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Doob
Classical
Potential Theory
and Its Probabilistic
Counterpart
Springer
Classics in Mathematics
Joseph L. Doob Classical Potential Theory
and Its Probabilistic Counterpart
Springer
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Joseph L. Doob
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Joseph L. Doob
University of Illinois
Department of Mathematics
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e-mail: doob@math.uiuc.edu
ISSN 1431-0821
ISBN 3-540-41206-9 Springer-Verlag Berlin Heidelberg New York
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Springer-Verlag
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J. L. Doob
Department of Mathematics
University of Illinois
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987654321
ISBN 0-387-90881-1 Springer-Verlag New York Berlin Heidelberg Tokyo
Contents
Introduction xxi
Part I
Classical and Parabolic Potential Theory
Chapter I
Introduction to the Mathematical Background of Classical Potential
Theory ..................................................... 3
1. The Context of Green's Identity .................................... 3
2. Function Averages ............................................... 4
3. Harmonic Functions .............................................. 4
4. Maximum-Minimum Theorem for Harmonic Functions ............... 5
5. The Fundamental Kernel for R" and Its Potentials .................... 6
6. Gauss Integral Theorem ........................................... 7
7. The Smoothness of Potentials; The Poisson Equation .................. 8
8. Harmonic Measure and the Riesz Decomposition ..................... II
Chapter 11
Basic Properties of Harmonic, Subharmonic, and Superharmonic
Functions ................................................... 14
I. The Green Function of a Ball; The Poisson Integral ................... 14
2. Harnack's Inequality ............................................. 16
3. Convergence of Directed Sets of Harmonic Functions ................. 17
4. Harmonic, Subharmonic, and Superharmonic Functions ............... 18
5. Minimum Theorem for Superharmonic Functions ..................... 20
6. Application of the Operation Tg .................................... 20
7. Characterization of Superharmonic Functions in Terms of Harmonic
Functions ....................................................... 22
8. Differentiable Superharmonic Functions ............................. 23
9. Application of Jensen's Inequality .................................. 23
10. Superharmonic Functions on an Annulus ............................ 24
Il. Examples ....................................................... 25
12. The Kelvin Transformation (N ; 2) ................................. 26
Vi Contents
Chapter III
Infima of Families of Superharmonic Functions .................. 35
I. Least Superharmonic Majorant (LM) and Greatest Subharmonic
Minorant (GM) .................................................. 35
2. Generalization of Theorem I ....................................... 36
3 Fundamental Convergence Theorem (Preliminary Version) ............. 37
4. The Reduction Operation ......................................... 38
5. Reduction Properties ............................................. 41
6. A Smallness Property of Reductions on Compact Sets ................. 42
7 The Natural (Pointwise) Order Decomposition for Positive Superharmonic
Functions . ..................................................... 43
Chapter IV
Potentials on Special Open Sets ................................ 45
1 Special Open Sets, and Potentials on Them ........................... 45
2. Examples ....................................................... 47
3 A Fundamental Smallness Property of Potentials ..................... 48
4. Increasing Sequences of Potentials .................................. 49
5. Smoothing of a Potential .......................................... 49
6. Uniqueness of the Measure Determining a Potential ................... 50
7. Riesz Measure Associated with a Superharmonic Function ............. 51
8 Riesz Decomposition Theorem ..................................... 52
9. Counterpart for Superharmonic Functions on R' of the Riesz
Decomposition .................................................. 53
10. An Approximation Theorem ....................................... 55
Chapter V
Polar Sets and Their Applications .............................. 57
1. Definition ....................................................... 57
2. Superharmonic Functions Associated with a Polar Set ................. 58
3. Countable Unions of Polar Sets .................................... 59
4. Properties of Polar Sets ........................................... 59
5. Extension of a Superharmonic Function ............................. 60
6. Greenian Sets in R2 as the Complements of Nonpolar Sets ............. 63
7. Superharmonic Function Minimum Theorem (Extension of
Theorem 11.5) .................................................... 63
8 Evans- Vasilesco Theorem ......................................... 64
9. Approximation of a Potential by Continuous Potentials ................ 66
10 The Domination Principle ......................................... 67
11 The Infinity Set of a Potential and the Riesz Measure .................. 68
Contents vii
Chapter VI
The Fundamental Convergence Theorem and the Reduction
Operation ................................................... 70
1. The Fundamental Convergence Theorem ............................ 70
2. Inner Polar versus Polar Sets ....................................... 71
3. Properties of the Reduction Operation .............................. 74
4. Proofs of the Reduction Properties .................................. 77
5. Reductions and Capacities ......................................... 84
Chapter VII
Green Functions ............................................. 85
1. Definition of the Green Function GD ................................ 85
2. Extremal Property of GD .......................................... 87
3. Boundedness Properties of GD ...................................... 88
4. Further Properties of GD .......................................... 90
5. The Potential GDµ of a Measure µ .................................. 92
6. Increasing Sequences of Open Sets and the Corresponding Green Function
Sequences ....................................................... 94
7. The Existence of GD versus the Greenian Character of D ............... 94
8. From Special to Greenian Sets ..................................... 95
9. Approximation Lemma ........................................... 95
10. The Function GD(-, DID-1t, as a Minimal Harmonic Function............ 96
Chapter VIII
The Dirichlet Problem for Relative Harmonic Functions ........... 98
1. Relative Harmonic, Superharmonic, and Subharmonic Functions ....... 98
2. The PWB Method ................................................ 99
3. Examples ....................................................... 104
4. Continuous Boundary Functions on the Euclidean Boundary (h =_ 1) .... 106
5. h-Harmonic Measure Null Sets ..................................... 108
6. Properties of PWB"Solutions ...................................... 110
7. Proofs for Section 6 .............................................. III
8. h-Harmonic Measure ............................................. 114
9. h-Resolutive Boundaries ........................................... 118
10. Relations between Reductions and Dirichlet Solutions ................. 122
11. Generalization of the Operator rB and Application to GM" ............. 123
12. Barriers ......................................................... 124
13. h-Barriers and Boundary Point h-Regularity .......................... 126
14. Barriers and Euclidean Boundary Point Regularity .................... 127
15. The Geometrical Significance of Regularity (Euclidean Boundary, h = 1) . 128
16. Continuation of Section 13 ........................................ 130
17. h-Harmonic Measure µD as a Function of D .......................... 131
18. The Extension GD- of GD and the Harmonic Average G8 011 9) When
D c B .......................................................... 132
19. Modification of Section 18 for D = 682 .............................. 136
20. Interpretation of 0D as a Green Function with Pole oo (N = 2) .......... 139
21. Variant of the OperatortB ......................................... 140
Viii Contents
Chapter IX
Lattices and Related Classes of Functions ....................... 141
1. Introduction ..................................................... 141
2. LMD u for an h-Subharmonic Function a ............................ 141
D(Akl)-)
