A non-linear Riesz respresentation in probabilistic potential theory
Let \((X_t)_{t\geq 0}\) be a Hunt process on a locally compact metric space \(S\). Define the nonlinear potential operator \(\overline{G}\) by \(\overline{G}f(x)=E_x\left(\int_0^\zeta \sup_{0\leq s\leq t} f(X_s) dt\right)\). The main purpose of this paper is to show the Riesz decomposition theorem relative to this potential, that is, for a given regular function \(u\), to decompose \(u\) as \(u=\overline{G}f +h\) with a harmonic function \(h\). For the purpose, as in [\textit{P.~Bank} and \textit{N.~El Karoui}, Ann.~Probab. 32, No. 1B, 1030--1067 (2004; Zbl 1058.60022)], assume that any excessive function is lower-semicontinuous and \(g(x)=E_x(\zeta)\) is bounded and continuous. Furthermore, assume that \(u\) is a continuous function of class (D) and that \(h(x)=E_x\left(\lim_{t\uparrow \zeta} u(X_t)\right)\) is continuous. Under these hypotheses, the Riesz decomposition theorem is shown with \[ f=\underline{D}u(x)=\inf_{T\in {\mathcal T}(x)} (u(x)-P_Tu(x))/E_x(T), \] where \({\mathcal T}(x)\) is the family of relatively compact open neighbourhoods of \(x\) and \(p_Tu(x)=E_x\left(u(X_T),T<\zeta\right)\). For the proof, a relation between the réduite and the value function of the optimal stopping problem is used. As a corollary, it is shown that \(\sup_{T} E_x\left(u(X_T)+cT\right)\) is attained by the first entrance time into \(A_c=\{R u_c=u_c\}\) and the value is equal to \(\overline{G}(\underline{D}u \vee c)\).
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