Absolute continuity of symmetric Markov processes. (Q1879815)

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Absolute continuity of symmetric Markov processes.
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    Absolute continuity of symmetric Markov processes. (English)
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    15 September 2004
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    Let \((X_t,P_x)\) be an \(m\)-symmetric Markov process on \(E\) with Dirichlet form \(({\mathcal E},{\mathcal F})\). For a function \(\rho \in {\mathcal F}\) such that \(\rho>0\), let \(Z^\rho_t\) be the jump type exponential martingale given by \(Z^\rho_t=1+\int_0^t Z^\rho_{s-}dM_s\) with \(M_t= \int_0^t \rho(X_{s-})^{-1} \,dM^\rho_s\). Then the Markov process \((\widehat{X},\widehat{P}_x)\) defined by \(\widehat{P}_x=Z^\rho_t \cdot P_x\) is \(\rho^2 \cdot m\)-symmetric. Extending the results of \textit{M. Fukushima} and \textit{M. Takeda} [Osaka J. Math. 21, 311--326 (1984; Zbl 0542.60077)] and \textit{P. J. Fitzsimmons} [Ann. Probab. 25, No. 1, 230--258 (1997; Zbl 0873.60054)], the authors give an explicit expression of the Dirichlet form \((\widehat{\mathcal E},\widehat{\mathcal F})\) of \(\widehat{X}_t\). The result says that \(\{f \in {\mathcal F}: \int_E \rho^2 d\mu^c_{\langle f \rangle}<\infty\}\cap {\mathcal L}^2(\rho\otimes \rho\cdot J) \cap L^2(\rho^2 \cdot m)\) is dense in \(\widehat{\mathcal F}\) and \[ \widehat{\mathcal E}(f,f)={1\over 2} \int_E \rho^2 d\mu^c_{\langle f \rangle} +\int_{E\times E} (f(x)-f(y))^2\rho(x)\rho(y) J(dx,dy) \] for \(f \in \widehat{\mathcal F}\), where \(\mu^c_{\langle f \rangle}\) and \(J\) are the measures appearing in the Beurling-Deny decomposition of \({\mathcal E}\). It is also proved that, for any supermartingale multiplicative functional \(Z_t\), there exists a function \(\varphi\) on \(E\times E_\Delta\) such that \(Z_t\) has an expression of the type \(Z^\rho_t\) by using \(\varphi\). This result is used to characterize the Dirichlet forms of the absolute continuous symmetric Markov processes. Throughout the proof, an extension of the Lyons-Zheng decomposition into forward and backward martingales play an important role.
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    absolute continuity
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    symmetric Markov process
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    Dirichlet form
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    Lyons-Zheng decomposition
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