Dedicated to Professor Nicu Boboc on the occasion of his 80th birthday

ON

S -SUBORDINATION

AND APPLICATIONS

TO ENTRANCE LAWS

MOHAMED HMISSI and KLAUS JANSSEN

Let U and V be two sub-Markovian resolvents of kernels such that V is S subordinated to U, i.e. each U-excessive function is V-excessive. Based on results
of J. Steens, we prove that the energy functional of V is partially induced by
the one of U by some sort of projection. As application, we solve the so called
Bochner subordination problem for entrance laws in complete generality.

AMS 2010 Subject Classication: Primary: 60J35. Secondary: 60J40, 60J45,

31D05.
Key words: resolvent of kernels, semigroup of kernels, excessive function, excessive measure, energy functional, S -subordination, Bochner subordination, entrance law, exit law.

1.

INTRODUCTION

Let U := (Up ) and V := (Vp ) be two transient sub-Markovian resolvents

of kernels on a Lusin measurable space (E, E). V is said to be S -subordinated
to U if each U-excessive function is V-excessive. This notion, introduced in
[22], generalizes classical subordinations: Subordination by killing (Kac subordination), subordination in the sense of Bochner, time change, etc. For L
evy
processes, S -subordination is equivalent to the subordination in the wide sense
introduced in [31].
The aim of this paper is to study some consequences of the S -subordination
for the energy functional. As application, we solve the so-called Bochner subordination problem for entrance laws.
Let L (resp. M ) be the energy functional dened by U (resp. V). Under
general hypotheses on U, we prove rst that, if V is S -subordinated to U then,
for each suciently nite V-excessive measure m, there exists a unique Uexcessive measure l := (m) such that

M (m, u) = L(l, u)
REV. ROUMAINE MATH. PURES APPL.

59

(2014), 1, 105121

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Mohamed Hmissi and Klaus Janssen

for each U-excessive function u (c.f. Theorem 6). This result is in fact a
consequence of a representation Theorem of J. Steens [34]. Moreover, if the
cone of U-excessive functions is rich enough and is stable by Vp , p > 0, we prove
the injectivity of the operator (cf. Proposition 9).
Suppose that U is the resolvent of a measurable sub-Markovian semigroup
P. A P-entrance law is a family (t )t>0 of -nite measures on E satisfying
t Ps = s+t . Let PR be the subordinated of P by means of a Bochner subordi
nator , i.e. Pt = 0 Ps t (ds). As application we prove, under some natural
niteness assumptions that each P -entrance law (t )t>0 is subordinated to a
unique P-entrance law (t )t>0 , by means of , i.e.
Z
t =
s t (ds),
t>0
0

(cf. Theorem 12). Using strong duality, we deduce a similar result for P exit laws whenever P is absolutely continuous with respect to a xed -nite
measure (cf. Corollary 15).
2.

REPRESENTATION BY THE ENERGY FUNCTIONAL

In the following, we refer to [5, 9, 13, 16, 30] for notations and results in
potential theory associated with resolvents and semigroups.
2.1.

Excessive structure

In the sequel, E denotes a Lusin measurable space equipped with its Borel
-eld E . We denote by pE the cone of positive numerical measurable functions
on E and by Mea the cone of -nite positive measures
on E . For Mea
R
and f pE , we use sometimes the notation (f ) := f (x)(dx).
A kernel on E is a mapping K : E E [0, ] such that (a) x K(x, B)
is measurable for each B E , (b) B K(x, B) is a (positive) measure on E ,
for each x
R E . In this case, K acts to the right on pE and to the
R left on Mea by
Kf (x) := f (y)K(x, dy) for f pE, x E and mK(B) := K(x, B) m(dx)
for m Mea, B E (note that mK is not necessarily -nite). Denote by
S(K) := {u pE : Ku u}. K is said to be sub-Markovian if 1 S(K).
A (sub-Markovian) resolvent on E is a family U := (Up )p0 of kernels on
(E, E) such that pUp is sub-Markovian, Up Uq = Uq Up and Up = Uq +(qp)Up Uq
for q > p 0. We denote by U := U0 := sup Up the potential kernel of U.
In this paper, we will suppose mostly that the kernel U is proper, i.e.
there exists a strictly positive function f0 pE such that U f0 < .

