Potential processes

Abstract:

The prototype of a potential process is a stochastic process which visits the same points in the same order as a Markov process, but at a rate obtained from a nonanticipating time change. The definition of a potential process may be given intrinsically and most generally without mention of a Markov process, in terms of potential theory. The definition may be given more directly and less generally in terms of potentials which arise from Markov processes, or more directly than this, as suitably time-changed Markov processes. The principal purpose of studying the class of potential processes, which may be shown to include martingales as well as Markov processes themselves, is to give a unified treatment to a wide class of processes which has potential theory at its core. That it is possible to do so suggests that potential rather than martingale results are central to the study of Markov processes. Furthermore, this also suggests that it is not the Markov property itself which makes Markov processes tractable, but rather the potential structure which can be constructed with the assistance of the Markov property. The general theory of potential processes is developed in a forthcoming paper. It will be shown there that a Markov process subject to an ordinary continuous nonanticipating time change is a local potential process. It may be seen, by examining examples, that it is necessary to consider randomized stopping times and randomized nonanticipating time changes in the general case. In the forthcoming paper a more general notion than randomized nonanticipating time changes is used to obtain a characterization of potential processes. It is an open problem whether randomization itself is sufficient in the general case, and whether ordinary nonanticipating time changes are sufficient for continuous parameter martingales and Brownian motion on the line. The emphasis in the present paper will be on developing the theory of discrete parameter martingales as a special case of the general theory.