Markov kernels, convolution semigroups, and projective families of probability measures
1 Transition kernels
For a measurable space , we denote by the set of functions that are measurable. It can be proved that if is a function such that (i) implies that , (ii) if and then , and (iii) if is a sequence in that increases pointwise to an element of then increases to , then there a unique measure on such that for each .11 1 Erhan Çinlar, Probability and Stochastics, p. 28, Theorem 4.21.
Let and be a measurable space. A transition kernel is a function
such that (i) for each , the function defined by
is a measure on , and (ii) for each , the map
is measurable .
If is a measure on , define
If are pairwise disjoint elements of , then using that is a measure and the monotone convergence theorem,
showing that is a measure on .
If , define by
(1) |
For with and , because is measurable for each ,
is measurable . For , there is a sequence of simple functions with that converges pointwise to ,22 2 Gerald B. Folland, Real Analysis: Modern Techniques and Their Applications, second ed., p. 47, Theorem 2.10. and then by the monotone convergence theorem, for each we have
showing converges pointwise to , and because each is measurable , is measurable .33 3 Gerald B. Folland, Real Analysis: Modern Techniques and Their Applications, second ed., p. 45, Proposition 2.7. Therefore, if then . In particular, if is a transition kernel from to ,
(2) |
The following gives conditions under which (2) defines a transition kernel.44 4 Heinz Bauer, Probability Theory, p. 308, Lemma 36.2.
Lemma 1.
Suppose that satisfies the following properties:
-
1.
.
-
2.
for and .
-
3.
If is a sequence in increasing to , then .
Then
is a transition kernel from to . is the unique transition kernel satisfying
If is a transition kernel from to and is a transition kernel from to , the function satisfies (i) , (ii) if and ,
and (iii) if in , then by the monotone convergence theorem, , and then again applying the monotone convergence theorem, , i.e.
Therefore, from Lemma 1 we get that there is a unique transition kernel from to , denoted and called the product of and , such that
For and ,
In particular, for ,
(3) |
2 Markov kernels
A Markov kernel from to is a transition kernel such that for each , is a probability measure on . The unit kernel from to is
(4) |
It is apparent that the unit kernel is a Markov kernel.
If is a Markov kernel from to and is a Markov kernel from to , then for , by (3) we have
and thus by (2),
showing that for each , is a probability measure. Therefore, the product of two Markov kernels is a Markov kernel.
Let be a measurable space and let
be the set of bounded functions that are measurable . is a Banach space with the uniform norm
For a Markov kernel from to and for , define by
for which
showing that . Furthermore, there is a sequence of simple functions that converges to in the norm .55 5 V. I. Bogachev, Measure Theory, p. 108, Lemma 2.1.8. For , by the dominated convergence theorem we get that
Each is measurable , hence is measurable and so belongs to .
3 Markov semigroups
4 Infinitely divisible distributions
Let be the collection of Borel probability measures on . For , its characteristic function is defined by
is uniformly continuous on and for all .66 6 Heinz Bauer, Probability Theory, p. 183, Theorem 22.3. For , let be their convolution:
which for a Borel set in is defined by
One computes that77 7 Heinz Bauer, Probability Theory, p. 184, Theorem 22.4.
An element of is called infinitely divisible if for each , there is some such that
(6) |
Thus,
(7) |
On the other hand, if is such that (7) is true, then because the characteristic function of is and the characteristic function of is and these are equal, it follows that and are equal.
The following theorem is useful for doing calculations with the characteristic function of an infinitely divisible distribution.88 8 Heinz Bauer, Probability Theory, p. 246, Theorem 29.2.
Theorem 2.
Suppose that is an infinitely divisible distribution on . First,
Second, there is a unqiue continuous function satisfying and
Third, for each , there is a unique for which . The characteristic function of this unique is
A convolution semigroup is a family of elements of such that for ,
The convolution semigroup is called continuous when is continuous , where has the narrow topology.
The following theorem connects convolution semigroups and infinitely divisible distributions.99 9 Heinz Bauer, Probability Theory, p. 248, Theorem 29.6.
Theorem 3.
If is a convolution semigroup on , then for each , the measure is infinitely divisible.
