Feller-continuous process
{{Short description|Continuous-time stochastic process}}
{{distinguish|Feller process}}
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In mathematics, a Feller-continuous process is a continuous-time stochastic process for which the expected value of suitable statistics of the process at a given time in the future depend continuously on the initial condition of the process. The concept is named after Croatian-American mathematician William Feller.
Definition
Let X : [0, +∞) × Ω → Rn, defined on a probability space (Ω, Σ, P), be a stochastic process. For a point x ∈ Rn, let Px denote the law of X given initial value X0 = x, and let Ex denote expectation with respect to Px. Then X is said to be a Feller-continuous process if, for any fixed t ≥ 0 and any bounded, continuous and Σ-measurable function g : Rn → R, Ex[g(Xt)] depends continuously upon x.
Examples
- Every process X whose paths are almost surely constant for all time is a Feller-continuous process, since then Ex[g(Xt)] is simply g(x), which, by hypothesis, depends continuously upon x.
- Every Itô diffusion with Lipschitz-continuous drift and diffusion coefficients is a Feller-continuous process.
See also
References
- {{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 Lemma 8.1.4)
{{Stochastic processes}}