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Ito Onstochasticdiff
Ito Onstochasticdiff
MEMOIRS
O
F
T H
i-
ON STOCHASTIC
DlFFliRL.NT.lAL
LUA'UONS
KFYOSl 1TO
PUBLISHED BY THh
New York
City
A KS ~~
Accession No,
Title
>*
sf cc k a s k r
AT Jf^ev
v\
W A!
last
^QJC^ UuaJi'
marked below
By
KIYOSI ITO
Let
Xj.
(D
F(t,|
,-s,E)
Prfx^E/X.- 3},
xa E under the condition:
x^.
in an infinitesimal neighborhood of t
(2)
s:
FCs-A^jjs^E).
F(s-A 2 ,
=
W. Feller^) has discussed the case in which it has the following form:
(3)
+
JJS+A^E)
,E) +
(1-p(s,I)
(yA2 )p(s,j)P(s,3
o(/yA2 ),
E and
where
G(s-Ag,5 ;s+A,j,E)
satisfies
(5)
T-^T;
1**2
(^-j)
h-jl<f
(6)
"^2 J,
>
and p(s, J
)
(l-J)G(s-A2 ,J js^^dn)
>
>b(t,J),
The
for A *A
O 11
and
(Cf. 85).
Let P
8,5 ,^,^2
Mx^-V^*
If the
E^-
}, A
V A2
> 0.
tends to a probability law L
is called the
[1/^*A
]- times^) convolution of P fl
> 0, then L
S,J
KIYOSI I TO
V (*,L
(7)
of
S>$ >$
L^ f
)
is given by
=
(z,L 8
>j
ib(s,j
)z -
a(s,j )z^p(s,
f 7 ^
03
iu2
(e
-1)P(s, J ,du(+) J
).
6)
-00
**9$
F(t,J ;s,E)
^7
;s,E)P(t,J ,dT)
= 0.
existence and uniqueness of the solution of this equation under some conditions and has
shown that the solution becomes a transition probability law, and satisfies (3), (4), (5)
(6).
and b(t,J
It is true that we can construct a simple Markoff process from the transition
by Kolmogoroff
theorem,
tained process, for example measurability, continuity, discontinuity of the first kind
8 etc,, as was pointed out by J. L, Doob. )
tf
measurable kernel
11
1 '
,9)
We shall in-
lf
continuous case
and
fl
research of J, L, Doob^O) concerning a simple Markoff process taking values in an enumerable set has been achieved from this view-point, A research of R. FortetH) con-
cerning the above continuous case seems also to stand on the same idea but the author
is not yet informed of the details
.
STOCHASTIC PROCESSES (I) 11 12 ) the author has deduced Levy's form of differential processes with no fixed discontinuities by making use canonical
In his paper
"ON
of the rigorous scheme of J. L, Doob, Using the results of the above paper, we shall here construct the solution of the above stochastic differential equation in such a way that we may be able to discuss the regularity of the solution.
^(t)
<*
Lg
J<T(t)dg(t),
In this integral
extended this notion and defined an integral in case <T (t) is a random function satisA brownian motion is a temporally homogeneous and differential (i.e. spatially homogeneous) process with no moving discontinuity.
1 sying some conditions. ^'
The
process x(t) *
&
(t)dg(t) obtained by Wiener's integral is not temporally homoIn order to obtain a simple Markoff process
which
x(t)
/-* -rV(T,x(T))dg(r)
f:
or more generally
t
- c +
.
x(t)
f
fi
m(r,x(r))dr +
^ft
'5) O n
equation where the integral is based not on a brownian motion but on a more general
Some of them
In
are well-known but we shall explain them in a rigorous form for the later use.
the author's previous paper 1 ") will be contained here in an improved form.
Professor S, Kakutani and Mr, H. Anzai who have encouraged him with their kind discussions and to Professor J. L. Doob who has given him valuable suggestions to improve
the manuscript and friendly aid to publish it.
I.
Fundamental concepts.
s1.
Let
When we consider
B
B^ together with
be a completely
BX
we call it a
It is evident that
'
as B
then we usually take the system B of all Borel subsets of and in case X is RA , B.. is usually the least completely additive class that
,
KIYOSI ITO
,
which we denote by B
If
B^
and
By-
product space the least completely additive class t hat contains all the sets of the The this class will be denoted by B <J) B . form: E tf> Y, ' X Y X X Y Y
X#E,EB,EB; W
(Y,By)
XX
product of many Borel fields can be similarly defined. be Borel fields. A mapping Let (X,B ) and
f(x) from
X into Y is called
to be B-measurable if
f""1(E
Y )*
for any
from (X,By) into (Y,EL.) and if g(x) is a B-measurable mapping from (Y,B
then g(f(x)) will be a B-measurable mapping from (X,B
)
into (Z,B
),
into (Z,B ). Z
is a completely Let (fl,*A ,P) be a probability field, where -O is a set, B^i additive class of subsets of -O , and P is a probability distribution (p.d.) on
(/2,B.o),
E^
B^.
If we put
X)
B
.)
(X,^)
which is called
P
.
is governed by
Let
from (X,B
x(u/) be an (X,B^) -valued random variable and f(.) be a B-measurable mapping into (Y,B ). Put y(-O Then y(u/) will be a (Y,B )-valued ) f(x(u^)).
JL
JU
random variable,
Theorem 1.
y(^)
Let
x(^).
up to P-measure
Proof.
yn (**>)
- f
* f (x(u/))
n
I
Then
x (n
p
UA
q
m,n>q
[J;lM?)
ra
n (J)
m,n>q
Put f(J
lim f (j n
elsewhere.
Then
f(3
B^.
is a
J -set belongs to
We have
f(x(~))
1#>
f (x(~)) n
lmyn ('')
y(-),
Let
respectively.
A function
P (E
of E
and
J*
will be called the (conditional) probability law of y(^) under the condition that x("
J
)
or Pr{y
P (E /J
is a p.d. on (Y,B
for any
P (E /J
Ey, and
(2-3)
f E
P (E:/J )P (dJ x
Pr{x
was proved by J. L.