On S -subordination and applications to entrance laws

107

Remember that a set N E is called of potential zero if U 1N = 0. We

say that some property holds U -a.e. if this property holds except on a set of
potential zero.
Let U be a resolvent on E with proper potential kernel U .
A U -a.e. nite function u pE is called U-excessive if pUp u u as
p . If in addition, pUp u 0, U -a.e. as p 0, u is said to be U-purely
excessive. If pUp u = u for each p > 0 then u is called U-invariant. Note that
for f pE , the function U f is U-purely excessive whenever it is U -a.e. nite.
We denote respectively by S(U), S0 (U), I(U) the convex cone of U-excessive,
U-purely excessive, U-invariant functions.
In the same way, a -nite measure m Mea is called U-excessive if
pmUp m as p . If in addition, pmUp (f ) 0 for some strictly positive
f pE as p 0, m is said to be U-purely excessive. If pmUp = m for each p > 0
then m is called U-invariant. We denote by Exc(U), Pur(U), Inv(U) the convex
cone of U-excessive, U-purely excessive, U-invariant measures, respectively.
Given Mea, the measure U is U-purely excessive if it is -nite. In
this case, U is said to be the potential of the measure . We denote by Pot(U)
the convex cone of potential measures.
Let us recall the Riesz decomposition (cf. [13], XII, 37)
M
(1)
Exc(U) = Pur(U)
Inv(U)
and Hunt's approximation theorem (cf. [13], XII, 38) namely,
(2)
Exc(U) = {sup n U Mea : (n ) Mea, n bounded, (n U ) is increasing }

Remark 1. Often (but not always) a resolvent U on E is dened from a

measurable semigroup P on E , i.e.
Z
(3)
Up =
exp(pt)Pt dt,
p 0,
0

where P := (Pt )t>0 is a family of sub-Markovian kernels on (E, E) such that

Ps Pt = Ps+t for s, t > 0 and (t, x) Pt f (x) is measurable for each f pE .
The present paper is based on a representation result of J. Steens [34],
which we present in the following.
2.2.

Representation theorem of Steens

For a resolvent U with proper potential kernel U , we recall rst the notion
of energy functional introduced by Meyer (cf. [13] XII, 39). Namely the function
L : Exc(U) S(U) [0, ] dened by
(4)

L(l, u) := sup{(u) : U Pot(U), U l}

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Mohamed Hmissi and Klaus Janssen

We use freely the basic properties of this functional as developed in [13]

(cf. also [5, 16]).
The following fundamental result is proved in ([34], Corollary 2.5)
Theorem

2. Let U be a resolvent on E , with proper kernel U and such

that U 1 > 0.
1. For each m Exc(U), the mapping v L(m, v) is a positive increasing
linear functional on S(U) which is continuous from below and satises
L(m, v0 ) < for some strictly positive v0 S(P).
2. Conversely, every positive increasing linear functional : S(U) [0, ]
which is continuous from below and satises (v0 ) < for some strictly
positive v0 S(U), is given by L(m, .) for some unique m Exc(U).
3.

STABILITY BY S -SUBORDINATION

Let U and V be two resolvents on E . We say that V is S -subordinated

to U if each U-excessive function is V-excessive, i.e. S(U) S(V). This
notion is introduced recently in [22]. As a rst fundamental application, it is
proved in [22] that S -subordination preserves unicity of charges and solidness
of potentials. Combining this with a characterization of J. Steens [33], it is
deduced in [22] that, if V is S -subordinated to a resolvent U of a right process
then V itself is associated with a right process (cf. more comments about this
result at the end of the following Example 4).
3.1.

