《revuz measures and time__ changes》.pdf

Math. Z. 199,233-256 (1988) Mathematische Zeitschrift 9 Springer-Verlag 1988 Revuz Measures and Time Changes* P.J. Fitzsimmons and R.K. Getoor Department of Mathematics, C-012, University of California, San Diego, La Jolla, California 92093, USA I. Introduction Let X = (Xt, W) be a right Markov process with state space E, and let A = (At) be a finite continuous additive functional of X. U p o n time-changing X by means of A we obtain the right process )~=(X~(o: t0), where z(t)=inf{s: Ast}. Of course, the state space of ~ is F, the fine support of A. Given an X-excessive measure m, there is a naturally associated )~-excessive measure, the Revuz mea- sure of A relative to m, defined by (1.1) v~(f)=limt-l P f o X s d A . t$O As is evident from (1.1), the mapping mw-~v] is additive, positive homogeneous, and order preserving. The mapping m~--~v~ is not injective - v] is unchanged if m is replaced by its balayage on F. Owing to our insistence that an excessive measure be a-finite, mw-~v~ is not even surjective. However, given a target X-excessive mea- sure 2, one can define a (minimal) measure rnz with the following two properties: (i) if mz is a-finite then it is X-excessive and 2= v A , m~. (ii) if m ~ is not a-finite then the equation 2 = v~ admits no X-excessive measure m as solution. The above solution of the problem of inverting m~--~v~ i