P (E_/x(uu)) i.e. the function of <" obtained by replacing J with x(*0 in P (E/3 will be called the conditional
p.jf.of y(*^) under
E/x( <*>)}:
By (2.3) we have
Pr{ytfE
}
6? (EyM *'))
1
(f
expectation.}.
If the
p.jf, of the combined randond variable (x(*/ ),y(w)) > which clearly takes
values in (X*Y,P
P_: P x y
$B
X
),
and
on
(X#Y,B
8 J XT
B
then x(or
and
to be independent.
The in-
Clearly we have
Theorem 2.1.
P
-
x(u>) and
y(^)
be independent.
for almost all (P ) X
Then
y (E^/x(u/)
i.e.
- P
y (E^)
P (Ei/x(<-0) y
y (E^)
Theorem 2.2.
from
(X^Y^^By)
P (E/x(u/) B
Put
z((*>
Then we have
.5)
Pr{G(5,y(u.)) 6 E}
.
Proof.
Since x(u/) and y( u/) are independent, we can make use of Fubini's theorem.
mosi
(P
ITO
P)(f(j ,l);f(5,1)
P (d3) x
J
G( 5
9
^( cu ) and
y(^)
be independent.
able function in (j
with P-measure
Proof.
,y(>))0
))
0}P (di
Pr{G(x(*/ ),y(^))=0}=1
and so
Pr{G(J ,y(/))
3.
~
,
a <
^<
b.
i^<
^>
(x(^,^),
t}
a <
^<
19 ) is determined: t)
a<TX
(t < s)
If this is equal to
(3.2)
Pr{x(s,~)
<*>
,
E/x(t,~)}
the process is called a simple Markoff process.
In such a process
F(t,5;s,E)
Pr{x(s,^)
E/x(t,~)
,
5).
3
,
r
(3.4)
F(t,5;s,E)
'-co
F(t,J ;u,d^)F(u,^;s,E),
- x(t v ,*>),
),
?"<J
b, a differential process.
F(t,I|s,B)
F
t|8
(E(-)J),
5
where
F
t,
^*E};
tc/)
(3.5) will
(x(^,^),
a <
T<
t),
x(s,^)-x(t,
<-/)
- -r
%
'
/J.IVUVB..N
viu
/AAV*y-.-/\\
du
' ~7~* J
is real, (f
M<1
f(u)
M
'
These m,
&
(4.2)
W.()
f(u)
2
-
r
*
iuz
(e
r
(
iuz
iz -
-D%-*( u J
-1-iiu)
-%u
i.e.
m0'1,
u,
Then m(L),(T(L) and f(u,L)(for any fixed u) are all B-measurable in L=(L(E) ;E*
Remark.
By the expression
"
m(L) is B-measurable in
L-^E^ECB
(R fi1 ,B
Bl
)
we
mean that there exists at least one B-measurable function M(L) defined on the whole space
(R^jB^
EB
T
)
that is an i.d.l, as a
function of E.
Proof*
Let
4>(z,L) be the
For any z,
(L)
by
n2
^ (L)
lim
> ^oo
~k=-n 2
(if otherwise),
then
J
fi1
(R
Bl
,B
and
any i.d.l. L.
KIYOSI ITO
Since
Y (z,L)
is the branch of log 4(z,L) which is obtained from log ^(0,L)-1 by the analytic
A<
z (or o >
A > z)
and so it is expressible as
y
we see
(z,L) =
lira
n >
f*\ f'\
I
{>(
dt
j-2
Jo
thatY(z,L)
\|/
formula
C
\
-iSL-) n (du,L),
-
*^
D-
duction nouvelle d'une fonnule de P. L'evy, Bull. d. 1'univ. d'etat a Moscou, Serie International, Sect. A, Vol. 1, Fasc. 1, 1937),
A(t,L)
y
1
(z,L)dz - 2f(t,L),
"'t-l
r
I
K( U ,L) *
lira
-1^2
i^ itu
A(t,L)dt,
it
^x
2f
^o-J
n((a,oo), L)
J a-o
ra+o
n((-co,a),L)
\
-1^
2
1
dG(v,L)
(a > 0),
J -oo
^g *"
dG(v,L)
(a < 0).
Therefore we can prove recursively the B-measur ability of the above functions of L.
we obtain, for each a > 0, a B-measurable functions
(R
Ihus
N (L) defined on the whole apace We may assume that N (L) is &
fi1
,B
N (L), r running over all rational numbers r < a, instead of N (L), if necessary*
Now we shall prove, for each u > 0, that f(u,L) is B-measurable in L, f(u,L) is
written in the following form by the definition,
f(u,L) * inf {a;n((a,oo),L) < 1} (u > 0).
Therefore, if we put
F (L) U
R&
any i.d.l, L.
"FU (L)
< a"
0) is B-measurable in L.
Now we put
-
(exp(izf(u,L))-1)
J)
u
-I
Then ((z,L) (for each z) is B-measurable In L, since Y'(z.L) and f(u,L) are B-meaaurable. But we have
m(L) =
and
(T
-^-(4
(1,L)
-i(2,L))
(L) - 2j(1 f L)
-4|(2,L),
Let
<*A,
oL
A and be totally
oCc
In order that
L*
cA,
of |m^|,
fl
and
||fM n
r
|u|<n
nun?l\
10 Proof.
JCIYOSI ITO
L-
as
* L (M
n
* t <5>
n,
/>
u)Aj,
j
o<|u|<n
(e
P
J, 'i
|u|> n
if* (u)
K b
(C
~ 1) ^
^" u
{L^
;
Sufficiency.
(u)
,^,,
^.
^u
I* < 2
/ *
1<|u|<n
**<)* -%. u
||
and so{L^^
,V<
A}
is totally bounded.
Therefore
But
L^)
({o}) - L
*
n ((-c,c)) exp(-2/n).
lim
C
inf^ L^CC-Cjc))^^
00
>
Let Q(L,c) be Levy's concentration function Then that {L^} is totally bounded.
