Strong Feller semigroups and Markov processes: a counterexample

Lucian Beznea1,2, Iulian Cîmpean1,3, Michael Röckner4,5
1Simion Stoilow Institute of Mathematics of the Romanian Academy, Bucharest, Romania
2University Politehnica of Bucharest, Bucharest, Romania
3Faculty of Mathematics and Computer Science, University of Bucharest, Bucharest, Romania
4Fakultät für Mathematik, Universität Bielefeld, Bielefeld, Germany
5Academy for Mathematics and Systems Science, CAS, Beijing, China

Tóm tắt

The aim of this note is to show, by providing an elementary way to construct counterexamples, that the strong Feller and the joint (space-time) continuity for a semigroup of Markov kernels on a Polish space are not enough to ensure the existence of an associated càdlàg Markov process on the same space. One such simple counterexample is the Brownian semigroup on $${\mathbb {R}}$$ restricted to $${\mathbb {R}}\setminus \{0\}$$ , for which it is shown that there is no associated càdlàg Markov process. Using the same idea and results from potential theory we then prove that the analogous result with càdlàg Markov process replaced by right Markov process also holds, even if one allows to change the Polish topology to another Polish topology with the same Borel $$\sigma $$ -algebra.

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