INTRODUCTION TO THE THEORY OF RANDOM PROCESSES I. L GIKHMAN A. V. SKOROKHOD Kieve State University TRANSLATED BY SCRIPTA TECHNICA, INC. W. B. SAUNDERS COMPANY Philadelphia * London * TorontoQA273 » ©4163 W. B. Saunders Company: West Washington Square Philadelphia, Pa. 19105 12 Dyout Street London, W.G.1 1835 Yonge Street \ Toronto 7, Ontario Originally published in 1965 as Vvedenie v teorige slychainich processov by the Nauka Press, Moscow Introduction to the Theory of Random Processes © 1969 by W. B. Saunders Company. Copyright under the International Copyright a Union. All rights reserved. This book is protected by copyright. No part of it ; may be duplicated or reproduced in any manner without written permission from the publisher. Made in the United States of America. Press of W. B. Saunders Com- pany. Library of Congress catalog card number 68-18287, wap) abe, ff 43-04Preface to the English Translation The present work of Gikhman and Skorokhod is the first pub- lication since the now classic “Stochastic Processes” by J. Doob to survey in a rigorous way the more modern results in the theory of stochastic processes and to link them to earlier developments in the subject. Not only are the standard classes of stochastic processes discussed, but much of the authors’ original work on limit theorems in stochastic processes is also included. A significant feature of the book is a unique and beautiful treatment of processes with inde- pendent increments, which assumes no prior knowledge of the theory of infinitely divisible laws. The book is appropriate for students who have a sound back- ground in probability from a measure-theoretic viewpoint and will, undoubtedly, be welcome as a graduate text. For reference purposes the authors have included a comprehensive discussion of measure theory and of the basic ideas of probability. The authors take great care to state the topological assumptions underlying each theorem, although occasionally a result may be stated in slightly greater generality than seems warranted by the proof. The book contains a wealth of results, ideas, and techniques, the deepest appreciation of which demands a most careful reading. Certainly, this is not a book for the indolent. The English translation was reviewed by H. Dym, W. Rosen- krantz, S. Sawyer, D. Stroock, S$. R. S. Varadhan, and myself. Although it was our policy not to make major revisions of the manuscript, we corrected many small inadvertent errors. Warren M. Hirscu Courant Institute of Mathematical Sciences New York UniversityIntroduction The current literature on the theory of random processes is quite extensive. In addition to textbooks and monographs especially devoted to this theory and its various divisions, there are many technical books, for the most part dealing with automation and radio electronics, in which considerable space is given to the theory of random processes. From the point of view of instruction this literature can be divided into two groups, the first consisting of serious and lengthy monographs whose difficulty hinders their use as beginning textbooks, and the second consisting of books that are either elementary or written for engineering students. There are no books in the [Russian] literature that are designed for rigorous exposition and are at the same time suitable for elementary instruction. The authors have therefore, decided to write the present book, based on material they have expounded in a number of courses at the University of Kiev. The first five chapters of the book are devoted to general questions in the theory of random processes (including measure theory and axiomatization of probability theory); Chapters 6 through 9 are devoted to mote specialized questions (processes with independent increments, Markov processes, and limit theorems for random processes). The book is designed for persons who have had a general course in probability theory and are ready to begin the study of the theory of random processes. The authors hope that it will prove to be useful for students in the universities and also for specialists, other than mathematicians, who wish to familiarize themselves with the fundamental methods and results of the theory in a rigorous though not the most general and exhaustive approach. The authors have not undertaken to treat all branches of the theory. Certain questions and methods that are well covered in current [Russian] literature are omitted. (These include the semi- group theory of Markov processes, ergodic properties of Markov Processes, martingales, and generalized random processes.) On the vvi INTRODUCTION other hand, questions that, up to the present, have not been included in books on the theory of random processes (such as limit theorems for random processes) but that play an important role in contem- porary theory, are considered. The theory of random processes has recently developed into a separate branch of probability theory. Because the theory of random processes is still so closely related to other divisions of probability theory, the boundaries between this theory and its divisions are often difficult to determine precisely, For example, the theory of random processes is related to the theory of summation of independent random variables by the division of probability theory that studies processes with independent increments, and to mathematical statistics by statistical problems in the theory of random processes. Let us characterize the problems in the theory of random Processes that, from our point of view, may be considered basic. 1. The first problem in the theory of random processes is the construction of a mathematical model that allows a rigorous (formal) definition of a random process, and the investigation of the general properties of that model. 