lecture 22
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@ -119,3 +119,6 @@ is the unique solution to this problem.
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}
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Stopping times and optional stopping are very relevant for the exam,
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the Markov property is not.
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No notes will be allowed in the exam.
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Theorems from the lecture as well as
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homework exercises might be part of the exam.
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251
inputs/lecture_22.tex
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251
inputs/lecture_22.tex
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\lecture{22}{2023-07-04}{Intro Markov Chains II}
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\begin{goal}
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We want to start with the basics of the theory of Markov chains.
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\end{goal}
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% \begin{example}[Markov chains with two states]
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% Suppose there are two states of a phone line,
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% $0$,``free'', or $1$, ``busy''.
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% We assume that the state only changes at discrete units of time
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% and model this as a sequence of random variables.
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% Assume
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% \begin{IEEEeqnarra*}{rCl}
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% \bP[X_{n+1} = 0 | X_n = 0] &=& p\\
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% \bP[X_{n+1} = 0 | X_n = 1] &=& (1-p)\\
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% \bP[X_{n+1} = 1 | X_n = 0] &=& q\\
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% \bP[X_{n+1} = 1 | X_n = 1] &=& (1-q)
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% \end{IEEEeqnarra*}
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% for some $p,q \in (0,1)$.
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% We can write this as a matrix
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% \begin{IEEEeqnarra*}{rCl}
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% P &=& \begin{pmatrix}
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% p & (1-p) \\
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% q & (1-q)
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% \end{pmatrix}
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% \end{IEEEeqnarra*}
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% Note that the rows of this matrix sum up to $1$.
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%
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% Additionally, we make the following assmption:
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% Given that at some time $n$, the phone is in state $i \in \{0,1\}$,
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% the behavior of the phone after time $n$ does not depend
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% on the way, the phone reached state $i$.
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%
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% \begin{question}
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% Suppose $X_0 = 0$.
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% What is the probability, that the phone will be free at times
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% $1 \& 2$ and will become busy at time $3$,
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% i.e.~what is $\bP[X_1 = 0, X_2 = 0, X_3 = 1]$?
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% \end{question}
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% We have
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% \begin{IEEEeqnarra*}{rCl}
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% \bP[X_1 = 0, X_2 = 0, X_3 = 1]
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% &=& \bP[X_3 = 0 | X_2 = 0, X_1 = 0] \bP[X_2 = 0, X_1 = 0]\\
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% &=& \bP[X_3 = 0 | X_2 = 0] \bP[X_2 = 0, X_1 = 0]\\
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% &=& \bP[X_3 = 0 | X_2 = 0] \bP[X_2 = 0 | X_1 = 0] \bP[X_1 = 0]\\
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% &=& P_{0,1} P_{0,0} P_{0,0}
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% \end{IEEEeqnarra*}
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%
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% \begin{question}
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% Assume $X_0 = 0$. What is $\bP[X_3 = 1]$?
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% \end{question}
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% For $\{X_3 = 1\}$ to happen, we need to look at the following
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% disjoint events:
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% % \begin{IEEEeqnarra*}{rCl}
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% % \bP(\{X_3 = 1, X_2 = 0, X_1 = 0\}) &=& P_{0,1} P_{0,0}^2,\\
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% % \bP(\{X_3 = 1, X_2 = 0, X_1 = 1\}) &=& P_{0,1}^2 P_{1,0},\\
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% % \bP(\{X_3 = 1, X_2 = 1, X_1 = 0\}) &=& P_{0,0} P_{0,1} P_{1,1},\\
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% % \bP(\{X_3 = 1, X_2 = 1, X_1 = 1\}) &=& P_{0,1} P_{1,1}^2.
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% % \end{IEEEeqnarr*}
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%
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% More generally, consider a Matrix $P \in (0,1)^{n \times n}$
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% whose rows sum up to $1$.
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% Then we get a Markov Chain with $n$ states
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% by defining $\bP[X_{n+1} = i | X_{n} = j] = P_{i,j}$.
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%
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% \end{example}
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\begin{definition}
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Let $E$ denote a \vocab{discrete state space},
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usually $E = \{1,\ldots, N\}$
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or $E = \N$ or $E = \Z$.
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Let $\alpha$ be a probability measure on $E$.
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We say that $(p_{i,j})_{i \in E, j \in E}$ is a
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\vocab{transition probability matrix}, if
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\[
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\forall i,j \in E .~p_{i,j} \ge 0 \land \forall i \in E \sum_{j \in E} p_{i,j} = 1.
