A new proof of Doob's theorem (Q663628): Difference between revisions

This paper deals with the following statement due to \textit{J. L. Doob} [Trans. Am. Math. Soc. 63, 393--421 (1948; Zbl 0041.45406)]: given an irreducible, strong Feller, stochastically continuous, Markovian transition semigroup \((T(t))_{t\geq0}\) on the space \(B_b(\Omega)\) of bounded, measurable functions, where \(\Omega\) is Polish space, with invariant probability measure \(\mu\), the transition probabilities converge to \(\mu\). The authors prove that every bounded, positive, irreducible, stochastically continuous semigroup on the space of bounded, measurable functions which is strong Feller, consists of kernel operators and possesses an invariant measure converging pointwise. This differs from Doob's theorem in that one does not require the semigroup to be Markovian and imposes only a fairly weak kind of irreducibility. The proofs are based on the theory of positive semigroups and do not use probability theory.