Infinite Markov particle systems with singular immigration; martingale problems and limit theorems (Q1917027)

For a Markov process which does not have an invariant measure, it is possible to realize a stationary Markov process with the same transition probability by extending the probability space and considering new paths which are born at random time. The distribution (which may not be a probability measure in general) is called a Kuznetsov measure. By using this measure we can construct a stationary Markov particle system, which is called an equilibrium process. This process is also constructed by letting new particles immigrate according to a Poisson random measure. In order to investigate such particle systems we consider a simple model, that is, the infinite Markov particle system \((X_t, \mathbb{P}_\mu)\) with singular immigration associated with absorbing Brownian motion \((w^0 (t), P^0_x)\) in a half space \(H = \mathbb{R}^{d - 1} \times (0, \infty)\) starting from a counting measure \(\mu\). We characterize this Markov particle system as a diffusion process, that is, a counting measure valued continuous Markov process by introducing a suitable subspace of counting measures with an appropriate topology. We further discuss the sample path properties and the influence of the immigration part for Hölder continuity and finiteness, infiniteness of the number of particles near the boundary. One of the remarkable results is that the critical value of the exponent of Hölder continuity changes between 1/4 and 1/2 at time 0 according to the initial state \(\mu\), however at any positive time the value is constant 1/2. We also study on a hitting time for a compact subset under the Kuznetsov measure and extend the Spitzer's formula associated with capacity theory. In particular in case of absorbing Brownian motion in a half space we investigate asymptotic behavior of hitting rate for the compact subset. By applying the obtained results to the equilibrium process \((X_t, \mathbb{P})\) with immigration we give some limit theorems associated with the number of particles hitting the compact subset.