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php

Non-uniqueness o[ a solution o[ Itos stochastic equation

325

k
hence

[]

[o3,

Ok<=n.

k!

+ In]

Adjoining here the normalizing relation [0]+ [1]+

o3

1, we find

(s)t-1
{--0 -.,-

which gives for [k], 0 < k < n, the well-known Erlang formulas.
However, nothing in the preceding prevents us from considering the number of lines n to be
infinitely large. In this case we also obtain the well-knowi1 Poisson formulas

[/]

fits
e_: ,

0, 1,2,..-.

k!
Received by the editors
November 24, 1960

BIBLIOGRAPHY
[1] A. E. VAULOT, lZev. gdn. de ldlectricitd, 22, 26, 1927, pp. 1164-1171.
[2] C. PALM, Ericsson Technics, 6, 1938.
[3] K. LuNDUIST, Ericsson Technics, 2, 1953, pp. 111-140.

ERLANGS FORMULAS IN THE THEORY OF MASS SERVICE

A. YA. KtIINGItlN (MOSCOW)

(Summary)
A stationary Poisson sequence of calls of intensity Z enters a service system with n lines.
If all lines are occupied at the time of arrival of a call, then the call is lost. The distribution F(x)
of the service time, with finite first moment
s

xdF(x)

is assumed to be arbitrary.
In the investigation it is proved that the probability that k lines will be occupied at time
converges, as t- oo, to the value

<=k

<=n.

The .method sed represents a further development of an idea which was employed earlier by
Lundquist [3].

AN EXAMPLE OF NON-UNIQUENESS OF THE SOLUTION OF THE

STOCHASTIC EQUATION OF K. ITO
I. V. OIRSANO V
(Translated by Eizo Nishiura)
1. Introduction
Based on the theory of stochastic integrals worked out by him, K. Ito ill his memoir [1]
proved the existence and uniqueness of the solution of the stochastic integral equation

I.V. Girsanov

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326

,(1)
for a Markov diffusion process. Here a(s, m) and re(s, ) are real functions, s(o) is a Wiener process. In the proof, Ito assumes that a and m satisfy a Lipschitz condition in m and that

(2)
These results were sharpened by a series of authors. In a recent work [2] A. V. Skorokhod showed
the existence of a solution of equation (1) for continuous coefficients a and m satisfying condition (2).
Assuming in addition that a and m satisfy a H61der condition in x with exponent > 1/2,
Skorokhod showed the uniqueness of the solution obtained.
It was shown by the author of the present note [3] that the uniqueness of the solution of (1)
holds also for weaker assumptions, in particular, for any > 0 if only a > a0 > 0. This result is
easily carried over to n-dimensional diffusion processes. An example will be cited below of an
equation for which the uniqueness theorem does not hold, and all its sufficiently nice solutions
are described.

2. Fundamental concepts and statement of the problem

The stochastic equation

1+ I,,,(o.,)

,,

is considered. First we make more precise what we mean by the solution of the equation. Following [], by a Markov process we mean a set X
Ps, a(d)} consisting of a func{at(a ), (w),
tion at(w) on Q with values in the measurable phase space (E, ), its domain of definition
0
of measurable sets of Q and measures Ps, z(dw) on
< (w), a collection of -algebras
them.
The measure Pa, a(: at(w )
is called the transition probability of
P(s, t, F), Y
the process X (or its transition [unction). The solution of equation (1) for fixed s and determines
the so-called Markov random [unaion z (). In order to get a Markov process, it is necessary

"

to consider the set of atsz(a) for all possible (s, a) or, in other words, a Markov family of random
functions. In [] it was shown that it may be considered as a Markov process if the following conditions are satisfied"

1. p (s, ; t,
2 P(s, x; t,

) is -measurable with respect to for each t,

E--x) O,
VS,{x(o)rlxx(o)} P(t, (o)u,r),s t u.

s and

The existence of a Markov process satisfying (1) is sho in [], as well as ia E. B. Dynkis
we
and as
monograph [2]. In our problem the phase space E will be the straight line
u
shall choose the minimal a-algebra containing the event { "xu()
s
t}.
In mang the statement of the problem more precise, it is natural to arrive at one of the
following formulations"

I. To find all Markov processes X whose sample functions satisfy (3).

II. To find all Mkov andom uctions t ) stisying (3) ov given s, z.
We limit the present investigation to the class of temporally homogeneous (i. e. P (s, x; t, F)
P (0, x; t--s, )) strong Markov processes with continuous trajectories 1. This allows us to make wide
use of the apparatus of the theory of semigroups and the results of [6] which contains an account
of all such processes. We recall for the convenience o the reader that the family of operators T
in function space such that

Tt/(z
1

Up to

results of

M0,z/(zt(o))

["/(xt(o))p0.z(do)

now examples of strong Markov solutions of equation (1) were not known. The
3 of the present work allow the construction of such a solution.

