Kolmogorov continuity theorem: Difference between revisions

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{{Short description|Mathematical theorem}}

In [[mathematics]], the '''Kolmogorov continuity theorem''' is a [[theorem]] that guarantees that a [[stochastic process]] that satisfies certain constraints on the [[moment (mathematics)|moments]] of its increments will be continuous (or, more precisely, have a "continuous version"). It is credited to the [[Soviet Union|Soviet]] [[mathematician]] [[Andrey Kolmogorov|Andrey Nikolaevich Kolmogorov]].

==Statement of the theorem==

Let <math>(S,d)</math> be some complete separable metric space, and let <math>X :\colon [0, + \infty) \times \Omega \to S</math> be a stochastic process. Suppose that for all times <math>T > 0</math>, there exist positive constants <math>\alpha, \beta, K</math> such that

:<math>\mathbb{E} [d(X_t, X_s)^\alpha] \leq K | t - s |^{1 + \beta}</math>

for all <math>0 \leq s, t \leq T</math>. Then there exists a modification <math>\tilde{X}</math> of <math>X</math> that is a continuous process, i.e. a process <math>\tilde{X} :\colon [0, + \infty) \times \Omega \to S</math> such that

* <math>\tilde{X}</math> is [[sample-continuous process|sample-continuous]];

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==Example==

In the case of [[Brownian motion]] on <math>\mathbb{R}^n</math>, the choice of constants <math>\alpha = 4</math>, <math>\beta = 1</math>, <math>K = n (n + 2)</math> will work in the Kolmogorov continuity theorem. Moreover, for any positive integer <math>m</math>, the constants <math>\alpha = 2m</math>, <math>\beta = m-1</math> will work, for some positive value of <math>K</math> that depends on <math>n</math> and <math>m</math>.

==See also==

* [[Kolmogorov extension theorem]]

==References==

* {{cite book | author= Daniel W. Stroock, S. R. Srinivasa Varadhan | authorlink=Daniel W. Stroock, S. R. Srinivasa Varadhan | title=Multidimensional Diffusion Processes | publisher=Springer, Berlin | year=1997 | isbn=978-3-662-22201-0}} p.&nbsp;51

[[Category:Theorems regardingabout stochastic processes]]