Quasimartingales associated to Markov processes
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- by Lucian Beznea and Iulian Cîmpean PDF
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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 difference 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.References
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Additional Information
- Lucian Beznea
- Affiliation: Simion Stoilow Institute of Mathematics of the Romanian Academy, Research unit No. 2, P.O. Box 1-764, RO-014700 Bucharest, Romania—and—University of Bucharest, Faculty of Mathematics and Computer Science, and Centre Francophone en Mathématique de Bucarest, Romania.
- Email: lucian.beznea@imar.ro
- Iulian Cîmpean
- Affiliation: Simion Stoilow Institute of Mathematics of the Romanian Academy, Research unit No. 2, P.O. Box 1-764, RO-014700 Bucharest, Romania
- Email: iulian.cimpean@imar.ro
- Received by editor(s): October 24, 2016
- Received by editor(s) in revised form: February 8, 2017
- Published electronically: May 3, 2018
- Additional Notes: The first author acknowledges support from the Romanian National Authority for Scientific Research, project number PN-III-P4-ID-PCE-2016-0372.
The second author acknowledges support from the Romanian National Authority for Scientific Research, CNCS-UEFISCDI, project number PN-II-RU-TE-2014-4-0007. - © Copyright 2018 American Mathematical Society
- Journal: Trans. Amer. Math. Soc. 370 (2018), 7761-7787
- MSC (2010): Primary 60J45, 31C25, 60J40; Secondary 60J25, 60J35, 60J55, 60J57, 31C05
- DOI: https://doi.org/10.1090/tran/7214
- MathSciNet review: 3852448