Non-uniqueness o/ a solution o/ Itos stochastic equation

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is called the semigroup

327

o] the process X. The operator

e-htTt/(x)dt

RA/(x

is called the resolvent of this semigroup, and the limit

lira

(Tt/--/)t-1-- At

its generating operator (A). The collection of functions for which this limit exists is called the
RAg. In a
o[ de]inition of A and is denoted by D A. If ] D A and 2J--A[= g, then
wide class of cases the generating operator A determines the process. An important class of such
processes are the Feller processes. Their sernigroup transforms the space C of continuous functions
into itself. (For details on semigroups see [7].) In particular, under the condition of smoothness
,of the coefficients, all the solutions of equation (1) will be Feller processes.
,domain

_ _

3. General form of the solution of equation (3)

Let X be a temporally homogeneous strong Markov process with continuous trajectories

satisfying (3). We first note that xt (o9) is uniquely determined for each pair (s,x) for
0
To(CO), where To(C0 is the first time zero is hit. Actually, if we change the coefficient
,a
Ix[a(1 [xla)-I in some e-neighborhood U of zero, this does not affect the behaviour of the trajectories until the moment
(o9) at which this neighborhood is hit. Changing a so that the Lipschitz
conditions are satisfied, we obtain equations with a uniqueness condition for the solution. Letting
tend to zero and taking into account the continuity of the trajectories, we obtain the uniqueness
,of the solution on the segment 0
*0(o9)"
All the points x =/= 0 are regular instantaneous points (see [6]). We recall that a point is called
regular if it is accessible from both sides and passable on both sides. If the total time of stay at x
is equal to zero, then x is called an instantaneous point. All twice continuously differentiable
functions with bounded second derivatives belong to D A and

U.

It is well-known that, at all the regular points (the set of which is open), the operator A is given
by the formula

(5)

DvDu/,

where v and u are monotonic functions defined in the interval of regularity and in addition u is
,continuous.

In

our case we may put u

v_(x)

v+()

x and

-f(1-e=)-llxl-u=+2(1-=)lxll-=+lx I]
(1-2)-llxll-.=/2(1-)lxlx-=/lx

for x
for x

< o,
> 0.

From the form of the functions u and v, it follows (see [6]) that the point 0 is accessible from both
sides" since x (o9) is a martingale, 0 is either passable on both sides and consequently is a regular
point, or not passable on either side. It is shown in [6] that in either case the process X will be a
0 for
Feller process. In the last case the point 0 will be a delaying absorbing point, i.e. xt(op)
0(o9)" here A/(0) 0. It is not hard to see that this process satisfies equation (3).
The case of a regular point 0 is more complicated. The interval of regularity here will be the
whole line. Choosing u(x)
x, we may put

v(x)=

v+(x)+c,O<=c<

for
oo, for

< 0,
x>__0.

=/= O, D A will consist of functions wich are twice continuously differ=#: 0 and such that (d+/]dx)(0) and (d-//dx)(0) exist and the function

According to [6], for

entiable for x

v_(x)

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38

I.V. Girsanov

for

(6)

=/= 0,

A/()
C-1

a.

(o)-

a---(o)

for

0, then we must put

is continuous. If c

(6)

A/(0)

lira Ixl(1 +lxl)-

x-.O

dx

().

It turns out that all these processes satisfy equation (3).

For the proof we consider a sequence a (n) (x) oI functions satisfying a Lipschitz condition and
such that

(7)

suPla(n)(x)2--[xlZa(1 +ll)-.l

lim

0,

-1

(7)

a(n)(x)-l(x)dx

lira

O,

l(x)dv(x)

n-+oo

for any continuous function ]; this is possible for < 112.

Let X (n) be a sequence of temporally homogeneous Markov processes satisfying the equations

(1
and let

T), AII

(ol +

(o1

D,D and Ri) be the semigroup, the

solvent of X ll, respectively. We fixsand

shown that

,. .,

infinitesimal operator, and the re%Vith the help of simple calculations itcanbe

M.l.)(o,)-")(..)l " < lal.

(9)

)(o1,

,, .