Examples

1. A trivial example: Let V := (Vp ) be the resolvent given by

(5)

Vp :=

c
I,
1 + pc

p 0,

for the identity kernel I on E and an arbitrary strictly positive and nite
function c pE . Then V is S -subordinated to every resolvent U with proper
potential kernel on E .
2. Another trivial example: Let U be a resolvent on E , let p0 ]0, [
and let V := (Vp ) be the resolvent dened by Vp := Up+p0 , p 0. Then V is
S -subordinated to U.
3. Subordination by killing: Let U and V be two resolvents on E such
that Vp Up for p 0, U 1 > 0 and V 1 > 0. Then V is S -subordinated to U
(cf. [5, 9, 15, 30]).

On S -subordination and applications to entrance laws

109

a) If U is associated with a right process (Xt ), then it is known that V

is associated with a right process (Yt ) obtained by killing (Xt ) by some nice
multiplicative functional.
It is well known, that under some regularity assumptions we have Vp Up
for all p 0 if and only if we have U = V +P U for some subordination operator
P (cf. [5, 10]).
A special case is the Kac-subordination where P = Uh (h.) for some suciently nite strictly positive h and V = Uh (c.f. [2, 5, 10]).
If there is a nice Markov process (Xt ) associated with U, then the subordination operator P is determined by some multiplicative functional (Mt )
(cf. [5, 9, 30]), and the associated semigroup is given by Qt f (x) = Ex (f Xt Mt )
for t 0, x E and f pE (E denotes the usual expectation).
Rt
In the special case of Kac-subordination we have Mt = exp( 0 h
Xs ds), t 0. Example 2 is the special case where h is constant.
b) It may happen that V is associated with a right process, but U is only
such that E
\ E is of
associated with a right process on a bigger state space E
potential zero for U . Such examples appear in the context of full-superharmonic
structures (cf. [26, 27, 29]). Typical examples for this are (killed) Brownian
motion and (killed) reected Brownian motion.
4. Subordination in the sense of Bochner: Let := (t )t0 be a Bochner
subordinator, that is is a convolution semigroup of subprobability measures
on R+ such that t 0 weakly for t 0.
For the following notions, we will refer to R[3] and [19]. is said to be of (K)
type if the associated potential measure := 0 t dt is absolutely continuous.
In this case we may write (dt) = g(t) dt where g :]0, [ R is completely
monotone (i.e. g is a C -function and (1)n g (n) 0 for all integers n N).
Moreover, g is integrable at 0 and
Z
(6)
p (dt) :=
exp(pt)t dt = gp (t) dt,
p > 0,
0

where gp is also a completely monotone and integrable function on ]0, [, for

each p > 0. Therefore, gp is the Laplace transform of a positive measure p on
]0, [ such that
Z
1
(7)
p ({0}) = 0 and
p (ds) 1/p,
p > 0.
s
0

(8)

Now, let U be a resolvent on E . The family U := (Up )p>0 dened by

Z

Up :=
Us p (ds),
p>0
0

is a resolvent on E with proper potential kernel U (cf. [19]). U is the

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Mohamed Hmissi and Klaus Janssen

subordinated resolvent to U by means of in the Bochner sense. Moreover, it

can be veried using Fatou's Lemma that U is S -subordinated to U.
Suppose that U is the resolvent of a semigroup P on E . For any Bochner
subordinator (not necessary of (K)-type) we may dene P the subordinated
semigroup of P by means of in the Bochner sense, namely
Z

