A dynamic model for the two-parameter Dirichlet process

Abstract

Let $\alpha =1/2$, $\theta >-1/2$, and ${\nu }_0$ be a probability measure on a type space $S$. In this paper, we investigate the stochastic dynamic model for the two-parameter Dirichlet process ${\Pi }_{\alpha ,\theta ,{\nu }_0}$. If $S=\mathbb{N}$, we show that the bilinear form \begin{eqnarray*} \left\{ \begin{array}{l} {\cal E}(F,G)=\frac{1}{2}\int_{{\cal P}_1(\mathbb{N})}\langle \nabla F(μ),\nabla G(μ)\rangle_μ Π_{α,θ,ν_0}(dμ),\ \ F,G\in {\cal F},\\ {\cal F}=\{F(μ)=f(μ(1),\dots,μ(d)):f\in C^{\infty}(\mathbb{R}^d), d\ge 1\} \end{array} \right. \end{eqnarray*} is closable on $L^2({\mathcal{P}}_1(\mathbb{N});{\Pi }_{\alpha ,\theta ,{\nu }_0})$ and its closure $(\mathcal{E},D(\mathcal{E}))$ is a quasi-regular Dirichlet form. Hence $(\mathcal{E},D(\mathcal{E}))$ is associated with a diffusion process in ${\mathcal{P}}_1(\mathbb{N})$ which is time-reversible with the stationary distribution ${\Pi }_{\alpha ,\theta ,{\nu }_0}$. If $S$ is a general locally compact, separable metric space, we discuss properties of the model \begin{eqnarray*} \left\{ \begin{array}{l} {\cal E}(F,G)=\frac{1}{2}\int_{{\cal P}_1(S)}\langle \nabla F(μ),\nabla G(μ)\rangle_μ Π_{α,θ,ν_0}(dμ),\ \ F,G\in {\cal F},\\ {\cal F}=\{F(μ)=f(\langle ϕ_1,μ\rangle,\dots,\langle ϕ_d,μ\rangle): ϕ_i\in B_b(S),1\le i\le d,f\in C^{\infty}(\mathbb{R}^d),d\ge 1\}. \end{array} \right. \end{eqnarray*} In particular, we prove the Mosco convergence of its projection forms.

19 pages