|
Teoriya Veroyatnostei i ee Primeneniya, 1961, Volume 6, Issue 1, Pages 3–30
(Mi tvp4745)
|
|
|
|
This article is cited in 1 scientific paper (total in 1 paper)
Continuity Conditions for Stochastic Processes
L. V. Seregin Moscow
Abstract:
Let $x_t$, $0\leq t\leq c<\infty$, be a separable stochastic process in the metric space $X$. The main purpose of this paper is to derive conditions under which almost all sample functions of the process $x_t$ are continuous. We designate by $\rho(x,y)$ the distance between the points $x,y\in X$.
Let $\mathbf P(\dots)$ be a Markov transition function, satisfying for each $\varepsilon>0$ $$\mathop{\sup}\limits_{x,s,t}{\mathbf P}\left({s,x,t,V_\varepsilon (x)}\right)=o(1),\quad h\downarrow 0,$$ where $x\in X$; $s,t\in[0,c],0 <t-s\leq h$ and $V_\varepsilon(x)=\{{y:\rho(x,y)\geq\varepsilon}\}$. Then almost all sample functions of the Markov process $x_t$ are continuous if and only if for each $\varepsilon>0$ $$\int_0^{c-h}
\mathbf P\{\rho\left(x_t,x_{t+h}\right)>\varepsilon\}\,dt=o(h),\quad h\downarrow 0.$$
Almost all sample functions of a martingale (semi-martingale) $x_t$ are continuous if and only if for $h\downarrow 0$ $$\int_0^{c-h}{\mathbf P\left\{{x_t<a,x_{t+h}>b}\right\}\,dt=o(h),}$$ $$\int_0^{c-h}{\mathbf P\left
\{{x_t>b,x_{t+h}< a}\right\}\,dt=o(h)}$$ for each $a$ and $b$, $a<b$.
Received: 29.03.1959
Citation:
L. V. Seregin, “Continuity Conditions for Stochastic Processes”, Teor. Veroyatnost. i Primenen., 6:1 (1961), 3–30; Theory Probab. Appl., 6:1 (1961), 1–26
Linking options:
https://www.mathnet.ru/eng/tvp4745 https://www.mathnet.ru/eng/tvp/v6/i1/p3
|
Statistics & downloads: |
Abstract page: | 107 | Full-text PDF : | 59 |
|