673

Next, fix h ¡ 0, λ ¡ 0, µ P M pAq, and f P Cb pE q. Here M pAq is the space of those (complex) measures µ P E which are concentrated on A; i.e. |µ| pE zAq 0 (see notation introduced prior to Theorem 2.2). We will also need the following stopping times, operators, and functionals: τA0,h τA1,h

inf tkh : k ¥ 0, k P N, X pkhq P Au , inf tkh : k ¥ 1, k P N, X pkhq P Au h

Lh pλqf pxq

ϑh ,

(10.100) 1 λh hL 1 λh e e I f pxq e Ex rf pX phqqs f pxq h h λh 1 Ex e f pX phqq f pX p0qq , (10.101) h

h HA pλqf pxq Ex

eλτA f X τA0,h 0,h

{ ¸

0,h τA h 1

h RA

(10.99) τA0,h

pλqf pxq hEx h

8 ¸

(10.102)

,

eλkh f pX pkhqq , τA0,h

¥ h

k 0

Ex eλkh f pX pkhqq , τA0,h

¥ pk

k 0 h

h PAh pλqpf q L pλqHA pλqLh pλq1 f

Lh pλqRAh pλqf h pλqLh pλq1 f pxq dµpxq. ΛhA,µ pλqpf q Lh pλqHA »

1 qh , f.

(10.103) (10.104) (10.105)

The second equality in (10.104) follows from equality (10.106) in Proposition 10.2 below. Instead of ΛhA,δx pλq we write ΛhA,x0 pλq, when µ δx0 is the Dirac 0 measure at x0 . Instead of Lh p0q we write Lh . For the definition of the stopping times τA0,h and τA1,h see (10.25) in Theorem 10.4. Put τA

inf ts ¡ 0 : X psq P Au hinf τ 1,h lim τA1,h . ¡0 A hÓ0

Proposition 10.2. The following identity holds: h HA pλq I

h RA pλqLh pλq, h ¡ 0, λ ¡ 0.

(10.106)

Moreover, the equality in (10.106) is equivalent to equality (10.120) beh low. In addition, HA pλqRAh pλq 0, and hence HAh pλq2 HAh pλq. If

Px τA0,h 8 1 for all x P E, then equality (10.106) holds for λ 0. If A is recurrent in the sense that Px rτA 8s 1 for all x P E, then HA p0q I RA p0qL, and HA p0q2 HA p0q, where HA p0qf pxq Ex rf pX pτA qq , τA 8s.

October 7, 2010

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MarkovProcesses


674

Let us check the equality in (10.106). To this end we consider:

Proof. h RA

pλqL pλqf pxq h

h

8 ¸

Ex eλkh Lh pλqf pX pkhqq , τA0,h

¥ pk

1 qh

k 0

8 ¸

(

Ex eλkh eλh EX pkhq rf pX phqqs f pX pkhqq , τA0,h

¥ pk

1qh

k 0

8 ¸

eλpk

q Ex EX pkhq f pX phqq , τ 0,h ¥ pk A

1 h

1 qh

k 0

8 ¸

eλkh Ex f pX pkhqq , τA0,h

k 0

!

(observe that the event τA0,h the strong Markov property

8 ¸

eλpk

q Ex f pX ppk

1 h

¥ pk

1 qh

)

¥ pk

1qh is Fkh -measurable) and employ

1qhqq , τA0,h

¥ pk

1qh

k 0

8 ¸


¥ pk

1 qh

k 0

8 ¸


¥ kh f pxq

k 0

8 ¸


¥ pk

1 qh

k 0

8 ¸

k 0

Ex



kh f pxq

f pxq HAh pλqf pxq f pxq.

The equality in (10.107)is the same as (10.106). 0,h h pλqf pxq If x P A, then Px τA 0 1 and so RA

(10.107)

0.

Since

P A it follows that, for λ ¡ 0, h HA pλqRAh pλqf pxq Ex eλτ RAh f X τA0,h 0. (10.108) The assertions for h λ 0 follow by taking limits with respect to λ Ó 0 and h Ó 0 in the corresponding equality (10.106).

X

τA0,h

0,h A


October 7, 2010

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MarkovProcesses

Invariant measure

675

Proposition 10.3. The following equalities hold for f and h ¡ 0: h pλqf pxq Lh pλqRA 1 1,h h τ 1 A ¸

Ex

f pxq


0

k 0

1 1,h h τ A 1 ¸ Ex eλkh f X kh

1 1,h h τ A 1 ¸ Ex eλkh f X kh Px τA0,h

p p qq , τA0,h 0 Px

P Cb pE q, λ ¥ 0,

τA0,h

0

k 0

p p qq

0

k 0

1 0,h h τA 1 ¸ λh hL e e Epq eλkh f X kh

p p qq ,

k 0

f pxq Px τA0,h

0

h Lh pλqRA pλqf pxq n ¸

k 0

eλpk

f pxq Px τA0,h

f pxq Px τA0,h

0

0

0

τA0,h

0

q e Epq f pX pkhqq, τ 0,h ¥ pk A

1 h hL

f pxq Px τA0,h

¥ h pxq Px

1 λh hL h e RA pλqf pxq e h

nlim Ñ8

τA0,h

1qh pxq Px τA0,h

0

(10.109)

.

In addition, the following assertions are true: (a) The following formula holds: h Lh pλqRA pλq

2

1A LhpλqRAh pλq I . (10.110) This formula is also valid with λ 0 provided that A is h-recurrent in the sense that Px τA0,h 8 1 for all x P E. If A is recurrent, i.e. if Px rτA 8s 1 for all x P E, then the operator PA p0q LRA p0 q I I

is a projection operator. (b) For f ¥ 0 the function PAh pλqf is non-negative, and the function λ ÞÑ PAh pλqf pxq increases when λ decreases. In addition, by the fifth equality in (10.109) it follows that with h hn 2n h1 the sequence n ÞÑ n 1 PA2 h pλq increases where h1 ¡ 0 and λ ¥ 0 are fixed.

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MarkovProcesses


676

The equalities in (10.109) are the same as those in (10.119). They will be employed to prove that the invariant measure we will introduce is σ-finite. h pλq to obtain Proof. We use the definitions of the operators Lh pλq and RA h h L pλqRA pλqf pxq f pxq

8 ¸

eλkh eλh ehL I Epq f pX pkhqq , τA0,h

8 ¸

¥ pk

1 qh

pxq

f pxq

k 0

eλpk

q e Epq f pX pkhqq , τ 0,h ¥ pk A

1 h hL

1 qh

pxq

k 0

8 ¸


¥ pk

1qh

f pxq

k 0

8 ¸

eλpk

q Ex EX phq f pX pkhqq , τ 0,h ¥ pk A

1 h

1qh

k 0

8 ¸


¥ pk

1qh

f pxq

k 0

(Markov property)

8 ¸

eλpk

q Ex f pX pk

1 h

1q hq , τA0,h ϑh

¥ pk

1qh

k 0

8 ¸


¥ pk

1qh

τA0,h ϑh

¥ pk

f pxq

k 0

8 ¸

eλkh Ex f pX pkhqq , h

1qh

k 1

8 ¸


¥ pk

1qh

f pxq

k 0

8 ¸


¥ pk

1 qh

k 1

8 ¸


k 1

(a sum of the form

Ex k

1qh

f pxqPx τA0,h

°k2

αk is interpreted as 0 if k2 k1 )

k k1

1,h h1 τA 1

¸

¥ pk

ph1 τA0,h q_1

eλkh f pX pkhqq

f pxqPx τA0,h

0

0

October 7, 2010

9:50


MarkovProcesses

Invariant measure

Ex k

ph1 τA0,h q_1


¸

k

ph1 τA0,h q_1 !

(on the event τA0,h

¥h


)

the equality τA1,h


p p qq ,

0

f pxqPx τA0,h

0

1,h h1 τA 1

Ex

1,h h1 τA 1

¸

677

¥ h

τA0,h holds Px -almost surely)

τA0,h

0

f pxqPx τA0,h

0

k 1


p p qq , τA0,h 0 .

(10.111)

k 0

The equality in (10.111) shows the first equality The second in (10.109). 0,h and third equality follow from the equality Px τA 0 1 which is true

if and only if x P A. The fourth equality in (10.109) is a consequence of the Markov property in conjunction with the third equality. The fifth h pλq. The sixth equality just follows from the definition of the operator RA equality follows from Lebesgue’s dominated convergence theorem, or from the monotone convergence theorem if f ¥ 0. (a). In order to prove assertion (a) in Proposition 10.3 we consider h Lh pλqRA pλq

I

2

LhpλqRAh pλq I LhpλqRAh pλq Lhpλq RAh pλqLh pλq I RAh pλq

h Lh pλqRA pλq

L pλq h

h RA

pλq

I I

(apply the equality in (10.106) and the final assertion in Proposition 10.2)

LhpλqHAh pλqRAh pλq LhpλqRAh pλq LhpλqRAh pλq I. By taking limits as λ Ó 0, and h Ó 0 in h Lh pλqRA pλq I 2 Lh pλqRAh pλq I

I (10.112)

the final conclusion in assertion (a) of Proposition 10.3 follows. Since 1A pxq Px τA0,h 0 the final equality in (10.110) follows from (10.109).

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MarkovProcesses


678

(b). Observe that by the equalities in (10.109) and the definition of the h operator RA pλq we have L pλq h

h RA

h1 1A

pλq

I

1A

L pλq h

h RA

pλq

I

1A

eλh ehL I h RA pλq h

h eλh ehL RA pλq

I

(10.113)

I .

From (10.113) it follows that for f ¥ 0 the function PAh pλqf is non-negative, and that the function λ ÞÑ PAh pλqf pxq increases when λ decreases. In addition, by the fifth equality in (10.109) it follows that for h 2n h1 the n 1 sequence n ÞÑ PA2 h pλq where h1 ¡ 0 and λ ¥ 0 are fixed. The equality in (10.112) and the latter observations complete the proof of Proposition 10.3. Fix µ P P pE q. An attempt to define an invariant measure π goes as follows. It is determined by the functional ΛA,µ : f

lim ÞÑ lim hÓ0 λÓ0

lim lim hÓ0 λÓ0 lim lim hÓ0 λÓ0 lim hÓ0

»

» »

»

λI

Lh pλq

1

h HA pλq λI Lh pλq

h Lh pλq HA pλq I Lh pλq1 f pxq dµpxq

»

h Lh pλqRA pλqf pxq dµpxq

»

h Lh RA p0qf pxq dµpxq

f pxq dµpxq »

f pxq dµpxq

f pxq dµpxq

f pxq dµpxq.

(10.114)

In (10.114) we employed equality (10.106). Let us try to check the Linvariance of the functional in (10.114). To this end we fix f P DpLq. Then Lf ΛA,µ Lf

lim Lh pλqf Lf, Tβ - lim hÓ0 λÓ0

lim lim ΛhA,µ pλq hÓ0 λÓ0 »

Lh pλqf

and

lim lim hÓ0 λÓ0

»

h Lh pλqHA pλqf dµ

1 h h lim lim Ex eλh HA p λqf pX phqq HA p λqf pxq dµpxq hÓ0 λÓ0 h A » 1,h 1 Ex eλτA f X τA1,h lim lim hÓ0 λÓ0 h A

Ex


(for x P E zA the equality τA1,h 1 lim lim hÓ0 λÓ0 h

» E

dµpxq

τA0,h holds Px-almost surely)

Ex eλτA f X τA1,h 1,h

October 7, 2010

9:50


MarkovProcesses

Invariant measure

eλτA f X τA0,h

Ex

0,h

» 1

lim lim hÓ0 λÓ0 h

E

679

dµpxq

Ex eλτA f X τA0,h

1,h

ϑh

Ex eλτA0,h f X τA0,h dµpxq » h eλh lim Ex eλτA ϑh f X τA0,h ϑh lim hÓ0 λÓ0 h E 0,h λτA dµpxq Ex e f X τ 0,h A

» eλh

lim lim hÓ0 λÓ0

h

E

Ex eλτA0,h f X τA0,h » 1

lim hÓ0 h

Ex

1 lim hÓ0 h

E

»

eλτA f X τA0,h

E

h

dµpxq

Ex EX phq f X τA0,h 0,h

Ex EX phq eλτA f X τA0,h

dµpxq

h ehL I HA f pxq dµpxq.

(10.115)

Hence, if µ were an invariant Borel measure, then the expression in (10.115) would vanish. So the expression for ΛA,µ does not automatically lead to an invariant measure. So that there is a problem with the invariance, although (10.114) yields a measure. In order to take care of that problem we will assume that for every f P Cb pE q there exists a sequence of strictly positive real numbers pλn qnPN , which decreases to zero, and is such that P f : Tβ - lim λn R pλn q f exists for all f P Cb pE q. Notice RpP q N pLq

Ñ8

n

and that, by the resolvent identity P 2 P , i.e. P is a projection on the zero-space of the operator L. Fix x0 P Ar . Then, in general, the formula

2 ÞÑ nlim Ñ8 λn pλn I Lq HA pλn q R pλn q f px0 q 2 nlim λn pλn I Lq pHA pλn q I q R pλn q f px0 q λn R pλn q f px0 q Ñ8 nlim Ñ8 pL λn q RA pλn q pλn R pλn q f q px0 q nlim Ñ8 λn R pλn q f px0 q LRA p0 qP f px0 q P f px0 q (10.116) does not provide an invariant measure either. Suppose e.g. that N pLq consists of the constant functions. Then by taking f 1 in (10.118) below

f

we have LRA p0

q1pxq

h 1pxq lim lim Lh pλqHA pλqLh pλq1 1pxq

Ó Ó

h 0 λ 0

October 7, 2010

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MarkovProcesses


680

h lim Lh pλqHA lim pλqLh pλq1 1pxq hÓ0 λÓ0

1 lim I eλh ehL lim hÓ0 λÓ0 1 eλh

(Ex τA0,h

Ex eλτA

1 lim lim hÓ0 λÓ0 1 eλh

0,h

Ex eλτA λ lim lim hÓ0 λÓ0 1 eλh 1 1,h lim Ex τA τA0,h , τA1,h hÓ0 h

0 for x P A, and Px

τA1,h

1 lim 1A pxq hÓ0 h 1 lim 1A pxq hÓ0 h

h HA pλq1pxq

eλτ

eλτ

0,h

1,h A

1,h A

, τA1,h

¡ τA0,h

λ

¡

τA0,h

τA0,h 1 for x P E zA)

τAh ϑh

Ex τA1,h

Ex h

(Markov property)

1 lim 1A pxqehL Epq τA0,h pxq 1 hÓ0 h 1A pxqLEpq rτA s pxq 1 (10.117) ! ) where τA inf τA0,h : h ¡ 0 . If possible choose x0 P A in such a way that LEpq rτA s px0 q 8. Then LRA p0 q1 px0 q 1 px0 q 8. It follows that for f P Cb pE q, f ¥ 0, the expression LRA p0 qP f px0 q P f px0 q is either 8, in case P f 0, or 0, in case P f 0. Observe that, under the hypothesis “the space N pLq consists of the constant functions”, P f is a constant ¥ 0. The reader is cautioned that the symbol LRA p0 qf pxq f pxq is a shorthand notation for the following limit: LRA p0

qf pxq

h f pxq lim lim Lh pλqRA pλqf pxq

Ó Ó

h 0 λ 0

f pxq

h lim lim Lh pλq HA pλq I Lhpλq1 f pxq hÓ0 λÓ0 h pλqLh pλq1 f pxq. lim lim Lh pλqHA hÓ0 λÓ0

f pxq (10.118)

h The symbols Lh pλq, RA pλq, and HAh pλq are explained in (10.105). Since P Lf 0 it follows that the “measure” determined by (10.116) is Linvariant, but not necessarily σ-finite; the expression in (10.118) is either 0

October 7, 2010

9:50


MarkovProcesses

Invariant measure

681

or 8. In case the measure π is σ-finite, then there exist functions f ³ f ¥ 0, such that 0 f dπ 8.

P CbpE q,

Suppose that for every sequence pfn : n P Nq which decreases pointwise to zero the sequence psup0 λ 1 λRpλqfn : n P Nq decreases to the zero-function uniformly on compact subsets. Then the family tλRpλq : 0 λ 1u is Tβ -equi-continuous, and Tβ - limλÓ0 λRpλqf P f exists for all f P Cb pE q, provided that the vector sum RpLq N pLq is Tβ -dense in Cb pE q. Some of the formulas we need are the following ones: h pλqf pxq Lh pλqRA 1 1,h h τ 1

Ex

A ¸

f pxq

eλkh f pX pkhqq Px τA0,h

0

k 0

1 0,h h τA 1 ¸ eλh ehL Epq eλkh f X kh

k 0

f pxqPx τA0,h

p p qq , τA0,h ¥ h pxq Px

Ó

h 0

τA0,h

0

0 , h HA pλq I Lhpλq1 RAh pλq, RAh pλqLh pλq I eλh ehL HAh pλq, h p0qLhf px0 q lim Lh RA

(10.119)

h HA

pλq

h HA

pλq

2

(10.120) , and (10.121)

h Lh f px0 q lim Lh HA p0qf px0 q 0, x0

Ó

h 0

P E zAr .

(10.122)

pλq L pλq pλq I. Then h PAh pλqLh pλq Lh pλq RA pλqLh pλq I Lh pλqHA pλq.

We also write

PAh

h

h RA

(10.123)

Observe that the equalities in (10.119) are proved in Proposition 10.3: see (10.109). Notice that (10.106) is equivalent to (10.120), and that the equalities in (10.107) prove this equality. The second equality in (10.123) is a consequence of (10.120). Put PA p0qf

LRA p0 qf

h lim lim Lh pλqRA pλqf f. hÓ0 λÓ0 Then from (10.123) we infer informally that PA p0qLf LHA p0qf , f P DpLq. More precisely, for f P DpLq, and λ ¡ 0 we have λRpλqPA p0qLf λLRpλqHA p0qf λ pλRpλq I q HA p0qf. (10.124) The expression in (10.124) is uniformly bounded in λ ¡ 0, and converges uniformly to zero when λ Ó 0. Some other ideas will be proposed next. Let

f

October 7, 2010

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MarkovProcesses


682

µ ¥ 0 be any positive measure on E. Then we define the measure π via the functional: »

ÞÑ lim λ RpλqPA p0qf dµ, f ¥ 0, f P Cb pE q. λÓ0 Then for f P DpLq and µ a bounded Borel measure we have » » lim λ RpλqPA p0qLf dµ lim λ RpλqLHA p0qf dµ λÓ0 λÓ0 f

(10.125)

»

λ pλRpλq I q HA p0qf dµ 0. (10.126) lim λÓ0 If µ is a probability measure which is concentrated on Ar A, then the expression in (10.125) can be employed to define a non-trivial invariant measure π. So that » » f dπ

lim λ λÓ0

RpλqPA p0qf dµ.

The invariance follows from (10.126). The existence follows from the assumption that the subspace RpLq N³pLq is Tβ³-dense in Cb pE q. The nontriviality follows from the fact that 1dπ ¥ 1dµ 1: compare with (10.117). The σ-finiteness follows from the assumption that the subset A is recurrent, i.e. Px rτA 8s 1 for all x P E together with (10.118). Suppose x P Ar . Then the limits in (10.118) are in fact suprema, provided the numbers h are taken of the form 2n h1 , h1 ¡ 0 fixed, and n Ñ 8. Moreover, the expression in (10.118) vanishes for x P A. In addition, we need the fact that n 1 n 1 τA inf lim τA1,2 h inf inf τA1,2 h inf ts ¡ 0 : X psq P Au . 1 1 n Ñ8 h ¡0 h ¡0 nPN (10.127) If A is an open subset, then in (10.127) we may fix h1 ; e.g. h1 1 will do. As throughout this book we assume that the paths are Px -almost surely right-continuous. In order to finish the arguments we need Choquet’s capacity theorem, which states that for x P Ar the stopping time τA can be approximated from above by hitting times of compact subsets K of A, and form below by hitting times of open subsets:

inf

K A, K compact

τK

τA

sup

τU , Pµ -almost surely.

(10.128)

U A, U open

For more details see §4.5. In particular, see the proof of Theorem 4.6; the equality in (4.248) is quite relevant. In the remaining part of this subsection the operators L and LA have to be interpreted in the pointwise sense. For x P E we have etL f pxq f pxq 1 Lf pxq lim lim pEx rf pX ptqq f pX p0qqsq , tÓ0 t Ó 0 t t

October 7, 2010

9:50


MarkovProcesses

Invariant measure

683

and etLA f pxq f pxq1E zAr pxq tÓ0 t 1 lim pEx rf pX ptqq, τA ¡ ts Ex rf pX p0qq, τA tÓ0 t

LA f pxq lim

¡ 0sq .

(10.129)

As a consequence LA f pxq 0 for x P Ar .

Proposition 10.4. For λ ¡ 0 and x P E the equality

pλI Lq HA pλqf pxq 1A pxq pλI Lq HA pλqf pxq (10.130) holds for f P Cb pE q with the property that HA pλqf belongs to the pointwise domain of L. Moreover, the function RA pλqf belongs to the (pointwise) domain of L if and only if the same is true for the function HA pλqRpλqf . Proof. On E zAr the equality in (10.130) follows from Lemma 10.1 equalr

ity (10.72): see Proposition 10.11 below as well. x P E zAr , λ ¡ 0 and h ¡ 0 we have

More precisely, for

I eλh ehL HA pλqf pxq

Ex

eλτA f pX pτA qq

eλh Ex

Ex

EX phq eλτA f pX pτA qq

(Markov property)

Ex

eλτA f pX pτA qq

eλhλτA ϑh f pX ph

(on the event tτA

Ex

eλτA

¡ hu the equality h f pX pτA qq eλhλτ

τA ϑh qq

τA ϑh A

ϑh

τA holds Px-almost surely) f pX ph τA ϑh qq , τA ¤ h .

(10.131)

The equality in (10.130) now follows from Lemma 10.1 equality (10.72). From the strong Markov property the Dynkin’s formula follows: Rpλqf pxq RA pλqf pxq

HA pλqRpλqf pxq,

f

P Cb pE q,

x P E, (10.132)

or equivalently,

pλI Lq pRA pλqf HA pλqRpλqf q . (10.133) Let f P Cb pE q. Hence, from (10.133) it follows that the function RA pλqf f

belongs to the (pointwise) domain of L if and only if the same is true for the function HA pλqRpλqf . This completes the proof of Proposition 10.4.

October 7, 2010

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MarkovProcesses


684

If A P E, then τA denotes its first hitting time: τA

inf ts ¡ 0 : X psq P Au.

Proposition 10.5. Suppose that the Borel subset A is such that it possesses the almost separation property as defined in Definition 9.2 with D DpLq. The following identity holds for all λ ¡ 0 and f P Cb pE q: Rpλqf

RA pλqf Rpλq pL LA q RA pλq Rpλq p1A f q . Let f P Cb pE q and λ ¡ 0 be such that the function r

x ÞÑ RA pλqf pxq pλI LA q1 f pxq Ex

» τA 0

(10.134)

eλs f pX psq dsq

(10.135) belongs to the pointwise domain of the operator L. Then the following equality holds:

pL LA q Epq

» τA

pλI Lq Epq

0

eλs f pX psqq ds

eλτA pλI

pxq

Lq1 f pX pτA qq pxq 1A pxqf pxq. r

(10.136) Proof. The equality in (10.136) is just a rewriting of (10.134). The equality in (10.134) can be obtained by noticing that

pλI LA q RA pλqf 1EzA f.

(10.137)

r

The equality in (10.137) follows from the following identities: RA pλqf pxq eλδ eδLA RA pλqf pxq

»8 0

eλs esLA f pxq ds

»8 δ

eλs esLA f pxq ds

»δ 0

eλs esLA f pxq ds. (10.138)

After dividing by δ ¡ 0 and letting δ tend to 0 we see that (10.137) follows. The equality in (10.134) then follows from L LA pλI LA q pλI Lq together with Dynkin’s formula (10.132). This completes the proof of Proposition 10.5. 10.2.3

Auxiliary results

Theorem 10.12 below yields the existence of an invariant σ-finite Borel measure provided that there exists a compact recurrent subset A. Originally it was assumed that the set Ar , i.e. the set of regular points of A coincides

October 7, 2010

9:50


MarkovProcesses

Invariant measure

685

with A. Instead of the operator QA , as defined in (10.210), the operator HA : Cb pr0, 8q E q Ñ Cb pE q defined by HA g pxq Ex rg pτA , X pτA qqs Ex rg pτA , X pτA qq , τA

8s ,

(10.139)

was employed. Only in case Ar A one can be sure that the function HA g is continuous whenever g is a bounded continuous function on r0, 8q E. For some of the consequences of the assumption A Ar see Lemma 10.12 below: notice that the equality in (10.139) is the same as (10.280) in Lemma 10.12. The operator QA assigns bounded continuous functions to bounded continuous functions automatically. Recall that a Markov process with transition function P pt, x, B q is strong Feller whenever every function x ÞÑ P pt, x, B q, pt, B q P p0, 8q E, is continuous: see Definitions 2.5 and 2.16 as well. The following result reduces the existence of an invariant measure for the Markov process given by (9.14) to that of a Markov chain. In fact our approach is inspired by results due to Azema, Kaplan-Duflo and Revuz [Azéma et al. (1966, 1965/1966, 1967)]. Basically, the process t ÞÑ X ptq is replaced by the chain pn, ω, λq ÞÑ X pTn pλq, ω q, pn, ω, λq P N Ω Λ, where the process pn, λq ÞÑ Tn pλq, pn, λq P N Λ, are the jump times of an independent Poisson process of intensity λ0 ¡ 0

(

(10.140) pΛ, G, πt qt¥0 , pN ptq, t ¥ 0q , ϑPt : t ¥ 0 , r0, 8q . This means that Tn inf tt ¡ 0 : N ptq ¥ nu, n P N. The process n ÞÑ Tn °n can be realized as a random walk: Tn k1 Zk . Here the sequence pZk : k P N, k ¥ 1q is a sequence of independent variables each exponentially distributed with parameter α0 . This technique is also described in Chapter 20 of [Meyn and Tweedie (1993b)] second version. Employing probabilistic techniques, e.g. Poisson variables, in order to approximate semigroups and represent resolvent operators also occurs in [Chung (1962)]. Lemma 10.5. The process given by

pΩ Λ, F b G, Px b π0 q , pX pTn pλq, ωq , n P Nq ,

(

ϑP n pλq, n P N , pE, E q (10.141) is a Markov chain. Its transition kernel is given by Px b π0 rX pT1 q P B s α0

»8 0

eα0 t P pt, x, B q dt

provided that T1 is exponentially distributed with parameter α0 .

(10.142)

October 7, 2010

9:50


MarkovProcesses


686

The Px b π0 -distribution of the state variable X pTn q can be expressed in terms of the Px -distribution of the process X ptq:

pα0 tqn1 eα t P pt, x, B q dt pn 1 q! 0 »8 n1 α0 ppαn0tq 1q! eα t Px rX ptq P B s dt pα0 R pα0 qqn 1B pxq . (10.143) 0 In (10.141) we have X ptq ϑP Tm pλq, ω q, n, m P N, pω, λq P m pω, λq X pt P Ω Λ. The time translation operators ϑm pλq satisfy Tm pλq, ω q , pω, λq P Ω Λ. X ptq ϑP m pω, λq X pt Relative to π0 the variables Tn Tm and Tnm T0 Tnm , n ¡ m, have »8

Px b π0 rX pTn q P B s α0

0

0

the same distributions, and the measure πt is the measure π0 translated over time t, i.e. »

Λ

F pT1 T0 , . . . , Tn Tn1 q dπt

»

F pT1 T0 t, . . . , Tn Tn1 tq dπ0 , Λ where F : r0, 8qn Ñ R is any bounded Borel measurable function. It follows that the probability measures πT pλq : m P N, λ P Λ satisfy (n ¡ m): » » f pTn Tm q dπT pλq f pTn Tm q λ1 Tm pλq dπ0 λ1 m

m

Λ

»Λ

f Tnm λ1

Λ

Tm pλq dπ0 λ1 . (10.144)

r x Px b π0 . Put Proof. [Proof of Lemma 10.5.] For brevity we write P Yk X pTk q, k P N, and let fj : E Ñ R, 1 ¤ j ¤ n 1, be bounded Borel measurable functions. In order to show that the process in (10.141) is a Markov chain we have to prove the equality:

rx E

n ¹1

fj pYj q

Er x

n ¹

j 1

r Y rfn fj pYj q E n

1

pY1 qs

.