(9)
Pt f :=
Ps f t (ds),
t 0, f pE
0

(cf. [3] and related references therein). In this case U is always dened (as
resolvent of P ).
If U is associated with a right process (Xt ) and if := (t ) is an independent right process associated with on R+ , then (Xt ) is a right process associated with U under some regularity assumptions according to [11]
and [20].
This result is recently proved in [28] (Theorem 3.3) for general Bochner
subordination without any regularity assumption. In fact, for Bochner subordination, Theorem 3.3 of [28] improves and completes Theorem 3 of [22] by
using essentially the same arguments namely Steens's characterization of right
processes in [33].
Notice that the rst and second examples are particular cases of subordination in the Bochner sense.
Repeating the above subordination procedures gives new S -subordinated
semigroups provided the corresponding potential kernels are proper. Moreover,
one may piece together dierent subordinations in dierent subsets of E to
obtain new S -subordinations.
5. Time change: Let U and V be two resolvents on E with proper potential kernels associated with right processes (Xt ) and (Yt ). If S(U) = S(V),
then hitting distributions for both processes coincide, and consequently (Xt )
is obtained from (Yt ) by a time change determined by some strict continuous
additive functional (cf. [9]).
In particular, if U is a resolvent and if 0 < h < in pE is suciently
nite, then V : f U (hf ) is the potential kernel of a resolvent V such that
S(U) = S(V).
Notice that time changes of L
evy processes arise in many interesting applications in option pricing (cf. [12]).
6. Subordination in the wide sense for L
evy processes: Let U and V be two
resolvents on E = Rd with proper potential kernels associated with (transient)
L
evy processes (Xt ) and (Yt ). LetR (t )t0 and (t )t0
R be the associated con
volution semigroups and let := 0 t dt and := 0 t dt be the associated
potential measures. Moreover, let S and T be the L
evy generator of (t )t0

On S -subordination and applications to entrance laws

111

and (t )t0 . Following [31], S(U) S(V) if and only if one of the following
equivalent assertions holds
1. Exc(U) Exc(V).
2. is a quotient of , i.e. there exists Mea such that = .
3. S is a quotient of T , i.e. there exists Mea which tends to 0 at innity
such that S = T .
4. (Yt ) is subordinated to (Xt ) in the wide sense (cf. [31] for the detailed
denition).
7. Subordinated killed and killed subordinated Brownian motions. For this
example, we refer to [32] and related references therein.
Let (Xt ) be a d-dimensional Brownian motion in Rd , let (t ) be an /2stable independent subordinator starting at zero, 0 < < 2 and let D be a
domain in Rd . Let (Yt ) be the subordinated process (in the Bochner sense)
to (Xt ) with respect to (t ), that is Yt = Xt , t 0. Then the process (YtD )
obtained by killing (Yt ) upon exiting D, is the so-called killed subordinated
Brownian motion in D.
On the other hand, the subordinated killed Brownian motion (ZtD ) in D
is obtained as follows: We rst kill the Brownian motion (Xt ) at the rst exit
time of (Xt ) from D to obtain (XtD ) and then we subordinate the process (XtD )
using the /2-stable subordinator (t ).
Let (t, x, y) 7 q(t, x, y) (resp. (t, x, y) 7 r(t, x, y)) the transition density
of the process (YtD ) (resp. (ZtD )). Following [32],
(10)

r(t, x, y) q(t, x, y),

t > 0, x, y D

In particular,
is S -subordinated to (YtD ). This is a special case of
Exemple 3.
8. A dierent example: We have no idea if there is a general description of
S -subordination. As an example which is completely dierent from the above
examples (which are all related to some killing and time change) we mention
the following resolvents on E := [0, 1[: V is the resolvent of uniform motion to
the right on E , and U is the resolvent associated with Brownian motion on E ,
reected at zero and killed at the exit at 1. Then S(V) is the convex cone of
all l.s.c. decreasing and positive functions on E whereas S(U) = {u S(V) :
u is concave }.

(ZtD )

3.2.

Two useful results

Let U be a resolvent on (E, E) with proper kernel U . The resolvent U (or

its potential kernel U ) is said to satisfy the principle of unicity of charges, if
for some , Mea, U = U Pot(U) then = .

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Mohamed Hmissi and Klaus Janssen

The following result is proved in [22] (cf. Theorem 1).

Lemma 3. Let U and V be two resolvent on (E, E) with proper kernels U
and V and such that V is S -subordinated to U. Then the principle of unicity of
charges holds for V when it holds for U.

Remark 4. Let U be a resolvent on (E, E) and let u be a xed strictly

positive nite U-excessive function. For f pE and p 0, let
1
(11)
Up/u f := Up (uf ).
u
/u

Then U/u := (Up )p0 is a resolvent on E such that 1 is U/u -excessive.