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\]
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Given a triplet $(E, \alpha, P)$, we say that a stochastic process $(X_n)_{n \ge 0}$,
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i.e.~$X_n: \Omega \to E$, is a \vocab[Markov chain!discrete]%
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{Markov chain taking values
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on the state space $E$
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with initial distribution $\alpha$
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and transition probability matrix $P$},
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if the following conditions hold:
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\begin{enumerate}[(i)]
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\item $\bP[X_0 = i] = \alpha(i)$
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for all $i \in E$,
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\item $\bP[X_{n+1} = i_{n+1} | X_0 = i_0, X_1 = i_1, \ldots, X_{n} = i_{n}]
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= \bP[X_{n+1} = i_{n+1} | X_n = i_n]$
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for all $n = 0, \ldots$, $i_0,\ldots, i_{n+1} \in E$
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(provided $\bP[X_0 = i_0, X_1 = i_1, \ldots, X_n = i_n] \neq 0$ ).
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\end{enumerate}
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\end{definition}
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\begin{fact}
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For all $n \in \N_0$ and $i_0,\ldots,i_n \in E$, we have
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\[
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\bP[X_0 = i_0, X_1 = i_1, \ldots, X_n = i_n] =
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\alpha(i_0) \cdot p_{i_0,i_1} \cdot p_{i_1,i_2} \cdot \ldots \cdot p_{i_{n-1}, i_n}.
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\]
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\end{fact}
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\begin{fact}
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For all $n \in \N$, $i_n \in E$, we have
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\[
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\bP[X_n = i_n] = \sum_{i_0, \ldots, i_{n-1} \in E} \alpha_{i_0} p_{i_0,i_1} \cdot \ldots \cdot p_{i_{n-1}, i_n}.
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\]
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\end{fact}
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\begin{example}[Simple random walk on $\Z$]
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Let $E \coloneqq \Z$, $(\xi_n)_n$ i.i.d.~with $\bP[\xi_i = 1] = \bP[\xi_i = -1] = \frac{1}{2}$.
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Let $X_0 = 0, X_n = \xi_1 + \ldots + \xi_n$.
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Let $\alpha = \delta_0 \in M_1(\Z)$.
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Consider
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\begin{IEEEeqnarray*}{rCl}
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P &=&
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\begin{pmatrix}
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& \ddots & \ddots & \ddots & & & & & 0\\
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\ldots & 0 & \frac{1}{2} & 0 & \frac{1}{2} & 0 & \ldots \\
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& \ldots & 0 & \frac{1}{2} & 0 & \frac{1}{2} & 0 & \ldots \\
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& & \ldots & 0 & \frac{1}{2} & 0 & \frac{1}{2} & 0 & \ldots \\
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0 & & & & & \ddots & \ddots & \ddots & \\
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\end{pmatrix}
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\end{IEEEeqnarray*}
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\end{example}
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% \begin{example}
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% Consider a game, where a player wins or loses $1 €$ per round of the game.
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% Let $p$ be the probability of winning.
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% The player plays until they lose all money.
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% Let $X_n$ be the capital of the gambler at time $n$.
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% Define a matrix $P$
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% by $P_{0,0} = 1$, $P_{i,i+1} = p$, $P_{i+1,i} = (1-p)$
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% and all other entries $0$.
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% \end{example}
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\begin{definition}
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Let $E$ be a complete, separable metric space,
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$\alpha \in M_1(E)$.
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For every $x \in E$,
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let $\mathbf{P}(x, \cdot )$ be a probability measure on $E$.%
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\footnote{$\mathbf{P}(x,\cdot )$ corresponds to a row of our matrix in the discrete case}
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Given the triples $(E, \alpha, \{\mathbf{P}(x, \cdot )\}_{x \in E})$,
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we say that a stochastic process $(X_n)_{n \ge 0}$
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is a \vocab[Markov chain]{Markov chain taking values on $E$ %
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with starting distribution $\alpha$ %
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and transition probability $\{\mathbf{P}(x, \cdot )\}_{x \in E}$}
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if
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\begin{enumerate}[(i)]
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\item $\bP[X_0 \in \cdot ] = \alpha(\cdot )$,
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\item For all bounded, measurable $f: E \to \R$,
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\[
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\bE[f(X_{n+1}) | \cF_n] = \bE[f(X_{n+1}) | X_n]
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= \int_E f(y) \mathbf{P}(X_n, \dif y) \text{ a.s.}
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\]
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\end{enumerate}
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\end{definition}
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\begin{remark}
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This agrees with the definition in the discrete case,
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as all bounded, measurable $f: E\to \R$ can be approximated
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by simple functions,
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i.e.~(ii) from the discrete case implies (ii) from the general definition.
