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Hunt process

In probability theory, a Hunt process is a type of Markov process, named for mathematician Gilbert A. Hunt who first defined them in 1957. Hunt processes were important in the study of probabilistic potential theory until they were superseded by right processes in the 1970s.

History

Background

In the 1930-50s the work of mathematicians such as Joseph Doob, William Feller, Mark Kac, and Shizuo Kakutani developed connections between Markov processes and potential theory.[1]

In 1957-8 Gilbert A. Hunt published a triplet of papers[2][3][4] which deepened that connection. The impact of these papers on the probabilist community of the time was significant. Joseph Doob said that "Hunt’s great papers on the potential theory generated by Markov transition functions revolutionized potential theory."[5] Ronald Getoor described them as "a monumental work of nearly 170 pages that contained an enormous amount of truly original mathematics."[6] Gustave Choquet wrote that Hunt's papers were "fundamental memoirs which were renewing at the same time potential theory and the theory of Markov processes by establishing a precise link, in a very general framework, between an important class of Markov processes and the class of kernels in potential theory which French probabilists had just been studying."[7]

One of Hunt's contributions was to group together several properties that a Markov process should have in order to be studied via potential theory, which he called "hypothesis (A)". A stochastic process satisfies hypothesis (A) if the following three assumptions hold:[2]

First assumption: is a Markov process on a Polish space with càdlàg paths.
Second assumption: satisfies the strong Markov property.
Third assumption: is quasi-left continuous on .

Processes satisfying hypothesis (A) soon became known as Hunt processes. If the third assumption is slightly weakened so that quasi-left continuity holds only on the lifetime of , then is called a "standard process", a term that was introduced by Eugene Dynkin.[8][9]

Rise and fall

The book "Markov Processes and Potential Theory"[10] (1968) by Blumenthal and Getoor codified standard and Hunt processes as the archetypal Markov processes.[11] Over the next few years probabilistic potential theory was concerned almost exclusively with these processes.

Of the three assumptions contained in Hunt's hypothesis (A), the most restrictive is quasi-left continuity. Getoor and Glover write: "In proving many of his results, Hunt assumed certain additional regularity hypotheses about his processes. ... It slowly became clear that it was necessary to remove many of these regularity hypotheses in order to advance the theory."[12] Already in the 1960s attempts were being made to assume quasi-left continuity only when necessary.[13]

In 1970, Chung-Tuo Shih extended two of Hunt's fundamental results,[a] completely removing the need for left limits (and thus also quasi-left continuity).[14] This led to the definition of right processes as the new class of Markov processes for which potential theory could work.[15] Already in 1975, Getoor wrote that Hunt processes were "mainly of historical interest".[16] By the time that Michael Sharpe published his book "General Theory of Markov Processes" in 1988, Hunt and standard processes were considered obsolete in probabilistic potential theory.[15]

Hunt processes are still studied by mathematicians, most often in relation to Dirichlet forms.[17][18][19]

Definition

Brief definition

A Hunt process is a strong Markov process on a Polish space that is càdlàg and quasi-left continuous; that is, if is an increasing sequence of stopping times with limit , then

Verbose definition

Let be a Radon space and the -algebra of universally measurable subsets of , and let be a Markov semigroup on that preserves . A Hunt process is a collection satisfying the following conditions:[20]

(i) is a filtered measurable space, and each is a probability measure on .
(ii) For every , is an -valued stochastic process on , and is adapted to .
(iii) (normality) For every , .
(iv) (Markov property) For every , and for all , .
(v) is a collection of maps such that for each , and
(vi) is augmented and right continuous.
(vii) (right-continuity) For every , every , and every -excessive (with respect to ) function , the map is almost surely right continuous under .
(viii) (quasi-left continuity) For every , if is an increasing sequence of stopping times with limit , then .

Sharpe[20] shows in Lemma 2.6 that conditions (i)-(v) imply measurability of the map for all , and in Theorem 7.4 that (vi)-(vii) imply the strong Markov property with respect to .

Connection to other Markov processes

The following inclusions hold among various classes of Markov process:[21][22]

{Lévy} {Itô} {Feller} {Hunt} {special standard} {standard} {right} {strong Markov}

Time-changed Itô processes

In 1980 Çinlar et al.[23] proved that any real-valued Hunt process is semimartingale if and only if it is a random time-change of an Itô process. More precisely,[24] a Hunt process on (equipped with the Borel -algebra) is a semimartingale if and only if there is an Itô process and a measurable function with such that , where Itô processes were first named due to their role in this theorem,[25] though Itô had previously studied them.[26]

See also

Notes

  1. ^ These are Propositions 2.1 and 2.2 of "Markoff Processes and Potentials I". Blumenthal and Getoor had previously extended these from Hunt processes to standard processes in Theorem III.6.1 of their 1968 book.