Moreover, the associated potential kernel is given by
1
(12)
U /u f = U (uf ),
f pE
u
where U is the potential kernel of U. U/u is called u-transform of U in the Doob
sense.
The proof of the following useful Lemma is obvious since S(U/u ) = { uv :
v S(U)}.
Lemma 5. Let U and V be two resolvents on (E, E) such that V is S subordinated to U. Then for each strictly positive nite function u S(U), the
resolvent V/u is S -subordinated to U/u .

3.3.

The main result

Let U and V be two resolvents on E with proper potential kernels U and

V , respectively. We denote by L and M the energy functional dened by U
and V, respectively. In this paragraph, we suppose that V is S -subordinated
to U.
Let
(13)

Dom(V, U) := {m Exc(V) : M (m, u) < for some u > 0 in S(U)}.

Theorem

Exc(U) such that

(14)

6. For each m Dom(V, U), there exits a unique (m)

M (m, u) = L((m), u),

u S(U).

Moreover:
1. If for (n ) Mea, we have n V m then n U (m). In particular, if
V Dom(V, U) then
(15)

M (V, u) = L(U, u),

i.e. (V ) = U .

u S(U),

On S -subordination and applications to entrance laws

113

2. If K is a kernel on E which commutes with U and V and S(U) S(K),

then mK Dom(V, U) and
(16)

M (mK, u) = L((m)K, u),

u S(U),

Proof. Let m Dom(V, U). Inserting a suitable strictly positive density

into the potential kernels and making a suitable Doob transformation (cf. Remark 4 and Lemma 5), we may assume that U 1 1, V 1 1, M (m, 1) <
and 1 S(U).
By Theorem 2 the mapping
(17)

: u M (m, u),

u S(V)

is a positive increasing linear functional which is continuous from below. Consequently, the restriction of to S(U) also has these properties, and (1) =
(1) < . Again, by Theorem 2 we conclude the existence of a unique
l := (m) Exc(U) such that
(18)

(u) = L(l, u),

u S(U).

Moreover, by (17) and (18) we have for u S(U)

(19)

M (m, u) = (u) = (u) = L(l, u).

1. Let (n ) Mea such that n V m. Then, for each u S(U) we have

(20)

n (u) = M (n V, u) M (m, u) = L(l, u).

Hence, n U l by taking in (20) U f instead of u for all f pE .

If we apply the preceding result for n = and m = V , we deduce that
(V ) = U .
2. Let K be a kernel on E such that U K = KU , V K = KV and
S(U) S(K). There exists by Hunt's approximation (2) a sequence of bounded
measures (n ) Mea such that m = sup n V . Thus,
(21)

mK = (sup n V )K = sup n V K = sup n KV.

However, since 1 S(U) we have K1 1 and therefore (n K) is a

sequence of bounded measures. Hence, mK Exc(V) by (2) again.
Now, let m Dom(V, U) and let u S(U), u > 0 such that M (m, u) < .
Since Ku u, we get

> M (m, u) = M (sup n V, u) = sup n (u) sup n (Ku)

= sup M (n KV, u) = sup M (n V K, u) = M (mK, u).
Consequently, mK Dom(V, U). Using similar arguments, for u S(U),
we get
M (mK, u) = sup n K(u) = sup L(n KU, u)

= sup L(n U K, u) = L((m)K, u),

which proves (16).

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Mohamed Hmissi and Klaus Janssen

10

Remark 7. In general, is not dened on the whole cone Exc(V). For

example: Let U (resp. P) be the resolvent (resp. semigroup) of a transient
convolution semigroup on Rd (cf. [3] for details). Let p0 > 0, Vp := Up+p0 for
p 0 and V := (Vp ) (cf. Example 2.1.2). Since the Lebesgue measure m is
U-invariant then m = p0 mUp0 = p0 mV = V for = p0 m.
Now, if (m) is dened then (m) = (V ) = U . However, m is
P-invariant, hence,
Z
(22)
U (f ) = p0 mPt f dt = m(f ).
Therefore, U is not -nite.

Example 8. Let U be a resolvent on E and p0 > 0; let Vp := Up+p0 for

p 0. From Theorem 6 we know that for m0 Dom(V, U) there exists a
unique m Exc(U) such that
(23)

L0 (m0 , u) = L(m, u),

u S(U),

where L0 and L denote the energy functionals associated with V and U, respectively. We have
(i)

(24)

(ii)

m = m0 + p0 mUp0 = m0 + p0 m0 U.