Necessity.
'
of the p.d.L.
Suppose
inf^
0(L^\
c)
as
co
,c) >
Q(L^
11
concentration function.
(2)
inf^ Q(L^
and so o
,c)
>
as
>oo,
2)
L^
and
J <
is decomposed as
L'''
oc
L'*'
<*
n+
* L'*'
*c
n-
oo
-n
f \
and
f \
'
-oo
respectively.
(4.3)
>
as c
> co
Q(L^'
,c)
exp(-1/n), i.e.
(4.4)
Q(L
c >
n
c
^(u).
f^ (n) for
such that
Q(L^'
f^
n.
case for
|u|
f^ (-n).
f^
A and
II
(p)
increases in-
definitely with p, L
and
(p)n
I
If
<*(P
have
as p
Thus we
Q(L
<*(p)n
||)
^(p) n
as p
i
f<
1 1
n*
c)
^.
^^ot^^od
&9 P
n.
>
)*
Therefore
* L 4
n
c
* L
n
<*n
is totally bounded.
Therefore
must be totally
12
KIYOSI ITO
85.
STOCHASTIC DIFFERENTIATION.
)
x(
f ,u/),
t - A
a <
T<
b,
,
be a stochastic process on
-
T<
2,
be determined.
[1/A^A J-times
>
<
A^A^
<
implies
is differentiable at t and we
**>)
>
A' 1 * A"
> ...
/-limit of the
so we obtain
[l/A^+A^]
-times convolution of
and
Theorem 5.1.
DX(t,
*>)
DX(t,
**/)
<T<
t).
If
r ,*t'),
a <
T<
If
pend on
*~
but on t.
^nor
x(b,^) -
F*n n
Theorem 5.3.
If
x(T,">)
probability i.e.
II.
Stochastic Integral.
13
where
<T(f)
23)
Lp
and
g(^,
u/
integral.
The author has extended this integral to the case in which ** depends not
-"
'
In this Chapter we
6.
Let
l(UO,w)
=l(t,c^), i.e. l(t,u>) is continuous in t except possibly for discontinuities of the first kind (hereafter we term this property with M belong to d. -class 11 ), Further we re-
quire that the p.l. of l(s,u>) - l(t,Mu) has the l.c.f. (s-t)T/^(z), where
l.c.f. of the fundamental i.d.l.
.
"V
(z) is the
probability field (ft.B/i.P), where the p.l. of l(a,^) can be arbitrarily assigned.
[a,b]
ft
l(t,^)
l(t-0, w).
being a Borel subset of [a,b] 8 R', can be considered a real random variable, which proves
to be roverned by the Poisson distribution with the mean:
w(B)
C
JT
l(t,w)
l(a,t~)
t *
g(t,w)
up(dtdu,t*/)
uq(drdu,u/)
where q(E,u/)
p(E,^)
tt(E) ,and
g(t,^)
!(?,*'), a
^^
E^Eg,...^,
<^<
b) are independent.
All these properties can be immediately deduced from the results in the above2 cited paper. ^)
14
KITOSI ITO
87.
form:
(7.1)
k( ^,*4/ )dg(r,
/),
By 3(1^)
<T
r ^),
,
of <
T<
J9 9
&
r*
(3.2)
and
(3.3)
for any t,
< t < ft
the system
<r(
T *"),*< T<
,
t;
g(r,u/) - g(^,^),
*< t<
t) is independent of
(g(T,*>) - g(t,^), t
if 0"
<T^/).
As
for
3(1^)
tends to <T
<
0^^3(1
),
then (T
3(1^.
),
Theorem 7.1
^*
S(I
(7.1')
J
-ic
0~(r,")dg(r,u,)
or
J ^
r,u/)dg(r,<v) or briefly
J(<r,u/)in ^
one and only one way so that it may satisfy (G.1) and (G.2).
(G.3), (G.4), (G.5) and (G.6).
Furthermore it satisfies
(G.1) When <T"(t,oi>) is a uniformly stepwise function, i.e., when there exist
"
*o
<
<
<
*k"^
i d
Pndent of
<+>
such that
<y(t,~) -cT(tx
,^),t
<t <t^,
we have
f
l
,)
>
y
(G.2)
If <r
y1
3(1
)
T(t^""' ,u,)(g(t v ., 1
tends to
,-')
- g(t yl *r ~
,/)).
(T^
|<T n
<
(T Q
3(1^
(<T^,
O^,...)
15
^(^D
a/ )
probability.
(0.3)
c^+CgO^u/)
2,
c
- c
t
JTr <)
* c
(<^,
if
<T,,
<T
(0.4)
(0.5)
If
<r
i
(f,')
<T
2 (f,u,)
for
rci^f/^,
/I
1
being a
((To/) ((T^o/
*')
(G.6)
If
JJ
<5(
/(<T,u,))
In case
It is evident that this definition satisfies (G.3), (0*4), (0.5) and (0.6),
The condition (3.3) will be used in the proof of (0.4) and (0.5) and (0.6),
In order to define
J
(<T,"/)
for(TS(I 1 ) such
that
(7.2)
we shall establish
Lemna 7.1.
For
(T
any^<
n
stepwise functions
S(I) satisfying (7.2) we can find a sequence of uniformly S(I) such that
(7.3)
J
'
may tend to 0.
The proof can be achieved by the method
J, L. Doob has used in his research of
(
By defining
1
u/)
o for
o'
^,u/)
L (R
2
xH),
we
16
KIYOSI ITO
Now put
L(0
Then J (t) n
(k-1)/n
oo
,
ko,
t
1,1 2,,n1,2,...
>t
CO
as n
r
\
(n
>oo),
J^
since 0"(t+s,iv) belongs to L^R
)
as a function of
The left
C
I
2b
and so
i Jo.
r A=
.1
r
J
.. a ..
