On connection between random curves, changes of time and regenerative times of random processes
B. P. Harlamov
Abstract:
A product space
$\Phi\times D$ is considered where
$\Phi$ is a set of all continuous non-decreasing functions
$\varphi\colon[0,\infty)\to(0,\infty)$,
$\varphi(0)=0$,
$\varphi(t)\to+\infty$ (
$t\to\infty$);
$D$ is a set of all right-continuous functions
$\xi\colon(0,\infty)\to X$,
$X$ is some metric space. Two maps
$\Phi\times D\to D$: are defined. The first is the projection
$q(\varphi,\xi)=\xi$, and the second is change of time
$u(\varphi,\xi)=\xi\circ\varphi$. The following equivalence relation in
$D$ is defined:
$$
\zeta_1\sim\xi_2\Leftrightarrow\exists\varphi_1,\varphi_2\in\Phi:
\xi_1\circ\varphi_1=\xi_2\circ\varphi_2.
$$
Let
$M$ is a set of all equivalence classes. Then
$L$ is the map
$D\to M$:
$L\xi_1=L\xi_2\Leftrightarrow\xi_1\sim\xi_2$.
$L\xi$ is called the curve corresponding to
$\xi$. The following theorem is proved: two random processes with probability measures
$P^1$ and
$P^2$ on
$D$ possess of identical random curves (i.e.
$P^1\circ L^{-1}=P^2\circ L^{-1}$) if and only if two random changes of time exist (i.e. two probability measures
$Q^1$ and
$Q^2$ on
$\Phi\times D$) for which
$P^1=Q^1\circ q^{-1}$,
$P^2=Q^2\circ
q^{-1}$) which transform these two processes in a process with a measure
$\widetilde{P}$ (i.e.
$Q^1\circ u^{-1}=Q^2\circ u^{-1}=\widetilde{P}$). If
$(P_x^1)_{x\in X}$ and
$(P_x^2)_{x\in X}$ are two families of probability measures for which
$P_x^1\circ L^{-1}=P_x^2\circ L^{-1}$ $\forall x\in X$ then for each
$x\in X$ corresponding measures
$Q^1_x$ and
$Q^2_x$ may be found as follows. The set of regenerative times of the family
$(\widetilde{P}_x)_{x\in X}$ contains all stopping times which are simultaneously regenerative times of the families
$(P^1_x)_{x\in X}$ and
$(P^2_x)_{x\in X}$ and have a special first passage time property.
UDC:
519.21