SALIL KONER

MS-1302
Assignment#4

Date : April 07, 2015

Ha = inf{t 0 : Bt = a}, a 0. We need to show that under W0 for a < b, Hb Ha is inded

pendent of Ha and Hb Ha = Hba . We will prove stationarity and independence of increments
simultaneously. We will consider the sets {Hb Ha [t, ) : t 0}. Now,

W0 (Hb Ha t) = W0 (BHa +s < b : s < t)

= E0 1{BHa +s <b : s<t}
= E0 E0 1{BHa +s <b : s<t} |FH+a

= E0 E0 1{BHa +s BHa <ba : s<t} |FH+a

= E0 E0 1{Bs B0 <ba : s<t}

Ha |FH+a

...........(1)

= E0 EBHa 1{Bs B0 <ba : s<t} .....................(2)



= E0 Ea 1{Bs B0 <ba : s<t}
= E0 (W0 (Hba t)) .....................................(3)
= W0 (Hba t)
Now (1) holds because BHa = a
(2) holds due to Strong Markov Property
To see (3), note, under Wa , Bt is a Brownian Motion with B0 = a, but Bt B0 is Brownian
Motion with B0 = 0 and law W0 .
Also from the above we see that




E0 1{Hb Ha t} |FH+a = E0 1{BHa +s <b : s<t} |FH+a = W0 (Hba t)
{z
}
|

t R+

a constant

So 1{Hb Ha t} is independent of FH+a . Also we know the sets of the form {[t, ) : t R} generates the Borel field. By extension theorem Hb Ha is independent of FH+a . Hence Hb Ha is
independent of Ha for all a < b
We have also proved that
W0 (Hb Ha t) = W0 (Hba t)

t R+
d

Again by the same argument above and by extension theorem we have, Hb Ha = Hba

Now, define, a () = E eHa

Then

0 a () 1

0 eHa 1 a.s [W0 ]

as

Also for a, b 0,
a+b () = E eHa+b

= E e(Ha+b Ha +Ha )




= E e(Ha+b Ha ) E eHa
|
{z
}
Ha+b Ha is independent of Ha

= E eHb E eHa
| {z }
d

Ha+b Ha =Hb

= a ()b ()........................................(4)

Also a 7 a () is a continuous function. To claim that it is enough to show that a () is continuous at 0....(?). To prove this we will show that for every sequence {an } s.t an 0 we have
an () 0 () = 1
Consider a sequence of positive real numbers {an } and an 0. Now fix an  > 0,
Z
a2
3
a
n
n e 2x x 2 dx
W0 (Han > ) =
2

a2

3
n
an e 2x x 2
2
R 1 3
Also  a2
x 2

But

3
a1 x 2 ,
2

for all x [, ) because an is decreasing and ey 1 for all y 0.

dx < and

So by DCT, W0 (Han > ) =

a2

3
n
an e 2x x 2
2

R


a2

0 as n

3
n
an e 2x x 2
2

dx 0 as n for all  > 0

Hence Han 0


Now an () = E eHan and |eHan | 1 a.s . So fn = eHan are uniformly integrable and


P
Han 0. These two imply an () = E eHan 1 as n . This implies the continuity of .
Now for a fixed , define a function : [0, ) (, 0] by
(a) = log (a ())
Then, (a + b) = (a) + (b) (from (4)), (0) = log (0 ()) = log(1) = 0 and a 7 (a) is
continuous( as log and both are continuous functions), for all a, b 0 which implies (a) = ka
for some constant k(may depend upon ) with k < 0, otherwise (a) > 0 as a 0 which is not
2

possible. So a () = ek1 a where k1 (0, ). Hence a () = eca

?

where c =

k1

(0, ).

Continuity at 0 implies the continuity at other points

Suppose {an } be a sequence of positive reals s.t an a. Then bn = an a is a sequnece of positive

reals decreasing to 0. Then by the continuity of at 0 implies bn () 1, i.e an a () 1.
Multiplying both sides by a () and using (4) we get an () a () as n . If {an } be a
sequence of positive reals s.t an a then consider the sequence cn = a an . Then cn 0. Again
applying the continuity of at 0 implies cn () 1, i.e aan () 1. Multiplying both sides
again by a () and using (4) we get an () a () as n implying the continuity of at a.