(10.145)

j 1

Employing Fubini’s theorem shows that the right-hand side of (10.145) can be rewritten as

rx E

n ¹

fj pYj q

rY E

n

rfn 1 pY1 qs

j 1

» Λ

dπ0 pλq

» Λ

dπ0 pλ1 qEx

n ¹

j 1

fj pX pTj pλqqqEX pTn pλqq fn

1

pX pT1 pλ1 qqq

October 7, 2010

9:50


MarkovProcesses

Invariant measure

687

(the process in (9.14) is a Markov process)

» Λ

dπ0 pλq

»

dπ0 λ1 Ex Λ

Λ

dπ0 pλq

Ex

»

n ¹

dπ0 λ1

Λ

» Λ

Er x

fj pX pTj pλqqq fn

1

X Tn pλq

Λ

fj pX pTj pλqqq fn

(the variables Tn

T1 λ1

Tn and T1 have the same π0 -distribution)

1

j 1

»

n ¹

j 1

(the variables Tn »

dπ0 pλqEx

1

X Tn pλq

Tn

1

1

λ

dπ0 pλqEx

λ

Tn and Tj , 1 ¤ j ¤ n, are π0 -independent)

1

n ¹

fj pX pTj pλqqq fn

1

pX pTnpλq

Tn

j 1

Tn

1

n ¹

fj pX pTj pλqqq fn

1

pX pTn 1 pλqqq

1

pλq Tn pλqqq

j 1

n ¹1

fj pYj q .

(10.146)

j 1

The equality in (10.146) proves the Markov chain property of the process in (10.141). Next we will show equality (10.142). Therefore we write Px bπ0 rX pT1 q P B s

»

Λ

P pT1 pλq, x, B q dπ0 pλq α0

»8 0

eα0 t P pt, x, B q dt.

(10.147) In the final step in (10.147) we used the exponential distribution of the variable T1 with parameter α0 ¡ 0. The equalities in (10.146) and (10.147) complete the proof of Lemma 10.5. Lemma 10.6. Put N pt, λq

8 ¸

n 0

n1rTn pλq,Tn

1

pλqq ptq # tk ¥ 1 : Tk pλq ¤ tu

max tk ¥ 0 : Tk pλq ¤ tu . (10.148) Suppose that the variables Tk 1 Tk , k P N, are π0 -independent and identically exponentially distributed random variables with parameter α0 attaining their values in r0, 8q. Then with respect to π0 the process N ptq, t ¥ 0, is a Poisson process of intensity α0 and with jumping times Tn .

October 7, 2010

9:50


MarkovProcesses


688

P N and t ¡ 0. Then we have: π0 rN ptq k s π0 rTk ¤ t Tk 1 s π0 r0 ¤ t Tk Tk 1 Tk s » »8 dπ0 α0 eα s ds 1tT tu Fix k

Proof.

0

pα0 tqk eα0t . dπ0 eα0 ptTk q 1tTk ¤tu k! k

Λ

»

Λ

°k

t Tk

(10.149)

By writing Tk j 1 pTj Tj 1 q, and using the independence of the increments Tj Tj 1 , 1 ¤ j ¤ k, the ultimate equality in (10.149) can be proved by induction with respect to k and using the exponential distribution of Tj Tj 1 . This completes the proof of Lemma 10.6 Lemma 10.7. Let the process pTk : k a Poisson process

P Nq be the process of jump times of

tpΛ, G, πn qnPN : pN ptq, t ¥ 0q , pϑt : t ¥ 0q , Nu . Let the initial measure π0 be exponentially distributed with parameter α0 0. Let B be a Borel subset of r0, 8q of Lebesgue measure 8. Then

π0

£ ¤

¥

P

¡

tTm P B u 1.

(10.150)

n Nm n

8

Proof. Put Bn B pn, n 1s, and En k1 tTk the σ-field generated by pN psq : s ¤ tq. Since the event En

P Bn u.

Let Ht be

tthere is a jump in Bn u

contains the event

tn we have

T1 ϑn

π0 En Hn

P Bn u tthe first jump after n occurs in Bn u ,

¥ π0

n

T1 ϑn

P Bn Hn

(Markov property of the process N ptq)

πN pnq rn

T1

P Bn s π0 rBn ns ,

(10.151)

where in the ultimate equality in (10.151) we used that fact that the distribution of the first jumping time of a Poisson process does not depend on the initial position. From (10.151) it follows that π0

En Hn

¥ π0 rT1 P Bn ns α0

»

Bn n

eα0 t dt

October 7, 2010

9:50


MarkovProcesses

Invariant measure

¥ α0 eα

»

0

Bn n

689

1dt α0 eα0 m pBn q

(10.152)

where m pBn q is the Lebesgue measure of Bn . Since the variables Tk are stopping times relative to the process t ÞÑ N ptq, the events En an application of the generalized Borelare Hn 1 -measurable, and hence Cantelli theorem yields π0 n m¥n En 1. Since n m¥n En t T P B u the equality in (10.150) follows. For a precise formun n m ¥n lation of the generalized Borel-Cantelli lemma see e.g. [Shiryayev (1984)] Corollary VII 5.2 or the equality in (9.49) in Theorem 9.3. This completes the proof of Lemma 10.7. The following theorem appears as Theorem 1 in [Kaspi and Mandelbaum (1994)]. For the notion of strong Feller property see Definitions 2.5 and 2.16. Theorem 10.7. Let the strong Markov process be as in (9.14) of Theorem 9.2. Suppose that this time-homogeneous Markov process on the Polish space E has transition probability function P pt, x, q, t ¥ 0, x P E, which is conservative in the sense that P pt, x, E q 1 for all t ¥ 0 and x P E. In addition, assume that the process X ptq is strong Feller. Then the following assertions are equivalent: (a) There exists a non-zero σ-finite Borel measure µ such that for all B ³ 8 µpB q ¡ 0 implies Px 0 1B pX ptqq dt 8 1 for all x P E. (b) There exists a non-zero σ-finite Borel measure ν such that for all B ν pB q ¡ 0 implies Px rτB 8s 1 for all x P E.

P E, P E,

Here τB inf tt ¡ 0 : X ptq P B u is the first hitting time of B. Moreover, tτB 8u t¡0 tX ptq P B u. The measure µ in assertion (a) could be called a Harris recurrence measure, and the measure ν in assertion (b) could be called a recurrence measure. In the proof of Theorem 10.7 we need Lemma 10.8 below. Remark 10.5. In (10.171) below we will see that the measure µpB q

»

Ex E

» 8 0

et 1B pX ptqq dt dν pxq

(10.153)

conforms to assertion (a), provided ν conforms to (b). If µ is given by µpB q P pt0 , x0 , B q,³ B P E, for some fixed pt0 , x0 q P p0, 8q E. Then ν is 8 given by ν pB q et0 t0 es P ps, x0 , B q ds.

October 7, 2010

9:50


MarkovProcesses


690

Remark 10.6. If all measures B ÞÑ P ps, x, B q, B P E, ps, xq P p0, 8q E, are equivalent, and if any (all) of these measures serves as a recurrence measure, then for ν we may also choose one of these transition probabilities. Fix pt0 , x0 q P p0, 8q E. In fact, if all such measures are equivalent, and ν pB q P pt0 , x0 , B q, B P E, then the measure µ in (10.153) is given by µ pB q

»8

et

E

0

»8 0

»

Ey r1B pX ptqqs P pt0 , x0 , dy q dt

et Ex0 EX pt0 q r1B pX ptqqs dt

(Markov property)

»8 0

et

et Ex0 r1B pX pt

»8

0

t0

t0 qqs dt

et Ex0 r1B pX ptqqs dt.

(10.154)

From (10.154) it easily follows that µ is also equivalent to the measure B ÞÑ P pt0 , x0 , B q, B P E. Therefore, let B P E be such that µpB q 0. Then there exists pt, xq P p0, 8q E such that P pt, x, B q 0. By equivalence we see P pt0 , x0 , B q 0. Let α ¥ 0. We also have a need for α-excessive functions. Definition 10.3. A non-negative function f : E Ñ r0, 8q is called αexcessive if t ÞÑ Ex reαt f pX ptqqs increases to f pxq for all x P E whenever t Ó 0. If α 0, then f is called excessive. Let f : E Ñ r0, 8q be an α-excessive function, and let 0 The (in-)equalities

Ex eαt2 f pX pt2 qq Ft1

¤ t 1 t 2 8.

eαt f pX pt1 qq eαt EX pt q rf pX pt2 t1 qqs eαt f pX pt1 qq eαt eαpt t q EX pt q rf pX pt2 t1 qqs f pX pt1 qq ¤ 0 (10.155) show that the process t ÞÑ eαt f pX ptqq is a Px -super-martingale relative to the filtration pFt qt¥0 . From the (super-)martingale convergence theorem it then follows that limtÑ8 eαt f pX ptqq exists Px -almost surely for all x P E. Let τ : Ω Ñ r0, 8s be any stopping time such that Px rτ 8s 1. Then 1

2

1

1

1

2

1

1

it also follows that

Ex lim eαt f pX ptqq

Ñ8

t

¤ tlim Ñ8 Ex

eαt f pX ptqq

October 7, 2010

9:50


MarkovProcesses

Invariant measure

691

αt tlim Ñ8 Ex e f pX ptqq , τ ¤ t Ex Ex eαt f pX ptqq Fτ ^t , τ ¤ t tlim Ñ8 (Doob’s optional sampling theorem for super-martinagales)

αpτ ^tqf pX pτ ^ tqq , τ ¤ t ¤ tlim Ñ8 Ex e Ex eατ f pX pτ qq , τ 8 . (10.156) If τA denotes the first hitting time of A P E, and α ¡ 0, then the function x ÞÑ Ex reατ s is α-excessive, and the function x ÞÑ Px rτA 8s A

is excessive. These assertions follow from the Markov property, and the fact that t τA ϑt decreases to τA when t Ó 0. Recall that τA inf ts ¡ 0 : X psq P Au which is the first hitting time of A. Lemma 10.8. Let ν be a recurrence measure for the Markov process in (9.14) of Theorem 9.2, and let L ¥ 0 be an increasing right-continuous additive process on Ω such that Lp0 q Lp0q 0. Then either Lp8q : limtÑ8 Lptq 8 Px -almost surely for all x P E, or Lp8q 0 Pν -almost surely. These assertions are mutually exclusive. The defining property of an adapted additive process t ÞÑ Lptq is the equality Lpsq Lptq ϑs Lps tq, which should hold Px -almost surely for all x P E and for all s, t ¥ 0. For more details on the notion of additive processes see Definition 9.6. For our purpose relevant additive processes are ³t given by Lptq 0 1B pX psqq ds with B P E. Let t ÞÑ Lptq be an increasing positive additive process, and fix ε ¡ 0. Suppose that Lp0 q 0, and define the stopping time τε by

inf tt ¡ 0 : Lptq ¡ εu . (10.157) Then the function x ÞÑ Px rτε 8s is excessive. This can be seen as follows. τε

First observe that t

τε ϑt

inf tt s : s ¡ 0, Lpsq ϑt ¡ εu inf tt s : s ¡ 0, Lptq Lpsq ϑt ¡ ε inf tt s : s ¡ 0, Lpt sq ¡ ε Lptqu inf ts ¡ t, Lpsq ¡ ε Lptqu ,

Lptqu (10.158)

which decreases to inf ts ¡ 0 : Lpsq ¡ ε

L p0

qu inf ts ¡ 0 : Lpsq ¡ εu τε .

(10.159)

October 7, 2010

9:50


MarkovProcesses


692

From (10.158) together with (10.159) and the Markov property it follows that (10.160) Ex PX ptq rτε 8s Px rt τε ϑt 8s Ò Px rτε 8s when t Ó 0. From (10.160) we see that the function x ÞÑ Px rτε 8s is excessive. Proof. [Proof of Lemma 10.8.] Fix ε ¡ 0 and define τε as in (10.157). By the right-continuity of the process s ÞÑ Lpsq we obtain lim Ex PX ptq rτε 8s lim Ex rt τε ϑt 8s

Ó

Ó

t s

t s

Ex rs

τε ϑs 8s Ex PX psq rτε 8s . (10.161) From (10.161) it follows that we may, and shall, assume that the supermartingale t ÞÑ PX ptq rτǫ 8s is right-continuous. We have the Px -almost sure equality of events: tt τε 8u tτε ¡ t, τε ϑt 8u . (10.162) Conditioning (10.162) on Ft and employing the Markov property yields: Px t τε 8 Ft 1tτε ¡tu Px τε ϑt 8 Ft

1tτ ¡tu PX ptq rτε 8s . ε

Next we let t Ò 8 in (10.163) to obtain: 0 1tτε 8u lim PX ptq rτε 8s , Px -almost surely.

Ñ8

t

Consider the sets

(10.163) (10.164)

tx P E : Px rτε 8s 0u , and Gε,δ tx P E : Px rτε 8s ¡ δ u , δ ¡ 0. First assume ν pE zFε q ¡ 0. Then ν pGε,δ q ¡ 0 for some δ ¡ 0. Since ν is a recurrence measure, it follows that lim suptÑ8 1G pX ptqq 1 Px almost surely, and hence limtÑ8 PX ptq rτε 8s ¥ δ Px -almost surely. Thus (10.164) implies Px rτ 8s 0, which is equivalent to Px rτ 8s 1. Fε

ε,δ

Consequently, ν pE zFε q ¡ 0 ùñ τε 8 Px -almost surely for all x P E. (10.165) Next assume that ν pFε q ¡ 0. Let τFε be the (first) hitting time of Fε : τFε inf ts ¡ 0 : X psq P Fε u. Then, since ν is a recurrence measure, we have Px rτFε 8s 1. From (10.156) with τ τFε , α 0, and f pxq Px rτε 8s we see that limtÑ8 PX ptq rτε 8s 0 Px -almost surely for all x P E, and so τε 8 Px -almost surely for all x P E. We repeat the latter conclusion: ν pFε q ¡ 0 ùñ τε 8 Px -almost surely for all x P E. (10.166) There are two mutually exclusive possibilities:

October 7, 2010

9:50


MarkovProcesses

Invariant measure

693

(i) either there exists ε ¡ 0 such that ν pE zFε q ¡ 0, and (10.165) holds for some ε ¡ 0, (ii) or for every ε ¡ 0 ν pFε q ¡ 0, and (10.166) holds for all ε ¡ 0.

If (10.165) holds for some ε ¡ 0, then for such ε ¡ 0 the equality Px rτε 8s 1 holds for all x P E. Then we proceed as follows. By induction we introduce the following sequence of stopping times:

0, η1 τε , and for n ¥ 1 ηn ηn1 τε ϑη inf ts ¡ ηn1 : Lpsq ¡ ε ηn1 u . (10.167) From (10.167) it follows that tηn 8u tLp8q ¡ nεu, and hence for all n ¥ 1 and x P E we have Px rηn 8s ¤ Px rLp8q ¡ nεs . (10.168) η0

n

1

In addition, by the strong Markov property we have

Px rηn

8s Px ηn1 8, τε ϑη 8 Ex ηn1 8, PX pη q rτε 8s . (10.169) Since Py rτε 8s 1 for all y P E by induction with respect to n P N (10.169) yields Px rηn 8s 1 for all x P E and all n P N. From (10.168) we then infer Px rLp8q 8s 1 for all x P E. This is the first alternative in Lemma 10.8. If, on the other hand, (10.166) holds for all ε ¡ 0, then we n

n

1

1

have Pν rLp8q 0s lim Pν rLp8q εs lim Pν rτε

Ó

Ó

ε 0

ε 0

8s 1.

(10.170)

The equality (10.170) yields the second alternative of Lemma 10.8. Altogether this completes the proof of Lemma 10.8.

Now we are ready to prove Theorem 10.7. Proof. [Proof of Theorem 10.7.] The implication (a) ùñ (b) follows with ν µ. Let ν be such that assertion (b) holds with the measure ν. Then we will prove that (a) holds with µpB q Eν

» 8 0

et 1B pX ptqq dt

»

Ex E

» 8 0

et 1B pX ptqq dt dν pxq.

(10.171) Let B P E be such that µ p B q ¡ 0, where µ is as in (10.171). Put L pt q ³t 1 pX psqq ds. Then Lp8q 0 cannot be true Pν -almost everywhere. 0 B From Lemma 10.8 it follows that Lp8q 8 Px -almost surely for all x P E. This completes the proof of Theorem 10.7.

October 7, 2010

9:50


MarkovProcesses


694

The following theorem is the Markov chain analogue of Theorem 10.7. Its proof can be adapted from the proof of Theorem 10.7, and the required °k Lemma 10.8 with Lpk q j 1 1tX pj qPB u where B P E. The time τε is replaced by τ1 inf tk ¥ 1 : Lpk q ¥ 1u. The equalities in (10.171) are replaced with e.g.

8 ¸

µpB q p1 rq

rk Eν

8 ¸

k 1

r

»

8 ¸

1B pX pk qq

k 1

p1 rq Ex r1B pX pk qqs dν pxq, (10.172) E k1 for some 0 r 1. A version of the following theorem was first proved by k 1

Meyn and Tweedie in [Meyn and Tweedie (1993a)] Theorem 1.1. In fact Theorem 10.8 is a consequence of Proposition 9.1.1 in [Meyn and Tweedie (1993b)], which reads as follows. Proposition 10.6. Suppose some subset B P E has the following property. 1 For every x P B the equality Px τB 8 1 holds. Then

8 ¸

Px

1B pX pk qq 8

Px

τB1

8

, for all x P E.

(10.173)

k 1

inf tn ¥ 0 : X pnq P B u, ( 1 τB0 ϑ1 inf n ¡ τB0 (: X pnq P B and inf n ¡ τBk1 : X pnq P B , k ¥ 2. Then τBk τB1 ϑτ , and hence by the strong Markov property Put τB0

Proof.

τB1 τBk τBk 1

and our assumption on

Px

8 ¸

τB1

1B pX pℓqq ¥ k

k 1 B

we have

1

Px

ℓ 1

τBk

1

8

Px τB1 ϑτ 8, τBk 8 Ex PX pτ q τB1 8 , τBk 8 . Assuming that Py τB1 8 1, y P B, then (10.174) implies k B

k B

Px

8 ¸

1B pX pℓqq ¥ k

1

Px

τBk

1

8 Px

τBk

8

.

(10.174)

(10.175)

ℓ 1

By induction with respect to k we see that (10.175) implies

Px

8 ¸

ℓ 1

1B pX pℓqq ¥ k

Ex

τB1

8

, for all x P E.

(10.176)

October 7, 2010

9:50


MarkovProcesses

Invariant measure

695

Let k tend to 8 to obtain (10.173) from (10.176), which completes the proof of Proposition 10.6. Theorem 10.8. Let

tpΩ, F , PxqxPE , pX pkq, k P Nq , pϑk , k P Nq , pE, E qu

(10.177)

be a Markov chain with probability transition function P px, B q which is conservative in the sense that P px, E q 1 for all x P E. Then the following assertions are equivalent: (a) There exists a non-zero σ-finite Borel measure µ on E such that for all °8 B P E, µpB q ¡ 0 implies Px k1 1B pX pk qq 8 1 for all x P E. (b) There exists a non-zero σ-finite Borel measure ν such that for all B P E, ν pB q ¡ 0 implies Px τB1 8 1 for all x P E. Here τB1

inf tk ¥ 1 : X pkq P B u.

Proof. Again the implication (a) ùñ (b) is evident with ν µ. Fix 0 r 1. Repeating the arguments in the proof of Theorem 10.7 the reverse implication can be proved with µ given by e.g. µpB q p1 rq

8 ¸

rk1

»

Px rX pk q P B s dν pxq, B

P E,

(10.178)

k 1

provided that ν is a measure which accommodates assertion (b). However, using Proposition 10.6 we see that implication (a) follows from (b) with µ ν where ν conforms assertion (b). This completes the proof of Theorem 10.8. Remark 10.7. If all probability measures B ÞÑ Px rX p1q P B s P px, B q, x P E, are equivalent, and if (b) is satisfied with B ÞÑ P px0 , B q, then (a) holds with the same measure. To see this, consider ν pB q Px0 rX p1q P B s P px0 , B q. Then by the Markov property µ in (10.178) is given by µpB q p1 rq

8 ¸ 8 ¸

rk1

k 1

p1 r q

r

p1 r q

k 1

»

k 1

k 1

8 ¸

»

rk1

»

Px rX pk q P B s dµpxq

Ex0 PX p1q rX pk q P B s Px0 rX pk

1q P B s ,

(10.179)

October 7, 2010

9:50

696


MarkovProcesses


and hence, if µpB q 0, then Ex0 PX p1q rX p1q P B s Px0 rX p2q P B s 0. Thus, we see that PX p1q rX p1q P B s 0, Px0 -almost surely. Therefore there exists at least one x P E such that P px, B q Px rX p1q P B s 0. Since, by assumption, all measures B ÞÑ P py P B q, y P E, are equivalent in follows that P px0 , B q 0. The following theorem reduces (Harris) recurrence problems for timecontinuous Markov processes with the Feller property and sample space Ω to Markov chains on a larger sample space Ω Λ where the continuous time is replaced with the time jump process

pΛ, G, π0 q , pTn, n P Nq ,

ϑP n,n P N

(

of a Poisson process. Here the variable Tn has π0 -distribution function t ÞÑ π0 rTn

¤ ts π0 rN ptq ¥ ns

8 αt ¸ 0

p qk eα t .

k n

0

k!

In the following theorem we see that for certain conservative strong Feller processes the notions of recurrent and Harris recurrent coincide. Theorem 10.9. Let the process

tpΩ, F , Pxq , pX ptq , t ¥ 0q , pϑt , t ¥ 0q , pE, E qu

(10.180)

be a Markov process with the strong Feller property, and with a conservative probability transition function P pt, x, B q, pt, x, B q P r0, 8q E E. Suppose that all Borel measures B ÞÑ P pt, x, B q, pt, xq P p0, 8q E, are equivalent i.e. have the same negligible sets. Let the Markov chain


(

ϑP n pλq, n P N , pE, E q (10.181) be as in (10.141) of Lemma 10.5. Then the following assertions are equivalent: (a) The Markov process in (10.180) is Harris recurrent in the sense that for any Borel subset B for which P pt0 , x0 , B q ¡ 0 for some pt0 , x0 q P p0, 8q E the equality Px

» 8 0

holds for all x P E.

1tX ptqPB u dt 8

1

(10.182)

October 7, 2010

9:50


MarkovProcesses

Invariant measure

697

(b) The Markov process in (10.180) is recurrent in the sense that for any Borel subset B for which P pt0 , x0 , B q ¡ 0 for some pt0 , x0 q P p0, 8q E the equality Px rτB

8s 1

(10.183)

holds for all x P E. (c) The Markov chain in (10.181) is Harris recurrent in the sense that for any Borel subset B for which P pt0 , x0 , B q ¡ 0 for some pt0 , x0 q P p0, 8q E the equality Px b π0

8 ¸

1tX pTk qPB u

8 1

(10.184)

k 0

holds for all x P E. (d) The Markov chain in (10.181) is recurrent in the sense that for any Borel subset B for which P pt0 , x0 , B q ¡ 0 for some pt0 , x0 q P p0, 8q E the equality

holds for all x P E. Here τB

Px b π0 τB1

8 1

(10.185)

inf tt ¡ 0 : X ptq P B u, and τB1 inf tn ¥ 1 : X pTn q P B u.

For the notion of strong Feller property the reader is referred to Definitions 2.5 and 2.16. Proof. First we observe that the measures B ÞÑ Px b π0 rX pTn q P B s, n P N, n ¥ 1, and x P E, are equivalent to the measures B ÞÑ P pt, x, B q Px rX ptq P B s, pt, xq P p0, 8q E. The reason for this equivalence is the following equality: Px b π0 rX pTn q P B s α0

»8

pα0 tqn1 eα t P pt, x, B q dt pn 1 q! 0

0

(10.186)

which can be found in (10.143). Now we are ready to prove Theorem 10.9. (a) ðñ (b). This equivalence is a consequence of Theorem 10.7 with µpB q ν pB q P pt0 , x0 , B q, B P B. (c) ðñ (d). This equivalence is a consequence of Theorem 10.8 with ν pB q Px b π0 rX pT1 P B qs, and µ ν, or µpB q p1 rq

8 ¸

k 1

rk1 Px b π0 rX pTk

1

q P Bs

October 7, 2010

9:50

698


MarkovProcesses


¸

p1 rq

pα0 R pα0 qqk

1

1B pxq.

(10.187)

k 1

For this result the reader is referred to the equalities (10.143) and (10.179), and to Theorem 10.8. Since the measures ν and µ in (10.187) are equivalent to the measure B ÞÑ P pt0 , x0 , B q assertions (c) and (d) are equivalent with the measure B ÞÑ P pt0 , x0 , B q. (d) ùñ (b). From the definitions of the stopping times τB and τB1 it follows the following Px0 b π0 -sure inclusion of events:

tτB 8u

!

)

TτB1

8

τB1

and hence Px0 rτB

8s Px b π0 rτB 8s ¥ Px b π0 0

0

(

8

τB1

(10.188)

,

8 1.

(10.189)

Assertion (b) is a consequence of (10.189).

(a) ùñ (c). Let A P E be such that pα0 R pα0 qq 1A px0 q ¡ 0, for some n P N, n ¥ 1, which by assumption is equivalent to Px0 rpX pt0 qq P As P pt0 , x0 , Aq ¡ 0. Let ω P Ω and put Bω tt ¥ 0 : X pt, ω q P Au. By ³ 8 assumption (a) we know that Px 0 1A pX ptqq dt 8 1 for all x P E. Hence it follows that the Lebesgue measure of Bω is 8 for Px -almost all ω P Ω and for all x P A. An application of equality (10.150) in Lemma 10.7 in the penultimate equality in (10.190) below yields: n

Px b π0

£ ¤

¥ »

tX pTmq P Au

n m n

» »Ω »

Ω

Ω

dPx pω q dPx pω q dPx pω q

»Λ Λ

»

Λ

dπ0 pλq lim sup 1tX pTn pλqqPAu pω q

Ñ8

n

dπ0 pλq lim sup 1tTn PBω u pλq

Ñ8

n

dπ0 pλq1 1.

From (10.190) assertion (c) follows. This completes the proof of Theorem 10.9

(10.190)

Lemma 10.9. Let the notation and hypotheses be as in Theorem 10.7. Suppose that all measures B ÞÑ P pt, x, B q, pt, xq P p0, 8q E are equivalent, and that B is recurrent whenever P pt, x, B q ¡ 0 for some pair pt, xq P p0, 8q E. Then all Borel subsets B for which P pt, x, B q ¡ 0 for some pair pt, xq P p0, 8q E are recurrent for the chain described in (10.141) of Lemma 10.5.

October 7, 2010

9:50


MarkovProcesses

Invariant measure

699

Proof. From equality (10.142) it follows that all transition probability measures B ÞÑ Px b π0 rX pT1 q P B s, x P E, are equivalent.

Lemma 10.10. Let etL : t ¥ 0 be the semigroup associated to the Markov process in (9.14). Put for α ¡ 0 and f P Cb pE q Rpαqf pxq

»8 0

eαt etL f pxqdt

»8 0

eαt Ex rf pX ptqqs dt,

(10.191)

and fix α0 ¡ 0. Let µ be σ-finite Radon measure on the Borel filed of E. Then the following assertions are equivalent: ³

(1) The measure µ is L-invariant, i.e. Lf dµ 0 for all f P DpLq which belong to L1 pE, µq; ³ ³ (2) There exists α0 ¡ 0 such that α0 R pα0 q f dµ f dµ for all f ¥ 0 which are Borel measurable; (3) For all α ¡ 0 and for all Borel measurable functions f ¥ 0 the equality ³ αR pαq f dµ f dµ; ( tL (4) ³The measure µ is invariant for the semigroup e : t ¥ 0 , i.e. ³ tL e f dµ f dµ for all f ¥ 0 which are Borel measurable and for all t ¥ 0. Proof. (1) ùñ (2). Let the positive σ-finite Radon measure µ be such ³ that Lf dµ 0 for f P DpLq L1 pE, µq, and fix α0 ¡ 0. Then we have for f P L1 pE, µq »

α0 R pα0 q f dµ

»

f dµ

³

»

LR pα0 q f dµ 0. ³

From (10.192) we infer α0 R pα0 q f dµ f dµ, f the implication (1) ùñ (2).

(10.192)

P L1 pE, µq.

