Steps of a Markov chain subordinated to a Poisson process
$begingroup$
Let
$(Omega,mathcal A,operatorname P)$ be a probability space
$left(Y^{(n)}_kright)_{kinmathbb N_0}$ be a time-homogeneous Markov chain on $(Omega,mathcal A,operatorname P)$
- $D([0,1]):=left{f:[0,1]tomathbb Rmid ftext{ is càdlàg and left-continuous at }1right}$
$X^{(n)}$ be a $D([0,1])$-valued random variable on $(Omega,mathcal A,operatorname P)$ with $$X^{(n)}_t=Y^{(n)}_{lfloor ntrfloor};;;text{for all }tin[0,1)$$
$(N_t)_{tge0}$ be a Poisson process on $(Omega,mathcal A,operatorname P)$ with intensity $1$ independent of $Y^{(n)}$ for all $ninmathbb N$ and $$Z^{(n)}_t:=begin{cases}Y^{(n)}_{N_{nt}}&text{for }tin[0,1)\ Z^{(n)}_{1-}end{cases}$$
I've read that first $(n-1)wedge N_{n-}$ steps of $X^{(n)}$ and $Z^{(n)}$ coincide, but appear at different times ($frac kn$ vs the $k$th jump time of $left(N_{nt}right)_{tge0}$). What's exactly meant and how can we prove it rigorously?
I've got a vague intuition what's meant: Assuming that $N$ is right-continuous (in practice, we can always find a right-continuous modification), $N$ is almost surely nondecreasing and makes almost surely jumps of size $1$. So, $tmapsto N_{nt}$ somehow behaves like $tmapstolfloor ntrfloor$, but the time-scale is stretched. How can we formulate this rigorously?
What's confusing me most is that it's written that only the first $(n-1)wedge N_{n-}$ steps coincide. Where does the $N_{n-}=lim_{tto n-}N_t$ come from? Shouldn't the first $n-1$ steps coincide?
probability-theory stochastic-processes markov-chains markov-process poisson-process
$endgroup$
add a comment |
$begingroup$
Let
$(Omega,mathcal A,operatorname P)$ be a probability space
$left(Y^{(n)}_kright)_{kinmathbb N_0}$ be a time-homogeneous Markov chain on $(Omega,mathcal A,operatorname P)$
- $D([0,1]):=left{f:[0,1]tomathbb Rmid ftext{ is càdlàg and left-continuous at }1right}$
$X^{(n)}$ be a $D([0,1])$-valued random variable on $(Omega,mathcal A,operatorname P)$ with $$X^{(n)}_t=Y^{(n)}_{lfloor ntrfloor};;;text{for all }tin[0,1)$$
$(N_t)_{tge0}$ be a Poisson process on $(Omega,mathcal A,operatorname P)$ with intensity $1$ independent of $Y^{(n)}$ for all $ninmathbb N$ and $$Z^{(n)}_t:=begin{cases}Y^{(n)}_{N_{nt}}&text{for }tin[0,1)\ Z^{(n)}_{1-}end{cases}$$
I've read that first $(n-1)wedge N_{n-}$ steps of $X^{(n)}$ and $Z^{(n)}$ coincide, but appear at different times ($frac kn$ vs the $k$th jump time of $left(N_{nt}right)_{tge0}$). What's exactly meant and how can we prove it rigorously?
I've got a vague intuition what's meant: Assuming that $N$ is right-continuous (in practice, we can always find a right-continuous modification), $N$ is almost surely nondecreasing and makes almost surely jumps of size $1$. So, $tmapsto N_{nt}$ somehow behaves like $tmapstolfloor ntrfloor$, but the time-scale is stretched. How can we formulate this rigorously?
