Quasimartingales associated to Markov processes

DOI10.1090/TRAN/7214MaRDI QIDQ4586329zbMATH OpenOpenAlexFDO

Authors Lucian Beznea, Iulian Cîmpean

Publication date 13 September 2018

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1702.06282

zbMATH Keywords

Dirichlet formexcessive functionFukushima decompositionMarkov processquasimartingalesemimartingalesmooth measure.

Mathematics Subject Classification ID

Harmonic, subharmonic, superharmonic functions on other spaces (31C05) Dirichlet forms (31C25) Continuous-time Markov processes on general state spaces (60J25) Transition functions, generators and resolvents (60J35) Right processes (60J40) Probabilistic potential theory (60J45) Local time and additive functionals (60J55) Multiplicative functionals and Markov processes (60J57)

Abstract: For a fixed right process $X$ we investigate those functions $u$ for which $u(X)$ is a quasimartingale. We prove that $u(X)$ is a quasimartingale if and only if $u$ is the dif- ference of two finite excessive functions. In particular, we show that the quasimartingale nature of $u$ is preserved under killing, time change, or Bochner subordination. The study relies on an analytic reformulation of the quasimartingale property for $u(X)$ in terms of a certain variation of $u$ with respect to the transition function of the process. We provide sufficient conditions under which $u(X)$ is a quasimartingale, and finally, we extend to the case of semi-Dirichlet forms a semimartingale characterization of such functionals for symmetric Markov processes, due to Fukushima.

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Cited in

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