A sufficient condition for two Markov semigroups to commute (Q1262619): Difference between revisions

Let \(E\) be a locally compact, separable metric space and let \(\hat C(E)\) be the continuous real functions on \(E\) vanishing at \(\infty\), with the sup norm. Let \(\{P_ t:\;t\geq 0\}\) be a Markov semigroup on \(\hat C(E)\) with generator \(A\). Let \(\mathcal D\subset \hat C(E)\) be a dense algebra such that the \(D([0,\infty),E)\) martingale problem for \(A\) on \(\mathcal D\) is well-posed. Suppose that \(\pi : \hat C(E) \to \hat C(E)\) is given by a probability transition function on \((E,\mathcal B_ E)\), i.e. \[ \pi g(S) = \int g(y) \pi(a,dy), \] and assume that \(\pi(\mathcal D) \subset \mathcal D\) and \(A\pi f = \pi Af\) for each \(f\in \mathcal D\). Then for each \(g\in \hat C(E)\) and each \(t \geq 0\), \[ P_ t \pi g = \pi P_ t g. \] As a corollary, for \(\{P_ t:\;t \geq 0\}\), \(A\) and \(\mathcal D\) as above, let \(\{Q_ t: \;t \geq 0\}\) be another Markov semigroup on \(\hat C(E)\) with generator \(B\). Suppose \[ B(\mathcal D) \subset \text{Dom}(A),\quad A(\mathcal D) \subset \text{Dom}(B),\quad \text{ and } (\lambda I-B)^{-1}(\mathcal D) \subset \mathcal D \text{ for large } \lambda. \] If \(AB=BA\) on \(\mathcal D\), then for \(g\in \hat C(E)\) and \(t,s \geq 0\) \[ P_ t Q_ s q = Q_ s P_ t g. \] This is based on a result of \textit{S. N. Ethier} and \textit{T. G. Kurtz} [Markov processes: Characterization and convergence. (1986; Zbl 0592.60049)].