Hence it follows that (see [8]) the family of distributions/(n) generated by the solutions of equation (8) for fixed s and z
x is weakly compact in the space of continuous functions of t, > s,
s. We choose, for each pair
in the topology of uniform convergence on any segment Is, s], s
(s, x), a subsequence #sn, converging weakly to a limit distribution/zs, z depending in general
on the choice of the/sn,. From this fact and Skorokhods results ([9], 3), it follows that for each
pair (s, x) and some measure P(do9) it is possible to construct a sequence of Markov random functions t(n) (o9) and Wiener processes n)(m) connected with the
by equation (8) so that
and
(o9)
n)(o9)converge with probability P (dog) on every finite segment to the limits t (o9)
and ,(o9). Passage to the limit in (8) (its legality is established just as in [2]) shows that et(o9)
and t(og) are connected by equation (3). Replacing thepair of processes t(og),t(og) by theequivalent pair xt(o9 (o9) we get a family xsx(og) of random functions satisfying equation (3) It
remains to verify that the xs, x (o9) form a Markov family of random functions and consequently
their set will represent a Markov process X which will turn out to be the one sought.
To this end we investigate the behaviour of g(n)(x)
R(An) ](x) as n -+ oo. Applying Kolmogorovs inequality for martingales, we get from (9) that, for each t,

n)(w)

n)

(10)

lim

sup

N-+oo s, x, n
n) ]
it follows that
(and

sup ul
,x (n)(o9)_xn)(og)l > N)
p(n)(s,, s_u_

R(A

O.

Hence
consequently also n) ]) transform the space C O of continuous
functions tending to 0 at infinity into itself, moreover, for each / e C 0,

(11)
If we put

(12)

lim sup

gn

R(hn)/,

/e C 0. then

[R(l.n)/(x)[

O.

we shall have

,g(n) (x) _if(n) (x)2

d./

dx

(x) =/(x).

Non-uniqueness o] a solution o[ Itos stochastic equation

329

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Dividing (12) by a (n) (x) and integrating it twice over the segment I--N, N], we get

[7g (n) (z) --[ (z) ](r (n) (z) - dzdy + g{n) --N)

g(n) (x)
N

2N

[2g(n) (z) --/(z) ]a(n)(z)-2 dzdy + g(n) (--N) _g(n) (N)

Note now that the sequence g(n)(x) is uniformly bounded by virtue of the maxum principle
applied to (12) and, moreover, is equi-cotinuous. Taking (11) into account, we can choose
subsequence g(n)(x) which converges uniformly to a continuous function g(x) C o. By virtue of
(7) and (7), we may puss to the limit in (13). We get

[g()

N
Differentiating (1) with respect to

()?v () +g(-x) -g()

and v(), we get

zg(l-.(

But for ] e C, (1) has a unique solution g e

uniform limit; denoting it by R[, we get

(16)

[g (z) --/(z)jdv (z)dy + g(--N)

g (x)

lim sup

C,

therefore the whole sequence

[Rh/(x)--Rn)/(x)[

g(l

has g as its

O.

According to the Hille-Yoshida theorem, there exists u unique Feller process X with resolvent
and semigroup T t. Let P (s, x; t, ) be the transition probability of X, i.e.

(1)

T_/()

fz/(y)P(O, ",

t--s, dy).

Recall that, for each (s, x), we have chosen a sequence

weakly converging to s, x From this
it follows that the sequence T (n)/(x) converges for any continuous / to the limit Tt, s/(x for each t.

Passing to the limit in the last relation, we get

e-a(-r,l()t RIt

e-rl().

In so far as s, is concentrated on continuous functions, T,[() is right continuous with respect

to t, and therefore, as a fnction of t, it is niquely determined by its Laplace transform; hence

From hat was proved, it also follows tat

(19)

From (17) and (18),

(0)

lim

]()

it is easily deduced that

p{(m) er}

p(0, ; -s, rl.

Since the trajectories of "() are continuous with respect to l,

with respect to ; in particular

T]()

is also continuous

I.V. Girsanov

330

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In order to show that xS$(w) is Markov, it is now sufficient to verify the equation (see [4])"

., xS
(22)

pxS, (w) e F,

We do this for k
for /1,/ e C0,

Ik}

xs,
t_() e dy)P(0, y; t--t_, ).

0 (the remaining cses are considered analogously). For X (n), we have,

2, s

o.(? >(), ,

+.
ultipying both sides by

()

",

X,

r.

()

o.(,()),,t

.+,

))

and integrating with respect to s we get

e-a"0.lt() (m))l ()
t+s (m) )ds

lal().

Now choosing a subsequence nk for (0, x) and passing to the limit as k

into consideration (16)and (19),

in

(23), we get, taking

Using te continuity, th respect to s, of the expressions under the integral sign, we arrive at the
equation

Since the right-hand side of () is independent of te choice of the

(8) converges to a limit as
m. Since () is satisfied for any J1, ] e C o, () 5olds for
To finish the proof, it is sfficient to note that conditions 1--8 of the work [], aranteeing
the possibility of combining the random functions
(m) into a arkov process X, are satisfied in
view of (19), (20), (1) and (2). This process will be a Feller process Mth continuous trajectories,
and consequently (see [) strong arkov.

