Convergence of a semi-Markov process and an accompanying

We propose an approach to the proof of the weak convergence of a semi-Markov process to a Markov process under certain conditions imposed on local characteristics of the semi-Markov process.

Збережено в:
Бібліографічні деталі
Дата:2010
Автори: Malik, V. F., Samoilenko, I. V., Малик, І. В., Самойленко, І. В.
Формат: Стаття
Мова:Українська
Англійська
Опубліковано: Institute of Mathematics, NAS of Ukraine 2010
Онлайн доступ:https://umj.imath.kiev.ua/index.php/umj/article/view/2897
Теги: Додати тег
Немає тегів, Будьте першим, хто поставить тег для цього запису!
Назва журналу:Ukrains’kyi Matematychnyi Zhurnal
Завантажити файл: Pdf

Репозитарії

Ukrains’kyi Matematychnyi Zhurnal
_version_ 1860508889695387648
author Malik, V. F.
Samoilenko, I. V.
Малик, І. В.
Самойленко, І. В.
author_facet Malik, V. F.
Samoilenko, I. V.
Малик, І. В.
Самойленко, І. В.
author_sort Malik, V. F.
baseUrl_str https://umj.imath.kiev.ua/index.php/umj/oai
collection OJS
datestamp_date 2020-03-18T19:39:51Z
description We propose an approach to the proof of the weak convergence of a semi-Markov process to a Markov process under certain conditions imposed on local characteristics of the semi-Markov process.
first_indexed 2026-03-24T02:32:23Z
format Article
fulltext UDK 519.21 I. V. Samojlenko (In-t matematyky NAN Ukra]ny, Ky]v), I. V. Malyk (Çernivec. nac. un-t) ZBIÛNIST| NAPIVMARKOVS|KOHO I SUPROVODÛUGÇOHO MARKOVS|KOHO PROCESIV DO MARKOVS|KOHO PROCESU We propose a new approach to the proof of weak convergence of a semi-Markov process to a Markov process under conditions on local characteristics of semi-Markov process. Predlahaetsq podxod k dokazatel\stvu slaboj sxodymosty polumarkovskoho processa k mar- kovskomu v uslovyqx, nalahaem¥x na lokal\n¥e xarakterystyky polumarkovskoho processa. U roboti [1] umovy slabko] zbiΩnosti sim’] napimarkovs\kyx procesiv (NMP) do markovs\koho procesu (MP) sformul\ovano v terminax kompensugçoho operato- ra (KO) [2]. Pry c\omu napivmarkovs\kij sim’] ξh t( ) , t ≥ 0 , h ↓ 0 , postavleno u vidpovidnist\ rozpodily, a same, sim’g mir Ps x h , . Dlq dovedennq slabko] zbiΩ- nosti cyx mir pry h ↓ 0 spoçatku dovodyt\sq vidnosna kompaktnist\ sim’] Ps x h , , h > 0 , a potim [dynist\ hranyçnoho rozpodilu pry h ↓ 0 . Pry c\omu zastosovu- [t\sq xarakteryzaciq miry za dopomohog martynhal\nyx zadaç (dyv.5[3]). U danij roboti zaproponovano pidxid do dovedennq slabko] zbiΩnosti NMP do MP v umovax, wo nakladagt\sq na lokal\ni xarakterystyky NMP. ZauvaΩymo, wo vidnosna kompaktnist\ sim’] NMP (lema54) dovodyt\sq analohiçno roboti [1], ale isnuvannq hranyçnoho procesu vstanovleno zovsim inßym metodom. Dlq porivnqnnq nahada[mo, wo v [1] z metog otrymannq hranyçnoho operato- ra i dovedennq isnuvannq hranyçnoho procesu vymahagt\sq nastupni umovy: po- perße, ças perebuvannq procesu v pevnomu stani povynen prqmuvaty do 0 pry h ↓ 0 , a po-druhe, velyçyny strybkiv procesu takoΩ magt\ prqmuvaty do 0 pry h ↓ 0 . Nareßti, ostannq umova polqha[ v tomu, wo KO NMP zbiha[t\sq pry h ↓ 0 do deqkoho operatora A 0 na klasi obmeΩenyx neperervnyx funkcij. Teorema z [1] stverdΩu[, wo operator A 0 zbiha[t\sq z heneratorom hranyç- noho MP. V danij roboti my proponu[mo zaminyty umovy wodo çasu perebuvannq ta ve- lyçyny strybka umovamy puassonivs\ko] aproksymaci] Π1 – Π4 (dyv. [4]). Pry c\omu vynyka[ sutt[va vidminnist\ vid [1], a same, umovy puassonivs\ko] aproksy- maci] nakladagt\sq na velyçynu strybkiv ta jmovirnosti perexodu vkladenoho lancgha Markova, a umova zbiΩnosti KO do deqkoho operatora vzahali ne potribna. ZbiΩnist\ KO do hranyçnoho heneratora markovs\koho procesu vy- plyva[ z umov Π1 – Π4 ta dovodyt\sq v lemax51, 2. OtΩe, doslidΩu[t\sq nastupna zadaça: napivmarkovs\kyj proces ηε ( )t v ev- klidovomu prostori Rd , d ≥ 1, u sxemi serij z malym parametrom seri] ε → 0 , ε > 0 , porodΩu[t\sq procesom markovs\koho vidnovlennq (PMV) (dyv., napry- klad, [4]) ηε n , τε n , n ≥ 0, de τ ετε n n: = , θ εθε n n: = , τε 0 0= , η ηε ν ε ε( ) ( ) t t = , ν τε ε( ) sup :{ }t n tn= ≥ ≤0 . © I. V. SAMOJLENKO, I. V. MALYK, 2010 674 ISSN 1027-3190. Ukr. mat. Ωurn., 2010, t. 62, # 5 ZBIÛNIST| NAPIVMARKOVS|KOHO I SUPROVODÛUGÇOHO MARKOVS|KOHO … 675 PMV vyznaça[t\sq stoxastyçnym qdrom, qke zada[ umovni jmovirnosti vely- çyny strybkiv, ta funkciqmy rozpodilu çasiv perebuvannq v stanax Γε ( , )u dv : = P η ηε ε n nd u+ ∈ ={ }1 v , u R d∈ , d dv ∈� , F tu ( ) : = P θ ηε n nt u+ ≤ ={ }1 = P( )θu t≤ , t ≥ 0 , b u( ) : = 1/ ( )f u , f u( ) : = F t dtu ( ) 0 ∞ ∫ , F tu ( ) : = 1 − F tu ( ) . OtΩe, napivmarkovs\ke qdro Q u d t( , )v, = P η θ ηε ε n n nd t u+ +∈ ≤ ={ }1 1v, = Γε ( , ) ( )u d F tuv . Nexaj vykonugt\sq umovy puassonivs\ko] aproksymaci] [4]: Π1 ) v vΓε ( , )u d Rd∫ = ε ε[ ]( ) ( )a u R u a + + + , v vΓε ( , )u d Rd∫ = ε ε[ ]( ) ( )a u R ua+ ; Π2 ) vv v∗∫ Γε ( , )u d Rd = ε ε[ ]( ) ( )C u R uc+ ; Π3 ) ψ ε( ) ( , )v vΓ u d Rd∫ = ε ψ ε[ ]( ) ( )Γ0 u R u+ , ψ ∈C R d 2( ) , de C R d 2( ) — prostir usix neperervnyx funkcij, wo dorivnggt\ 0 v okoli 0 i takyx, wo magt\ hranycg na neskinçennosti. Zhidno z [5] funkci] z c\oho pro- storu [ takymy, wo vyznaçagt\ miru, tobto mira (Radona) vidnovlg[t\sq za for- mulog Γψ 0 ( )u = ψ( ) ( , )v v Rd u d∫ Γ0 , ψ ∈C R d 2( ) . Zalyßkovi çleny v umovax Π1 – Π3 prqmugt\ do 0 pry ε → 0 : R u R u R uc a ε ε ε( ) ( ) ( )+ ++ → 0 pry ε → 0 . ZauvaΩennq"1. Dlq porivnqnnq navedemo umovy, wo nakladagt\sq v roboti [1] na ças perebuvannq ta velyçynu strybkiv NMP ( Ps x h , — vidpovidna procesu sim’q mir): 1) dlq bud\-qkoho kompakta K ta bud\-qkoho ε > 0 h P ss x h− − ≥1 1, { }( )τ ε → → 0, h ↓ 0 rivnomirno po s, x; 2) dlq bud\-qkoho kompakta K ta bud\-qkoho ε > 0 h P xs x h− ≥1 1, { }( ( ), )ρ ξ τ ε → → 0, h ↓ 0 rivnomirno po s, x, de τ1 — markovs\kyj moment vidnovlennq. Nexaj ma[ misce takoΩ umova Π4 ) funkci] a u( ) , C u( ) , a u+ ( ) ta Λ Γ0 0( ) : ( , )u u R d= [ obmeΩenymy. Oznaçennq"1 [2, 6]. KO NMP ηε ( )t , t ≥ 0 , vin Ωe henerator suprovod- Ωugçoho markovs\koho procesu (SMP) ηε 0 ( )t , t ≥ 0 , wo di[ na test-funkciqx ϕ ( , )u t , vyznaça[t\sq rivnistg ISSN 1027-3190. Ukr. mat. Ωurn., 2010, t. 62, # 5 676 I. V. SAMOJLENKO, I. V. MALYK Γε ϕ ( , )u t : = E Eϕ η τ ϕ η τ θε ε ε ε ε( , ) ( , ) ,n n n n nu t u t+ + +− = =   1 1 1 ηηε n u=    . (1) Teorema (slabka zbiΩnist\ sim’] NMP do MP). Nexaj vykonugt\sq umo- vy.Π1 – Π4 , a takoΩ nastupni umovy: U1 ) rivnomirna intehrovnist\ sup ( ) u R u T d F t dt ∈ ∞ ∫ → 0 pry T → ∞ ; U2 ) dlq bud\-qkoho u R d∈ ta ε > 0 E e u− εθ ≤ 1 − C ε ; U3 ) ma[ misce zbiΩnist\ poçatkovyx umov ηε ( )0 → η( )0 pry ε → 0 ta sup ( ) ε εη > 0 0E ≤ C < + ∞ , a takoΩ umova, z qko] vyplyva[ kompaktnist\ procesu: U4 ) Γε ϕ ( )u ≤ Cϕ dlq test-funkcij ϕ ( ) ( )u C R d∈ 0 2 prostoru finitnyx obmeΩenyx neperervnyx funkcij, wo magt\ poxidni do druhoho porqdku vklgçno. Todi NMP ηε ( )t slabko zbiha[t\sq [7] do MP η0 ( )t pry ε → 0 : ηε ( )t ⇒ η0 ( )t , do toho Ω η0 ( )t zada[t\sq heneratorom Γ0 ϕ ( )u = b u u u u u u d R d 0 0( ) ( ) ( ) [ ( ) ( )] ( , )′ + + −∫ϕ ϕ ϕΛ Γv v (2) ta Γε ϕ ( )u = Γ0 ϕ ϕε( ) ( )u R u+ , de R uε ϕ ( ) → 0 pry ε → 0 , b u0 ( ) = b u a u( ) ( )0 = b u a u a u( ) ( ) ( )[ ]− 0 , Λ( )u = b u u R d( ) ( , )Γ0 , Γ0 ( , )u V = Γ Λ0 ( , ) ( )/u V u , V d∈� . ZauvaΩennq."2. Umova U2 teoremy zbiha[t\sq z umovog51 z [1, c. 7]. 3. Z umovy U4 zhidno z lemog56.4 z [4] vyplyva[ umova ′U4 ) lim sup sup ( ) l t T t l → ∞ > ≤ ≤ >    ε εη 0 0 P = 0. ISSN 1027-3190. Ukr. mat. Ωurn., 2010, t. 62, # 5 ZBIÛNIST| NAPIVMARKOVS|KOHO I SUPROVODÛUGÇOHO MARKOVS|KOHO … 677 Dlq dovedennq teoremy nam znadoblqt\sq nastupni lemy. Lema"1. KO (henerator SMP) ma[ vyhlqd Γε ϕ ( , )u t = ε ϕ ϕ ε− ∞ ∫ + + −1 0 b u F ds u t s u t u du( ) ( ) [ ( , ) ( , )] ( , )v vΓ RR d ∫ . Dovedennq. Spravdi, E [ ]θ ηε ε n n u+ =1 = ε F t dtu ( ) 0 ∞ ∫ = ε f u( ) , tobto b uε ( ) = ε−1b u( ) . Todi Γε ϕ ( , )u t = b u F ds u t s u t u du R d ε εϕ ϕ( ) ( ) [ ( , ) ( , )] ( , ) 0 ∞ ∫ + + −v vΓ∫∫ = = ε ϕ ϕ ε− ∞ ∫ + + −1 0 b u F ds u t s u t u du( ) ( ) [ ( , ) ( , )] ( , )v vΓ RR d ∫ . Lemu51 dovedeno. Vvedemo poznaçennq a u0 ( ) = v vΓ0 ( , )u d R d ∫ . Lema"2. Na test-funkciqx ϕ ( )u , wo magt\ obmeΩeni poxidni bud\-qkoho porqdku, KO ma[ asymptotyçne zobraΩennq Γε ϕ ( )u = Γ0 ϕ ε( ) ( )u R u+ , de Γ0 vyznaçeno v (2). Dovedennq. Poznaçymo ψu ( )v = ϕ ϕ ϕ( ) ( ) ( )u u u+ − − ′v v . Vykorystovugçy umovy Π1 – Π3 , otrymu[mo Γε ϕ ( )u = b u u u u d R d ε εϕ ϕ( ) [ ( ) ( )] ( , )+ −∫ v vΓ = = ε ψ ϕε ε− ∫ ∫+ ′  1b u u d u u du R Rd d ( ) ( ) ( , ) ( ) ( , )v v v vΓ Γ      = = ε ψ ψε δ ε δε ε − > ≤ ∫ +1b u u d u du u( ) ( ) ( , ) ( ) ( , )v v v v v v Γ Γ∫∫ ∫+ ′         ϕ ε( ) ( , )u u d R d v vΓ , de δε → 0 pry ε → 0 . Dlq druhoho intehrala vnaslidok obmeΩenosti poxidnyx funkci] ϕ ( )u çys- lom K ta za umovog Π4 ma[mo ISSN 1027-3190. Ukr. mat. Ωurn., 2010, t. 62, # 5 678 I. V. SAMOJLENKO, I. V. MALYK ε ψ ε δε − ≤ ∫1b u u du( ) ( ) ( , )v v v Γ = ε ψ ε δε − ≤ ∫1b u u du( ) ( ) ( , )v v v v v Γ ≤ ≤ ε δε ε δε − ≤ ∫1b u K u d( ) ( , )v v v Γ ≤ ε δε ε− ∫1b u K u d R d ( ) ( , )v vΓ = = b u K a u R ua( ) ( ) ( )( )δε ε+ + . (3) Oçevydno, za umovy Π4 obmeΩenosti funkcij a u+ ( ) ta b u( ) ostannij vy- raz prqmu[ do 0 pry ε → 0 . ProdovΩyvßy v perßomu intehrali pidintehral\nu funkcig nulem v okoli 0, dlq novo] funkci] ψu dC R0 2( ) ( )v ∈ za umovog Π3 budemo maty ε ψ ε δε − > ∫1b u u du( ) ( ) ( , )v v v Γ = ε ψ ε− ∫1 0b u u du R d ( ) ( ) ( , )v vΓ = = b u u du R d ( ) ( ) ( , )ψ0 0v vΓ∫ + R uε( ) = = b u u d b u u du R u d ( ) ( ) ( , ) ( ) ( ) ( , )ψ ψ δε v v v v v Γ Γ0 0∫ ∫− < ++ R uε( ) . Dlq druhoho intehrala v ostann\omu vyrazi ocinka [ analohiçnog (3). Ostatoçno ma[mo Γε ϕ ( )u = b u u u u u d a u R d ( ) [ ( ) ( ) ( )] ( , ) ( ) (ϕ ϕ ϕ ϕ+ − − ′ + ′∫ v v vΓ0 uu R u) ( )         + ε = = b u u u u d a u u a u R d ( ) [ ( ) ( )] ( , ) ( ) ( ) (ϕ ϕ ϕ+ − − ′ +∫ v vΓ0 0 )) ( ) ( )′         +ϕ εu R u = = Γ0 ϕ ε( ) ( )u R u+ . Lemu52 dovedeno. Dovedennq teoremy. V lemi52 my dovely, wo pry ε → 0 KO prqmu[ do Γ0 . Dlq toho wob dovesty slabku zbiΩnist\, zalyßa[t\sq pokazaty vidnosnu kompaktnist\ sim’] ηε ( )t i vstanovyty, wo hranyçnyj operator zada[ martynhal [5, 7, 8] µt : = ϕ ϕ( ( )) ( ( ))u t u s ds t − ∫ Γ0 0 . Rozhlqnemo matematyçne spodivannq procesu µε t = ϕ η ϕ ηε ε( ( )) ( ( ))t s ds t − ∫ Γ0 