The Full Wiki

More info on Càdlàg

Càdlàg: Map


Wikipedia article:

Map showing all locations mentioned on Wikipedia article:

In mathematics, a càdlàg (French "continue à droite, limitée à gauche"), RCLL ("right continuous with left limits"), or corlol ("continuous on (the) right, limit on (the) left") function is a function defined on the real numbers (or a subset of them) that is everywhere right-continuous and has left limit everywhere. Càdlàg functions are important in the study of stochastic processes that admit (or even require) jumps, unlike Brownian motion, which has continuous sample paths. The collection of càdlàg functions on a given domain is known as Skorokhod space.


Let (M, d) be a metric space, and let E \subseteq \mathbb{R}. A function f : E \to M is called a càdlàg function if, for every t \in E,
  • the left limit f(t-) := \lim_{s \uparrow t} f(s) exists; and
  • the right limit f(t+) := \lim_{s \downarrow t} f(s) exists and equals f(t).
That is, f is right-continuous with left limits.


Skorokhod space

The set of all càdlàg functions from E to M is often denoted by D(E; M) (or simply D) and is called Skorokhod space after the Ukrainianmarker mathematician Anatoliy Skorokhod. Skorokhod space can be assigned a topology that, intuitively allows us to "wiggle space and time a bit" (whereas the traditional topology of uniform convergence only allows us to "wiggle space a bit"). For simplicity, take E = [0, T] and M = \mathbb{R}^{n} — see Billingsley for a more general construction.

We must first define an analogue of the modulus of continuity, \varpi'_{f} (\delta). For any F \subseteq E, set

w_{f} (F) := \sup_{s, t \in F} | f(s) - f(t) |

and, for \delta > 0, define the càdlàg modulus to be

\varpi'_{f} (\delta) := \inf_{\Pi} \max_{1 \leq i \leq k} w_{f} ([t_{i - 1}, t_{i})),

where the infimum runs over all partitions \Pi = \{ 0 = t_{0} t_{1} \dots t_{k} = T \}, k \in \mathbb{N}, with \max_{i} (t_{i} - t_{i - 1}) \delta. This definition makes sense for non-càdlàg f (just as the usual modulus of continuity makes sense for discontinuous functions) and it can be shown that f is càdlàg if and only if \varpi'_{f} (\delta) \to 0 as \delta \to 0.

Now let \Lambda denote the set of all strictly increasing, continuous bijections from E to itself (these are "wiggles in time"). Let

\| f \| := \sup_{t \in E} | f(t) |

denote the uniform norm on functions on E. Define the Skorokhod metric \sigma on D by

\sigma (f, g) := \inf_{\lambda \in \Lambda} \max \{ \| \lambda - I \|, \| f - g \circ \lambda \| \},

where I : E \to E is the identity function. In terms of the "wiggle" intuition, \| \lambda - I \| measures the size of the "wiggle in time", and \| f - g \circ \lambda \| measures the size of the "wiggle in space".

It can be shown that the Skorokhod metric is, indeed a metric. The topology \Sigma generated by \sigma is called the Skorokhod topology on D.

Properties of Skorokhod space

Generalization of the uniform topology

The space C of continuous functions on E is a subspace of D. The Skorokhod topology relativized to C coincides with the uniform topology there.


It can be shown that, although D is not a complete space with respect to the Skorokhod metric σ, there is a topologically equivalent metric σ0 with respect to which D is complete.


With respect to either σ or σ0, D is a separable space. Thus, Skorokhod space is a Polish space.

Tightness in Skorokhod space

By an application of the Arzelà-Ascoli theorem, one can show that a sequence (\mu_{n})_{n = 1}^{\infty} of probability measures on Skorokhod space D is tight if and only if both the following conditions are met:

\lim_{a \to \infty} \limsup_{n \to \infty} \mu_{n} \{ f \in D | \| f \| \geq a \} = 0,


\lim_{\delta \to 0} \limsup_{n \to \infty} \mu_{n} \{ f \in D | \varpi'_{f} (\delta) \geq \varepsilon \} = 0\text{ for all }\varepsilon > 0.

Algebraic and topological structure

Under the Skorokhod topology and pointwise addition of functions, D is not a topological group.


Embed code:

Got something to say? Make a comment.
Your name
Your email address