Finely -harmonic functions of a Markov process

Let be a Borel right process and a fixed excessive measure. Given a finely open nearly Borel set we define an operator which we regard as an extension of the restriction to of the generator of . It maps functions on to (locally) signed measures on not charging -semipolars. Given a locally smooth signed measure we define to be (finely) -harmonic on provided on and denote the class of such by . Under mild conditions on we show that is equivalent to a local ``Poisson' representation of . We characterize by an analog of the mean value property under secondary assumptions. We obtain global Poisson type representations and study the Dirichlet problem for elements of under suitable finiteness hypotheses. The results take their nicest form when specialized to Hunt processes.

     

Perturbation of symmetric Markov processes

We present a path-space integral representation of the semigroup associated with the quadratic form obtained by a lower-order perturbation of the L ²-infinitesimal generator $\mathcal {L}We present a path-space integral representation of the semigroup associated with the quadratic form obtained by a lower-order perturbation of the L ²-infinitesimal generator of a general symmetric Markov process. An illuminating concrete example for is , where D is a bounded Euclidean domain in is the Laplace operator in D with zero Dirichlet boundary condition and is the fractional Laplacian in D with zero exterior condition. The strong Markov process corresponding to is a Lévy process that is the sum of Brownian motion in and an independent symmetric (2s)-stable process in killed upon exiting the domain D. This probabilistic representation is a combination of Feynman-Kac and Girsanov formulas. Crucial to the development is the use of an extension of Nakao’s stochastic integral for zero-energy additive functionals and the associated It? formula, both of which were recently developed in Chen et al. [Stochastic calculus for Dirichlet processes (preprint)(2006)]. The research of T.-S. Zhang is supported by the British EPSRC.     

On general perturbations of symmetric Markov processes

Let X be a symmetric right process, and let be a multiplicative functional of X that is the product of a Girsanov transform, a Girsanov transform under time-reversal and a continuous Feynman–Kac transform. In this paper we derive necessary and sufficient conditions for the strong L²-continuity of the semigroup given by T_tf(x)=E_x[Z_tf(X_t)], expressed in terms of the quadratic form obtained by perturbing the Dirichlet form of X in the appropriate way. The transformations induced by such Z include all those treated previously in the literature, such as Girsanov transforms, continuous and discontinuous Feynman–Kac transforms, and generalized Feynman–Kac transforms.     

The Heckman–Opdam Markov processes

We introduce and study the natural counterpart of the Dunkl Markov processes in a negatively curved setting. We give a semimartingale decomposition of the radial part, and some properties of the jumps. We prove also a law of large numbers, a central limit theorem, and the convergence of the normalized process to the Dunkl process. Eventually we describe the asymptotic behavior of the infinite loop as it was done by Anker, Bougerol and Jeulin in the symmetric spaces setting in (Iberoamericana 18: 41–97, 2002). Partially supported by the European Commission (IHP Network HARP 2002–2006).     

Moduli of continuity of local times of strongly symmetric Markov processes via Gaussian processes

LetX be a strongly symmetric standard Markov process on a locally compact metric spaceS with 1-potential densityu ¹(x, y). Let {L _t ^y , (t, y)R ⁺×S} denote the local times ofX and letG={G(y), yS} be a mean zero Gaussian process with covarianceu ¹(x, y). In this paper results about the moduli of continuity ofG are carried over to give similar moduli of continuity results aboutL _t ^y considered as a function ofy. Several examples are given with particular attention paid to symmetric Lévy processes.The research of both authors was supported in part by a grant from the National Science Foundation. In addition the research of Professor Rosen was also supported in part by a PSC-CUNY research grant. Professor Rosen would like to thank the Israel Institute of Technology, where he spent the academic year 1989–90 and was supported, in part, by the United States-Israel Binational Science Foundation. Professor Marcus was a faculty member at Texas A&M University while some of this research was carried out.     

Dirichlet invariant processes and applications to nonparametric estimation of symmetric distribution functions

A class of random processes with invariant sample paths, that is, processes which yield (with probability one) probability distributions that are invariant under a given transformation group of interest, are introduced and their properties are studied. These processes, named Dirichlet Invariant processes, are closely related to the Dirichlet processes of Ferguson. These processes can be used as priors for Bayesian analysis of some nonparametric problems. As an application Bayes and Minimax estimates of an arbitrary distribution, symmetric about a known point, are obtained.     

Monotonicity in multidimensional Markov decision processes for the batch dispatch problem

Structural properties of stochastic dynamic programs are essential to understanding the nature of the solutions and in deriving appropriate approximation techniques. We concentrate on a class of multidimensional Markov decision processes and derive sufficient conditions for the monotonicity of the value functions. We illustrate our result in the case of the multiproduct batch dispatch (MBD) problem.     

