A stronger version of discrete "Liouville's theorem"

If a function $f : \mathbb Z\times \mathbb Z \rightarrow \mathbb{R}^{+} $ satisfies the following condition

$$\forall x, y \in \mathbb{Z}, f(x,y) = \dfrac{f(x + 1, y)+f(x, y + 1) + f(x - 1, y) +f(x, y - 1)}{4}$$

then is $f$ constant function?

Solution 1:

You can prove this with probability.

Let $(X_n)$ be the simple symmetric random walk on $\mathbb{Z}^2$. Since $f$ is harmonic, the process $M_n:=f(X_n)$ is a martingale. Because $f\geq 0$, the process $M_n$ is a non-negative martingale and so must converge almost surely by the Martingale Convergence Theorem. That is, we have $M_n\to M_\infty$ almost surely.

But $(X_n)$ is irreducible and recurrent and so visits every state infinitely often. Thus (with probability one) $f(X_n)$ takes on every $f$ value infinitely often.

Thus $f$ is a constant function, since the sequence $M_n=f(X_n)$ can't take on distinct values infinitely often and still converge.

Solution 2:

I can give a proof for the d-dimensional case, if $f\colon\mathbb{Z}^d\to\mathbb{R}^+$ is harmonic then it is constant. The following based on a quick proof that I mentioned in the comments to the same (closed) question on MathOverflow, Liouville property in Z^d. [Edit: I updated the proof, using a random walk, to simplify it]

First, as $f(x)$ is equal to the average of the values of $f$ over the $2d$ nearest neighbours of $x$, we have the inequality $f(x)\ge(2d)^{-1}f(y)$ whenever $x,y$ are nearest neighbours. If $\Vert x\Vert_1$ is the length of the shortest path from $x$ to 0 (the taxicab metric, or $L^1$ norm), this gives $f(x)\le(2d)^{\Vert x\Vert_1}f(0)$. Now let $X_n$ be a simple symmetric random walk in $\mathbb{Z}^d$ starting from the origin and, independently, let $T$ be a random variable with support the nonnegative integers such that $\mathbb{E}[(2d)^{2T}] < \infty$. Then, $X_T$ has support $\mathbb{Z}^d$ and $\mathbb{E}[f(X_T)]=f(0)$, $\mathbb{E}[f(X_T)^2]\le\mathbb{E}[(2d)^{2T}]f(0)^2$ for nonnegative harmonic $f$. By compactness, we can choose $f$ with $f(0)=1$ to maximize $\Vert f\Vert_2\equiv\mathbb{E}[f(X_T)^2]^{1/2}$.

Writing $e_i$ for the unit vector in direction $i$, set $f_i^\pm(x)=f(x\pm e_i)/f(\pm e_i)$. Then, $f$ is equal to a convex combination of $f^+_i$ and $f^-_i$ over $i=1,\ldots,d$. Also, by construction, $\Vert f\Vert_2\ge\Vert f^\pm_i\Vert_2$. Comparing with the triangle inequality, we must have equality here, and $f$ is proportional to $f^\pm_i$. This means that there are are constants $K_i > 0$ such that $f(x+e_i)=K_if(x)$. The average of $f$ on the $2d$ nearest neighbours of the origin is $$ \frac{1}{2d}\sum_{i=1}^d(K_i+1/K_i). $$ However, for positive $K$, $K+K^{-1}\ge2$ with equality iff $K=1$. So, $K_i=1$ and $f$ is constant.

Now, if $g$ is a positive harmonic function, then $\tilde g(x)\equiv g(x)/g(0)$ satisfies $\mathbb{E}[\tilde g(X_T)]=1$. So, $$ {\rm Var}(\tilde g(X_T))=\mathbb{E}[\tilde g(X_T)^2]-1\le\mathbb{E}[f(X_T)^2]-1=0, $$ and $\tilde g$ is constant.