.*
,u/)|
dtP(du/)
dt
//::
-
Put
(T (t,^) n
.^(^
(t-s)^s,^),
n-1,2,--
Since
(7"
n,
n=1,2,,
-/
(fn ,u/)
and by (G.4)
17
as m,n
>
oo.
U(( J (
<>)
- f( *-))
>0.
but it is deThis f(u>) does not depend on the special choice of the sequence { n }, r For this extended definition we We denote it by termined by ) (^,**0 only.
Let
<T
Then we have
<r
n ))
dt
>
o.
S(I 1 ) we define
'
cr'
n by
where
J>
R(
* 1
for
n> and
for
> n.
It is sufficient to show
C* *
\
(^,o/)d r
is B-flieasurable in
(cr(r,w),
<T<
t).
Since
Ac
2
<r
'
~dr.
ij.
f n 4^
r(r
'
<r*(r *
for any oj
13
KIYOSI ITO
>
*x>
a(t-s)<V<Ua(t-s)
a. < a
U^TT^ P
<
. . .
^,^))d-
(^lll p
-1a
p
for some
Let_2
^
!/-
such that
(f
i
(T,o/)df
< n.
Then we have
Jl
andU J
,o/)
tj
'"n
n
N, P(N) *
by (S.2).
Furthermore
uyC/3.
si nce
||
(T
||
J((T n
a/).
We define
J(^,^)
If
(
as
J(^n ^
,
on
/l^/^,
||
an d
on N.
verified.
fore we have
tend to
||
<T
Q \\
<
2
)
co
(V n ,u/
/ vX
^T
oo
,u/))
then
(T - (f
||
> 0.
There-
>
,*
in probability.
(m)
r^
^n
^^)
2 Uj^^o ^'
r,u,)dr <
for a sufficiently large m.
m}) >
f
(m)
Since
^
n
(m)
(m)
|
(m)
\
(t,*/)
>
(T'
(t,>),
co
G" n
< - (To
(m)
and
||
(f
||
< oo
...
.
(<',')n
19
Jl
We see by (G.1) that
I
J 2 (o^,^)
I
(0',o>)
1
2
\\CT\\
6 S(I ).
1
If <T6S(I
1
quence {(T
By taking a
?*,*').
^n
}
being uniformly
(0
<T
,u/) .
^2
J(cTn ,^), n
1,?,..., and so
((T,"}* J
2
by
^1
(C.2).
Theorem 7.2.
Joint variable
(
Let
<T
CO
"
<T
444
)
<T
(Tj
(
/~
I
^
n"1
^^
'^
)dfif i
**
c/
")
T
1
""l^T^
1
*
v** *)di?v
^*
**^
Let
For
S( I
1
we define as follows:
(S~ )c
E
r )dg( ru,)^
This definition is clearly
where
*)
Let<T
S(I).
(T
dg for
EC
I.
If {E
Then we have
o"
> E n n
dg -
> n
f&
J E
dg
"
1
98.
Let <f
S(I), I
(*,/Sj.
Then
< t < ft
20
KIYOSI ITD
1
which is uniquely (up to P-measure 0) determined for any assigned t,
Theorem 8.
We can determine, f or
o"
* *f <r(r,uy)dg(r,
,),*<
t <ft
in one and only one way (up to P-measure 0) so that the process may be continuous in t
with P-measure
and that
f
Je
t.
If
(T(T
u^)
is uniformly stepwise
ina< T<
<
T<
t.
*] /ac
by (G
1
g(f,u,/).
Lemma 8.
Let
yv
(<*/
),x y (a/ ), y
2
following conditions:
(8.2)
C (x y
9
0, d, (x v
),
Ofy
(^3)
(x.
(u^) f x
^),
Then we have
(8.4)
ra
.
^
I
P({u/;max^
>
^
y w (u/)x
21
In case y y (<^) * 1, v
*1 ,2,3,...,ra,
Kolmogoroff 's inequality, whose proof will be available for our lemma, if we give it a
slight modification.
Now, let (s
By the continuity of
*"
dg, we
*.
have
r*
\ J<*
sup
*
|
a-
dg|
sup
*
|
(**
\
<T
t*l
Since
[u>
;
yi
dg|.
Jot
max"
1
|
00
{c4/
pS*
|
sup
f
for the proof of (G',4).
be constant in ft Vy
t ,t..,...,t
,t "
|
dg| > c}
Let
)
o<
< t, <
,
..
< t
.
^",^) may
for each uj
!,?,...
s,,8 c ,...,s m , 1
,
u ,u .,.,,,u
<
it is
sufiicient to prove
c
P(K;max
m* n
|*r
S
(T
((
dg)
J^^
)dT
which we obtain
at once by putting y^
f(u
,<^),x^
dg for
(f 6
g(u^
- g(u
In order to define *f
we define
(T.
n ,n=1,2,,.,
f rom (T
by Lemma 7.1.
may assume
(8.6)
||
(T
n+1
-<T
n
2
||
0*
n+1
~(T
n
j*
*f
0-J
Therefore
(^
by Borel-Cantelli's
22
KITOSI ITO
V (t,o>)
t
and it is independent of
(
(~ n }>
if we choose
them so that
<7"
F,
<*>)
a_<
r<
*\
t,
for any t.
We define
But
*/at
t (T
Jet
P -measure
* r
&
dg
For any function <T for which (8.5) does not hold, we can define [ (f dg in
J<*
8 7.
Let
and
1
By (G
we have
r* (r
*J
dg =
* r
J
r
<r dg =
r
f
J^<r
dg
with P-measure
1,
* C
and
*
(
we obtain
V
*^
<^
1
dg
<^
0^
^?
dg
OC
for any
with P-raeasure 1.
Definition 8.
The above
* r I
t
0"
Jot
dg.
89.
We consider
Let
(,?3
x( 7,
],
< r
all functions
(F.1)
(P.2)
f(t,u, co),
f(t,u, u/
)
<t<)3,x<u<$,
2
such that
*/ ),
is measurable in (t,u,
f w)|drdu/u J |f(t,u,
I
(F.3)
CR2 (t))
is independent of
23
(p(E,e<,),
EI^R
2
+
8? we obtain
Theorem 9.1.