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\end{remark}
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\begin{notation}
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If $\{\mathbf{P}(x, \cdot )\}_{x \in E}$ is a transition probability,
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then for all $f: E \to \R$ bounded and measurable,
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define $\mathbf{P} : \cB_{\text{bdd}}(E) \to \cB_{\text{bdd}}$
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by
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\[
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(\mathbf{P} f)(x) \coloneqq \int_E f(y) \mathbf{P}(x, \dif y).
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\]
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\end{notation}
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We get the following fundamental link between martingales and Markov chains:
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\begin{theorem}
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\label{martingalesandmarkovchains}
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Suppose $(E, \alpha, \{\mathbf{P}(x, \cdot )\}_{x \in E})$
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is given.
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Then a stochastic process $(X_n)_{n \ge 0}$ is a Markov chain
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iff for every $f: E \to \R$ bounded, measurable,
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\[
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M_n(f) \coloneqq f(X_n) - f(X_0) - \sum_{j=1}^{n-1} (\mathbf{I} - \mathbf{P})f(X_j)
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\]
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is a martingale
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with respect to the canonical filtration of $(X_n)$.
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\end{theorem}
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\begin{proof}
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$\implies$
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Fix some bounded, measurable $f : E \to \R$.
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Then, for all $n$, $M_n(f)$ is bounded
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and hence $M_n(f) \in L^1$.
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$M_n(f)$ is $\cF_n$-measurable for all $n \in \N$.
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\begin{claim}
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$\bE[M_{n+1}(f) | \cF_n] = M_n(f)$.
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\end{claim}
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\begin{subproof}
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It suffices to show
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$\bE[M_{n+1}(f) - M_n(f) | \cF_n] = 0$ a.s.
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We have
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\begin{IEEEeqnarray*}{rCl}
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\bE[M_{n+1}(f) - M_n(f) | \cF_n]
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&=& \bE[f(X_{n+1} | \cF_n] - (\mathbf{P}f)(X_n)\\
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&\overset{\text{Markov property}}{=}& (\mathbf{P}f)(X_n) - (\mathbf{P}f)(X_n)\\
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&=& 0
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\end{IEEEeqnarray*}
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\end{subproof}
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$\impliedby$
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Suppose $(M_n(f))_n$ is a martingale for all bounded, measurable $f$.
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By the martingale property, we have
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\begin{IEEEeqnarray*}{rCl}
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\bE[f(X_{n+1}) | X_n]
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&=& (\mathbf{P}f)(X_n)\\
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&=& \int f(y) \mathbf{P}(X_n, \dif y)
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\end{IEEEeqnarray*}
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This proves (ii).
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\end{proof}
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\begin{definition}
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Given $\{\mathbf{P}(x, \cdot )\}_{x \in E}$,
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we say that $f: E \to \R$ is \vocab{harmonic},
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iff $f(x) = (\mathbf{P}f)(x)$
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for all $x \in E$.
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We call $f$ \vocab{super-harmonic},
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if $(\mathbf{I} - \mathbf{P}) f \ge 0$
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and \vocab{sub-harmonic},
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if $(\mathbf{I} - \mathbf{P}) f \le 0$.
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\end{definition}
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\begin{corollary}
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If $f$ is (sub/super) harmonic, then for every
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$(E, \{\mathbf{P}(x, \cdot )\}_{x \in E}, \alpha)$
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and every Markov chain $(X_n)_{n \ge 0}$,
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we have that
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$f(X_n)$ is a (sub/super) martingale.
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\end{corollary}
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\begin{question}
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Given a set $A$ and a function $f$ on a superset of $A$.
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Find a function $u$, such that $u$ is harmonic,
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and $u = f$ on $A$.
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\end{question}
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Let $u(x) \coloneqq \bE_x[f(X_{T_A}]$,
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where $\bE_x$ is the expectation with respect to the Markov chain
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starting in $x$,
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and $T_A$ is the stopping time defined by the Markov chain hitting $A$.
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@ -46,6 +46,8 @@
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\input{inputs/lecture_20.tex}
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\input{inputs/lecture_21.tex}
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\input{inputs/lecture_22.tex}
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\cleardoublepage
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%\backmatter
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