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8
stochastic_processes_martingale_1
Consider biased gambler’s ruin: at each step, the gambler gains one dollar with probability p and losses one dollar with probability (1 − p). Let X_n be the money in purse at time n. Show that if p = 1/2, then (X_n) is a martingale.
theorem q8_gambler_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hadap : Adapted ℱ X) (hint : ∀ n, Integrable (X n) μ) (p : ℝ) (hp : p = 1 / 2) (hstep : IsConstDrift μ ℱ X (2 * p - 1)) : Martingale X ℱ μ := by sorry
literal
theorem q8_gambler_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hadap : Adapted ℱ X) (hint : ∀ n, Integrable (X n) μ) (p : ℝ) (hp : p = 1 / 2) (hstep : IsConstDrift μ ℱ X (2 * p - 1)) : Martingale X ℱ μ := by apply martingale_of_condExp_sub_eq_zero_nat hadap.s...
40
Martingales & stopping
null
10
stochastic_processes_birth_death_reversible
Consider a birth-death Markov chain on a countable state space that possesses a stationary distribution. Show that the chain is reversible.
theorem q10_birth_death_reversible (P : ℕ → ℕ → ℝ) (hP0 : ∀ i j, 0 ≤ P i j) (hP1 : ∀ i, ∑' j, P i j = 1) (hbd : ∀ i j, 1 < max i j - min i j → P i j = 0) (π : ℕ → ℝ) (hπ0 : ∀ i, 0 ≤ π i) (hπsum : ∑' i, π i = 1) (hstat : ∀ j, ∑' i, π i * P i j = π j) : ∀ i j, π i * P i j = π j * P j i := by sorry
abstract
theorem q10_birth_death_reversible (P : ℕ → ℕ → ℝ) (hP0 : ∀ i j, 0 ≤ P i j) (hP1 : ∀ i, ∑' j, P i j = 1) (hbd : ∀ i j, 1 < max i j - min i j → P i j = 0) (π : ℕ → ℝ) (hπ0 : ∀ i, 0 ≤ π i) (hπsum : ∑' i, π i = 1) (hstat : ∀ j, ∑' i, π i * P i j = π j) : ∀ i j, π i * P i j = π j * P j i := by -- P va...
149
Markov chains (finite & countable)
null
11
stochastic_processes_birth_death_process_stationary
Consider an irreducible birth-death continuous-time Markov chain with birth rate λ_i in state i and death rate μ_{i+1} from state i+1, and let ρ_i = λ_i/μ_{i+1}. Show that the steady-state distribution, when it exists, satisfies p_i = p_0 ∏_{j<i} ρ_j and p_i λ_i = p_{i+1} μ_{i+1} for all i.
theorem q11_birth_death_stationary (lam : ℕ → ℝ) (hlam : ∀ i, 0 < lam i) (mu : ℕ → ℝ) (hmu : ∀ i, 0 < mu (i + 1)) (ρ : ℕ → ℝ) (hρ : ∀ i, ρ i = lam i / mu (i + 1)) (p : ℕ → ℝ) (hp0 : ∀ i, 0 ≤ p i) (hpsum : ∑' i, p i = 1) (hbal0 : p 0 * lam 0 = p 1 * mu 1) (hbal : ∀ n, p (n + 1) * (lam (n + 1) + m...
abstract
theorem q11_birth_death_stationary (lam : ℕ → ℝ) (hlam : ∀ i, 0 < lam i) (mu : ℕ → ℝ) (hmu : ∀ i, 0 < mu (i + 1)) (ρ : ℕ → ℝ) (hρ : ∀ i, ρ i = lam i / mu (i + 1)) (p : ℕ → ℝ) (hp0 : ∀ i, 0 ≤ p i) (hpsum : ∑' i, p i = 1) (hbal0 : p 0 * lam 0 = p 1 * mu 1) (hbal : ∀ n, p (n + 1) * (lam (n + 1) + m...
130
Continuous-time Markov & queues
null
19
stochastic_processes_martingale_stopping_time_1
Let (X_n)_{n ≥ 0} be a martingale, and let S ≤ T be bounded stopping times. Show that 𝔼[X_T] = 𝔼[X_S].
theorem q19_optional_stopping_eq (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) [SigmaFiniteFiltration μ ℱ] (X : ℕ → Ω → ℝ) (hX : Martingale X ℱ μ) (S T : Ω → ℕ) (hS : IsStoppingTime ℱ (natStop S)) (hT : IsStoppingTime ℱ (natStop T)) (hST : ∀ ω, S ω ≤ T ω) (N : ℕ) (hTbdd : ∀ ω, T ω ≤ N) ...
literal
theorem q19_optional_stopping_eq (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) [SigmaFiniteFiltration μ ℱ] (X : ℕ → Ω → ℝ) (hX : Martingale X ℱ μ) (S T : Ω → ℕ) (hS : IsStoppingTime ℱ (natStop S)) (hT : IsStoppingTime ℱ (natStop T)) (hST : ∀ ω, S ω ≤ T ω) (N : ℕ) (hTbdd : ∀ ω, T ω ≤ N) ...
300
Martingales & stopping
null
22
stochastic_processes_martingale_2
Let (ξ_i)_{i ≥ 1} be i.i.d with 𝔼[ξ1] = 0. Show that X_n = sum_1^n ξ_i is a martingale.
theorem q22_martingale_sum (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (ξ : ℕ → Ω → ℝ) (hint : ∀ n, Integrable (ξ n) μ) (hmeas : ∀ n, StronglyMeasurable[ℱ (n + 1)] (ξ n)) (hmean : ∀ n, μ[ξ n | ℱ n] =ᵐ[μ] 0) : Martingale (fun n ω => ∑ i ∈ Finset.range n, ξ i ω) ℱ μ := by sorry
literal
theorem q22_martingale_sum (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (ξ : ℕ → Ω → ℝ) (hint : ∀ n, Integrable (ξ n) μ) (hmeas : ∀ n, StronglyMeasurable[ℱ (n + 1)] (ξ n)) (hmean : ∀ n, μ[ξ n | ℱ n] =ᵐ[μ] 0) : Martingale (fun n ω => ∑ i ∈ Finset.range n, ξ i ω) ℱ μ := by apply martin...
259
Martingales & stopping
null
24
stochastic_processes_ctmc_embedded_vs_process_probabilities
Let (X(t)) be an irreducible positive-recurrent continuous-time Markov chain with embedded stationary distribution (π_j) and exit rates (ν_j), and process probabilities (p_j). Show that p_j = π_j when all exit rates ν_j are equal, and give an example where the two distributions differ.
theorem q24_ctmc_embedded_vs_process {S : Type*} [Countable S] (P : S → S → ℝ) (hP0 : ∀ i j, 0 ≤ P i j) (hPstoch : ∀ i, ∑' j, P i j = 1) (hPloop : ∀ i, P i i = 0) (π : S → ℝ) (hπpos : ∀ i, 0 < π i) (hπsum : ∑' i, π i = 1) (hπstat : ∀ j, ∑' i, π i * P i j = π j) (ν : S → ℝ) (hν : ∀ i, 0 < ν i) (ν...
abstract
theorem q24_ctmc_embedded_vs_process {S : Type*} [Countable S] (P : S → S → ℝ) (hP0 : ∀ i j, 0 ≤ P i j) (hPstoch : ∀ i, ∑' j, P i j = 1) (hPloop : ∀ i, P i i = 0) (π : S → ℝ) (hπpos : ∀ i, 0 < π i) (hπsum : ∑' i, π i = 1) (hπstat : ∀ j, ∑' i, π i * P i j = π j) (ν : S → ℝ) (hν : ∀ i, 0 < ν i) (ν...
110
Continuous-time Markov & queues
null
29
stochastic_processes_round_robin_steady_state
Consider the round-robin service system modeled as a Markov chain with arrival probability λ per quantum and geometric service requirement with per-quantum completion probability, and let ρ be the ratio of arrival rate to service rate with ρ < 1. Show that the steady-state distribution of the number in the system is g...
theorem q29_round_robin_steady_state (lam mu ρ : ℝ) (hmu : 0 < mu) (hρdef : ρ = lam / mu) (hρ0 : 0 ≤ ρ) (hρ1 : ρ < 1) (p q : ℕ → ℝ) (hp : ∀ i, 0 < p i) (hq : ∀ i, 0 < q (i + 1)) (hratio : ∀ i, p i / q (i + 1) = ρ) : ∀ π : ℕ → ℝ, (∀ i, 0 ≤ π i) → (∑' i, π i = 1) → (∀ i, π i * p i = π (i + 1) * q (i...
abstract
theorem q29_round_robin_steady_state (lam mu ρ : ℝ) (hmu : 0 < mu) (hρdef : ρ = lam / mu) (hρ0 : 0 ≤ ρ) (hρ1 : ρ < 1) (p q : ℕ → ℝ) (hp : ∀ i, 0 < p i) (hq : ∀ i, 0 < q (i + 1)) (hratio : ∀ i, p i / q (i + 1) = ρ) : ∀ π : ℕ → ℝ, (∀ i, 0 ≤ π i) → (∑' i, π i = 1) → (∀ i, π i * p i = π (i + 1) * q (i...
90
Continuous-time Markov & queues
null
31
stochastic_processes_submartingale_convergence_theorem
Let (Z_n) be a submartingale satisfying E[|Z_n|] ≤ M < ∞ for all n. Show that Z_n converges with probability 1 to a finite limiting random variable.
theorem q31_submartingale_convergence (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (Z : ℕ → Ω → ℝ) (hZ : Submartingale Z ℱ μ) (M : ℝ) (hbdd : ∀ n, ∫ ω, |Z n ω| ∂μ ≤ M) : ∃ Zinf : Ω → ℝ, ∀ᵐ ω ∂μ, Tendsto (fun n => Z n ω) atTop (𝓝 (Zinf ω)) := by sorry
literal
theorem q31_submartingale_convergence (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (Z : ℕ → Ω → ℝ) (hZ : Submartingale Z ℱ μ) (M : ℝ) (hbdd : ∀ n, ∫ ω, |Z n ω| ∂μ ≤ M) : ∃ Zinf : Ω → ℝ, ∀ᵐ ω ∂μ, Tendsto (fun n => Z n ω) atTop (𝓝 (Zinf ω)) := by refine ⟨ℱ.limitProcess Z μ, ?_⟩ have hbo...
115
Martingales & stopping
null
32
stochastic_processes_markov_modulated_matrix_generating
Let a Markov-modulated random walk have modulating chain with transition matrix [P] and per-transition increment generating functions g_{ij}(r), and define [A(r)] by A_{ij}(r) = P_{ij} g_{ij}(r). Show that E[e^{r S_n}] is obtained from the nth power of [A(r)], so that the growth rate of the walk's moment generating fu...
theorem q32_markov_modulated_matrix_generating {σ : Type*} [Fintype σ] [DecidableEq σ] (P : Matrix σ σ ℝ) (g : σ → σ → ℝ) (A : Matrix σ σ ℝ) (hA : ∀ i j, A i j = P i j * g i j) (Φ : ℕ → σ → ℝ) (hΦ0 : ∀ i, Φ 0 i = 1) (hΦrec : ∀ n i, Φ (n + 1) i = ∑ j, A i j * Φ n j) : ∀ n i, Φ n i = ∑ j, (A ^ n) i j ...
abstract
theorem q32_markov_modulated_matrix_generating {σ : Type*} [Fintype σ] [DecidableEq σ] (P : Matrix σ σ ℝ) (g : σ → σ → ℝ) (A : Matrix σ σ ℝ) (hA : ∀ i j, A i j = P i j * g i j) (Φ : ℕ → σ → ℝ) (hΦ0 : ∀ i, Φ 0 i = 1) (hΦrec : ∀ n i, Φ (n + 1) i = ∑ j, A i j * Φ n j) : ∀ n i, Φ n i = ∑ j, (A ^ n) i j ...
124
Random walks & large deviations
null
33
stochastic_processes_brownian_motion_martingale
Let B be a standard Brownian motion with its natural filtration. Show that B(t) is a martingale.
theorem q33_brownian_motion_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℝ m0) (B : ℝ → Ω → ℝ) (hadap : Adapted ℱ B) (hint : ∀ t, Integrable (B t) μ) (hB0 : ∀ᵐ ω ∂μ, B 0 ω = 0) (hincr : ∀ s t : ℝ, 0 ≤ s → s ≤ t → HasLaw (fun ω => B t ω - B s ω) (gaussianReal 0 (t - s).to...
