Nonlinear Filtering and Smoothing: An Introduction to Martingales, Stochastic Integrals and Estimation

Errata

1.1 INTRODUCTION

Probability theory is the mathematical study of phenomena occurring due to chance mechanism. If we toss a coin, we cannot say a priori whether we will get heads or tails. Outcomes of a random experiment can be analyzed or modeled only in an abstract manner. A random experiment or a mathematical experiment is one in which the possible outcomes may be finite or infinite. In the experiment of tossing a coin there are two outcomes, heads and tails. In the tossing of a die there are six outcomes. On the other hand, the weight of a full-term new-born baby may vary continuously from 4 to 10 pounds. Each of these outcomes is known as an elementary outcome. The collection of all elementary outcomes of a random experiment is called sample space and is denoted by Ω. In set terminology the sample space is termed the universal set. Thus, the sample space Ω is a set consisting of mutually exclusive, collectively exhaustive listing of all possible outcomes of a random experiment. That is, Ω = {ω¹, ω²,...,ωn} denotes the set of all finite outcomes, Ω = {ω¹, ω²,...} denotes the set of all countably infinite outcomes, and Ω = {0 ≤ t ≤ T} denotes the set of uncountably infinite outcomes.

1.2 ALGEBRA OF SETS

Let Ω represent the sample space which is a collection of ω-points as defined earlier. The various set operations are (1) complementation, (2) union, and (3) intersection. Let A and B be two subsets of the sample space Ω, denoted by A ⊂ Ω, B ⊂ Ω. The complement of A, denoted by Ac, represents the set of all ω-points not contained in A :

Evidently the complement of Ω is the empty set Ø. Two sets A and B are equal if and only if A is contained in B and B is contained in A :

The union of sets A and B, denoted by A ∪ B or A + B, represents the occurrence of ω-points in either A or B. Similarly, the intersection of sets A and B, denoted by A ∩ B or AB, represents the occurrence of ω-points in A and B. Clearly, if there is no commonality of ω-points in A and B, then A ∩ B is the empty set Ø.

Example 1.2.1

Let Ω be the ω-points on the real line R.

Define

Then the set operations yield

The unions and intersections of an arbitrary collection of sets are defined by

where N is an arbitrary index set which may be finite or countably infinite.

The unions and intersections follow the reflexive, commutative, associative, and distributive laws.

The complements (∪n ∈ N An)c and (∩n ∈ N An)c are given by de Morgan’s laws as follows:

Sequences

A sequence of sets An, n ∈ N, is increasing if An + 1 ⊃ An and decreasing if An + 1 ⊂ An for every n ∈ N.

A sequence which is either increasing or decreasing is called a monotone sequence. We can write the limits (N countably infinite) of monotone sequences as

The limit of monotone sequences {An} is written as An ↑ A when it is increasing and An ↓ A when it is decreasing.

Example 1.2.2

Let Ω be the real line R. If An = {ω: 0 < ω < a − 1/n}, then An ↑ A = {ω: 0 < ω < a}. On the other hand, if Bn = {ω: 0 < ω < a + 1/n}, then Bn ↓ B = {ω: 0 < ω ≤ a}.

We can define a superior limit and an inferior limit for any sequence {An} not necessarily monotone. We first define sequences {Bn} and {Cn} derived from {An} as follows:

Clearly the sequences {Bn} and {Cn} are monotone and decreasing and increasing, respectively. We can now define a limit from eq. 1.2.7 for these monotone sequences:

Hence

If lim supnAn = lim infnAn, then {An} is a convergent sequence and limnAn = A, say, exists, that is,

Example 1.2.3

Let Ak be the set of points (x, y) of the Cartesian plane R² in the region {0 ≤ x < k, 0 ≤ y < 1/k}, that is,

Here {Ak} does not belong to the monotone class.

But

is a decreasing sequence, and hence

Similarly,

is an increasing sequence, and hence

Since lim supnAn = lim infnBn = {x, y ∈ R²: 0 ≤ x < ∞, y = 0}, we have limnAn = B = C = {x, y ∈ R²: 0 ≤ x < ∞, y = 0}.

Example 1.2.4

Let Ω be the positive real line R+. Consider the sequence

Here

Similarly

Since lim supnAn ≠ lim infnAn, the sequence {An} does not converge and has no limit.