2. A second problem is the classification of random processes. Obviously every classification is arbitrary to some extent. There- fore we need to begin with specific principles that at least indicate the direction the classification will take. The existing classification in the theory of random processes separates from the entire set of random processes certain classes that admit a more or less construc- tive description. Every class is characterized by the property that only a finite number of functional characteristics need to be specified in order to single out from the entire class an individual random process. Sometimes, we consider classes of processes that admit a uniform solution to a specified set of problems. In considering such classes, we are usually not interested in the difference between random processes, if the characteristics necessary for the solution of these problems coincide for them. We might mention the following broad classes of processes: (1) processes with independent increments, (2) Markov processes, (3) Gaussian processes, (4) processes that are stationary in the narrow sense, and (5) processes that are stationary in the broad sense. (We might include in this last group processes with stationary increments.) 3. The third problem, closely associated with the preceding one, consists in finding, for various classes of random processes, anINTRODUCTION vil analytical apparatus that will enable us to calculate the probabilistic characteristics of random processes. Such an apparatus has been constructed for the simplest probabilistic characteristics, and it uses, as a rule, either the theory of differential equations (ordinary and partial) and integrodifferential equations (in the case of Markov processes and processes with independent increments) or the theory of integral equations with symmetric kernel (in the case of Gaussian processes) or Fourier transformations and the theory of functions of a complex variable (for processes with independent increments and for stationary processes). 4. We need to single out a class of problems that has played an important role in the development of certain branches of the theory of random processes and that is of great practical significance. In its general form, the problem consists in the best determination of the value of some functional of a process from the values of other functionals of the same process. An example of such a problem is the problem of prediction: ‘ From observation of a process over a certain interval of time, determine the value of the process at some instant of time outside that interval. Under certain restric- tions, prediction problems have been solved for processes that are stationary in the broad sense (see Chapter V). 5. An important class of problems in the theory of random processes is the study of various transformations of random processes. These transformations are used to study complicated processes by reducing them to simpler ones. We might include with the study of transformations of random processes the theory of differential and integral equations involving random processes. This class of problems also includes limit theorems for random processes since the operation of taking the limit is a sort of transformation. At the present time the principal fields of application of the theory of random processes are electronics (which deals primarily with processes that are stationary in the broad sense and with Gaussian processes) and cybernetics (which deals with processes that are stationary in the narrow sense and with Markov processes). In mathematical economics and mathematical biology we use Markov processes of a different sort. In the molecular theory of gases we use the process of Brownian motion; in the theory of showers of cosmic particles we apply Markov processes and processes with independent increments. In general, the methods of the theory of random processes are finding ever new fields of application, and today every one of theviii INTRODUCTION natural sciences has felt the influence of this theory, at least to some degree. Let us characterize briefly the features of the contents of the present book. The first chapter is devoted to random processes in the broad sense. This is the name we have given to the portion of the theory of random processes that deals only with distributions of finite sets of values of a random process. This portion is very close to elementary probability theory, involves no complicated mathematical concepts, and is sufficient for many applications. For a more profound study of the theory of random processes, a more highly developed theory of measure and integration is necessary. Therefore, following Chapter I we expound all the necessary information in this field (Chapter II), and on the basis of this information we construct an axiomatization of probability theory (Chapter III). We also consider the general questions in the theory of random functions and, after that, specific classes of random processes and special questions in the theory. Among random processes, extensive treatment is given to processes with independent increments (to which one chapter is devoted) and Markov processes (to which two chapters are devoted). Stationary processes are considered to some extent in Chapter I and again in Chapter V, which is devoted to linear transformations of random processes. Chapter V also takes up the problem of linear prediction. An entire chapter is devoted to limit theorems for random processes. In this chapter basic attention is given to processes with independent increments and Markov processes. Most of the constructions are made for the case in which a random process assumes values belonging to a finite-dimensional Euclidean space. In a few cases we consider complex-valued one- dimensional and: multidimensional processes and also processes with values belonging to a complete metric space. We assume that the reader is familiar with the basic concepts of linear algebra, which is particularly important for the study of Gaussian processes, and the theory of Hilbert spaces, which is used in the study of linear transformations of random processes. The