abstract
theorem q33_brownian_motion_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℝ m0) (B : ℝ → Ω → ℝ) (hadap : Adapted ℱ B) (hint : ∀ t, Integrable (B t) μ) (hB0 : ∀ᵐ ω ∂μ, B 0 ω = 0) (hincr : ∀ s t : ℝ, 0 ≤ s → s ≤ t → HasLaw (fun ω => B t ω - B s ω) (gaussianReal 0 (t - s).to...
474
Brownian motion & stochastic calculus
null
38
stochastic_processes_markov_chain_1
A company issues N different types of coupons. Each coupon is equally likely to be each of the N types. A collector desires a complete set. Let S represent the sum of (1/k), for 1 ≤ k ≤ N. Show that the expected time for the collector to obtain all N types is N*S.
theorem q38_coupon_collector_expected (N : ℕ) (hN : 0 < N) (e : ℕ → ℝ) (hbN : e N = 0) (hrec : ∀ k, k < N → e k = 1 + ((k : ℝ) / N) * e k + (((N : ℝ) - k) / N) * e (k + 1)) : e 0 = (N : ℝ) * ∑ k ∈ Finset.Icc 1 N, (1 : ℝ) / k := by sorry
abstract
theorem q38_coupon_collector_expected (N : ℕ) (hN : 0 < N) (e : ℕ → ℝ) (hbN : e N = 0) (hrec : ∀ k, k < N → e k = 1 + ((k : ℝ) / N) * e k + (((N : ℝ) - k) / N) * e (k + 1)) : e 0 = (N : ℝ) * ∑ k ∈ Finset.Icc 1 N, (1 : ℝ) / k := by have hNR : (0:ℝ) < N := by exact_mod_cast hN have hNne : (N:ℝ) ≠ 0 := n...
928
Markov chains (finite & countable)
null
40
stochastic_processes_class_same_period
Let (X_n) be a finite-state Markov chain and let d(i) = gcd{n ≥ 1 : P_{ii}^n > 0} be the period of state i. Show that all states in the same communicating class have the same period.
theorem q40_class_same_period {Ω : Type*} [Fintype Ω] [DecidableEq Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) : ∀ x y : Ω, ((∃ m : ℕ, 0 < (P ^ m) x y) ∧ (∃ k : ℕ, 0 < (P ^ k) y x)) → ∀ d : ℕ, (∀ n, 0 < (P ^ n) x x → d ∣ n) ↔ (∀ n, 0 < (P ^ n) y y → d ∣ n) := by sorry
abstract
theorem q40_class_same_period {Ω : Type*} [Fintype Ω] [DecidableEq Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) : ∀ x y : Ω, ((∃ m : ℕ, 0 < (P ^ m) x y) ∧ (∃ k : ℕ, 0 < (P ^ k) y x)) → ∀ d : ℕ, (∀ n, 0 < (P ^ n) x x → d ∣ n) ↔ (∀ n, 0 < (P ^ n) y y → d ∣ n) := by have hPnn : ∀ (t : ℕ) (u v : Ω), 0 ≤ (P ^...
157
Markov chains (finite & countable)
null
41
stochastic_processes_mdp_optimal_policy_finite_horizon
Consider a finite-state, finite-decision Markov decision problem over a horizon of n transitions. Show that the dynamic programming recursion yields an optimal policy, and that the decision achieving the maximum at each stage depends only on the current state and the number of stages remaining.
theorem q41_optimal_policy_finite_horizon {Ω : Type*} [Fintype Ω] [DecidableEq Ω] {K : Type*} [Fintype K] [Nonempty K] (r : K → Ω → ℝ) (P : K → Matrix Ω Ω ℝ) (hP : ∀ k, IsStochastic (P k)) (v : ℕ → Ω → ℝ) (hv0 : ∀ i, v 0 i = 0) (hvrec : ∀ n i, v (n + 1) i = ⨆ k, (r k i + ∑ j, P k i j * v n j)) : ∃ μ...
abstract
theorem q41_optimal_policy_finite_horizon {Ω : Type*} [Fintype Ω] [DecidableEq Ω] {K : Type*} [Fintype K] [Nonempty K] (r : K → Ω → ℝ) (P : K → Matrix Ω Ω ℝ) (hP : ∀ k, IsStochastic (P k)) (v : ℕ → Ω → ℝ) (hv0 : ∀ i, v 0 i = 0) (hvrec : ∀ n i, v (n + 1) i = ⨆ k, (r k i + ∑ j, P k i j * v n j)) : ∃ μ...
109
Markov chains (finite & countable)
null
43
stochastic_processes_exponential_tilting
Let X have moment generating function M and let θ_0 be such that M(θ_0) < ∞. Define the tilted distribution by P(X_{θ_0} ≤ z) = M(θ_0)^{-1} ∫_{−∞}^z e^{θ_0 x} dP(x). Show that this defines a probability distribution and that E[X_{θ_0}] = Ṁ(θ_0)/M(θ_0).
theorem q43_exponential_tilting (μ : Measure Ω) [IsProbabilityMeasure μ] (X : Ω → ℝ) (hX : Measurable X) (θ₀ : ℝ) (hInt : ∀ᶠ s in nhds θ₀, Integrable (fun ω => Real.exp (s * X ω)) μ) : IsProbabilityMeasure (μ.tilted (fun ω => θ₀ * X ω)) ∧ ∫ ω, X ω ∂(μ.tilted (fun ω => θ₀ * X ω)) = deriv (fun t => ...
literal
theorem q43_exponential_tilting (μ : Measure Ω) [IsProbabilityMeasure μ] (X : Ω → ℝ) (hX : Measurable X) (θ₀ : ℝ) (hInt : ∀ᶠ s in nhds θ₀, Integrable (fun ω => Real.exp (s * X ω)) μ) : IsProbabilityMeasure (μ.tilted (fun ω => θ₀ * X ω)) ∧ ∫ ω, X ω ∂(μ.tilted (fun ω => θ₀ * X ω)) = deriv (fun t => ...
443
Random walks & large deviations
null
51
stochastic_processes_brownian_marginal
Let B be standard Brownian motion: B(0) = 0 and the increment B(t) − B(s) is normal with mean 0 and variance t − s for 0 ≤ s ≤ t. Show that B(t) is normally distributed with mean 0 and variance t.
theorem q51_brownian_marginal (μ : Measure Ω) [IsProbabilityMeasure μ] (B : ℝ → Ω → ℝ) (hB0 : ∀ᵐ ω ∂μ, B 0 ω = 0) (hincr : ∀ s t : ℝ, 0 ≤ s → s ≤ t → HasLaw (fun ω => B t ω - B s ω) (gaussianReal 0 (t - s).toNNReal) μ) : ∀ t : ℝ, 0 ≤ t → HasLaw (B t) (gaussianReal 0 t.toNNReal) μ := by sorry
abstract
theorem q51_brownian_marginal (μ : Measure Ω) [IsProbabilityMeasure μ] (B : ℝ → Ω → ℝ) (hB0 : ∀ᵐ ω ∂μ, B 0 ω = 0) (hincr : ∀ s t : ℝ, 0 ≤ s → s ≤ t → HasLaw (fun ω => B t ω - B s ω) (gaussianReal 0 (t - s).toNNReal) μ) : ∀ t : ℝ, 0 ≤ t → HasLaw (B t) (gaussianReal 0 t.toNNReal) μ := by intro t ht ...
52
Brownian motion & stochastic calculus
null
54
stochastic_processes_continuous_mapping_theorem
Let P_n ⇒ P on a metric space S_1 and let f : S_1 → S_2 be continuous. Show that P_n f^{-1} ⇒ P f^{-1}.
theorem q54_continuous_mapping_theorem {S₁ S₂ : Type*} [MeasurableSpace S₁] [TopologicalSpace S₁] [OpensMeasurableSpace S₁] [MeasurableSpace S₂] [TopologicalSpace S₂] [BorelSpace S₂] (Ps : ℕ → ProbabilityMeasure S₁) (P : ProbabilityMeasure S₁) (hconv : Tendsto Ps atTop (𝓝 P)) (f : S₁ → S₂) (hf : Co...
literal
theorem q54_continuous_mapping_theorem {S₁ S₂ : Type*} [MeasurableSpace S₁] [TopologicalSpace S₁] [OpensMeasurableSpace S₁] [MeasurableSpace S₂] [TopologicalSpace S₂] [BorelSpace S₂] (Ps : ℕ → ProbabilityMeasure S₁) (P : ProbabilityMeasure S₁) (hconv : Tendsto Ps atTop (𝓝 P)) (f : S₁ → S₂) (hf : Co...
88
Weak convergence & functional limits
null
57
stochastic_processes_doob_martingale
Let Z be a random variable with E[|Z|] < ∞, let (X_n) be an arbitrary sequence of random variables, and define Z_n = E[Z | X_n, X_{n−1}, …, X_1]. Show that (Z_n) is a martingale (Doob's martingale).
theorem q57_doob_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (Z : Ω → ℝ) (hZ : Integrable Z μ) (X : ℕ → Ω → ℝ) (hX : ∀ i, StronglyMeasurable (X i)) : Martingale (fun n => μ[Z | (Filtration.natural X hX) n]) (Filtration.natural X hX) μ := by sorry
literal
theorem q57_doob_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (Z : Ω → ℝ) (hZ : Integrable Z μ) (X : ℕ → Ω → ℝ) (hX : ∀ i, StronglyMeasurable (X i)) : Martingale (fun n => μ[Z | (Filtration.natural X hX) n]) (Filtration.natural X hX) μ := by exact martingale_condExp Z (Filtration.natural X hX) μ
52
Martingales & stopping
null
60
stochastic_processes_martingale_stopping_time_2
Let (X_n)_{n ≥ 0} be a martingale, and let T be a stopping time. Show that X^T is also a martingale.
theorem q60_stopped_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) [SigmaFiniteFiltration μ ℱ] (X : ℕ → Ω → ℝ) (hX : Martingale X ℱ μ) (T : Ω → ℕ) (hT : IsStoppingTime ℱ (natStop T)) : Martingale (stoppedProcess X (natStop T)) ℱ μ := by sorry
literal
theorem q60_stopped_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) [SigmaFiniteFiltration μ ℱ] (X : ℕ → Ω → ℝ) (hX : Martingale X ℱ μ) (T : Ω → ℕ) (hT : IsStoppingTime ℱ (natStop T)) : Martingale (stoppedProcess X (natStop T)) ℱ μ := by rw [martingale_iff] refine ⟨?_, hX.subma...
93
Martingales & stopping
null
63
stochastic_processes_product_form_unit_expectation
Let (S_n) be a random walk with i.i.d. steps X and semi-invariant generating function γ(r) = ln E[e^{rX}], and let Z_n = exp(r S_n − n γ(r)). Show that E[Z_n] = 1 for all n.
theorem q63_product_form_unit_expectation (μ : Measure Ω) [IsProbabilityMeasure μ] (X : ℕ → Ω → ℝ) (hindep : iIndepFun X μ) (hident : ∀ i, IdentDistrib (X i) (X 0) μ μ) (r : ℝ) (hint : Integrable (fun ω => Real.exp (r * X 0 ω)) μ) (γ : ℝ) (hγ : γ = cgf (X 0) μ r) (S : ℕ → Ω → ℝ) (hS : ∀ n ω, S n ω = ∑ i...
abstract
theorem q63_product_form_unit_expectation (μ : Measure Ω) [IsProbabilityMeasure μ] (X : ℕ → Ω → ℝ) (hindep : iIndepFun X μ) (hident : ∀ i, IdentDistrib (X i) (X 0) μ μ) (r : ℝ) (hint : Integrable (fun ω => Real.exp (r * X 0 ω)) μ) (γ : ℝ) (hγ : γ = cgf (X 0) μ r) (S : ℕ → Ω → ℝ) (hS : ∀ n ω, S n ω = ∑ i...
273
Random walks & large deviations
null
68