Chapter X
The Sweeping Operation ...................................... 155
1. Sweeping Context and Terminology ................................. 155
2. Relation between Harmonic Measure and the Sweeping Kernel ......... 157
3. Sweeping Symmetry Theorem ...................................... 158
4. Kernel Property of Sr; ............................................. 158
5. Swept Measures and Functions ..................................... 160
6. Some Properties of Si; ............................................. 161
7. Poles of a Positive Harmonic Function .............................. 163
8 Relative Harmonic Measure on a Polar Set .......................... 164
Chapter Xl
The Fine Topology ........................................... 166
I. Definitions and Basic Properties .................................... 166
2. A Thinness Criterion ............................................. 168
3. Conditions That I,' e Af ............................................ 169
4. An Internal Limit Theorem ........................................ 171
5 Extension of the Fine Topology to P" v { oo I ......................... 175
6. The Fine Topology Derived Set of a Subset of RN ..................... 177
7. Application to the Fundamental Convergence Theorem and to Reductions. 177
8 Fine Topology Limits and Euclidean Topology Limits ................. 178
9. Fine Topology Limits and Euclidean Topology Limits (Continued) ...... 179
10. Identification of Af in Terms of a Special Function u` ................. 180
If. Quasi-Lindelof Property .......................................... 180
12. Regularity in Terms of the Fine Topology ........................... 181
13. The Euclidean Boundary Set of Thinness of a Greenian Set ............. 182
14. The Support of a Swept Measure ................................... 183
15. Characterization 183
16. A Special Reduction .............................................. 184
17. The Fine Interior of a Set of Constancy of a Superharmonic Function ... 184
18. The Support of a Swept Measure (Continuation of Section 14) .......... 185
19. Superharmonic Functions on Fine-Open Sets ......................... 187
20. A Generalized Reduction .......................................... 187
Contents ix
Chapter XII
The Martin Boundary ........................................ 195
1. Motivation ...................................................... 195
2. The Martin Functions ............................................ 196
3. The Martin Space ................................................ 197
4. Preliminary Representations of Positive Harmonic Functions and Their
Reductions ...................................................... 199
5. Minimal Harmonic Functions and Their Poles ....................... 200
6. Extension of Lemma 4 ............................................ 201
7. The Set of Nonminimal Martin Boundary Points ..................... 202
8. Reductions on the Set of Minimal Martin Boundary Points ............ 203
9. The Martin Representation ........................................ 204
10. Resolutivity of the Martin Boundary ................................ 207
1. Minimal Thinness at a Martin Boundary Point ....................... 208
12. The Minimal-Fine Topology ....................................... 210
13. First Martin Boundary Counterpart of Theorem XI.4(c) and (d) ........ 213
14. Second Martin Boundary Counterpart of Theorem XI.4(c) ............. 213
15. Minimal-Fine Topology Limits and Martin Topology Limits at a Minimal
Martin Boundary Point ........................................... 215
16. Minimal-Fine Topology Limits and Martin Topology Limits at a Minimal
Martin Boundary Point (Continued) ................................ 216
17. Minimal-Fine Martin Boundary Limit Functions ..................... 216
18. The Fine Boundary Function of a Potential .......................... 218
19. The Fatou Boundary Limit Theorem for the Martin Space ............. 219
20. Classical versus Minimal-Fine Topology Boundary Limit Theorems for
Relative Superharmonic Functions on a Ball in R" .................... 221
21. Nontangential and Minimal-Fine Limits at a Half-space Boundary ...... 222
22. Normal Boundary Limits for a Half-space ........................... 223
23. Boundary Limit Function (Minimal-Fine and Normal) of a Potential on a
Half-space ...................................................... 225
Chapter XIII
Classical Energy and Capacity ................................. 226
1. Physical Context ................................................. 226
2. Measures and Their Energies ...................................... 227
3. Charges and Their Energies ........................................ 228
4. Inequalities between Potentials, and the Corresponding Energy
Inequalities ...................................................... 229
5. The Function 230
6. Classical Evaluation of Energy; Hilbert Space Methods ................ 231
7. The Energy Functional (Relative to an Arbitrary Greenian Subset D of
RN) ............................................................. 233
8. Alternative Proofs of Theorem 7(b') ................................ 235
X Contents
Chapter XIV
One-Dimensional Potential Theory ............................. 256
I. Introduction ..................................................... 256
2. Harmonic, Superharmonic, and Subharmonic Functions ............... 256
3. Convergence Theorems ........................................... 256
4. Smoothness Properties of Superharmonic and Subharmonic Functions.. . 257
5. The Dirichlet Problem (Euclidean Boundary) ......................... 257
6. Green Functions ...................... .......................... 258
7. Potentials of Measures ............................................ 259
8. Identification of the Measure Defining a Potential ..................... 259
9. Riesz Decomposition ............................................. 260
10. The Martin Boundary ............................................ 261
Chapter XV
Parabolic Potential Theory: Basic Facts ......................... 262
I. Conventions ..................................................... 262
2. The Parabolic and Coparabolic Operators ........................... 263
3. Coparabolic Polynomials .......................................... 264
4. The Parabolic Green Function oflt8................................. 266
5. Maximum-Minimum Parabolic Function Theorem .................... 267
6. Application of Green's Theorem ................................... 269
7. The Parabolic Green Function of a Smooth Domain; The Riesz Decom-
position and Parabolic Measure (Formal Treatment) .................. 270
8. The Green Function of an Interval .............................. ... 272
9. Parabolic Measure for an Interval .................................. 273
10. Parabolic Averages ............................................... 275
I. Harnack's Theorems in the Parabolic Context ........................ 276
12. Superparabolic Functions ......................................... 277
13. Superparabolic Function Minimum Theorem ........................ 279
14. The Operation iB and the Defining Average Properties of Superparabolic
Functions ....................................................... 280
5 Superparabolic and Parabolic Functions on a Cylinder ................ 281
16. The Appall Transformation ........................................ 282
17. Extensions of a Parabolic Function Defined on a Cylinder ............. 283
Contents xi
Chapter XVI
Subparabolic, Superparabolic, and Parabolic Functions on a Slab ... 285
1. The Parabolic Poisson Integral for a Slab ............................ 285
2. A Generalized Superparabolic Function Inequality .................... 287
3. A Criterion of a Subparabolic Function Supremum ................... 288
4. A Boundary Limit Criterion for the Identically Vanishing of a Positive
Parabolic Function ............................................... 288
5. A Condition that a Positive Parabolic Function Be Representable by a
Poisson Integral .................................................. 290
6. The and D(jie_) Classes of Parabolic Functions on a Slab ...... 290
7. The Parabolic Boundary Limit Theorem ............................. 292
8. Minimal Parabolic Functions on a Slab ............................. 293
Chapter XVII
Parabolic Potential Theory (Continued) ......................... 295
1. Greatest Minorants and Least Majorants ............................ 295
2. The Parabolic Fundamental Convergence Theorem (Preliminary Version)
and the Reduction Operation ...................................... 295
3. The Parabolic Context Reduction Operations ........................ 296
4. The Parabolic Green Function ..................................... 298
5. Potentials ....................................................... 300
6. The Smoothness of Potentials ...................................... 303
7. Riesz Decomposition Theorem ..................................... 305
8. Parabolic-Polar Sets .............................................. 305
9. The Parabolic-Fine Topology ...................................... 308
10. Semipolar Sets ................................................... 309
It. Preliminary List of Reduction Properties ............................ 310
12. A Criterion of Parabolic Thinness .................................. 313
13. The Parabolic Fundamental Convergence Theorem ................... 314
14. Applications of the Fundamental Convergence Theorem to Reductions
and to Green Functions ........................................... 316
15. Applications of the Fundamental Convergence Theorem to the Parabolic-
Fine Topology ................................................... 317
16. Parabolic-Reduction Properties .................................... 317
17. Proofs of the Reduction Properties in Section 16 ...................... 320
18. The Classical Context Green Function in Terms of the Parabolic Context
Green Function (N > 1) ........................................... 326
19. The Quasi-Lindelof Property ....................................... 328
Chapter XVIII
The Parabolic Dirichlet Problem, Sweeping, and Exceptional Sets ... 329
1. Relativization of the Parabolic Context; The PWB Method in this
Context ......................................................... 329
2. h-Parabolic Measure .............................................. 332
3. Parabolic Barriers ................................................ 333
4. Relations between the Classical Dirichlet Problem and the Parabolic
Context Dirichlet Problem ......................................... 334
5. Classical Reductions in the Parabolic Context ........................ 335
xii Contents
Chapter XIX
The Martin Boundary in the Parabolic Context ................... 363
Introduction ..................................................... 363
2. The Martin Functions of Martin Point Set and Measure Set Pairs ....... 364
3. The Martin Space DM ............................................ 366
4. Preparatory Material for the Parabolic Context Martin Representation
Theorem ........................................................ 367
5. Minimal Parabolic Functions and Their Poles ........................ 369
6. The Set of Nonminimal Martin Boundary Points ..................... 370
7. The Martin Representation in the Parabolic Context .................. 371
8 Martin Boundary of a Slab D = R' x ]0, b[ with 0 < d S + op ......... 371
9. Martin Boundaries for the Lower Half-space of A' and for Al .......... 374
10. The Martin Boundary of ,6 = ]0, +oo[ x ] - oo, 6[ ................... 375
11. PWB" Solutions on DM ........................................... 377