This proves

(2) ùñ (3). Let f ¥ 0 belong to L1 pE, µq, and α0 as in (2). By the resolvent equation, we have α0 R pαq

an so for α ¡ α0 »

α0

Rpαqf dµ

α0 pα α0 q R pα0 q Rpαq α0 R pα0 q ,

α0 pα α0 q

»

R pα0 q Rpαqf dµ α0

»

R pα0 q f dµ,

and hence by assertion (2) »

α0

Rpαqf dµ

pα α0 q

»

Rpαqf dµ

»

f dµ.

(10.193)

October 7, 2010

9:50


MarkovProcesses


700

³

³

From the equality in (10.193) we see that α Rpαqf dµ f dµ, f P L1 pE, µq, and α ¡ α0 . This shows the implication (2) ùñ (3) for α ¡ 0 and large.

(3) ùñ (4). Under the restriction that we know (3) for all large α we will show that (4) holds. Let f ¥ 0 be a member of L1 pE, µq. For all α ¡ 0 large (3) entails α

»8

eαρ

»

0

»

eρL etL f dµ dρ α

etL f dµ α

»8

eαρ

»

RpαqetL f dµ

»

etL f dµ dρ

(10.194)

0

of Laplace transforms the equality in (10.195) for all t ³¥ 0. By uniqueness ³ implies eρL etL f dµ etL f dµ for almost all ρ ¡ 0. Here the “almost all” depends on t ¥ 0. Next fix t ¡ 0. Then by what is proved above we get »8

eαρ

»

0

»8

eρL etL f dµ dρ

eαρ

»

etL f d dµ dρ.

(10.195)

0

From (10.195) we infer »8

eαpρ

0

»

»8

q epρ tqL f dµ dρ

t

»

eαpρ

q etL f d dµ dρ,

t

(10.196)

0

or, what amounts to the same, from (10.195) we infer »8 t

eαρ

»

eρL f dµ dρ

»8

eαρ

»

etL f d dµ dρ.

(10.197)

t

As a consequence of (10.197) together with the fact that for almost all ρ ¡ 0 ³ ρL ³ the equality e f dµ f dµ holds we obtain »8 0

eαρ

»

f dµ dρ

»8 0

eαρ

»

eρL f dµ dρ

»8

eαρ

»

ept^ρqL f dµ dρ.

0

(10.198) Again by uniqueness of Laplace transforms the equality in (10.198) implies ³ pt^ρqL ³ that for almost all ρ ¡ 0 we get e f dµ f dµ. Upon choosing ³ ³ ρ ¡ t we get etL f dµ f dµ. Since t ¡ 0 is arbitrary assertion (4) is a consequence of the latter equality. The implications (4) ùñ (3) ùñ (2) are easy. The implication (2) ùñ (1) can be obtained by noting that DpLq is the range of the operator R pα0 q, and writing LR pα0 q f α0 R pα0 q f f , f P Cb pE q. This completes the proof of Lemma 10.10.

October 7, 2010

9:50


MarkovProcesses

Invariant measure

701

The proof of the following theorem will be based on the Markov chain constructed in Theorem 10.9 and on the corresponding result for recurrent Markov chains as exhibited by e.g. Meyn and Tweedie in [Meyn and Tweedie (1993b)]. In fact for Markov chains the result goes back to Harris [Harris (1956)]. Our proof will follow the arguments for the proof of Theorem I.3 in [Azéma et al. (1967)]. In case the invariant measures are finite He and Ying [He and Ying (2009)] have a relatively short argument to prove uniqueness. Theorem 10.10. Let the Markov process in (10.180) be recurrent in the sense of Theorem 10.9. Moreover, suppose that the hypotheses of Theorem 10.9 are satisfied. Then the process in (10.180) admits an invariant σ-finite measure which is unique op to a multiplicative constant. This measure µ has the property that µpB q ¡ 0 if and only if P pt0 , x0 , B q ¡ 0 for some (all) pt0 , x0 q P p0, 8q E. The following theorem can be found in [Harris (1956)]. It is a consequence of Theorem 10.3. Theorem 10.11. Suppose that for the time-homogenous Markov chain

tpΩ, F , Pxq , pX piq, i P Nq , pϑi , i P Nq , pE, E qu there exists a σ-finite measure m such that mpB q ¡ 0 implies

Px

8 ¸

1B pX pk qq 8

1

(10.199)

for all x P E.

k 0

In other words the Markov chain in (10.199) is m-recurrent. Then there exists a σ-finite invariant measure µ which is unique up to a multiplicative constant, and which is such that µ is absolutely continuous with respect to µ, i.e. µpAq 0 implies µpAq 0, A P E. For much more explanation about Markov chains see e.g. [Meyn and Tweedie (1993b)]. We will take Theorem 10.11 for granted as we did with Theorem 10.3. Proof. [Proof of Theorem 10.10.] Fix pt0 , x0 q P p0, 8q E, and put mpB q P pt0 , x0 , B q, B P E. From Theorem 10.9 it follows that the Markov chain in (10.181) is m-recurrent if and only if the Markov process in (10.180) is m-recurrent. So by Theorem 10.11 the Markov chain in (10.181), i.e.


(

ϑP n pλq, n P N , pE, E q (10.200)

October 7, 2010

9:50

702


MarkovProcesses


admits a σ-finite invariant measure µ which is equivalent to the measure m. By Lemma 10.10 the measure µ is also invariant for the Markov process in (10.180) of Theorem 10.9, i.e. for

tpΩ, F , Pxq , pX ptq , t ¥ 0q , pϑt , t ¥ 0q , pE, E qu .

(10.201)

Since the σ-finite invariant measures for the processes in (10.200) are unique up to multiplicative constants, the same is true for the σ-finite invariant measures for the Markov process in (10.201). Moreover, by Theorem 10.11 these invariant measures are equivalent with the measure m. Altogether this proves Theorem 10.10. 10.2.4

Actual construction of an invariant measure

Theorem 9.4, which is one of the most important results in Chapter 9, gives sufficient conditions in order that the Markov process in (10.180) possesses a compact recurrent subset. This assumption of the existence of such a compact subset is made in the following theorem. Theorem 10.12. Suppose that there exists a compact recurrent subset A, and suppose that the Markov process in (10.180) is irreducible and strong Feller. In addition, suppose that all measures B ÞÑ P pt, x, B q, x P E, t ¡ 0, are equivalent. Then there exists a non-trivial σ-finite invariant measure π, and the vector sum RpLq N pLq is dense in Cb pE q for the strict topology. In fact ³the measure π has the property that f P Cb pE q, f ¥ 0, f 0, implies f dπ ¡ 0. Moreover, π pB q 0 if and only if P pt, x, B q 0 for all pairs (some pair) pt, xq P p0, 8q E. Moreover, the measure π is unique up to a multiplicative constant. For the notion of strong Feller property see Definitions 2.5 and 2.16. A combination of Theorem 10.12 and Theorem 9.4 in Chapter 9 yields the following result. Theorem 10.13. Let L be the generator of a strong Markov process which almost separate points and closed subsets, in the sense that for every x P U with U open there exists a function v P DpLq such that v pxq ¡ supyPE zU v py q. Suppose that every non-empty open subset is recurrent, and that all measures of the form B ÞÑ P pt, x, B q, B P E, pt, xq P p0, 8q E, are equivalent probability measures. Then there exists a non-trivial σ-finite invariant measure π, provided that all functions of the form pt, xq ÞÑ P pt, x, B q, pt, xq P p0, 8q E, B P E, are continuous. Moreover, the invariant measure π is unique up to a multiplicative constant.

October 7, 2010

9:50


MarkovProcesses

Invariant measure

703

In addition, suppose that there exists a recurrent subset A such that sup Ex rh τA ϑh s 8 for some h ¡ 0. Then the invariant measure is

P

x A

finite, and may be chosen to be a probability measure. Proof. Under the hypotheses of Theorem 10.13 there exists a compact recurrent subset by Theorem 9.4. Theorem 10.12 yields the desired conclusion in the first statement of Theorem 10.13. The second one is a consequence of Corollary 10.5 below because our extra assumption is the same as the finiteness assumption in (10.292). Remark 10.8. From the proof of Theorem 10.12 it follows that for every compact subset K there exists an open subset Kε K, and hence a function fK P Cb pE q such that 1K

¤ f K ¤ 1K , ε

»

and

fK dπ

8

(10.202)

where π is the invariant measure. It also follows that E

¤

tfK ¡ 0u .

K, Kcompact

Since the space E is second countable, the family tfK : K compactu in (10.202) may be chosen countable, while still satisfying E nPN tfKn ¡ 0u. This can be seen as follows. The second countability implies that there exists a sequence of open subsets pUn qnPN such that for every compact subset K of E there a countable subset pUK,k qkPN pUn qnPN such that tfK ¡ 0u kPN UK,k . For every n P N we choose a compact subset Kn such that Un tfKn ¡ 0u. We only take into account those open subsets Un for which such fKn exists. Then the sequence pfKn qnPN will be such that E nPN tfαn ¡ 0u. Here, the space Cb pE q is supplied with the strict topology. A sequence pfn qnPN converges with respect to the strict topology if it is uniformly bounded and if it converges to a function f P Cb pE q uniformly on compact subsets of the space E. The symbol RpLq stands for the range of L, and N pLq stands for the null space of L.

Proof. [Proof of Theorem 10.12.] We sketch a proof. Fix h ¡ 0, λ ¡ 0, µ P M pAq, and f P Cb pE q. Here M pAq is the space of those (complex) measures µ P E which are concentrated on A; i.e. |µ| pE zAq 0. We will also need the following stopping times:

inf ts ¡ h : X psq P Au h τA inf tt ¡ 0 : X ptq P Au .

τAh

τA ϑh where τA is the hitting time

(10.203)

October 7, 2010

9:50


MarkovProcesses


704

Therefore we will rewrite the equality: »h 0

1 eλ s esL ds

#

L λ1 I RA λ1

»h

1 eλ h ehL I RA λ1

0

(

I f pxq

+

1 eλ s esL ds f pxq .

(10.204)

The expression in (10.204) is equal to »h

1 ehλ ehL I RA λ1 f pxq

e

hλ1

1

» τA

0

Ex RA λ f pX phqq

ehλ1 Ex EX phq »

h

Ex 0

0

1 eλ s esL f pxq ds

1 eλ ρ f pX pρqq dρ

1 eλ s f pX psqq ds

»h

λ1 f pxq

RA

0

» τA

Ex


0


(Markov property)

Ex

» τA ϑh 0

»

h

Ex

Ex

0

» h

1 eλ ph ρq f pX ph ρqq dρ


τA ϑh

h

»

h

Ex 0

Ex

Ex

τA ϑh

h

» τA

Ex h

»

e

Ex 0

λ1 s

f pX psqq ds, τA

¡ hu the equality h

τA ϑh

τA

¡ h Ex

¤h



0

1 eλ ρ f pX pρqq dρ, τA ¤ h

1 eλ ρ f pX pρqq dρ, τA

h

0

» τA

(τA is a terminal stopping time: on tτA holds Px -almost surely) » h

» τA

Ex



» τA

»

0 h

Ex 0


1 eλ s f pX psqq ds, τA ¡ h

October 7, 2010

9:50


MarkovProcesses

Invariant measure

» h

Ex

τA ϑh

τA

1 eλ τA

Ex

1 eλ ρ f pX pρqq dρ, τA ¤ h

» hτA

τA ϑhτA ϑτA

0

705

1 eλ ρ f pX pρ

τA qq dρ, τA

¤h

(strong Markov property)

Ex

e

Ex

e

λ1 τA

λ1 h

»

EX pτA q

EX pτA q

e

λ1 ρ

0

» τA ϑhτ

A

e

λ1 ρ

0

1 eλ τA EX pτA q

Ex

h τA τA ϑhτA

»

f pX pρqq dρ , τA

f p X pρ

h τA qq dρ , τA

1 eλ ρ f pX pρqq dρ , τA ¤ h

0

(10.205)

h τA

¤h

¤h

(Markov property once more)

» τ

A 1 Ex eλ1 h EX pτA q EX phτA q eλ ρ f pX pρqq dρ , τA ¤ h 0 » h τ A 1 1 Ex eλ τA EX pτA q (10.206) eλ ρ f pX pρqq dρ , τA ¤ h .

0

It is perhaps useful to explain the way the expectations in (10.206) have to be understood. The second term should be read as follows:

Ex e

λ1 τA

Ex

EX pτA q

» hτA

e

λ1 ρ

0

1 ω ÞÑ eλ τA pωq EX pτA qpωq

f pX pρqq dρ , τA » hτA pω q 0

¤h

1 eλ ρ f pX pρqq dρ 1tτA ¤hu pω q

where X pτA q pω q X pτA pω qq pω q X pτA pω q, ω q. The first term in (10.206) has to be interpreted in the following manner:

1 Ex eλ h EX pτA q EX phτA q

» τ A 0


Ex ω ÞÑ eλ1 h EX pτA pωq,ωq ω1 ÞÑ EX phτA pωq,ω1q

1tτA ¤hu pω q .

, τA

» τA 0

¤h

1 eλ ρf pX pρqq dρ

October 7, 2010

9:50


MarkovProcesses


706

The equality of the expressions in (10.205) and (10.206) will be used to prove the existence and uniqueness (up to scalar multiples) of an invariant measure. A crucial role will be played by Proposition 10.8. The equality in (10.204) will also be used to³ prove that the invariant measure π is strictly positive in the sense that f dπ ¡ 0 whenever f P Cb pE q is such that f ¥ 0 and f 0. This claim follows from the first equality in (10.255) in Proposition 10.7 together with the first inequality in (10.241) in Lemma 10.11 below. Here we also need the irreducibility of the Markov process X. So let f ¥ 0, f 0, f P Cb pE q L1 pE, E, π q. Then, from the first equality in (10.255) we see: »

f pxq dπ pxq

h E

¥

» E

Ex EX pτA q

» E

»

»

0 1 2h

0

for some y0

1 h 2

0

h τA τA ϑhτA

0

»

Ex EX pτA q

¥ yinf E PA y Ey

»

1 2h

0



f pX pρqq dρ

f pX pρqq dρ

»

Ex τA E

»

Ex τA E

¤

1 2h

Ey0 0

dπ pxq

1 h dπ pxq 2

f pX pρqq dρ

dπ pxq

1 h dπ pxq 2

¤ 12 h

P A. By irreducibility we have »

¤

¤h

¡ 0.

(10.207)

(10.208)

The combination of the first inequality in (10.241) in Lemma 10.11 and ³ (10.207) shows that E f pxq dπ pxq ¡ 0, where f ¥ 0, f 0, f P Cb pE q L1 pE, E, π q: see (10.207). As a consequence we have that the corresponding measure π is strictly positive in the sense that π pOq ¡ 0 for every non-empty open subset O of E. In addition, we have π pB q 0, B P E, if and only if P pt, x, B q 0 for some pt, xq P p0, 8q E. If P pt0 , x0 , B q 0 for some pt0 , x0 q P p0,³ 8q E, then P pt, x, B q 0 for all pt, xq P p0, 8q E, and hence π pB q P pt, x, B q dπ pxq π pB q 0. Conversely, suppose ³ B P E is such that π pB q 0. Then P pt0 , x, B q dπ pxq 0 (by invariance). Since, by the strong Feller property the function x ÞÑ P pt0 , x, B q is continuous it follows by the strict positiveness of the measure π that P pt0 , x, B q 0 for some x P E. Since all the measures B ÞÑ P pt0 , x, B q,

October 7, 2010

9:50


MarkovProcesses

Invariant measure

707

x P E, are equivalent it follows that P pt0 , x0 , B q 0. For the notion of strong Feller property see Definitions 2.5 and 2.16 as well. First let us embark on the existence of the invariant measure π. We will use a Hahn-Banach argument to obtain such a measure. Recall that

inf ts ¡ h : X psq P Au h τA ϑh where τA inf ts ¡ 0 : X psq P Au. Since the compact subset A is recurrent τAh

we see that

Px τAh

8 Px rτA ϑh 8s Ex

PX phq rτA

8s Ex r1s 1,

(10.209) and hence the stopping time τAh is finite Px -almost surely for all x P E. Define the operator QA : C pAq Ñ C pAq by

QA f pxq Ex f X τAh

Ex

EX phq rf pX pτA qqs , f

P C pAq.

(10.210) By the strong Feller property of the Markov process X ptq it follows that the operator QA in (10.210) is a positivity preserving linear mapping from C pAq to C pAq. For the notion of strong Feller property see Definitions 2.5 and 2.16. Moreover, QA 1 1. Fix x0 P E. By the Hahn-Banach extension theorem there exists a positive linear functional Λx0 : C pAq Ñ R such that for f P C pAq, f ¥ 0, lim inf p1 rq

Ò

r 1

8 ¸

8 ¸

rk QkA f px0 q ¤ Λx0 pf q ¤ lim supp1 rq

Ò

r 1

k 0

rk QkA f px0 q .

k 0

(10.211) To obtain Λ, apply the analytic version of the Theorem of Hahn-Banach to the functional: f

ÞÑ gPC pinf lim supp1 rq Aq,g¥0 Ò

r 1

8 ¸

rk QkA pf

g q px0 q QkA g px0 q .

k 0

(10.212) From (10.211) it follows that Λx0 p1A q 1. From Hahn-Banach’s theorem it also follows that the second inequality in (10.211) holds for all f P C pAq. Consequently, we have Λx0 pf

QA f q ¤ lim supp1 rq

Ò

r 1

8 ¸

k 0

lim sup p1 rqf px0 q p1 rq Ò

r 1

2

rk QkA pI QA q f px0 q

8 ¸

k 0

r

k

QkA f

px0 q 0.

(10.213)

October 7, 2010

9:50


MarkovProcesses


708

From (10.213) we infer Λx0 pf QA f q ¤ 0. The latter inequality is also true for f instead of f , and hence the functional Λx0 is QA -invariant. Since the subset A is compact, by the Riesz representation theorem the functional ³ Λx0 can be represented by a measure πx0 : Λx0 pf q A f pxqd dπx0 pxq, f P C pAq. In order to see the uniqueness we use Orey’s theorem 10.2. First we introduce the sequence of stopping times: τAk 1,h τAk,h τA1,h ϑτ k,h , where

τAh , the stopping time defined in (10.203) and not the time in defined 1,h PB . (10.100). We will employ the reference measure B ÞÑ Px X τA A

τA1,h

We need the fact that all measures ofthe form k 1,h Px X τA P B Ex PX pτ k,hq X τA1,h P B

Ex

A

EX pτ k,h q PX phq rX pτA q P B s A

, k P N,

(10.214)

are equivalent. Suppose that B is such that the very first member in (10.214)

X τAk,h P A such that Ey PX phq rX pτA q P B s 0. all measures of the form B ÞÑ P ph, y, B q, y P E,

vanishes. Then there exists y

(10.215)

Since are equivalent, (10.215) implies that the quantity in (10.215) vanishes for all y P E. It follows that PX pτ ℓ,h q X τA1,h P B 0 (10.216) A

for all ℓ

P N.

ÞÑ X τAk,h Þ Py X τAk,h P B , B P Ñ

As a consequence we see that the process k

is Harris recurrent relative to the measure B E. Then Orey’s theorem yields that for all pairs of probability measures pµ1 , µ2 q on the Borel field of A the following limit vanishes (see (10.15) in Theorem 10.2): ¼

lim

Ñ8

n

Var pQnA px, q QnA py, qq dµ1 pxq dµ2 py q 0.

(10.217)

Consequently, we see that QA -invariant probability measures on the Borel field of A are unique. We call such an invariant measure πA . The existence was established using the Hahn-Banach theorem. It then follows that for all f P C pAq and uniformly for x P A limp1 rq

Ò

r 1

8 ¸

k 0

rk QkA f pxq

»

f dπA 1A A

0.

(10.218)

Assertions (b), (c), (d), and (e) in Proposition 10.8 below then show the existence and uniqueness (up to scalar multiplications of etL -invariant measures) on the Borel field of E.

October 7, 2010

9:50


MarkovProcesses

Invariant measure

709

Next we prove that the invariant measure π on E, the existence of which is established by Proposition 10.8, is in fact a σ-finite, and strictly positive invariant Radon measure which is equivalent to the measures B ÞÑ P pt, x, B q. This will be the subject of the remaining part of the proof. The σ-finiteness of the measure π follows from Lemma 10.11. More precisely, put Am,n

"

x P E : Px rτA

¤ ms ¡

*

1 , m, n P N. n

(10.219)

³

Then E n,mPN Am,n . Since by Lemma 10.11 E Px rτA ¤ ms dπ pxq 8, it follows that π pAm,n q 8 for all m, n P Nz t0u. From (10.273) in assertion (f) of Proposition 10.8 and (10.205) it follows that for f P Cb pE q, f ¥ 0, »

h E

f pxqdπ pxq

¤ sup Ey

» h

P

y A

τA ϑh

0

f pX pρqq dρ

»

E

Px rτA

¤ hs dπpxq.

(10.220) From (10.205) and (10.220) we will infer that the measure π is σ-finite, and that it is a Radon measure. In the proof of this result we will adapt the proof of Theorem 9.5 in Chapter 9. In particular the inequality in (9.53) is relevant. The precise arguments run as follows. Let K be a compact subset of E such that A K. Then there exists ε0 ¡ 0 with the property that sup Py rX ptq R Kε for all t P rh, h

P

y A

τA ϑh qs ¡ 0,

(10.221)

for all 0 ε ε0 . Below we will show that under the hypotheses of Theorem 10.12 the inequality in (10.221) is satisfied indeed: see (10.238). Here Kε : tx P E : d px, K q ¤ εu stands for an ε-neighborhood of K: d denotes a compatible metric on the Polish space E. We are going to show that »

h τA ϑh

sup Ey

P

y E

0

1Kε pX pρqq dρ

8

(10.222)

for some ε ¡ 0. Let τε be the first hitting time of Kε . From (10.221) it follows that for every ε P p0, ε0 q there exists yε P A such that Pyε rτε ϑh

¥ τA ϑh s Py rX ptq R Kε

τA ϑh qs ¡ 0. (10.223) The function y ÞÑ Py rτε ϑh ¥ τA ϑh s Ey PX phq rτε ¥ τA s is continuous, and so there exists a neighborhood Vε of yε such that ε

αε : inf Px rτε ϑh

P

x Vε

for all t P rh, h

¥ τA ϑh s ¡ 0.

(10.224)

October 7, 2010

9:50


MarkovProcesses


710

and such that

inf P pt0 , x, Vε q ¡ 0

(10.225)

P

x Kε

for some fixed but arbitrary t0 ¡ h. In (10.225) we used the irreducibility of the Markov process and the continuity of the function x ÞÑ P pt0 , x, Vε q for ε ¡ 0. If necessary we choose a smaller neighborhood Vε of yε and a smaller ε, which we are entitled to do, because (10.223) holds for every ε P p0, ε0 q. Choose y P Kε . Thenby the Markov property we have

»h

τA ϑh

Py

1Kε pX ptqq dt t0

0

¥ Py Ey

»

h τA ϑh

0

ω

ÞÑ PX pt qpωq

p qt0

τA ϑh ω

0

ω

» t0

0

»h

¥ Ey

1Kε pX ptqq dt t0 , t0

ÞÑ PX pt qpωq

0

1Kε pX ptqpω qq dt

» t0 0

0

» t0 0

τA ϑh pω q t0 q 1tt0 h

τA ϑh q, h

u pω q

τA ϑh

τA ϑh

¡ t0

1Kε pX ptqq dt t0 ,

X pt0 q P Vε , X ptq R Kε for all t P rt0 , h

¥ Ey

u pω q

τA ϑh

1Kε pX ptqq dt t0 ,

X ptq R Kε for all t P rt0 , h

¥ Py

1Kε pX ptqpω qq dt t0 ,

X ptq R Kε for all t P r0, h

¥ Py

τA ϑh

1Kε pX ptqq dt t0 1tt0 h

0

» t0

h

PX pt0 q rτε ϑh

¥ τA ϑh s , X pt0 q P Vε

τA ϑh q, h

τA ϑh

¡ t0

(apply (10.224), the definition of αε )

¥ αεP pt0 , y, Vεq ¥ αε xinf P pt0 , x, Vε q : q ¡ 0, PK

(10.226)

ε

where we used the irreducibility of our Markov process, and the continuity of the function x ÞÑ P pt0 , x, Vε q. Hence we infer »h

sup Py

P

y Kε

0

τh ϑh

1Kε pX ptqq dt ¥ t0

¤ 1 q.

(10.227)

October 7, 2010

9:50


MarkovProcesses

Invariant measure

Put

inf

κε

"

»t

"

»t

t¡h: t¡h:

inf

0

0

711

1Kε pX psqq ds ¥ t0

* *

1Kε pX psqq ds t0 .

(10.228)

Then κε is a stopping time relative to the filtration pFt qt¥0 , because X psq is Ft -measurable for all 0 ¤ s ¤ t. Moreover, by right-continuity of the process t ÞÑ X ptq it follows that X pκε q P Kε on the event tτε 8u. Let y P A. By induction we shall prove that »

h τA ϑh

Py 0

1Kε pX ptqq dt ¡ kt0

To this end we put

αk

»

h τA ϑh

sup Ex

P

x Kε

0

¤ p1 qqk1 , k P N, k ¥ 1.

(10.229)

1Kε pX psqq ds ¥ kt0 .

(10.230)

If x belongs to Kε , then by the Markov property we have: »

h τA ϑh

Px

1Kε pX psqq ds ¡ pk

0

» h

Px

h

κε

Ex

τA

PX pκε q

Ex

0

»

PX pκε q

»h

1Kε pX psqq ds ¡ kt0 , κε

» 8

τA ϑh

0

1 qt 0

¤h


h τA ϑh

0

τA ϑh

¤h

τA ϑh

1Kε pX psqq ds ¡ kt0 ,


¤ α1 αk .

(10.231)

From (10.231) and induction we infer »

h τA ϑh

sup Px

P

x Kε

¤

αk1

0

»

P

1Kε pX psqq ds ¥ kt0

h τA ϑh

sup x Kε

0


k

¤ p1 qqk ,

(10.232)

October 7, 2010

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MarkovProcesses


712

where in the final step of (10.232) we employed (9.58). If y then we proceed as follows: »

h τA ϑh

Py

1Kε pX psqq ds ¡ pk

0

Py Ey

»

h τA ϑh

κε

1qt0


»

PX pκε q

h τA ϑh

0

¤ p1 qqk Py rκε ¤ h

P E is arbitrary,

¤h

τA ϑh


¤h

τA ϑh

τA ϑh s ¤ p1 q qk .

(10.233)

The inequality in (10.233) implies the one in (10.229). To show the first part of (10.222) with f 1Kε , for ε ¡ 0 small enough, we observe that for x P E we have »h

τA ϑh

Ex 0

¤

8 ¸

k 1

¤ t0

1Kε pX psqq ds

pk 1qt0

kt0 Px

»

8 ¸

Px 0

k 2

¤ t0

t0

8 ¸

h τA ϑh

k p1 q q

k 2

»h

τA ϑh

0

1Kε pX psqq ds ¤ kt0

1Kε pX psqq ds ¡ pk 1qt0

t0

1

k 2

1 q

1 q2

8.

(10.234)

The inequality in (10.222) is a consequence of (10.234) indeed with f 1Kε . In other words for every compact subset K of E there exists an εneighborhood K³ε K such that (10.222) is satisfied. It follows that the functional f ÞÑ f dπ, f P Cb pE q, f ¥ 0, can be represented as a Radon measure. Since E is a Polish space, it also follows that the measure π is σ-finite. In order to complete the proof of (10.220) we have to verify the inequality in (10.221). By assuming that sup Py rX ptq R Kε for all t P rh, h

P

y A

τA ϑh qs

sup Py rτε ϑh ¥ τA ϑh s 0

(10.235)

P

y A

we will arrive at a contradiction. If (10.235) holds, then for all y have 0 Py rτε ϑh

¥ τA ϑh s Ey

PX phq rτε

¥ τA s

,

P A we (10.236)

October 7, 2010

9:50


MarkovProcesses

Invariant measure

and hence since all measure B we infer from (10.236) that

P y h1

713

ÞÑ P ph1 , y, B q, B P E, h1 ¡ 0, are equivalent

¥ h1 τA ϑh1 0 (10.237) for all h1 ¡ 0. In (10.237) we let h1 Ó 0 to obtain (10.238) Py rτε ¥ τA s 0 for all y P A. Choose y P Ar : since X pτA q P Ar Px -almost surely on tτA 8u and A is recurrent such points y exist. Then τA 0 Py -almost surely. From (10.238) we get Py rτε 0s 0 which is manifestly a contraτε ϑh1

diction, because y is an interior point of Kε . The proof of (10.222) follows the same pattern as the corresponding proof by Seidler in [Seidler (1997)], who in turn follows Khasminskii [Has1 minski˘ı (1960)]. Let τ be the first hitting time of K. Since K is non-recurrent there exists y0 R K such that Py0 rτ

8s Py rX ptq R K 0

for all t ¥ 0s ¡ 0.

