Excursion laws of Markov processes in classical duality (Q1059333): Difference between revisions

This paper contains several results which extend similar results of \textit{R. K. Getoor} and \textit{M. J. Sharpe} [Adv. Math. 45, 259-309 (1982; Zbl 0497.60067)] obtained under the additional hypothesis of dual densities. Under study are a pair of dual Markov processes \((X,\hat X)\), together with closed, homogeneous random sets \((M,\hat M)\) generated by a pair of dual terminal times \((R,\hat R)\). The joint Laplace transform and joint distribution of \((R,X_ R)\) are derived in terms of the co-exit system (of \((\hat X,\hat M)\)). In case R is the hitting time of a Borel set B, this result is reformulated in terms of the l-capacity of B. The jump structure of the ''boundary process'' of (X, M) constructed by the author, Z. Wahrscheinlichkeitstheor. Verw. Geb. 64, 251-268 (1983; Zbl 0498.60081), is analyzed to produce measures \(P^{xy}\) \((x\neq y)\); \(P^{xy}\) is the conditional law of an excursion of X outside of M, which begins at x and ends at y, given the boundary process. Entrance laws and the transition function of the excursion process under \(P^{xy}\) are computed. When M and \(\hat M\) are a.s. perfect, \(P^{xy}\) is obtained from \(P^{xy}\) by time reversal. Finally, these results are used to study excursions which straddle perfect terminal times.