What's confusing me most is that it's written that only the first $(n-1)wedge N_{n-}$ steps coincide. Where does the $N_{n-}=lim_{tto n-}N_t$ come from? Shouldn't the first $n-1$ steps coincide?
probability-theory stochastic-processes markov-chains markov-process poisson-process
$endgroup$
add a comment |
$begingroup$
Let
$(Omega,mathcal A,operatorname P)$ be a probability space
$left(Y^{(n)}_kright)_{kinmathbb N_0}$ be a time-homogeneous Markov chain on $(Omega,mathcal A,operatorname P)$
- $D([0,1]):=left{f:[0,1]tomathbb Rmid ftext{ is càdlàg and left-continuous at }1right}$
$X^{(n)}$ be a $D([0,1])$-valued random variable on $(Omega,mathcal A,operatorname P)$ with $$X^{(n)}_t=Y^{(n)}_{lfloor ntrfloor};;;text{for all }tin[0,1)$$
$(N_t)_{tge0}$ be a Poisson process on $(Omega,mathcal A,operatorname P)$ with intensity $1$ independent of $Y^{(n)}$ for all $ninmathbb N$ and $$Z^{(n)}_t:=begin{cases}Y^{(n)}_{N_{nt}}&text{for }tin[0,1)\ Z^{(n)}_{1-}end{cases}$$
I've read that first $(n-1)wedge N_{n-}$ steps of $X^{(n)}$ and $Z^{(n)}$ coincide, but appear at different times ($frac kn$ vs the $k$th jump time of $left(N_{nt}right)_{tge0}$). What's exactly meant and how can we prove it rigorously?
I've got a vague intuition what's meant: Assuming that $N$ is right-continuous (in practice, we can always find a right-continuous modification), $N$ is almost surely nondecreasing and makes almost surely jumps of size $1$. So, $tmapsto N_{nt}$ somehow behaves like $tmapstolfloor ntrfloor$, but the time-scale is stretched. How can we formulate this rigorously?
What's confusing me most is that it's written that only the first $(n-1)wedge N_{n-}$ steps coincide. Where does the $N_{n-}=lim_{tto n-}N_t$ come from? Shouldn't the first $n-1$ steps coincide?
probability-theory stochastic-processes markov-chains markov-process poisson-process
$endgroup$
Let
$(Omega,mathcal A,operatorname P)$ be a probability space
$left(Y^{(n)}_kright)_{kinmathbb N_0}$ be a time-homogeneous Markov chain on $(Omega,mathcal A,operatorname P)$
- $D([0,1]):=left{f:[0,1]tomathbb Rmid ftext{ is càdlàg and left-continuous at }1right}$
$X^{(n)}$ be a $D([0,1])$-valued random variable on $(Omega,mathcal A,operatorname P)$ with $$X^{(n)}_t=Y^{(n)}_{lfloor ntrfloor};;;text{for all }tin[0,1)$$
$(N_t)_{tge0}$ be a Poisson process on $(Omega,mathcal A,operatorname P)$ with intensity $1$ independent of $Y^{(n)}$ for all $ninmathbb N$ and $$Z^{(n)}_t:=begin{cases}Y^{(n)}_{N_{nt}}&text{for }tin[0,1)\ Z^{(n)}_{1-}end{cases}$$
I've read that first $(n-1)wedge N_{n-}$ steps of $X^{(n)}$ and $Z^{(n)}$ coincide, but appear at different times ($frac kn$ vs the $k$th jump time of $left(N_{nt}right)_{tge0}$). What's exactly meant and how can we prove it rigorously?
I've got a vague intuition what's meant: Assuming that $N$ is right-continuous (in practice, we can always find a right-continuous modification), $N$ is almost surely nondecreasing and makes almost surely jumps of size $1$. So, $tmapsto N_{nt}$ somehow behaves like $tmapstolfloor ntrfloor$, but the time-scale is stretched. How can we formulate this rigorously?