There is one other issue to be settled, i.e. is the subspace RpLq R1 Tβ dense in Cb pE q? Therefore we consider a Tβ -continuous linear functional Λ : Cb pE q Ñ R which annihilates the subspaces RpLq R1. Suppose that Λ 0. Then Λ can be represented as a measure on E, and since scaling³ we may and will assume that Λpf q can be written Λ p1q 0 by ³ as Λpf q f dµ1 f dµ2 , ³f P Cb pE q³, where µ1 and µ2 are probability measures on E. Then, since Lf dµ1 Lf dµ2 0, it follows that

»

E

f pxq dµ1 pxq

¼

E E

»

E

f pxq dµ2 pxq

»

e E

nL

f pxq dµ1 pxq

enL f pxq enL f py q dµ1 pxq dµ2 pxq, n P N, f

»

E

enL f pxq dµ2 pxq

P Cb pE q.

(10.239)

In (10.239) we let³ n Ñ 8, and we use Orey’s theorem to conclude that ³ f E pxq dµ1 pxq E f pxq dµ2 pxq 0, f P Cb pE q. It follows that Λpf q 0, f P Cb pE q. Consequently, by the Hahn-Banach theorem we infer that the subspace RpLq R1 is Tβ -dense in Cb pE q. By construction and (10.222) it follows that for every compact subset K of E there exists a function fK P Cb pE q such that 1K ¤ fK ¤ 1Kε and ³ fK dπ 8. Hence, the open subset tfα ¡ 0u has σ-finite π-measure. Let the sequence of open subsets pUn qnPN be as in Remark 10.8. Consequently, each open subset Un for which there exists a compact subset Kn with Un tfKn ¡ 0u has σ-finite π-measure. Since by Remark 10.8 such open

October 7, 2010

9:50


MarkovProcesses


714

subsets cover E, it follows that the measure π is σ-finite. This is another argument to show that the invariant etL -measure π is σ-finite. A previous argument was based on Lemma 10.11. Altogether this completes the proof of Theorem 10.12. In the proof of Proposition 10.8 below we need the following lemma. The proof requires the equalities in (10.272) which are the same as those in (10.205) and (10.206). Lemma 10.11. Let A be a compact subset which is recurrent with first hitting time τA . Let πE be any non-negative invariant Radon measure on ³ E. Then E Px rτA ¤ ms dπE pxq 8 for every m P R. Put

C

h , πE 2

h2

»

Px τA E

¤ h2

dπE pxq.

(10.240)

Moreover, for 0 m 8, and α ¡ 0 the following inequalities hold:

»

h Px rτA ¤ ms dπE pxq ¤ pm hqC 0 , πE , and 2 E

» ατ h A α Ex e dπE pxq ¤ pαh 1q C , πE . 2 E

(10.241) (10.242)

Proof. Since A is compact and πE is a Radon measure there exists a bounded continuous function f such that 1A ¤ f ¤ 1, and such that ³ f dπE 8. The first equality in (10.272) yields: E

»h


Ex

1 eλ τA EX pτA q

»


0 τA ϑhτA

h τA

(10.243)

1 eλ ρ f pX pρqq dρ , τA ¤ h ,

0

and so we get by invariance of the measure πE : »h 0

1 eλ s ds

E

» E

Ex

f pxq dπE pxq

»h

1 eλ s

» E

0

esL f pxq dπE pxq ds

1 I ehλ ehL RA λ1 f pxq dπE pxq

»

»

E

1e

1 eλ τA EX pτA q

λ1 h

» E

1

» 0,h τ A

0

1 eλ ρ f pX pρqq dρ , τA ¤ h dπE pxq

RA λ f pxq dπE pxq

October 7, 2010

9:50


MarkovProcesses

Invariant measure

»

Ex E

¥

1 eλ τA EX pτA q

»

Ex E

» 0,h τ A

0

»

1 eλ τA EX pτA q

1 2h

715


1 1 eλ ρ f pX pρqq dρ , τA ¤ h dπE pxq 2

0

(10.244) where for brevity we wrote τA0,h ω, ω 1

τA ϑhτA pωq ω 1

h τA pωq

(10.245)

which indicates the first time of hitting A strictly after h τA pω q. Notice ( 1 that on the event τA ¤ 2 h the inequalities τA0,h ¥ 12 h τA ϑ 12 h ¥ 12 h hold. In (10.244) we let λ Ò 0 to get: »

h E

f pxq dπE pxq ¥

»

E

»

Ex EX pτA q

¥ yinf E PA y

»

1 2h

0

³ 1 h

1 2h

0


f pX pρqq dρ

f pX pρqq dρ

»

Px τA E

¤

1 h dπE pxq 2

¤ 12 h

dπE pxq. (10.246)

as 0 leads to a contradiction, ³ h we shall see momentarily. Since the function y ÞÑ Ey 0 f pX pρqq dρ and A is compact is continuous our assumption implies that for some y0 P A the following inequality holds for all 0 h1 12 h: Assuming that inf yPA Ey

2

0

1 2

» h1

Ey0 0

f pX pρqq dρ

» h1 0

eρL f py0 q dρ 0.

(10.247)

Dividing all members of (10.247) by h1 ¡ 0, letting h1 to 0, we obtain f py0 q 0. Here we employ the Tβ -continuity of the function t ÞÑ etL f py0 q which follows from the Tβ -continuity of the semigroup t ÞÑ etL . Since 1A ¤ f ¤ 1 and y0 P A we have a contradiction. Thus we have ³ 1h inf yPA Ey 02 f pX pρqq dρ ¡ 0. In combination with (10.246) this yields that

³

E

»

E

and»hence Px τA E

¤ 12 h 8. By induction with respect to k it follows that » 1 1 Px 0 τA ¤ kh dπE pxq ¤ k Px 0 τA ¤ h dπE pxq, 2 2

Px τA

E

¤

1 kh dπE pxq ¤ pk 2

1q

»

(10.248)

Px τA E

¤

1 h dπE pxq 8. 2 (10.249)

October 7, 2010

9:50


MarkovProcesses


716

Let us show (10.248). Since on events of the form tτA ¡ su we have s τ ϑs Px -almost surely, we have 1 Px 0 τA ¤ pk 1qh 2 Px 0 τA ¤ 12 kh Px 12 kh τA ¤ 12 pk 1qh Px 0 τA ¤ 12 kh Px 0 τA ϑ 12 kh ¤ 12 h, 12 kh τA (Markov property)

Px 0 τA ¤

¤ Px 0 τA ¤

1 kh 2 1 kh 2

Ex PX p 1 khq 0 τA

¤

Ex PX p 1 khq 0 τA

¤

2

2

1 1 h , kh τA 2 2 1 (10.250) h . 2

Since the positive measure πE is etL -invariant from (10.250) we deduce »

E

¤

Px 0 τA

» E

¤ 12 pk

1qh dπE pxq

Px 0 τA

¤ 12 kh

Px 0 τA

¤ 12 kh

»

E

E

»

dπE pxq

»

E

Px 0 τA

¤ 12 kh

Ex PX p 1 khq 0 τA 2

e 2 khL Ppq 0 τA

E

»

dπE pxq

E

Px 0 τA

¤ 12 h

¤ 12 h

dπE pxq

¤ 12 h pxq dπE pxq

1

(etL -invariance for t 12 kh)

»

dπE pxq

dπE pxq. (10.251)

Thus (10.248) follows by induction from (10.251). (10.241) follows from (10.249). Since

Ex eατA

α

»8 0

Px rτA

The inequality in

¤ ss eαsds

the equality in (10.242) follows from (10.241). Suppose that the invariant measure πE is non-trivial. Then there remains to show that the quantity ³ P r τ ¤ ms dπE pxq is strictly positive for 0 m 8. For m Ò 8 the x A E ³ quantity E Px rτA ¤ ms dπE pxq increases to »

E

Px rτA

¤ ms dπE pxq Ò

»

E

Px rτA

¤ 8s dπE pxq

»

1 dπE E

¡ 0. (10.252)

October 7, 2010

9:50


MarkovProcesses

Invariant measure

717

Assume, to arrive at a contradiction that, for some m P p0, 8q the integral E Px rτA ¤ ms dπE pxq vanishes. Then by invariance we have

³

»

E

¤

Px rm τA

» »

E

»E E

Px rm

¤ 2ms dπE pxq τA ϑm

Ex rτA ϑm

¤ 2m, τA ¡ ms dπE pxq

¤ m, τA ¡ ms dπE pxq

Ex PX pmq rτA ϑm

¤ ms

dπE pxq

(the measure πE is emL -invariant)

» E

Px rτA ϑm

¤ ms dπE pxq 0.

(10.253)

Repeating the arguments in (10.253) then shows the equality » E

¤

Px rτA » E

8s dπE pxq

Px rτA

(10.254)

¤ ms dπE pxq

8 » ¸

k 0 E

Px rkm τA

¤ pk

1qms dπE pxq 0,

which contradicts the non-triviality of the measure πE . Finally, the conclusion in (10.249) completes the proof of Lemma 10.11. Proposition 10.7. Let πE be an invariant Radon measure. If the function f ¥ 0 belongs to f P L1 pE, E, πE q, then »

f pxq dπE pxq

h E

» E

Ex EX pτA q » h

»

Ex E

and lim λ1 λ1 Ó0

»

τA ϑh

τA

»

h τA τA ϑhτA 0


f pX pρqq dρ, τA

¤h

RA λ1 f pxq dπE pxq inf λ1 λ1 ¡0 E

» E

dπE pxq,

¤h

dπE pxq (10.255)

RA λ1 f pxq dπE pxq 0. (10.256)

October 7, 2010

9:50


MarkovProcesses


718

First assume that the function f is such that the function RA p0qf is uniformly bounded. Since the Markov process is irreducible this is true whenever f is replaced by a function of the form f 1U whenever U is an appropriate open neighborhood of a given compact subset: see (9.119) in Corollary 9.5.

Proof. Let f P L1 pE, E, πE q Cb pE q, and let πE be an etL -invariant Radon measure. For the proof we need the equality in (10.272). From that equality in conjunction with the invariance property of the measure πE we obtain: 1 » » 1 eλ h hλ1 1 1 RA λ f pxq dπE pxq f pxq dπE pxq e λ1 E E

»

1 eλ τA EX pτA q

Ex E

»

»

τA

where τA0,h »

h E

A

0

h τA τA ϑhτ f pxq dπE pxq »

1 h λlim 1 Ó0 λ

E

»

1 h λlim 1 Ó0 λ

»

A

(10.257)

: see (10.245). Upon letting λ1

0,h τA

0


Ó 0 we get

¤h

dπE pxq

RA λ1 f pxq dπE pxq

E» h

»

RA λ1 f pxq dπE pxq

Ex EX pτA q

E

»


1 eλ ρ f pX pρqq dρ, τA ¤ h dπA pxq,

h τA ϑh

Ex E

» 0,h τ

τA ϑh

Ex E

τA

f pX pρqq dρ, τA

¤h

dπA pxq.

(10.258)

Next in (10.272) we let λ1 tend to zero to obtain the pointwise equality: e

hL

I

Ex Ex

RA p0q f pxq »

EX pτA q »

h τA ϑh τA

»h 0

esL f pxq ds

h τA τA ϑhτA

0


f pX pρqq dρ, τA

¤h

¤h

.

(10.259)

October 7, 2010

9:50


MarkovProcesses

Invariant measure

719

From (10.258) and (10.259) we see that the function I longs to L1 pE, E, πE q, and that »

I e

E

hL

ehL

RA p0qf be-

»

RA p0qf pxq dπE pxq lim λ1 RA λ1 dπE pxq λ1 Ó0 »E 1 1 dπE pxq. λinf λ R λ A 1 ¡0 E

(10.260)

The fact that in (10.256) and in (10.260) we may replace the limit by an ³ infimum is due to the fact that the function λ1 ÞÑ λ1 E RA pλ1 q dπE pxq is decreasing. This claim follows from the resolvent property of the family tRA pλq : λ ¡ 0u and the invariance of the measure πE . The arguments read as follows. Let λ1 ¡ λ2 ¡ 0. Then by the resolvent equation we have: λ1 RA λ1

λ2 RA λ2 λ1 λ2 I λ1 RA λ1 RA λ2 . (10.261) For g P L1 pE, E, πE q, g ¥ 0, we also have » » » 1 1 1 1 λ RA λ g pxq dπE pxq ¤ λ R λ g pxq dπE pxq g pxq dπE pxq. E

E

E

(10.262)

From (10.261) and (10.262) the monotonicity of the function λ1 ÞÑ λ1

»

E

RA λ1 dπE pxq

easily follows. We shall prove that this limit vanishes, and consequently the result in (10.256) follows. Therefore, for m ¡ 0 arbitrary, we consider the following decomposition of the function λRA pλqf pxq: λRA pλqf pxq λEx

λEx

»

pτA mq_0

0

» τA 0

eλρ f pX pρqq dρ


λEx

From the Markov property we infer »

λEx

pτA mq_0

0

λEx

»


pτA mq_0

0

(10.263) »

τA

pτAmq_0

eλρ f pX pρqq PX pρq rτA ¡ ms dρ .

We also infer, again using the Markov property, » τA

λEx

pτAmq_0

eλρ f pX pρqq dρ .


(10.264)

October 7, 2010

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MarkovProcesses


720

λEx

»

τA

pτA mq_0

eλρ f pX pρqq PX pρq rτA ¤ ms dρ .

(10.265)

In both equalities (10.264) and (10.265) we used the Px -almost sure equality ρ τA ϑρ τA on the event tτA ¡ ρu. Next we estimate the expression in (10.264): λEx

» pτAmq_0 0

λ

»8 0

»8

eλρ f pX pρqq PX pρq rτA

eλρ Ex f pX pρqq PX pρq rτA

¡ ms dρ

¡ ms , τA ¡ m

¤ λ eλρEx f pX pρqq PX pρq rτA ¡ ms dρ 0 λRpλq f pqPpq rτA ¡ ms pxq.

dρ

(10.266)

The expression in (10.265) can be rewritten and estimated as follows: »

τA

eλρ f pX pρqq PX pρq rτA ¤ ms dρ pτA mq_0 »8 λ eλρ Ex 1rpτ mq_0,τ q pρqf pX pρqq PX pρq rτA ¤ ms dρ

λEx

A

A

0

(Markov property and ρ

λ ¤λ

»8 0

»8 0

τA ϑρ

τA on tτA ¡ ρu Px-almost surely)

eλρ Ex EX pρq 1rpτA mq_0,τA q pρq f pX pρqqPX pρq rτA

¤ ms, τA ¡ ρ

dρ

eλρ Ex EX pρq 1rpτA mq_0,τA q pρq f pX pρqq PX pρq rτA

¤ ms

dρ.

(10.267) Employing the invariance of the measure πE in the inequality in (10.266) shows »

»

λ

Ex E

λ

0

»

»

E

pτA mq_0

E

eλρ f pX pρqq PX pρq rτA

Rpλq f pqPpq rτA

f pxqPx rτA

¡ ms dρ

dπE pxq

¡ ms pxq dπE pxq

¡ ms dπE pxq.

(10.268)

October 7, 2010

9:50


MarkovProcesses

Invariant measure

721

A similar estimate for the term in (10.265) is somewhat more involved, but it really uses the recurrence of the set A. Again using the invariance of the measure πE for the expression in (10.267) yields: »

»

τA

eλρ f pX pρqq PX pρq rτA ¤ ms dρ dπE pxq pτAmq_0 »8 » ¤ λ eλρ Ex EX pρq 1rpτ mq_0,τ q pρq f pX pρqq PX pρq rτA ¤ ms

λ

Ex

E

A

λ

»8 0

»

λ E

A

E

0

dπE pxq dρ eλρ

»8 0

»

E

¤ ms dπE pxq dρ

¤ ms dπE pxq

Ex 1rpτA mq_0,τA q pρq f pxq Px rτA

eλρ Ex 1rpτA mq_0,τA q pρq dρf pxq Px rτA

¤ 1 eλm

»

E

f pxq Px rτA

¤ ms dπE pxq.

(10.269)

In the final step of (10.269) we used the fact that τA for all x P E. As a consequence of this we have λ

»8 0

8 Px-almost surely

eλρ Ex 1rpτA mq_0,τA q pρq dρ

Ex

» τA

λ

pτA mq_0

eλρ dρ

¤ 1 eλm

showing the final step in (10.269). From (10.263), (10.268), and (10.269) we» deduce: λ E

¤

»

RA pλqf pxq dπE pxq

¡ ms dπE pxq

1 eλm

¤ ms dπE pxq. Here m ¡ 0 is arbitrary. Let ε ¡ 0 be arbitrary. First we choose m ¡ 0 so large that the first term in the right-hand side of (10.270) is ¤ 12 ε. Then we choose λ ¡ 0 so small that the second term in (10.270) is ¤ 12 ε as E

f pxqPx rτA

(10.270) »

E

f pxq Px rτA

well. As a consequence we see that (10.256) in Proposition 10.7 follows. Together with (10.258), (10.259), and (10.259) this completes the proof of Proposition 10.7. In the following crucial proposition we establish a strong link between QA invariant measures on A, and etL -invariant measures on E. In particular it follows that invariant measures on E are unique whenever this is the case on A.

October 7, 2010

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MarkovProcesses


722

Proposition 10.8. Let the Borel probability measure πA on A and the measure πE on E be related as follows. For all functions f P L1 pE, E, πE q the equality » h τA

»

Ex A

0

f pX pρqq dρ dπA pxq h

»

(10.271)

f dπE E

holds. Then the following assertions are true: (a) Let f

P CbpE q, and λ1 ¥ 0. The following equalities hold (see (10.205)):


Ex Ex

e

λ1 τA

»

EX pτA q

h τA ϑh

τA

» hτA

»h


0 τA ϑhτA

0

1 eλ ρ f pX pρqq dρ , τA ¤ h

1 eλ ρ f pX pρqq dρ, τA ¤ h .

(10.272)

(b) The measure πA is QA -invariant if and only if πE is etL -invariant for all t ¥ 0. (c) If the QA -invariant measure πA on the Borel field of A is given, then (10.271) can be used to define the invariant measure πE on E. (d) If the etL -invariant measure πE on the Borel field of E is given, then (10.272) together with the equality (10.255) of Proposition 10.7 can be used to define the invariant measure πA on the Borel field of A. (e) If there exists only one QA -invariant probability measure πA , then the etL -invariant measure πE is unique up to multiplicative constants. (f ) If πE is an invariant measure on E, and f belongs to L1 pE, E, πE q, then the following inequality holds: » h f dπE E

¤ sup Ey P

y A

»

h τA ϑh

0

|f pX pρqq| dρ

»

E

Px rτA

¤ hs dπE pxq. (10.273)

Let πE be a etL -invariant measure. Notice that, with λ1 in (10.272) together with (10.271) entail the equality: »

»

1,h τA

Ex A

0

»

»

f pX pρqq dρ dπA pxq

1,h τA

Ex E

0, the equalities

τA

f pX pρqq dρ, τA

¤h

dπE pxq h

»

f dπE . E

(10.274)

October 7, 2010

9:50


MarkovProcesses

Invariant measure

723

If f ¥ 0 belongs to Cb pE q, and if πE is a positive measure on E, then we use the first equality in (10.274) to associate to πE a Borel measure πA on A. Since the invariant probability measures on A are unique, it follows that the invariant measures on E are unique as well. Proof. [Proof of Proposition 10.8.] (a). The equalities in (10.272) follow from the equalities in (10.205) and (10.206). (b). Let the measures πA on A and πE be related as in (10.271). Then for t ¥ 0, and f P L1 pE, E, πE q we have »

etL f dπE

h E

» h τA

»

etL f pX pρqq dρ dπA pxq

Ex A

0

» h τA

»

EX pρq rf pX ptqqs dρ dπA pxq

Ex A

0

(Markov property)

» h τA

»

f pX pρ

Ex A

0

» t

»

h τA

Ex A

t

tqq dρ dπA pxq

f pX pρqq dρ dπA pxq.

(10.275)

We differentiate both sides of (10.275) to obtain »

etL Lf dπE

h E

»

Ex f X t »A A

τAh

dπA pxq

QA etL f pxq dπA pxq

»

A

» A

Ex rf pX ptqqs dπA pxq

etL f pxq dπA pxq.

(10.276)

By setting t 0 in (10.276) we see that πA is QA -invariant if and only if πE is etL -invariant (or L-invariant). This proves assertion (a). (c). Let πA be a (finite) Borel measure on A, and define the measure πE on E by the equality in (10.271). If πA is an invariant measure on A, then by assertion (b) πE is etL -invariant. This proves assertion (c).

(d). Let ME pλ1 q be the space of all continuous functions g on E for which there exists a function f P Cb pE q such that g pxq, x P E, can be written as in (10.272). Let MA pλ1 q be the subspace of C pAq consisting of functions g P ME pλ1 q restricted to A. Let πE be a Borel measure on

October 7, 2010

9:50


MarkovProcesses


724

E which is a positive Radon measure with the property that for some fi³ nite constant C the inequality E g pxq dπE pxq ¤ C supxPA g pxq holds for all g P ME p0q. Notice that³ in case a function³g P MA p0q has two extensions g1 and g2 in ME p0q, then E g1 pxq dπE pxq E g2 pxq dπE pxq. Define the func³ r A : MA p0q Ñ R by Λ r A pg q tional Λ g pxq dπE pxq. Then by assumption E r ΛA pg q ¤ C supxPA g pxq, g P ME p0q, and hence by the observation above r A is well-defined. By the Hahn-Banach extension theorem in combination Λ with the Riesz representation theorem there exists a measure πA on the ³ ³ Borel field of A such that p x q dπ p x q g g A A E pxq dπE pxq, g P MA p0q, and ³ A g pxq dπA pxq ¤ C supxPA g pxq for all g P C pAq. Next, let πE be any nonnegative etL -invariant Radon measure on E. Then Lemma 10.11 implies ³ E Px rτA ¤ hs dπE pxq 8.

p1q

p2q

(e). Let πE and πE be two Radon measures on E which are etL p1q p2q invariant. Then the construction in (d) gives finite measures πA and πA on the Borel field of A such thatthe equality »

» τAh

Ex A

0

pjq f pX pρqq dρ dπA pxq h

»

E

pjq

f dπE

(10.277)

pjq , j 1, 2: see (10.271). p1q p2q Then (10.277) implies that the measures πA and πA are QA -invariant. is satisfied for all functions f

P

L1 E, E, πE

By uniqueness, they are constant multiples of each other. It follows that p1q p2q the measures πE and πE are scalar multiples of each other. This completes the proof of item (e). (f). The inequality in (10.273) is a consequence of the first equality in (10.262) in Proposition 10.7, and the fact that X pτA q P A Px -almost surely. Altogether this completes the proof of Proposition 10.8.

Let πE be an invariant Borel measure on E, let f ¥ 0 be a function in Cb pE q, and introduce the functions fα , α ¡ 0, by fα pxq f pxqEx reατA s. In the following proposition we show that the functions RA pαqfα are very appropriate to approximate functions of the form RA p0qf . In many aspects they can be used to play the role of RA pαqf for α ¡ 0 small. If f belongs to Cb pE q, RA pαqfα is a member of L1 pE, E, πE q where πE is an invariant measure. This result follows from Lemma 10.11; in particular see (10.259). Proposition 10.9. In several aspects the functions RA pαqfα , α ¡ 0, f P Cb pE q, have properties which are similar to those of the form RA pαqf , f P Cb pE q, but with functions fα P L1 pE, E, πE q Cb pE q if f P Cb pE q. If f P L1 pE, E, πE q, then the family tαRA pαqfα : α ¡ 0u is uniformly integrable.

October 7, 2010

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MarkovProcesses

Invariant measure

725

Proof. Let the functions fα , α ¡ 0, be as above: fα pxq f pxqEx reατA s. Observe that RA pαqfα pxq Ex

» τA

»8 0

0

f pX pρqq eαρ EX pρq eατA dρ

Ex f pX pρqq eαρ EX pρq eατA , τA

¡ρ

dρ

(Markov property)

»8 0

Ex f pX pρqq eαρατA ϑρ , τA τA ϑρ

(τA is a terminal stopping time: ρ

Ex

» τA 0

¡ρ

dρ

τA on the event tτA ¡ ρu)

f pX pρqq dρ eατA ,

(10.278)

and consequently limαÓ0 RA pαqfα pxq RA p0qf pxq. Here we employed the recurrence of the set A. By Lemma 10.11 we also see that the functions Rα fα are members of L1 pE, E, πE q: »

α E

»

RA pαqfα pxq dπE pxq ¤ α

E

»

E

Rpαqfα pxq dπE pxq

fα pxq dπE pxq 8.

(10.279)

Next suppose that f P L1 pE, E, πE q. In order to prove that the family tαRA pαqfα : α ¡ 0u is uniformly integrable, it suffices to take f ¥ 0, and f P Cb pE q. Then the result follows from (10.256) in Proposition ³ 10.7, because for such functions f the function α ÞÑ α E RA pαqf dπE is monotone increasing. Moreover, the following pointwise limits are valid: ³ ³ limαÓ0 α E RA pαqf 0, limαÑ8 α E RA pαqf 1E zAr f . In addition, by (10.256) in Proposition 10.7 we have »

lim α

Ó

α 0

E

RA pαqf dπ

0,

»

and

lim α

Ñ8

α

E

RA pαqf dπ

»

z

f dπ.

E Ar

From Scheffé’s theorem it then follows that the family tαRA pαqf : α ¡ 0u is uniformly integrable. Since 0 ¤ fα ¤ f , it also follows that the family tαRA pαqfα : α ¡ 0u is uniformly πE -integrable. This completes the proof of Proposition 10.9. In an earlier version of the present work the following lemma was used in the proof of Theorem 10.12 which establishes the existence of an invariant measure.

October 7, 2010

9:50


MarkovProcesses


726

Lemma 10.12. Let A be a compact recurrent subset of E such that Ar i.e. the collection of its regular points coincides with A itself. Put HA g pxq Ex rg pτA , X pτA qqs Ex rg pτA , X pτA qq , τA

8s .

A,

(10.280)

Here g : r0, 8q E Ñ R is any bounded continuous function. Then the following assertions hold true: (a) Suppose that for every such function g the limit lim λRpλqHA g pxq

Ó

λ 0

exists uniformly on compact subsets of E. Then the family tλRpλqHA : λ ¡ 0u is Tβ -equi-continuous. In particular, it follows that for every compact subset K in E there exists a function v P H pr0, 8q E q such that sup sup |λRpλqHA g pxq| ¤

P

¡

x Kλ 0

sup

ps,xqPr0,8qE

|vps, xqgps, xq| .

(10.281)

(b) Suppose that for every compact subset K of E the following equality holds: inf

sup sup |λRpλq pHA g u Lv q pxq| 0.

P p q P p q P

¡

u N L ,v D L x K λ 0

(10.282)

Let g be any function in Cb pr0, 8q E q. Then the limit P HA g py q lim λRpλqHA g py q

Ó

λ 0

(10.283)

exists uniformly on compact subsets of E, and P HA g belongs to N pLq. Consequently HA g P HA g pI P q HA g decomposes the function HA g into two functions P HA g P N pLq and pI P q HA g which belongs to Tβ -closure of RpLq. (c) Suppose that for every function g P Cb pr0, 8q E q the limit P HA g pxq lim λRpλqHA g pxq exists uniformly on compact subsets of E.

Ó

λ 0

(10.284) If x0 P E and h ¡ 0, then limλÑ8 λRpλqPpq rτA ¤ hs px0 q ¡ 0. Recall that a function v belongs to H pr0, 8q E q provided that for every α ¡ 0 the subset tps, xq P r0, 8q E : v ps, xq ¥ αu is contained in a compact subset of r0, 8q. In particular it follows that uniformly on any compact subset of E we have limtÑ8 v pt, xq 0. Proof. (a). Let pgn : n P Nq be any sequence of functions in Cb pr0, 8q E q which decreases to zero pointwise on r0, 8qE. Then HA gn

October 7, 2010

9:50


MarkovProcesses

Invariant measure

727

decreases pointwise to 0 on E. By Dini’s lemma it decreases to zero uniformly on compact subsets of E. Define the functions Gn : r0, 8s E Ñ R by $ λR λ HA x , ' ' ' &

pq pq αRpαqHA gn pxq, Gn pλ, xq lim αÓ0 ' ' ' % lim αRpαqHA gn pxq HA gn pxq, αÑ8

0 λ 8, x P E; λ 0, x P E;

λ 8, x P E.