12. The Minimal-Fine Topology in the Parabolic Context ................. 377
13. Boundary Counterpart of Theorem XVIII.l4(f) .................. ... 379
14. The Vanishing of Potentials on OMD ................................ 381
15. The Parabolic Context Fatou Boundary Limit Theorem on Martin Spaces 381
Part 2
Probabilistic Counterpart of Part I
Chapter I
Fundamental Concepts of Probability ........................... 387
1. Adapted Families of Functions on Measurable Spaces ................. 387
2. Progressive Measurability ............................... ......... 388
3. Random Variables ............................................... 390
Contents xiii
Chapter II
Optional Times and Associated Concepts ........................ 413
1. The Context of Optional Times .................................... 413
2. Optional Time Properties (Continuous Parameter Context) ............. 415
3. Process Functions at Optional Times ................................ 417
4. Hitting and Entry Times .......................................... 419
5. Application to Continuity Properties of Sample Functions ............. 421
6. Continuation of Section 5 ......................................... 423
7. Predictable Optional Times ........................................ 423
8. Section Theorems ................................................ 425
9. The Graph of a Predictable Time and the Entry Time of a Predictable
Set ............................................................. 426
10. Semipolar Subsets of 1R x 0 ...................................... 427
11. The Classes D and L° of Stochastic Processes ......................... 428
12. Decomposition of Optional Times; Accessible and Totally Inaccessible
Optional Times .................................................. 429
Chapter III
Elements of Martingale Theory ................................ 432
1. Definitions ...................................................... 432
2. Examples ....................................................... 433
3. Elementary Properties (Arbitrary Simply Ordered Parameter Set) ....... 435
4. The Parameter Set in Martingale Theory ............................ 437
5. Convergence of Supermartingale Families ........................... 437
6. Optional Sampling Theorem (Bounded Optional Times) ............... 438
7. Optional Sampling Theorem for Right Closed Processes ............... 440
8. Optional Stopping ................................................ 442
9. Maximal Inequalities ............................................. 442
10. Conditional Maximal Inequalities .................................. 444
1. An L° Inequality for Submartingale Suprema ......................... 444
12. Crossings ....................................................... 445
13. Forward Convergence in the L' Bounded Case ....................... 450
14. Convergence of a Uniformly Integrable Martingale ................... 451
15. Forward Convergence of a Right Closable Supermartingale ............ 453
16. Backward Convergence of a Martingale ............................. 454
xiv Contents
Chapter I V
Basic Properties of Continuous Parameter Supermartingales ........ 463
1. Continuity Properties ............................................. 463
2. Optional Sampling of Uniformly Integrable Continuous Parameter
Martingales ..................................................... 468
3 Optional Sampling and Convergence of Continuous Parameter
Supermartingales ................................................. 470
4. Increasing Sequences of Supermartingales ........................... 473
5. Probability Version of the Fundamental Convergence Theorem of Potential
Theory ......................................................... 476
6. Quasi-Bounded Positive Supermartingales; Generation of Supermartingale
Potentials by Increasing Processes ............................ ..... 480
7. Natural versus Predictable Increasing Processes (1= 71' or R+) ......... 483
8. Generation of Supermartingale Potentials by Increasing Processes in the
Discrete Parameter Case .......................................... 488
9. An Inequality for Predictable Increasing Processes .................... 489
10. Generation of Supermartingale Potentials by Increasing Processes for
Arbitrary Parameter Sets .......................................... 490
11 Generation of Supermartingale Potentials by Increasing Processes in the
Continuous Parameter Case: The Meyer Decomposition ............... 493
12. Meyer Decomposition of a Submartingale ........................... 495
13 Role of the Measure Associated with a Supermartingale;
The Supermartingale Domination Principle .......................... 496
14. The Operators r, LM, and GM in the Continuous Parameter Context.... 500
15. Potential Theory on a8' x 52 ....................................... 501
16. The Fine Topology of R * x f) ..................................... 502
17 Potential Theory Reductions in a Continuous Parameter Probability
Context ...................................................... 504
18. Reduction Properties ............................................. 505
19. Proofs of the Reduction Properties in Section 18 ...................... 509
20. Evaluation of Reductions ......................... .......... .... 513
21. The Energy of a Supermartingale Potential ............... .... ...... 515
22. The Subtraction of a Supermartingale Discontinuity ................... 516
23. Supermartingale Decompositions and Discontinuities .......... .... . 518
Chapter V
Lattices and Related Classes of Stochastic Processes ............... 520
I. Conventions; The Essential Order .................................. 520
2. LM when ; Is a Submartingale ........................ 521
Contents Xv
Chapter VI
Markov Processes ............................................ 539
1. The Markov Property ............................................. 539
2. Choice of Filtration .............................................. 544
3. Integral Parameter Markov Processes with Stationary Transition Proba-
bilities .......................................................... 545
4. Application of Martingale Theory to Discrete Parameter Markov
Processes ....................................................... 547
5. Continuous Parameter Markov Processes with Stationary Transition
Probabilities ..................................................... 550
6. Specialization to Right Continuous Processes ........................ 552
7. Continuous Parameter Markov Processes: Lifetimes and Trap Points .... 554
8. Right Continuity of Markov Process Filtrations; A Zero-One (0-1) Law.. 556
9. Strong Markov Property .......................................... 557
10. Probabilistic Potential Theory; Excessive Functions ................... 560
11. Excessive Functions and Supermartingales ........................... 564
12. Excessive Functions and the Hitting Times of Analytic Sets (Notation and
Hypotheses of Section 11) ......................................... 565
13. Conditioned Markov Processes ..................................... 566
14. Tied Down Markov Processes ...................................... 567
15. Killed Markov Processes .......................................... 568
Chapter VII
Brownian Motion ............................................ 570
1. Processes with Independent Increments and State Space I8" ............ 570
2. Brownian Motion ................................................ 572
3. Continuity of Brownian Paths ...................................... 576
4. Brownian Motion Filtrations ...................................... 578
5. Elementary Properties of the Brownian Transition Density and Brownian
Motion ......................................................... 581
6. The Zero-One Law for Brownian Motion ............................ 583
7. Tied Down Brownian Motion ...................................... 586
8. Andre Reflection Principle ......................................... 587
9. Brownian Motion in an Open Set (N z I) ............................ 589
10. Space-Time Brownian Motion in an Open Set ........................ 592
11. Brownian Motion in an Interval .................................... 594
Xvi Contents
Chapter VIII
TheIto Integral .............................................. 599
1. Notation .......... ............................................. 599
2. The Size of r. ................................................... 601
3. Properties of the Ito Integral ....................................... 602
4. The Stochastic Integral for an Integrand Process in ro ................. 605
5. The Stochastic Integral for an Integrand Process in r .................. 606
6. Proofs of the Properties in Section 3 ................................ 607
7. Extension to Vector-Valued and Complex-Valued Integrands ........... 611
8 Martingales Relative to Brownian Motion Filtrations ................. 612
9. A Change of Variables ............................................ 615
10. The Role of Brownian Motion Increments ........................... 618
11 (N = I) Computation of the Ito Integral by Riemann-Stieltjes Sums ..... 620
12. It6's Lemma ..................................................... 621
13. The Composition of the Basic Functions of Potential Theory with Brownian
Motion . ....................................................... 625
14. The Composition of an Analytic Function with Brownian Motion ....... 626
Chapter IX
Brownian Motion and Martingale Theory ....................... 627
I Elementary Martingale Applications ................................ 627
2. Coparabolic Polynomials and Martingale Theory ..................... 630
3. Superharmonic and Harmonic Functions on R' and Supermartingales and
Martingales ....... ................................. ........... 632
4 Hitting of an f. Set ....... ....................................... 635
5. The Hitting of a Set by Brownian Motion .................... ....... 636
6 Superharmonic Functions, Excessive for Brownian Motion ......... . ... 637
7 Preliminary Treatment of the Composition of a Superharmonic Function
with Brownian Motion; A Probabilistic Fatou Boundary Limit Theorem. 641
8 Excessive and Invariant Functions for Brownian Motion ............... 645
9. Application to Hitting Probabilities and to Parabolicity of Transition
Densities. .. . .................................. ....... 647
10. (N = 2) The Hitting of Nonpolar Sets by Brownian Motion ........ ... 648
11. Continuity of the Composition of a Function with Brownian Motion .... 649
12. Continuity of Superharmonic Functions on Brownian Motion .......... 650
13 Preliminary Probabilistic Solution of the Classical Dirichlet Problem .... 651
14 Probabilistic Evaluation of Reductions .................. .........
. 653
15 Probabilistic Description of the Fine Topology ....................... 656
16 x-Excessive Functions for Brownian Motion and Their Composition with
Brownian Motions .. .................................... ....... 659
17. Brownian Motion Transition Functions as Green Functions; The Corre-
sponding Backward and Forward Parabolic Equations ................ 661
18. Excessive Measures for Brownian Motion ........................... 663
19. Nearly Borel Sets for Brownian Motion ............................. 666
20. Brownian Motion into a Set from an Irregular Boundary Point ......... 666
Contents Xvii
Chapter X
Conditional Brownian Motion ................................. 668
I. Definition ....................................................... 668
2. h-Brownian Motion in Terms of Brownian Motion .................... 671
3. Contexts for (2. 1) ................................................ 676
4. Asymptotic Character of h-Brownian Paths at Their Lifetimes .......... 677
