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Advance topics in random processes

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Suppose { X (t ), t } is a Markov Process with the state space V . Here is continuous and

the state transition can take at any instant of time t. Suppose the process is at state x0 at time

t t0 . The state transition probability density function at t is given by f X (t )/ X (t0 ) ( x / x0 ) . For

notational simplicity, let us denote this pdf by f ( x, t / x0 , t0 ) . Further assume that the process is

homogeneous.

Consider the random variable X (t1 ) ) at a time. Given X (t0 ) x0 , the joint PDF of X (t1 ) and

X (t ) is f ( x1 , t1 ; x, t / x0 , t0 ) .Then the marginal density f ( x1 , t1 / x0 , t0 ) can be obtained from as

f ( x1 , t1 / x0 , t0 )

f ( x, t ; x1 , t1 / x0 , t0 )dx

Using the chain rule and subsequently the Markov property, we get

f ( x1 , t1 / x0 , t0 )

f ( x, t / x0 , t0 ) f ( x1 , t1 / x, t , x0 , t0 ) dx

f ( x, t / x0 , t0 ) f ( x1 , t1 / x, t ) dx

process and given by

f ( x1 , t1 / x0 , t0 )

f ( x, t / x0 , t0 ) f ( x1 , t1 / x, t )dx

We have to know how the process evolves. Similar to the Kolmogorov forward and backward

equations for the evolution of the CTMC, we can get those equations for a continuous time Markov

process. Particularly, the corresponding forward Kolmogorv equation is known as the Fokker

Planck (FP) equations. We omit the derivation of the FP equation here.

f ( x, t / x0 , t0 ) f ( x, t / x0 , t0 ) 1 2 2 f ( x, t / x0 , t0 )

( x, t ) ( x, t )

t x 2 x 2

where

E (( X (t t ) X (t )) / X (t ) x)

( x, t ) lim and

t 0 t

E (( X (t t ) X (t )) 2 / X (t ) x )

2 ( x, t ) lim are the time-varying and space-varying

t 0 t

parameters of the process. Note that they are the mean and the variance of the infinitesimal

transition of the process and finite. It is further assumed that

E (( X (t t ) X (t )) n / X (t ) x )

lim 0 for n 3.

t 0 t

Note that the FP equations are linear partial differential equation (PDE) with the time and space

varying coefficients. The solution is is generally difficult.

When ( x, t ) and 2 ( x, t ) are constants, the FP equation simplifies to the diffusion equation

given by

f ( x, t / x0 , t0 ) f ( x, t / x0 , t0 ) 1 2 2 f ( x, t / x0 , t0 )

t x 2 x 2

with and respectively known as the drift and the diffusion coefficient. For the Wiener

2

The FP equation has diverse applications as in the dispersion of suspended particles, the

dynamics of electrons in a semiconductor, aeronautics, image processing and stochastic

finance.

The diffusion equation in this case is given by

f x , t 1 2 2 f x , t

t 2 x 2

Considering t0 0 and x0 0 the solution to the diffusion equation gives

1 x2

2

1 2 t

f ( x, t / x0 0, t0 0) e

2 2t

Thus the the transition PDF is Gaussian with time-varying mean and variance. With partial

differentiations of f ( x, t / x0 0, t0 0) with respect to t and x it is easy to show that the above

Gaussian PDF satisfies the FP equations.

We can solve the above PDE using the Fourier transform method.

f x , t 1 2 2 f x , t

with initial condition X 0 0 with probability 1.

t 2 x 2

f x, 0 x, 0

Let

Y , t FT ( f ( x, t ))

f ( x, t )e j x dx

Then,

f x, t f x, t j x

FT e dx

t t

t

f ( x, t )e j x dx

Y , t

t

Similarly,

2 2

FT 2 f ( x, t ) 2 f ( x, t )e j x dx

x x

f ( x, t )

f ( x, t )e j x j e j x dx

x x

x x

f

0 as x and x .

x

2 f ( x, t ) j x

FT 2 f ( x, t ) j e dx

x x

j f ( x, t ) f x, t e

2 j x

dx

f x, t e

j x

2 dx

Y , t

2

Taking the Fourier transform of both sides of the initial condition f x, 0 x , we get

Y , 0 1 .

Y , t 1

2 2Y , t

t 2

with the initial condition Y , 0 1 .

The above equation can be solved for t as

1

2 2 t

Y , t e 2

1 x2

2

1 2 t

f ( x, t ) e

2 2t

Note that X (t ) is symmetric about horizontal axis and the variance increases linearly with

time.

If x, t 0, then

1 ( x t )2

1 2 2 t

f x, t e

2 2t

One example of the CTMP is the Wiener process or the Brownian motion process .

Definition: The random process X t , t 0 is called a Wiener process or the Brownian motion

process if it satisfies the following conditions:

(3) For each t0 0, t 0 X t t0 X (t0 ) has the normal distribution with mean 0

and variance 2 t .

1 x2

1

f X t t0 X t 0 ( x )

2

e 2 t

2 t

Remarks

1 x2

1

We have f X t ( x )

2

e 2 t

2 t

The conditional CDF

F ( x, t / x0 , t0 ) P ( X (t ) x / X (t0 ) x0 )

P ( X (t ) X (t0 ) x x0 / X (t0 ) x0 )

P ( X (t ) X (t0 ) x x0 )

f ( x, t / x0 , t0 )

1 ( x x0 ) 2

1 2 2 ( t t0 )

e

2 (t t0 )

Wiener process was used to model the Brownian motion – microscopic particles suspended in a

fluid are subject to continuous molecular impacts resulting in the zigzag motion of the particle

named Brownian motion after the British botanist Robert Brown. (1773-1858)

The Wiener process is characterized by the parameter . When 1 , the process is called the

standard Wiener process.

A realization of the Wiener process is shown in Figure below

X(t)

Figure

The Wiener process is Markov because of the independent-increment property. It is easy to show that

RX t1 , t2 EX t1 X t2

EX t1 X t2 X t1 X t1 Assuming t2 t1

EX t1 E X t2 X t1 EX 2

t1

EX 2 t1

2t1

Similarly if t1 t 2 RX t1 , t2 t2

2

RX t1 , t2 2 min t1 , t2

Thus the Wiener process is not stationary. Since the process is zero-mean,

C X t1 , t2 2 min t1 , t2

For a Wiener process X t ,

RX t1 , t2 2 min t1 , t2

RX t , t 2 min t , t 2t lim RX t1 , t2

t1 t ,t2 t

Thus the autocorrelation function of the Wiener process is continuous everywhere implying that it is

m.s. continuous everywhere.

RX t1 , t2 2 min t1 , t2

2t if t2 0

RX 0, t2 2

0 other wise

RX 0, t2 2 if t2 0

t2 0 if t2 0

RX 0, t2

does not exist at t2 0

t2

2 RX t1 , t2

does not exist at (t1 0, t2 0)

t1t2

Remark: The Wiener process is not only m.s. continuous but it is continuous with probability 1.

Moreover, each realization of this process is nowhere differentiable. Such a process is difficult to

visualize but has many applications,

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