reader should also have some familiarity with functional analysis (complete metric spaces, compact spaces, etc.). We have not attempted to give a complete bibliography of works on the theory of random processes. In addition to books cited in the text, the bibliography includes only the basic books on the theory of random processes and probability theory that exist inINTRODUCTION ix Russian, as well as articles in which the fundamental results in this field first appeared. The book is divided into chapters and the chapters into sections. The basic formulas and also the theorems, lemmas, and definitions are numbered afresh in each section. A reference to a theorem or formula in the same section is indicated only by the number of. the theorem or formula. If a reference is made to a theorem or formula in another section of the same chapter, the section number * is added. If the reference is made to another chapter, the chapter number is added. The authors express their gratitude to colleagues and students in the Department of Probability Theory and Mathematical Statistics of Kiev State University for the help they have given in the preparation of this book. Kiev October 21, 1963 THE AUTHORS.Contents 1 RANDOM PROCESSES IN THE BROAD SENSE .......-.--.0-5-++ 1 1. Definitions .... 1 2. Correlation Functions (Covariance Functions) . 5 3. Gaussian Random Functions 13 4, Oscillations with Random Parameters . . 22 5. The Spectral Representations of the Correlation Func- tion of a Stationary Process and of the Structural Func- tion of a Process with Stationary Increments ....... 27 2 MEASURE THEORY 40 1. Measure a 2. Measurable Functions . 50 3. Convergence in Measure 56 4, Integrals ... . 61 5. Interchanging Limits ‘and Integrations. it Spaces . 68 6. Absolute Continuity of Measures. Mappings . 76 v7. Extension of Measures . 80 8. The Product of Two Measures 93 3 AXIOMATIZATION OF PROBABILITY THEORY 100 . Probability Spaces .... 100 On eS . Construction of Probabi . Independence . Series of Independent Random Variables . . Ergodic Theorems .. . Conditional Probabilities and Conditional Mathematical ExpectationsJ xii 4 RANDOM FUNCTIONS ... 1 v2. 3. Measurable Random Functions .. 4. CONTENTS. Definition of a Random Function Separable Random Functions . . . Conditions for Nonexistence of Discontinuities of the Second Kind 5. Continuous Random Functions . 5 LINEAR TRANSFORMATIONS OF RANDOM PROCESSES - 174 1, Hilbert Spaces .... 174 2. Hilbert Random Functions . ~ 181 3. Stochastic Measures and Integrals ..... ++ 190 4, Integral Representations of Random Funct - 200 5, Linear Transformations .. .. 207 6. Physically Realizable Filters . «+ 216 7. Prediction and Filtering of Stationary Processes . . » 226 8. General Theorems on the Prediction of Stationary Processes oe 6 PROCESSES WITH INDEPENDENT INCREMENTS ....---.-..----++ 255 1, Measures Constructed from the Jumps of a Process ..... 255 2. Continuous Components of a Process with Independent NNCreMON Se ee ee 264 3. Representation of Stochastically Continuous Processes with Independent Increments ++ 270 4. Properties of the Sample Functions of a Stochastically Continuous Process with Independent Increments ... 274 5. Processes of Brownian Motion - 282 6. On the Growth of Homogeneous Processes with Independent Increments ...........--++++eeeee eee 288 7 - JUMP MARKOV PROCESSES .......- 00-000 c eect eee eee eee 297 1. Transition Probabilities . 298 2. Homogeneous Processes with Countably Many States... 302CONTENTS xiii 8. Jump Processes ....... 06. 0ee cee ceeeeeee tesa eee e ees 4, Examples 5, Branching Processes . 6 7. . The General Definition of a Markov Process . . The Basic Properties of Jump Processes .... 38 DIFFUSION PROCESSES .... 2.000000 0e cece ee eeeeeteeee eee 370 1. Diffusion Processes in the Broad Sense . a o72 ¥ 2 Ito's Stochastic Integral ...... - 378 © 8. Existence and Uniqueness of Solutions of Stochastic Differential Equations . . 4, Differentiability of Solutions of Stochastic Equations with Respect to Initial Conditions . . 403 5. The Method of Differential Equations ; . 6. One-Dimensional Diffusion Processes with Absorption .. 420 9 LIMIT THEOREMS FOR RANDOM PROCESSES ..... 2.0.02 000005 - 438 1. Weak Convergence of Distributions in a Metric Space .. 440 2. Limit Theorems for Continuous Processes ........... 448 3. Convergence of Sequences of Sums of Independent Random Variables to Processes of Brownian Motion .. 452 4, Convergence of a Sequence of Markov Chains to a Diffusion Process . .. - 459 5. The Space of Functions without Discontinuities of the Second Kind ....... 6. Convergence of a Sequence of Sums of Identically Distributed Independent Random Variables to a Homogeneous Process with Independent Increments . 478 7. Limit theorems for Functionals of Integral Form . 484 8. Application of Limit Theorems to Statistical Criteria .. 490 BIBLIOGRAPHIC NOTES «2.0.02. 00 0c 00ceeeeeeee eee ee eee eee eee 497 BIBLIOGRAPHY . 503 INDEX OF SYMBOLS «2.002000. 00c cee ceeeeeeeeseeeteeceeees 5} RANDOM PROCESSES IN THE BROAD SENSE 1. DEFINITIONS The course of a random process, like that of a deterministic process, is described by some function (@) (which may assume real, complex, or vector values), where assumes values in a reference set @. As @ varies, &(@) describes the evolution of the process. (Of course, the way in which the process evolves is random, and each of the functions &(-) describes only one of the possible ways in which the process may develop). These functions é(-) are called sample functions of the random process. For each fixed 9, the quantity é(9) is random. To be able to apply mathematical methods to the questions that we are studying, it is natural to assume that ¢(@) is a random variable (possibly vector- valued) in the probabilistic sense. Consequently, by a random process we mean a family of random variables &() depending on a parameter ° 6 that assumes values in some set @. If the set @ is arbitrary, then