0 . ISSN 1027-3190. Ukr. mat. Ωurn., 2010, t. 62, # 5 ZBIÛNIST| NAPIVMARKOVS|KOHO I SUPROVODÛUGÇOHO MARKOVS|KOHO … 679 Vvedemo vypadkovi procesy ηε + ( )t : = η τε ε( ( ))+ t , ητ ε ( )t : = η τε ε( ( ))t , t ≥ 0 , de τε + ( )t = τε ( )t + 1. Ma[mo E µε t     = E ϕ η ϕ ηε ε( ( )) ( ( ))t s ds t −        ∫ Γ0 0 = E ϕ η ϕ ηε ε( ( )) ( ( ))t t−   + + + E ϕ η ϕ ηε ε τ ε τε ( ( )) ( ( )) ( ) + −           + + ∫t s ds t Γ 0 EE Γ Γε τ ε τ ε τ εϕ η ϕ η ε ( ( )) ( ( )) ( ) s ds s ds t t 0 0 + ∫ ∫−           + + E EΓ Γε τ ε ε ε εϕ η ϕ η ϕ η( ( )) ( ( )) ( ( ))s s ds s t −    + −∫ 0 ΓΓ0 0 ϕ ηε( ( ))s ds t    ∫ . Tretij dodanok zadovol\nq[ spivvidnoßennq E Γε τ ε τ ϕ η ε ( ( )) ( ) s ds t t+ ∫ → 0 pry ε → 0 zavdqky vlastyvosti momentiv vidnovlennq E τε + −   ( )t t → 0 pry ε → 0 rivnomirno po t na koΩnomu skinçennomu intervali [ , ]0 T . Dlq toho wob dovesty ostannij fakt, skorysta[mos\ lemog C. 1 z [4]. Lema"3. Nexaj sim’q momentiv vidnovlennq θu , u Rd∈ , wo magt\ funkci] rozpodilu Fu , zadovol\nq[ umovy U1 , U2 . Todi ma[ misce spivvidnoßennq P max ( ) 0 ≤ ≤ ≥   t T tγ δε → 0, ε → 0, dlq bud\-qkyx δ > 0 ta T > 0 , de γ τε ε( ) : ( )t t t= − . Dovedennq. Vlastyvist\ rehulqrnosti dlq NMP da[ zbiΩnist\ P ( )/τ ε ε N T≤ → 0, N → ∞ , pry ε > 0 . Dijsno, ma[mo P ( )/τ ε ε N T≤ = P ( )/e eN T− −≥τ ε ε ≤ Ee eN T− τ ε ε / = Ee eN T− ετ ε/ . Za umovy U2 otrymu[mo Ee N− ετ ε/ = E Ee eN N− − −εθ ετε ε/ / 1 ≤ ( ) /1 1− − −C e Nε ετ εE ≤ ( ) /1 − C Nε ε ≤ ≤ e C N− → 0 pry N → ∞ . Za umovog U1 P max / / 1≤ ≤ ≥   k N kε θ δ ε ≤ P ( / ) / θ δ ε ε k k N ≥ = ∑ 1 ≤ N F t dt u R u dε δ ε sup ( ) /∈ ∞ ∫ ≤ ISSN 1027-3190. Ukr. mat. Ωurn., 2010, t. 62, # 5 680 I. V. SAMOJLENKO, I. V. MALYK ≤ N F u R u dε ε δ δ εsup ( / ) ∈ = N F u R u dδ δ εsup ( / ) ∈ → 0 pry ε → 0 . Ostatoçno ma[mo P max ( ) 0 ≤ ≤ ≥   t T tγ δε ≤ P max ( ) / 0 ≤ ≤ + ≥   t T t θ δ ενε ≤ ≤ P max , / // 1 1≤ ≤ + ≥ >   k N k N T ε ε εθ δ ε τ + + P ( )/τ ε ε N T≤ ≤ P Pmax / // ( ) 1 1≤ ≤ + ≥    + ≤ k N k N T ε ε εθ δ ε τ → 0 pry ε → 0 , N → ∞ . Lemu53 dovedeno. Analohiçno dovodyt\sq zbiΩnist\ do 0 perßoho ta çetvertoho dodankiv zav- dqky neperervnosti ϕ ( )u . Ostannij dodanok prqmu[ do 0 za lemog52, oskil\ky lim ( ) ε ε ϕ → 0 Γ u = Γ0 ϕ ( )u na test-funkciqx ϕ ( )u , wo magt\ rivnomirno obmeΩeni poxidni vsix porqdkiv. Druhyj dodanok dorivng[ ζε t = ϕ η ϕ ηε τ ε ε ε ( ) ( )( ) ( ) ( ) + +− + ∫
id umjimathkievua-article-2897
institution Ukrains’kyi Matematychnyi Zhurnal
keywords_txt_mv keywords
language Ukrainian
English
last_indexed 2026-03-24T02:32:23Z
publishDate 2010
publisher Institute of Mathematics, NAS of Ukraine
