The Mathematics of ChanceCHANCE / MATHEMATICS

The Mathematics of Chance / ContentsPage progress

Chapter ownership and proof scope

Primary proof chapter: Chapter 28

Related tools and applications: Chapter 17 · Chapter 23 · Chapter 38 (not yet written)

Tools needed by the individual arguments

Lebesgue integration, conditional distributions, the Markov property, operator semigroups, and domains of generators.

These states describe the existing material; they do not certify a complete theorem treatment or final mathematical review.

Advanced Reading: From Random Motion to Semigroups and Generators


4.9.3 A Unification: Random Paths and Deterministic Evolution

We now have two entirely different descriptions.

The first is the random path:

t\longmapsto B_t(\omega).

Each \omega corresponds to a different random trajectory.

The second is the probability density:

(t,x)\longmapsto p_t(x).

This function is governed by the deterministic heat equation.

For a sufficiently regular function f, define

P_tf(x) = \mathbb E[f(x+B_t)].

Since Brownian motion has independent, stationary increments,

P_{t+s}f=P_t(P_sf).

Thus (P_t)_{t\ge0} forms a Markov semigroup.

Its infinitesimal generator satisfies

\lim_{h\downarrow0} \frac{P_hf(x)-f(x)}{h} = \frac12f''(x),

for example, for f\in C_c^\infty(\mathbb R).

Therefore

\boxed{ L=\frac12\frac{d^2}{dx^2}. }

The corresponding evolution equation is precisely

\frac{\partial u}{\partial t}=Lu.

We obtain an exceptionally important unifying relationship:

\boxed{ \text{stochastic processes} \longleftrightarrow \text{Markov semigroups} \longleftrightarrow \text{partial differential equations}. }

This is more than a symbolic correspondence.

It means that random motion can explain partial differential equations, while partial differential equations can be used to study the probability distributions of stochastic processes.

In stochastic calculus, the Feynman–Kac formula, and stochastic differential equations, we will repeatedly encounter the importance of this connection.