More generally, if V is obtained from U by general subordination by killing

by a subordination operator P , then for m0 Dom(V, U) there exists a unique
m Exc(U) such that (23) holds and we have m = m0 + mP . In the special
case of Kac-killing by h pE this reads m = m0 + mUh (h.). To obtain
P the
equation corresponding to (ii) we need the assumption U = QV for Q =
Pn
and then we have m = m0 Q corresponding to (ii).

n0

For the applications, we need to prove the injectivity of the operator

dened by Theorem 6. For this aim, some additional (but natural) assumptions
are necessary. In fact, the proof of the following result is based on remarks in
[4] and the results in [7], p. 858. In [7] the reader may also nd some details
concerning Ray-compactications, c.f. also [5, 6, 15].
9. Suppose that
(i) S(U) is inf-stable and generates the -algebra E .
(ii) For u S(U) we have Vp u S(U) for p > 0.
Let m1 , m2 Dom(V, U) such that
Proposition

(25)

M (m1 , u) = M (m2 , u)

u S(U).

Then m1 = m2 .
In particular, the operator : Dom(V, U) Exc(U) is injective.

11

On S -subordination and applications to entrance laws

115

Proof. Let m1 , m2 Dom(V, U) such that (25) holds. By putting suitable densities into the potentials kernels and measures, and by taking suitable Doob's transformations we may assume 1 S(U), U 1 + V 1 is bounded,
m1 (1) + m2 (1) < , and M (m1 , 1) < 1.
Let R0 be the Ray cone with respect to U of bounded U-excessive functions. We augment it to a Ray cone R with respect to V by iterating the
following procedure: apply nitely many of the kernels Vpi , take nite inma
and generate convex cones. Due to assumption (ii) we see that R is a common
Ray cone for U and V consisting of U-excessive functions.
the Ray compactication of E with respect to R then
If we denote by E
the energy functionals M (mi , .) (for i = 1, 2) are represented on R by the
, hence,
integral with respect to a unique measure on the non-branch points of E
m1 = m2 .
Now, let m1 , m2 Dom(V, U) such that (m1 ) = (m2 ). Then by (14)
we get
(26)

M (m1 , u) = L((m1 ), u) = L((m2 ), u) = M (m2 , u)

u S(U).

Hence, (25) is satised and therefore m1 = m2 by the rst part of the

Proposition. 
4.

APPLICATIONS TO EXIT AND ENTRANCE LAWS

From now, we consider a resolvent U dened by a measurable semigroup

P on (E, E) such that
1. The associated potential kernel U is proper and satises the principle of
unicity of charges.
2. The cone S(U) of U-excessive functions is inf-stable and generates E .
4.1.

An application to entrance laws

A P-entrance law is a family (t )t>0 in Mea satisfying

(27)

s Pt = s+t ,

s, t > 0.

that
R Let us denote by Ent(P) the cone of P-entrance laws (t ) Rsuch

0 t dt is -nite. It can be easily seen that, if Ent(P) then 0 t dt

P ur(U). Conversely, we have the following result.
Theorem 10. For each l Pur(U), there exists a unique P-entrance law
Ent(P) such that
Z
(28)
l =
t dt.

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Mohamed Hmissi and Klaus Janssen

12

This integral representation was proved in [25] (cf. also [14, 18] for other
versions under some regularity assumptions).
In fact, l Pur(U) admits a integral representation by entrance laws if
and only if there exists a family (t ) of Mea such that
(29)

l Pt = t U,

t > 0.