instead of the term “random process,” it is more convenient to use the term “random function” and to re- serve the name “random process” for those cases in which the para- meter @ is interpreted as time. When the argument of a random func- tion is a spatial variable, this function is also called a random field. This definition of a random process, or a random function as we have just agreed to call it, needs to be made more precise. For the sake of simplicity we shall speak of a random function that assumes real values. First of all we need to make clear just what is meant by “a family of random variables depending on a parameter 9.” We recall that in accordance with the principles of probability theory, a finite sequence of random variables Si Sy tts Eq is completely characterized by the joint distribution function2 RANDOM PROCESSES IN THE BROAD SENSE F (Xs Xap +045 Xq) = PEEL 0; € i= 1,2, +00, m n= 1,2, 006, (2) and each distribution function Fy,.»,,..,0,(%: Xx +++, X,) is interpreted as the joint distribution function of the sequence of random variables 1). © Of course for such an interpretation to be possible, the family of distributions (2) cannot be completely arbitrary. It must satisfy the following obvious conditions, which we shall call the compatibility conditions for the family of distributions (2): F, OOo (1s Xap ty Xqy +09, +++, +00) Onseeetnagl end Eis Nay 244 Xn)» (3) vaeglip Fay 1%) (4) where i, i,,+++,i, is an arbitrary permutation of the indices 1,2,+++,1. The necessity of these conditions arises from the following relations: Fou Fatty ho Xe °° Xa) = Foistig Fy, 7 9 Xqy boos tee, +00) = PLEA) < X15 (92) < Xa +++ (On) < Xp» F(Paia) L095 +245 EOn+e) < oo} = PLE(A) < Xp E(B) < Xay ++ #5 (On) < Xiah Fos dyynsty Bis Xay 0149 Xn) 9 F (Xp By 605%) = PLE(O) < Xin (0) < Xo #25 ,) O (k= 1,2, 004,58) Q) if the mathematical expectation on the right is meaningful for all 6,€@ where i=1,-+++,s. The quantity q=j/,+j),+ +++ +, is called the order of the moment function. m. iy Definition.2. A random function &(4), where @€®, is said to belong to the class L,(@) (and we write £() € L,(@)) if M| £(9) |” < o> for every 0€@. Theorem 1. If (9) €L,(8), the moment functions of order q are6 RANDOM PROCESSES IN THE BROAD SENSE finite for all q 0, and where C* is the adjoint of C (Here, we note that C is real and orthogonal and thus C* coincides both with the transpose and with the inverse of C (that is, C* = C’ = C-).) Let us make a change of variables of integration by setting t= Cu or w= C*t, where w= (ty, ty, ++, Uy) - Since the element of volume is not changed under an orthogonal transformation, it follows that ° ' 1 fe) = ae wal. _oxp {=H ~ m, Ca) — 5 (NCu, cu)hi We have (ACu, Cu) = (C*ACu, u) = Sa, (x — m, Cu) = (C*(x — m), u) = 3 xtu, where af is the kth component of the vector x* = C*(x — m). There- fore,at MS 3. GAUSSIAN RANDOM FUNCTIONS 6 a exp {13 stu, 1s rani eo im 21 . exp { ixtu, — Sut}, es veal Furthermore, [[?.,\, = A, where A is the determinant of the ma- trix A, and (D“'x*, x*) = (D'C*(x — m), C*(x — m)) = (CD“C*(x — m), (x — m)) = ((CDC*) "(x — m), (x — m)) = A-\(e —m), (x — m)), where A-' is the inverse of the matrix A. Finally we obtain xp {— Fee — m), @ — mh ve = Qsy-( fw) einen 1 OM = Tamra ° 1 { Aus(Xs = mj) = ma} = op} - Suet Cie Voara A (6) where the A,; are the cofactors of the elements of the matrix A. It follows from (6) that f(x) = 0 and it follows from (5) that \ fiayde = 0) = Thus the function f(x) can be regarded as an n-dimensional distribu- tion density, and y(t) is its characteristic function. Turning to the general case, let us suppose that the matrix A is a matrix of rank r (where r p(t) = exp {i(m, t) — 1/2(At, 1)} for all ; that is, a limiting distribution exists and is Gaussian. - Let us turn now to random functions. A real r-dimensional random function £(0) = {&,(0), «++, ,(0)} is said to be Gaussian if for every n the joint distribution of all components of the random vectors £(0,), (02), «+++ £O,) (9) are Gaussian. The covariance matrix R of the joint distribution of a sequence of random vectors (9) is rn x rn and it can be partitioned into square rx r cells as follows: R(9,, 9) R(O,s 02) +++ Ry, O.) ++ Rs, 84) R=|R(Ox,9,) R02, 0:) R(B,»8,) K(Oys 9s) «** Rg» Bx) where R(9,, 6;) is the covariance matrix of the function g(9). The matrix R is teal and nonnegative-definite.18 RANDOM PROCESSES IN THE BROAD SENSE The converse is obvious. Specifically, for any real-vector-valued function m(9) and any real-vector-valued nonnegative-definite matrix function R(O,, 6), where 6,¢@ (for i= 1,2), there exists an r- dimensional Gaussian random function (in the broad sense) for which m(0) is the mathematical-expectation vector and R(0,, 0,) is the co- variance matrix. The moments of a Gaussian real valued random function can be obtained from the decomposition of the characteristic function. Confining ourselves to the case of central moments, we set #(?} = 0. Then Wry +24 Oar try oes be) = ecmann 1 — Ling 2 ot a + ap lA Fee t(D AB Ot + ee where A = (R(0,,0;)) for j,k =1,+++,s. From this we obtain for an arbitrary moment function of odd order, /4;,...;,(0:, +++. 