Ordered Skorokhod stopping for a sequence of measures
The main purpose of this article is to show that given a transient right Markov process [cf. \textit{R. K. Getoor}, Markov processes: Ray processes and right processes (1975; Zbl 0299.60051)] on a compact metric space, and given a sequence of finite measures whose potentials satisfy a monotonicity property, there exist a right-continuous stochastic process (and a right-continuous filtration to which it is adapted) that is a version of the given right process, and a sequence of stopping times descreasing to zero (and satisfying a certain Markov property) which represent the given measures in a Skorokhod-stopping sense. This result partially answers a question of \textit{P. J. Fitzsimmons} [Séminaire de probabilités XXII, Strasbourg/France, Lect. Notes Math. 1321, 166-174 (1988; Zbl 0644.60076)]. The author also poses an open question (Remark 2), an affirmative answer to which would imply an affirmative answer to Fitzsimmons' question. Methods of proof used include Skorokhod stopping schemes, exit and hitting times, projective limits, Lusin spaces, randomized stopping times, and Markov and supermartingale properties.
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