Chapman-Kolmogorov equation

Dependencies:

  1. Markov chain
  2. Matrix
  3. Identity matrix

Let $X = [X_0, X_1, \ldots]$ be a markov chain having transition matrix $P$. Recall that for any non-negative integer $n$, we have $P^{(n)}(i, j) = \Pr(X_n = j \mid X_0 = i)$. Then for any $m \ge 0$ and $n \ge 0$, we get \[ P^{(m+n)}(i, j) = \sum_{k}P^{(m)}(i, k)P^{(n)}(k, j). \] This equation is called the Chapman-Kolmogorov equation.

If $X$ has a finite state space, we can write $P^{(n)}$ as a matrix, called the $n$-step transition matrix. Then $P^{(n)} = P^n$ for all $n \ge 0$.

Proof

By the definition of $P^{(n)}$, we get that \[ P^{(0)}(i, j) = \begin{cases}1 & \textrm{ if } i = j \\ 0 & \textrm{ if } i \neq j\end{cases}. \] Hence, the Chapman-Kolmogorov equations are trivially true if $m = 0$ or $n = 0$.

Now let $m \ge 1$ and $n \ge 1$. Then \begin{align} & P^{(m+n)}(i, j) \\ &= \Pr(X_{m+n} = j \mid X_0 = i) \\ &= \sum_{k} \Pr(X_{m+n} = j \mid X_m = k, X_0 = i)\Pr(X_m = k \mid X_0 = i) \\ &= \sum_{k} \Pr(X_n = j \mid X_0 = k)\Pr(X_m = k \mid X_0 = i) \tag{since $X$ is a homogeneous markov chain} \\ &= \sum_{k} P^{(n)}(k, j)P^{(m)}(i, k) \end{align}

When $X$ has a finite state space, the Chapman-Kolmogorov equation can be expressed in matrix form: $P^{(m+n)} = P^{(m)}P^{(n)}$ for all $m \ge 0$ and $n \ge 0$.

$P^{(0)} = I$ and $P^{(1)} = P$ by the definition of $P^{(n)}$. The Chapman-Kolmogorov equation gives us $P^{(n+1)} = P^{(n)}P^{(1)} = P^{(n)}P$. Using mathematical induction, we can prove that $P^{(n)} = P^n$ for all $n \ge 0$.

Dependency for:

  1. Markov chains: accessibility and state classes

Info:

Transitive dependencies:

  1. /analysis/topological-space
  2. /sets-and-relations/countable-set
  3. /sets-and-relations/de-morgan-laws
  4. σ-algebra
  5. Generated σ-algebra
  6. Borel algebra
  7. Measurable function
  8. Generators of the real Borel algebra (incomplete)
  9. Measure
  10. σ-algebra is closed under countable intersections
  11. Group
  12. Ring
  13. Semiring
  14. Matrix
  15. Identity matrix
  16. Probability
  17. Conditional probability (incomplete)
  18. Random variable
  19. Markov chain