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diff --git a/content/know/concept/wiener-process/index.pdc b/content/know/concept/wiener-process/index.pdc index 11c7a6e..1919284 100644 --- a/content/know/concept/wiener-process/index.pdc +++ b/content/know/concept/wiener-process/index.pdc @@ -68,6 +68,123 @@ since each increment has mean zero (so it is a martingale), and all increments are independent (so it is a Markov process). +## Recurrence + +An important question about the Wiener process +is whether it is **recurrent** or **transient**: +given a hypersphere (interval in 1D, circle in 2D, sphere in 3D) +away from the origin, will $B_t$ visit it after a finite time $\tau\!<\!\infty$? +It is *recurrent* if yes, i.e. $P(\tau \!<\! \infty) = 1$, or *transient* otherwise. +The answer to this question turns out to depend on the number of dimenions. + +To demonstrate this, we model the $d$-dimensional Wiener process +as an [Itō diffusion](/know/concept/ito-calculus/) $X_t$, +which also allows us to shift the initial condition $X_0$ +(or resume a "paused" process): + +$$\begin{aligned} + X_t + = X_0 + \int_0^t \dd{B_s} +\end{aligned}$$ + +Consider two hyperspheres, the inner with radius $R_i$, +and the outer with $R_o > R_i$. +Let the initial condition $|X_0| \in \, ]R_i, R_o[$, +then we define the stopping times $\tau_i$, $\tau_o$ and $\tau$ like so: + +$$\begin{aligned} + \tau_i + \equiv \inf\{ t : |X_t| \le R_i \} + \qquad + \tau_o + \equiv \inf\{ t : |X_t| \ge R_o \} + \qquad + \tau + \equiv \min\{\tau_i, \tau_o\} +\end{aligned}$$ + +We stop when the inner or outer hypersphere is touched by $X_t$, +whichever happens first. + +[Dynkin's formula](/know/concept/dynkins-formula/) +is applicable to this situation, if we define $h(x)$ as follows, +where the *terminal reward* $\Gamma$ equals $1$ for $|X_\tau| = R_i$, +and $0$ for $|X_\tau| = R_o$, +such that $h(X_0)$ equals the probability +that we touch $R_i$ before $R_o$ for a given $X_0$: + +$$\begin{aligned} + h(X_0) + = \mathbf{E}\Big[ \Gamma(X_\tau) \Big| X_0 \Big] + = P\Big[|X_\tau| \!=\! R_i \:\Big|\: X_0\Big] +\end{aligned}$$ + +Dynkin's formula then tells us that $h(x)$ is given by the following equation, +with the boundary conditions $h(R_i) = 1$ and $h(R_o) = 0$: + +$$\begin{aligned} + 0 + = \hat{L}\{h(x)\} + = \frac{1}{2} \nabla^2 h(x) +\end{aligned}$$ + +Thanks to this problem's spherical symmetry, +$h$ only depends on the radial coodinate $r$, +so the Laplacian $\nabla^2$ can be written as follows +in $d$-dimensional [spherical coordinates](/know/concept/spherical-coordinates/): + +$$\begin{aligned} + 0 + = \nabla^2 h(r) + = \pdv[2]{h}{r} + \frac{d - 1}{r} \pdv{h}{r} +\end{aligned}$$ + +For $d = 1$, the solution $h_1(r)$ is as follows, +of which we take the limit for $R_o \to \infty$: + +$$\begin{aligned} + h_1(r) + = \frac{r - R_o}{R_i - R_o} + \quad\underset{R_o \to \infty}{\longrightarrow}\quad + 1 +\end{aligned}$$ + +The outer hypersphere becomes harder to reach for larger $R_o$, +and for $R_o \to \infty$ we are left with +the probability of hitting $R_i$ only. +This turns out to be $1$, so in 1D the Wiener process is recurrent: +it always comes close to the origin in finite time. + +For $d = 2$, the solution $h_2(r)$ is as follows, +whose limit turns out to be $1$, +so the Wiener process is also recurrent in 2D: + +$$\begin{aligned} + h_2(r) + = 1 - \frac{\log\!(r/R_i)}{\log\!(R_o/R_i)} + \quad\underset{R_o \to \infty}{\longrightarrow}\quad + 1 +\end{aligned}$$ + +However, for $d \ge 3$, the solution $h_d(r)$ +does not converge to $1$ for $R_o \to \infty$, +meaning the Wiener process is transient in 3D or higher: + +$$\begin{aligned} + h_d(r) + = \frac{R_o^{2 - d} - r^{2 - d}}{R_o^{2 - d} - R_i^{2 - d}} + \quad\underset{R_o \to \infty}{\longrightarrow}\quad + \frac{R_i^{d - 2}}{r^{d - 2}} + < 1 +\end{aligned}$$ + +This is a major qualitative difference. For example, consider a situation +where some substance is diffusing from a localized infinite source: +in 3D, the substance can escape and therefore a steady state can exist, +while in 2D, the substance never strays far from the source, +so no steady state is ever reached as long as the source continues to emit. + + ## References 1. U.H. Thygesen, |