0,) = 9 if Stas, =2n+1. For central moments of functions of even order, _* 1 Oth «++ Ot Dent Bayona (Os 00+ 90) (At, 04 Ble = 2m. (10) For example, for fourth-order moment functions we have the fol- lowing formulas: HA9) = 3RO, 0), Ha (Ors 82) = 3R(A,, 9) R(O,, 92) » Ha(91> Oz 92) = R(O,, 9;)R(z» 92) + 2R(O, O,)R(O, 92) » Hau(9sy Bay Os» 84) = R(Br- 8.) RBs» I.) + R(x, O:)R(Bx, 94) + R(x» O)R(O2s 9s) « In the general case, Lj, 5 (Ors +41 Oe) = ETIR(Dys OQ) » qq) the structure of which can be described as follows: We write the points @,, +++, 6, in order, where 9, is repeated until it appears j, times. We partition this sequence into arbitrary pairs. Then we take the product on the right side of formula (11) over all pairs of this partition, and we take the sum over all partitions (pairs that differ only by a permutation of the elements are considered as a single pair). The assertion follows immediately from formula (10). The fact that Gaussian random functions play an important role in practical problems can be explained in part as follows: Underrr 3. GAUSSIAN RANDOM FUNCTIONS 9 quite broad conditions, the sum of a large number of independent small (in absolute value) random functions is apporoximately a Gaussian random function, regardless of the probabilistic nature of the individual terms. This so-called theorem on the normal correla- tion is a multi-dimensional generalization of the central limit theorem. Here is one of its simpler formulations: Theorem 5. Let {7,} denote a sequence of sums of random func- tions 7,9) = Skt, a,,(8), 96 @, n= 1,2, +++. Suppose that the fol- lowing three conditions are satisfied: a, For fixed n, the random variables 0,,(0,), ys(02)> ***+ EnmgOm,) are mutually independent for arbitrary 0,, 0,, +++, Oq,,, possess second order moments, and Mct,,(0) = 0, Ma2,,(8) = 63,0), max, b2,(0) > 0. asn— co; b. The sequence of covariance functions R,(0,, 9.) = M{7x(0,7403)4 converges as n—» co to some limit lim, 2 Ry(0,. 02) = R(Ays .)3 c. For every 8, the sums 7,(9) = Sy2% ,,(9) Satisfy Lindeberg’s condition: For arbitrary positive t, Ls BE Born, MANO» where T1,,(0, x) is the distribution function of the random variable 0,4(9), and BL = 5%, b3,(0) = R,{8, 8). Then the sequence {n,(8)} converges weakly as n~+ co to a Gaussian random function with mathematical ex- pectation zero and covariance function R(0,, 0.)- Proof of this theorem reduces to one of the variants of the one-dimensional central limit theorem. We recall the necessary formulation: Theorem 6. Suppose that ©, = Sik: Sau» for the random variables &,, satisfy the following condition: a. For fixed n, the random variables E_1, Gy: +++ Fam, 4Y€ NOn- degenerate and mutually independent, M&,, = 0 and Mi, = b%43 b. For arbitrary t > 0, Lindeberg’s condition is satisfied: 1,2, +++, where a 3\ dT (x) +0 as no, eae where B2 = >. bi,, and the 11,,(x) are distribution functions of the variables &,,. Then the sequence {C,/B,} of the distributions of the variable C,/B, converges as n—» co to a Gaussian distribution with parameters 0 and 1 (Cf. Gnedenko [1963], p. 306). Consider the characteristic function ie E tymnto aplOry +025 Bas thy, 066, tt.) = Me o*20 RANDOM PROCESSES IN THE BROAD SENSE which for t = 1 is the characteristic function of the joint distribu- tion of the variables 7,(0,), ++, 7,(0,), and for fixed 4, ---, t, is the characteristic function of the random variable 3{}_,t;7,(0;) = Cn The quantity ¢, can be written in the form t= Ei has B = Steal), Here, MBny = 05 Bes = MBin = 3 yf Metar(Oj)rau(O9)] » BR By = SB, = SS tt, Rls) » Noe From this we see that max Biz SS) tty max by_(B,) Max b,(0,) 90 as noo, Fears F and B—> B = S)},,.. t;t,R(0;,0,). If B= 0, then {C,} converges weakly to zero and y4(0,, +++) 04, tis +++ t,) 91, which is a special case of the assertion of the theorem. For B*>0 we verify the satisfaction of Lindeberg’s conditions for the variables 8,,. In this case it is sufficient to show that Smfe(S, t54s(0)))( $5 tst(0.)) | 0 a ne for arbitrary t > 0, where g.(x) = 0 for |x| . If t,0e,,(0,) is the greatest in absolute value of the 1,e¢,,(0,) (for j = 1,2, +++, 3), then (35 tstalOsd)( 5 eas.) sanllatat ON Cttal OD) + Therefore we always have 8-( 3 taalO))(S eas(0)) SY, eonltsetaa(OMN sea)? and 3 m[se(S 0.009) S; 1140030) | sedans a7 Senor x°dT,,(0;,xX) +0 as no. Thus the centra] limit theorem is applicable to the quantities By, By virtue of this theorem, - mit Esty titty) Wars +95 Os thy, oo 6, tt) oe em gE Here, if we set t= 1, we see that the sequence of characteristic3. GAUSSIAN RANDOM FUNCTIONS 2 functions of the joint distributions of the quantities 7,(#;), for j= locr+ss. converges as n— co to the characteristic function of a Gaussian distribution. The continuity of the correspondence be- tween the distributions and the characteristic functions implies the conclusion of the theorem. A vector process £(t), for te[0, T], is called a process with in- dependent increments if, for arbitrary t,, t,, +++, where Och << <4 ST, the random variables £(0), £(t,) — (0), &(t,) — E(t.) ++ ++ E(t.) — Xt) are mutually independent. Chapter VI is devoted to the theory of these processes. A Gaussian process with independent increments is called a Wiener process or a process of Brownian motion. Yf we observe through a high-powered microscope a small particle suspended in a liquid, we see that the particle is in constant motion and that its path is an extremely complicated broken line with chaotically directed links. This phenomenon is explained by the collisions of molecules of the liquid with the particle. The particle is considerably larger than the molecules of the liquid, and in a single second it experiences an enormous number of such collisions. It is impossible to follow the result of each collision of the particle with the molecules. The visible motion of the particle is called Brownian motion. As a first approximation we may assume that the displacements of the particle under the influence of collisions with the molecules of the medium are independent of each other and thus we may consider Brownian motion as a process with independent increments. Since each indi- vidual displacement is small, we may assume that the central limit theorem in probability theory is applicable to their sum, and we may treat Brownian motion as a Gaussian process. Let us make some remarks regarding the structural function of a process of Brownian motion. If t, 0, F=1,2. (13) If D(s) is continuous, it is easy to see that solutions of equation (13) are of the form D(s) = Ds, (14) where D is a nonnegative-definite matrix. Formula (14) completely describes the structural function of a process of Brownian motion with stationary increments. If the mathematical-expectation vector m(t) = M(E(t) — £(0)) is continuous with respect to t, then m(t) = mt. In the one-dimensional case, Brownian motion with stationary in- crements is completely determined by the distribution of the quantity &(0) and the parameters m and o, where og >0. Here, M[g(t) — £(0)] = mt and D[&(t) — &(0)] = 0%. It was just this process that N. Wiener first studied in detail. 