What's confusing me most is that it's written that only the first $(n-1)wedge N_{n-}$ steps coincide. Where does the $N_{n-}=lim_{tto n-}N_t$ come from? Shouldn't the first $n-1$ steps coincide?
probability-theory stochastic-processes markov-chains markov-process poisson-process
probability-theory stochastic-processes markov-chains markov-process poisson-process
edited Dec 4 '18 at 20:14
0xbadf00d
asked Dec 4 '18 at 18:00
0xbadf00d0xbadf00d
1,92241430
1,92241430
add a comment |
add a comment |
1 Answer
1
active
oldest
votes
$begingroup$
It's easy to see that $$X^{(n)}_{[0,:1)}=left{Y^{(n)}_0,ldots,Y^{(n)}_{n-1}right}$$ and $$Z^{(n)}_{[0,:1)}=left{Y^{(n)}_0,ldots,Y^{(n)}_{N_{n-}}right}$$ for all $ninmathbb N$. In order to make these processes coincide, we can apply a random time change $$lambda^{(n)}_t:=sum_{k=0}^infty 1_{left[frac kn,:frac{k+1}nright)}(t)left(tau^{(n)}_k+(nt-k)left(tau^{(n)}_{k+1}-tau^{(n)}_kright)right);;;text{for }tge0$$ with $tau_0:=0$, $$tau_k:=infleft{t>tau_{k-1}:Delta N_t=1right};;;text{for }kinmathbb N$$ and $$tau^{(n)}_k:=frac{tau_k}n;;;text{for }kinmathbb N$$ for $ninmathbb N$.
$endgroup$
add a comment |
Your Answer
StackExchange.ifUsing("editor", function () {
return StackExchange.using("mathjaxEditing", function () {
StackExchange.MarkdownEditor.creationCallbacks.add(function (editor, postfix) {
StackExchange.mathjaxEditing.prepareWmdForMathJax(editor, postfix, [["$", "$"], ["\\(","\\)"]]);
});
});
}, "mathjax-editing");
StackExchange.ready(function() {
var channelOptions = {
tags: "".split(" "),
id: "69"
};
initTagRenderer("".split(" "), "".split(" "), channelOptions);
StackExchange.using("externalEditor", function() {
// Have to fire editor after snippets, if snippets enabled
if (StackExchange.settings.snippets.snippetsEnabled) {
StackExchange.using("snippets", function() {
createEditor();
});
}
else {
createEditor();
}
});
function createEditor() {
StackExchange.prepareEditor({
heartbeatType: 'answer',
autoActivateHeartbeat: false,
convertImagesToLinks: true,
noModals: true,
showLowRepImageUploadWarning: true,
reputationToPostImages: 10,
bindNavPrevention: true,
postfix: "",
imageUploader: {
brandingHtml: "Powered by u003ca class="icon-imgur-white" href="https://imgur.com/"u003eu003c/au003e",
contentPolicyHtml: "User contributions licensed under u003ca href="https://creativecommons.org/licenses/by-sa/3.0/"u003ecc by-sa 3.0 with attribution requiredu003c/au003e u003ca href="https://stackoverflow.com/legal/content-policy"u003e(content policy)u003c/au003e",
allowUrls: true
},
noCode: true, onDemand: true,
discardSelector: ".discard-answer"
,immediatelyShowMarkdownHelp:true
});
}
});
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f3025905%2fsteps-of-a-markov-chain-subordinated-to-a-poisson-process%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
1 Answer
1
active
oldest
votes
1 Answer
1
active
oldest
votes
active
oldest
votes
active
oldest
votes
$begingroup$
It's easy to see that $$X^{(n)}_{[0,:1)}=left{Y^{(n)}_0,ldots,Y^{(n)}_{n-1}right}$$ and $$Z^{(n)}_{[0,:1)}=left{Y^{(n)}_0,ldots,Y^{(n)}_{N_{n-}}right}$$ for all $ninmathbb N$. In order to make these processes coincide, we can apply a random time change $$lambda^{(n)}_t:=sum_{k=0}^infty 1_{left[frac kn,:frac{k+1}nright)}(t)left(tau^{(n)}_k+(nt-k)left(tau^{(n)}_{k+1}-tau^{(n)}_kright)right);;;text{for }tge0$$ with $tau_0:=0$, $$tau_k:=infleft{t>tau_{k-1}:Delta N_t=1right};;;text{for }kinmathbb N$$ and $$tau^{(n)}_k:=frac{tau_k}n;;;text{for }kinmathbb N$$ for $ninmathbb N$.