stochastic_processes_slln_via_backward_martingale
Let ξ_1,ξ_2,… be i.i.d. with E|ξ_1| < ∞ and let S_n = Σ_{i=1}^n ξ_i. Show, using the backward martingale convergence theorem, that S_n/n → E[ξ_1] almost surely.
theorem q68_slln_via_backward_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ξ : ℕ → Ω → ℝ) (hindep : iIndepFun ξ μ) (hident : ∀ i, IdentDistrib (ξ i) (ξ 0) μ μ) (hint : Integrable (ξ 0) μ) (S : ℕ → Ω → ℝ) (hS : ∀ n ω, S n ω = ∑ i ∈ Finset.range n, ξ i ω) : ∀ᵐ ω ∂μ, Tendsto (fun n => S n ω / (n : ...
literal
theorem q68_slln_via_backward_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ξ : ℕ → Ω → ℝ) (hindep : iIndepFun ξ μ) (hident : ∀ i, IdentDistrib (ξ i) (ξ 0) μ μ) (hint : Integrable (ξ 0) μ) (S : ℕ → Ω → ℝ) (hS : ∀ n ω, S n ω = ∑ i ∈ Finset.range n, ξ i ω) : ∀ᵐ ω ∂μ, Tendsto (fun n => S n ω / (n : ...
165
Martingales & stopping
null
69
stochastic_processes_ctmc_steady_state_process
Let (X(t)) be an irreducible continuous-time Markov chain whose embedded chain is positive-recurrent with stationary distribution (π_i), and whose transition rates ν_i satisfy Σ_i π_i/ν_i < ∞. Show that the limiting process probabilities are p_j = (π_j/ν_j) / Σ_k (π_k/ν_k).
theorem q69_ctmc_steady_state_process {S : Type*} [Countable S] (P : S → S → ℝ) (hP0 : ∀ i j, 0 ≤ P i j) (hPstoch : ∀ i, ∑' j, P i j = 1) (hPloop : ∀ i, P i i = 0) (π : S → ℝ) (hπpos : ∀ i, 0 < π i) (hπsum : ∑' i, π i = 1) (hπstat : ∀ j, ∑' i, π i * P i j = π j) (ν : S → ℝ) (hν : ∀ i, 0 < ν i) ...
abstract
theorem q69_ctmc_steady_state_process {S : Type*} [Countable S] (P : S → S → ℝ) (hP0 : ∀ i j, 0 ≤ P i j) (hPstoch : ∀ i, ∑' j, P i j = 1) (hPloop : ∀ i, P i i = 0) (π : S → ℝ) (hπpos : ∀ i, 0 < π i) (hπsum : ∑' i, π i = 1) (hπstat : ∀ j, ∑' i, π i * P i j = π j) (ν : S → ℝ) (hν : ∀ i, 0 < ν i) ...
639
Continuous-time Markov & queues
null
71
stochastic_processes_stopping_times
Suppose τ and τ' are stopping times. Show that τ + τ', τ ∧ τ', and τ ∨ τ' are also stopping times.
theorem q71_stopping_times {Ω : Type*} {m : MeasurableSpace Ω} (ℱ : Filtration ℕ m) (τ σ : Ω → WithTop ℕ) (hτ : IsStoppingTime ℱ τ) (hσ : IsStoppingTime ℱ σ) : IsStoppingTime ℱ (fun ω => τ ω + σ ω) ∧ IsStoppingTime ℱ (τ ⊓ σ) ∧ IsStoppingTime ℱ (τ ⊔ σ) := by sorry
literal
theorem q71_stopping_times {Ω : Type*} {m : MeasurableSpace Ω} (ℱ : Filtration ℕ m) (τ σ : Ω → WithTop ℕ) (hτ : IsStoppingTime ℱ τ) (hσ : IsStoppingTime ℱ σ) : IsStoppingTime ℱ (fun ω => τ ω + σ ω) ∧ IsStoppingTime ℱ (τ ⊓ σ) ∧ IsStoppingTime ℱ (τ ⊔ σ) := ⟨hτ.add hσ, hτ.min hσ, hτ.max hσ⟩
76
Martingales & stopping
null
72
stochastic_processes_submartingale_inequality_1
Let X = (X_n)_{n ≥ 0} be a non-negative submartingale. Let X_n^* = max_{0 ≤ k ≤ n} X_k. Show that λℙ[X_n^* ≥ λ] ≤ 𝔼[X_n * 1_{X_n^* ≥ λ}] ≤ 𝔼[X_n].
theorem q72_doob_maximal (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hX : Submartingale X ℱ μ) (hnn : ∀ n ω, 0 ≤ X n ω) (lam : ℝ) (hlam : 0 < lam) (n : ℕ) : lam * (μ {ω | lam ≤ runningMax X n ω}).toReal ≤ ∫ ω in {ω | lam ≤ runningMax X n ω}, X n ω ∂μ ∧ ∫ ω in {ω | l...
literal
theorem q72_doob_maximal (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hX : Submartingale X ℱ μ) (hnn : ∀ n ω, 0 ≤ X n ω) (lam : ℝ) (hlam : 0 < lam) (n : ℕ) : lam * (μ {ω | lam ≤ runningMax X n ω}).toReal ≤ ∫ ω in {ω | lam ≤ runningMax X n ω}, X n ω ∂μ ∧ ∫ ω in {ω | l...
393
Martingales & stopping
null
75
stochastic_processes_strong_stationary_time_1
Let (X_n)_{n ≥ 0} be an irreducible Markov chain with stationary measure π. Let the separation distance be S_x (n) = max_y (1 − P^n (x, y) / π(y)). Show that ||P^n (x, ·) - π||_{TV} ≤ S_x (n).
theorem q75_tv_le_sep {Ω : Type*} [Fintype Ω] [Nonempty Ω] [DecidableEq Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) (π : Ω → ℝ) (hπ : IsStationary P π) (hπpos : ∀ x, 0 < π x) (x : Ω) (n : ℕ) : tvDist (fun y => (P ^ n) x y) π ≤ ⨆ y, (1 - (P ^ n) x y / π y) := by sorry
literal
theorem q75_tv_le_sep {Ω : Type*} [Fintype Ω] [Nonempty Ω] [DecidableEq Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) (π : Ω → ℝ) (hπ : IsStationary P π) (hπpos : ∀ x, 0 < π x) (x : Ω) (n : ℕ) : tvDist (fun y => (P ^ n) x y) π ≤ ⨆ y, (1 - (P ^ n) x y / π y) := by -- power of stochastic matrix has nonneg ent...
178
Markov chains (finite & countable)
null
78
stochastic_processes_random_walk_square_martingale
Let X_1,X_2,… be i.i.d. with mean 0 and variance σ^2, and let S_n = Σ_{i=1}^n X_i. Show that S_n^2 − nσ^2 is a martingale.
theorem q78_square_random_walk_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hadap : Adapted ℱ (fun n ω => ∑ i ∈ Finset.range n, X i ω)) (hint : ∀ n, Integrable (fun ω => (X n ω) ^ 2) μ) (σ2 : ℝ) (hmean : ∀ n, μ[X n | ℱ n] =ᵐ[μ] fun _ => (0 : ℝ)) (hvar : ...
abstract
theorem q78_square_random_walk_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hadap : Adapted ℱ (fun n ω => ∑ i ∈ Finset.range n, X i ω)) (hint : ∀ n, Integrable (fun ω => (X n ω) ^ 2) μ) (σ2 : ℝ) (hmean : ∀ n, μ[X n | ℱ n] =ᵐ[μ] fun _ => (0 : ℝ)) (hvar : ...
491
Martingales & stopping
null
81
stochastic_processes_markov_modulated_product_martingale
Let a Markov-modulated random walk have matrix [A(r)] with largest eigenvalue ρ(r) and corresponding positive right eigenvector ν(r), and define Z_n = exp(r S_n) ν_{Y_n}(r) / ρ(r)^n. Show that (Z_n) is a martingale.
theorem q81_markov_modulated_product_martingale {σ : Type*} [Fintype σ] (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (Y : ℕ → Ω → σ) (X S : ℕ → Ω → ℝ) (r ρ : ℝ) (hρ : 0 < ρ) (ν : σ → ℝ) (hν : ∀ s, 0 < ν s) (hS : ∀ n ω, S n ω = ∑ i ∈ Finset.range n, X i ω) (hSadap : Adapted ℱ S) (Z ...
abstract
theorem q81_markov_modulated_product_martingale {σ : Type*} [Fintype σ] (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (Y : ℕ → Ω → σ) (X S : ℕ → Ω → ℝ) (r ρ : ℝ) (hρ : 0 < ρ) (ν : σ → ℝ) (hν : ∀ s, 0 < ν s) (hS : ∀ n ω, S n ω = ∑ i ∈ Finset.range n, X i ω) (hSadap : Adapted ℱ S) (Z ...
300
Martingales & stopping
null
83
stochastic_processes_class_transient_recurrent
Let (X_n) be a finite-state Markov chain. Show that within any communicating class, either all states are transient or all states are recurrent.
theorem q83_class_transient_recurrent {Ω : Type*} [Fintype Ω] [DecidableEq Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) : ∀ x y : Ω, ((∃ m : ℕ, 0 < (P ^ m) x y) ∧ (∃ k : ℕ, 0 < (P ^ k) y x)) → (Summable (fun n => (P ^ n) x x) ↔ Summable (fun n => (P ^ n) y y)) := by sorry
abstract
theorem q83_class_transient_recurrent {Ω : Type*} [Fintype Ω] [DecidableEq Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) : ∀ x y : Ω, ((∃ m : ℕ, 0 < (P ^ m) x y) ∧ (∃ k : ℕ, 0 < (P ^ k) y x)) → (Summable (fun n => (P ^ n) x x) ↔ Summable (fun n => (P ^ n) y y)) := by obtain ⟨hnn, hstoch⟩ := hP -- entrie...
267
Markov chains (finite & countable)
null
85
stochastic_processes_renewal_slln
Let S_n = X_1 + … + X_n where the X_i are i.i.d. with E[|X|] < ∞ and mean X̄. Show that Pr[lim_{n→∞} S_n/n = X̄] = 1.
theorem q85_renewal_slln (μ : Measure Ω) [IsProbabilityMeasure μ] (X : ℕ → Ω → ℝ) (hint : Integrable (X 0) μ) (hindep : Pairwise (fun i j => IndepFun (X i) (X j) μ)) (hident : ∀ i, IdentDistrib (X i) (X 0) μ μ) : ∀ᵐ ω ∂μ, Tendsto (fun n : ℕ => (n : ℝ)⁻¹ • (∑ i ∈ Finset.range n, X i ω)) atTop (𝓝 (...
literal
theorem q85_renewal_slln (μ : Measure Ω) [IsProbabilityMeasure μ] (X : ℕ → Ω → ℝ) (hint : Integrable (X 0) μ) (hindep : Pairwise (fun i j => IndepFun (X i) (X j) μ)) (hident : ∀ i, IdentDistrib (X i) (X 0) μ μ) : ∀ᵐ ω ∂μ, Tendsto (fun n : ℕ => (n : ℝ)⁻¹ • (∑ i ∈ Finset.range n, X i ω)) atTop (𝓝 (...
48
Weak convergence & functional limits
null
86
stochastic_processes_birth_death_geometric
Consider an irreducible birth-death chain on {0,1,2,…} with constant ratio ρ = p/q < 1 (up-probability p, down-probability q at every interior state). Show that the stationary distribution is π_i = (1 − ρ) ρ^i for i ≥ 0.
theorem q86_birth_death_geometric (P : ℕ → ℕ → ℝ) (hP0 : ∀ i j, 0 ≤ P i j) (hP1 : ∀ i, ∑' j, P i j = 1) (ρ : ℝ) (hρ0 : 0 < ρ) (hρ1 : ρ < 1) (hratio : ∀ i, P i (i + 1) = ρ * P (i + 1) i) (π : ℕ → ℝ) (hπ : ∀ i, π i = (1 - ρ) * ρ ^ i) : (∀ i, 0 ≤ π i) ∧ (∑' i, π i = 1) ∧ (∀ i, π i * P i (i + 1) =...
abstract
theorem q86_birth_death_geometric (P : ℕ → ℕ → ℝ) (hP0 : ∀ i j, 0 ≤ P i j) (hP1 : ∀ i, ∑' j, P i j = 1) (ρ : ℝ) (hρ0 : 0 < ρ) (hρ1 : ρ < 1) (hratio : ∀ i, P i (i + 1) = ρ * P (i + 1) i) (π : ℕ → ℝ) (hπ : ∀ i, π i = (1 - ρ) * ρ ^ i) : (∀ i, 0 ≤ π i) ∧ (∑' i, π i = 1) ∧ (∀ i, π i * P i (i + 1) =...