4. OSCILLATIONS WITH RANDOM PARAMETERS We now introduce some terminology that will be useful for a physical interpretation of random processes. If é(t) denotes an elec- tric current at an instant 1 and if we are interested in the energy dissipated by this current per unit of resistance, we have the follow- ing natural definitions. The quantity ie (dr is called the energy of the random process é(#) in the course of an interval [f,, 4]. The intergral (" e(dt, if it converges, is called the total energy of the process €(t) (for —co << co), The limit lim (nde roo OT Jr is called the mean power of the random process. If the process &(t) is complex we should write | é(r) |? in place of (1) in the two preceding expressions. In the case in which the process has a different physical inter- pretation, this terminology may prove contrary to the usual repre- sentations. Nonetheless, we shall use it in what follows. In many questions random processes are simulated by the sum of harmonics with given frequencies and random amplitudes and phases. In other words, one considers processes of the form £0) = Sha 005 (tut + 9) a)4. OSCILLATIONS WITH RANDOM PARAMETERS 23 where the u, are given numbers and the quantities a, and p, are random. The probabilistic structure of this process is completely determined by the joint distribution of the random variables a, and pr (for k= 1,2, +++5n).* If a random process g(‘) is the sum of » harmonic oscillations with amplitudes |@,| and frequencies u, the set of all frequencies {uj}, for k = 1,2, +++,n, considered as a set of points on the line (-o , co) ever more densely. In passing to the limit, we can obtain a random process that has a continuous spectrum. The more precise meaning of this term and the question of the analogue of the representation (9) for the random processes obtained in this manner will be considered in Section 5 and later in Chapter V. Here we confine ourselves to a consideration of the limiting distributions. Theorem 1, Let {a,,} and {@,,} (for k=1,+++,n and n= 1,2, +++) denote two sequences of sequences of mutually independent (in each sequence) random variables MO, = MBne == 0, Ditye = DBax = Bin < © and Gu(t) = Sika Fare*** = Eq(t) + ia(t)s Yar = One + IB Suppose that the following conditions are satisfied as n— co: a. The sequence of the spectral functions F,(u) of the processes &,(t) converges on some everywhere-dense set of values on the line (— co, co) to a bounded function F(u), such that F(—co) =0, F+oo) = 0% = lim2 Sb, , noe b. The random variables ay, and 8, satisfy Lindeberg’s condition (cf. Theorem 5 of Section 3). Then the sequence of random processes £(t) converges weakly to the stationary process €(t), where C(t) = &(t) + int). The characteristic function of the joint distribution of the variables E(ty)s sos E(t)» MA), ++ +5 M(t.) (10) is given by the expression HO 255 Rar fn vote fe) = exp {= aah. a) where B= s Rey = Zt % = dy — ity, fa leernss (12) R(t) = [ear : (13) We note that under the conditions of this theorem we can use an arbitrary bounded nondecreasing function for the function F(u). This theorem is a special case of Theorem 5 of Section 3. In this application we take @ to be the set of points @ = (t, 4), —co be = rey, where W* is the adjoint of the matrix Y; that is W* = (W,) for falyeessmand k= 1,+++,0; Wi = VY. The norm || || of the matrix @ is defined as ||| =V@.%) = [SX TPaP. it Theorem 2, For a matrix function R(t) = (R;,(t)), where j,k = 1, +++,m, to be the covariance matrix of some vector-valued process £(t) that is stationary in the broad sense and satisfies the condition lim m||g(¢ + 7) — (| = 0, (4) it is necessary and sufficient that it have a representation of the form Ri) = etd Flu) , (5) where Fu) = (Fj,(u)), for j,k = 2, +++,n, is a matrix function sat- isfying the following two conditions: (a) For arbitrary u, 0, (8) if and only if this function possesses a representation of the form © gitge gis gin _ itu Plt fy tt) = =| dFu), (9) u,, the matrix F(u) — F(u,) is nonnegative-de finite; (b) IP aayeeron coo, o where L julst, kw) = > Jul >. Proof. Let us set pay = e(BEY)-e(E), male, k=O 41, +200 a) For arbitrary m, the sequence £,,(k), for k = 0, +1, +2, +++, isa process with discrete time that is stationary in the broad sense. On the basis of Theorem 3, the covariance matrix R,,(k) of the sequence (11) has the following representation34 RANDOM PROCESSES IN THE BROAD SENSE Rk) = {. eMdF,(u) , (2) where the F,,(u) satisfy condition (a) and tr{F,,(z) — F,(— —0)} < oo. It is more convenient to write formula (12) in the form R,(k) = ly eitk™y dP (u) , (13) where F,(u)=0 for u< —2"2, F(u) — F,(“_)—r,( == —2" <2" Fw = F.(4) FA Z ) for —2"7 2". Since k st+k+1 r+ NG ,tp TT tt +s. ahs 2m + x) = SSio(e REEL ey ERE +I-D, it follows that for numbers 1,, 1,,f,, and t, of the form k/2™ (where k =0, +1, £2, +++), we obtain Dest tntd = [OPE RO exp {ME EI DV m aF,(u) = itty _ giuty g-iuty pints ) Ln ORO GR _ 7 which can also be written in the form fe ete aati tt ety Pl to byt) = [7 SE gta» (04 where H,,(u) = ii CL (15) ~" 4 sin? Get Let us now show that the sequence of matrix functions H,,(u) is weakly compact. This means that the sequence {H,,(u)} contains a subsequence {H,,,(u)} such that for an arbitrary f(u) that is bounded and continuous on (— co, oo), tie ("fat (w) = | funda),To 5. SPECTRAL REPRESENTATIONS 35 where H(u) is some matrix whose elements are functions of bounded variation. The matrix H(u) is then the weak limit of the sequence of the matrices H,,,(u). On the basis of Helly’s theorem the sequence {H,,(u)} is weakly compact if the norms of the matrices H,,() are uniformly bounded (with respect to m) and Ij