Mathematics – Probability
Scientific paper
2006-06-30
Annals of Probability 2006, Vol. 34, No. 3, 1052-1102
Mathematics
Probability
Published at http://dx.doi.org/10.1214/009117905000000657 in the Annals of Probability (http://www.imstat.org/aop/) by the Ins
Scientific paper
10.1214/009117905000000657
Time change is one of the most basic and very useful transformations for Markov processes. The time changed process can also be regarded as the trace of the original process on the support of the Revuz measure used in the time change. In this paper we give a complete characterization of time changed processes of an arbitrary symmetric Markov process, in terms of the Beurling--Deny decomposition of their associated Dirichlet forms and of Feller measures of the process. In particular, we determine the jumping and killing measure (or, equivalently, the L\'{e}vy system) for the time-changed process. We further discuss when the trace Dirichlet form for the time changed process can be characterized as the space of finite Douglas integrals defined by Feller measures. Finally, we give a probabilistic characterization of Feller measures in terms of the excursions of the base process.
Chen Zhen-Qing
Fukushima Masatoshi
Ying Jiangang
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