View source for Functional of a Markov process

{{MSC|60Jxx|60J55,60J57}}

[[Category:Markov processes]]

A random variable or random function depending in a measurable way on the trajectory of the Markov process; the condition of measurability varies according to the concrete situation. In the general theory of Markov processes one takes the following definition of a functional. Suppose that a non-stopped homogeneous [[Markov process|Markov process]] <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f0420801.png" /> with time shift operators <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f0420802.png" /> is given on a [[Measurable space|measurable space]] <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f0420803.png" />, let <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f0420804.png" /> be the smallest <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f0420805.png" />-algebra in the space of elementary events containing every event of the form <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f0420806.png" />, where <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f0420807.png" />, <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f0420808.png" />, and let <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f0420809.png" /> be the intersection of all completions of <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208010.png" /> by all possible measures <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208011.png" /> (<img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208012.png" />). A random function <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208013.png" />, <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208014.png" />, is called a functional of the Markov process <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208015.png" /> if, for every <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208016.png" />, <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208017.png" /> is measurable relative to the <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208018.png" />-algebra <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208019.png" />.

Of particular interest are multiplicative and additive functionals of Markov processes. The first of these are distinguished by the condition <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208020.png" />, and the second by the condition <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208021.png" />, <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208022.png" />, where <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208023.png" /> is assumed to be continuous on the right on <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208024.png" /> (on the other hand, it is sometimes appropriate to assume that these conditions are satisfied only <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208025.png" />-almost certainly for all fixed <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208026.png" />). One takes analogous formulations in the case of stopped and inhomogeneous processes. One can obtain examples of additive functionals of a Markov process <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208027.png" /> by setting <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208028.png" /> for <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208029.png" /> equal to <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208030.png" />, or to <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208031.png" />, or to the sum of the jumps of the random function <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208032.png" /> for <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208033.png" />, where <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208034.png" /> is bounded and measurable relative to <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208035.png" /> (the second and third examples are only valid under certain additional restrictions). Passing from any additive functional <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208036.png" /> to <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208037.png" /> provides an example of a multiplicative functional. In the case of a standard Markov process, an interesting and important example of a multiplicative functional is given by the random function that is equal to 1 for <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208038.png" /> and to 0 for <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208039.png" />, where <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208040.png" /> is the first exit moment of <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208041.png" /> from some set <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208042.png" />, that is, <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208043.png" />.

There is a natural transformation of a Markov process — passage to a subprocess — associated with multiplicative functionals, subject to the condition <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208044.png" />. From the transition function <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208045.png" /> of the process <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208046.png" /> one constructs a new one,

<table class="eq" style="width:100%;"> <tr><td valign="top" style="width:94%;text-align:center;"><img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208047.png" /></td> </tr></table>

where it can happen that <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208048.png" /> for certain points <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208049.png" />. The new transition function in <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208050.png" /> corresponds to some Markov process <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208051.png" />, which can be realized together with the original process on one and the same space of elementary events with the same measures <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208052.png" />, <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208053.png" />, and, moreover, such that <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208054.png" />, <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208055.png" /> for <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208056.png" /> and such that the <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208057.png" />-algebra <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208058.png" /> is the trace of <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208059.png" /> in the set <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208060.png" />. The process <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208061.png" /> is called the subprocess of the Markov process <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208062.png" /> obtained as a result of "killing" or shortening the lifetime. The subprocess corresponding to the multiplicative functional in the previous example is called the part of <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208063.png" /> on the set <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208064.png" />; its phase space is naturally taken to be not the whole of <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208065.png" />, but only <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208066.png" />, where <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208067.png" />.

Additive functionals <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208068.png" /> give rise to another type of transformation of Markov processes — a random time change — which reduces to changing the time of traversing the various sections of a trajectory. Suppose, for example, that <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208069.png" /> is a continuous additive functional of a standard Markov process <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208070.png" />, with <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208071.png" /> for <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208072.png" />. Then <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208073.png" /> is a standard Markov process, where <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208074.png" /> for <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208075.png" />. Here one says that <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208076.png" /> is obtained from <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208077.png" /> as a result of the random change <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208078.png" />.

Various classes of additive functionals have been well studied, mainly of standard processes.

====References====
{|
|valign="top"|{{Ref|LS}}|| R.S. Liptser, A.N. Shiryaev, "Statistics of random processes" , '''1–2''' , Springer (1977–1978) (Translated from Russian) {{MR|1800858}} {{MR|1800857}} {{MR|0608221}} {{MR|0488267}} {{MR|0474486}} {{ZBL|1008.62073}} {{ZBL|1008.62072}} {{ZBL|0556.60003}} {{ZBL|0369.60001}} {{ZBL|0364.60004}}
|-
|valign="top"|{{Ref|D}}|| E.B. Dynkin, "Foundations of the theory of Markov processes" , Springer (1961) (Translated from Russian) {{MR|0131898}} {{ZBL|}}
|-
|valign="top"|{{Ref|D2}}|| E.B. Dynkin, "Markov processes" , '''1–2''' , Springer (1965) (Translated from Russian) {{MR|0193671}} {{ZBL|0132.37901}}
|-
|valign="top"|{{Ref|R}}|| D. Revuz, "Mesures associees aux fonctionelles additive de Markov I" ''Trans. Amer. Math. Soc.'' , '''148''' (1970) pp. 501–531
|-
|valign="top"|{{Ref|B}}|| A. Benveniste, "Application de deux théorèmes de G. Mokobodzki à l'étude du noyau de Lévy d'un processus de Hunt sans hypothèse (L)" , ''Lect. notes in math.'' , '''321''' , Springer (1973) pp. 1–24 {{MR|0415781}} {{MR|0415782}} {{ZBL|}}
|}

====Comments====
The trace of an algebra of sets <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208079.png" /> in <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208080.png" /> with respect to a subset <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208081.png" /> is the algebra of sets <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208082.png" />. It is a <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208083.png" />-algebra if <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208084.png" /> is a <img align="absmiddle" border="0" src="https://www.encyclopediaofmath.org/legacyimages/f/f042/f042080/f04208085.png" />-algebra.