94
Markov chains (finite & countable)
null
87
stochastic_processes_martingale_simple_random_walk
Let X = (X_n)_{n ≥ 0} be the simple random walk on ℤ. Show that (Y_n := X_n^3 − 3nX_n)_{n ≥ 0} is a martingale.
theorem q87_srw_cubic_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hadap : Adapted ℱ X) (hint : ∀ n, Integrable (fun ω => (X n ω) ^ 3) μ) (hstep : ∀ n, ∀ᵐ ω ∂μ, X (n + 1) ω = X n ω + 1 ∨ X (n + 1) ω = X n ω - 1) (hsym : IsConstDrift μ ℱ X 0) : Martingale (fu...
literal
theorem q87_srw_cubic_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hadap : Adapted ℱ X) (hint : ∀ n, Integrable (fun ω => (X n ω) ^ 3) μ) (hstep : ∀ n, ∀ᵐ ω ∂μ, X (n + 1) ω = X n ω + 1 ∨ X (n + 1) ω = X n ω - 1) (hsym : IsConstDrift μ ℱ X 0) : Martingale (fu...
121
Martingales & stopping
null
88
stochastic_processes_stopped_submartingale_bounds
Let (Z_n) be a submartingale and let J be a stopping trial with stopped process (Z_n*). Show that E[Z_1] ≤ E[Z_n*] ≤ E[Z_n] for all n.
theorem q88_stopped_submartingale_bounds (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) [SigmaFiniteFiltration μ ℱ] (Z : ℕ → Ω → ℝ) (hZ : Submartingale Z ℱ μ) (J : Ω → ℕ) (hJ : IsStoppingTime ℱ (natStop J)) (n : ℕ) : ∫ ω, Z 0 ω ∂μ ≤ ∫ ω, stoppedProcess Z (natStop J) n ω ∂μ ∧ ∫ ω, s...
literal
theorem q88_stopped_submartingale_bounds (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) [SigmaFiniteFiltration μ ℱ] (Z : ℕ → Ω → ℝ) (hZ : Submartingale Z ℱ μ) (J : Ω → ℕ) (hJ : IsStoppingTime ℱ (natStop J)) (n : ℕ) : ∫ ω, Z 0 ω ∂μ ≤ ∫ ω, stoppedProcess Z (natStop J) n ω ∂μ ∧ ∫ ω, s...
300
Martingales & stopping
null
96
stochastic_processes_ctmc_reversibility_embedded
Let (X(t)) be an irreducible continuous-time Markov chain with embedded jump chain (X_n). Show that the process (X(t)) is reversible if and only if the embedded chain (X_n) is reversible.
theorem q96_ctmc_reversibility_embedded {S : Type*} [Countable S] (ν : S → ℝ) (hν : ∀ i, 0 < ν i) (P : S → S → ℝ) (hP0 : ∀ i j, 0 ≤ P i j) (hPloop : ∀ i, P i i = 0) (hPstoch : ∀ i, ∑' j, P i j = 1) (q : S → S → ℝ) (hq : ∀ i j, q i j = ν i * P i j) (p : S → ℝ) (hp0 : ∀ i, 0 < p i) (hpsum : ∑' i, p i ...
abstract
theorem q96_ctmc_reversibility_embedded {S : Type*} [Countable S] (ν : S → ℝ) (hν : ∀ i, 0 < ν i) (P : S → S → ℝ) (hP0 : ∀ i j, 0 ≤ P i j) (hPloop : ∀ i, P i i = 0) (hPstoch : ∀ i, ∑' j, P i j = 1) (q : S → S → ℝ) (hq : ∀ i j, q i j = ν i * P i j) (p : S → ℝ) (hp0 : ∀ i, 0 < p i) (hpsum : ∑' i, p i ...
85
Continuous-time Markov & queues
null
99
stochastic_processes_simple_random_walk
Let X = (X_n)_{n ≥ 0} be the simple random walk on ℤ. Let τ be the first time that the walker hits either 0 or N. Show that, for 0 ≤ k ≤ N, we have 𝔼_k [τ | X_τ = N] = (N^2 - k^2) / 3.
theorem q99_srw_conditional_time (N : ℕ) (v : ℕ → ℝ) (hbN : v N = 0) (hrec : ∀ k, 0 < k → k < N → v k = 1 + (((k : ℝ) + 1) / (2 * k)) * v (k + 1) + (((k : ℝ) - 1) / (2 * k)) * v (k - 1)) (k : ℕ) (hk0 : 0 < k) (hk : k ≤ N) : v k = ((N : ℝ) ^ 2 - (k : ℝ) ^ 2) / 3 := by sorry
abstract
theorem q99_srw_conditional_time (N : ℕ) (v : ℕ → ℝ) (hbN : v N = 0) (hrec : ∀ k, 0 < k → k < N → v k = 1 + (((k : ℝ) + 1) / (2 * k)) * v (k + 1) + (((k : ℝ) - 1) / (2 * k)) * v (k - 1)) (k : ℕ) (hk0 : 0 < k) (hk : k ≤ N) : v k = ((N : ℝ) ^ 2 - (k : ℝ) ^ 2) / 3 := by -- Invariant: (j+1)*v(j+1) - j*v...
675
Random walks & large deviations
null
101
stochastic_processes_optional_stopping_bounded_process_martingale
Let (X_n) be a martingale that is uniformly bounded, i.e. |X_n| ≤ M almost surely for all n, and let τ be a stopping time. Show that E[X_τ] = E[X_0].
theorem q101_optional_stopping_bounded_process_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) [SigmaFiniteFiltration μ ℱ] (X : ℕ → Ω → ℝ) (hX : Martingale X ℱ μ) (M : ℝ) (hbdd : ∀ n ω, |X n ω| ≤ M) (T : Ω → ℕ) (hT : IsStoppingTime ℱ (natStop T)) : ∫ ω, stoppedValue X (natStop ...
literal
theorem q101_optional_stopping_bounded_process_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) [SigmaFiniteFiltration μ ℱ] (X : ℕ → Ω → ℝ) (hX : Martingale X ℱ μ) (M : ℝ) (hbdd : ∀ n ω, |X n ω| ≤ M) (T : Ω → ℕ) (hT : IsStoppingTime ℱ (natStop T)) : ∫ ω, stoppedValue X (natStop ...
1,110
Martingales & stopping
null
102
stochastic_processes_chapman_kolmogorov_finite
Let (X_n) be a finite-state Markov chain with transition matrix [P]. Show that the n-step transition probabilities satisfy P_{ij}^{m+n} = Σ_k P_{ik}^m P_{kj}^n.
theorem q102_chapman_kolmogorov {Ω : Type*} [Fintype Ω] [DecidableEq Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) (m n : ℕ) (i j : Ω) : (P ^ (m + n)) i j = ∑ k, (P ^ m) i k * (P ^ n) k j := by sorry
literal
theorem q102_chapman_kolmogorov {Ω : Type*} [Fintype Ω] [DecidableEq Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) (m n : ℕ) (i j : Ω) : (P ^ (m + n)) i j = ∑ k, (P ^ m) i k * (P ^ n) k j := by rw [pow_add, Matrix.mul_apply]
47
Markov chains (finite & countable)
null
103
stochastic_processes_random_walk_centered_martingale
Let X_1,X_2,… be i.i.d. with mean μ and E|X_1| < ∞, and let S_n = Σ_{i=1}^n X_i. Show that S_n − μn is a martingale with respect to the filtration generated by (X_i).
theorem q103_centered_random_walk_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hadap : Adapted ℱ (fun n ω => ∑ i ∈ Finset.range n, X i ω)) (hint : ∀ n, Integrable (X n) μ) (m : ℝ) (hincr : ∀ n, μ[X n | ℱ n] =ᵐ[μ] fun _ => m) : Martingale (fun n ω => (∑ i...
abstract
theorem q103_centered_random_walk_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hadap : Adapted ℱ (fun n ω => ∑ i ∈ Finset.range n, X i ω)) (hint : ∀ n, Integrable (X n) μ) (m : ℝ) (hincr : ∀ n, μ[X n | ℱ n] =ᵐ[μ] fun _ => m) : Martingale (fun n ω => (∑ i...
173
Martingales & stopping
null
106
stochastic_processes_birth_death_process_reversible
Consider a birth-death continuous-time Markov chain that possesses a steady-state distribution. Show that the process is reversible.
theorem q106_birth_death_reversible (lam : ℕ → ℝ) (hlam : ∀ i, 0 < lam i) (mu : ℕ → ℝ) (hmu : ∀ i, 0 < mu (i + 1)) (q : ℕ → ℕ → ℝ) (hqbirth : ∀ i, q i (i + 1) = lam i) (hqdeath : ∀ i, q (i + 1) i = mu (i + 1)) (hqother : ∀ i j, j ≠ i + 1 → i ≠ j + 1 → q i j = 0) (p : ℕ → ℝ) (hp0 : ∀ i, 0 ≤ p...
abstract
theorem q106_birth_death_reversible (lam : ℕ → ℝ) (hlam : ∀ i, 0 < lam i) (mu : ℕ → ℝ) (hmu : ∀ i, 0 < mu (i + 1)) (q : ℕ → ℕ → ℝ) (hqbirth : ∀ i, q i (i + 1) = lam i) (hqdeath : ∀ i, q (i + 1) i = mu (i + 1)) (hqother : ∀ i j, j ≠ i + 1 → i ≠ j + 1 → q i j = 0) (p : ℕ → ℝ) (hp0 : ∀ i, 0 ≤ p...
88
Continuous-time Markov & queues
null
107
stochastic_processes_product_unit_mean_martingale
Let (X_i) be i.i.d. with E[X_i] = 1, and let Z_n = X_1 X_2 … X_n. Show that (Z_n) is a martingale.
theorem q107_iid_product_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (X : ℕ → Ω → ℝ) (hmeas : ∀ i, StronglyMeasurable (X i)) (hindep : iIndepFun X μ) (hident : ∀ i, IdentDistrib (X i) (X 0) μ μ) (hint : ∀ n, Integrable (fun ω => ∏ i ∈ Finset.range (n + 1), X i ω) μ) (hmean : ∫ ω, X 0 ω ∂μ = 1) :...
literal
theorem q107_iid_product_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (X : ℕ → Ω → ℝ) (hmeas : ∀ i, StronglyMeasurable (X i)) (hindep : iIndepFun X μ) (hident : ∀ i, IdentDistrib (X i) (X 0) μ μ) (hint : ∀ n, Integrable (fun ω => ∏ i ∈ Finset.range (n + 1), X i ω) μ) (hmean : ∫ ω, X 0 ω ∂μ = 1) :...
265
Martingales & stopping
null
110
stochastic_processes_brownian_scaling_1
Standard Brownian motion is invariant under Brownian scaling: for c > 0, the rescaled process W(t) = c B(t / c²) has the same increment law as B, namely W(t) − W(s) ~ Normal(0, t − s) for 0 ≤ s ≤ t.
theorem q110_brownian_scaling (μ : Measure Ω) [IsProbabilityMeasure μ] (B : ℝ → Ω → ℝ) (c : ℝ) (hc : 0 < c) (hincr : ∀ s t : ℝ, 0 ≤ s → s ≤ t → HasLaw (fun ω => B t ω - B s ω) (gaussianReal 0 (t - s).toNNReal) μ) : ∀ s t : ℝ, 0 ≤ s → s ≤ t → HasLaw (fun ω => c * B (t / c ^ 2) ω - c * B (s / c ^ ...
abstract
theorem q110_brownian_scaling (μ : Measure Ω) [IsProbabilityMeasure μ] (B : ℝ → Ω → ℝ) (c : ℝ) (hc : 0 < c) (hincr : ∀ s t : ℝ, 0 ≤ s → s ≤ t → HasLaw (fun ω => B t ω - B s ω) (gaussianReal 0 (t - s).toNNReal) μ) : ∀ s t : ℝ, 0 ≤ s → s ≤ t → HasLaw (fun ω => c * B (t / c ^ 2) ω - c * B (s / c ^ ...
303
Brownian motion & stochastic calculus
null
113
stochastic_processes_gamblers_ruin_1