On exit time from balls of jump-type symmetric Markov processes

We obtain upper and lower bounds of the exit times from balls of a jump-type symmetric Markov process. The proofs are delivered separately. The upper bounds are obtained by using the Levy system corresponding to the process, while the precise expression of the （L^2-）generator of the Dirichlet form associated with the process is used to obtain the lower bounds.     

Sharp bounds for the first eigenvalue of symmetric Markov processes and their applications

By adopting a nice auxiliary transform of Markov operators, we derive new bounds for the first eigenvalue of the generator corresponding to symmetric Markov processes. Our results not only extend the related topic in the literature, but also are efficiently used to study the first eigenvalue of birth-death processes with killing and that of elliptic operators with killing on half line. In particular, we obtain two approximation procedures for the first eigenvalue of birth-death processes with killing, and present qualitatively sharp upper and lower bounds for the first eigenvalue of elliptic operators with killing on half line.     

Optimal stopping of strong Markov processes

We characterize the value function and the optimal stopping time for a large class of optimal stopping problems where the underlying process to be stopped is a fairly general Markov process. The main result is inspired by recent findings for Lévy processes obtained essentially via the Wiener–Hopf factorization. The main ingredient in our approach is the representation of the β$\beta$-excessive functions as expected suprema. A variety of examples is given.     

对称乘积泛函的变换

In the present paper the transformation of symmetricMarkov processes by symmetric martingale multiplicative functionals is studied and the corresponding Dirichlet form is formulated.     

Aggregation of Markov processes: Axiomatization

We give two simple axioms that characterize a simple functional form for aggregation of column stochastic matrices (i.e., Markov processes). Several additional observations are made about such aggregation, including the special case in which the aggregated process is Markovian relative to the original one.     

Excessiveness of harmonic functions for certain diffusions

In an earlier paper⁽⁴⁾ the author has shown that a diffusion process whose potential kernel satisfies certain analytic conditions has all of its excessive harmonic functions, which are not identically infinite, continuous. This paper shows that under these conditions (concerning its potential kernel), the excessiveness of its nonnegative harmonic functions isautomatic.     

A probabilistic approach to positive harmonic functions in a slab with alternating Dirichlet and Neumann boundary conditions

Let , , be a dimensional slab. Denote points by , where and . Denoting the boundary of the slab by , let

where is an ordered sequence of intervals on the right half line (that is, b_{n}$">). Assume that the lengths of the intervals are bounded and that the spaces between consecutive intervals are bounded and bounded away from zero. Let . Let and denote respectively the cone of bounded, positive harmonic functions in and the cone of positive harmonic functions in which satisfy the Dirichlet boundary condition on and the Neumann boundary condition on .

Letting , the main result of this paper, under a modest assumption on the sequence , may be summarized as follows when :

1. If , then and are both one-dimensional (as in the case of the Neumann boundary condition on the entire boundary). In particular, this occurs if with 2$">.

2. If and , then and is one-dimensional. In particular, this occurs if .

3. If , then and the set of minimal elements generating is isomorphic to (as in the case of the Dirichlet boundary condition on the entire boundary). In particular, this occurs if with .

When , as soon as there is at least one interval of Dirichlet boundary condition. The dichotomy for is as above.

     

Coupling, convergence rates of Markov processes and weak Poincaré inequalities

Some analytic and probabilistic properties of the weak Poincaré inequality are obtained. In particular, for strong Feller Markov processes the existence of this inequality is equivalent to each of the following: (i)the Liouville property (or the irreducibility); (ii) the existence of successful couplings (or shift-couplings); (iii)the convergence of the Markov process in total variation norm; (iv) the triviality of the tail (or the invariant)σ-field; (v) the convergence of the density. Estimates of the convergence rate in total variation norm of Markov processes are obtained using the weak Poincaré inequality.     

Time changes of symmetric Markov processes and a Feynman-Kac formula

We prove a Feynman-Kac formula in the context of symmetric Markov processes and Dirichlet spaces. This result is used to characterize the Dirichlet space of the time change of an arbitrary symmetric Markov process, completing work of Silverstein and Fukushima.     

On Dirichlet and Neumann problems for harmonic functions

The aim of the paper is to examine some aspects of the boundary value problems for harmonic functions in half-spaces related to approximation theory. M. V. Keldyshmentioned curious fact on richness in some sense of the solutions of Dirichlet problem in upper half-plane for a fixed continuous boundary data on the real axis. This can be considered as a model version for the Dirichlet problem with continuous boundary data, defined except a single boundary point, with no restrictions imposed on solutions near that point.Some extensions and multi-dimensional versions of Keldysh’s richness are obtained and related questions on existence, representation and richness of solutions for the Dirichlet and Neumann problems discussed.     

On roughly transitive amenable graphs and harmonic Dirichlet functions

We introduce the notion of rough transitivity and prove that there exist no non-constant harmonic Dirichlet functions on amenable roughly transitive graphs.