Even though the limit of a sequence may not exist, superior and inferior limits will always exist, as is evident from the definitions.

1.3 FIELDS, σ-FIELDS, AND EVENTS

is a field or an algebra of sets in Ω if it satisfies the following definition.

Definition 1.3.1 Field or Algebra

A class of a collection of subsets Aj is a field when the following conditions are satisfied:

Given the above two conditions, de Morgan’s law ensures that finite intersections also belong to the field. Thus a class of subsets is a field if and only if it is closed under all finite set operations like unions, intersections, and complementations. Since every Boolean algebra of sets is isomorphic to an algebra of subsets of Ω, we can also call the field a Boolean field or Boolean algebra. Every field contains as elements the sample space Ω and the empty set Ø.

Example 1.3.1

Let Ω = R of all intervals of the form (a, b], that is, {x ∈ R: a < x ≤ b}:

is closed under intersections. However,

is not a field.

Example 1.3.2

The smallest field containing A ⊂ Ω is

If a class of subsets is closed under finite set operations, it does not necessarily mean that it is also closed under countably infinite set operations. Very often we come across the sequence of sets {An} as n → ∞ and the convergence of such sequences (lim supnAn, lim infnAn). In is called a σ-field or σ-algebra.

Definition 1.3.2 σ-Field or σ-Algebra

A class of a countably infinite collection of subsets Aj is a σ-field when the following conditions are satisfied:

In general a σ-field is a field, but a field may not be a σ-field.

Example 1.3.3

Let Ω = R be the class of all intervals of the form (− ∞, a], (b, c], and (d, ∞):

From is a field. However, for infinite intersections of the form

is not a σ-field.

Proposition 1.3.1 Intersection of σ-Fields

The intersection of any nonempty but arbitrary collection of σ-fields in Ω is a σ-field in Ω.

In general the arbitrary union of a collection of σ-fields may not be a σ-field.

, then

Example 1.3.4

Let the sample space Ω contain ω-points of the toss of a die. Ω is the set {1, 2, 3, 4, 5, 6}. We shall now define a class of sets

by

.

So far we have not considered the nature of the sample space Ω, except that it is nonempty. A set A and a class of subsets of A called open sets of A, such that this class contains Ø and A, and closed under finite intersections and arbitrary unions, is called a topologicai space. If Ω is a topological space, an example being the real line R, the minimum σ-field over the collection of open sets of the topological space is called the Borel σ-field or Borel field, as given by the following definition.

Definition 1.3.3 Borel σ-Field

The minimum σ-field generated by the collection of open sets of a topological space Ω is called the Borel σ-field or Borel field. Members of this σ-field are called Borel sets.

Clearly the Borel σ-field is a σ-field, and hence each closed set is also a Borel set.

The important topological space with which we will be concerned is the real line R. . From the relationships

we find that the intervals (a, b], [a, b) and [a, bcontains all subsets of the form given above and their complements, countable unions, and intersections, Each set {b} = [b, b] = (– ∞, b) ∩ (b, ∞) consisting of a single point b , and so are countable unions of single points.

) thus created is called a measurable space. Subsets of Ω which are elements in the σ-field are called events. Elements of Ω are points.

If {Ai, i = 1, 2,...,n, then the {Ai} collectively exhaust Ω. The class {Ai} is called a partition of Ω.

Definition 1.3.4 Atom

be a σ-field of subsets of a sample space Ω. We call a set A ≠ Ø an atom if A and if

².

Example 1.3.5

In Example 1.3.4 where Ω = {1, 2, 3, 4, 5, 6} we define two σ-fields

¹.

1.4 PROBABILITY SPACE

A probability measure is a set function P of subsets of a sample space Ω such that it satisfies the following axioms of Kolmogorov for any A :

Any set function μ ) satisfying axioms 1 and 3 is called a measure. A probability measure is a normed or scaled measure because of axiom 2. There are other measures, such as counting measure, Lebesgue-measure, and spectral measure, which are not necessarily normalized. However, any bounded measure with suitable normalization can be converted into a probability measure. If μ(A) is finite for each A , then μ is a finite measure. However, if μ(A) = ∞ but if there exists a sequence {Anand μ(An) is finite for each n, then μ is a σ-finite measure. An example of a measure that is σ-finite is length defined on the space (R, , μ) is a measure space. , P) is called a probability space, which serves to describe any random experiment where

1.  Ω is a nonempty set called the sample space, whose elements are the elementary outcomes of a random experiment.

is a σ-field of subsets of Ω.