Consider a gambler betting on the outcome of a sequence of independent fair coin tosses. If head, he gains one dollar. If tail, he loses one dollar. If he reaches a fortune of N dollars, he stops. If his purse is ever empty, he stops. Show that the probability that the gambler's fortune is equ...
theorem q113_gamblers_ruin_probability (N : ℕ) (hN : 0 < N) (h : ℕ → ℝ) (hb0 : h 0 = 0) (hbN : h N = 1) (hharm : ∀ k, 0 < k → k < N → h k = (h (k - 1) + h (k + 1)) / 2) (k : ℕ) (hk : k ≤ N) : h k = (k : ℝ) / (N : ℝ) := by sorry
literal
theorem q113_gamblers_ruin_probability (N : ℕ) (hN : 0 < N) (h : ℕ → ℝ) (hb0 : h 0 = 0) (hbN : h N = 1) (hharm : ∀ k, 0 < k → k < N → h k = (h (k - 1) + h (k + 1)) / 2) (k : ℕ) (hk : k ≤ N) : h k = (k : ℝ) / (N : ℝ) := by -- Express everything in terms of the slope h 1. have key : ∀ j, j ≤ N → h...
80
Random walks & large deviations
null
119
stochastic_processes_log_likelihood_random_walk
Consider a binary hypothesis test with i.i.d. observations Y_1, Y_2, … and let Z_n be the log-likelihood ratio after n observations. Show that under each hypothesis (Z_n) is a random walk whose increments are the per-observation log-likelihood ratios.
theorem q119_log_likelihood_random_walk (μ : Measure Ω) [IsProbabilityMeasure μ] (Y : ℕ → Ω → ℝ) (hindep : iIndepFun Y μ) (hident : ∀ i, IdentDistrib (Y i) (Y 0) μ μ) (llr : ℝ → ℝ) (hllr : Measurable llr) (W : ℕ → Ω → ℝ) (hW : ∀ i ω, W i ω = llr (Y i ω)) (Z : ℕ → Ω → ℝ) (hZ : ∀ n ω, Z n ω = ∑ i ∈ Finset...
abstract
theorem q119_log_likelihood_random_walk (μ : Measure Ω) [IsProbabilityMeasure μ] (Y : ℕ → Ω → ℝ) (hindep : iIndepFun Y μ) (hident : ∀ i, IdentDistrib (Y i) (Y 0) μ μ) (llr : ℝ → ℝ) (hllr : Measurable llr) (W : ℕ → Ω → ℝ) (hW : ∀ i ω, W i ω = llr (Y i ω)) (Z : ℕ → Ω → ℝ) (hZ : ∀ n ω, Z n ω = ∑ i ∈ Finset...
90
Random walks & large deviations
null
121
stochastic_processes_martingale_stopping_time_3
Let (X_n)_{n ≥ 0} be a martingale, and let T be a stopping time which is finite a.s. Let there be an integrable random variable Y such that |Xn| ≤ Y for all n. Show that 𝔼[X_T] = 𝔼[X_0].
theorem q121_optional_stopping_dominated (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) [SigmaFiniteFiltration μ ℱ] (X : ℕ → Ω → ℝ) (hX : Martingale X ℱ μ) (T : Ω → ℕ) (hT : IsStoppingTime ℱ (natStop T)) (Y : Ω → ℝ) (hY : Integrable Y μ) (hdom : ∀ n, ∀ᵐ ω ∂μ, |X n ω| ≤ Y ω) : ∫ ω, stoppe...
literal
theorem q121_optional_stopping_dominated (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) [SigmaFiniteFiltration μ ℱ] (X : ℕ → Ω → ℝ) (hX : Martingale X ℱ μ) (T : Ω → ℕ) (hT : IsStoppingTime ℱ (natStop T)) (Y : Ω → ℝ) (hY : Integrable Y μ) (hdom : ∀ n, ∀ᵐ ω ∂μ, |X n ω| ≤ Y ω) : ∫ ω, stoppe...
304
Martingales & stopping
null
123
stochastic_processes_stopped_supermartingale
Let (X_n) be a supermartingale and let τ be a stopping time. Show that the stopped process X_{n∧τ} is a supermartingale.
theorem q123_stopped_supermartingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) [SigmaFiniteFiltration μ ℱ] (X : ℕ → Ω → ℝ) (hX : Supermartingale X ℱ μ) (T : Ω → ℕ) (hT : IsStoppingTime ℱ (natStop T)) : Supermartingale (stoppedProcess X (natStop T)) ℱ μ := by sorry
literal
theorem q123_stopped_supermartingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) [SigmaFiniteFiltration μ ℱ] (X : ℕ → Ω → ℝ) (hX : Supermartingale X ℱ μ) (T : Ω → ℕ) (hT : IsStoppingTime ℱ (natStop T)) : Supermartingale (stoppedProcess X (natStop T)) ℱ μ := by have hsub : Submartingale ...
120
Martingales & stopping
null
124
stochastic_processes_markov_chain_2
A company issues N different types of coupons. Each coupon is equally likely to be each of the N types. A collector desires a complete set. Let τ be the first time that the collector obtains all N types. Show that for any c > 0, P[τ > N log N + cN] ≤ e^{-c}.
theorem q124_coupon_collector_tail {Ω : Type*} [MeasurableSpace Ω] (μ : Measure Ω) [IsProbabilityMeasure μ] (N : ℕ) (hN : 0 < N) (c : ℝ) (hc : 0 < c) (X : ℕ → Ω → ℕ) (hXrange : ∀ k ω, X k ω < N) (hXunif : ∀ (k : ℕ) (j : ℕ), j < N → (μ {ω | X k ω = j}).toReal = 1 / (N : ℝ)) (hXindep : iIndepFun X μ) ...
abstract
theorem q124_coupon_collector_tail {Ω : Type*} [MeasurableSpace Ω] (μ : Measure Ω) [IsProbabilityMeasure μ] (N : ℕ) (hN : 0 < N) (c : ℝ) (hc : 0 < c) (X : ℕ → Ω → ℕ) (hXrange : ∀ k ω, X k ω < N) (hXunif : ∀ (k : ℕ) (j : ℕ), j < N → (μ {ω | X k ω = j}).toReal = 1 / (N : ℝ)) (hXindep : iIndepFun X μ) ...
875
Markov chains (finite & countable)
null
126
stochastic_processes_target_time
Suppose that (X_n)_{n ≥ 0} is an irreducible Markov chain with transition matrix P and stationary measure π. Let τ_x be the hitting time: τ_x = min{n ≥ 0 : X_n = x}. Show that the quantity sum_x (𝔼_a [τ_x]π(x)) does not depend on a.
theorem q126_target_time {Ω : Type*} [Fintype Ω] [DecidableEq Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) (hirr : IsIrreducible P) (g : Ω → Ω → ℝ) (hg : IsHittingSolution P g) (π : Ω → ℝ) (hπ : IsStationary P π) : ∀ a b : Ω, ∑ x, g a x * π x = ∑ x, g b x * π x := by sorry
abstract
theorem q126_target_time {Ω : Type*} [Fintype Ω] [DecidableEq Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) (hirr : IsIrreducible P) (g : Ω → Ω → ℝ) (hg : IsHittingSolution P g) (π : Ω → ℝ) (hπ : IsStationary P π) : ∀ a b : Ω, ∑ x, g a x * π x = ∑ x, g b x * π x := by obtain ⟨hPnn, hProw⟩ := hP obtain...
122
Markov chains (finite & countable)
null
127
stochastic_processes_scaled_branching_convergence
Consider a branching process (X_n) with i.i.d. offspring counts of mean Ȳ, and let Z_n = X_n/Ȳ^n be the scaled process. Show that Z_n is a nonnegative martingale and therefore converges with probability 1 to a finite limiting random variable.
theorem q127_scaled_branching_convergence (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hadap : Adapted ℱ X) (hint : ∀ n, Integrable (X n) μ) (hnn : ∀ n ω, 0 ≤ X n ω) (Ybar : ℝ) (hY : 0 < Ybar) (hbranch : ∀ n, μ[X (n + 1) | ℱ n] =ᵐ[μ] fun ω => Ybar * X n ω) : Ma...
abstract
theorem q127_scaled_branching_convergence (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hadap : Adapted ℱ X) (hint : ∀ n, Integrable (X n) μ) (hnn : ∀ n ω, 0 ≤ X n ω) (Ybar : ℝ) (hY : 0 < Ybar) (hbranch : ∀ n, μ[X (n + 1) | ℱ n] =ᵐ[μ] fun ω => Ybar * X n ω) : Ma...
85
Martingales & stopping
null
128
stochastic_processes_drifted_brownian_martingale
Let B_μ(t) = μt + σB(t) be a Brownian motion with drift. Show that B_μ(t) − μt is a martingale, and that (B_μ(t) − μt)^2 − σ^2 t is a martingale.
theorem q128_drifted_brownian_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℝ m0) (B : ℝ → Ω → ℝ) (c σ : ℝ) (hadap : Adapted ℱ B) (hint : ∀ t, Integrable (B t) μ) (hint2 : ∀ t, Integrable (fun ω => (B t ω) ^ 2) μ) (hB0 : ∀ᵐ ω ∂μ, B 0 ω = 0) (hincr : ∀ s t : ℝ, 0 ≤ s → s ≤ t...
abstract
theorem q128_drifted_brownian_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℝ m0) (B : ℝ → Ω → ℝ) (c σ : ℝ) (hadap : Adapted ℱ B) (hint : ∀ t, Integrable (B t) μ) (hint2 : ∀ t, Integrable (fun ω => (B t ω) ^ 2) μ) (hB0 : ∀ᵐ ω ∂μ, B 0 ω = 0) (hincr : ∀ s t : ℝ, 0 ≤ s → s ≤ t...
846
Brownian motion & stochastic calculus
null
129
stochastic_processes_random_walk_recurrent_1
Show that simple random walk on ℤ^2 is recurrent.
theorem q129_z2_recurrent : ¬ Summable (fun n : ℕ => ((Nat.choose (2 * n) n : ℝ) / (4 : ℝ) ^ n) ^ 2) := by sorry
abstract
theorem q129_z2_recurrent : ¬ Summable (fun n : ℕ => ((Nat.choose (2 * n) n : ℝ) / (4 : ℝ) ^ n) ^ 2) := by intro hsum set a : ℕ → ℝ := fun n => (Nat.choose (2 * n) n : ℝ) / (4 : ℝ) ^ n with ha -- a n ≥ 0 have hapos : ∀ n, 0 ≤ a n := by intro n; rw [ha]; positivity -- recurrence: (n+1) * a (n+1) = (2n+...
83
Random walks & large deviations
null
131
stochastic_processes_markov_modulated_threshold_bound
Let a Markov-modulated random walk have negative drift and let r* > 0 satisfy ρ(r*) = 1, where ρ(r) is the largest eigenvalue of [A(r)], with positive right eigenvector ν(r*). Show that the probability the walk ever crosses a threshold α > 0 is bounded by a constant times exp(−r* α).
theorem q131_markov_modulated_threshold_bound {σ : Type*} [Fintype σ] (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (Y : ℕ → Ω → σ) (S : ℕ → Ω → ℝ) (rstar : ℝ) (hr : 0 < rstar) (ν : σ → ℝ) (νmin : ℝ) (hνmin : 0 < νmin) (hν : ∀ s, νmin ≤ ν s) (Z : ℕ → Ω → ℝ) (hZ : ∀ n ω, Z n ω = Real.exp...
abstract
theorem q131_markov_modulated_threshold_bound {σ : Type*} [Fintype σ] (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (Y : ℕ → Ω → σ) (S : ℕ → Ω → ℝ) (rstar : ℝ) (hr : 0 < rstar) (ν : σ → ℝ) (νmin : ℝ) (hνmin : 0 < νmin) (hν : ∀ s, νmin ≤ ν s) (Z : ℕ → Ω → ℝ) (hZ : ∀ n ω, Z n ω = Real.exp...