(10.285) Then the sequence pGn : n P Nq defined in (10.285) consists of continuous functions which converges pointwise on r0, 8s E to zero. By Dini’s lemma this convergence occurs uniformly on r0, 8s K where K is any compact subset of E. It follows that for all compact subsets K of E sup sup λRpλqHA gn pxq decreases to 0 as n tends to

P

¡

x Kλ 0

8.

By Corollary 2.3 in Chapter 2 it follows that such a family is Tβ -equicontinuous. The inequality in (10.281) is a consequence of this equicontinuity. For more details see §2.1.

(b). For u P N pLq and λ ¡ 0 we have λRpλqu u, and for v P DpLq we have λRpλqLv λ pλRpλq I q v. It follows that limλÓ0 λRpλq pu Lv q u uniformly on E. By assumption (10.282) we see that limλÓ0 λRpλqHA g pxq exists uniformly on compact subsets of E. This shows assertion (b).

(c). Let K be a compact subset of E. By Assertion (a) there exists a function v P H pr0, 8q E q such that (10.281) is satisfied. In particular it follows that sup sup |λRpλqHA g pxq| ¤

P

¡

x Kλ 0

sup

ps,xqPr0,8qE

|vps, xqgpsq|

(10.286)

for all functions g P Cb pr0, 8qq. We may choose continuous functions gm satisfying 1rm,8q ¤ gm ¤ 1rm1,8q . Then by (10.286) we have for x P K and λ ¡ 0 λRpλqPpq rτA

¡ ms pxq ¤ λRpλqEpq rgm pτA qs pxq ¤ sup |v ps, yq gm psq| . ps,yqPr0,8qE

From the properties of the functions v and gm it follows that inf sup sup λRpλqPpq rτA

(10.287)

¡ ms pxq 0. (10.288) As in (c) assume that for some h ¡ 0 limλÓ0 λRpλqPpq rτA ¤ hs pxq 0. P P

¡

m Nx K λ 0

Then by the Markov property we also have λRpλqPpq rh τA

¤ 2hs pxq

October 7, 2010

9:50


MarkovProcesses


728

λ λ ¤λ λ

»8 0

»8 0

»8 0

»8

λe

0 λh

eλs esL Ppq rτA ϑh

¤ h, τA ¡ hs pxq ds

¤ hs , τA ¡ h

¤ hs

eλs Ex EX psq PX phq rτA eλs Ex EX psq PX phq rτA

»8 h

ds

ds

eλs Ex EX ps

h

q rτA ¤ hs ds

eλs Ex EX psq rτA

¤ hs

(10.289)

ds.

Hence by (10.289) and by assumption we see that lim λRpλqPpq rh τA

Ó

λ 0

¤ 2hs pxq 0.

Consequently, we obtain lim λRpλqPpq rτA

Ó

λ 0

¤ ms pxq 0

for all m ¡ 0.

(10.290)

Since the set A is recurrent we have for m ¡ 0, m P N, 1 λRpλqPpq rτA

8s pxq λRpλqPpq rτA ¤ ms pxq

λRpλqPpq r8 ¡ τA

¡ ms pxq.

(10.291)

The second term in the right-hand side of (10.291) converges to 0 uniformly in λ ¡ 0 when m Ñ 8. For every fixed m the first term in the righthind side of (10.291) converges to 0 when λ Ó 0: see (10.290). These two observations contradict the equality in (10.291). It follows that for every x P E and every h ¡ 0 the limit limλÓ0 λRpλqPpq rτA ¤ hs pxq ¡ 0. Altogether this completes the proof of Lemma 10.12. Corollary 10.5. Let the hypotheses and notation be as in Theorem 10.12. Suppose that there exists a recurrent subset A subset such that sup Ex rh

P

x A

τA ϑh s 8 for some h ¡ 0.

(10.292)

Then the invariant measure constructed in the proof of Theorem 10.12 is finite. Here τA is the first hitting time of the subset A. Proof. Corollary 10.5 follows from inequality (10.220) with f 1 and the inequalities (10.207) and (10.208) with 2h instead of h in the proof of Theorem 10.12: see Definition 9.4 as well.

October 7, 2010

9:50


MarkovProcesses

Invariant measure

729

Suppose that x P Ar . Then the limits in (10.118) are in fact suprema, provided the numbers h are taken of the form 2n h1 , h1 ¡ 0 fixed, and n Ñ 8. Moreover, the expression in (10.118) vanishes for x P A. Notice that the Tβ -equi-continuity of the family tλRp!λq : 0 λ 1u is a)conse³t

quence of the Tβ -equi-continuity of the family t1 0 eρL dρ : t ¡ 0 . The latter is stronger than the standard condition in order that the KrylovBogoliubov theorem holds. More precisely, ifthere exists a probability ³ 1 tn ρL e ν dρ weakly converges to measure ν such that some sequence t n 0 a probability measure π, then π is L-invariant. For more details on the Krylov-Bogoliubov theorem see e.g. Theorem 2.1.1 in [Cerrai (2001)]; the reader might want to consult [Da Prato and Zabczyk (1996)] as well. Proposition 10.10. Let the (embedded) Markov chain pX pnq : n P Nq be Harris recurrent. Then the strict closure, i.e. the Tβ -closure, of RpLq R1 coincides with Cb pE q. If, in addition, the family tλRpλq : λ ¡ 0u is Tβ equi-continuous, then the chain pX pnq : n P Nq is positive Harris recurrent. Proof. Let µ µ2 µ1 be a difference of positive Borel measures such ³ ³ ³ that Lf dµ 0 for all f P D p L q , and such that 1 dµ 0. Then 1 dµ 1 ³ 1 dµ2 , and since the chain pX pnq : n P Nq is Harris recurrent we know that »

lim

Ó

λ 0

λRpλqf dµ2

»

λRpλqf dµ1

0.

(10.293) ³

This is a consequence of Orey’s theorem: see Theorem 10.2. Since Lg dµ 0 for all g P DpLq, we have »

f dµ

»

f dµ2

λlim Ñ0

»

»

f dµ1

λRpλqf dµ2

»

λRpλqf dµ1

0.

(10.294)

From (10.294) we conclude that µ 0. From the Hahn-Banach theorem it then follows that RpLq R1 is Tβ -dense in Cb pE q. If, in addition, the family tλRpλq : λ ¡ 0u is Tβ -equi-continuous, then we define the invariant measure π by »

f dπ

lim λRpλqf px0 q . λÓ0

(10.295)

The limit in (10.295) exists for f P LDpLq R1, and for f P RpLq it vanishes. Since the chain pX pnq : n P Nq is Harris recurrent we know that the limit in (10.295) does not depend on the choice of x0 . Since the family

October 7, 2010

9:50


MarkovProcesses


730

tλRpλq : λ ¡ 0u is Tβ -equi-continuous, the limit in (10.295) also exists for f in the Cb pE q which is the Tβ -closure of RpLq R1. In addition this limit is a probability measure on E, again by this Tβ -equi-continuity. So the proof of Proposition 10.10 follows. Proposition 10.11. Let the hypotheses and notation be as in Proposition 10.5. Let f belong to the domain of L, and suppose that Lf pxq LEpq rf pX pτA qqspxq, x P Ar .

(10.296)

Then the function x ÞÑ Ex eλτA f pτA q belongs to the pointwise domain of L, and the following equalities hold:

pλI Lq Epq eλτ f pX pτA qq pxq 0, x P E zAr , and ( lim pλI Lq Epq eλτ f pX pτA qq pxq pλI Lq f pxq 0, λÓ0 A

A

(10.297)

x P Ar .

(10.298) Note: neither equality (10.296) nor (10.298) is automatically satisfied. In fact condition (10.296) is in fact kind of Wentzell type boundary condition. Let f P Cb pE q be such that (10.296) is satisfied. Then the function x ÞÑ HA p0qf pxq Ex rf pX pτA qqs is a function which is L-harmonic on E zAr , it coincides with f on Ar , and in addition the functions Lf and LHA p0qf coincide on the same set. We introduce the Wentzell subspace D LW of A DpLq by: D LW A

tf P DpLq : f satisfies equality (10.296)u .

(10.299)

Proof. [Proof of Proposition 10.11.] First we observe that for x P E zAr and g in the pointwise domain of L we have "

Ex rg pX ptqqs g pxq Ex rg pX ptqq , τA pL LA q gpxq lim tÓ0 t t Ex rg pX ptqq , τA ¤ ts lim 0, tÓ0 t

¡ ts gpxq * (10.300)

where in the final step of (10.300) we employed Lemma 10.1. We also have

pλI LA q HA pλqf pxq pλI LA q Epq eλτ f pX pτA qq pxq Ex eλτ f pX pτA qq Ex eδλ EX pδq eλτ f pX pτA qq , τA ¡ δ lim A

A

A

Ó

δ

δ 0

(employ the Markov property)

lim δ Ó0

Ex eλτA f pX pτA qq

Ex

eδλλτA ϑδ f pX pδ δ

τA ϑδ qq , τA

¡δ

October 7, 2010

9:50


MarkovProcesses

Invariant measure

731

(on the event tτA Ex lim δ Ó0

eλτA

¡ δu the equality δ τA ϑδ τA holds) f pX pτA qq , τA ¤ δ 0, for x P E zAr . δ

(10.301)

In the final step of (10.301) we again used Lemma 10.1. An application of (10.300) and (10.301) to the function g pxq HA pλqf pxq shows the validity of (10.297) for x P E zAr . Next we treat the (important) case that x P Ar . Since the process ³ t λs λt t ÞÑ e f pX ptqq f pX p0qq e f pX psqq ds is Px -martingale, we get 0

Ex eλτA f pX pτA qq

f pxq

Ex eλτA f pX pτA qq f pX p0qq » τA Ex eλs pλI Lq f pX psqq ds

»8

0

eλsEx rpλI Lq f pX psqq , τA ¡ ss ds 0 RApλq pλI Lq f pxq. We also have:

pλI Lq Epq eλτ f pX pτA qq f pX p0qq pxq Lf pxq LEpq eλτ f pX pτA qq pxq Px rτA 0s . A

A

In (10.303) we let λ tend to zero to obtain:

Ó

A

(10.303)

Lq Epq eλτ f pX pτA qq f pX p0qq pxq Lf pxq LEpq rf pX pτA qqs pxq Px rτA 0s .

lim pλI

(10.302)

λ 0

Here we use the fact that the subset A is recurrent, i.e. Px rτA x P E. So the following equality remains to be shown:

(10.304)

8s 1,

Lf pxq LEpq rf pX pτA qqspxq, x P Ar .

However, this is assumption (10.296), which completes the proof of Proposition 10.11. 10.3

A proof of Orey’s theorem

In this section we will prove Orey’s convergence theorem as formulated in Theorem 10.2. We will employ the formulas (10.17) and (10.18). First we will define an accessible atom.

October 7, 2010

9:50

732


MarkovProcesses


Definition 10.4. Let

tpΩ, F , Pq , pX pnq, n P Nq , pϑn , n P Nq , pE, E qu be a time-homogeneous Markov process with a Polish state space E. Let px, B q ÞÑ P px, B q be the corresponding probability transition function. A Borel subset A is called an atom if x ÞÑ P px, Aq, x P A, does not depend on x P A. It is called an accessible atom, if it is an atom such that P px, Aq ¡ 0, x P A. Lemma 10.13. Let A be an accessible atom and let x1 and x2 belong to A. Then the measures Px1 and Px2 coincide. ±n

Proof. Let Fn be a random variable of the form Fn j 1 fj pX pj qq where the functions fj : E Ñ R, 1 ¤ j ¤ n, are bounded non-negative Borel functions. By the monotone class theorem it suffices to prove the equality Ex1 rFn s Ex2 rFn s. We will prove this equality by induction with respect to n. For n 1, the equality Ex1 rF1 s Ex2 rF1 s follows from the definition of atom: Ex1 rF1 s

»8 0

P px1 , tf1

Next we consider Ex1 rFn

1

»8

¥ ξuq dξ

s Ex

1

0

P px2 , tf1

2

(10.305)

Fn Ex1 fn

¥ ξuq dξ Ex rF1 s .

1

pX pn

1qq Fn

(Markov property)

Ex

1

Fn EX pnq rfn

pX p1qqs

1

Fn EX pnq rfn

pX p1qqs

1


Ex

2

(once again Markov property)

Ex rFn 1 s . 2

(10.306)

So from (10.305) and (10.306) the statement in Lemma 10.13 follows.

Let A be an atom. Then we write EA rF s Ex rF s, x P A. A similar notation is in vogue for PA . From (10.18) together with Lemma 10.13 we deduce the equality (x P E, f P L8 pE, E q) Ex rf pX pnqqs

October 7, 2010

9:50


MarkovProcesses

Invariant measure

Ex f pX pnqq , τA1 ¥ n

n¸1

j ¸

Px τA1

k

733

(10.307)

PA rX pj k q P As EA f pX pn j qq , τA1

¥nj

.

j 1k 1

In addition we have

n¸1

j 1

PA rX pj q P As EA f pX pn j qq , τA1

¥nj

n¸1

n¸1

EA EA f pX pn j qq , τA1

¥nj

, X pj q P A

j 1

EA EX pj q f pX pn j qq , τA1

¥nj

, X pj q P A

j 1

(Markov property)

n¸1

EA f pX pnqq , j

τA1 ϑj

¥ n, X pj q P A

j 1

EA rf pX pnqqs . Put

(10.308)

ax pk q Px τA1

k , uApkq PA rX pkq P As , pA,f pk q EA f pX pk qq , τA1 k , and pA,f pk q EA f pX pk qq , τA1 ¥ k .

(10.309)

From (10.307), (10.308), and (10.309) we infer Ex rf pX pnqqs EA rf pX pnqqs

Ex f pX pnqq , τA1 ¥ n pax uA uAq pA,f pn 1q. (10.310) Definition 10.5. Let n ÞÑ ppnq be a probability distribution on Nzt0u. Define the function u : N t1u Ñ r0, 1s as in (10.322) in Theorem 10.14 below. Then the function u is called the renewal function of the distribution p. The following proposition says that the function uA is the renewal function corresponding to the distribution pA,1 . Proposition 10.12. Let the functions n ÞÑ pA,1 pnq and n ÞÑ uA pnq be defined as in 10.309). Then the function uA is the renewal function corresponding to the distribution pA,1 .

October 7, 2010

9:50


MarkovProcesses


734

Proof. To see this we introduce the hitting times τAk , k positive integer ( k 1 k as follows: τA inf ℓ ¡ τA : X pℓq P A , with τA0 0. Then it is easy to show that τAk1 k2 τAk1 τAk2 ϑτk1 . Moreover, by the strong Markov property the variables τAk 1 τAk τA1 ϑkA are identically PA -distributed, and PA -independent. Then the following identities hold:

8 ¸

uA pnq PA rX pnq P As

8 ¸ 8 ¸

k 1

PA

PA τAk

k 1 k ¸

j 1

τAj 1

τAj

n

n

8 ¸

k 1

PA

k ¸

j 1

k . pA,1

τA1

ϑτ n

j A

(10.311)

k 1

From (10.311) we see that the sequences pA,1 pnq and uA pnq are related as the sequences ppnq and upnq in (10.322) of Theorem 10.14 below. This completes the proof of Proposition 10.12. Then under appropriate conditions we will prove that every term in the right-hand side of (10.310) tends to 0 when n Ñ 8. In order to obtain such a result we will use some renewal theory together with a coupling argument. Suppose that the atom A is recurrent and that the distribution ppnq pA,1 pnq PA τA1 k is aperiodic, i.e. it satisfies (10.312). Then the right-hand side of (10.310) converges to zero when n Ñ 8. This result is a consequence of Theorem 10.14 below. We need the following lemma. Lemma 10.14. Let a, b and p be probability distributions on N. Suppose that pp0q 0 and p is aperiodic, i.e. suppose g.c.d. tn ¥ 1, n P N, ppnq ¡ 0u 1.

(10.312)

Let tS0 , S1 , S2 , . . .u and tS01 , S11 , S21 , . . .u be sequences of positive integer valued processes with the following properties: (a). Each random variable Sj , and Sj1 , j ¥ 1, has the same distribution ppk q. (b). The variables S0 and S01 are independent: S0 has distribution apk q, and S01 has distribution bpk q. (c). The variables tS0 , S1 , S2 , . . .u are mutually independent, and the same is true for the sequence tS01 , S11 , S21 , . . .u. (d). The variables Sj and Sk1 are independent for all j and k P N.

October 7, 2010

9:50


MarkovProcesses

Invariant measure

735

Let Gn be the σ-field generated by the couples let T pnq be the Gn -stopping time defined T pnq inf

#

m¥0:

m ¸

Sj

¥n

1 and

j 0

tpS0 , S01 q , . . . , pSn , Sn1 qu, and m ¸

Sj1

¥n

+

1 .

(10.313)

j 0

Let n ÞÑ V pnq Va pnq, Vb pnq be the bivariate linked forward recur°T pnq rence time chain which links the processes n ÞÑ Va pnq j 0 Sj n and n ÞÑ Vb pnq V

pn

$ &V

%

°T pnq

Sj n. Then the process n ÞÑ V

1q

pnq p1, 1q,

V n

S1

pnq satisfies:

j 0

on Va pnq ¥ 2

(£

(

Vb pnq ¥ 2 ,

(¤ ( Vb pnq 1 . p q 1, S11 T pnq 1 , on Va pnq 1

T n

(10.314) Let P ppi, j q, pk, ℓqq, ppi, j q, pk, ℓqq P pNzt0uq pNzt0uq be the probability transition function of the process n ÞÑ V pnq. Then P ppi, j q, pk, ℓqq is given by 2

P

ppi, j q, pi 1, j 1qq 1, P pp1, j q, pk, j 1qq ppk q, P ppi, 1q, pi 1, k qq ppk q, P pp1, 1q, pi, j qq ppiqppj q,

2

i ¡ 1, j

¡ 1; k ¥ 1, j ¡ 1; i ¡ 1, k ¥ 1; i ¡ 1, j ¡ 1,

(10.315)

and the other transitions vanish. Put τ1,1 Then P rτ1,1

inf

nPN: V

(

pnq p1, 1q

.

(10.316)

8s 1, and the following coupling equalities holds: p¸ q

T τ1,1

j 0

Sj

p¸ q

T τ1,1

Sj1

τ1,1

1.

(10.317)

j 0

As a consequence we have the following proposition. °

°

Proposition 10.13. Put X pnq nj0 Sj nj0 Sj1 . The equality in (10.317) says that the process n ÞÑ X pnq returns to zero in a finite time τ T pτ1,1 q with P-probability 1, no matter what its initial distribution is. In other words the process n ÞÑ X pnq is recurrent.

October 7, 2010

9:50


MarkovProcesses


736

Proof. [Proof of Lemma 10.14.] Fix pi, j q P pNzt0uqpNzt0uq, and choose M P N so large that g.c.d. tM

¥ n ¥ 1, n P N, ppnq ¡ 0u 1.

(10.318)

A number M for which (10.318) holds can be found using Bézout’s identity. Suppose that the distribution n ÞÑ ppnq has period d. Then there exist positive integers sj ¥ 1, 1 ¤ j ¤ N , such that p psj q ¡ 0, and such that g.c.d. ps1 , . . . , sN q d. Then for certain integers kj , 1 ¤ j ¤ N , °N we have j 1 kj sj d. By renumbering we may assume that kj ¥ 1 for 1 ¤ j ¤ N1 , and kj ¤ 1 for N1 1 ¤ j ¤ N . Then we choose °N M ¥ j 11 sj . In fact one may consider the smallest integer k ¥ 1 such °N

that k j 1 kj sj , where N P N, kj P Z, and p psj q ¡ 0. Then one proves k d, by using the fact that Z is a Euclidean domain. More precisely, let k ¥ 1 be the smallest positive integer which can be written as °N k j 1 kj sj . Then we write sj qj k rj with 0 ¤ rj k and qj ¥ 0. !°

)

Then rj sj qj k P R ℓ1 ℓj sj : ℓj P Z . Since 0 ¤ rj k we infer rj 0. It follows that k is a divisor of sj , 1 ¤ j ¤ N . Since d P R, d divides k. Since, in addition, g.c.d. ps1 , . . . , sN q d we infer k d. So °N we obtain Bézout’s identity: d j 1 kj sj for certain positive integers sj with p psj q ¡ 0 and certain integers kj , 1 ¤ j ¤ N . If the sequence tsj : p psj q ¡ 0u is aperiodic, then we choose d 1 in the above remarks. Fix pi0 , j0 q P pNzt0uq pNzt0uq, and choose M so large that pi0 , j0 q be°N longs to the square t1, . . . , M u t1, . . . , M u, and that M ¥ j 11 kj sj N

°N

°N

where 1 j 11 kj sj j N1 1 pkj q sj with kj ¥ 1, 1 ¤ j ¤ N1 , and kj ¥ 1, N1 1 ¤ j ¤ N , in Bézout’s identity. Then all paths in the square t1, . . . , M u t1, . . . , M u along which each one-time transition is strictly positive, i.e. either 1 (along a diagonal from northeast to south-west) or ppk q ¡ 0 from a point on one of the “edges” tp1, j q : 1 ¤ j ¤ M u or tpi, 1q : 1 ¤ i ¤ M u of the square to the horizontal line tpk, j 1q : 1 ¤ k ¤ M u or the vertical line tpi 1, k q : 1 ¤ k ¤ M u respectively. Let τ1,1 be defined as is (10.316) with S0 with distribution δi and S01 with distribution j. By (10.318) P-almost all paths pass through p1, 1q after a finite time passage, and consequently we obtain

lim lim Ñ8 N 1 Ñ8 P

n

n ¤

k 1

V

( 1, 1 Sj

pkq p q

¤ M, S 1

j

¤ M, 0 ¤ j ¤ N 1

October 7, 2010

9:50


MarkovProcesses

Invariant measure

nlim 1 Ñ8 P Ñ8 Nlim

n ¤

k Sj

tτ1,1 u

737

¤ M, S 1

j

¤ M, 0 ¤ j ¤ N 1

1.

k 1

(10.319)

Notice that the limit in (10.319), as N 1 tends to 8, can be interpreted as the construction of the measure P conditioned on the event

8 £

Sj

¤ M, Sj1 ¤ M

(

.

j 0

The existence of this “conditional probability” follows from Kolmogorov’s extension theorem in conjunction with the assumption that for each 0¤ j1 j2 , pj1 , j2 q P N N, the pairs Sj1 , Sj1 1 and Sj2 , Sj1 2 are Pindependent. The collection of bounded paths along which the process V pnq moves with strictly positive probability and which miss the diagonal throughout their life time eventually dy out, i.e. this event is negligible. The reason for this is that at each time step the transition probability of such a path is either 1 or else one of the quantities p psj q, 1 ¤ j ¤ N , where N is the number occurring in Bézout’s identity, and that the non-one transition probability occur infinitely many often. The P-negligibility then follows from the theorem of dominated convergence. The other paths end up in p1, 1q in finite time. In (10.319) we let M tend to 8 to obtain P rτ1,1 8s 1. But then we see

8 ¤

Pi0 ,j0

V

(

pnq p1, 1q 1

(10.320)

n 1

where Pi0 ,j0 rAs P A pS0 , S01 q pi0 , j0 q , A P F . Since the pair pi0 , j0 q P pNzt0uq pNzt0uq is arbitrary from (10.320) we get ¸ i,j

apiqbpj qPi,j

8 ¤

V

(

pnq p1, 1q 1.

(10.321)

n 1

If now τ1,1 is defined as in (10.316), then (10.321) implies P rτ1,1 This completes the proof of Lemma 10.14.

8s 1.

Remark 10.9. For the equality in (10.319) see the argument in §10.3.1 of [Meyn and Tweedie (1993b)] as well. For Bézout’s identity the reader is referred to e.g. [Tignol (2001)] or to Lemma D.7.3 in [Meyn and Tweedie (1993b)].

October 7, 2010

9:50


MarkovProcesses


738

The following result appears as Theorem 18.1.1 in [Meyn and Tweedie (1993b)]. Theorem 10.14. Let a, b and p be probability distributions on N, and let u : N t1u Ñ r0, 8s be the renewal function corresponding to n ÞÑ ppnq, defined by up1q 0, up0q 1, and for n ¥ 1 u pn q

8 ¸

p j pn q δ 0 pn q p p n q

j 0

8 ¸

¸

¤ ¤

j 2 k1 ,...,kj ;0 ki n;°j ki n i1

p pk1 q p pkj q . (10.322)

Suppose that p is aperiodic, i.e. suppose g.c.d. tn ¥ 1, n P N, ppnq ¡ 0u 1.

(10.323)

lim |a upnq b upnq| 0,

and

(10.324)

lim |a upnq b upnq| ppnq 0,

(10.325)

Then

Ñ8

n

where ppnq

°

Ñ8

n

¥

k n 1

ppk q.

In the proof of Theorem 10.2 the result in Theorem 10.14 will be applied with apk q Px τA1 k , ppk q pA,1 pk q PA τA1 k , bpk q δ0 pk q, and, consequently, upk q PA rX pk q P As uA pk q. Notice that k ÞÑ uA pk q is the renewal function of the distribution pA,1 pk q. We follow the proof Theorem 18.1.1 in [Meyn and Tweedie (1993b)]. Proof. Let tS0 , S1 , S2 , . . .u and tS01 , S11 , S21 , . . .u be sequences of positive integer valued processes with the properties (a), (b), (c) and (d) of Lemma 10.14: (a). Each random variable Sj , and Sj1 , j ¥ 1, has the same distribution ppk q. (b). The variables S0 and S01 are independent: S0 has distribution apk q, and S01 has distribution bpk q. (c). The variables tS0 , S1 , S2 , . . .u are mutually independent, and the same is true for the sequence tS01 , S11 , S21 , . . .u. (d). The variables Sj and Sk1 are P-independent for all pairs pj, k q P N N. °n

We put Wj Sj Sj1 , and X pnq j 0 Sj Sj1 . Notice that the variables Wj and Wj , j P N, j ¥ 1, have the same distributions. The distribution of W0 S0 S01 is determined by the distributions a of S0 and

October 7, 2010

9:50


MarkovProcesses

Invariant measure

739

b of S01 , and the fact that S0 and S01 are independent. We also introduce the indicator variables Za pnq and Zb pnq, n P N: Za pnq

$ ' ' & ' ' %

1

if

j ¸

Si

n for some j ¥ 0;

(10.326)

i 0

0

Hence Za pnq

18 t°

P rZb pnq 1s defined by

b upnq.

elsewhere.

j . The indicator process Zb pnq is defined i 0 Si nu 1 similarly, but with Sj instead of Sj . Then P rZa pnq 1s a upnq, and

Ta,b

min

j

#

n

0

j ¸

Si

The coupling time of the renewal processes is

i 0

We also have Ta,b

min

j ¸

+

Si1 P N : n ¥ 1, for some j P N . (10.327)

i 0

#

j ¸

+

Si : j ¥ 1, X pj q 0 .

(10.328)

i 0

be defined by T inf tj ¥ 1 : X pj q 0u. Then Ta,b Let Ta,b a,b °Ta,b °Ta,b 1 j 0 Sj j 0 Sj . From Proposition 10.13 it follows that the coupling time Ta,b is finite P-almost surely. Based on this property we will prove the equalities in (10.324) and (10.325). Therefore we put Za,b pnq

#

Z a pn q, Z b pn q,

if n Ta,b ; if n ¥ Ta,b .

