In
mathematics — specifically, in
stochastic analysis
Stochastic calculus is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to stochastic processes. This field was created an ...
— Dynkin's formula is a theorem giving the
expected value of any suitably smooth statistic of an
Itō diffusion
Itō may refer to:
*Itō (surname), a Japanese surname
*Itō, Shizuoka, Shizuoka Prefecture, Japan
*Ito District, Wakayama Prefecture, Japan
See also
*Itô's lemma, used in stochastic calculus
*Itoh–Tsujii inversion algorithm, in field theory
...
at a
stopping time
In probability theory, in particular in the study of stochastic processes, a stopping time (also Markov time, Markov moment, optional stopping time or optional time ) is a specific type of “random time”: a random variable whose value is inter ...
. It may be seen as a stochastic generalization of the (second)
fundamental theorem of calculus
The fundamental theorem of calculus is a theorem that links the concept of differentiating a function (calculating its slopes, or rate of change at each time) with the concept of integrating a function (calculating the area under its graph, or ...
. It is named after the
Russia
Russia (, , ), or the Russian Federation, is a transcontinental country spanning Eastern Europe and Northern Asia. It is the largest country in the world, with its internationally recognised territory covering , and encompassing one-eig ...
n
mathematician
A mathematician is someone who uses an extensive knowledge of mathematics in their work, typically to solve mathematical problems.
Mathematicians are concerned with numbers, data, quantity, structure, space, models, and change.
History
On ...
Eugene Dynkin
Eugene Borisovich Dynkin (russian: link=no, Евгений Борисович Дынкин; 11 May 1924 – 14 November 2014) was a Soviet and American mathematician. He made contributions to the fields of probability and algebra, especially sem ...
.
Statement of the theorem
Let ''X'' be the R
''n''-valued Itō diffusion solving the
stochastic differential equation
A stochastic differential equation (SDE) is a differential equation in which one or more of the terms is a stochastic process, resulting in a solution which is also a stochastic process. SDEs are used to model various phenomena such as stock p ...
:
For a point ''x'' ∈ R
''n'', let P
''x'' denote the law of ''X'' given initial datum ''X''
0 = ''x'', and let E
''x'' denote expectation with respect to P
''x''.
Let ''A'' be the
infinitesimal generator of ''X'', defined by its action on
compactly-supported ''C''
2 (twice differentiable with continuous second derivative) functions ''f'' : R
''n'' → R as
:
or, equivalently,
:
Let ''τ'' be a
stopping time
In probability theory, in particular in the study of stochastic processes, a stopping time (also Markov time, Markov moment, optional stopping time or optional time ) is a specific type of “random time”: a random variable whose value is inter ...
with E
''x'' 'τ''nbsp;< +∞, and let ''f'' be ''C''
2 with compact support. Then Dynkin's formula holds:
:
In fact, if ''τ'' is the first exit time for a
bounded set ''B'' ⊂ R
''n'' with E
''x'' 'τ''nbsp;< +∞, then Dynkin's formula holds for all ''C''
2 functions ''f'', without the assumption of compact support.
Example
Dynkin's formula can be used to find the expected first exit time ''τ''
''K'' of
Brownian motion
Brownian motion, or pedesis (from grc, πήδησις "leaping"), is the random motion of particles suspended in a medium (a liquid or a gas).
This pattern of motion typically consists of random fluctuations in a particle's position insi ...
''B'' from the
closed ball
In mathematics, a ball is the solid figure bounded by a ''sphere''; it is also called a solid sphere. It may be a closed ball (including the boundary points that constitute the sphere) or an open ball (excluding them).
These concepts are defin ...
which, when ''B'' starts at a point ''a'' in the
interior of ''K'', is given by
Choose an
integer
An integer is the number zero (), a positive natural number (, , , etc.) or a negative integer with a minus sign ( −1, −2, −3, etc.). The negative numbers are the additive inverses of the corresponding positive numbers. In the languag ...
''j''. The strategy is to apply Dynkin's formula with ''X'' = ''B'', ''τ'' = ''σ''
''j'' = min(''j'', ''τ''
''K''), and a compactly-supported ''C''
2 ''f'' with ''f''(''x'') = , ''x'',
2 on ''K''. The generator of Brownian motion is Δ/2, where Δ denotes the
Laplacian operator
In mathematics, the Laplace operator or Laplacian is a differential operator given by the divergence of the gradient of a scalar function on Euclidean space. It is usually denoted by the symbols \nabla\cdot\nabla, \nabla^2 (where \nabla is the ...
. Therefore, by Dynkin's formula,
Hence, for any ''j'',
Now let ''j'' → +∞ to conclude that ''τ''
''K'' = lim
''j''→+∞''σ''
''j'' < +∞
almost surely
In probability theory, an event is said to happen almost surely (sometimes abbreviated as a.s.) if it happens with probability 1 (or Lebesgue measure 1). In other words, the set of possible exceptions may be non-empty, but it has probability 0 ...
and
as claimed.
References
* (See Vol. I, p. 133)
* {{cite book
, last = Øksendal
, first = Bernt K.
, authorlink = Bernt Øksendal
, title = Stochastic Differential Equations: An Introduction with Applications
, edition = Sixth
, publisher=Springer
, location = Berlin
, year = 2003
, isbn = 3-540-04758-1
(See Section 7.4)
Stochastic differential equations
Probability theorems