(9.1)
Jf(*>,u>)d
P (t>,*>)
or briefly
J(f,*>)
in one and only one (up to P-measure 1) way so that it may satisfy (P1) and (P. 2), Furthermore it satisfies (P. 3), (P.4), (P. 5) and (P. 6),
(P.1)
<* *
When f
<
. . .
C",u,>)
-
<
t,j
< t
* U
<
u^
<
. . .
< u
we have
>
(P.2)
If
n (t,u,tO
^ F(I) tends to
r QO ('
and if |f
(f
B-measurable function
f(r,u,^)
of
v f 2 ,...)
}(*&>")
in probability.
(P.3)
if
I
(P. 5)
If
f^fg
-|,^)
a11
Let f(T,u,u,),
^<
t < ft
f <
r u,^H(^>
on
"*
0) belong to
F((*,^J
x( f,rfl) for
any integer
n > /
^ Let 12
f f(r,u,~)dp(t,u,u/),
*
n > ^
{*
jp((
*,/Jx(n,eo), ")
0.
""-^
and
ra
> n,
24
KIYOSI ITO
J J fdp -y
6
Jj
%t -V
and P(-
fdp,
"
eXP ^ "
drdu /u? }
f
I"
>
as n
-^
oo
5-r
Therefore
n
lim
>ocn
/ < 0,
n:
Let
(^,^3
x( ^
^ 3, f,
i'
J f(t,u,u)dp(t ^E
where
E
u,cc>)
J ^1
12
E.
Theorem 9.2.
f
If
E ,n1 ,2, n
, ,
.,
fdp -
>
?-'
fdp
>E - n
Theorem 9.3.
If
* F(I), and if
|f (
r ,u,^)|d^du/u
< oo
then
25
fdp, f
J fdp.
(9.2)
and
JI
(f(t,u,o,))dtdu/u
< co.
Let
{
* y}
{*}, { * ,f and
(
O
{
JT
f] respectively.
We assume that
J
//<3
of the form
*j*
<<
J x( *%
Let
E^Eg,...^ disjoint
Then we have
JE wp
>
y1
1,
[ JE
fdp
with P-measure
fdp >
for any
E
elementary set E with P-measure
1.
Thus
r
E
^
G
We define
fdp
sup{
< G}
fdp B
inf{
*r
fdp =
-oo
fdp,
Jo
J
>
Hll
B .
>
Jg
n
n1
[ J R
fdp
26
KIYOSI ITO
with P-measure
U En
E
n
J fdp
l.i.P,
and so that
Besides
JG
JG
> fdp ~
J Gfdp,
I
since
E
set.
we have
J p fdp
l.i.P.
J
B n
fdp,
if
3
Let
B
B
...
> B.
and a
such that
and that
It is clear that
J
i? F
v F 2
. . .
"
<
n B
f dp " <
. . .
<
< fdp ~~
2
n
1
fdp
with P-measure 1.
Furthermore we have
2
f
f J G fdp
W n n
fdp)
(5 (f)dtdu/u
< 1/n
0.
JF_
O'G-F
n n
Therefore
(9.4)
f JB
fdp = l.i.P.
\
I
fdp = l.i.P.
fdp.
*n
But we have
27
F
1
fdp <
fdp
<...<* -
fdp
<...<* J
fdp < -
f dp
(9.5)
lim *
n
JF
fdp_<*
n
fdp.
f J,
n
fdp *
Jf
fdp,
/fdp JG
n
f J
fdp, n-1,2,...,
f fdp by JB
Jfdp
^
iim
*f ^
Uf
N
f(r,A,u,)drdV*
)f(t,u,uOdp(t,u,
w)
where
we shall define
r
*
fdp =
f J
kl*f
dp -
\t\-t
5
dp.
f
-'I
fdq.
For
F(I), I
(*
,/*
J x
*,
O,
>
(9.6)
j J fdq
/fdp J
I
f( ^,u,
^1
ffdq) 'l
/I (f (f
2
)dr du/u
2
,
(J
f
I
fdq) = 0,
for
such that
)drdu/u J (^(f
For
I
< oo.
(*,0 J
x(0,
^3,
a < <^<
>3
< b,
<
S<
of all functions
f (t,u, <*
28
KIYOSI ITO
(F.2)
We shall define
J I (f(r,u,u,)
1
<!".*)
.^
Let I
l.
Then
2 2
2
((
f
'l
|f(r,u, aO|d^du/u
2 2
) )
[ JI
(f(>,~)
)drdu/u
with P-measure
1 .
Therefore f ^ F(I
by (9.6).
By (9.7) and (F
^_ fdq
I
.2) we have
r
J ^_ fdq)
p
)
U((
/*
f
J */ T
_.
x2.
fdq)
I -I
m
'J
*^-P
(^(f )dr du /u
2 =
0.
We shall define
fdq - l.i.m.
fdq (l.i.m.
limit in mean).
f (t,u,oo) . n
J>
n(
^r<< Juo
where
^
f .2)
^
we have
POOn )
f 1, where
/l n
{^;fn (T,u,
u>
f(
1T
,u,
w)
for (r,u)
l]
We shall define
Tfdq j
as
f dq on
j
%/
iJ n
29
fi]x( /, Q].
In case
(*,>*Jx( ^,0j.
=
In case
I =
(S*J
(<X
x(0,
Of
(
we define
J fdq
1
J
''
fdq
J
'*
fdq,
,J
I
*,0], I g
fi*}
x(0, fj.
r as a fdq E
characteristic function of E,
For the regular kernel of this integral we establish
Theorem 9.4.
termine
t * r I
Let
(<*,>3]x( ^, S J and E
&
*, f J,
For f
r
I
fdq,
o<
< "
t " ft <
which belongs to
4<,JE
measure
1
and satisfies
* f
f fdq J* JE
fdq
^foC,tJxE
with P-measure 1.