di1,(u)|—-0 _ Iwi>a formly with respect to m. Let us show that these conditions can be satisfied. We have Dt, t + htt + hy = MU + fh) — SMEG + A) — (]*) 4 sint ; e 7 ie = lagen t= had i) Let us set y(h) = M|/E(t + 4) — E(t) ||’. By the hypothesis of the theorem, #(h) +0 as h->0. From this it follows that the function (A) is continuous. This is true because |e") — wh) | S MUSE + 2’) — ot + || x [eG +h — SO || + E+ *) — SOND SVG BGR) + VATE FY) - It follows from (16) that for 4 > 0, . sine Hl) & [Dit + fate + MIB |° are, where H,(u) = (H(u)) for r,s =1,+++,h. If Alh| 1 we have Wh) = 4 sine“ gpre.m (uy \wi> 2 = af — cos uh) d He (u) « (1g) Integrating this inequality with respect to h, we obtain : Sri =a) dH *(u) . Ah) Sina36 RANDOM PROCESSES IN THE BROAD SENSE Since the left-hand member of this inequality approaches 0 inde- pendently of m as h—+0, it follows that j der"(u)— 0 wa uniformly with respect to m as A+co. From the positive-definiteness of the matrix AH,,, we have || AH,,(u) || < tr AH, . so that st| dH,(u) +0 as Aco lua I. atta uniformly with respect to m, and by virtue of (17), These inequalities prove the weak compactness of the sequence of matrices H,,(u). If we now take the limit in (14) with respect to the subsequence of indices m, such that {H,,(u)} converges weakly to H(u), we obtain ule ae iat, ental — e-iuts dH(u) Dts tas ts 4) = { Se ce ee : Mit) = | ie te) This equation is valid for all dyadic 4, 4, t,t, Obviously H(u,) — H(u) is a nonnegative-definite matrix. Since the left and right members of the formula are continuous functions and since these two members coincide on an everywhere-dense subset of the values of 4, ty, ty, ty they are equal for ail values of these variables. It only remains for us to set F(u) = {" {dH(u)/k(w)} to obtain the desired result. Let us now look at a scalar random field é(x) in n-dimensional space E,: x = (x, x°, +++, x") where —oo 0 as 7-0. (19) The Bochner-Khinchin theorem for nonnegative-definite functions of a single variable can be carried over almost without change in the course of the proof to functions of several variables. Thus the covariance function of a homogeneous field satisfying condition (9) has a representation of the form R(x) = \, dow) , where (x,y) denotes the scalar product of the 2-dimensional vectors x and vy and o(A) is a finite measure in E,. A random field is said to be isotropic if the covariance function R(x,, x,) depends only on x, and the distance between the points x, and x, If in addition it is homogeneous, then R(x,, x) = R(?), where p is the distance between the points x, and x,: o=V Sei— x. We will find a representation of the covariance function of a homo- geneous isotropic field. Let us look at the expression for the co- variance function of a homogeneous field R(p) = | et*dotw) and let us integrate this expression over the surface of a sphere S, of radius p. Reversing the order of integration, we obtain "G) RO) = seatget VAI. eemashdaty) . (20) Let f(x) denote an arbitrary integrable function in E, and let V, denote the ball of radius with center at a fixed point. Then wr, feds 0 dat = \,, flxyds ,38 RANDOM PROCESSES IN THE BROAD SENSE where the integral on the right is over the surface S, of the ball V,. Let us use this formula to evaluate the inner integral on the right side 01 formula (20). Shifting to spherical coordinates in n- dimensional space (cf. G.M. Fikhtengol’ts, vol. III, p. 401) and taking for g, the angle between the vector x and y, we obtain [fo [ferme sions, tl \ Md ee dx ze x sin™tp, ..+ sing, sdrdp, +++ dp,» ree ) [error sinade, = 5 [eletees 20" sin pd, 2+ 1) (1 Tr _ pape Cin alae \' [lemme sin"-*p,drde, . Furthermore, and I= (a [ferme sin"*p,dp, ° perio A) (2H) (2k + n) 0 + *) . 2 =Scy Fe Using the formula for the gamma function for half-integral values 1) _ Vz Tk) r(k+3)= Bae’ we obtain P(t !)20m-tper ply |\eeum var( 2 ono . (et ) i Ec |y|re a A r(t + + + ) =Er(4) (RY rnto vl. where J;,(x) is the Bessel function of the first kind of order m. Consequently,5. SPECTRAL REPRESENTATIONS 39 semdyt vo. dxn — (200\"" i. dx! + dx = (#2) Jal |) « From this it follows that sila 2m \*" [07 = EY vacant - In particular, the integral depends on |v}. We introduce the positive parameter ) and we set g(d) = o(V,), % >0. This last formula and formula (20) yield Rip) = 2 (F) [ea A) dec (21) where g(d) is an increasing function, g(0) = 0, and &(+00) = O(E,) = RO) < « Thus we have obtained Theorem 5, For R(0)(0

A belong to ©, then (A) < e(B), and if (A) # 02, then p(B\A) = p(B) — f(A). b. If {A,} is @ countable or infinite sequences of sets belonging to , then (Yq An) S Sin HAy)- c. If {A,} is an increasing sequence of sets in ©, that is, if Agi, DA, for n = 1,2, +++, then lim p(A,) = u(U4.) , (3) d. If {A,}, for n= 1,2, +++ is @ decreasing sequence of sets44 MEASURE THEORY in © and if (A,) < 0, then lim (4,) = 0(AA.) - (4) me aot Proof. a. Since B\Ae@ and B= A U (B\A) (for Ac B), we have pe(B) = (A) + p(B\A). b. Let us set C, = A, and C, = A,\(Uii 4,) for n = 2, 3, +++. Then the sets C, belong to © and they are pairwise disjoint (that is, C, C,= @ forn#r). Furthermore, Uz, C, = UZ, 4, and (C,) < (A,). Therefore, Ws) = #(0,C.) = 3 acy) s aay) « c. If A,C Ags, for n= 1,2, +++, we obtain, in the notation used above, C, = A,\A,_, and /4(C,) = (A,) — #(Ay.) if #(A,_.) # 20- Let us suppose that 44(A,) # co for every n and 4,= @. Then #(S,4,) = ele) = SS eA) = 64,-)] = tim (4) « On the other hand, if 4¢(4,,) = co for some n =n, then for n>, we have a fortiori 1(A,) = co and p(U3 4.) = d. Let us set B,=A,\A, for n= 1,2,+ The sets B, belong to the g-algebra ©, they increase monotonically (that is, B, © By,,), and from (c), f(Uz- B,) = lim,_.. 