If is infinitely divisible and , then there is a unique continuous convolution semigroup such that .
It follows from the above theorem that for a convolution semigroup on , is infinitely divisible and therefore by Theorem 2, for all . But , so , and for each . But for all , so
(8) |
5 Translation-invariant semigroups
Let be a Markov semigroup on . We say that is translation-invariant if for all , , and ,
In this case, for and for , define
Each is a probability measure on , and
Using that the Chapman-Kolmogorov equation (5) and as ,
showing that is a convolution semigroup on .
On the other hand, if is a convolution semigroup of probability measures on , for , , and define
Let . For , the map is a probability measure on . The map is continuous , and for , the map is measurable . Hence, as , the map is measurable . Thus by Fubini’s theorem,
is measurable . Hence is a Markov kernel, and thus is a translation-invariant Markov semigroup.
Define by . For ,
thus
(9) |
For , write
i.e.,
We calculate
Then if is a simple function, ,
For , there is a sequence of simple functions that converge to in the uniform norm, and then by the dominated convergence theorem we get
But
Therefore for and ,
(10) |
For and , by (10), the fact that is a convolution semigroup, and (9), we get
This shows that is a Markov semigroup. Moreover, by (8) it holds that , and hence
Namely, is the unit kernel (4).
If is a convolution semigroup and some has density with respect to Lebesgue measure on ,
then writing , for by (10) we have
so
(11) |
6 The Brownian semigroup
For and , let be the Gaussian measure on , the probability measure on whose density with respect to Lebesgue measure is
For , let
Define for ,
which is an element of . For , we calculate
Lévy’s continuity theorem states that if is a sequence in and there is some that is continuous at and to which converges pointwise, then there is some such that and such that narrowly. But for and , we calculate
(12) |
Let for all , for which . For tending to , let . Then by (12), converges pointwise to , so by Lévy’s continuity theorem, converges narrowly to . Moreover, because is a Polish space, is a Polish space, and in particular is metrizable. It thus follows that converges narrowly to as . It then follows that is continuous . Summarizing, is a continuous convolution semigroup.
For , has density
with respect to Lebesgue measure on . For , let
We have established that is a translation-invariant Markov semigroup for which . We call the Brownian semigroup. For and , because we have by (11),
7 Projective families
For a nonempty set , let denote the family of finite nonempty subsets of . We speak in this section about projective families of probability measures.
The following theorem shows how to construct a projective family from a Markov semigroup on a measurable space and a probability measure on this measurable space.1010 10 Heinz Bauer, Probability Theory, p. 314, Theorem 36.4.
Theorem 4.
Let , let be a measurable space, let be a Markov semigroup on , and let be a probability measure on . For , with elements , and for , let
Then is a projective family of probability measures.
Proof.
Let be pairwise disjoint elements of , and call their union . Then , and applying the monotone convergence theorem times,
i.e.
Furthermore, because is a probability measure for each and for each and is a probability measure, we calculate that
Thus, is a probability measure on .
To prove that is a projective family, it suffices to prove that when , , and is a singleton, then . Moreover, because (i) the product -algebra is generated by the collection of cylinder sets, i.e. sets of the form for , and (ii) the intersection of finitely many cylinder sets is a cylinder sets, it is proved using the monotone class theorem that if two probability measures on coincide on the cylinder sets, then they are equal.1111 11 V. I. Bogachev, Measure Theory, volume I, p. 35, Lemma 1.9.4. Let be the elements of . To prove that and are equal, it suffices to prove that for any ,
Moreover, for ,
thus
Let . Either , or , or there is some for which . Take the case . Then
where and for . Then
for
By (1) and because is a Markov semigroup,
Thus
This shows that the claim is true in the case . ∎
Thus, if is a Polish space with Borel -algebra , let , let be a Markov semigroup on , and let be a probability measure on . The above theorem tells us that is a projective family, and then the Kolmogorov extension theorem tells us that there is a probability measure1212 12 We write to indicate that this measure involves ; it also involves the Markov semigroup, which we do not indicate. on such that for any , . This implies that there is a stochastic process whose finite-dimensional distributions are equal to the probability measures defined in Theorem 4 using the Markov semigroup and the probability measure .