(10.329)

Then we have

|a upnq b upnq| |P rZa pnq 1s P rZbpnq 1s| |P rZa,bpnq 1s P rZbpnq 1s| |P rZa,bpnq 1, Ta,b ¡ ns P rZa,bpnq 1, Ta,b ¤ ns P rZbpnq 1, Ta,b ¡ ns P rZbpnq 1, Ta,b ¤ ns| |P rZa pnq 1, Ta,b ¡ ns P rZbpnq 1, Ta,b ¤ ns P rZbpnq 1, Ta,b ¡ ns P rZbpnq 1, Ta,b ¤ ns| ¤ max pP rZa pnq 1, Ta,b ¡ ns , P rZbpnq 1, Ta,b ¡ nsq ¤ P rTa,b ¡ ns . (10.330) Since P rTa,b 8s 1, the inequality in (10.330) yields the equality in (10.324). Next we consider the backward recurrence chains Va pnq and

October 7, 2010

9:50


MarkovProcesses


740

Vb pnq for the renewal processes of the sequences tS01 , S11 , S21 , . . .u defined by respectively: #

Va pnq min n

min

#

n

k ¸

Sj :

j 0

j 0

k ¸

k ¸

Sj :

j 0

and

k ¸

#

Sj

Sj

¤n

min

#

n

k ¸

k ¸

k¸1

¤n

Sj1 :

j 0

+

,

Sj

j 0

¸ ¸ Vb pnq min n Sj1 : Sj1 ¤ n j 0 j 0 k

and

+

j 0

k

tS0 , S1 , S2 , . . .u

Sj1

+

k¸1

¤n

j 0

Sj1

+

(10.331)

.

j 0

It follows that there exists a random non-negative integer Ka pnq which °K pnq °K pnq 1 satisfies j a0 Sj ¤ n n 1 ¤ j a0 Sj , and hence Va pnq °K

pnq

n j a0 Sj . For the moment fix 0 ¤ m ¤ n. Since the variables tS0 , S1 , S2 , . . .u are mutually independent, S0 has distribution apkq, and the others have distribution ppk q we have

P Va pnq m

8 ¸

P n

8 ¸

k 0

m,

Sj

k ¸

Sj

Sj

¥n

1

j 0

n m, Sk 1 ¥ m nm

P rSk

1

1

¥m

1s

j 0

k 0

k ¸

P

8 ¸

Sj

j 0

k 0

k¸1

j 0

P

8 ¸

k ¸

a pk pn mqppmq

k 0

(10.332)

where, with a notation we employed earlier, ppmq j8m 1 ppj q. Of course, for the process Vb pnq we have a similar distribution with b instead of a. From (10.332) and a similar expression for P Vb pnq m we also infer

°

sup P Va pnq P A

A N

12

8 ¸ P V n a

m 0

P

Va pnq P A

p qm P

Va pnq m

October 7, 2010

9:50


MarkovProcesses

Invariant measure

12

n ¸

741

|a upn mqppmq b upn mqppmq|

m 0

12 |a u b u| ppnq. It also follows that on the event Aa,b pnq defined by Aa,b pnq

$ &

Ta,b

%

, .

Ta,b ¸

(10.333)

Sj

j 0

¤ n-

the P-distributions of Va pnq and Vb pnq coincide. This is a consequence ! )of °j

Sj ,

the strong Markov property of the process

P Va pnq P A, Aa,b pnq T k

8 ¸

k 0

8 ¸

P n

¸

a,b

Sj

P A,

Ta,b k

¸

j 0

¸

k

¤n

¸

Sj

P A,

Sj

j 0

T

¸

a,b

k

Sj

j 0

k 0

1 Sj : j P N :

i 0

k 1 Ta,b

j 0

T

a,b

E P n

Sj

°j

i 0

¤n

|ast

Ta,b

k 1

¸

j 0

Sj GTa,b

j 0

°T (strong Markov property together with the definition of Ta,b ia,b 0 Sj , and the fact that the variables Sj and Sj1 , j ¥ 1, heve the same distribution)

8 ¸ 8 ¸

k 0

8 ¸

k 0

k Ta,b ¸

E P n

P n

P n

Sj1

P A,

k Ta,b ¸

j 0

k Ta,b ¸

Sj1

Sj1

¤n

¸

j 0

P A,

¸

Ta,b k

j 0 k ¸

Sj1

k 1 Ta,b

Sj1

j 0

¤n

k 1 Ta,b

j 0

P A,

k ¸

Sj1

¤n

¸

Sj1 GT a,b

Sj1

j 0 k¸1

Sj1 ,

Ta,b ¸

Sj1

¤ n

j 0 j 0 j 0 j 0 P Vb pnq P A, Aa,bpnq . Here we wrote Gn σ Sj , Sj1 : 0 ¤ j ¤ n , and 8 ! ) £ £ ¤ n( P Gn . GT APG: A Ta,b a,b n0

k 0

(10.334)

October 7, 2010

9:50


MarkovProcesses


742


P V n A P Vb n A a P V n A, Aa,b n P Va n a

p qP p qP p qP pq p q P A, ΩzAa,bpnq P Vb pnq P A, Aa,bpnq P Vb pnq P A, ΩzAa,bpnq P Va pnq P A, ΩzAa,bpnq P Vb pnq P A, ΩzAa,bpnq ¤ P rΩzAa,bpnqs ¤

Ta,b ¸ P Sj

¥ n .

(10.335)

j 0

From (10.333), (10.334) and (10.335) we deduce T

|a u b u| ppnq ¤ 2P

a,b ¸

Sj

¥ n .

(10.336)

j 0

Since by Proposition 10.13 the process X pnq is recurrent, and hence T P Ta,b

a,b ¸

Sj

8 1,

it follows from (10.336) that limnÑ8 |a u b u| ppnq j 0

0.

this is the same as equality (10.325). This completes the proof of Theorem 10.14

However,

Before we complete the proof of 10.2 we insert some definitions which are taken from [Meyn and Tweedie (1993b)]. Let pX pnq, PxPE q be a Markov chain with the property that all measures B ÞÑ P p1, x, B q Px rX pnq P B s, x P E, are equivalent. Fix x0 P E. We say that the Markov chain is recur rent, if for all subsets B P E with P p1, x0 , B q ¡ 0 we have Px τB1 8 ¡ 0. Definition 10.6. A subset C P E is called small if there exists m P N, m ¥ 1, and a non-trivial positive Borel measure νm such that the inequality holds for x P C and all B

P pm, x, B q ¥ νm pB q

(10.337)

P E.

The following definition also occurs in formula (10.11) in Definition 10.1. Definition 10.7. A Markov chain tX pnq, Px unPN,xPE is called aperiodic if there exists no partition of E pD0 , D1 , . . . , Dp1 q for some p ¥ 2 such that for all i P N »

P X piq P Di mod ppq |X p0q P D0

D0

Px X piq P Di mod ppq dµ0 pxq 1,

(10.338)

October 7, 2010

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Invariant measure

MarkovProcesses

743

for some initial probability distribution µ0 .

A Markov chain tX pnq, Px unPN,xPE having initial distribution µ0 is called periodic if there exists p ¥ 2 and a partition E pD0 , D1 , . . . , Dp1 q such that (10.338) holds. The largest d for which (10.338) holds is called the period of the Markov chain.

Let tX pnq, Px unPN,xPE be an aperiodic P pp1, x0 , q-irreducible Markov chain. If there exists a ν1 -small set A with ν1 pAq ¡ 0, then the Markov chain tX pnq, PxPE unPN,xPE is called strongly aperiodic. The following theorem is proved in [Meyn and Tweedie (1993b)]: see theorems 5.2.1 and 5.2.2.

Theorem 10.15. Let tX pnq, Px unPN,xPE be a P p1, x0 , q-irreducible Markov chain. Then for any A P E with P p1, x0 , Aq ¡ 0 there exists m P N, m ¥ 1, together with a νm -small set C A with P p1, x0 , C q ¡ 0 such that νm pC q ¡ 0. Remark 10.10. Suppose that all measures B ÞÑ P p1, x, B q, B P E, x P E, are equivalent, then analyzing the proof of Theorem 5.2.1 in [Meyn and Tweedie (1993b)] shows that in Theorem 10.15 we may choose m 3. The following corollary is an immediate consequence of Definition 10.7 and Theorem 10.15. Corollary 10.6. Let tX pnq, Px unPN,xPE be a P p1, x0 , q-irreducible aperiodic Markov chain. Then there exists m P N such that the skeleton chain tX pmnq, PxunPN,xPE is strongly aperiodic, and P p1, x0 , q-irreducible. Remark 10.11. In fact the skeleton chain tX pmnq, Px unPN,xPE is P pm, x0 , q-irreducible, provided that the chain tX pnq, Px unPN,xPE is also P p1, x0 , q-irreducible, and all measures of the form B ÞÑ P p1, x0 , B q 0 are equivalent, i.e. have the same negligible sets. Suppose that B P E is such that P pm, x0 , B q 0. Then 0 P pm, x0 , B q

»

P pm 1, x0 , dy q P p1, y, B q .

(10.339)

From (10.339) we see that P p1, y, B q 0 for P pm 1, x0 , q-almost all y P E. Since P pm 1, x0 , E q 1, it follows that P p1, y, B q 0 for at least one y P E. But then P p1, x0 , B q 0 because all measures of the form B ÞÑ P p1, x0 , B q 0 are equivalent.

October 7, 2010

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744


MarkovProcesses


The following theorem is a consequence of Proposition 9.5, Lemma 9.4, and Theorem 10.15. Theorem 10.16. Let tpΩ, F , Pxq , pX pnq, n P Nq , pϑn , n P Nq , pE, N qu (10.340) be a Markov chain with the property that all Borel measures B ÞÑ P p1, x, B q Px rX p1q P B s, x P E, are equivalent. In addition suppose that for every Borel subset B the function x ÞÑ P p1, x, B q is continuous. Let there exist a point x0 P E such that every open neighborhood of x0 is recurrent. Then there exists a compact recurrent subset, and all Borel subsets B for which P p1, x0 , B q ¡ 0 are recurrent in the sense that Px τB1 8 1 for all x P B. If, moreover, the Markov chain in (10.340) is aperiodic, then there exists an integer m P N, m ¥ 1, and a compact m-small set A such that νm pAq ¡ 0 which is compact. Here the measure νm satisfies P pm, x, B q ¥ νm pB q for all B P B and all x P A. Proof. The first two assertions are consequences of respectively Proposition 9.5 and Lemma 9.4. The final assertion is a consequence of Theorem 10.15, and the fact that Borel measures on a Polish space are innerregular. Among other things the following lemma reduces the proof of Orey’s theorem for arbitrary irreducible aperiodic Markov chains to that for arbitrary irreducible strongly aperiodic Markov chains. Lemma 10.15. Let µ1 and µ2 be probability measures on E. Then the ´ sequence n ÞÑ Var pP pn, x, q P pn, y, qq dµ1 pxqdµ2 py q is monotone decreasing. Fix px, y q P E E. The expression Var pP pn 1, x, q P pn can be rewritten as follows Var pP pn 1, x, q P pn 1, y, qq

Proof.

"» P n 1, x, dz "» sup P n, x, dw P ³ (notice that P 1, w, dz f z

sup

p p

q P pn

p p

q pn, y, dwqq

1, y, qq

1, y, dz qq f pz q dz : }f }8 »

¤1

*

P p1, w, dz qf pz q dz : }f }8

p q p q ¤ }f }8 , w P E) ¤ Var pP pn, x, q P pn, y, qq .

The inequality in (10.341) yields Lemma 10.15.

¤1

*

(10.341)

October 7, 2010

9:50


MarkovProcesses

Invariant measure

745

We will also use the Nummelin splitting of general (Harris) recurrent chains. This splitting technique is taken from [Meyn and Tweedie (1993b)], §5.1 and §17.3.1. With a strongly aperiodic irreducible chain it associates a split chain with an accessible atom. Let the Markov chain (10.340) have the properties described in Theorem 10.16. Then the Markov tX pnq, Px unPN,xPE is aperiodic: see Proposition 10.1. From Corollary 10.6 it follows that there exists m P N, m ¥ 1, such that the skeleton Markov chain tX pmnq, Px unPN,xPE is strongly aperiodic. Definition 10.7 yields the existence of a compact recurrent subset C such that P p1, x0 , C q ¡ 0 together with a probability measure ν on E such that ν pC q 1, and such that the following minorization condition is satisfied: P pm, x, B q ¥ δ1C pxqν pB q,

for all x P X, and all B

P E.

(10.342)

In the presence of a subset C and a constant m P N such that (10.342) holds for some probability measure ν)with ν pC q 1 we will construct a split chain ! q x,ε q pnq pX pmnq, Y pnqq , P X

tX pmnq, PxunPN,xPE

P P

. The m-step Markov chain

P P

can be described in the fol-

n N,x E, ε 0 or 1

is strongly aperiodic, and it may be split to form a new chain with an accessible atom C t1u. Momentarily we will explain how the construction of this splitting can be performed. In order to distinguish the new split Markov chain and the old skeleton chain we will introduce some new notation. We let the sequences of random variables pY pnq, n P Nq attain the values zero and one. The value of Y split m-skeleton at time mn. The split chain ! pnq indicates the level of the ) q x,ε q pnq pX pmnq, Y pnqq , P X

n N,x E, ε 0 or 1

lowing manner. Following Meyn and Tweedie [Meyn and Tweedie (1993b)] ! ) q we write X pnq xi tX pnq x, Y pnq iu, x P E, i 0 or i 1. The q is given by E q new state space E q σ-field Fk stands for

Fqk,ℓ

q The E t0, 1u; Eq is the Borel field of E.

σ pX pj1 q , Y pj2 q : 0 ¤ j1 ¤ k, 0 ¤ j2 ¤ ℓq .

q in Let λ be any Borel measure on E, then λ is split as a measure λ on E the following fashion. Let A P E and put A0 A t0u, and A1 A t1u. Then the marginal measures of λ are given by

λ pA0 q p1 δ qλ A £

λ pA1 q δλ A

£

C .

C

λ A

£

pE zC q

, . ,/ / -

(10.343)

October 7, 2010

9:50


MarkovProcesses


746

Notice the equality λ pA0 A1 q λpAq, and λ pA0 q λpAq when A is a subset of E zC. In other words only subsets of C are split by this construction. The splitting of the skeleton tX pnmq, Px unPN,xPE is carried out as follows. Define the split kernel Pq pm, xi , Aq, xi Pq pm, x0 , q P pm, x, q ,

P pm, x, q δν pq , 1δ Pq pm, x1 , q δν pq, Pq pm, x0 , q

q A P Eq by P E, , x0 P E0 zC0 ;/ / / . x0 P C0 ; / / / x1 P E1 .

(10.344)

On E1 E t1u the distribution of the split chain is also determined by prescribing the following conditional expectations:

q E

m ¹

fj pX pnm

j qq , Y pnq

p qx

j 1

Eq

m ¹

fj pX pj qq , Y p0q

δEx

m ¹

1 X 0

j 1

1 Fqnm,n1 ; X nm

p qx

fj pX pj qq r px, X pmqq ,

(10.345)

j 1

where the Borel measurable function px, y q ÞÑ rpx, y q is the Radon-Nikodym derivative: rpx, y q 1C pxq

ν pdy q . P pm, x, dy q

(10.346)

1, 1 ¤ j ¤ m 1, in (10.346) we see that fm pX ppn 1qmqq , Y pnq 1 Fqnm,n1 ; X pnmq x

By putting fj q E

δEx rfm pX pmqq r px, X pmqqs δ1C pxq

»

fm py qdν py q.

1 in (10.347) we get Y pnq 1 Fqnm,n1 ; X pnmq x δ1C pxq.

(10.347)

By taking fm q P

By Bayes rule applied to (10.347) and (10.348) we obtain q f X E

p ppn

1qmqq

F qnm,n ; X nm

p q x, Y pnq 1

(10.348) »

f py qdν py q. (10.349)

October 7, 2010

9:50


MarkovProcesses

Invariant measure

747

Let fj , 0 ¤ j ¤ N , be bounded Borel functions on E, and let the numbers εj , 0 ¤ j ¤ N , be equal to 0 or 1. From the tower property of conditional expectations, the Markov property of the process "

q F q, Pqpx,iq Ω,

px,iqPE t0,1u

pq ¥

q n ,n , X

* q q 0 , E, E ,

(10.350)

and (10.349) we infer, with Fn

1

N ¹

fj pX ppn

1qm

j qq δεj pY pj

n

1qq ,

j 0

that

q x,1 Fn E

1

qnm,n F

Eq Fn 1 Fqnm,n ; X pnmq x, Y pnq 1 Eq Eq Fn 1 Fqpn 1qm,n 1 Fqnm,n; X pnmq x, Y pnq 1 Eq Eq Fn 1 σpX ppn 1qmq, Y pn 1qq Fqnm,n ; X pnmq x, Y pnq 1

»

»

q Fn E

1

q y,ε E 0

σ Y n

N ¹

p p

1qq ; X ppn

1qmq y dν py q

(10.351)

fj pX pj qq δεj pY pj qq dν py q.

(10.352)

j 0

qx,1 -independence of the following two The equality in (10.351) yields the P σ-fields, given that Y pnq 1: Fqnm,n σ pX piq, Y pj q : 0 ¤ i ¤ nm, 0 ¤ j ¤ nq and Fqpn 1qm,n 1 σ pX piq, Y pj q : i ¥ pn 1qm, j ¥ n 1q. From (10.351) it also follows that for f ¥ 0 and Borel measurable, k P N, k ¥ 1, and ε 0 or 1,

q x,1 f pX ppn E

1 qm

k qq δε pY

ppn 1qm kqq Fqnm,n Eq f pX ppn 1qm kqq δε pY ppn 1qm kqq » q Fnm,n ; X pnmq x, Y pnq 1 Ey rf pX pk qqs dν py q.

(10.353)

q x,1 that From (10.353) we infer by taking expectation with respect to E q x,1 rf pX ppn E

1qm

k qq δε pY

ppn

1qm

k qqs

»

Ey rf pX pk qqs dν py q,

October 7, 2010

9:50


MarkovProcesses


748

and consequently, the subset C t1u serves as an atom for the split Markov chain !

pX pmnq, Y pnqq , Pqx,ε

)

px,εqPE t0,1u

(10.354)

.

It is assumed that the process in (10.354) is a time-homogeneous Markov chain with transition function Pq pnm, xi , Aq, n P N, xi px, iq P E t0, 1u. Here the “first-step” transition function P pm, xi , Aq is given by (10.344). By the Markov property it then follows that the transition function P pnm, xi , Aq satisfies the Chapman-Kolmogorov equation, i.e. the equality »

q E

Pq pjm, xi , dyj q Pq pkm, yj , Aq Pq ppj

k q m, xi , Aq

(10.355)

q and A P Eq and j, k P N. Compare all this with the holds for all xi P E Markov chain in (10.350). The following theorem appears as Theorem 5.1.3 in Meyn and Tweedie.

Theorem 10.17. Let δ ¡ 0, the probability measure ν, and m P N. m ¥ 1 be as in (10.342). Let ϕ be a σ-finite measure on E. Suppose that the function P pnm, xi , Aq serves as a transition function for the Markov process in (10.354). In particular the Chapman-Kolmogorov identity (10.355) is satisfied. Then the following assertions hold: (a) The chain tX pnmq, Px unPN,xPE is the marginal chain of !

q pnmq pX pnmq, Y pnqq , P qx,i X

in the sense that the equality »

E

P pkm, x, Aq dλpxq

»

q E

)

P p qPE t0,1u

n N, x,i

Pq km, yi , A0

¤

,

(10.356)

A1 dλ pyi q

(10.357)

holds for all Borel measures λ, all A P E and all k P N. (b) If the Markov chain in (10.356) is ϕ -irreducible, then the Markov chain tX pnmq, Px u is ϕ-irreducible. (c) If the chain tX pnmq, Px unPN,xPE is ϕ-irreducible with ϕpC q ¡ 0, then the split chain in (10.356) is ν -irreducible, and C t1u is an accessible atom for the split chain (10.356). For the definition of accessible atom the reader is referred to Definition 10.4. Proof. (a). It suffices to prove (10.357) with λ δx , the Dirac measure at x P E. We will employ induction with respect to k. First assume that

October 7, 2010

9:50


MarkovProcesses

Invariant measure

749

k 1. By (10.343), (10.344) and the equality ν pE zC q 0 for x P E zC we have »

q E

dδx pyi qPq m, yi , A0

¤

A1

¤

Pq

¤

m, x0 , A0 ¤

»

Pq m, x1 , A0

A1

¤

A1

£

P pm, x, q A0 A1 ν A0 A1 P pm, x, Aq ν A pE zC q (10.358) P pm, x, Aq . Next let x P C. Again by employing (10.343) and (10.344) we infer »

q E

dδx pyi q Pq m, yi , A0

»

¤

A1

E

t0u


¤ δ Pq m, x0 , A0 A1

p1 q

¤

A1 E

t1u


¤

A1

¤ δ Pq m, x1 , A0 A1 δν A A

¤ p1 δq P pm, x, q pA0 1 A1δq p 0 1 q δν A0 A1 ¤ P pm, x, q A0 A1 P pm, x, Aq . (10.359) The equalities (10.358) (for x P E zC) and (10.359) (for x P C) yield assertion (a) for n 1 and λ δx . From Fubini’s theorem assertions (a) is then

also true for any bounded measure λ. Next we assume that the equality in (10.357) holds for 1 ¤ k we notice that »

q E

λ pdxi q Pq pm, xi , q

»

E

λpdxqP pm, x, q

¤ n. First

(10.360)

.

Using the Chapman-Kolmogorov equation for the probability transition function Pq pkm, xi , Aq in combination with (10.360) and induction then shows »

q E

λ pdxi q Pq pnm, xi , q

»

E

λpdxqP pnm, x, q

(10.361)

.

Here we need the Chapman-Kolmogorov identity (10.355) for A of the form B0 B1 with B P E. For k n 1 we then have »

E

λpdxq P » » q E

E

ppn

1qm, x, Aq

λpdxq P pnm, x, q

»

E

λpdxq P pnm, x, dy q P pm, y, Aq

pdyj q Pq

m, yj , A0

¤

A1

October 7, 2010

9:50


MarkovProcesses


750

» » q E

E

λpdxq P pnm, x, q

pdyj q Pq

m, yj , A0

¤

A1

(apply equality (10.361))

» q E

λ pdxi q

»

q E

Pq pnm, xi , dyj q Pq m, yj , A0

¤

A1

(Chapman-Kolomogorov (10.355))

» q E

λ pdxi q Pq

pn

1qm, xi , A0

¤

A1 .

(10.362)

The assertion in (a) follows from (10.362). Assertion (b) follows from (a) with ϕ instead of λ. In order to prove (c) we observe that C t1u is an atom for the Markov chain in (10.356), which is a consequence of the ultimate equality in (10.344). If ϕpC q ¡ 0, then from the minorization property in (10.342) it follows that the split chain (10.356) is ν -irreducible, and that C t1u is an accessible atom. Altogether this completes the proof of Theorem 10.17. Next we prove Orey’s theorem, i.e. we prove Theorem 10.2. Proof.

[Proof of Theorem 10.2.] We distinguish three cases:

(i) The irreducible recurrent chain tX pnq, Px uxPE contains an accessible atom. (ii) The irreducible recurrent chain is strongly aperiodic. (iii) The irreducible recurrent chain is aperiodic. In case the irreducible recurrent chain contains an accessible atom A we use formula (10.310) to obtain:

|Ex rf pX pnqqs EA rf pX pnqqs| 1 ¤ }f }8 Px τA ¥ n pax uA uA q pA,1 pn 1q . (10.363) Here f P Cb pE q is arbitrary, and the sequences are ax pnq Px τA1 n , uA pnq PA rX pnq P As, and pA,f pnq are chosen as in (10.309). In fact pA,f pk q EA f pX pk qq , τA1 k , and pA,f pk q EA f pX pk qq , τA1 ¥ k . (10.364) Let n tend to 8 in (10.363). Since Px rτA 8s 1 the first term in the right-hand side of (10.363) tends to zero uniformly in f provided that }f }8 ¤ 1. The equality (10.325) in Theorem 10.14 yield that the second

October 7, 2010

9:50


MarkovProcesses

Invariant measure

751

term in the right-hand side of (10.363) tends to zero, again uniformly in f provided }f }8 ¤ 1. As a consequence we see that lim Var pP pn, x, q P pn, A, qq

Ñ8

n

nlim Ñ8 sup t|Ex rf pX pnqqs EA rf pX pnqqs| : }f }8 ¤ 1u 0.

(10.365)

By the triangle inequality and the dominated convergence theorem the equality in (10.15) in Theorem 10.2 is a consequence of (10.365). This proves assertion (i) in the beginning of this proof. Next we will prove (10.15) in Theorem 10.2 in case the recurrent Markov chain tX pnq, Px uxPE is strongly aperiodic. This will be a consequence of Nummelin’s splitting technique, and the fact that for Markov chains with an accessible atom Orey’s theorem holds: see the arguments following equality (10.365). If the chain tX pnq, Px unPN,xPE is strongly aperiodic, then we know that inequality (10.342) holds with m 1 for some recurrent subset C, and a probability measure ν on E with ν pC q 1 (and P p1, x0 , C q ¡ 0). Using this subset C and this measure ν we may construct the split chain in (10.356) with marginal chain tX pnq, Px unPN,xPE (i.e. (10.357) is satisfied), and for which C t1u is an accessible atom. These claims follow from assertion (b) and (c) in Theorem 10.17. Since the subset C t1u is an accessible atom for the split chain in (10.356), we know that Orey’s theorem holds for the split chain. The latter is a consequence of assertion (i), which in turn is a consequence of (10.365). Let x and y P E. Then we infer Var pP pn, x, q P pn, y, qq

¤ 2 sup |P pn, x, Aq P pn, y, Aq| P

A E

¤

¼ ¤ ¤ 2 sup Pq n, xi , A0 A1 P n, yj , A0 A1 dδx xi dδy yj APE Eq Eq ¼ ¤ ¤ 2 sup Pq n, xi , A0 A1 P n, yj , A0 A1 dδx xi dδy yj

q Eq E

¤2

¼

p q

P

A E

p q

p q

p q

Var Pq pn, xi , q P pn, yj , q dδx pxi q dδy pyj q .

(10.366)

q Eq E

By assertion (i), applied to the split chain in (10.356) (with m 1) the final term in (10.366) converges to zero. By dominated convergence and (10.366) we¼ see that lim

Ñ8

n

E E

Var pP pn, x, q P pn, y, qq dλ1 pxqdλ2 py q 0.