2
c Pr{
sup < t
|*
j5
J* J E
fdq
> c}
j f J JE
.
III.
810.
equation:
(10.1)
Dx(t,M/)
L('t,x(t,uO), a < t
b,
XU,U,)'
L>
.
where L
is a given distribution on R
Theorem 10.
x(t, *u) may belong to d-j-class with P-measure 1, if the three elements
m(T, 5),0"(tTf J)
and f (
%u, J
(A)
of L( ^, J
)
|m(r, 5
-m(r,^,)|
<M|j-l|
30
mosi
iro
f(r, u ,5)
|u|<n
where
T, J
),
L(
is continuous in
^ with
Proof.
T, <w), a
<X
b, on
t,<w)
=.
X(a.o>)
J a fl
'
m(T,x(t',u^))dr +\
^
fl
C^(r,x(r,c
f
J
f(r,u,x(r,*)}d P
f(r, u ,x(r,j))dq,
11
(Here-
after the stochastic integral means the continuous or regular kernel, even if the notation
be omitted.
11.
Theorem 11,
c(<*>)
Let L( T, J
Let
be independent of
./(?,
a/
,(a,"),
a <
T<
b.
only one (up to P-measure 0) stochastic process satisfying a stochastic integral equation:
f'
I
(11.1)
x(t,~)
c(u,) *
m(r, x (f,"))dr
f'
*
\
<r(T",x(T,o;))d g
a
f(r, u ,x(r,u;))dq
(x(r,uO, j(f,")
u>)
9
^(a,^);a <T<
b.
t) is independent of
(j?(r,a>) - /(t,
which belongs to
equation:
31
(11.3)
Dx(t,o)
L(t,x(t,o,)).
Proof:
We shall firstly remark that the condition (8) implies that each of
||
f(f ,u,
5)||
& <
^<
b} is compact
and so totally bounded as a continuous image of a compact set [a,b] for any assigned 5
Next we shall remark that (A) and (B) imply that
are all B-measurable,
and
f(T,u,5
)
Since L(t, J
)
is
B-measurable in L(t,
any
Besides m(t, 5
is continuous in
by (A).
Thus m(t,J) is
B-measurable in (t, }
f(t,u, J
)
).
Therefore f(t,u, J
is B-measurable in (t,u, J
since
is right-continuous in u.
We put
for
Vfny'V^)
and
we define
11
We put
f(tr,u,u)dq.
The triple of three elements of an i,d,l, L is also denoted by the same notion L,
(11.6)
u^
9 9
L (T, J) N
<T(T, J
and
/ >
where
t.
Firstly we shall prove the existence and uniqueness of the solution of the stochastic integral equation:
32
KIYOSI ITO
t
(11.7)
x(t,uy)
C(/)
such that
(11.8)
(x(t,u/),
J(^
^}
/(*,
a;),
a_<r<
t)
is independent of
we define
^(t,^), n1,2,...,
x (t,**0
*
recursively by
(11.9.1)
of (c (c*r)j N
bounded,
d(xo (t,^f)
is
(11.9.2)
xt,"')
= C (U,) *
I(r,x_(r,'))d
J
,
a< t<
b, n-1,2,.
r(r,u,
+ f ( r,u, 5 )dq - I Ig t
|u|<N
f
Ja
L (t
N
2
,
5Q )d
t
< (t-a)
1
.(r, 3Q )
^a
r
m(r,
b
^a
r
)
-\
Ja
^(^
J/<i
S\
*/
33
nr
i
u <irdu/u~
2
I
f(t,u, 5
dt-du/u
<2
K|U|<N
K|U|<N
f(f,u,3
cirdu/u
<
||f(t>, Jo )|*dr
,u|<N
Thus
L ((
L (T, j )djt Q
2
)
),
a
(B).
(*(L(tx(r))
].
L<f
5))d*
a<t<b
2
r
by making use of the condition (A),
Furthermore
in (t,or).
Consequently
(x (t,
***
)
is bounded.
x (t,u/
belongs to
and so measurable
(r ,") - J?(a,o/)j
f<
t) is independent of
(^(T,^)
/(t,o/);
t <
and we have
V1
f
n
_
'n
J
t
l(
K|U|<N
du
u
if
a
K|U|<N
34
KIYOSI ITO
a
t
<s
2
K|U|<N
t
((x (r, n
a
<-*"!
N J
a
2
(
But
-
((x^t,*/)
=
Q (t,
,))
We
obtain recursively (*
(11.10)
((x
a (t,)
t
x^Ct.u,))
<
oc^Vt-a)
-1 /
(jM,
(11.11)
n-1
t
n <3Kb-a)(t-a) /
(j,
35
(11.12)
n-1
n 2 OS (t-a) /
LD,
2
))
(11.13)
((
f
a
lr,xn (r,*o)
f(r,xn-1 (r,-^)))dt
du/u
K|U|<N
<
2*
n-1
GS
2 n ( F (b-a)(t-a) /
Jjj,
(11.14)
((
(
/
(f(r,x (r,u/))
f(r,x^ jr,^)))
i
dq)
7
|u|>N
*/
Now,
putting
tb
we obtain
V
'
a < t < b
1) <
2
,
n -1
where
JL
oC
CM (b-a)/
t
n-1.
Since
-.4.2 A
1
>
> " A
< oo,
n
a
is uniformly convergent in
by Borel-Cantelli
theorem.
(8) and
>
n
a
Similarly
36
KIYOSI ITO
t
J
a
f J
rrtr
and
if
J
N >
|u|
(f(r,u,xn (r,o/)) -
Consequently
(t,**/) is
also
*+*
).
1.
),
since
n (t,
*O, as
is recursively proved.
By letting n
> co in
Let y(t,
<*>
and z(t,
and
*>
)
<*/
(y(t> *"
2
)
C(z(t,
< G ).
above we see
<(y(t,0
t
z(t,/)))
<
"
0.
for t.
