Multiplicative Symmetry Groups of Markov Processes

DOI10.1007/978-1-4684-0562-0_9MaRDI QIDQ3972794zbMATH OpenOpenAlexFDO

Authors Joseph Glover, Renming Song

Publication date 26 June 1992

Published in Seminar on Stochastic Processes, 1990 (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4684-0562-0_9

zbMATH Keywords

Girsanov transformationmultiplicative functionalmultiplicative symmetrysymmetry groups for Markov processes

Mathematics Subject Classification ID

Right processes (60J40) Multiplicative functionals and Markov processes (60J57) Markov processes (60J99)

Review text

This paper represents an initial step in the study of (multiplicative) symmetry groups for Markov processes, an area to which the first-named author has already contributed significantly. Let \(X = (X_t,P^x)\) be a right Markov process with state space \(E\). Let \(\varphi\colon E\to E\) be a bijection which, along with its inverse, is measurable and finely continuous. Call \(\varphi\) a multiplicative symmetry of \(X\) if the (right) process \(\varphi(X)=(\varphi(X_t),P^{\varphi^{-1}(x)})\) has the same law as the Girsanov transformation of \(X\) by a suitable nonvanishing multiplicative functional \(M^\varphi\). The collection \(GM\) of all such multiplicative symmetries forms a group under composition. The authors' main result is as follows. Fix \(e\in E\) and let \(H\) be a transitive subgroup of \(GM\) such that the identity is the only element of \(H\) which fixes \(e\). Also, assume that \(H\) has a finite left-invariant measure. Then there is a multiplicative functional \(M\) such that \(\hat X\), the Girsanov transformation of \(X\) by \(M\), is \(H\)-translation invariant, in the sense that \(\varphi(\hat X)\) conditional on \(\hat X_0=\varphi^{-1}(x)\) has the same law as \(\hat X\) started at \(x\), for all \(\varphi\in H\). [For the entire collection see Zbl 0716.00012.]

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