References

  1. ^ Blumenthal, Getoor (1968), vii
  2. ^ a b Hunt, G.A. (1957). "Markoff Processes and Potentials I.". Illinois J. Math. 1: 44–93.
  3. ^ Hunt, G.A. (1957). "Markoff Processes and Potentials II". Illinois J. Math. 1: 313–369.
  4. ^ Hunt, G.A. (1958). "Markoff Processes and Potentials III". Illinois J. Math. 2: 151–213.
  5. ^ Snell, J. Laurie (1997). "A Conversation with Joe Doob" (PDF). Statistical Science. 12 (4): 301–311. doi:10.1214/ss/1030037961.
  6. ^ Getoor, Ronald (1980). "Review: Probabilities and potential, by C. Dellacherie and P. A. Meyer". Bull. Amer. Math. Soc. (N.S.). 2 (3): 510–514. doi:10.1090/s0273-0979-1980-14787-4.
  7. ^ As quoted by Marc Yor in Yor, Marc (2006). "The Life and Scientific Work of Paul André Meyer (August 21st, 1934 - January 30th, 2003) "Un modèle pour nous tous"". Memoriam Paul-André Meyer. Lecture Notes in Mathematics. Vol. 1874. doi:10.1007/978-3-540-35513-7_2.
  8. ^ Blumenthal, Getoor (1968), 296
  9. ^ Dynkin, E.B. (1960). "Transformations of Markov Processes Connected with Additive Functionals" (PDF). Berkeley Symp. on Math. Statist. and Prob. 4 (2): 117–142.
  10. ^ Blumenthal, Robert K.; Getoor, Ronald K. (1968). Markov Processes and Potential Theory. New York: Academic Press.
  11. ^ "Ever since the publication of the book by Blumenthal and Getoor, standard processes have been the central class of Markov processes in probabilistic potential theory", p277, Chung, Kai Lai; Walsh, John B. (2005). Markov Processes, Brownian Motion, and Time Symmetry. Grundlehren der mathematischen Wissenschaften. New York, NY: Springer. doi:10.1007/0-387-28696-9. ISBN 978-0-387-22026-0.
  12. ^ Getoor, R.K.; Glover, J. (September 1984). "Riesz decompositions in Markov process theory". Transactions of the American Mathematical Society. 285 (1): 107–132.
  13. ^ Chung, K.L.; Walsh, John B. (1969), "To reverse a Markov process", Acta Mathematica, 123: 225–251, doi:10.1007/BF02392389
  14. ^ Shih, Chung-Tuo (1970). "On extending potential theory to all strong Markov processes". Ann. Inst. Fourier (Grenoble). 20 (1): 303–415. doi:10.5802/aif.343.
  15. ^ a b Meyer, Paul André (1989). "Review: "General theory of Markov processes" by Michael Sharpe". Bull. Amer. Math. Soc. (N.S.). 20 (21): 292–296. doi:10.1090/S0273-0979-1989-15833-3.
  16. ^ p56, Getoor, Ronald K. (1975). Markov Processes: Ray Processes and Knight Processes. Lecture Notes in Mathematics. Berlin, Heidelberg: Springer. ISBN 978-3-540-07140-2.
  17. ^ Fukushima, Masatoshi; Oshima, Yoichi; Takeda, Masayoshi (1994). Dirichlet Forms and Symmetric Markov Processes. De Gruyter. doi:10.1515/9783110889741.
  18. ^ Applebaum, David (2009), Lévy Processes and Stochastic Calculus, Cambridge Studies in Advanced Mathematics, Cambridge University Press, p. 196, ISBN 9780521738651
  19. ^ Krupka, Demeter (2000), Introduction to Global Variational Geometry, North-Holland Mathematical Library, vol. 23, Elsevier, pp. 87ff, ISBN 9780080954295
  20. ^ a b Sharpe, Michael (1988). General Theory of Markov Processes. Academic Press, San Diego. ISBN 0-12-639060-6.
  21. ^ p55, Getoor, Ronald K. (1975). Markov Processes: Ray Processes and Knight Processes. Lecture Notes in Mathematics. Berlin, Heidelberg: Springer. ISBN 978-3-540-07140-2.
  22. ^ p515, Çinlar, Erhan (2011). Probability and Stochastics. Graduate Texts in Mathematics. New York, NY: Springer. ISBN 978-0-387-87858-4.
  23. ^ Çinlar, E.; Jacod, J.; Protter, P.; Sharpe, M.J. (1980). "Semimartingales and Markov processes". Z. Wahrscheinlichkeitstheorie verw. Gebiete. 54 (2): 161–219. doi:10.1007/BF00531446.
  24. ^ Theorem 3.35, Çinlar, E.; Jacod, J. (1981). "Representation of Semimartingale Markov Processes in Terms of Wiener Processes and Poisson Random Measures". Seminar on Stochastic Processes, 1981. pp. 159–242. doi:10.1007/978-1-4612-3938-3_8.
  25. ^ p164-5, "Thus, the processes whose extended generators have the form (1.1) are of central importance among semimartingale Markov processes, and deserve a name of their own. We call them Itô processes." Çinlar, E.; Jacod, J.; Protter, P.; Sharpe, M.J. (1980). "Semimartingales and Markov processes". Z. Wahrscheinlichkeitstheorie verw. Gebiete. 54 (2): 161–219. doi:10.1007/BF00531446.
  26. ^ Itô, Kiyosi (1951). On stochastic differential equations. Memoirs of the American Mathematical Society. American Mathematical Society. doi:10.1090/memo/0004. ISBN 978-0-8218-1204-4.

Sources

  • Blumenthal, Robert M. and Getoor, Ronald K. "Markov Processes and Potential Theory". Academic Press, New York, 1968.
  • Hunt, G. A. "Markoff Processes and Potentials. I, II, III.", Illinois J. Math. 1 (1957) 44–93; 1 (1957), 313–369; 2 (1958), 151–213.
Quelle: http://en.wikipedia.org/wiki/Hunt_process