5. h-Brownian Motion from an Infinity of h ............................ 680
6. Brownian Motion under Time Reversal ............................. 682
7. Preliminary Probabilistic Solution of the Dirichlet Problem for h-Harmonic
Functions; h-Brownian Motion Hitting Probabilities and the
Corresponding Generalized Reductions .............................. 684
8. Probabilistic Boundary Limit and Internal Limit Theorems for Ratios of
Strictly Positive Superharmonic Functions ........................... 688
9. Conditional Brownian Motion in a Ball ............................. 691
10. Conditional Brownian Motion Last Hitting Distributions; The Capacitary
Distribution of a Set in Terms of a Last Hitting Distribution ........... 693
11. The Tail a Algebra of a Conditional Brownian Motion ................ 694
12. Conditional Space-Time Brownian Motion .......................... 699
13. [Space-Time] Brownian Motion in [iv] ii1;N with Parameter Set R ....... 700
Part 3
Chapter I
Lattices in Classical Potential Theory and Martingale Theory ....... 705
1. Correspondence between Classical Potential Theory and Martingale
Theory ......................................................... 705
2. Relations between Decomposition Components of S in Potential Theory
and Martingale Theory ........................................... 706
3. The Classes L° and D ............................................. 706
4. PWB-Related Conditions on h-Harmonic Functions and on Martingales . 707
5. Class D Property versus Quasi-Boundedness ......................... 708
6. A Condition for Quasi-Boundedness ................................ 709
7. Singularity of an Element of S : .................................... 710
8. The Singular Component of an Element of S4 ........................ 711
9. The Class S .. ................................................... 712
10. The Class S...................................................... 714
11. Lattice Theoretic Analysis of the Composition of an h-Superharmonic
Function with an h-Brownian Motion ............................... 715
12. A Decomposition of Sm, (Potential Theory Context) ................... 716
13. Continuation of Section I l ........................................ 717
Chapter II
Brownian Motion and the PWB Method ........................ 719
1. Context of the Problem ........................................... 719
2. Probabilistic Analysis of the PWB Method ........................... 720
xviii Contents
Chapter III
Brownian Motion on the Martin Space .......................... 727
1. The Structure of Brownian Motion on the Martin Space ............... 727
2. Brownian Motions from Martin Boundary Points (Notation of Section I) 728
3. The Zero-One Law at a Minimal Martin Boundary Point and the
Probabilistic Formulation of the Minimal-Fine Topology (Notation of
Section I) ......... ............................................ 730
4. The Probabilistic Fatou Theorem on the Martin Space ................. 732
5. Probabilistic Approach to Theorem I.XI.4(c) and Its Boundary
Counterparts .................................................... 733
6. Martin Representation of Harmonic Functions in the Parabolic Context . 735
Appendixes
Appendix I
Analytic Sets ................................................ 741
1. Pavings and Algebras of Sets ....................................... 741
2. Suslin Schemes .................................................. 741
3 Sets Analytic over a Product Paving ................................ 742
4. Analytic Extensions versus a Algebra Extensions of Pavings ............ 743
5 Projection Characterization %f (V) .................................. 743
6. The Operation s9(.a1) ............................................. 744
7. Projections of Sets in Product Pavings ............................... 744
8 Extension of a Measurability Concept to the Analytic Operation Context. 745
9. The G, Sets of a Complete Metric Space ............................. 745
10. Polish Spaces .................................................... 746
11 The Baire Null Space ............................................. 746
12. Analytic Sets .................................................... 747
13. Analytic Subsets of Polish Spaces ................................... 748
Appendix 11
Capacity Theory ............................................. 750
1. Choquet Capacities ............................................... 750
2. Sierpinski Lemma ................................................ 750
3. Choquet Capacity Theorem ........................................ 751
4. Lusin's Theorem ................................................. 751
5. A Fundamental Example of a Choquet Capacity ...................... 752
6. Strongly Subadditive Set Functions ................................. 752
7. Generation of a Choquet Capacity by a Positive Strongly Subadditive Set
Function ........................................................ 753
8. Topological Precapacities ......................................... 755
9. Universally Measurable Sets ..... . ................................. 756
Contents XiX
Appendix III
Lattice Theory ............................................... 758
1. Introduction ..................................................... 758
2. Lattice Definitions ............................................... 758
3. Cones .......................................................... 758
4. The Specific Order Generated by a Cone ............................ 759
5. Vector Lattices .................................................. 760
6. Decomposition Property of a Vector Lattice ......................... 762
7. Orthogonality in a Vector Lattice ................................... 762
8. Bands in a Vector Lattice .......................................... 762
9. Projections on Bands ............................................. 763
10.The Orthogonal Complement of a Set ............................... 764
H. The Band Generated by a Single Element ............................ 764
12. Order Convergence ............................................... 765
13. Order Convergence on a Linearly Ordered Set ........................ 766
Appendix IV
Lattice Theoretic Concepts in Measure Theory ................... 767
1. Lattices of Set Algebras ........................................... 767
2. Measurable Spaces and Measurable Functions ....................... 767
3. Composition of Functions ......................................... 768
4. The Measure Lattice of a Measurable Space .......................... 769
5. The a Finite Measure Lattice of a Measurable Space (Notation of Section 4) 771
6. The Hahn and Jordan Decompositions .............................. 772
7. The Vector Lattice 4l ............................................ 772
8. Absolute Continuity and Singularity ................................ 773
9. Lattices of Measurable Functions on a Measure Space ................. 774
10. Order Convergence of Families of Measurable Functions .............. 775
11. Measures on Polish Spaces ........................................ 777
12. Derivates of Measures ............................................ 778
Appendix V
Uniform Integrability ........................................ 779
Appendix VI
Kernels and Transition Functions .............................. 781
1. Kernels ......................................................... 781
2. Universally Measurable Extension of a Kernel ........................ 782
3. Transition Functions ............................................. 782
Appendix VII
Integral Limit Theorems ...................................... 785
1. An Elementary Limit Theorem ... ................................. 785
2. Ratio Integral Limit Theorems ..................................... 786
3. A One-Dimensional Ratio Integral Limit Theorem .................... 786
4. A Ratio Integral Limit Theorem Involving Convex Variational Derivates. 788
xx Contents
Appendix VIII
Lower Semicontinuous Functions .............................. 791
I The Lower Semicontinuous Smoothing of a Function ............ .. . 791
2. Suprema of Families of Lower Semicontinuous Functions... ... ...... 791
3 Choquet Topological Lemma ............ ......... .. .. .. .. 792
cesses in N space, with a common initial point and variance parameter, hav
the same probability of hitting an analytic set. This fact is not trivial and
such questions are treated.
There is nothing very novel in this book. Potential theorists may find the
treatment of reductions on boundary sets of interest, as well as the use of
iterated reductions to obtain limit theorems. Correspondingly, probabilists
may find the new supermartingale crossing inequalities and the technique
of iterated reductions of supermartingales of interest. A new domination
principle for supermartingales illustrates the fact that classical potential
theory still suggests interesting probability results.
The author thanks Bruce Hajek, Naresh Jain and John Taylor for helpful
comments on various chapters and, finally, thanks his typist: usually faith-
ful, sometimes accurate.
Notation and Conventions
IN(B(, b)) = aN
I-+ u d1N
Jsq,a)
f Audi, = f (1.3)
B JaBB
The right side of (I.3) is the flux of the vector field grad u out through OB.
2. Function Averages
The unweighted averages of a function u over b) and over b) will
be denoted by L(u, , b) and A (u, , b), respectively; that is
Nb-N f (2.2)
0
Define
((Nexp[-(I - r)-1] if 0 < r < I
0 ifrz1,
choosing CN so that aNlo rN-1yN(r)11(dr) = 1, and under the preceding hy-
potheses on u, define Aau for b > 0 by
Aau(f) = b-N fN YN a
a
= nN f fl - aDl > b).
3. Harmonic Functions
A harmonic function is defined as a (finite-valued) continuous function u,
defined on a nonempty open subset of RN, satisfying
L(u, , b) if b) c D. (3.1)
4. Maximum-Minimum Theorem for Harmonic Functions 5
>b). (3.2)
Au=./"(r)+N-
I f(r)=0. (5.1)
r
Thus if G is defined by
log I ifN = 2,
tl) =
I -II (5.2)
_1I N 2 ifN>2,
I
logy ifN=2
L(G(', q), , r) = (I - 7I < r). (5.4)
r2-N if N > 2
6. Gauss Integral Theorem 7
On the other hand since G(-, 17) is harmonic on RN - {g}, the harmonic
function average property yields
J (5.6)
RN
h(A n D) = --1 f Do
D
(6.1)
where
2n ifN=2,
nN- (6.2)
((N-2)aN ifN>2.
If A does not meet D the function Gp is harmonic on a neighborhood of
D so (6.1) is true because according to Section 3 the flux out of D of the
gradient of a harmonic function vanishes. The potential of the projection
of p on R' - D is covered by this remark so from now on we suppose that
A c D. If (6.1) is true for one choice of D, it is true for every smooth domain
D, containing D if D, - D is smooth because Gp is harmonic on a neigh-
borhood of D, - D so the flux out of D, - D of the gradient of Gp vanishes.
Observe that (6.1) is trivially true if D is a ball with center and if A =
and therefore, in view of the remark in the last sentence, (6.1) is true whenever
A is a singleton,
f D
n)lN-i (dg) I if e D. (6.3)
then uID is in class Cf21(D), satisfies the Poisson equation du = -ir4f, and
a2u( ) h)
lfi [f(7) -f()]lN(d11) - N a D. (7.3)
a_(oaej) = JaN
Here bf is the usual Kronecker symbol ; that is, (bif) is the identity matrix.
const !20-k k if N = 2,
_Galul <
IG,u
ifN>2.
Round off the integrand in (7.2) when it exceeds k""` in absolute value
to obtain a continuous finite-valued integrand and repeat the reasoning
proving the continuity of Gp to show that the right side of (7.2) defines a
continuous function of . This function must be
Proof of (b). In view of (7.1) and the Holder condition satisfied by Jon D
the integrand in (7.3) for n in a neighborhood of in D is majorized in
absolute value by constl - nI-"+"; so the integral converges absolutely.
