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Stochastic Process 14

From Hao Zhang’s Lecture 14

From last time

  • Markov property:

  \(A: \text{ past } \quad B: \text{ Now } \quad C: \text{ Future }\)

\[P(C \vert BA) = P(C \vert B) \iff P(CA \vert B) = P(C \vert B) P(A \vert B)\]

We discuss Distrete time, discrete states random process

\[\{X_n\}_{n=0}^{\infty}, \quad X_k \in S = \{x_1, x_2, \dots \} \text{ (finite or countably infinite) }\]

Markov property assumes

\[P(X_n = x_n \vert X_{n-1} = x_{n-1}, \dots, X_0 = x_0) = P(X_{n}=x_n \vert X_{n-1}=x_{n-1})\]

then

\[\begin{align} &P(X_n=x_n, \dots, X_0=x_0) = P(X_n=x_n \vert X_{n-1}=x_{n-1}, \dots, X_0=x_0) P(X_{n-1}=x_{n-1}, \dots, X_0=x_0)\\ =& P(X_n=x_n \vert X_{n-1}=x_{n-1}, \dots, X_0=x_0) P(X_{n-1}=x_{n-1} \vert X_{n-2}=x_{n-2}, \dots, X_0=x_{0}) P(X_{n-2}=x_{n-1}, \dots, X_0=x_0)\\ =& \Big( \prod_{k=1}^n P(X_k=x_k \vert X_{k-1}=x_{k-1}, \dots, X_0=x_0) \Big) P(X_0 = x_0)\\ =& \Big(\prod_{k=1}^n P(X_k = x_k \vert X_{k-1} = x_{k-1})\Big) P(X_0=x_0) \end{align}\]

The transition probability \(P(X_n = x_n \vert X_{n-1} = X_{n-1})\) is important, more general, for \(n > m\)

\[P(X_n = x_n \vert X_m = x_{m}) = P(X_n = j \vert X_m = i) = P_{ij}(n, m)\]

It can be understood as, transit from state \(i\) to \(j\), from time \(m\) to time \(n\).

Stationary Assumption

We assume \(\forall n > m \ge 0\)

\[P_{i,j}(n,m) = P_{i,j}(n-m)\]

Chapman-Kolmogorov Equation (C-K)

\[\forall m < n, \quad P_{ij}(n) = \sum_{k} P_{ik}(m)P_{kj}(n-m)\]

Proof:

\[\begin{align} P_{ij}(n) &= P(X_n = j \vert X_0 = i)\\ &= \sum_{k} P(X_n = j, X_m = k \vert X_0 = i)\\ &= \sum_{k} P(X_n = j \vert X_m = k, X_0 = i) P(X_m=k \vert X_0 = i)\\ &= \sum_{k} P(X_n = j \vert X_m = k) P(X_m = k \vert X_0 = i)\\ &= \sum_{k} P_{kj}(n-m) P_{ik}(m) \end{align}\]

Matrix Form

\[P(n) = P(m)P(n-m) = (P(1))^n\]

To diagnolize such general matrix, we need to use Jordan canonical form.

Qualitative Understanding

  • Reachable: \(i \to j: \quad \exists n, P_{ij}(n) > 0\).

  • Commutatable: \(i \leftrightarrow j \quad \iff \quad i \to j, j \to i\)

  • Closed Set: let \(S\) be the set of all states. \(C \subseteq S\) is closed set \(\iff\) \(i \in C, j \not\in C \implies i \not\to j\).

After it goes into \(C\), it will never left \(C\). Recude \(S\) to \(C\) is called reduction. It is a complete Markov chain in \(C\). However, it is possible for \(S\) to have several non-overlaping closed sets.

  • Irreducible \(S\): no closed true subsets.

Theorem: Irreducible \(\iff \forall i, j, i \leftrightarrow j\).

  \(\Leftarrow\) is trival.

To prove \(\implies\). We define \(\forall i, A_i = \{j: i \to j\}\). First we prove \(A_i\) is closed. If this is true, for irreducible \(S\), we know any \(A_i\) should be \(S\), thus any two states are commutatable.

If \(A_i\) is not closed, then \(\exists j \in A_i, k \not\in A_i\) such that \(j \to k\). Then we know \(i \to j, j \to k\), thus \(i \to k\), thus \(k \in A_i\), we have the contracdiction.

\[P(1) = \begin{pmatrix} P_{11} & \dots & P_{1n}\\ \dots & \dots & \dots\\ P_{n1} & \dots & p_{nn} \end{pmatrix}\]

If it is reductable, we can convert \(P(1)\) by interchange rows and columns (by label states by different numbers)

\[\to \begin{pmatrix} A & B\\ 0 & C \end{pmatrix}\] \[P(1)^n = \begin{pmatrix} * & *\\ 0 & C^n \end{pmatrix}\]

Then similarly, \(C\) may be convert to the form if \(C\) is reductable.

Currently people didn’t have easy ways to determine if \(P\) is reductable or not, we need to traverse all the possible interchanging.

First Passage

  • First passage: \(f_{ij}(n) = P(X_n=j, X_{n-1}\ne j, X_{n-2}\ne j, \dots, X_1\ne j \vert X_0 = i)\)

We have

\[P_{ij}(n) = \sum_{k=1}^n f_{ij}(k) P_{jj}(n-k)\]

To prove it we first define first passage time: \(T = \min_{r} \{X_r = j \vert X_0 = i\}\). \(T = k\) means \(\{X_k=j, X_{k-1} \ne j, \dots X_{1} \ne j \vert X_0=i\}\).

\[\begin{align} P_{ij}(n) &= P(X_n=j \vert X_0 = i)\\ &= \sum_{k=1}^{n} P(X_n=j, T=k \vert X_0=i)\\ &= \sum_{k=1}^{n} P(X_n=j \vert T=k, X_0=i) P(T=k \vert X_0=i)\\ &= \sum_{k=1}^{n} P(X_n=j \vert X_k=j, X_{k-1} \ne j, \dots, X_{1} \ne j , X_0 = i) P(X_k=j, X_{k-1}\ne j, \dots, X_{1}\ne j \vert X_0 = i)\\ &= \sum_{k=1}^n P(X_n=j \vert X_k = j) f_{ij}(k)\\ &= \sum_{k=1}^n f_{ij}(k)P_{jj}(n-k) \end{align}\]
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