4(B,). On the other hand, Mz, 4, = 4\U2., B,- Therefore H(AAe) = 104) = (0B. = 114.) — tim (8) = m(A,) — lily.) — p0(4,)] = lim pe(4,) « Definition 6, Let {4,}, for n= 1, 2, 7 denote an infinite sequence of sets. The Jimit superior Tim A, of the sequence {A,} is defined as the set consisting of those points of U that belong to infinitely many of the sets A,. The limit inferior lim A, of the sequence {A,} is defined as the set of those points of the space U that belong to all except possibly finitely many of the sets A, for nee Thus Tm4,= A U4. (5) lim 4, = Uf 4.- (6) If {A,}, for n= 1,2, +++, is an increasing sequence, then lim A,=1, MEASURE 45 lim 4, = Uz. 4, On the other hand, if {4,} is a decreasing sequence, then lim A, = lim A, = )z.4,. It follows from (5) and (6) that the limits superior and inferior of a sequence of sets belonging to a g-algebra © also belongs to G. If sx denotes a measure on 6, then it follows from assertions ¢ and d of Theorem 2 that yim A,) = lim «(0 4) ; (7) ce ulisn 4,) = Tien (FY Ay) , (a) Sas ane with equation 7 holding if the measure j is finite. Definition 7. A sequence of sets {A,}, for m= 1,2, +--+, is said to be convergent if lim A, = lim A,. In this case the common value of the limits superior and inferior of the sequence {A,} is called the limit of the sequence {4,}: lim A, = fim A, = lim 4,. It follows from our definition of convergence of a sequence of sets that every point ue U either belongs to only a finite number of the sets A, or belongs to all the A, from some x on. It follows from what was said above that every monotonic sequence is con- vergent. Since HAA) s 4) s(G 4). it follows on the basis of formulas (3) and (4) that for every con- vergent sequence {4,} of sets A, and every finite measure 1, plim A,) = lim 4(A,) « (9) We now introduce the following useful concept: Definition 8. A class WM of sets is said to be monotonic if the convergence of an arbitrary monotonic sequence of sets A,é M, for n= 1,2, +++, implies tnat the limit of such a sequence belongs to M. Since the intersection of monotonic classes is a monotonic class, it follows that corresponding to an arbitrary class & of sets there is a minimal monotonic class m{Q{} containing 9%. Obviously, every g-algebra is a monotonic class and every algebra that is a monotonic class is a o-algebra: Uz, 4, = limUf., 4:- In many cases we need to show that a particular class of sets contains a minimal o-algebra generated by a given algebra. For which the following theorem is useful. Theorem 3. The minimal monotonic class m{%} containing the algebra % coincides with the minimal g-algebra o{%}.46 MEASURE THEORY On the basis of the remark made above it is sufficient to show that m{2} > o{2%}, and to do this it is sufficient to show that m{Q{} is an algebra. Let §t{A} denote the class of all sets B such that AU Bem}, A\Be m{}; B\A € mi} (10) The class §¢{4} is monotonic: if {B,} is a monotonic sequence of sets and each B, satisfies conditions (10), then A U B,, A\B,, B,\A, are also monotonic sequences of sets and lim (A U B,) = AU lim B, e m{QQ , lim (A\B,) = A\lim B, € m{2l} , lim (B,\A) = lim B,\A € m{QQ ; that is, lim B,em{Q}. If AeW, then {A} > YA. Consequently, m{Q} C RA}; that is, for every Fem{%} we have Fe SA}. It then follows from the definition of &{F} that A¢ S{F}. Then just as above, it follows from the monotonicity of &{F} that m{2%} c K{F}. This means that relations (10) hold for arbitrary A and B in m{{}; that is, m{Q0} is an algebra of sets. Let us pause to look at arbitrary countably additive functions defined on a g-algebra of ©. We shall call them charges. Since every charge is the difference between two measures the study of charges reduces to the study of measures. This follows immediately from Theorem 4 below. Definition 9, For arbitrary 4¢6, the quantities W*(A) = sup W(4); W-(A) = —inf —W(4’) qa) Mead HAAS are called respectively the positive and negative variations of the charge W on the set 4, and the quantity |W\(A) = W*(A) + WA) (12) is called the absolute variation. We note that for arbitrary 4e6, |W\(4)2|W(A)|- (13) It follows immediately from the definition that W* and W- are nonnegative and nondecreasing set functions: If Ac B, then 0 < W*(A) < W*(B). (14) Furthermore, W*(A, U A.) S W*(A,) + W*(A,) « (15) Throughout the remaining portion of this section we shall assume that the space U and a o-algebra © on it are fixed. All the sets that we shall consider are assumed to be -measurable.1. MEASURE 47 Lemma 1. If W(A) < co for every A, then W*(U) < 00. To prove this, Jet us assume the opposite, namely that W*+(U) = co. Let us show that in this case there exists for arbitrary c > 0, a set A such that W(A) >c¢ and W+(A) = 09. We also prove this assertion by contradiction. If it is not valid, there exists an A, such that W(A,) > cand W+(A,) < oo. If we set A, = U\A, in inequality (15) we obtain the result that W*(U\A,) = co. Repeating the above reasoning with U replaced by U\A,, we see that there exists an 4, C U\A, such that W(4,) > ¢ and W*(A,) < co. We obtain by induction an infinite sequence of sets A,, 4,, +++, belonging to G, pairwise disjoint, and such that W(A,) > ¢, so that WU 4.) = 34) = © 5 which contradicts the hypothesis of the theorem. Thus for every c there exists an A such that W(A) >c and W+(A) = oo. Let us take successively c = 1,2, +++,-++ and then apply what we have just proven to construct a sequence of sets B,, such that for each n, W(B,) >n, W*(B,) = co and B,.,C B,. For this we first use U to find B,, then B, to find B,c B, and so forth. Let us set D=)z.. B,. Then W(B\D) = lim[W(B,) — W(B,)] = — co so that W(D) = + co, which is impossible. This contradiction completes the proof of the lemma. Theorem 4 (Hahn), Let W denote an arbitrary charge on a o- algebra @. Then U can be partitioned into two sets P and N such that U = PUN, PQ.N = @, and for every AcG, WAN P)=0, WANN) <0. Proof. Since the charge can assume infinite values of only one sign, we may suppose that W does not assume the value + co. On the basis of Lemma 1, 6 = W*(U) = sup MA) < +0 Let {C,} denote a sequence of sets such that W(C,) > @ —2-* and P=imc,=NUG. If ACC,, then WA) = W(C,) —W(C,\A) > — ¥ Therefore, for arbitrary AGP we obtain from the relation