Let /3 be a function from R+ into R+ satisfying the following conditions:
$eC"'(R+), 05fl51,
(0 ifOSr<,
/3(r)=1
I
and define
f
R"
a
(;,)n)1(n)fl(I' -
ni)1"(dn)
au(k)
a a a;
I J t c.= I
+1() rl (- ) IN*)
iN a'a'J) a
I 8G(, n) a nI
tit -
att, [!fin) -n
I
)]fl,
IJ
1"(dn)
+ a Jp" - nI
('RN aG(, ), (14 (J) - ncn
_aL) -171
+ J ) I __171
1"(dn)
and denote the four terms on the right by I, It, III, IV, respectively. Observe
that each integrand vanishes for n outside B(4, a).
10 1.1. Introduction to the Mathematical Background of Classical Potential Theory
The difference between I and the integral on the right side of (7.3) is at
most const Jo r"!, (dr) for a < I - BDI ; so when a - 0, the term I has the
integral on the right side of (7.3) as a limit uniformly on compact subsets
of D.
If i # j in II, the integral over a) vanishes because the integrand is
odd in nt". If i = j in II, the integral becomes
-(N - 2) J f(IX' -
(i
t e.Q)
(7.4)
0+N(N-2)
f
JB(.a) I - ql at
if N > 2 and a < I - aDl. The second integral does not depend on the
choice of i, and so it has as value the average of its values for i = 1, ... , N.
We conclude that the sum in (7.4) vanishes. The corresponding argument
when N = 2 shows that the integral II also vanishes in this case.
If of < I - ODl,
IV =
-fad) (N - 2) n"h2Q, (1 nl)
at
L4.0
The integral is the same for all i, and it is equal to the average of its values
for i = 1, ..., N. Hence
Under the hypotheses of (b) the flux evaluation (1.3) yields, whenever B
is a smooth domain with closure in D,
uI"-MW -
aatt.a)
= - (8.1)
J8D
q)
u(S) = n--
f'Du(I)DeGD(,)lN-10I) - NJDGD(,J)Au(1)lN(d+l)
(8.3)
In particular
A) _ - JDGD(i.)lN_l(dn). (8.5)
N
u(0 = JaD
f GD), dv = -AudlN (8.6)
u() = J
7) = forN=2 (1.1)
712-N
712-N
62-N ifS
(=1712-N -
= 0)
- - forN>2
with the understanding that oo, satisfies items (i')-(iv') of
Section 1.8, so that harmonic measure for B is given by
I,
D K(7Ni1N-1(d7), (1.2)
The function K(7, ) is harmonic on RN - (7) because GB(-, 7) is, and K(7, )
is normalized to be I at the origin. The function GB is symmetric, positive
(= + oo when the arguments are equal), and increases with S. Moreover
1. The Green Function of a Ball; The Poisson Integral 15
+ oo if N = 2,
lim 17) _ (1.5)
lira
6-00 q) if N>2.
Since ry) is harmonic on B - {ry}, all the partial derivatives of this
function are also harmonic there so that in particular the harmonic measure
density in (1.2) defines a harmonic function of on B. It follows that if µ
is a finite measure of Borel subsets of aB, the Poisson integral (PI)
J (dq), (1.6)
a8
Combining (1.7) with the corresponding inequality for inferior limits, it follows
that u has limitf(C) at C if f is continuous at C.
this boundary limit property because the difference between two such func-
tions is harmonic on B with limit 0 at every boundary point and therefore
vanishes identically in view of the harmonic function maximum minimum
theorem. The function u is thus the unique solution of the classical first
boundary (Dirichlet) problem for harmonic functions on B. A generalized
form of this problem for the relevant class of open subsets of R' is treated
in Chapter VIII.
If u is a finite-valued function defined and continuous on the closure of
a ball B and harmonic on B, u = PI(B, u) on B because u is the unique
solution of the Dirichlet problem for the boundary function ulde. This result
weakens the conditions under which (1.3) was derived using the general
theory in Section 1.8.
If u is any Borel measurable function on an open subset D of R', if B
is a ball with closure in D, and if the restriction of u to 8B is IN_, integrable,
we define
(PI(B, u) on B,
tBu (1.8)
=1 u on D-B.
If u is upper or lower semicontinuous, Theorem I implies that tBu has the
same property.
2. Harnack's Inequality
Let A be a compact subset of the open connected subset D of RN. There is a
function (A, D)"c(A, D) such that if u is harmonic and strictly positive on D,
u()
< c(A, D) [(c, ry) e A X A]. ( 2. 1)
u(ri)
Thus
Let D be a nonempty open subset of R", and let R(D) be the class of Borel
subsets of D. Let (up, ig a 1) be a family of superharmonic functions on D,
indexed by a set 1. If (1, .F, A) is a finite measure space and if the function
is measurable from (D x 1, R(D) x ,F) into (R,R(R)), then
the function u' = f r up A(dd) satisfies the superharmonic function average
inequality,
-aDj >b)
is not empty. Then if u is a superharmonic function on D the function
u' = L(u, , b) on Da is a special case of the preceding integral operation,
with u( + P), fl e aB(0, 6) and with A the normalized surface area
of B(0,6). In this case an application of Fatou's lemma shows that u' is
lower semicontinuous. We shall show in Section 6(a) that L(u, , 6) is finite
valued, and it follows that L(u, , 6) is superharmonic on D. We leave to the
reader the verification of the fact that if u is a superharmonic function on
D, the functions A (u, , 6) and Adu are also special cases of the above integral
operation. Since (from Section 2) A (u, , 6) is finite valued and continuous
and Aau is infinitely differentiable, these two functions are superharmonic
on D6.
For u superharmonic on D the three functions L(u, , 6), A (u, , b), and
Aau are all majorized by u, and it will be shown in Section 6(f) that these
20 1.11. Basic Properties of Harmonic, Subharmonic, and Superharmonic Functions
where A is an arbitrary iN null set. We shall see in Section XI.1 that the
natural class of sets A making (6.1) true is the class of sets thin at in the
sense of the fine topology.
Observation. If b > 0 and if 06 is a function on the interval [0, b], Borel
measurable and 11 almost everywhere strictly positive, with 160 Cd(r) dr = 1,
then every superharmonic function u on an open set D obviously satisfies
the inequality
EXAMPLE (The Fundamental Kernel and the Green Function of a Ball). If the
fundamental kernel G is defined on R" x R", by 1(5.2) the function is
for each point harmonic on R" - and is superharmonic on R". In fact
we have noted in Section 1.5 that this function is harmonic on R" -
Moreover this function is continuous on R", and in view of the local nature of
superharmonicity proved in (d) above we need only observe, to prove that
the function is superharmonic on R", that the superharmonic function
average inequality is trivially satisfied at . Similarly, if B is a ball, the Green
function GB is defined on B x B by (1.1), and for each point t of B, GB(4, )
is harmonic on B - and superharmonic on D.
Proof of (a). Since we can replace u by AQu and then let o(-+ 0, we can suppose
that f in (a) is infinitely differentiable. The following evaluation of Au makes
(a) trivial.
N-I
Au(k) =f'(I0 + P101
Ici
d2 ds2
if N=2 an d s= - log IC I, ( 10 . 1 )
(N - 2)2 d2f(II)
x Iy12N-2 if N > 2 an d s __1C12-N .
ds2
Proof of (b). We prove (b) for u superharmonic; the proof for u harmonic
is easier and is left to the reader. Since u is locally lower bounded we can
assume in the proof of (b), at the expense of increasing a and decreasing b,
that u is lower bounded on D. In addition suppose first that u is bounded
on D. Since a space rotation around the origin preserves superharmonicity,
integrating over all rotations (see the remark in Section 4 on positive integral
operations on superharmonic functions) yields the fact that the function
F-+ L(u, 0, ICI) is superharmonic on D, as asserted in (b). If u is not bounded
and n e Z', the function u A n is a bounded superharmonic function on D;
so the function - L(u A n, 0,1 I) is superharmonic on D and when n co,
we find that the function i-- L(u, 0, I I) is either superharmonic or identically
+ oo. The latter case is excluded because u is locally !N integrable so (by
Fubini's theorem) L(u, 0, b) < + oo for !1 almost every 6 in ] a, b[.
!i. Examples 25
11. Examples
(a) Suppose that N = 2 and let f be a not identically vanishing analytic
function on the connected open set D. The real and imaginary parts of f
are harmonic because they satisfy Laplace's equation, alternatively because
the Cauchy integral formula applied to a ball yields the harmonic function
average property for f. Taking absolute values in this average relation we
conclude that If I is subharmonic and therefore (Section 9) that If I° is
subharmonic when p z 1. Actually If I° is subharmonic when p > 0 because
if I° = I f °I is the absolute value of an analytic function in a neighborhood
of a nonzero of f, and it is trivial that the subharmonic function average
property is satisfied at a zero off. Similar reasoning shows that log if I =
Re (log f) is subharmonic when defined as - oo at a zero off and is harmonic
on the nonzero set off. Since If 1n for p > 0 is a monotone increasing convex
function of log If I, we have again that If I° is subharmonic.