4. Conclusion
The solution of the second of the problems posed in
involves great formal difficulties. With
sufficiently weak restrictions (such as the existence of the transition probabilities, strong Markov
property) imposed on a Markov random function xSX(w) satisfying (3) for fixed s, x one succeeds
to include it into a Markov family xSX(w) of random functions which are solutions of equation (3).
If the initial function has transition probabilities which are homogeneous in time, then the
Markov process representing the collection xt x (09) turns out to be homogeneous in time and strong
Markov.
Thus problem II reduces to problem I. By combining the processes constructed, it is possible
to get a series of other interesting examples. If a process with continuous v (x) is taken and if it is
0 when x0(o
O, then we get an example of a non-strong
additionally assumed that x(w)
Markov process satisfying the stochastic equation (3).
Moreover, by changing the value of the jump of the function v(x) at zero, we get a process
which is non-homogeneous in time and for which the coefficients of the stochastic equation are
independent of time.
It is also possible to construct examples of non-Markov processes satisfying (3).

Received by the editors

September 1, 1960

BIBLIOGRAPHY
[1] IZ. ITO, On stochastic diHerential equations, Memoirs Amer. Math. Sot., 4, 1951, pp. 1-51.
[2] A. V. SKOROKHOD, Stochastic di//erential equations, Proceedings of the Fourth Berkeley Symposium on Math. Statistics and Probability, University of California,

[3] I.V. GIRSANOV, Existence and uniqueness theorems/or the stochastic equations o/ K. Ito. (Resum6
of a report.) (In Russian.)

Average length o]

Theory o[ Marhov Processes, Fizmatgiz, oscow, 1959. (English translation by

D. E. Brown, Prentice-Hall, Eaglewood Cliffs, N. J., 1961.)
M. I. FREIDLI, First boundary value problem [or degenerate elliptiv equations, to appear in
Izv. Akad. auk SSSlZ, Set. Mat. (In Russian.)
E. ]3. D1IKIN, One-dimensional continuous strong Markov processes, Theory Prob. Applications, 4, 1959, pp. 1-52. (English translation.)
E. ]3. DYKI, Markov processes and semigroups o] operators, Theory Prob. Applications, 1,.
1956, pp. 22-33. (English translation.)
0. V. PROKHOROV, Convergence o[ random processes and limit theorems in probability theory,
Theory Prob. Applications, 1, 1956, pp. 157-214. (English translation.)
A. V. SKOROKHOD, Limit theorems ]or stochastic processes, Theory Prob. Applications, 1, 1956,
pp. 261-290. (English translation.)

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[4] E.
[5]
[6]

[7]

[8]
[9]

331

a minimum redundancy binary code

]3. I)YNKIN,

AN EXAMPLE OF THE NON-UNIQUENESS OF THE SOLUTION OF THE

STOCHASTIC EQUATION OF K. ITO
I. V. GIRSANOV (MOSCOW)

(Summary)

In this article it is proved that the stochastic integral equation

()
has many solutions for 0

<

I()1()

()+

< 1/2.

THE AVERAGE LENGTH OF A MINIMUM REDUNDANCY BINARY CODE FOR

PROBABILITIES OF CODED SYMBOLS NOT DIFFERING GREATLY FROM EACH
OTHER
S. S. KISLITS YN

(Translated by Eizo Nishiura)

Assume that in a message the symbols A 1,..., A occur independently of each other
with probabilities Pl," ", Pn, respectively. (Let us agree to consider that Pl
Pn)"
P.
It is required to code each of these symbols using a sequence of zeros and ones so that any
message may be uniquely decoded and the average length v(p, n) of the coded version of
symbol be a minimum. A method of constructing such a code was shown by I-Iuffman in
The following estimates for v(p, n) are known in the literature:

>=

Pi

+1 >v(p,n)

lg2

i=I

_-

>=pilog.
i=i

The exact vlue of v(p, n) is equl to the minimum of

ject to Che limitatiou

()

>=

i=lmii for mi which are integral and sub-

+ --2

(see, for example, [2], Theorems 7, 8).

The purpose of the present note is to obtain

nil

exact expression for v (p, n) in the case when

Pl Pn-1 + Pn"

Lemma 1. There exists

<= m.

an optimal (in the sense

o[ Hu[[man) method o[ coding [or which

m,,.

This lemma is obvious.

Lemma 2. Let Pi < P+P+I, where

< < <

n. And let,

[or some method o[ coding,.