record_format ojs
resource_txt_mv umjimathkievua/0d/8fa767f3fa18f13463112d45b713b80d.pdf
spelling umjimathkievua-article-28972020-03-18T19:39:51Z Convergence of a semi-Markov process and an accompanying Збіжність папівмарковського і супроводжуючого марковського процесії до марковського процесу Malik, V. F. Samoilenko, I. V. Малик, І. В. Самойленко, І. В. We propose an approach to the proof of the weak convergence of a semi-Markov process to a Markov process under certain conditions imposed on local characteristics of the semi-Markov process. Предлагается подход к доказательству слабой сходимости полумарковского процесса к марковскому в условиях, налагаемых на локальные характеристики полумарковского процесса. Institute of Mathematics, NAS of Ukraine 2010-05-25 Article Article application/pdf https://umj.imath.kiev.ua/index.php/umj/article/view/2897 Ukrains’kyi Matematychnyi Zhurnal; Vol. 62 No. 5 (2010); 674–681 Український математичний журнал; Том 62 № 5 (2010); 674–681 1027-3190 uk en https://umj.imath.kiev.ua/index.php/umj/article/view/2897/2545 https://umj.imath.kiev.ua/index.php/umj/article/view/2897/2546 Copyright (c) 2010 Malik V. F.; Samoilenko I. V.
spellingShingle Malik, V. F.
Samoilenko, I. V.
Малик, І. В.
Самойленко, І. В.
Convergence of a semi-Markov process and an accompanying
title Convergence of a semi-Markov process and an accompanying
title_alt Збіжність папівмарковського і супроводжуючого марковського процесії до марковського процесу
title_full Convergence of a semi-Markov process and an accompanying
title_fullStr Convergence of a semi-Markov process and an accompanying
title_full_unstemmed Convergence of a semi-Markov process and an accompanying
title_short Convergence of a semi-Markov process and an accompanying
title_sort convergence of a semi-markov process and an accompanying
url https://umj.imath.kiev.ua/index.php/umj/article/view/2897
work_keys_str_mv AT malikvf convergenceofasemimarkovprocessandanaccompanying
AT samoilenkoiv convergenceofasemimarkovprocessandanaccompanying
AT malikív convergenceofasemimarkovprocessandanaccompanying
AT samojlenkoív convergenceofasemimarkovprocessandanaccompanying
AT malikvf zbížnístʹpapívmarkovsʹkogoísuprovodžuûčogomarkovsʹkogoprocesíídomarkovsʹkogoprocesu
AT samoilenkoiv zbížnístʹpapívmarkovsʹkogoísuprovodžuûčogomarkovsʹkogoprocesíídomarkovsʹkogoprocesu
AT malikív zbížnístʹpapívmarkovsʹkogoísuprovodžuûčogomarkovsʹkogoprocesíídomarkovsʹkogoprocesu
AT samojlenkoív zbížnístʹpapívmarkovsʹkogoísuprovodžuûčogomarkovsʹkogoprocesíídomarkovsʹkogoprocesu