(b) If N = 2 and if f is analytic on B(0, b) and does not vanish identically,
and if p > 0, the function If I° is subharmonic so
l zx
log M(Iz!). Since r i-. L(v,,, 0, r) is a convex function of log r, the same is true
of the function r f--p log M(r). See a slightly different derivation of this same
property of in the context of the minimum function of a superharmonic
function in Section 10. Alternatively, the continuous function v is subhar-
monic because it has the subharmonic function average property and there-
fore the function
Au = A 'IN-z64
).
(
Thus the function
vW) = u W)(!S'I)N-2
u = PI(B,u,) - PI(B,u2)
(dq)
u = PI(B, u,), u (!4) I xNbN-'.
N-' (14.2)
S
J
ju (a
)I'n ,-
dNdh)=L(lul,0,r),
Jfd=e as
PI(Bf) C) u(dq). (14.3)
By Theorem 1 the right-hand side has limit Jd8 fdu when r - S, as was to
be proved.
The relation between L`(uB_) harmonic functions on B and signed mea-
sures on aB is obviously linear and positivity preserving. If the space of signed
measures on aB is ordered by setting u, 5 P2 when the difference u, - u2 is
positive, the relation u . M. is order preserving. Since the space of signed
measures on aB is a conditionally complete vector lattice (Appendix IV.7),
30 1.11. Basic Properties of Harmonic, Subharmonic, and Superharmonic Functions
so (b3) is true.
(b3) . (bl) Since (b3) is stronger than (a4), u = PI(B, M.), and we have
proved above that the signed measure u, tends to M. (vague convergence)
when r S. Now the uniform integrability described in (b3) is equivalent to
uniform integrability of the family i < r < S} of functions on
aB relative to the measure IN_,. Hence (Appendix V) there is a strictly
monotone increasing sequence r, with limit S for which the sequence
q- u(r.nlb)
has a weak limit function f on aB in the sense that
for every bounded IN_, measurable function g on aB. This limit relation
implies (take g continuous) that the sequence u,., already known to be
vaguely convergent to M., is vaguely convergent to the signed measure
fdlN_,/(7r,6N-'). That is, M. is absolutely continuous relative to IN_, and
dM = fd1N-t/(7rNS"-'). Thus (bl) is true and f. is uniquely determined up
to IN_, null sets because M. is uniquely determined. The map u I-+f has
the stated properties because the map u F- M. has the corresponding
properties.
(bl) (b4) Under (bl), if u > 0, u = PI(B,f) with f. z 0, according to
what we have proved, and u = A n) represents u as the limit
of an increasing sequence of positive bounded harmonic functions.
(b4) (bl) If u is bounded positive and harmonic on B, condition (b2)
is satisfied, so (b I) is satisfied. Moreover, if u, is an increasing sequence of
positive bounded harmonic functions on B with limit u, the sequence f,4
15. The Fatoi. Boundary Limit Theorem 31
is an increasing sequence (up to 1N_, null sets) with limit some function f,
and the equation u = PI(B, f ) becomes in the limit u = PI(B, f ).
Observation. If u e D(µo_) in the theorem, we have proved that lim,..ap, _
M. (vague convergence of signed measures on OB), where p, is the signed
measure defined by (14.2). This convergence, or alternatively, a slight varia-
tion of the convergence proof, shows that if v, is the signed measure on B
supported by aB(0, r) and defined by
v,(dry) = (r = 1q1),
N
whenever both the indicated derivate and the symmetric derivate dl'N/dM,,(C)
exist.
32 1.11. Basic Properties of Harmonic, Subharmonic, and Superharmonic Functions
According to this theorem the limit in (15.1) exists at M,, almost every
boundary point C.
Observation. In the classical version of this theorem, as proved by Fatou,
h =_ 1, so that M,, is a normalized Lebesgue measure lN_1/(1rN6N-1) on sB.
u( )
5 u(PC)
eB,,.
ch(PC)'
1 I -s 2
(15.2)
K:(e) = nN [(I - s)2 + 4ssin'(0/2)]x12
16. Minimal Harmonic Functions 33
so that
sin' (a/2)01-2
o liminfKs(e)_N-2 lt(dO) = Jo !1(d9) _ +op (a > 0),
I S-1 K.(a) sin' (0/2)
(15.4)
with u1 and u2 distinct elements of r. But then put and qu2 must be multiples
of u with values p and q, respectively, at 0, so u = u1 = u2, contrary to
hypothesis. Conversely, if u is an extremal element of t and if v is harmonic
on D with 0 5 v 5 u, then either (a) v vanishes at o and so vanishes iden-
tically or (b) u - v vanishes at o and so vanishes identically or
) - v(
The two functions in the braces are in r and so must be identical. Thus v
is a constant multiple of u in all three cases.
34 1.11. Basic Properties of Harmonic, Subharmonic, and Superharmonic Functions
EXAMPLE. Let D = B(0, 6) and let K be the normalized Poisson kernel density
function,
a2 Ibl2
L(u, (1.1)
R-M
)
Hence (harmonic function maximum-minimum theorem) there is equality
on B, as asserted.
EXAMPLE (b). 0. In fact, if D has a Green function GD in
the sense of Section 1.8 then GD(l;, ) is a positive superharmonic function
on D with limit 0 at every boundary point. The function is
positive and harmonic and also has limit 0 at every boundary point. It
follows (harmonic function maximum-minimum theorem) that this minorant
vanishes identically. Exactly the same proof, in which oo is the only boundary
point, shows that 0 when N > 2. In Section VII.1 the Green
function Go will be defined for every Greenian set D. The property
0 remains true and in fact is very nearly a defining property
of GD.
2. Generalization of Theorem I
Theorem 1 is included in the following theorem but was proved separately
because of the importance of its constructive proof.
+
lim nfu(q) (3.2)
11-4
and
(a) u is superharmonic.
(b) u = u on each open set on which u is superharmonic.
(c) = u IN abnost everywhere.
(d) There is a countable subset of f whose lower envelope has the same
lower semiconlinuous smoothing u.
so that is at least equal to the last term on the right, and therefore
(3.1) implies (3.2). Since u is superharmonic,
so that
A (u, , S) 5 A(u, , b) 5
Application to GMDf'
set D is part of the context but is omitted from the notation. In most ap-
plications A e D. According to the Fundamental Convergence Theorem
in the preceding section, the lower semicontinuous smoothed reduction
R" is majorized by RA, is superharmonic, and coincides IN almost everywhere
on D with R. (According to the more refined version of this theorem in
Section VI.1, the set {R"v > RA
+V
} is not only IN null but polar, a more re-
strictive characterization to be defined in Section V.1, and it will be proved
in Section VIA that R" = RA on D - A.) The notation 8 VOA will sometimes
be used instead of R".
Obviously R" and R increase when A or v increases. Moreover the
reduction operation is subadditive in the sense that
B5 RB + RA + RB, (4.1)
for every Borel boundary subset A. The first equality in (4.3) is trivial
because RA is harmonic. Denote the integral on the right by vA. If u is a
positive superharmonic function on D that majorizes v near A and if A0
is a closed subset of A, the difference u - vAo is superharmonic on D and
positive near Ao. Moreover the fact that lime{ 4) = 0 uniformly on
Ao when C E 8D - Ao implies that vAa has boundary limit 0 on 8D - Ao.
Hence u - vAo has a positive inferior limit at every boundary point of D,
and the superharmonic function minimum theorem implies that u - vA0 Z 0;
so RA z vAo. If A, is an open boundary superset of A, then limt_{ 0
uniformly on DD - A, when C E A ; so v - vA has boundary limit 0 at every
point of A. Hence, if e > 0 the function VA, + e majorizes v near A, and
it follows that vA, 2 RA. Thus vAo 5 RA 5 vA,, and this inequality implies
the desired equality (4.3).
EXAMPLE (d). Let D be a Greenian subset of R', let B be an open relatively
compact subset of D, and let v be a positive superharmonic function on D,
finite and continuous at each point of 8B. Then R°-B = GMBv on B. In fact,
on the one hand, R" is harmonic on B and is majorized by v on B; so
5 GMBv on B. On the other hand, if u is a positive superharmonic
RD-B
5. Reduction Properties
To prove (5.Ism), observe that in view of (5.1) and the Fundamental Con-
vergence Theorem the right sides are superharmonic functions majorized
by R" and therefore by Ro , and the reverse inequalities are trivial.
If A n OD is compact, the sets B in (5.1) and (5.1 sm) need only run through
a decreasing sequence of relatively compact open neighborhoods of A n OD
with that set as intersection.
