MARKOV PROCESSES

CHARACTERIZATION AND CONVERGENCE

STEWART N. ETHIER and THOMAS G. KURTZ

JOHN WILEY & SONS New York Chichester Brisbane Toronto Singapore

CONTENTS

Introduction

Operator Semigroups

1 2 3 4 5 6 7 8 9

Definitions and Basic Properties, 6 The Hille-Yosida Theorem, 10 Cores, 16 Multivalued Operators, 20 Semigroups on Function Spaces, 22 Approximation Theorems, 28 Perturbation Theorems, 37 Problems, 42 Notes, 47

2 Stochastic Processes and Martingales

1 2 3 4 5 6 7 8 9 10

Stochastic Processes, 49 Martingales, 55 Local Martingales, 64 The Projection Theorem, 71 The Doob-Meyer Decomposition, 74 Square Integrable Martingales, 78 Semigroups of Conditioned Shifts, 80 Martingales Indexed by Directed Sets, 84 Problems, 89 Notes, 93

Vi

CONTENTS

Convergence of Probability Measures

95

The Prohorov Metrie, 96 Prohorov's Theorem, 103 Weak Convergence, 107 Separating and Convergence Determining Sets, 111 The Space DE[0, oo), 116 The Compact Sets of DE[0, oo), 122 Convergence in Distribution in >[0, oo), 127 Criteria for Relative Compactness in DE[0, oo), 132 Further Criteria for Relative Compactness in >E[0, oo), 141 10 Convergence to a Process in C[0, oo), 147 11 Problems, 150 12 Notes, 154
4 Generators and Markov Processes 155

1 2 3 4 5 6 7 8 9

1 Markov Processes and Transition Functions, 156 2 Markov Jump Processes and Feller Processes, 162 3 The Martingale Problem: Generalities and Sample Path Properties, 173 4 The Martingale Problem: Uniqueness, the Markov Property, and Duality, 182 5 The Martingale Problem: Existence, 196 6 The Martingale Problem: Localization, 216 7 The Martingale Problem: Generalizations, 221 8 Convergence Theorems, 225 9 Stationary Distributions, 238 10 Perturbation Results, 253 11 Problems, 261 12 Notes, 273
5 Stochastic Integral Equations 275

1 2 3 4 5
6

Brownian Motion, 275 Stochastic Integrals, 279 Stochastic Integral Equations, 290 Problems, 302 Notes, 305
306

Random Time Changes

1 One-Parameter Random Time Changes, 306 2 Multiparameter Random Time Changes, 311 3 Convergence, 321

CONTENTS

ix

4 5 6 7
7

Markov Processes in Zd, 329 Diffusion Processes, 328 Problems, 332 Notes, 335
337

Invariance Principles and Diffusion Approximations

1 2 3 4 5 6 7
8

The Martingale Central Limit Theorem, 338 Measures of Mixing, 345 Central Limit Theorems for Stationary Sequences, 350 Diffusion Approximations, 354 Strong Approximation Theorems, 356 Problems, 360 Notes, 364
365

Examples of Generators

1 2 3 4 5
9

Nondegenerate Diffusions, 366 Degenerate Diffusions, 371 Other Processes, 376 Problems, 382 Notes, 385
386

Branching Processes

1 2 3 4 5 6

Galton-Watson Processes, 386 Two-Type Markov Branching Processes, 392 Branching Processes in Random Environments, 396 Branching Markov Processes, 400 Problems, 407 Notes, 409
410

10 Genetic Modeis

1 2 3 4 5 6

The Wright-Fisher Model, 411 Applications of the Diffusion Approximation, 415 Genotypic-Frequency Models, 426 Infinitely-Many-Allele Models, 435 Problems, 448 Notes, 451
452

11 Density Dependent Population Processes

1 Examples, 452 2 Law of Large Numbers and Central Limit Theorem, 455

CONTENTS

3 4 5 6
12

Diffusion Approximations, 459 Hitting Distributions, 464 Problems, 466 Notes, 467
468

Random Evolutions

1 2 3 4 5 6

Introduction, 468 Driving Process in a Compact State Space, 472 Driving Process in a Noncompact State Space, 479 Non-Markovian Driving Process, 483 Problems, 491 Notes, 491
492

Appendixes

1 2 3 4 5 6 7 8 9 10 11

Convergence of Expectations, 492 Uniform Integrability, 493 Bounded Pointwise Convergence, 495 Monotone Class Theorems, 496 Gronwall's Inequality, 498 The Whitney Extension Theorem, 499 Approximation by Polynomials, 500 Bimeasures and Transition Functions, 502 Tulcea's Theorem, 504 Measurable Selections and Measurability of Inverses, 506 Analytic Sets, 506
508 521

References Index Flowchart

529