On Piecing Together Locally Defined Markov Processes

DOI10.1007/978-1-4684-0562-0_17MaRDI QIDQ3972796zbMATH OpenOpenAlexFDO

Authors

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_17

zbMATH Keywords

construction of Markov processeshitting distributionsright Markov process

Mathematics Subject Classification ID

Right processes (60J40) Probabilistic potential theory (60J45)

Review text

Let \(E\) be a locally compact second countable space, and let \(\{E_n\}\) be an increasing sequence of precompact open sets with union \(E\). Suppose that for each \(n\) we are given a right Markov process \(X^n_t\) with state space \(E_n\). Furthermore, suppose that these processes are compatible in the sense that \(X^n_t\) is a time change of \(X_t^{n+1}\) killed upon exiting \(E_n\). Is there a single process \(X\) which when killed upon exiting \(E_n\) is a time change of \(X^n\), for each \(n\)? (Note that if \(X^{n+1}\) killed on exiting \(E_n\) is equivalent to \(X_ n\), then this question is answered affirmatively by the Blumenthal, Getoor, McKean theorem.) This problem arises naturally in the construction of Markov processes with given hitting distributions [the author, Stochastic processes, Semin. Gainesville/Fla. 1983, Prog. Probab. Stat. 7, 189--255 (1984; Zbl 0557.60056)] and in recent work on the symmetries of Markov processes [\textit{J. Glover} and \textit{J. Mitro}, Ann. Probab. 18, No. 2, 655--668 (1990; Zbl 0714.60060)]. The main result of this article is an affirmative answer to the above question; indeed a more general situation is treated, in which the increasing sequence \(\{E_n\}\) is replaced by a countable cover of \(E\). [For the entire collection see Zbl 0716.00012.]

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Cited in

(4)

• Construction of Markov processes and associated multiplicative functionals from given harmonic measures
• Concatenation and pasting of right processes
• Construction of Markov processes from hitting distributions without quasi-left-continuity
• Local alignment of Markov chains

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