207
Random walks & large deviations
null
132
stochastic_processes_mm1_expected_queue_delay
Consider an M/M/1 queue in steady state with arrival rate λ, service rate μ, and ρ = λ/μ < 1. Show that the expected waiting time in queue (excluding service) is ρ/(μ − λ).
theorem q132_mm1_expected_queue_delay (lam mu : ℝ) (hlam : 0 < lam) (hmu : 0 < mu) (hstab : lam < mu) (ρ : ℝ) (hρ : ρ = lam / mu) (hρ0 : 0 < ρ) (hρ1 : ρ < 1) (p : ℕ → ℝ) (hp : ∀ i, p i = (1 - ρ) * ρ ^ i) (Wq Lq : ℝ) (hLq : Lq = ∑' k : ℕ, (k : ℝ) * p (k + 1)) (hLittle : Lq = lam * Wq) : Wq = ρ / ...
abstract
theorem q132_mm1_expected_queue_delay (lam mu : ℝ) (hlam : 0 < lam) (hmu : 0 < mu) (hstab : lam < mu) (ρ : ℝ) (hρ : ρ = lam / mu) (hρ0 : 0 < ρ) (hρ1 : ρ < 1) (p : ℕ → ℝ) (hp : ∀ i, p i = (1 - ρ) * ρ ^ i) (Wq Lq : ℝ) (hLq : Lq = ∑' k : ℕ, (k : ℝ) * p (k + 1)) (hLittle : Lq = lam * Wq) : Wq = ρ / ...
214
Continuous-time Markov & queues
null
136
stochastic_processes_three_state_cycle_nonreversible
Let (X_n) be an irreducible positive-recurrent Markov chain with stationary distribution π containing three states i, j, k. Show that the chain is reversible only if P_{ij} P_{jk} P_{ki} = P_{ik} P_{kj} P_{ji}; if this product condition fails on any cycle, the chain is not reversible.
theorem q136_three_state_cycle {S : Type*} (P : S → S → ℝ) (π : S → ℝ) (hπpos : ∀ s, 0 < π s) (hDB : ∀ a b, π a * P a b = π b * P b a) (i j k : S) : P i j * P j k * P k i = P i k * P k j * P j i := by sorry
abstract
theorem q136_three_state_cycle {S : Type*} (P : S → S → ℝ) (π : S → ℝ) (hπpos : ∀ s, 0 < π s) (hDB : ∀ a b, π a * P a b = π b * P b a) (i j k : S) : P i j * P j k * P k i = P i k * P k j * P j i := by have h1 := hDB i j have h2 := hDB j k have h3 := hDB k i have hpos : π i * π j * π k ≠ 0 :=...
49
Markov chains (finite & countable)
null
140
stochastic_processes_birth_death_null_recurrent_boundary
Consider an irreducible birth-death chain on the nonnegative integers with ρ_i = p_i/q_{i+1} and ∏_{j<i} ρ_j = 1 for all i. Show that the chain is recurrent but not positive-recurrent.
theorem q140_birth_death_null_recurrent_boundary (p q : ℕ → ℝ) (hp : ∀ i, 0 < p i) (hq0 : q 0 = 0) (hqpos : ∀ i, 0 < q (i + 1)) (hbound : ∀ i, p i + q i ≤ 1) (ρ : ℕ → ℝ) (hρ : ∀ i, ρ i = p i / q (i + 1)) (hprod : ∀ i, ∏ j ∈ Finset.range i, ρ j = 1) : (¬ Summable (fun n : ℕ => 1 / (p n * ∏ j ∈ Fi...
abstract
theorem q140_birth_death_null_recurrent_boundary (p q : ℕ → ℝ) (hp : ∀ i, 0 < p i) (hq0 : q 0 = 0) (hqpos : ∀ i, 0 < q (i + 1)) (hbound : ∀ i, p i + q i ≤ 1) (ρ : ℕ → ℝ) (hρ : ∀ i, ρ i = p i / q (i + 1)) (hprod : ∀ i, ∏ j ∈ Finset.range i, ρ j = 1) : (¬ Summable (fun n : ℕ => 1 / (p n * ∏ j ∈ Fi...
131
Markov chains (finite & countable)
null
141
stochastic_processes_submartingale_1
Let (X_n)_{n ≥ 0} be a martingale, and let ϕ be a convex function. Show that (ϕ(X_n))_{n ≥ 0} is a submartingale.
theorem q141_convex_submartingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hX : Martingale X ℱ μ) (φ : ℝ → ℝ) (hconv : ConvexOn ℝ Set.univ φ) (hint : ∀ n, Integrable (fun ω => φ (X n ω)) μ) : Submartingale (fun n ω => φ (X n ω)) ℱ μ := by sorry
literal
theorem q141_convex_submartingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hX : Martingale X ℱ μ) (φ : ℝ → ℝ) (hconv : ConvexOn ℝ Set.univ φ) (hint : ∀ n, Integrable (fun ω => φ (X n ω)) μ) : Submartingale (fun n ω => φ (X n ω)) ℱ μ := by have hcont : Continuous φ :=...
304
Martingales & stopping
null
143
stochastic_processes_convergence_theorem_2
Suppose that (X_n)_n is a Markov chain with transition matrix P. Assume that P is irreducible and aperiodic. Show that there exists r such that P^r (x, y) > 0 for all x,y ∈ Ω.
theorem q143_convergence_primitive {Ω : Type*} [Fintype Ω] [DecidableEq Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) (hirr : IsIrreducible P) (haper : IsAperiodic P) : IsPrimitive P := by sorry
literal
theorem q143_convergence_primitive {Ω : Type*} [Fintype Ω] [DecidableEq Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) (hirr : IsIrreducible P) (haper : IsAperiodic P) : IsPrimitive P := by have hPnn := hP.1 have hpow_nonneg : ∀ (k : ℕ) (i j : Ω), 0 ≤ (P ^ k) i j := by intro k induction k with ...
132
Markov chains (finite & countable)
null
145
stochastic_processes_two_threshold_possible_values
Let (S_n) be a random walk with i.i.d. steps in {−1,0,1} and mean 0, stopped at the first trial J with S_n ≥ a or S_n ≤ b for integer thresholds a > 0 > b. Show that S_J ∈ {a, b}, i.e. the stopped walk lands exactly on a threshold with no overshoot.
theorem q145_two_threshold_possible_values (μ : Measure Ω) [IsProbabilityMeasure μ] (X : ℕ → Ω → ℝ) (hstepval : ∀ i ω, X i ω = -1 ∨ X i ω = 0 ∨ X i ω = 1) (hindep : iIndepFun X μ) (hident : ∀ i, IdentDistrib (X i) (X 0) μ μ) (S : ℕ → Ω → ℝ) (hS : ∀ n ω, S n ω = ∑ i ∈ Finset.range n, X i ω) (a b : ℤ) (ha...
abstract
theorem q145_two_threshold_possible_values (μ : Measure Ω) [IsProbabilityMeasure μ] (X : ℕ → Ω → ℝ) (hstepval : ∀ i ω, X i ω = -1 ∨ X i ω = 0 ∨ X i ω = 1) (hindep : iIndepFun X μ) (hident : ∀ i, IdentDistrib (X i) (X 0) μ μ) (S : ℕ → Ω → ℝ) (hS : ∀ n ω, S n ω = ∑ i ∈ Finset.range n, X i ω) (a b : ℤ) (ha...
53
Random walks & large deviations
null
147
stochastic_processes_continuity_wp1
Let (Z_n) be random variables with Z_n → α with probability 1, and let f be continuous at α. Show that f(Z_n) → f(α) with probability 1.
theorem q147_continuity_wp1 (μ : Measure Ω) (Z : ℕ → Ω → ℝ) (α : ℝ) (f : ℝ → ℝ) (hf : ContinuousAt f α) (hZ : ∀ᵐ ω ∂μ, Tendsto (fun n => Z n ω) atTop (𝓝 α)) : ∀ᵐ ω ∂μ, Tendsto (fun n => f (Z n ω)) atTop (𝓝 (f α)) := by sorry
literal
theorem q147_continuity_wp1 (μ : Measure Ω) (Z : ℕ → Ω → ℝ) (α : ℝ) (f : ℝ → ℝ) (hf : ContinuousAt f α) (hZ : ∀ᵐ ω ∂μ, Tendsto (fun n => Z n ω) atTop (𝓝 α)) : ∀ᵐ ω ∂μ, Tendsto (fun n => f (Z n ω)) atTop (𝓝 (f α)) := by filter_upwards [hZ] with ω hω exact (hf.tendsto).comp hω
80
Weak convergence & functional limits
null
154
stochastic_processes_column_range_monotone
Let [P] be the transition matrix of a finite-state Markov chain. For fixed j and n, let U_n = max_i P_{ij}^n and L_n = min_i P_{ij}^n. Show that U_{n+1} ≤ U_n and L_{n+1} ≥ L_n, so the range of the jth column of [P]^n is nonincreasing in n.
theorem q154_column_range_monotone {Ω : Type*} [Fintype Ω] [DecidableEq Ω] [Nonempty Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) : ∀ (j : Ω) (n : ℕ), (⨆ i, (P ^ (n + 1)) i j) ≤ (⨆ i, (P ^ n) i j) ∧ (⨅ i, (P ^ n) i j) ≤ (⨅ i, (P ^ (n + 1)) i j) := by sorry
literal
theorem q154_column_range_monotone {Ω : Type*} [Fintype Ω] [DecidableEq Ω] [Nonempty Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) : ∀ (j : Ω) (n : ℕ), (⨆ i, (P ^ (n + 1)) i j) ≤ (⨆ i, (P ^ n) i j) ∧ (⨅ i, (P ^ n) i j) ≤ (⨅ i, (P ^ (n + 1)) i j) := by obtain ⟨hnn, hrow⟩ := hP intro j n have hexp...
76
Markov chains (finite & countable)
null
156
stochastic_processes_geometric_brownian_mean
Let S(t) = S0 · exp(m t + σ B(t)) be a geometric Brownian motion, where B is standard Brownian motion (B(t) ~ Normal(0, t)). Show that its mean is E[S(t)] = S0 · exp((m + σ²/2) t).
theorem q156_geometric_brownian_mean (μ : Measure Ω) [IsProbabilityMeasure μ] (B : ℝ → Ω → ℝ) (S0 mdrift σ : ℝ) (hlaw : ∀ t : ℝ, 0 ≤ t → HasLaw (B t) (gaussianReal 0 t.toNNReal) μ) (S : ℝ → Ω → ℝ) (hS : ∀ t ω, S t ω = S0 * Real.exp (mdrift * t + σ * B t ω)) (hint : ∀ t, Integrable (S t) μ) : ∀ t : ℝ...
abstract
theorem q156_geometric_brownian_mean (μ : Measure Ω) [IsProbabilityMeasure μ] (B : ℝ → Ω → ℝ) (S0 mdrift σ : ℝ) (hlaw : ∀ t : ℝ, 0 ≤ t → HasLaw (B t) (gaussianReal 0 t.toNNReal) μ) (S : ℝ → Ω → ℝ) (hS : ∀ t ω, S t ω = S0 * Real.exp (mdrift * t + σ * B t ω)) (hint : ∀ t, Integrable (S t) μ) : ∀ t : ℝ...
156
Brownian motion & stochastic calculus
null
157
stochastic_processes_exponential_memoryless
Let X have an exponential distribution with rate r > 0. Show the memoryless property: for all s, t ≥ 0, P(X > s + t) = P(X > s) · P(X > t).
theorem q157_exponential_memoryless (μ : Measure Ω) [IsProbabilityMeasure μ] (X : Ω → ℝ) (r : ℝ) (hr : 0 < r) (hlaw : HasLaw X (expMeasure r) μ) : ∀ s t : ℝ, 0 ≤ s → 0 ≤ t → (μ {ω | s + t < X ω}).toReal = (μ {ω | s < X ω}).toReal * (μ {ω | t < X ω}).toReal := by sorry
abstract
