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86 E.B. Dynkin: 3. The Green's Function
86 E.B. Dynkin: 3. The Green's Function
Dynkin
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where P is an operator given by the first formula in (2). (6) is valid also for
n = 0, if P° is taken as the unit operator.
The process is called transient iig{x, y) < <» for arbitrary x and >>.
Copyright @ 1982. Cambridge University Press.
_ (*». y). W
Under the sign of mathematical expectation there stands the number of times
the path hits the pointy. The condition of being transient implies that this
number is almost certainly finite. Thus, for a transient process almost all paths
go only a finite number of times through one and the same state. Hence, if the
states are enumerated in any order, for almost all non-terminating paths the
number of the state tends to infinity.
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Boundary Theory of Markov Processes (The Discrete Case) 87
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The simple random walk considered above has the property: almost all paths
go infinitely often through any point.1 Processes with this property are called
recurrent. It can be proved that every connected Markov process is either
transient or recurrent. (We say that a Markov process is connected if for any two
states x and y there exists n such that pin, x, y) > 0; in other words, if
g(x, y) > 0 for any x and y.) For any recurrent process, as for the simple random
walk, there do not exist non-constant excessive functions. Henceforth, without
saying so each time, we only discuss transient processes.
The Green's function corresponds to the operators
<?/(*)= 2 * ( * . y)f(y),
u
I»G (0 = 2 I* (*)*(*. 0-
X
Am = {x0 ¥= y, xi ¥= y, . . ., * m -i ¥= y, xm = y).
1
See, for example, [ 5 ] . Ch. XIII, §3.
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