Set-valued stationary processes

DOI10.1006/JMVA.1997.1702MaRDI QIDQ1372223zbMATH OpenOpenAlexFDO

Publication date 1 November 1998

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jmva.1997.1702

ergodicity multivalued conditional expectation selection and representation set-valued stationary processes

Random convex sets and integral geometry (aspects of convex geometry) (52A22) Geometric probability and stochastic geometry (60D05) Stationary stochastic processes (60G10)

Review text

This paper deals with set-valued processes \(F=\{F_t: F_t\) is a random set \( \forall t\in \mathbb{R}_+\}\) in a real separable Banach space \((X,\| \cdot\|)\) with the dual space \(X^*\). The organization of the paper is as follows. In Section 1 the authors present many of the new results (expectation, multivalued conditional expectation), ideas and developments in the theory of random sets. The definition of the set-valued stationary processes (SVSP) is proposed: a set-valued process \(F= \{F_t:t \geq 0\}\) is a stationary process if \[ P\{\omega: F_{t_k} (\omega)\in U_k,\;k=1, \dots,i\} =P\{\omega: F_{t_k+t} (\omega)\in U_k,\;k=1, \dots,i\} \] for any \(i\geq 1\), \((t_1, \dots,t_i) \in\mathbb{R}_+\), \(t\in \mathbb{R}_+\). The main result of this section characterizes the relationship between an SVSP and a semigroup \(\{T_t: t\geq 0\}\) of measure-preserving set transformations. In Section 2 the following selection and representation theorem of SVSP is proved: Suppose that \(F=\{F_t: t\geq 0\}\) is a set-valued stochastic process. Then the following statements are equivalent: (1) \(F\) is an SVSP. (2) There exists \(\{(f_t^{(k)}, t \geq 0),\;k\geq 1\} \subset\text{SS}(F)\), such that (2.1) for each \(t\geq 0\), \(F_t= \text{cl} \{f_t^{(k)}: k\geq 1\}\), (2.2) for each \(n\geq 1\), \(\{(f_t^{(1)}, \dots, f_t^{(n)})\), \(t\geq 0\}\) is an \(X^n\) valued stationary stochastic process, where SS\((F)\) is the set of all stationary selections of \(F\) and \(\text{cl} \{\cdot\}\) denotes the norm-closure of \(\{\cdot\}\). The laws of large numbers and ergodicities of set-valued stationary processes are studied in Section 3. Denote \(\overline {\text{co}}A\) is the closed convex hull of \(A\), \(P_f(X)= \{A\subset X:A\) is nonempty and closed\}, \(\sigma (I_*)\) is a \(\sigma\)-field generated by \(I_*\) \((I_*\) is a subbase for a topology on \(P_f(X))\), \(P_{\text{wkc}}(X)= \{A\in P_f(X) :A\) is (bounded) convex and weakly compact\}, \(( \Omega, {\mathcal F}, P)\) is a complete probability space, \(F_0\in M[\Omega;X]\) \((M[\Omega;X]\) is the collection of all \({\mathcal F}\)-measurable random sets). Then the main result of this section is the following theorem: Suppose that \(F= \{F_t: t\geq 0\}\) is an SVSP, \(F(\cdot, \cdot): (\Omega \times \mathbb{R}_+, {\mathcal F} \times {\mathcal B} (\mathbb{R}_+)) \to(P_f(X), \sigma(I_*))\) is measurable w.r.t. \({\mathcal F} \times{\mathcal B} (\mathbb{R}_+)\); \({\mathcal U}\) is the invariant \(\sigma\)-field of \(\{F_t: t\geq 0\}\). If one of the following conditions holds: (i) \(X^*\) is separable, (ii) for almost all \(\omega \in \Omega\), for any \(t\geq 0\), \(F_t (\omega)\in G(\omega)\), \(G(\omega) \in P_{\text{wkc}}(X)\), then we have \[ {1\over T} \int^T_0 F_t(\omega) dt@>w>> \overline {\text{co}} E(F_0| {\mathcal U}) \quad \text{a.s.};\;T\to \infty. \]

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