The proof is based on the unicity of charges principle (cf. [25], Proposition).
Let := (t ) be a Bochner subordinator. We denote by P the subordinated semigroup of P by means of (cf. relation (9)). Moreover, U and U
denote of the resolvent of P and P and U and U the associated initial kernels,
respectively.
If (t ) is a P-entrance law then the family (t ) dened by
Z

(30)
t :=
s t (ds),
t>0
0

P -entrance

is a
law whenever it is -nite. It is also said to be subordinated
to (t ) by means of .
The Bochner subordination problem for entrance laws consists of the converse: Is a given P -entrance law subordinated to some P-entrance law?
In order to prove the converse, we need rst the following characterization.
The proof is obtained by routine calculus.
11. Let (t ) Ent(P ) a P -entrance law and let m :=
0 t dt. Then (t ) is subordinated to a (unique) P-entrance law by means of
if and only if there exists a family (t ) of Mea such that

Proposition

(31)

m Pt = t U ,

t>0

Proof. Suppose that (t ) is subordinated to a P-entrance law (t ) and let

t > 0. Then (30) and (27) yield
Z
Z Z
m Pt = (
s ds) Pt = (
r s (dr) ds) Pt
0
0
Z 0 Z
Z Z
=
r Pt s (dr) ds =
t Pr s (dr) ds
0
0
0
Z
Z 0 Z
= t (
Pr s (dr) ds) = t (
Ps ds) = t U .
0

Conversely, let s, t > 0. By (31) and the semigroup property we have

(32)

s+t U = mPs+t = (mPs ) Pt = s U Pt = (s Pt )U ,

since Pt commutes with U . Hence, (t ) satises the entrance laws equation

(27) by the unicity of charges principle (Lemma 3). Moreover, from (29), (9)

13

On S -subordination and applications to entrance laws

and (31) we deduce for t > 0 that

(33)
Z
Z

mPs t (ds) =
t U = mPt =
0

s U t (ds) = (

117

s t (ds)) U .

Therefore, (t ) is subordinated to (t ) by Lemma 3 again.

Let L and L be the energy functionals dened by U and U , respectively.

We denote by
Z
(34)
Ent(P ) := {(t ) Ent(P ) :
t dt Dom(U , U)}.
0

12. Any P -entrance law in Ent(P ) is subordinated to a

unique P-entrance law in Ent(P) by means of .
R
Proof. Let (t ) Ent(P ) and let m := 0 t dt. There exists by
Theorem 6, a unique l Pur(U) such that l = (m) and
Theorem

(35)

L (m, u) = L(l, u),

u S(U).

Then l = 0 t dt for some unique P-entrance law (t ).

Since each Pt commute with U and U , we have by (16) and (35) that
(36)

L (mPt , u) = L(lPt , u),

u S(U), t > 0.

Using successively (15), (29) and (36) we get

(37)

L (t U , u) = L(t U, u) = L(lPt , u) = L (mPt , u),

u S(U), t > 0.

Since the resolvents U and U commute, Proposition 9 implies that

(38)
of .
give
(39)

t U = mPt ,

t > 0.

We conclude by Proposition 11 that (t ) is subordinated to (t ) by means



Remark 13. Since each Up commute with U and with U , (16) and (35)
L (m(pUp ), u) = L(l(pUp ), u),

u S(U), p > 0.

We deduce easily from (39) that l = (m) Pur(U) whenever m

Pur(U ). Hence, by the Riesz decomposition (1) and the additivity of L , we
can see that l = (m) Inv(U) if m Inv(U ). The two last conclusions hold
for general S -subordination if Vp commutes with U for all p > 0.

118

Mohamed Hmissi and Klaus Janssen

4.2.

14

An application to exit laws

be two measurable semigroups on E , which are in strong dualLet P and P

ity with respect to a -nite xed measure m Mea, and absolutely continuous
with respect to m. That is
Z
Z
(40)
gPt f dm =
f Pt g dm,
t > 0, f, g pE
E

and all measures Pt (x, .), Pt (x, .) : t > 0, x E are absolutely continuous with
respect to m.
A P-exit law is a family (ft )t>0 of m-a.e. nite in pE satisfying
(41)

Pt fs = fs+t ,

s, t > 0

R
We denote by E(P)
the
cone
of
all
P
-exit
laws
(f
)
for
which
t
0 ft dt is m-a.e.
R
nite. Obviously, 0 ft dt S0 (U) if it is U -a.e. nite.
For absolutely continuous semigroups we have the following useful result.
Lemma