(10.367)

October 7, 2010

9:50

752


MarkovProcesses


The equality in (10.367) shows that Orey’s theorem holds for strongly aperiodic recurrent Markov chains. To finish the proof of Theorem 10.2 we suppose that tX pnq, Px unPN,xPE is an aperiodic recurrent chain. By assertion (ii), which has been proved now, for irreducible recurrent strongly aperiodic chains Orey’s theorem holds. By Corollary 10.6 there exists m P N such that the skeleton

tpX pmnq, Pxq : n P N, x P E u

is strongly aperiodic. Since Orey’s theorem holds for such chains, an application of Lemma 10.15 yields the result that Orey’s theorem holds for all irreducible, recurrent aperiodic Markov chains. This completes the proof of Theorem 10.2. 10.4

About invariant (or stationary) measures

In this section we collect some references to work related to the existence of invariant or stationary measures for Markov processes. In this context we have to mention Harris [Harris (1956)] who proved the existence of a σ-finite invariant measure for recurrent irreducible Markov chains. Let P px, B q be a probability transition function which preserves the bounded continuous functions on a Polish space E. Suppose that P is irreducible (i.e. for every x P E, and for every non-void open subset O, P n px, Oq ¡ 0 for some n P N, n ¥ 1), and topologically recurrent (i.e. for every x P E and every open neighborhood O of x the equality Px r n1 tX pnq P Ous 1 holds). Here

tpΩ, F , PxqxPE , pX pnq, n P Nq , pϑk , k P Nq , pE, E qu is the Markov chain with transition function px, B q ÞÑ P px, B q px, B q P E E. Harris proved that for a discrete state space E there exists a σ-finite

invariant measure, and Orey [Orey (1959, 1962, 1964)] was the first to prove ³ that in the presence of a finite invariant limnÑ8 E f py qP n px, dy q dµpxq 0 for all finite real Borel measures µ on E such that µpE q 0. The original result by Harris and Orey for discrete positive recurrent chains were improved and generalized by Jamison and Orey [Jamison and Orey (1967)], and Kingman and Orey [Kingman and Orey (1964)] to Markov chains with a more general state space, and for null-recurrent chains. In [Nummelin and Tuominen (1982, 1983)] Nummelin and Tuominen discuss geometric ergodicity properties, and so do Tuominen and Tweedie in [Tuominen and Tweedie (1994)]. This is also the case in Baxendale [Baxendale (2005)]. For a general discussion on Markov chains and their limit theorems see e.g. the

October 7, 2010

9:50


Invariant measure

MarkovProcesses

753

books by Nummelin [Nummelin (1984)], Revuz [Revuz (1975)], and Orey [Orey (1971)]. The new version of Meyn and Tweedie [Meyn and Tweedie (1993b)] also contains a wealth of information. It explains splitting (due to Nummelin [Nummelin (1978)]) and (dependent) coupling techniques (due to Ornstein [Ornstein (1969)]), and several limit properties as well as asymptotic behavior of Markov chains. In addition, it discusses geometric ergodic chains, certain functional central limit theorems, and laws of large numbers. All these topics are explained for discrete time Markov processes with an arbitrary state space. Moreover, each of the 19 chapters of [Meyn and Tweedie (1993b)] is concluded with a section, entitled Commentary, which contains bibliographic notes and relevant observations. Azema, Duflo and Revuz apply skeleton techniques to pass from discrete time limit theorems to continuous time limits: see e.g. [Azéma et al. (1965/1966, 1966, 1967)]. In the proof of Proposition 9.7 we applied the same methods. Our approach uses the techniques of Seidler [Seidler (1997)] (propositions 5.7 and 5.9) in combination with Orey’s theorem for Markov chains on a compact space. For more details the reader is referred to the comments following Theorem 10.1, and to the Notes, pp. 319–320, in Supplement, Harris processes, Special functions, Zero-two law, written by Antoine Brunel in [Krengel (1985)]. Orey’s convergence theorem is based on renewal theory which uses a linked forward recurrence time chain, which also plays a central role in the book by Meyn and Tweedie [Meyn and Tweedie (1993b)]. For more historical and bibliographical notes the reader is also referred to Kallenberg [Kallenberg (2002)], pp 569–593. On the other hand the author likes to mention the following papers and books explicitly: Doeblin [Doeblin (1937, 1940)], Kolmogorov [Kolmogorov (1956, 1991, 1993)], Doob [Doob (1953)] Chapter V, §5, and Dobrushin [Dobrushin (1956a,b)]. For a historical survey of the life and the mathematical work by Doeblin see e.g. Lindvall [Lindvall (1991)], Bru and Yor [Bru and Yor (2002)], and Mazliak [Mazliak (2007)]. For a martingale approach of Dobrushin’s theorem on Markov chains see [Sethuraman and Varadhan (2005)]. The history and uses of the Markov-Dobrushin coefficient of ergodicity are explained by Seneta in [Seneta (1993)], and also in [Seneta (1981)]. They are used to give the speed of convergence, which for application is quite important. For a result on mixing properties and the central limit theorem see e.g. Bolthausen [Bolthausen (1982)]. For a general account of ergodic theory we also refer to Chen [Chen (1999)]. For more details on Markov chains the reader should also consult Nummelin [Nummelin (1984)] and Meyn and Tweedie [Meyn and Tweedie (1993b)]. For a more operator theoretic approach to ergodic theory see e.g. Foguel

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[Foguel (1969)] and Meyn [Meyn (2008)]. Remarks about Kolmogorov’s example, and extensions of Kolmogorov’s work on Markov chains can be found in Reuter [Reuter (1969)], and in earlier work by Kendall and Reuter [Kendall and Reuter (1956)], and Doob [Doob (1945)]. It is noticed that Kendall and Reuter apply semigroup methods to treat path regularity properties of the underlying Markov process. In [Stroock and Zegarli´ nski (1992)] Stroock and Zegarlinski explain the relationship between the logarithmic Sobolev inequality and Dobrushin’s mixing condition for ergodicity. 10.4.1

Possible applications

The material presented in this book finds its applications in several branches of the scientific world. Markov theory is relevant in mathematical models from economics (equilibrium in markets), finance (backward equations in hedging strategies), equilibrium states in statistical mechanics, mathematical physics (Feynman-Kac type formulas), biology (equilibrium states). In the context of population dynamics we mention two standard textbooks [Allen (2003)], [Allen (2007)]. The book [Bharucha-Reid (1997)] contains several interesting models and applications. The textbook [Mikosch (1998)] contains a rather elementary introduction to stochastic (i.e. Itô) calculus with applications in relatively simple models for trading strategies. 10.4.2

Conclusion

A great part of this chapter was devoted to the proof of the existence and uniqueness of σ-finite invariant Borel measures: see Theorem 10.12. The relevant conditions are presented (like irreducibility, and existence of recurrent compact subset, which is a consequence of the almost separability property of the generator L of the Markov process (9.14)). For these results the reader is referred to Definition 9.2, and Propositions 9.1, 9.2, and 9.4 in Chapter 9. Another feature of the present chapter is a discussion and proof of Orey’s convergence theorem: see §10.3. To conclude this section we insert some well-known results related to ergodicity properties of Markov chains. Let P ppi,j qI,j PS be a rowstochastic matrix with real entries which serves as a transition matrix for a Markov chain pX pnq, Pj q. We say that P is row-stochastic if pi,j ¥ 0 for ° every i, P S and j PS pi,j 1 for every i P S. Set αpP q min

¸

kPS

i j

min ppi,k , pj,k q ,

α rpP q 1 αpP q.

(10.368)

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The number αpP q is known today as the Dobrushin coefficient of ergodicity: see Cohen [Cohen et al. (1993)], Dobrushin [Dobrushin (1956a,b)]. The following result can be found in Zaharopol and Zbaganu [Zaharopol and Zbaganu (1999)]: see Zaharopol [Zaharopol (2005)] and [Del Moral et al. (2003)] as well. Another source of information is Stachurski [Stachurski (2009)], in which Doobrushin’s coefficients play a dominant role. One of the standard results reads as follows. Theorem 10.18. Let the Markov transition function P have Dobrushin’s coefficient αpP q. Then the following inequality holds for all probability distributions ϕ and ψ on S:

}ϕP ψP }1 ¤ p1 αpP qq }ϕ ψ}1 . A similar result is also true for transition densities and integrals instead of sums: see e.g. Chapter 8 in [Stachurski (2009)]. We begin with a classical theorem in which Doeblin’s condition plays a central role. Theorem 10.19. Let pX pnq, Pj qnPN,j PS be a Markov chain in a countable state space S with transition probabilities pi,j such that: There exists a state a P S and ε ¡ 0, with the property: pi,a ¥ ε ¡ 0, for all i P S. Then there is a unique stationary (or invariant) distribution π such that ¸ PX p0q X n

P

r p q j s πpj q ¤ 2 p1 εqn ,

(10.369)

j S

regardless of the initial state X p0q. An “analytic” proof runs as follows. Think in terms of of the one-step transition matrix P ppi,j q as a linear operator acting on RS . Equip RS ° with the norm }x} : j PS |xj |. Stroock [Stroock (2000)], pg. 28–29, proves ° that, for any ρ P RS , such that j PS ρj 0, we have }ρP } ¤ p1 εq }ρ}. He then claims that this implies that }ρP n } ¤ p1 εqn |ρ}, n P N, and uses this ° to show that, for any µ P RS with, µi ¥ 0 for all i P S, and iPS µi 1, it holds that }µP n µP m } ¤ 2p1 εqm , for m ¥ n. A “probabilistic” proof runs as follows. Consider the following experiment. Suppose the current state is i. Toss a coin with Ppheadsq ε. If heads show up then move to state a. If tails show up, then move to state j pi,j εδa,j . (That this is a valid probability indeed with probability pri,j 1ε is a consequence of the assumption!) In this manner, we obtain a process that has precisely transition probabilities pi,j . Note that state a will be

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visited either because of heads in a coin toss or because it was chosen so by the alternative transition probability. So state a will be visited at least as many times as the number of heads in a coin toss. This means that state a is positive recurrent. And so a stationary probability π exists. We will show that this π is unique and that the distribution of the chain converges to it. To do this, consider two chains X, X, both with transition probabilities pi,j , and realize them as follows. The first one starts with X p0q distributed according to an arbitrary law µ. The second one starts with X p0q distributed according to π. Now do this: Use the same coin for both. So, if heads show up then move both chains to a. If tails show up then realize each one according to pr, independently. Repeat this at the next step, by tossing a new coin, independently of the past. Thus, as long as heads have not come up yet, the chains are moving independently. Of course, sooner or later, heads will show up and the chains will be the same thereafter. Let T be the first time at which heads show up. We have: P rX pnq P B s P rX pnq P B, T

¡ ns P rX pnq P B, T ¤ ns P rX pnq P B, T ¡ ns P rX pnq P B, T ¤ ns ¤ P rT ¡ ns P rX pnq P B s P rT ¡ ns πpB q.

Similarly,

π pB q

P X pnq P B P X pnq P B, T ¡ n P rX pnq P B, T ¤ ns P rX pnq P B, T ¡ ns P X pnq P B, T ¤ n ¤ P rT ¡ ns P rX pnq P B s . Hence |P rX pnq P B s π pB q| ¤ P rT ¡ ns p1 εqn . Finally, check that sup |P rX pnq P B s π pB q|

B S

1¸ |P rX pnq is πpiq| . 2 iPS

The following theorem of Kolmogorov on mean recurrence times is taken from [Kallenberg (2002)] Theorem 7.22. Theorem 10.20. For a Markov chain with state space S and for states i, j P S with j aperiodic, the following equality holds: lim pnij

Ñ8

n

Pi Erτj r τ s8s ,

where τj is the first time visiting j: τj

j

j

inf tm ¥ 1 : X pmq j u.

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757

In [Foss and Konstantopoulos (2004)] the authors describe a generalization of this result by introducing what is called an inverse Palm construction and using Palm stationarity. For more information on Palm distributions see e.g. Chapter 8 and 9 in [Thorisson (2000)], [Etheridge (2000)], [Kallenberg (2008)], and [Dawson and Perkins (1999); Dawson (1993)]. For a concise formulation of a result concerning recurrent Markov chains, which in a discrete state space dates back to Doeblin we insert a definition. Definition 10.8. Let pX pnq, Px q be a Markov chain with a Polish state space E, and transition function B ÞÑ P px, B q, B P E, the Borel field of E.

(i) The chain pX pnq, Px q is called uniformly ergodic provided there exists an invariant measure π on E such that lim sup }P n px, q π pq}Var 0.

Ñ8 xPE

n

(ii) The chain is said to satisfy Doeblin’s condition if there exist a probability measure ϕ on E and strictly positive numbers δ and ε and a strictly positive integer m such that ϕpAq ¡ ε implies inf P m px, Aq ¥ δ.

P

(iii) The chain pX pnq, Px q has uniform geometric speed (or rate) of convergence if there exist an invariant probability π on E and constants R and 0 r 1 such that }P n px, q π pq}Var ¤ Rrn for all n P N and x P E. (iv) The chain pX pnq, Px q is uniformly positive recurrent if there exists a compact subset K such supxPK Ex rτK s 8. x X

In (iv) τK is the hitting time of K: τK inf tm ¥ 1 : X pmq P K u. If such a compact subset K exists, then for all subsets A P E for which ϕpAq ¡ 0 the inequality sup Ex rτA s 8 holds. Here ϕ is as in item (ii) of Definition 10.8:

P

x A

the existence of such a probability measure ϕ is guaranteed by item (iii) in Theorem 10.21 below. Theorem 16.0.2 in [Meyn and Tweedie (1993b)], which is more general then Theorem 10.21, says among other things that a Markov chain is uniformly ergodic if and only if it is aperiodic and satisfies Doeblin’s condition. For the notion of aperiodicity and related topics see Definitions 10.1, 10.6 and 10.7. Theorem 10.21. Let pX pnq, Px q be a Markov chain with a Polish state space E, and transition function B ÞÑ P px, B q, B P E. Then the following assertions are equivalent: (i) The Markov chain pX pnq, Px q is uniformly ergodic; (ii) The Markov chain pX pnq, Px q has uniform geometric speed of convergence.

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(iii) The Markov chain pX pnq, Px q is aperiodic and satisfies Doeblin’s condition. (iv) The Markov chain pX pnq, Px q is aperiodic and uniformly positive recurrent. With this nice theorem we conclude this chapter and this book. For more information and related results in the time discrete case the reader is referred to Meyn and Tweedie [Meyn and Tweedie (1993b)]. For recent work on ergodicity of Markov chains see e.g. Hairer and Mattingly [Hairer and Mattingly (2008b)]. Application of ergodicity properties of Markov processes can be found in the theory of stochastic partial differential equations by Hairer and co-authors, see e.g. [Hairer et al. (2004); Hairer and Mattingly (2008a,b); Hairer (2009)]. For the use of the Foster-Lyapunov criterion in the study of the stability of Markov chains the reader is referred to e.g. Meyn and Tweedie [Meyn and Tweedie (1993b)], and also to a recent paper by Connor and Fort [Connor and Fort (2009)]. It is possible that this Foster-Lyapunov criterion is linked to the separation property of the domain of the generator of the underlying Markov property as mentioned in Corollary 9.2 and Theorem 9.4. A consequence of this separation hypothesis is that the existence of a recurrent compact subset is guaranteed provided that all open subsets are recurrent, and that all measures B ÞÑ P pt, x, B q, B P E, pt, xq P p0, 8q E, are equivalent.

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October 7, 2010

9:50


MarkovProcesses

Index

Ar , 662, 682, 713, 726 C 1 -function, 47 C 1 E , 47 C 2 -function, 47 C 2 E , 47 p1q , 237, 239 CP,b

TA,h , 657 Ta,b , 739 ZY , 336 Γ1 = squared gradient operator, 305 Γ2 = iterated squared gradient operator, 602 Γ2 -condition, 602, 628 Γ2 -criterion, 644 α-excessive function, 690 λ-dominance, 211, 235 sequential, 232 λ-dominant operator, 234, 235, 239, 299 sequentially, 153, 233 λ-super-mean function, 299 λ-super-median function, 233 λ-super-median valued function, 258 λ-supermedian function, 299 Ftτ tPrτ,T s -stopping time, 143 Pτ,µ -closure, 149 Pτ,µ -completion, 149, 152 Pτ,x -closure, 148 Pτ,x -completion, 152 Pτ,x -distribution, 173 E , 654 K E , 133, 232, 284 Kσ E : collection of σ-compact subsets, 146 M2 , 321, 329, 336, 338, 343, 371, 385 M2AC,unif , 321 M2loc,unif , 321, 385 M2unif , 321

p q p q

p1q p

q

CP,b λ , 237–239, 249, 250, 299 h HA λ , 680 HA λ , 677 I-capacitable subset, 285, 286 L-invariant measure, 723 I, 680 LRA 0 L1 -integrable uniform, 160 L2 -martingale, 90, 331 L2 -spectral gap, 616, 636, 637 L2 -spectral gap inequality, 617 L2weak Ω, Ftτ , P , 82 L2weak Ω, FT , P , 96 Lh λ , 676, 680 L8 -spectral gap, 476, 515 M E -spectral gap, 475, 476, 515 M0 , 515 M0 E , 454, 455, 530 QA , 707 QA -invariant measure, 722, 723 h RA λ , 676, 680 S-topology, 159 T , 657 T -invariant measure, 660 Th , 657

pq pq

p q

pq

p p

q q

p q

p q

p q

p q p q

pq

789

October 7, 2010

9:50

790


MarkovProcesses


p q

O E , 284 S 2 , 336, 343, 385 S 2 -property, 320 S 2 M2 , 336, 339, 343, 357, 361, 376, 395, 396 2 Sloc,unif , 321, 385 2 Sloc , 495 2 Sunif , 321 Tβ -Cauchy sequence, 110 Tβ -bounded sets versus bounded sets, 116 Tβ -continuous Feller semigroup, 232 Tβ -continuous semigroup, 216, 240, 564, 715 Tβ -convergence, 118 Tβ -convergent sequence, 119 Tβ -dense, 137 Tβ -derivatives, 144 Tβ -dissipative, 134 Tβ -dissipative operator, 232, 234, 235, 240, 241, 249 positive, 232 Tβ -dissipativity, 154 Tβ -dual of Cb E , 121 Tβ -dual space of Cb E , 117 Tβ -equi-continuity, 211 Tβ -equi-continuous, 187, 190, 192–195, 211, 212, 219, 220, 229, 472 Tβ -equi-continuous evolution, 246 Tβ -equi-continuous family, 169, 272, 274, 276, 528, 529, 681, 726, 727, 729, 730 Tβ -equi-continuous family of measures, 127, 472 Tβ -equi-continuous family of operators, 135 Tβ -equi-continuous semigroup, 234, 235, 246 Tβ -generator, 246 Tβ -generator of a Feller semigroup, 236 Tβ -limit, 305 Tβ -sequentially complete, 110 Tβ -strongly continuous, 140 µ-invariant subset, 587

p q

p q

p q p q

∇L u v s, x , 313 ∇L u τ, x , 306 π-λ theorem, 116, 162 π-irreducible Markov chain, 650 σ-field right closed, 173 σ-field after a stopping time, 173 σ-field associated with stopping time, 105 σ-field between stopping times, 173 σ-field corresponding to stopping time, 148 σ-finite invariant measure, 581, 583, 651, 655, 671, 684 unique, 590 σ-finite measure, 164 σ-smooth functional, 124 σ M E , Cb E ”-convergence, 128 τBk , 694 τAh , 707 ϕ-irreducible Markov chain, 655 ϑ1 -invariant subset, 593 ζ, 309 ζ = life time, 283, 291 ζ: life time of process, 150 dL , x , 602 dΓ1 x, y , 602 m-step Markov chain, 745 (infinitesimal) generator of Feller evolution, 143

p p q

p qq

p q p q

absolutely continuous function, 330 absolutely continuous martingale, 321 absolutely continuous measure, 164 absorbing subset, 582 accessible atom, 731, 732, 745, 748, 750, 751 additive measure, 581 additive process, 580, 581, 691 time-homogeneous, 580, 581 adjoint evolution family, 518 adjoint of operator formal, 509 almost separating generator, 572, 702 almost separating subspace, 559, 560,

October 7, 2010

9:50


MarkovProcesses

Index

563, 573, 684 almost separation property, 566 analytic maximum principle, 522, 530 analytic operator, 539 analytic semigroup, 457, 464, 465, 514, 541, 543 bounded, 460 generator of, 514, 543 weak -continuous bounded, 460 aperiodic distribution function, 738 aperiodic Markov chain, 650, 651, 742, 756, 757 aperiodic probability distribution, 734 approach structure, 223 approximating sequence of stopping times, 178, 179 arbitrage free, 400, 401 arbitrage free portfolio process, 401 arbitrage opportunity, 401 Arzela-Ascoli theorem, 126 asset, 400 non-risky, 400 risky, 400 asymptotic σ-field, 560 atom, 732, 748 accessible, 745, 748 atom for Markov chain, 750 Bézout’s identity, 736, 737 backward doubly stochastic differential equation, 319 backward Itˆ o integral, 320 backward martingale, 313, 448 backward martingale convergence theorem, 595 backward propagator, 62, 483 backward recurrence chain, 739 Backward Stochastic Differential Equation, 303 Backward Stochastic Differential Equations, 383 Baire category argument, 73 Baire field versus Borel field, 118 Banach-Alaoglo Theorem of, 461 Banach-Steinhaus

791

theorem of, 543 Banach-Steinhaus theorem, 68 Bayes rule, 746 BDSDE, 319 Bernoulli topology, 128 Bernstein diffusion, 407 Bernstein probability, 449 bi-continuous semigroup, 469 bi-topological space, 158 bilinear mapping Z t , 318 Bismut-Elworthy formula, 477, 551, 554 bivariate linked forward recurrence time chain, 735 Black-Scholes equation, 448 Blumenthal’s zero-one law, 662 Bolzano-Weierstrass theorem, 126 Borel measure, 121 Borel probability measure, 121 Borel-Cantelli lemma generalized, 571, 578, 580, 689 Borel-Cantelli-Lévy lemma, 571, 578 bottom of spectrum, 617 bounded analytic semigroup, 510, 511, 537 weak -continuous, 468 bounded continuous function space, 109 bounded from above, 383 bounded relative to the variation norm, 121 Browder-Minty theorem, 381 Brownian motion, 3, 4, 22, 36, 37, 45, 90, 92, 312, 326, 327, 399, 402, 404, 483, 487, 489, 493 cylindrical, 45 operator-valued, 95 BSDE, 303, 304, 315, 325, 327, 335, 338, 339, 371, 377, 385, 386, 389, 390, 393, 399, 405 Hilbert space valued, 383 linear, 377 strong solution to, 325 weak, 304 weak solution to, 313, 325 BSDE with drift, 326

pq

October 7, 2010

792

9:50


MarkovProcesses


Buck, 110, 158 Burgers’ equation, 411 Burkholder-Davis-Gundy inequality, 39, 321, 322, 336, 337, 342, 347, 351, 359, 364, 368, 494 Cameron-Martin formula, 411 Cameron-Martin Girsanov formula, 15, 16 Cameron-Martin Hilbert space, 45 Cameron-Martin transformation, 19, 57 Capacitability theorem of Choquet, 284, 286, 299 capacitable subset, 295, 300 Caratheodory’s theorem, 114 carré du champ operateur See squared gradient operator, 408 carré du champ operator, 450 carré du champ opérateur: See squared gradient operator, 409 central limit theorem, 648, 653 Chacon-Ornstein theorem, 588, 589, 598–600 Chapman-Kolmogorov equation, 155, 186, 649, 748, 749 Choquet capacitability theorem, 284, 286, 288, 299 Choquet capacity, 284, 285 Choquet’s capacity theorem, 682 classical Noether theorem, 436 closable operator, 240 compact orbit almost sure, 173 compact recurrent subset, 684, 744, 745 compact subset relatively weakly compact, 123 comparison theorem, 304, 386 completeness theorem of Grothendieck, 68 complex Noether theorem, 450 complex version of Noether theorem, 442 concave function, 643 conditional expectation, 198, 584

conditional probability, 607 conservative Feller propagator, 184 conservative part, 583, 584 conservative process, 309 conservative propagator, 187 consistent family, 224 consistent system, 224 consumption process, 402 contingent claim, 402, 403 contingent strategy, 402 continuous orbit, 280 continuous sample path, 280 continuous sample paths, 667 contraction operator, 582, 624 conservative, 589 convergence for the strict topology versus uniform convergence, 119 convergence of measures weak, 159 convolution product, 304 coupled stochastic differential equation, 605 coupling argument, 35, 734, 735 coupling method, 555, 602 coupling of diffusion processes, 609 coupling operator, 603 coupling time, 739 coupling time of renewal process, 739 covariance mapping, 391 covariance matrix, 485, 607 covariation of operator-valued processes, 96 covariation process, 26, 27, 54, 94, 310, 320, 331, 505 quadratic, 94, 320, 386, 441 right derivative of, 318 critical eigenvalue, 454 cylindrical Brownian motion, 45, 46, 52, 53, 55, 62–64, 312 cylindrical function, 47, 56 cylindrical measure, 63, 72, 224 Daniell-Stone Theorem of, 110 deflator process, 403 demi-continuous map, 381

October 7, 2010

9:50


Index

derivative of quadratic variation process, 387 deterministic Noether theorem, 436 differentiation theorem Lebesgue’s, 332 diffusion, 305 generator of, 306 diffusion matrix, 604 diffusion part, 91 diffusion process, 155, 157 diffusion with mixing property, 558 Dini’s lemma, 118, 119, 123, 126, 135, 141, 159, 188, 233, 416, 569, 727 Dirac measure, 138 discounted gains process, 401 dissipative operator, 232, 240, 241, 243–245, 456, 457 dissipative part, 583, 584 dissipative relative to Tβ , 154 distribution finite dimensional, 489 distributional solution to SDE, 55 divergence free action, 447 Dobrushin’s ergodicity coefficient, 755 Doeblin’s condition, 538, 755 Doeblin’s ergodicity condition, 757 Doléans measure, 387 dominant eigenvalue, 519 dominant eigenvector, 454 dominated sequence, 118, 119 Doob’s martingale inequality for moments, 28 Doob’s optional sampling theorem, 184, 186, 213, 216, 564, 691 Doob’s submartingale inequality, 188 Doob’s theorem, 184 Doob-Meyer decomposiiton theorem, 396 Doob-Meyer decomposition theorem, 90, 396 double filtration, 147, 148 drift part, 91 drift vector, 604, 607 Duhamel’s formula, 471, 473 Dunford projection, 454, 519, 524, 537

MarkovProcesses

793

Dunford-Pettis theorem, 396 dynamical system, 582, 597–599 Dynkin argument, 116 Dynkin system, 115, 162, 163 Dynkin’s formula, 654, 671, 683, 684 eigenvalue problem, 517 energy, 447 energy operator, 305 entrance time, 652, 653 entropy of function, 619, 621 entry time, 283, 288, 293, 295, 581, 652 equi-continuous family for the strict topology, 125 equi-continuous family of operators, 141 equi-continuous for the strict topology, 128 equi-continuous versus weakly compact subset, 121 equivalent measure, 743, 744 ergodic diffusion, 558 ergodic Markov chain, 653 ergodic Markov process, 453 ergodic process, 561 ergodic system, 477, 516, 518, 519, 531, 537 ergodic theory, 223 ergodicity results, 651 Euler-Lagrange equation, 447 event, 178 evolution, 143, 503 Feller, 138, 139 evolution family, 154, 455, 470, 509, 518 adjoint, 518 excessive function, 690–692 exponential decay, 520 exponential martingale, 91, 503, 508 exponentially distributed variable, 685, 687, 688 exterior measure, 113 σ-field to, 113 exterior regularity, 285

October 7, 2010

794

9:50


MarkovProcesses


family of functionals tight, 125 family of measures tight, 122, 125 Fatou’s lemma, 164 Feller evolution, 138, 139, 147, 152, 153, 168, 176, 189, 192, 194, 214, 219, 227–230, 245, 283, 308, 379, 415 generator of, 143, 239 Feller propagator, 138, 139, 147, 174, 184, 186, 230, 283, 307, 308, 410, 424 conseravative, 184 Feller semigroup, 154, 156, 218, 219, 221, 229, 230, 249, 273, 277, 410, 699 Tβ -continuous, 232 Feller-Dynkin semigroup, 156, 157, 300, 562 Feynma-Kac integral equation, 313, 383 Feynman-Kac formula, 303, 314, 377, 378, 399, 407, 415, 424, 434 non-linear, 314, 429 filtration, 8, 49, 153 right closed, 151 final value problem, 313 finite-dimensional dimensional distribution, 489 first derivative as a functionals, 47 first hitting time, 684, 691 fluctuation, 91 formula Girsanov, 489 forward propagator, 62, 483 forward recurrence time chain bivariate linked, 735 forward SDE, 304, 320 forward stochastic differential equation, 304, 320 Fourier inverse formula, 509 Fourier transform, 5 Fubini’s theorem, 164, 485 function α-excessive, 690, 691

excessive, 691 renewal, 733 transtion, 143 function space bounded continuous, 109 functional and measure, 121 Gˆ ateaux derivative, 47 Gaussian process, 485 generalized Borel-Cantelli lemma, 571, 578, 580, 689 generator almost separating, 572, 702 generator of d-dimensional diffusion, 399 generator of a Feller-Dynkin semigroup, 522 generator of a Markov process, 379 generator of analytic semigroup, 475, 502, 514 generator of bounded analytic semigroup, 469, 520, 525, 531 generator of bounded analytic weak -continuous semigroup, 528 generator of BSDE, 318, 335, 339 generator of diffusion, 306, 408, 409, 411, 616, 629, 631, 637 generator of diffusion process, 638 generator of Feller evolution, 153, 227, 231, 235, 239 generator of Feller evolution:infinitesimal, 227 generator of Feller semigroup, 94, 239, 475, 478 generator of Feller-Dynkin semigroup, 300 generator of Markov process, 309, 320, 323, 378, 393, 485, 487, 516, 563 generator of semigroup, 230, 276, 612 generator of space-time process, 227 generator of strong Markov process, 147 generator of time-dependent Markov process, 474, 476

October 7, 2010

9:50


Index

generator of time-homogeneous Markov process, 611 generator of time-inhomogeneous Markov process, 144, 228 generator of weak -continuous analytic semigroup, 521 generator of weak -continuous bounded analytic semigroup, 520 generator of weak -continuous semigroup, 474, 523, 524, 531 geometrically ergodic Markov chain, 653 germ of function, 433, 434 Girsanov formula, 489 Girsanov transformation, 19, 57, 326, 378 Girsanov’s transformation, 56 global Korovkin property, 146, 153, 267 global Korovkin subspace, 146 global maximum principle, 262 Gronwall inequality, 491, 494, 502 Gˆ ateaux derivative, 447 H¨ older’s inequality, 488 Hahn decomposition, 457, 459 Hahn-Banach theorem, 132, 540, 707, 724, 729 Hahn-Jordan decomposition, 459 Hamilton’s least action principle, 447 Hamilton-Jacobi theory, 447 Hamilton-Jacobi-Bellman equation, 314, 378, 407, 411 harmonic function, 582, 588 Harris recurrence measure, 689 Harris recurrent positive, 729 Harris recurrent Markov chain, 652, 729 Harris recurrent Markov process, 573 Harris recurrent process, 708 Harris recurrent subset, 573, 579, 580 Hausdorff-Bernstein-Widder inversion theorem, 253, 258 Hausdorff-Bernstein-Widder Lapalce inversion theorem, 275