theorem q157_exponential_memoryless (μ : Measure Ω) [IsProbabilityMeasure μ] (X : Ω → ℝ) (r : ℝ) (hr : 0 < r) (hlaw : HasLaw X (expMeasure r) μ) : ∀ s t : ℝ, 0 ≤ s → 0 ≤ t → (μ {ω | s + t < X ω}).toReal = (μ {ω | s < X ω}).toReal * (μ {ω | t < X ω}).toReal := by haveI hp : IsProbabilityMeasure (...
156
Poisson processes
null
165
stochastic_processes_gg1_idle_time_identity
Consider a G/G/1 queue with queue-length process Q and cumulative busy time B(t). Show that the cumulative idle time satisfies I(t) = t − B(t) = ∫_0^t 1{Q(s) = 0} ds.
theorem q165_gg1_idle_time_identity (Q : ℝ → ℕ) (hQmeas : Measurable Q) (B I : ℝ → ℝ) (hbusy : ∀ t : ℝ, 0 ≤ t → B t = ∫ s in (0 : ℝ)..t, (if 0 < Q s then (1 : ℝ) else 0)) (hIdef : ∀ t, I t = t - B t) : ∀ t : ℝ, 0 ≤ t → I t = ∫ s in (0 : ℝ)..t, (if Q s = 0 then (1 : ℝ) else 0) := by sorry
abstract
theorem q165_gg1_idle_time_identity (Q : ℝ → ℕ) (hQmeas : Measurable Q) (B I : ℝ → ℝ) (hbusy : ∀ t : ℝ, 0 ≤ t → B t = ∫ s in (0 : ℝ)..t, (if 0 < Q s then (1 : ℝ) else 0)) (hIdef : ∀ t, I t = t - B t) : ∀ t : ℝ, 0 ≤ t → I t = ∫ s in (0 : ℝ)..t, (if Q s = 0 then (1 : ℝ) else 0) := by have hmeas : Measur...
54
Continuous-time Markov & queues
null
168
stochastic_processes_scaled_branching_martingale
Consider a branching process (X_n) with i.i.d. offspring counts of mean Ȳ, and let Z_n = X_n / Ȳ^n. Show that (Z_n) is a martingale.
theorem q168_branching_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hadap : Adapted ℱ X) (hint : ∀ n, Integrable (X n) μ) (Ybar : ℝ) (hY : 0 < Ybar) (hbranch : ∀ n, μ[X (n + 1) | ℱ n] =ᵐ[μ] fun ω => Ybar * X n ω) : Martingale (fun n ω => X n ω / Ybar ^ n) ℱ ...
abstract
theorem q168_branching_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hadap : Adapted ℱ X) (hint : ∀ n, Integrable (X n) μ) (Ybar : ℝ) (hY : 0 < Ybar) (hbranch : ∀ n, μ[X (n + 1) | ℱ n] =ᵐ[μ] fun ω => Ybar * X n ω) : Martingale (fun n ω => X n ω / Ybar ^ n) ℱ ...
207
Martingales & stopping
null
169
stochastic_processes_gamblers_ruin_2
Let X = (X_n)_{n ≥ 0} be Gambler’s ruin with state space Ω = {0, 1, 2, ..., N}: X_0 = k, ℙ[X_{n + 1} = X_n + 1 | X_n] = 1/2, τ = min{n: X_n = 0 or N}. You are given the martingale Y = (Yn := X_n^2 − n)_{n ≥ 0}. Show that Y has bounded increments.
theorem q169_gambler_bounded_increments (μ : Measure Ω) [IsProbabilityMeasure μ] (N : ℕ) (X : ℕ → Ω → ℝ) (hXbd : ∀ n ω, 0 ≤ X n ω ∧ X n ω ≤ N) (hstep1 : ∀ n, ∀ᵐ ω ∂μ, |X (n + 1) ω - X n ω| = 1) : ∃ M : ℝ, ∀ n, ∀ᵐ ω ∂μ, |((X (n + 1) ω) ^ 2 - (n + 1)) - ((X n ω) ^ 2 - n)| ≤ M := by sorry
literal
theorem q169_gambler_bounded_increments (μ : Measure Ω) [IsProbabilityMeasure μ] (N : ℕ) (X : ℕ → Ω → ℝ) (hXbd : ∀ n ω, 0 ≤ X n ω ∧ X n ω ≤ N) (hstep1 : ∀ n, ∀ᵐ ω ∂μ, |X (n + 1) ω - X n ω| = 1) : ∃ M : ℝ, ∀ n, ∀ᵐ ω ∂μ, |((X (n + 1) ω) ^ 2 - (n + 1)) - ((X n ω) ^ 2 - n)| ≤ M := by refine ⟨2 * N + 1, ...
67
Martingales & stopping
null
177
stochastic_processes_supermartingale_convergence
Let X = (X_n)_{n ≥ 0} be a non-negative supermartingale. Show that X_n converges a.s. to some a.s. finite limit.
theorem q177_super_convergence (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hX : Supermartingale X ℱ μ) (hnn : ∀ n ω, 0 ≤ X n ω) : ∃ Xinf : Ω → ℝ, ∀ᵐ ω ∂μ, Tendsto (fun n => X n ω) atTop (𝓝 (Xinf ω)) := by sorry
literal
theorem q177_super_convergence (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hX : Supermartingale X ℱ μ) (hnn : ∀ n ω, 0 ≤ X n ω) : ∃ Xinf : Ω → ℝ, ∀ᵐ ω ∂μ, Tendsto (fun n => X n ω) atTop (𝓝 (Xinf ω)) := by have hsub : Submartingale (-X) ℱ μ := hX.neg have hint_le : ∀ n, ∫...
273
Martingales & stopping
null
185
stochastic_processes_stopped_martingale_preserves
Let (Z_n) be a martingale and let J be a stopping trial; let Z_n* be the stopped process (frozen at value Z_J for n ≥ J). Show that (Z_n*) is also a martingale.
theorem q185_stopped_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) [SigmaFiniteFiltration μ ℱ] (Z : ℕ → Ω → ℝ) (hZ : Martingale Z ℱ μ) (J : Ω → ℕ) (hJ : IsStoppingTime ℱ (natStop J)) : Martingale (stoppedProcess Z (natStop J)) ℱ μ := by sorry
literal
theorem q185_stopped_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) [SigmaFiniteFiltration μ ℱ] (Z : ℕ → Ω → ℝ) (hZ : Martingale Z ℱ μ) (J : Ω → ℕ) (hJ : IsStoppingTime ℱ (natStop J)) : Martingale (stoppedProcess Z (natStop J)) ℱ μ := by have hneg : stoppedProcess (-Z) (natStop ...
89
Martingales & stopping
null
187
stochastic_processes_mm1_expected_delay
Consider an M/M/1 queue in steady state with arrival rate λ, service rate μ, and ρ = λ/μ < 1. Show that the expected time a customer spends in the system is 1/(μ − λ).
theorem q187_mm1_expected_delay (lam mu : ℝ) (hlam : 0 < lam) (hmu : 0 < mu) (ρ : ℝ) (hρ : ρ = lam / mu) (hρ1 : ρ < 1) (p : ℕ → ℝ) (hp0 : ∀ i, 0 ≤ p i) (hpsum : ∑' i, p i = 1) (hbal0 : p 0 * lam = p 1 * mu) (hbal : ∀ n, p (n + 1) * (lam + mu) = p n * lam + p (n + 2) * mu) (L : ℝ) (hL : L = ∑' i ...
abstract
theorem q187_mm1_expected_delay (lam mu : ℝ) (hlam : 0 < lam) (hmu : 0 < mu) (ρ : ℝ) (hρ : ρ = lam / mu) (hρ1 : ρ < 1) (p : ℕ → ℝ) (hp0 : ∀ i, 0 ≤ p i) (hpsum : ∑' i, p i = 1) (hbal0 : p 0 * lam = p 1 * mu) (hbal : ∀ n, p (n + 1) * (lam + mu) = p n * lam + p (n + 2) * mu) (L : ℝ) (hL : L = ∑' i ...
242
Continuous-time Markov & queues
null
188
stochastic_processes_accessibility_transitive
Let (X_n) be a finite-state Markov chain, and say i → j if j is accessible from i. Show that accessibility is transitive: if i → j and j → k then i → k.
theorem q188_accessibility_transitive {Ω : Type*} [Fintype Ω] [DecidableEq Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) (i j k : Ω) (hij : ∃ m : ℕ, 0 < (P ^ m) i j) (hjk : ∃ n : ℕ, 0 < (P ^ n) j k) : ∃ p : ℕ, 0 < (P ^ p) i k := by sorry
literal
theorem q188_accessibility_transitive {Ω : Type*} [Fintype Ω] [DecidableEq Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) (i j k : Ω) (hij : ∃ m : ℕ, 0 < (P ^ m) i j) (hjk : ∃ n : ℕ, 0 < (P ^ n) j k) : ∃ p : ℕ, 0 < (P ^ p) i k := by obtain ⟨m, hm⟩ := hij obtain ⟨n, hn⟩ := hjk -- nonnegativity of powers ...
65
Markov chains (finite & countable)
null
189
stochastic_processes_transitivity
For a transitive Markov chain on finite state space Ω, the uniform measure is stationary.
theorem q189_transitivity {Ω : Type*} [Fintype Ω] [Nonempty Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) (htrans : ∀ x y : Ω, ∃ φ : Ω ≃ Ω, φ x = y ∧ ∀ a b, P (φ a) (φ b) = P a b) : IsStationary P (fun _ => 1 / (Fintype.card Ω : ℝ)) := by sorry
literal
theorem q189_transitivity {Ω : Type*} [Fintype Ω] [Nonempty Ω] (P : Matrix Ω Ω ℝ) (hP : IsStochastic P) (htrans : ∀ x y : Ω, ∃ φ : Ω ≃ Ω, φ x = y ∧ ∀ a b, P (φ a) (φ b) = P a b) : IsStationary P (fun _ => 1 / (Fintype.card Ω : ℝ)) := by have hN : (Fintype.card Ω : ℝ) ≠ 0 := by exact_mod_cast Fintype.card_...
160
Markov chains (finite & countable)
null
191
stochastic_processes_doob_martingale_convergence
Let (X_n) be a supermartingale with sup_n E|X_n| < ∞. Show that X_∞ = lim_{n→∞} X_n exists almost surely and satisfies E|X_∞| < ∞.
theorem q191_doob_martingale_convergence (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hX : Supermartingale X ℱ μ) (hbdd : ∃ C : ℝ, ∀ n, ∫ ω, |X n ω| ∂μ ≤ C) : ∃ Xinf : Ω → ℝ, (∀ᵐ ω ∂μ, Tendsto (fun n => X n ω) atTop (𝓝 (Xinf ω))) ∧ Integrable Xinf μ := by sorry
literal
theorem q191_doob_martingale_convergence (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℕ m0) (X : ℕ → Ω → ℝ) (hX : Supermartingale X ℱ μ) (hbdd : ∃ C : ℝ, ∀ n, ∫ ω, |X n ω| ∂μ ≤ C) : ∃ Xinf : Ω → ℝ, (∀ᵐ ω ∂μ, Tendsto (fun n => X n ω) atTop (𝓝 (Xinf ω))) ∧ Integrable Xinf μ := by obtain ⟨...
207
Martingales & stopping
null
192
stochastic_processes_brownian_exponential_martingale
For standard Brownian motion B and a real parameter θ, the exponential process exp(θ B(t) − θ² t / 2) is a martingale with respect to the natural filtration.
theorem q192_brownian_exponential_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℝ m0) (B : ℝ → Ω → ℝ) (θ : ℝ) (hadap : Adapted ℱ B) (hint : ∀ t, Integrable (fun ω => Real.exp (θ * B t ω - θ ^ 2 * t / 2)) μ) (hincr : ∀ s t : ℝ, 0 ≤ s → s ≤ t → HasLaw (fun ω => B t ω - B s ω) (...
abstract
theorem q192_brownian_exponential_martingale (μ : Measure Ω) [IsProbabilityMeasure μ] (ℱ : Filtration ℝ m0) (B : ℝ → Ω → ℝ) (θ : ℝ) (hadap : Adapted ℱ B) (hint : ∀ t, Integrable (fun ω => Real.exp (θ * B t ω - θ ^ 2 * t / 2)) μ) (hincr : ∀ s t : ℝ, 0 ≤ s → s ≤ t → HasLaw (fun ω => B t ω - B s ω) (...
156
Brownian motion & stochastic calculus
null
End of preview. Expand in Data Studio