$endgroup$
add a comment |
$begingroup$
It's easy to see that $$X^{(n)}_{[0,:1)}=left{Y^{(n)}_0,ldots,Y^{(n)}_{n-1}right}$$ and $$Z^{(n)}_{[0,:1)}=left{Y^{(n)}_0,ldots,Y^{(n)}_{N_{n-}}right}$$ for all $ninmathbb N$. In order to make these processes coincide, we can apply a random time change $$lambda^{(n)}_t:=sum_{k=0}^infty 1_{left[frac kn,:frac{k+1}nright)}(t)left(tau^{(n)}_k+(nt-k)left(tau^{(n)}_{k+1}-tau^{(n)}_kright)right);;;text{for }tge0$$ with $tau_0:=0$, $$tau_k:=infleft{t>tau_{k-1}:Delta N_t=1right};;;text{for }kinmathbb N$$ and $$tau^{(n)}_k:=frac{tau_k}n;;;text{for }kinmathbb N$$ for $ninmathbb N$.
$endgroup$
add a comment |
$begingroup$
It's easy to see that $$X^{(n)}_{[0,:1)}=left{Y^{(n)}_0,ldots,Y^{(n)}_{n-1}right}$$ and $$Z^{(n)}_{[0,:1)}=left{Y^{(n)}_0,ldots,Y^{(n)}_{N_{n-}}right}$$ for all $ninmathbb N$. In order to make these processes coincide, we can apply a random time change $$lambda^{(n)}_t:=sum_{k=0}^infty 1_{left[frac kn,:frac{k+1}nright)}(t)left(tau^{(n)}_k+(nt-k)left(tau^{(n)}_{k+1}-tau^{(n)}_kright)right);;;text{for }tge0$$ with $tau_0:=0$, $$tau_k:=infleft{t>tau_{k-1}:Delta N_t=1right};;;text{for }kinmathbb N$$ and $$tau^{(n)}_k:=frac{tau_k}n;;;text{for }kinmathbb N$$ for $ninmathbb N$.
$endgroup$
It's easy to see that $$X^{(n)}_{[0,:1)}=left{Y^{(n)}_0,ldots,Y^{(n)}_{n-1}right}$$ and $$Z^{(n)}_{[0,:1)}=left{Y^{(n)}_0,ldots,Y^{(n)}_{N_{n-}}right}$$ for all $ninmathbb N$. In order to make these processes coincide, we can apply a random time change $$lambda^{(n)}_t:=sum_{k=0}^infty 1_{left[frac kn,:frac{k+1}nright)}(t)left(tau^{(n)}_k+(nt-k)left(tau^{(n)}_{k+1}-tau^{(n)}_kright)right);;;text{for }tge0$$ with $tau_0:=0$, $$tau_k:=infleft{t>tau_{k-1}:Delta N_t=1right};;;text{for }kinmathbb N$$ and $$tau^{(n)}_k:=frac{tau_k}n;;;text{for }kinmathbb N$$ for $ninmathbb N$.
answered Dec 7 '18 at 20:17
0xbadf00d0xbadf00d
1,92241430
1,92241430
add a comment |
add a comment |
Thanks for contributing an answer to Mathematics Stack Exchange!
- Please be sure to answer the question. Provide details and share your research!
But avoid …
- Asking for help, clarification, or responding to other answers.
- Making statements based on opinion; back them up with references or personal experience.
Use MathJax to format equations. MathJax reference.
To learn more, see our tips on writing great answers.
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
StackExchange.ready(
function () {
StackExchange.openid.initPostLogin('.new-post-login', 'https%3a%2f%2fmath.stackexchange.com%2fquestions%2f3025905%2fsteps-of-a-markov-chain-subordinated-to-a-poisson-process%23new-answer', 'question_page');
}
);
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Sign up or log in
StackExchange.ready(function () {
StackExchange.helpers.onClickDraftSave('#login-link');
});
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Sign up using Google
Sign up using Facebook
Sign up using Email and Password
Post as a guest
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown
Required, but never shown