(b) If p is a positive superharmonic function on D with GMDp = 0, if
A c OD, and if v is a positive superharmonic function on D, then R," P = R.
In particular, RD = 0. This property follows from the inequality
R"SRS P:5. RA + RA
RA
RA,
= RAIMD +Rd AnD (5.2)
V
and also prove the corresponding inequality (5.2sm) for smoothed reduc-
tions. In particular, if GMDV = 0 then RV = RAID and R " = RAnD. In fact,
if vt is a positive superharmonic function on D, majorizing v near A r) 6D
and if v2 ij a positive superharmonic function on D, majorizing v' on A n D,
then vt + v2 >_ R", and therefore
RV naD + RV n°
RA,. (5.3)
and this inequality combines with (5.3) to yield (5.2). Equality (5.2) implies
that the corresponding equality for smoothed reductions, an equality be-
tween two superharmonic functions, is true IN almost everywhere on D
and therefore is true everywhere on D.
(d) RV = R" whenever A n D is open. If A is open, this property was
pointed out in gection 4, and the more general property follows from (5.2)
and (5.2sm).
(e) If v is finite valued and continuous at each point of An D, then
Potentials Gp When N = 2
the integrand is positive for in B(0, n - m). The reasoning used above in
discussing potentials of measures on balls and on 18" when N > 2 when
applied to the function defined by the integral in (1.3) shows that um is a
superharmonic function on B(0, n - m) and is harmonic on each p null open
subset of B(0, n - m). Since n can be chosen arbitrarily large, the function
um is a superharmonic function on 082 and is harmonic on 082 - B(0, m)
and on each open p null subset of B(0, m). In particular, if p has compact
support and if m is so large that B(0, m) contains this support, it follows
that Gp is superharmonic and is harmonic on the complement of the
2. Examples 47
the condition µ(982) < + co is necessary but not sufficient for (1.4). See
Section 9 for a further analysis of superharmonic functions on 982.
If D, and D2 are special open subsets of 98" with D, c D2, it follows from
the maximum-minimum theorem for harmonic functions that GD, S GD2 on
D, x D, because if cED,, the function if properly
defined at is harmonic on D, with positive limit at every boundary point.
In this sense the function Dr-'G, is monotone increasing. In particular,
GB(0,,) increases as r increases, and (direct calculation) hm, GB(o,,, is either
identically + co or G on 98N x98" according as N = 2 or N > 2. If y is a not
identically vanishing measure on 98" and if p, is the projection of U on B(0, r),
then lim,_m GB,o,,)p, is identically + co if N = 2 and is Gu if N > 2. What-
ever the dimensionality, if u is a finite measure on the ball B, the potentials
GBp and Gu are superharmonic and differ on B by a harmonic function.
2. Examples
Let p be a unit mass distributed uniformly on OB(0, S). Then
-N+ 2 on B(O,6),
t1l,
-N+2 2
on B(0, S)RN - (N > 2), (2.1)
GB(o.a,µ=Gp-a-N+2 onB(0,a)ifa>6.
In fact the potential Gp must be a function of the distance I q I from the origin,
must be superharmonic, and must be harmonic on RN - 5B(0, 6), and there-
fore (according to Section 11.10) must be a concave function of lq1-N+2, and
48 1.1 V. Potentials on Special Open Sets
and it follows from (2.1) and (2.2) that for N z 2 the function of q)
defined by (2.3) is continuous on fl8N x R'. If a > S and if e B(0, a - S), the
difference G4u - Ge<0,6tµfa = h is harmonic on B(O, a); so
TB....
ID
L(u, , r) = lim
1.0L(GDPM, , r) = L(GD(n, ), i, r)µ(dn) = L(GDP, , r). (4.1)
J
5. Smoothing of a Potential
Let µ be a measure on OWN with compact support A. An elementary calcula-
tion shows that A1(Gµ) = Gµ1, where pQ is absolutely continuous relative to
iN with infinitely differentiable density
(S) = a-N
J pN
}'N(Ib
a
I /lµl) .1)
(5.1)
The proof will be given for D = 68" and requires only trivial changes for
D a ball but the remarks validating the proof for a general Greenian set are
deferred to Section VII.8. It is sufficient to prove the result for A relatively
compact in 68", and therefore it can be supposed, replacing u and v by their
projections on a ball containing A if necessary, that p and v have compact
supports. According to Section 5, the functions A,(Gp), A,(Gv) are infi-
nitely differentiable potentials of measures p v, with respective densities
-AA,(Gp)/n;v, -L A,(Gv)/ah relative to I Since these densities are equal
on the set ; e A : - aAI > a), the projections of p, and v, on this set are
I
identical, and since p, and v, have vague limits p and v when a -' 0, the
projections of p and v on A are identical, as was to be proved.
u=Gµ,,+hA (7.1)
on D.
(G8µ0 + PI(B,u) on B,
u=
Gµ,t + h,, on A,
where h4 is harmonic on A, and we have used the fact that GBµA and Gµ4
differ on A by a harmonic function.
Observation. It follows from Theorem 6 that the map u F-' p from super-
harmonic functions into their associated measures is additive (u1 Fpi and
u2 r+p2 imply that u1 + u2 µ2) and positive homogeneous
implies that cu E-- cp for c a positive constant).
u=G°µ+GM°u. (8.1)
= -g(b)logb - f logsdg(s).
>a.+ml
For fixed q the function b i-. Gµa(q) is monotone decreasing on the interval
] 1 + f , 1, + co [, so the function b --. ha(p7) is increasing on this interval.
Hence (Harnack convergence theorem) either ha = + 00 on 68Z or
lima_. ha = h is a harmonic function on 682. In view of (9.8) the first case
is excluded by (9.3). Hence in the limit (9.7) yields the fact that Gµ is super-
harmonic and u = Gp + h. Moreover from (9.8)
10. An Approximation Theorem 55
and as noted in the proof of (c), the value g(b) can be replaced by p(R')
in this limit relation. Thus (9.4) is true for 4 = 0 and therefore for all
since rather than the origin can be chosen as the reference point in this
discussion.
and define u. by
AQn+n
on Den+1,
_ (10.2)
A,k+n on Dzk+1 - D2k_1 for k > n.
1. Definition
A polar subset of RN is a set to each point of which corresponds an open
neighborhood of the point that carries a superharmonic function equal to
+ oo at each point of the set in the neighborhood. An inner polar set is a
set whose compact subsets are polar. It will be shown in Section VI.2 that
an analytic inner polar set is polar. If a set is (inner) polar its Kelvin trans-
forms are also.
In particular, the set of infinities of a superharmonic function is a polar
subset of its domain. Conversely, it will be shown (Theorem 2) that a polar
set is always a subset of the set of infinities of a single superharmonic function
defined on RN.
The polar sets are the negligible sets of classical potential theory. An
assumption about points of R' true except for the points of an [inner]
polar set is said to be true [inner] quasi everywhere. A subset of an [inner]
polar set is [inner] polar. A singleton is polar because is super-
harmonic on RN and equal to + oo at . Although the point ao is not in
RN, that point is considered a Euclidean boundary point of every unbounded
set. In a context allowing oo in the domain of harmonic and superharmonic
functions, this point is polar for N = 2 but not for N > 2.
Since a superharmonic function on an open subset of R' is IN integrable
on every closed ball in its domain, and since every polar set A can be covered
by a countable number of open sets, each carrying a positive superharmonic
function with value + cc on the part of A in its domain, a polar set has
IN measure 0. It follows that an IN measurable inner polar set also has IN
measure 0.
If u and v are superharmonic functions on an open subset of RN and
if u = v inner quasi everywhere, or if u >_ v inner quasi everywhere, then
the same relation holds IN almost everywhere and therefore [Section 11.6(f)]
everywhere.
58 I.V. Polar Sets and Their Applications
{v>u}nA=U{v>r}n{rZu}nA (r rational)
Proof. (a) (b) Has already been proved for D = R". The proof for a
ball is similar.
(b) . (c) Let u be a positive superharmonic function on D, identically
+ oo on A. Then (for n z 1) u/n z u on A ; so 5 u/n, and therefore
0 at every point where u is finite. Hence the positive superharmonic
60 I. V. Polar Sets and Their Applications
function R" has a zero and accordingly must vanish identically (super-
harmonic function minimum theorem).
(c) . (d) The result follows because R' = IN almost everywhere.
(d) (a) The result follows because if 0, there is a function
v positive superharmonic on D, Z u on A, 5 2-" at , so that Eo v is
superharmonic on D, identically + oo on A.
Special Case
lim if N > 2.
n-4
Then Theorem 5 implies that there is a constant c such that the function
ifN=2,
ifN>2
has a harmonic extension to B u We give the proof for N = 2. According
to (5.4) there is a constant ct for which the function u + ct log I is - I
liminfv(,)>
q-m
-oo ifN> 2,
ifN=2,
(v-c)1-1'-2 ifN>2
has a finite limit at the point co.