14. The map

: E(P) Ent(P)
(ft ) (ft m)

is one-to-one.
Proof. The proof uses standard arguments and is adapted from [23] (cf.
also related references therein). By the strong duality relation (40), it is obvious
whenever (ft ) E(P). Conversely, let (t ) be a Pthat (ft m) Ent(P)
R
entrance laws such that 0 t dt is -nite. Since each kernel Pt , t > 0 is
absolutely continuous with respect to m then so is each measure s Pt , s, t > 0.
We deduce from (27) that all measures t , t > 0 are absolutely continuous with
respect to m. Let (ht ) pE such that t = ht m, t > 0. Using (40), (27)
becomes (m-a.e. means almost everywhere with respect m)
(42)

hs+t = Ps ht

m a.e.,

s, t > 0

Fix (tk ) 0. For 0 < tk < tl < t we have

(43)

ftk := Pttk htk = Pttl +tl tk htk = Pttl Ptl tk htk = Pttl htl = ftl .

This is immediate from (42) since the semigroup P is absolutely continuous

with respect to m.
Hence, ft := ftk is well dened, ft = ht m-a.e (hence, ft is a density of t )
and (ft )Ris a P-exit law (in fact the unique one such that t = ft m, t > 0).

Finally, R0 ft dt is U -a.e. nite since it is m-a.e nite (as density of the -nite

measure 0 t dt) and U is absolutely continuous with respect to m. 

15

On S -subordination and applications to entrance laws

119

) be the
Let := (t ) be a Bochner subordinator and let P (resp. P
) by means of . Let (ft ) be a P-exit law
subordinated semigroup of P (resp. P

and dene (ft ) by

Z

fs t (ds),
t > 0.
(44)
ft :=
0

(ft )

Then
is a
law. As for entrance laws, (ft ) is said to be
subordinated to (ft ) by means of . Conversely, denote
Z
(45)
E(P ) := {(gt ) E(P ) :
gt m dt Dom(U , U)}.

P -exit

15. Any
P-exit law by means of .
Corollary

P -exit

law in E(P ) is subordinated to a unique

Proof. Let (gt ) be a P -exit law and let (gt m) be the associated P

entrance law by Lemma 14. There exists, by Theorem 12, a unique P-entrance
law (t ) such that
(46)

gt m = t ,

t > 0.

On the other hand, there exists by Lemma 14, a unique P-exit law (ft )
such that
(47)

s = fs m,

s > 0.

After integrating (47) with respect to t , t > 0 we get

(48)

t = ft m,

t > 0.

Let t > 0. It follows from (46) and (48) that

(49)

gt/2 (x) = ft/2

(x),

x At

for some At E with m(At ) = 0.

Now, since P is absolutely continuous with respect to m then so is P .
Thus, we conclude by (49) and (27) that
(50)

gt = Pt/2 gt/2 = Pt/2 ft/2

= ft .

Remark 16.
1. By Corollary 15, we solve the Bochner subordination
problem for absolutely continuous semigroups. This result is proved in
[21] under some integrability hypothesis on the common density of P and
. Note that Theorem 12 and Corollary 15 seem to be new even for killed
P
Brownian motions.
2. For general semigroups, some additional assumptions are needed in order
to obtain a positive response for this problem. We refer the reader to [1]
where non-trivial examples and counter examples are given and to [24]
where a general characterization is proved.

120

Mohamed Hmissi and Klaus Janssen

16

We thank L. Beznea for his remarks [4] which helped us to prove

the injectivity of the operator (i.e. Proposition 9), cf. also [6].

Acknowledgments.

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Received 8 Novembeber 2013

Universit
e de Tunis Elmanar,

D
epartement de Math
ematiques,
Facult
e des Sciences de Tunis,
TN-2092 Elmanar,
Tunis, Tunisia
Med.Hmissi@fst.rnu.tn
Universit
at D
usseldorf,
Mathematisches Institut,
Mathematisch-Naturwissenschaftliche Fakult
at,
Universit
atsstrasse 1,
D-40225 D
usseldorf,
Germany
janssenk@uni-duesseldorf.de