3.  P ).

A signed measure (Halmos, 18, p. 118) is a σ-additive set function μ ) taking positive and negative values such that μ(Ø) = 0 and assuming at most one of two values, + ∞ or − ∞.

As an example if we define a measure v(A) = μ¹(A) – μ²(A), then v is a signed measure. The Jordan–Hahn decomposition theorem (Halmos, 18, p. 123) guarantees that a signed measure v can be given as the difference between two measures, v = v+ − v− one of which is finite.

We would now like to enquire whether a probability measure P . The answer is in the affirmative, as given by the following proposition (Halmos, 18, p. 54).

Proposition 1.4.1 Extension of Probability Measure

. Let P )) such that for any A (A) = P(A).

Example 1.4.1

Let Ω = R be the σ-field generated by the class of all intervals. For any finite interval (a, b] we shall define a measure μ given by μ((a, b]) = b − a, b > a. Then μ can be extended to a unique σ-finite measure on (R). Note that the measure of any countable number of points on the real line is zero.

Completion (Doob, 14, pp. 48, 606)

, P) and has a measure 0, that is, P(Λ⁰) = 0. Hence Λ⁰ is an event. Let Λ be a proper subset of Λ⁰, Λ ⊂ Λ⁰. If Λ and Λ⁰ are two subsets with the property that the occurrence of Λ⁰ implies the occurrence of Λ, and if P(Λ⁰) = 0, then Λ need neither be assigned a probability nor can it be called an event. However, if a probability is assigned to Λ, then necessarily it has to have a measure 0 for consistency. We denote subsets of this type with zero probability as null sets. and the null sets. By the Extension Proposition 1.4.1, the probability measure P . This is called completion of the probability measure P. ) is called the complete probability space, from P , P) is complete.

In Example 1.4.1 if the σ-finite measure μ is completed, then we have the Lebesgue measure (Halmos, 18, p. 62).]

Product Spaces

We now define the concept of product spaces and product measures. If ω¹ ∈ Ω¹ and ω² ∈ Ω², then the set of all pairs (ω¹, ω²) is called the Cartesian product ²) be two measurable spaces and let sets A¹ and A², respectively. Then the set {(ω¹, ω²): ω¹ ∈ A¹, ω² ∈ A²} is a measurable rectangle A¹ × A². However, the class {A¹ × A²: A¹, A²} may not be a σ-field. We will call the minimum σ-field generated by this class the product ¹, μ², μ²) be two σ-finite measure spaces. The product measure ². It is a σ-finite measure such that for every measurable rectangle A¹ × A², (A¹, A²)

Next we establish the concept of ω-sections²) be a product measure space. Let B be a set in Ω¹ × Ω². The ω¹-section of B, denoted by Bω¹, is defined as

and the ω²-section of B, denoted by Bω², is defined as

As an example, if B is the rectangle A¹ × A², then Bω¹ = A² and Bω² = A¹.

We now state Fubini’s Theorem, which relates the integrals on a product space to integrals on component spaces.

Theorem 1.4.1 Fubini’s Theorem (Halmos, 18, p. 148)

¹, μ², μ²) be two σ-finite measure spaces and let λ be a product measure μ¹ × μ². Let h be an integrable function on Ω¹ × Ω². Then:

1.  Almost every ω-section of h is integrable.

2.  If functions f¹ and f² are defined by

and f¹ and f² are integrable, then

In Section 1.2 we discussed the algebra of sets. Since events are sets, we can also have a sequence of events {An} where we can define supnAn, infnAn, lim supnAn and infnAn. We now discuss the convergence of the probability of a sequence of events.

Lemma 1.4.1 Sequential Monotone Continuity

Let {Ansuch that An + ¹ ⊂ An, and let limn → ∞An = Ø. Then

The probability measure is said to satisfy the sequential monotone continuity at Ø.

Proposition 1.4.2 Sequential Continuity

Let {An, with limnAn = A. Then

The probability measure is sequentially continuous.

Proof

1.  If A = Ø, then this is exactly Lemma 1.4.1.

2.  If A is a nonempty set and {An} is a monotone sequence, An ↓ A, (Figure 1.4.1),

FIGURE 1.4.1

FIGURE 1.4.2

since (An − A) and