MarkovProcesses

795

Hausdorff-Bernstein-Widder theorem, 233, 275 hedging strategy, 304, 402, 406 Hellinger integral, 316 hemi-continuous map, 381 Hessian, 513, 629, 631 Heston volatility model, 95, 103 hitting time, 106, 283, 284, 288, 293–295, 567, 571, 573, 577–579, 581, 649, 650, 654, 655, 682, 684, 689, 691, 692, 709, 713, 714, 734 homeomorphism, 207 homotopy argument, 304, 334, 379 Hopf decomposition, 583, 584 Hunt process, 147, 150 hypercontractivity, 644 implicit Runge-Kutta method, 380 increasing process predictable, 396 independent variables, 738 inequality of Burkholder-Davis-Gundy, 42 infinitesimal generator of Feller evolution, 143, 227 information Shannon, 603 inner regular measure, 225 inner-regular, 570 inner-regular measure, 117, 136, 744 integral operators, 136 integrated semigroups, 239 integration by parts formula, 21, 311 invariant density, 651 invariant distribution, 648, 649, 651 invariant event, 587 invariant function, 519, 582 invariant measure, 478, 486, 511, 536, 556, 558, 559, 561, 562, 573, 574, 576, 581, 585, 586, 592–594, 616, 617, 619, 623, 633, 636, 637, 647–653, 657, 660, 670, 678, 679, 682, 685, 699, 702, 703, 706, 708, 709, 714, 716–725, 729, 752 σ-finite, 561, 572, 581, 583, 584, 651, 655, 656, 661, 671, 676,

October 7, 2010

796

9:50


MarkovProcesses


684, 714 finite, 655, 722 strictly positive, 709 unique σ-finite, 590 invariant measure and expectation of return times, 651 invariant mesure σ-finite, 651 invariant probability measure, 560 invariant subset, 587 inverse Laplace transform, 465 irreducible aperiodic Markov chain, 744 irreducible Markov chain, 650, 743, 748, 750 aperiodic, 750 strongly aperiodic, 750 irreducible Markov chain with compact recurrent subset, 652 irreducible Markov process, 556, 557, 574, 575, 654, 706, 710, 718, 754 irreducible split Markov chain, 750 irreducible strongly aperiodic Markov chain, 744 irreducible time-homogeneous aperiodic Markov chain, 652 Itˆ o calculus, 17, 18 Itˆ o integral, 93, 326 Itˆ o process, 607 Itˆ o’s formula, 54, 59, 92, 95, 96, 339, 345, 349, 362, 442, 489, 610 Itˆ o’s lemma, 14, 366, 389, 403, 504–507 Itˆ o’s theorem, 34, 59 Itˆ o’s uniqueness condition, 605, 606, 608 iterated squared gradient operator, 602, 628, 632 iterated squared gradient operator Γ2 , 628, 629, 644 Jensen inequality, 407, 429, 643 joint distribution, 478 Jordan decomposition, 457, 459 jump process of Poisson process, 592

Kac’s theorem, 651 Kato condition, 415 Kazamaki result by, 27 Kazamaki condition, 28 Khas’minski lemma, 433 Kolmogorov extension theorem, 224 Kolmogorov extension theoren, 225 Kolmogorov operator, 453, 455, 459, 470, 471, 473, 474, 519, 530, 537 Kolmogorov’s extension theorem, 158, 167, 168, 199, 202, 204, 424, 737 Kolmogorv existence theorem, 224 Korovkin family, 299 Korovkin property, 147, 154, 219, 267 global, 146, 153, 267 local, 267 Korovkin property on subset, 154, 219 Korovkin set, 223, 224 Korovkin subspace global, 146 Kullback-Leibler distance, 603 Lévy, 222 Lévy number, 200, 222 Lévy’s theorem, 52, 95 Lévy-Prohorov metric, 125, 222, 223 Lagrangian action, 379, 437 Lagranian, 446 Laplace transform, 217, 233, 237 vector valued, 239 large deviations, 603 law, 478 law of large numbers, 650 Lebesgue’s decomposition theorem, 331 Lebesgue’s differentiation theorem, 315, 332 Lemma Dini’s, 118, 135, 141 Khasminski, 433 level of split m-skeleton, 745 life time, 186, 195, 283, 291, 298, 309 life time of process, 150, 151 linear SDE, 402

October 7, 2010

9:50


Index

Lipschitz condition, 315 Lipschitz constant, 354, 356, 357 Lipschitz continuous function, 486 Lipschitz function, 334, 335, 338, 339, 343, 354, 356, 357, 372, 375, 487, 488, 490, 558 locally, 487 one-sided, 335 local exponential martingale, 391 local Korovkin property, 267, 268, 272, 273 local martingale, 6, 9–11, 14, 17, 18, 39, 49, 51, 90, 92, 94, 336, 337, 489 backward, 391 right-continuous, 396 weak, 45 local maximum principle, 271, 273 local semi-martingale, 95, 318, 391 local time density of, 391 localization argument, 28, 29 logarithmic Sobolev inequality, 555, 619, 621, 623, 624, 635, 644, 754 tight, 555, 619 lwa of large numbers, 648 Lyubisch representation, 540 Mackey topology, 110 Malliavin calculus, 165 marginal Markov chain, 748, 751 marginal measure, 745 marginal of Markov process, 94 marginal of strong Markov process, 147 Markov T -chain, 656 Markov chain, 572, 579, 593, 648–650, 685–687, 695, 696, 744, 748 µ-Harris recurrent, 592 π-irreducible, 650 ϕ-irreducible, 655 m-step, 745 aperiodic, 593, 594, 650, 651, 742, 744, 757 atom for, 750 Harris recurrent, 593, 594, 652, 729 irreducible, 743, 748

MarkovProcesses

797

marginal, 748 null-recurrent, 651 periodic, 743 positive recurrent, 651, 653 recurrent, 651 split, 745 strongly aperiodic, 743, 745, 751 strongly aperiodic irreducible, 745 time-homogeneous, 648, 650, 651 topological, 656 topologically recurrent, 752 uniform ergodic, 757 uniform positive recurrent, 757 Markov chain sampler, 649 Markov chain satisfying Doeblin’s ergodicity condition, 757 Markov chain satisfying the detailed balance condition, 649 Markov chain with recurrent compact subset irreducible, 652 Markov chain with uniform geometric speed of convergence, 757 Markov operator, 470 Markov process, 94, 143, 153, 156, 158, 168, 185, 186, 208, 212, 214, 218, 219, 228, 229, 274, 277, 283, 284, 291, 303–305, 307–309, 320, 322, 327, 371, 372, 374, 376, 382, 385, 395, 415, 434, 487, 490, 556, 644, 732 µ-Harris recurrent, 573 generator of, 378, 382 Harris recurrent, 573, 633, 696, 697 irreducible, 556 irreducible strong Feller, 596 life time of, 150 normal, 150 normal strong, 151 pinned, 449 quasi-left continuous, 150, 151 reciprocal, 448 recurrent, 697 standard, 296, 297 strong, 143, 147, 173, 178 strong Feller, 395, 560, 685, 689

October 7, 2010

798

9:50


MarkovProcesses


strong Markov, 147 time-homogeneous, 307, 572 with the strong Feller property, 150 markov process, 307, 335 Markov process with Feller property, 558 Markov process with left limits, 149, 150 Markov property, 156, 163, 170, 174, 183, 192, 195, 197, 198, 209, 214, 308, 397, 414, 568, 648, 649, 656, 658, 677, 692, 694, 695, 710, 711, 719, 747 strong, 181 Markov transition function, 514 martingale, 3, 19, 57, 89–91, 93, 94, 152, 153, 171, 177, 188, 191, 203, 205, 209, 210, 213, 299, 303, 308, 310, 313, 315, 318, 328, 329, 331, 341, 354, 356, 361, 371, 374, 378, 385–389, 398, 403, 404, 407, 424, 429, 433, 434, 437, 442, 448, 489, 490, 493, 506, 507, 586, 604, 611, 614, 731 absolutely continuous, 321 backward, 313 exponential, 503 local, 90 weak, 45 martingale convergence theorem, 594 backward, 595 martingale inequality Doob’s, 28 martingale measure, 19 martingale problem, 8, 9, 49, 55, 147, 153, 155–157, 195, 201, 207, 211, 212, 218, 219, 221, 274, 277, 278, 300, 304, 327, 489, 490, 556, 604, 608 time-inhomogeneous, 222 well-posed, 147, 605, 606 martingale property, 205, 208 martingale representation theorem, 319, 333, 404 martingale solution, 489 maximum mapping, 168

maximum operator, 152, 180 maximum principle, 133, 145, 146, 153, 154, 219, 232–235, 239–242, 262, 267, 270, 277, 299, 300, 512, 513, 531 analytic, 522, 530 weak, 145 maximum principle on a subset, 265 maximum principle on subset, 154, 220 maximum time operator, 142, 155 Mazur’s theorem, 72 mean recurrence time, 756 measure T -invariant, 660 σ-finite, 164 absolutely continuous, 164 cylindrical, 72 exterior, 113 inner-regular, 117, 136 invariant, 486 outer, 113 recurrence, 691 strictly positive, 706 measure theory, 112 metric Lévy-Prohorov, 125 metric on E, 154 metric on E △ , 154 minimum time operator, 142, 155 minorization condition, 745 minorization property, 750 mixed topology, 158 mixing property, 561 modification, 167, 172, 309, 310 right-continuous with left limits, 172 modified version, 172 momentum observable, 447 Monotone Class Theorem, 116, 142 monotone class theorem, 162, 163, 175–178, 181, 189, 197, 372, 732 monotone function, 303, 335, 338, 339, 343, 344, 353, 370, 372, 375 monotone mapping, 131 monotonicity condition, 334

October 7, 2010

9:50


Index

monotonicity constant, 371 multiplicative Borel measure, 137 multiplicative process, 580 time-homogeneous, 580 Myadera perturbation condition, 413 Myadera potential, 413, 415 negative-definite matrix, 513 Neumann boundary condition, 305 Nevue-Chacon identification theorem, 589, 598, 599 no-arbitrage, 400 Noether constant, 447 Noether observable, 442, 446 Noether theorem, 407, 450 complex version of, 442 deterministic, 436, 447 stochastic, 407, 436 non-conservative process, 309 non-linear Feynman-Kac formula, 314, 429 non-risky asset, 400 normal Markov process, 150 normal strong Markov process, 151 Novikov condition, 20, 27, 91, 92, 401, 423 null-recurrent Markov chain, 651 Nummelin splitting, 745, 751 occupation formula, 391 once integrated semigroup, 239 one-dimensional distribution of strong Markov process, 147 one-sided Lipschitz function, 303, 334, 335, 344, 375 operator (sub-)Kolmogorov, 459 analytic, 539 positivity preserving, 134 sequentially weak closed, 524 time derivative, 144 operator-valued Brownian motion, 95 operators with unique Markov extensions, 147 option pricing, 304 opérateur carré du champ, 94

MarkovProcesses

799

orbit, 168, 169, 172, 173, 188, 222, 309, 310 sequentially compact, 168, 172 Orey’s convergence theorem, 592, 594, 633, 637, 708, 731, 750–752 Orey’s theorem, 594, 652, 708, 713, 729 Ornstein-Uhlenbeck process, 63, 477, 478, 486 Ornstein-Uhlenbeck semigroup, 518 oscillator process, 478 outer measure, 113 Palm distribution, 757 parabolic differential equation, 303 partial differential equations of parabolic type, 385 particle mass, 422 pathwise solutions to SDE, 34–36 unique, 38 pavement, 284 penetration time, 106, 578, 581 periodic Markov chain, 743 petite subset, 655 Pettis derivative, 67 Pettis integrable function, 66 phase, 318 stochastic, 318 phase space, 306 stochastic, 307 pinned Markov process, 449 Planck’s constant, 422 Poincaré inequality, 555, 616, 617, 619–621, 644 pointwise, 635 point evaluation, 137 pointwise convergence, 111, 112, 120 pointwise defined operator, 682 pointwise ergodic theorem of Birkhoff, 561 pointwise generator of semigroup, 660 pointwise limit, 118, 121 pointwise Poincaré inequality, 635 Poisson process, 592, 687, 688, 696 jump process of, 592 jumping time of, 688

October 7, 2010

800

9:50


MarkovProcesses


Polish space, 104, 109, 117, 124, 128, 138, 139, 158, 168, 170, 185, 207, 273, 453 portfolio process, 400 arbitrage free, 401 tame, 401 positive Tβ -dissipative, 272, 273 positive Tβ -dissipative operator, 154, 232, 239, 241, 273 positive capacity, 284 positive contraction operator, 583, 584, 588, 589, 593 positive Harris recurrent, 729 positive homogeneous functional, 265 positive linear operator, 707 positive mapping, 46 positive operator, 582 positive recurrent Markov chain, 651–653 positive resolvent property, 133 positive-definite matrix, 483, 512, 555 positive-definitive matrix, 513, 514 positivity preserving operator, 134, 582 power Tβ -dissipative operator, 239 predictable process, 66, 90, 91, 93, 97, 387, 396, 400, 403 probability measure Borel, 121 problem martingale, 157 process additive, 691 Gaussian, 485 life time of, 150, 151 Markov, 143 Ornstein-Uhlenbeck, 477 oscillator, 478 redeefinition of, 181 strong Markov, 143 wealth, 402 process of bounded variation, 90 process of class (DL), 90, 395, 396 product σ-field, 168 product topology, 168

progressively measurable process, 606–608 Prohorov metric = Lévy-Prohorov metric, 223 projection operator, 679 projective system of measures, 224 propagator, 143, 183, 324 backward, 62, 483 Feller, 138, 139 forward, 62 propagator property, 58 pseudo-hitting time, 283, 284, 288 quadratic covariation process, 4, 9, 18, 49, 310, 320, 441, 612 quadratic variation process, 7, 91, 311, 312, 318, 322, 341, 378, 387, 412 derivative of, 387 quasi-left continuous Markov process, 150, 151, 182, 185, 195 quasi-left continuous process, 290–292, 294, 298 quasi-left-continuous process, 147 Radon-Nikodym derivative, 92, 387, 402, 403, 450, 584, 746 Radon-Nikodym property, 65 Radon-Nikodym theorem, 164 random variable, 142 rate function, 603 reciprocal Markov probability distribution, 450 reciprocal Markov process, 448 reciprocal probability distribution, 449 recurrence Harris, 696 recurrence measure, 689, 691, 692 Harris, 689 recurrence property, 579 recurrent Markov chain, 652, 654, 742 Harris, 652 irreducible, 750 strongly aperiodic, 752

October 7, 2010

9:50


Index

recurrent Markov process, 561, 573, 579, 637, 735 toplogically, 561 recurrent process, 742 recurrent subset, 566, 571, 573, 578, 682, 698, 721, 725, 728 compact, 572, 579, 702, 707, 714, 726, 745 Harris, 573, 579, 580 recurrent, 579 redefinition of process, 181 regular point, 662, 666, 726 relatively compact range paths with, 145 relatively compact subset, 145 relatively weakly compact subset, 123 relatively weakly compact subset versus tight, 125 renewal function, 733, 738 renewal process, 740 renewal theory, 734 reproducing kernel, 330 resolvent equation, 220, 699, 719 resolvent family, 193, 234, 235, 240, 262, 274–276, 535, 654, 671 resolvent identity, 210 resolvent operator powers of, 235 reversible Markov chain, 649 Riccati type equation, 412 Riccatti type equation, 378 Riesz representation theorem, 708, 724 right closed σ-field, 173 right closure, 148, 149 right closure of σ-field, 148, 173 right closure of a σ-field, 173 right-closed filtration, 151 right-continuity of evolution, 174 right-continuity of propagator, 174 right-continuous filtration, 282 right-continuous Markov process, 150 risk adjustment factor, 91 risk premium vector, 400 risk process, 401 risk-adjusted measure, 403

MarkovProcesses

801

risky asset, 400 Rothaus inequality, 641 Runge-Kutta matrix, 380 Runge-Kutta method implicit, 380 Runge-Kutta type result, 380 sample path of strong Markov process, 147 Scheffé’s theorem, 159, 161, 725 SDE, 400, 402, 486 forward, 304, 320 linear, 402, 403 second derivative as an operator, 47 sectorial generator of Feller semigroup, 468 sectorial operator, 456, 457 sectorial sub-Kolmogorov operator, 455, 456, 460, 463, 468, 520 self-financing hedging strategy, 402 self-financing strategy, 402 semi-linear equation, 335 semi-linear partial differential equation, 303 semi-martingale, 94, 328, 329, 495 semigroup, 106, 208, 210, 508, 654, 660 Tβ -equi-continuous, 234, 235 analytic, 464 bi-continuous, 469 bounded analytic, 511 Feller, 156 Feller-Dynkin, 156, 157 Ornstein-Uhlenbeck, 518 weak -continuous bounded analytic, 460 separation property, 666 sequential λ-dominance, 154, 232 sequentially λ-dominant operator, 134, 153, 154, 207, 211, 233, 273 sequentially compact orbit, 169, 172 sequentially compact path, 169 sequentially weak closed operator, 524, 526 sequentially weak -closed operator, 524

October 7, 2010

802

9:50


MarkovProcesses


Shannon information, 603 simple process, 93 skeleton, 598 skeleton chain, 743 strongly aperiodic, 752 skeleton Markov chain, 745 strongly aperiodic, 745 skeleton of Markov process, 649 skeleton of time-homogeneous Markov process, 648 Skorohod space, 144, 151, 153, 181, 185, 199, 206, 212, 298 Skorohod theorem, 40 Skorohod topology, 158 Skorohod-Dudley-Wichura representation theorem, 21, 25, 42 small subset, 656, 742, 743 Sobolev inequality, 644 Sobolev inequality of order p, 620, 621 Sobolev space, 318 space of bounded contnuous functions, 138 space time process generator of, 227 space-time operator, 230 space-time space, 229 space-time variable, 179, 197, 298, 371 spectral estimate, 519 spectral gap, 475, 555, 558, 602, 633 spectral gap inequality, 616, 644 split Markov chain, 745, 746, 748, 751 split Markov chain with accessible atom, 745 split measure, 660, 745 split skeleton, 746 splitting Nummelin, 745, 751 squared gradient operator, 94, 305, 306, 313, 327, 331, 333, 379, 391, 393, 409, 450, 602, 611, 616, 622, 623, 634, 637, 644, 665 iterated, 602, 644 squared gradient operator Γ2 iterated, 602, 628

standard filtration, 35 standard Markov process, 291, 296–298 state space, 168 state variable, 152, 153, 168 stochastic, 180 stationary function, 519 stationary measure, 752 stochastic differential, 506, 507 stochastic differential equation, 400, 486, 495, 502, 503, 508, 555, 604 coupled, 609 stochastic integral, 7, 46, 92, 93 stochastic Noether theorem, 407, 436 stochastic phase, 318 stochastic phase space, 307, 318 stochastic state variable, 180 stochastic time change, 106 stochastic variation calculus, 165 stopping time, 6, 89, 90, 105, 106, 143, 151, 173, 178, 186, 288–294, 296, 298–300, 307, 347, 353, 361, 365, 368, 370, 394, 395, 490, 563, 571, 575, 578, 605, 655, 657, 673, 680, 690, 693, 694, 708, 711 approximating sequence, 178, 179 terminal, 148, 581 terminal after another, 296–298 stopping time argument, 28 strategy self-financing, 402 strict limit, 305 strict topological dual, 118 strict topology, 109, 110, 118, 125, 138, 144, 158, 187, 204, 227, 247, 305, 308, 410, 453, 667, 702, 703, 729 strictly convergent sequence, 118, 119 strictly equi-continuous family, 125 strictly positive measure, 706 strictly superharmonic function, 583 strong Feller evolution, 139 strong Feller Markov process, 572 strong Feller property, 395, 397, 399, 596, 656, 706, 707 strong Feller semigroup, 568

October 7, 2010

9:50


Index

strong law of large numbers, 561 strong Markov process, 143, 147, 150, 173, 195, 199, 308, 327, 410–412, 449, 478, 592, 654, 656, 689 marginal of, 147 one-dimensional distribution of, 147 strong Markov process with respect to right-closed filtration, 151 strong Markov property, 104–106, 178, 181, 219, 291, 296, 299, 398, 683, 693, 734, 741 with respect to hitting times, 296 strong mixing property, 561 strong solution to BSDE, 325, 327 strong solution to SDE, 34, 35 strong solutions to SDE unique, 34 strong time-dependent Markov property, 106 strongly aperiodic irreducible Markov chain, 745 strongly aperiodic Markov chain, 743 strongly sub-additive function, 285 Stroock, 125 sub-additive functional, 265, 272 sub-additive mapping, 132, 210 sub-invariant measure, 659 sub-Kolmogorov operator, 456, 459, 468–470 sectorial, 456 sub-Markov transition function, 280, 281 sub-martingale, 90, 396 sub-solution viscosity, 434 submartingale, 188 subset νm -small, 743 petite, 655 small, 742 smalls, 656 weakly compact, 122, 124 super-martingale, 90, 690, 692 local, 90 super-solution

MarkovProcesses

803

viscosity, 436 superharmonic function, 582, 583 strictly, 582 supermartingale, 172, 205, 222 surjective function, 354, 356, 379 surjective mapping, 334 tail σ-field, 560, 561, 587, 594, 595 tame portfolio process, 401 tangent vector field, 447 terminal σ-field, 308 terminal stopping time, 106, 148, 296–298, 581 terminal value problem, 313 Theorem of Grothendieck, 74 of Krein-Smulian, 75 backward martingale convergence, 595 Birkhoff’s pointwise ergodic, 561 central limit, 653 Chacon-Ornstein, 589 Choquet’s capacity, 682 comparison, 386 Doob’s optional sampling, 564 Doob-Meyer decomposition, 90, 396 Dunford-Pettis, 396 Grothendieck completeness, 68 Hausdorff-Bernstein-Widder inversion, 253 Itˆ o’s, 59 Kolmogorov extension, 224 Kolmogorov’s extension, 17, 158, 167, 737 Lévy, 95 Lévy’s, 37 martingale convergence, 594 monotone class, 142 Neveu-Chacon identification, 589, 598, 599 Novikov, 24 of Arzela-Ascoli, 126 of Banach-Alaoglu, 128, 461, 472, 473 of Banach-Steinhaus, 538

October 7, 2010

9:50

804

of of of of


MarkovProcesses


Bolzano-Weierstrass, 126 Browder-Minty, 381 Caratheodory, 114 Chacon-Ornstein, 588, 597–599, 651 of Daniell-Stone, 110 of Fubini, 485 of Hahn-Banach, 132, 274, 540, 707, 708, 713, 724, 729 of Itˆ o, 34 of Kac, 651 of Lévy, 7, 52 of Orey, 651, 652, 729 of Radon-Nikodym, 36, 164 of Scheffé, 159, 161 of Skorohod, 40 Orey’s, 708 Orey’s convergence, 592, 594, 633, 651, 708, 713, 731, 744, 750–752, 754 representation theorem of Skorohod-Dudley-Wichura, 42 Riesz representation, 708, 724 Scheffé’s, 17 Skorohod-Dudley-Wichura representation, 21, 25 Theorem of Banach-Alaoglu, 73 Banach-Steinhaus, 73 Grothenddieck, 73 Grothendieck, 73, 75, 76 Krein-Smulian, 68, 73 Krylov-Bogoliubov, 729 Mazur, 72 Tietze extension theorem of, 127 Tietze’s extension theorem, 127 tight family of functionals, 125 tight family of measures, 122, 125 tight family of operators, 128, 141 tight family of operators versus equi-continuous family, 129 tight logarithmic Sobolev inequality, 620 tight Sobolev inequality, 619, 621

tightlogarithmic Sobolev inequality, 619 tightness number, 201, 222 time derivative operator, 144 time shift operator, 648 time transformation, 196 time translation operator, 142, 155, 560, 648 time-continuous Markov process, 696 time-dependent Markov process, 485 time-dependent measure, 517 time-homogeneous Markov process, 560, 573 skeleton of, 648 time-homogeneous Markov property, 105 time-homogeneous strong Markov process, 564 time-homogeneous terminal stopping time, 581 time-homogenous Markov process, 156 time-inhomogeneous Markov process, 307, 308, 517 generator of, 144, 228 time-inhomogeneous martingale problem, 222 topological dual relative to the strict topology, 118 topologically recurrent Markov chain, 752 topology Mackey, 110 mixed, 158 Skorohod, 158 strict, 109, 158, 453 uniform, 110 weak, 453 weak , 453 total variation, 516, 519 totally bounded orbit, 201 totally bounded path, 201 totally bounded subset, 145, 185 tower property of conditional expectation, 175 transition function, 143, 169, 291, 307

October 7, 2010

9:50


Index

transition probability function, 150, 516, 557, 572, 648 triviality result, 548 twice integrated semigroup, 239 uniform boundedness principle, 540 uniform integrable, 395 uniform positive recurrent Markov chain, 757 uniform topology, 110, 410 uniformly σ-smooth family of measures, 124 uniformly L1 -integrable, 160 uniformly bounded and uniformly holomorphic family of semigroups, 532, 536 uniformly ergodic Markov chain, 757 uniformly weak -equi-continuous, 472 unique Markov extension, 153, 154, 219, 300 unique Markov extensions operators with, 147 unique measure, 111, 115 unique pathwise solutions to SDE, 34 unique strong solutions to SDE’s, 45 unique weak solution, 3 unique weak solutions, 604 unique weak solutions to SDE’s, 45, 551 unique weak solutions to stochastic differential equations, 603 variation measure, 138, 458 variation norm, 454 viscosity solution, 385, 386, 392, 393, 406, 407 viscosity solutions, 304, 314 viscosity sub-solution, 393, 434 viscosity super-solution, 393, 436 volatility, 91 volatility matrix, 400 weak L1 -Radon-Nikodym property, 66 weak Lp -derivative, 67 weak BSDE, 304

MarkovProcesses

805

weak convergence, 128 weak convergence of measures, 159 weak local martingale, 45 weak martingale, 45 weak maximum principle, 145, 272 weak Radon-Nikodym property, 66, 67, 69 weak Radon-Nikodym property: WRNP, 66 weak Radon-Nikodym set, 66 weak solution, 8, 320, 486, 489, 605 weak solution to BSDE, 313, 325–327 weak solution to SDE, 19, 34, 49, 55, 56 weak solutions to SDE, 18, 19, 35, 56, 57 unique, 9, 38, 55 weak solutions to SDE’s weak, 15 weak solutions to stochastic differential equations, 9, 55, 56 weak topology, 453 weak -compact, 243 weak -continuous analytic semigroup, 464 weak -continuous bounded analytic semigroup, 460, 468 weak -continuous semigroup, 470 weak -convergence, 471 weak -generator of bounded analytic semigroup, 525 weak -topology, 453 weakly compact subset, 121, 122, 124 weakly continuous, 122 wealth process, 402 well-posed martingale problem, 147, 604, 606 Wentzell subspace, 730 Wiener process, 326, 400


The book provides a systemic treatment of time-dependent strong Markov processes with values in a Polish space. It describes their generators and the link with stochastic differential equations in infinite dimensions. In a unifying way, where the square gradient operator is employed, new results for backward stochastic differential equations and long-time behavior are discussed in depth. The book also establishes a link between propagators or evolution families with the Feller property and time-inhomogeneous Markov processes. This mathematical material finds its applications in several branches of the scientific world, among which mathematical physics, hedging models in financial mathematics, and population or other models in which the Markov property plays a role.




Jan A van Casteren

MARKOV PROCESSES, FELLER SEMIGROUPS AND EVOLUTION EQUATIONS Casteren

van Casteren

World Scientific www.worldscientific.com 7871 hc

ISSN: 1793-1142

7871.07.10.Lai Fun.ML.indd 1

ISBN-13 978-981-4322-18-8 ISBN-10 981-4322-18-0

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10/29/10 11:45 AM

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