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Suppose that we have a random variable $X$ and this is a function of an index $t\in T$.

Here, what is the meaning of the infimum of this random function? $$\inf_{t\in T}X(t)$$

How can we interpret that quantity, despite the fact that for a given $t$, $X(t)$ is a random variable?

whuber
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QWEQWE
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    It's never just 'Random' right ? I think you would need to study the distribution law of your variable – el Josso Aug 05 '21 at 13:57
  • You are right! The $X$ is in fact a limit stochastic process. But, I used the term for simplicity. I am sorry for the ambiguity. I have a related question. Is the infimum value is a related concept to the law of a stochastic process? – QWEQWE Aug 05 '21 at 14:12
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    There is a related question on suprema of r.v.s at MSE here: https://math.stackexchange.com/questions/3383958/understanding-the-supremum-of-a-r-v-with-an-example?rq=1 – microhaus Aug 05 '21 at 14:14
  • Thank you for the recommendation! – QWEQWE Aug 05 '21 at 14:15
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    Strangely, I went to have a look at standard intermediate probability textbooks (e.g. Grimmett and Stirzaker) and couldn't find any definitions of infima and suprema of random variables. There are however a few definitions and related theorems in *Probability: Theory and Examples* in Durrett (2010), and I have no doubt something like this would be in Billingsley's text. – microhaus Aug 05 '21 at 14:27
  • Good! I have the second text book. I will browes that book now! – QWEQWE Aug 05 '21 at 14:28
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    See Theorem 1.3.7. – microhaus Aug 05 '21 at 14:29
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    Thank you for the kind reply:) – QWEQWE Aug 05 '21 at 14:44
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    The pattern of your last several questions suggests it will help to learn a definition of [stochastic process](https://stats.stackexchange.com/questions/48911). Armed with a suitable definition, you won't even have to ask these questions. – whuber Aug 05 '21 at 14:59
  • Thank you for the good reference! – QWEQWE Aug 05 '21 at 15:02

1 Answers1

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Because you're getting some misleading comments, I will offer a more detailed answer. The idea is that when you observe a "random function," you have in hand a "realization" of it. This realization is an ordinary (completely determined) function. You are just computing its infimum in the usual sense (as I will explain).

Before we move on, let's avert a potential misconception. Notice this description has nothing to do with the probability law governing the random function. Abstractly, a random (real-valued) function defined on a set $T$ is a map $X: \Omega\to \mathbb{R}^T$ where $\mathbb{R}^T$ is the set of all functions from $T$ to $\mathbb R$ and $\Omega$ is a probability space. The infimum can be considered a map from $\mathbb{R}^T$ into $\mathbb R.$ Composing the infimum with $X$ yields a function from $\Omega$ to $\mathbb R:$ that is, a random variable.

I am purposely not mentioning the technical detail of measurability because that's not an essential part of the idea; but even for those familiar with the details, you will observe they depend only on various sigma algebras that one must define, but they still don't depend on any particular probability distribution.


When you consider a collection of random variables $X_t$ as a "random function" of a domain $T,$ this collection is known as a stochastic process.

The description I gave of this concept at General Definition of Stochastic Processes invites you to think of a "box" of possible realizations $x_t$ of $X_t:$ each of these realizations can be represented as the graph of $x_t$ versus $t$ written on a slip of paper (a "ticket"). Think of $X_t$ as arising by selecting one of these tickets randomly.

Figure

This figure from the referenced post displays three such tickets, named $\omega_1,\omega_2,$ and $\omega_3.$ Evidently $T=[-1,2]$ is an interval of real numbers in this example.

The graph of a (non-random, ordinary) function $x$ is, by definition, the set of all ordered pairs $(t,x_t).$ Ignoring the index $t$ leaves us a set of all values $\{x_t\mid t\in T\}$ (the image of $x$). When these values are real numbers, the Completeness axiom of real numbers asserts they have a unique greatest lower bound, or infimum. (It is convenient to declare that the infimum of a set with no lower bound nevertheless exists and to call it "$-\infty.$")

Here, then, is a way to think of the infimum of a random function aka stochastic process:

On each ticket $x$ in the box for the process $X$, write down the infimum of its values; namely, the number $\inf_{\,t\in T}x_t.$ Drawing a ticket randomly from this box, and reading only this number, models the meaning of $\inf_{\,t\in T}X_t:$ it is a random variable.


Any textbook covering stochastic processes will assume you are familiar with the analysis of functions. That includes most concepts from Calculus and elementary Analysis. I imagine many of those texts will freely use notation like the one we're using here for infima to extend any property of functions to corresponding properties of random functions in exactly the same way.

whuber
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  • Thank you so much! In a sentence, first I have to consider the infimum of each non-random function and then imagine that draw the infimum values randomly. So, that is the concept of the infimum of a stochastic process! and that is the reason why the infimum is a random variable! thank you so much again! especially the illustration is perfect! – QWEQWE Aug 06 '21 at 05:11