Revuz measures and time changes
Let A be a continuous additive functional of a right Markov process X, and let \~X be the time change of X by the inverse of A. If m is in Exc(X) - the class of excessive measures for X - then the Revuz measure \(\nu ^ m_ A\) of A relative to m is in Exc(\~X) - the class of excessive measures for \~X. The mapping \(m\mapsto \nu ^ m_ A\) is investigated. It is shown that this mapping preserves the classes of potential, harmonic, dissipative, and conservative excessive measures. Given \(\lambda\) in Exc(\~X) conditions are given for the existence of \(m\in Exc(X)\) with \(\lambda =\nu ^ m_ A\). Such an inversion is always possible if one restricts X to \(\{\) x:\(P^ x(A_{\infty}>0)>0\}\). The relationship between \(\nu ^ m_ A\) and the Revuz measure of A computed relative to a subprocess of X is also studied.
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