Ionescu-Tulcea theorem

In the mathematical theory of probability, the Ionescu-Tulcea theorem, sometimes called the Ionesco Tulcea extension theorem deals with the existence of probability measures for probabilistic events consisting of a countably infinite number of individual probabilistic events. In particular, the individual events may be independent or dependent with respect to each other. Thus, the statement goes beyond the mere existence of countable product measures. The theorem was proved by Cassius Ionescu-Tulcea in 1949.[1][2]

Statement of the theorem

Suppose that is a probability space and for is a sequence of measure spaces. For each let

be the Markov kernel derived from and , where

Then there exists a sequence of probability measures

defined on the product space for the sequence ,

and there exists a uniquely defined probability measure on , so that

is satisfied for each and . (The measure has conditional probabilities equal to the stochastic kernels.)[3]

Applications

The construction used in the proof of the Ionescu-Tulcea theorem is often used in the theory of Markov decision processes, and, in particular, the theory of Markov chains.[3]

Sources

  • Klenke, Achim (2013). Wahrscheinlichkeitstheorie (3rd ed.). Berlin Heidelberg: Springer-Verlag. pp. 292–294. doi:10.1007/978-3-642-36018-3. ISBN 978-3-642-36017-6.
  • Kusolitsch, Norbert (2014). Maß- und Wahrscheinlichkeitstheorie: Eine Einführung (2nd ed.). Berlin; Heidelberg: Springer-Verlag. pp. 169–171. doi:10.1007/978-3-642-45387-8. ISBN 978-3-642-45386-1.

References

  1. Ionescu Tulcea, C. T. (1949). "Mesures dans les espaces produits". Atti Accad. Naz. Lincei Rend. 7: 208–211.
  2. Shalizi, Cosma. "Chapter 3. Building Infinite Processes from Regular Conditional Probability Distributions" (PDF). Cosma Shalizi, CMU Statistics, Carnegie Mellon University. Index of /~cshalizi/754/notes "Almost None of the Theory of Stochastic Processes: A Course on Random Processes, for Students of Measure-Theoretic Probability, with a View to Applications in Dynamics and Statistics by Cosma Rohilla Shalizi with Aryeh Kontorovich". stat.cmu.edu/~cshalizi.
  3. Abate, Alessandro; Redig, Frank; Tkachev, Ilya (2014). "On the effect of perturbation of conditional probabilities in total variation". Statistics & Probability Letters. 88: 1–8. arXiv:1311.3066. doi:10.1016/j.spl.2014.01.009. arXiv preprint
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