18.445 Introduction To Stochastic Processes: Lecture 3: Markov Chains: Time-Reversal
18.445 Introduction To Stochastic Processes: Lecture 3: Markov Chains: Time-Reversal
Hao Wu
MIT
18 February 2015
P[Xn+1 = y | Xn = x] = P(x, y ).
Theorem
Let f be a real-valued function defined on Ω. If (Xn )n is an irreducible
Markov chain with stationary distribution π, then for any starting
distribution µ, we have
n
1X
lim f (Xj ) = πf , Pµ − a.s.
n→∞ n
j=0
In particular,
n
1X
lim 1[Xj =x] = π(x), Pµ − a.s.
n→∞ n
j=0
Definition
Suppose that a probability measrue π on Ω satisfies
Lemma
Any distribution π satisfying the detailed balance equations is
stationary for P.
Definition
A chain satisfying detailed balance equations is called reversible.
deg(x)
π(x) = , x ∈Ω
2|E|
Theorem
Let (Xn ) be an irreducible Markov chain with transition matrix P and
stationary distribution π. Define P
b to be
π(y )P(y , x)
P(x,
b y) = .
π(x)
P
b is stochastic
Let (Xbn ) be a Markov chain with transition matrix P.
b Then π is also
stationary for P.
b
For any x0 , ..., xn ∈ Ω, we have
Pπ [X0 = x0 , ..., Xn = xn ] = Pπ [X
b0 = xn , ..., X
bn = x0 ].
We call X
b the time-reversal of X .
Theorem
Every birth-and-death chain is reversible.
Definition
The total variation distance between two probability measures µ and ν
on Ω is defined by
Lemma
The total variation distance satisfies triangle inequality :
Lemma
1X
||µ − ν||TV = |µ(x) − ν(x)|.
2
x∈Ω
Lemma
1
||µ − ν||TV = sup{µf − νf : f satisfying max |f (x)| ≤ 1}.
2 x∈Ω
Definition
A coupling of two probability measures µ and ν is a pair of random
variables (X , Y ) defined on the same probability space such that the
marginal law of X is µ and the marginal law of Y is ν.
Lemma
||µ − ν||TV = inf{P[X =
6 Y ] : (X , Y ) is a coupling of µ, ν}.
Definition
6 Y ] = ||µ − ν||TV .
We call (X , Y ) the optimal coupling if P[X =
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