)
Since y(t,
=
P-measure
For the solution x(t,**/) obtained above by the successive approximations, f ? Let y(t, <*x ) be any C(x(t, a/) ) is bounded and so it does not depend on x (t, <** ).
solution of (11.7).
/)
n* 6n
P-measure 1.
MM
Now we put
-
Nily(t,")|
P(/l u )
>
since y(t,
*+* )
belongs to
d^class with I
x(t,w)
37
..
and so
n
for almost all
>
on .A
M and
* oo),
We put
D -
{";|c(a,)|
<M
f
|u|>H
dp(r,u,tO -o).
Then
E^
P^)
>
as
> co.
For
"
E^M
1
> N) we
havex(t,~ 5 M)
-xo (t,<^)
^(t,**^)
lim
We put
*K n
*K^ ~* a
<
ly(t,~)l
b}.
Starting from
?or<*< F
y(t,u/)
d.j-class
x (t,u/) Q
x^t,^)
)
...
1.
> x(t,k/jN).
belongs to
Therefore y(t,
Let
x(t,
<*/
be the solution.
Then we have
(11.15)
X(t,^)
X(8,u/) 4
(>
\
L(*>(
8
^,
Riis is also considered as a stochastic integral equation of the above type concerning
x(
r > u/ )>
< t-< b,
is obtained by the
3d
mosi
T<
)
ITO
above procedure and so x(t,u>) is a B-measurable function of x(s,<^) and (,/(*, a/)
-JK(s,o/), s <
b), as is easily verified if we use Theorem 1,
*
We put
x(t,<*
f.(x(s,
u'
=
<*/) 7
,/
<^< **-*
<r<
b)
and
*(t,"js, !)
t (Jj/(r,o/)
-/(a,-/),
b).
x(t f /ja,J)
5*
.)
L(f,x(^,^;5,5))dje
with P-measure
b) and x(t,u^ )-
x(s,u/)
L( t*,x(
^,u/))d^
By Theorem 2,3 we have, for almost all (with regard to the probability law of
,*),
a<r<
s))
fr
a<r<
3),
.
Pr{x(t,O
Pr{x(t,u/)
and so
c
E/x(r,~)
E/x(s,-)
a
L
}
<?<
-
s}.Pr{x(t,u/ ;8 , 5 S
55
Pr{x(t,wj 8 ,
^)
c E),
Pr{x(t,cu)t E/x(T,^)
?r,
a<f<
s}Pr{x(t,-)^ E/x(s,ux).
55 },
^ 0,
the
(11.17)
[1/Aj+A
tends to L(s, $
).
Let x
N
(t,M/;s-Ag, 5
8-a , 5 2
Then we have
(11.18)
x^t^js-Ag, J)
x(t,i*/js-A
2,
for
s-Ag
< t <
s^
and for
&
such that
39
(11.19)
r
I
dp - 0.
^
Now we have
(11.20)
2 |u|>N
xCs+A^u/ja-Ag,!
x(u/) + y(u/)
where
i:
L(^>5)
being continuous in
4>(z; t*,
^"
for any 5
)
characteristic function
ever
z
o*'
L(
^, J
when-
runs over any assigned bounded region, and so the l.c.f. of the [1/A^+A
P
-times
convolution of
(* means convolution)
40
KJYOSI ITO
Pr{z(uO
f o}
(& +4 )(1-e 1
")) . o(A 1+ A2 ).
Lemma 11,
that
x(u/), y(u/
and z(u/
(11.21)
Then we have
where ^
y * z and
Proof.
n
.
For
z* x
*/*
(^*)
u^,^,...,
z(<^>/),
Jf)
, y( a/ ), v
V"
1,2,. ..,n.
and P
^n
^
are respectively the p.1
*,*) *
#
(
of X
u/
>
xv
#
( ft/
)
and
f(o/)->x v (u/)+^y*v
*
(
>
z*
a, ).
But we have
2
(
*
i/
Ef (7*
^*))<(n^) "
4 n -
2
<sC
*oC< 2<t
n
Therefore we have
Ml >y*(o,*)|>*$U2**. y y
But
Pr{> z*( J*) + 0} < *
E Pr{z* y
*
a/*)
f o}
<
nf "
< 3
Thus we have
-<
^} < 2
$ +
*c
*c
^,
Remark.
(continuous case).
of L(t,j
is of
41
r
(e
-00
the above process increases only with jumps with P -measure The most simple case of
0*
0, f
(purely
discontinuous case),
equation
dx
,.
-35-
lt,x;.
17,
Appendix I.
Let A
derivative.
Then we have
b
(1)
[
**a
^'(g(t,c*))dg(t,cu)
A(g(b,M/))
X(g(a,u,))
lfA(g(t,u/))dt.
a
Proof,
We have
clearly
(2)
A (g(i,-))
A( g (o,u,))
y
...
,
+ 1
^ i
where
k
/^./k1
.
\\f f./ k
/k
...
N \
I 3
k1
/(n,k,
t)
tends to
uniformly in k as n
and g(t, u>
).
oo
on account of the
continuity of
42
KIYOSI ITO
If we define
f *(n,k,o/)
n
(n,k, u*
for
J(n,k,
u/ )|
<
S and
I*
then we have
(4)
>
S *(k n
(5)
tt
>
co
I,
in probability.
(g(t,<*>)) we can choose a sufficiently large
such that
If we define
S4*
M
5)
MS)
r r
)l
< M and
T ,u/)
is a differential process,
y.
)<M
3,M
>
k1
'-OO
-00
2l!
Therefore we have, as n
oo, I
>
in probability,
f.
in probability.
X(g(t,u/)) we have
43
FOOTNOTES
1)
W, Feller:
4)
5)
[*
such that
n <
at
form exp
y (z)
by Levy's theorem.
This
Cf . P. Levy:
Theorie de
I addition des variable aleatoires (1937), Chap, VII, and also my previous paper:
E(+)
is the set (\
:
1 6 E}.
7)
A, Kolmogoroff
Vol. 2, No. 6.
8)
J. L. Doob:
Araer.