StochBench

StochBench is a Lean 4 benchmark of 450 graduate stochastic-process problems, each paired with its natural-language statement. It evaluates proof agents on graduate stochastic processes. Topics include finite and countable Markov chains, martingales, stopping times, renewal processes, random walks, queues, Brownian motion, stochastic calculus, Poisson processes, and weak convergence.

The benchmark contains direct and abstracted formalizations, with explicit assumptions for each target. The informal-formal pairs can be used for autoformalization training, and checked proofs can provide supervision for proof generation. Shared definitions support further formalization in Lean.

The accompanying paper, StochBench: A Domain-Specific Benchmark for Stochastic Processes in Lean, reports 157 clean proofs out of 450 targets (34.9%) from an Opus 4.8-based agent under a 15-minute per-problem limit, with results reported by topic and representation.

Keywords: Formal theorem proving, Lean 4, stochastic processes, mathematical reasoning, natural language processing, large language models, autoformalization, domain-specific benchmarks

License: Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International; see LICENSE.txt.

Formalization scope

The true_to_source field distinguishes two representations:

  • Direct (literal): 114 targets, or 25.3%. These use Mathlib objects or shared definitions to express the problem.
  • Abstracted (abstract): 336 targets, or 74.7%. These supply required mathematical properties as explicit hypotheses, particularly where the development environment lacks the necessary infrastructure. The properties may define an object or provide intermediate results from the source problem.

For example, a hitting-time target may assume first-step equations for an expected hitting-time function. Proving the resulting target can require substantial mathematics while leaving the connection to pathwise hitting-time random variables outside the formalized task. The paper's Q361 example illustrates this distinction: its proof develops auxiliary results about matrix powers, harmonic functions, and hitting-time inequalities from the supplied equations.

The labels describe how a target is represented. They are curator-assigned categories rather than correctness scores or rigorously defined difficulty levels. Lean checks that a completed proof establishes its conclusion under the stated hypotheses; correspondence with the informal problem requires a separate assessment.

Coverage and baseline results

The paper evaluates a multi-turn, tool-using Opus 4.8-based agent with lean4skills and the Lean LSP MCP server. Each target received one run capped at 15 minutes, with access to compiler feedback, library and shared-definition search, loogle, leansearch, and proof revision. The same model family assisted with statement construction.

A clean proof is accepted by Lean without sorry, sorryAx, or additional admitted facts, with checking performed using Lean comparator. The following results reproduce Table 1 of the paper. Only proofs with recorded proving times of at most 900 seconds are counted.

Topic Direct targets Abstracted targets Total targets Clean proofs Proof rate
Poisson processes 5 35 40 7 17.5%
Markov chains (finite & countable) 23 73 96 37 38.5%
Renewal processes 0 41 41 2 4.9%
Continuous-time Markov & queues 1 54 55 23 41.8%
Random walks & large deviations 9 53 62 16 25.8%
Martingales & stopping 67 27 94 58 61.7%
Brownian motion & stochastic calculus 0 45 45 8 17.8%
Weak convergence & functional limits 9 8 17 6 35.3%
Total 114 336 450 157 34.9%

The baseline proves 79 of 114 direct targets (69.3%) and 78 of 336 abstracted targets (23.2%). These are descriptive comparisons across different problems and levels of library support. They do not isolate the effect of abstraction. The evaluation covers one agent and one time budget, without repeated runs or a comparison between models.

The released attempted_proof.json contains 168 stored proofs, including 11 with recorded times above the baseline cutoff. Thus, 168 is the number of stored proof records, while 157 is the paper's count within the 15-minute budget. Q361 has a recorded lower bound of 1800 seconds and is discussed separately in the paper's appendix.

Dataset files and fields

There are 450 distinct problems with IDs 1-450. Join records using question_id, since the proof file covers only a subset of the problems. The files are overlapping views of the corpus; no separate training, validation, or test partition is provided.

  • questions.json (450 records): English problem statements, names, and topics.
  • statements.json (450 records): The same metadata, Lean targets, and formalization labels.
  • attempted_proof.json (168 records): Matching statement metadata, stored proof declarations, and recorded proving times.
  • proofs/p_<question_id>.lean (168 files): Corresponding Lean proof source files.
  • helper_funcs.lean: Shared mathematical definitions in the Auto namespace.
Field Type Present in Description
question_id integer All JSON files Problem identifier shared across files
problem_name string All JSON files Descriptive machine-readable problem name
informal_statement string All JSON files English mathematical problem, including notation and hypotheses
topic string All JSON files One of the eight topic labels above
lean_statement string Statements and proofs Lean theorem target with an intentional sorry proof placeholder
true_to_source string Statements and proofs Representation label: literal (direct) or abstract (abstracted)
proof string Proofs Lean declaration containing the stored proof, including any auxiliary declarations
time_seconds integer Proofs Recorded proving time in seconds
time_seconds_is_lower_bound boolean, optional Proofs When true, the recorded time is only a lower bound; absent from other records

For Q361, time_seconds is 1800 and time_seconds_is_lower_bound is true, reflecting a reported duration of 30+ minutes. Preserve this distinction when analyzing runtimes. Missing optional values may appear as null when loaded into a tabular dataset.

Example record

The following is a record from questions.json:

{
  "question_id": 8,
  "problem_name": "stochastic_processes_martingale_1",
  "informal_statement": "Consider biased gambler’s ruin: at each step, the gambler gains one dollar\n        with probability p and losses one dollar with probability (1 − p).\n        Let X_n be the money in purse at time n.\n\n        Show that if p = 1/2, then (X_n) is a martingale.",
  "topic": "Martingales & stopping"
}

Loading the data

Download the JSON files from Hugging Face and read them directly with Python:

import json
from pathlib import Path
from huggingface_hub import hf_hub_download

repo_id = "IdanDavidovich/StochBench"

def read_records(filename):
    path = hf_hub_download(
        repo_id=repo_id, repo_type="dataset", filename=filename
    )
    return json.loads(Path(path).read_text(encoding="utf-8"))

questions = read_records("questions.json")
statements = read_records("statements.json")
proofs = read_records("attempted_proof.json")

statements_by_id = {row["question_id"]: row for row in statements}
proofs_by_id = {row["question_id"]: row for row in proofs}
print(statements_by_id[8]["lean_statement"])

For files already downloaded to the current directory, use json.loads(Path("statements.json").read_text(encoding="utf-8")). For reproducible experiments, pass a fixed commit hash as revision to hf_hub_download and record the Lean and Mathlib versions used.

Attribution

Idan Davidovich · Debargha Ganguly · Vikash Singh · Vipin Chaudhary
Case Western Reserve University
{idan, debargha, vikash, vipin}@case.edu

Please cite the dataset repository and the revision used in your experiments. A dataset citation is:

@misc{davidovich2026stochbench,
  author = {Davidovich, Idan and Ganguly, Debargha and Singh, Vikash and Chaudhary, Vipin},
  title = {StochBench},
  year = {2026},
  howpublished = {Hugging Face dataset},
  url = {https://huggingface.co/datasets/IdanDavidovich/StochBench}
}

Sources and construction

StochBench combines problems written for the benchmark with exercises, lemmas, theorems, and corollaries selected from:

  • Kyle Siegrist's Probability, Mathematical Statistics, and Stochastic Processes (2022).
  • Hao Wu's MIT course 18.445 Introduction to Stochastic Processes (Spring 2015).
  • David Gamarnik's MIT course 15.070J Advanced Stochastic Processes (Fall 2013).
  • Robert Gallager's MIT course 6.262 Discrete Stochastic Processes (Spring 2011).

Problems were selected for their relevance to stochastic processes and expressed as mathematical claims with hypotheses. As described in the paper, all benchmark-specific questions, definitions, and hypotheses are human-written. An Opus 4.8-based formalizer assisted with expressing them as Lean theorem statements, which were revised using Lean feedback until they elaborated in Lean 4.30.0 with a fixed Mathlib version.

Shared definitions give related problems a common mathematical representation. These include matrix-based descriptions of Markov chains, first-step equations for hitting and return times, and definitions connecting stochastic-process properties to Mathlib. The definitions and hypotheses were reviewed against the source problems.

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