E. Slutsky:
des fonctions aleatoires stationaires en composantes, Act, Sci, et Ind, 738, 1938,
10)
11)
J, L, Doob:
R, Fortet:
Markoff chains
denumerable case.
44
14)
15)
K. Ito:
KIYOSI ITD
K, Ito:
Vol. 22.
16)
17)
law seems to be somewhat incomplete, but it is available for our special case.
18)
interval:
19)
^
for A such that
By (x(r,u/), a
t.
<r<
x(r,~)
<*<
20)
21)
22) 23)
P. Levy:
24)
25)
26)
2?)
This theorem has been reported by the author without the proof, loc. cit. 14)
Appendix 2.
When
I
yet prove it in its complete generality, I have been able to solve it to a certain extent.
Let x(t, <^) be the solution of the stochastic integral equation in Theorem 11,
and x(t,u/ 's,
)
(1)
x(t,~. s , s)
5 + I
's
By putting
as
and c(ux)
5 in
^d
45
(2)
F(s,$ ;t,B)
x(t>K,))
I
Pr(x(t,~)E/x(s,*0
Theorem,
I.
Chapman's equation.
oo
(3)
F(s,S ;u,dl)F(u,i
,-t,E)
^II.
Let
J(f
"
j>
).
Then we have
'
,.A ;s^ 2
Uu
where m(s, 5
)>
(s> 5
and n(E,s, J
are determined by
L(s,
(5)
im(s, 5)z -
"
\%>
f r*
(e
-1
)
n(du, s, 5
).
J 00
III.
.2 -2-_. F(s,5 }5
D"
8
(6)
F(s,
Jit,B).
A
lim
O'
-J
)
(F(s, 5 jt,E)-F(s-A,
;t,E))
(7)
-i-
F(s,5 jt.E) *
f2
2
'
P(,f ;t,B)
(F(s,J*u;t,B)
F(s,J ;t,E)
--S- --
F(s,.j ;t,E))n(du,s, J
= 0.
46
KIYOSI ITO
Remark 1,
By specializing
m,^,n,
Case 1.
^"(J
),
original case.
Case 2. Case 3.
n(E,s, J
p(s, J
) )
< co
n(E,s,
J)
-
= p(s,
5)P(s,f,E(O 5
m(s,J)
and
jp
n(du, s,5
b(s, f ),
.2
F(s,5 ;t,E)
*
a(s,5)
-
>
s,J
f (P(*
}*>,*)
F(3,J;t,E)} P(s,3
o.
Remark 2.
-j
F(s>5
>t> E )
Proof 1,
is a
B-measurable function of 5
t"
u>)
^(s,<**), s <
"< t.
Put
Since
\.
L(r,x(r,ux;s,
5 ))
5
's
( U ,^ J9 , x(u,^;s, f
+f +1
47
x(t,~;s,f
= f
ut (x(u,,
)
p, 5), *(*,>)
/(,*
),
<r<
t)
independent of Jt(t,*^)
(s,u>), u
<T<
equation.
Since we have, by I,
jF(s-A, J ;s,dl
*
putting
\>(
F(s, 5 jt,E), A
A and A
= o in II.
liminary lemmas.
Lemma 1.
f
(9)
izu
(e
-1 -
Y/(z)
imz *
-i^-
J
-00
Uu
'^ u
d G(u), G(~oo
and
{P, }
Then
u
f
(10)
G.(u) u)
-2
1
7
-00
>
^ 2 v
P (dv) k
is bounded for
k1,2,... and
k
(11. a)
O (u)
u
and
> G(u)
of
G(u), and
48
KIYOSI ITO
(1Kb)
d Qk(u)
Fasc. 1, 1937).
Lemma 2.
Let
Let {P } be h
a system of probability laws, h running over (o,c), (expositive constant) such that
*[_!_ ]
(12)
>
u
-
P.
Then
r
-00
G (u) h
Pjdv)
is bounded for
(U.a)
for any continuity point
G (u)
n
G(u)
G(u), and
of
Fundamental Lemma.
Let
be an i.d.l,
oo
ZU
(15)
(a) =
I
\
(e
. -i-2JL) n(du) 2
y
and
vve
{P,
have,
f(5
(-oo
<|<
Then (12) implies that T* oo) with the second derivatives $ (5)*
(16)
Ida
; -00
49
Proof.
u
2
G(U) *<r
2 +
I^00 '"K
u
<KU) - f
1+v
n(dv) (u > o)
V
1+Y
2
-
Defining
G.
(u) by
we obtain
ji
dOh (u)
,
Uu
r
/
r
J
d CL(U)
i ( *>
where l^(u,
J
)
is defined by
-Vi'(5)> 1+u
"^
u
(u * o)
50
KIYOSI ITO
Then
^(ujj
J
fixed
(u, 5
,
since
2
|(f u) -
Id) .--l'(u)
(1)
)
ui'(5)
2
!L__i"(5) -uj(s)
+o(u
2(Uu
o(u
).
lim
h *o
1 h
ffr
1 J
m $(f
,'
f
1
V(u,
J
-O
+
00
-CD
J^u
O
J) d G(u)
-CO
CO
J
which proves the fundamental lemma.
-co
Let
{P^ ^
o < A
< c and
A..+A
Then
implies
(16')
lim
A +A
J/o
A..4A-.
[{<S*u)P AA (du)
1
-!()]
CO
*j
''O
51
Now put
I<5)
- F( S ,S;t,E),
and
P = L(i,J ).
Rien (8) i.e.
M
O1
1.
on locally compart
tpat.es.
it,
25 pp. 1950
$0,75
2.
J.
L K.
3.
with
supplement h\
$l SO
H. D.
Ursell and L. C.
Young, 'Rftwrh
on rbe thwry of
prim
enJt. 40
pp 19SK
51.00
4.
K.
$1.30
5.
90 pp. 1951.
$1 .40
6,
On
first
moment
I.
K. L, Chung and
M,
M,
12
D. Donsker,
4- 19
An
theorems.
11
12pp. 1951.
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