A= U )CeiD:ICIsn,liminfu(ry)Sc-I
n
,
R=1 9'C
the set A is polar if it is inner polar. Thus Theorem 7 is true if "quasi every"
is replaced by "inner quasi every."
To prove the theorem, observe that according to Theorem 2 if N > 2
there is a positive superharmonic function v on R", identically + 00 on A ;
if N = 2 and D is bounded, there is a positive superharmonic function v on
a ball containing D, identically + oo on A. In either case if e > 0 the function
(u + sv),D is superharmonic on D with inferior limit z c at every point of
OD, including oo if N > 2 and D is unbounded. Hence u + vv z c on D by
the superharmonic function minimum theorem of Section 11.5, and therefore
u z c quasi everywhere on D and so everywhere on D. If N = 2 and D is
unbounded, we can suppose that lim inf,.,, u(PI) z c because the plane can
be inverted in a circle with center a finite boundary point of D not in A,
so that the transformed superharmonic function on the image of D has this
property. Thus if c' < c, there is a disk B so large that u z c' on D - B. The
part of the theorem already proved yields the inequality u z c' on D n B
from which it follows that u z c on D, as was to be proved.
8. Evans-Vasilesco Theorem
here that D is either R2 or a special open subset of R" (N ,':t 2). We can
suppose that p has compact support because the GD potential of the projec-
tion of u on A - b) is harmonic and therefore continuous on D n S)
for every S > 0. Under the hypothesis of compactness of A, the restriction
(Gp)ID is superharmonic and is the sum of GDu and a function harmonic on
D (Section IV.1); so it follows that under the hypotheses of Theorem 8, the
function (Gp)IA is continuous at and is finite there, and it is sufficient to
prove that Gp is continuous at . Suppose first that N > 2. If pt8 is the
projection of i on finiteness of implies that 0 and
that limj,0Gp 0. Furthermore, since G(µ - p4') is continuous on
S), the function (Gp4l)IA must be continuous at . If e > 0 and if S is
sufficiently small, depending on e, Gµ480) < e. For such a value of b conti-
nuity of (Gp46 )IA at implies that (Gp J)IA < e in some neighborhood of ,
and hence this inequality is true for all smaller values of S. It follows that
5 sup Gpl"(C)
Ce B((.a(2)
(8.3)
-5;2'-' sup Gp'6(C')
Cs B(4.a/2)
then necessarily bounded because this potential has limit 0 at every boundary
point of D. For arbitrary Greenian D the boundedness of a continuous
finite-valued potential GDp for p of compact support in D follows from the
boundedness properties of GD to be proved in Section VII.5.
It will be proved in Section VI.2 that a nonpolar analytic subset of R" has
a nonpolar compact subset. This fact will imply that the above Corollary
is true if B is an analytic nonpolar set.
10. The Domination Principle 67
It is not obvious that conditions (a)-(c) are equivalent, and we shall not
need this equivalence in the proof of Theorem 10, but according to Theorem
11, both conditions (a) and (b) imply that polar sets are p null and thereby
that (a)-(c) are equivalent. It is a defect of Theorem 10 that polar sets must
be y null, but it will be shown in Section XI.23 that GDp 5 v if
Special Hypotheses on r
cally + oc on A, with v(D) < + oo. Apply Fubini's theorem and the symmetry
of GD to derive
nv(D) z f GDp,dv= f
D ,JD
Application to Gu When N = 2
inf
u
u u u
u
a countable subset of r whose lower envelope has the same
lower semicontinuous smoothing u.
Conversely, if A is a polar subset of a Greenian subset D of RM, there is a
decreasing sequence v, of positive superharmonic functions on D with limit v
such that v > v on A.
The direct part of the present theorem is identical with Theorem 111.3
except that Theorem IIi.3(c) allows a larger exceptional set than Theorem
1(c). Thus there remains only the proof of Theorem l (c) and of the converse
part of Theorem 1. Since Theorem 1(c) is a local assertion it can be assumed
in its proof that the functions are defined on a ball D, and in view of the
discussion in Section 111.3 it can be assumed that r is a decreasing sequence
of positive superharmonic functions on D. The limit function need only be
analyzed on a strictly smaller concentric ball B, with u replaced by
(reduction relative to D). This reduction, equal to its lower semicontinuous
smoothing because B is open, is a superharmonic potential Gals. (Section
IV.8) and is equal to u on B, so the replacement is legitimate. The measure
µ is supported by B. On D - B the sequence u, is a locally uniformly con-
vergent sequence of harmonic functions; so the sequences of partial deriva-
tives are also locally uniformly convergent on D - B (Theorem 11.3).
2. Inner Polar versus Polar Sets 71
The equality
combined with the inequality u Z GDµ, implies that u = GDµ at v almost every
point of D. Since # is the maximal lower semicontinuous minorant of u, it
follows that u z u 2t GDµ with equality v almost everywhere. Thus, if A =
(u > it has now been shown that v(A) = 0 whenever GDv is finite valued
V},
and continuous. In view of Corollary V.9 this fact means that every compact
subset of A is polar; that is, the set A is a Bore] inner polar set. Theorem 1(c)
follows from the next theorem, whose proof uses the partial result just
obtained.
Conversely, suppose that A is a polar subset of the Greenian subset D of
R', and let r be the class of positive superharmonic functions on D equal at
least to I on A. The infimum of the class is (reduction relative to D) RA,
and (Theorem VI.4) RA m 0. According to Theorem 1(d), there is a sequence
in r whose lower semicontinuous smoothed infimum vanishes identically. If
v is the minimum of the first n members of this sequence, v, has the properties
stated in the converse of Theorem 1.
is inner polar. Since each set in the union is compact, the union is polar.
(b) If v is a finite-valued positive superharmonic function on D and if
e D, the set functions and are strongly subadditive on the class
of compact subsets of D. To prove this, consider the strong subadditivity
inequality
and the corresponding equation (2.2sm) for smoothed reductions is also true.
Under these hypotheses R" , = v quasi everywhere on A because
RA A. = v quasi everywhere on A,,, and the two superharmonic potentials
lim,,.-m R". and RA are therefore equal quasi everywhere on the common
support A of their associated Riesz measures. It follows from the domination
principle that these potentials are identical. The functions R," and
Ro are trivially equal on A and are equal on D - A (on which they are
harmonic and equal to their smoothings) because (2.2sm) is true.
(d) If v is afinite-valued positive continuous superharmonic function on D
2. Inner Polar versus Polar Sets 73
According to Theorem V.4, the right side of (2.5) is 0, and the consequent
vanishing of the left side implies that A is polar. o
lim RA = R",
n-w
Observation. The following example shows that the last assertion of (e) is
false without the hypothesis that v = v for all n. Let D be a ball, let u be a
minimal harmonic function on D corresponding to some boundary point C,
that is, v is a strictly positive multiple of the Poisson kernel for the boundary
3. Properties of the Reduction Operation 75
R"
+u
= [inf {RB
+v
: A c B, B open}].. (3.7)
76 I.VI The Fundamental Convergence Theorem and the Reduction Operation
(o,) Let v, v', v", h' be functions from D into l8+ with v" = v' + h', and
suppose that v, v", and h' are positive superharmonic functions. Define
A={v:v'}and B={v-v"}.Then
hA + hABA + hABABA + . ' 5 v" (3.9)
and
V nb bh)
h,48 5 hABAB 5 (b) hAB+ hABABAB 5 (b) 2hAB+ .... (3.11)
so
V A (bh)
hAB h ARAB + S (3.12)
b-a
Furthermore
e A (ah) (a a\2
hBA 5 b hBABA 5 I b) hBA+ hBABABA 5 (b f hBA, ... ; (3.13)
so
Ub (ah).
hBA + hBABA + .. 5 (3.14)
Observation. Since hB 5 h', it is trivial that (3.9) is true with the left side
replaced by hsA + hBABA + . We shall see in Section XI.4 that the inequal-
ities under (o) yield limit properties of superharmonic functions and of ratios
of superharmonic functions. See Sections 2.111.12 and 2.111.22 for the
probability counterparts of these inequalities.
4. Proofs of the Reduction Properties 77
Proof of (d). The first line of (d) and the equality of the two infima are
immediate consequences of (b) and (c).
Proof of (e). Under the hypotheses of (e) the reduction R increases with
n. Define u = Ro n, and observe that u is superharmonic and that
u = v quasi everywhere on A because un = v quasi everywhere on A. It
follows from (d) that u z RA , and since the reverse inequality is trivial,
(3.lsm) is true. Equality (3.1) is trivial on A and is also true on D - A
because on that set R"n = R"
+v, and Rv = R"
+v
according to (b). In proving the
second assertion of (e) we shall suppose that D is connected to avoid irr-
evant notational complexity. Assume then that v = v for all n, choose a
point in D, and let u be a positive superharmonic function on D, majorizing
v near A. n 8D, with
un(c) 5 R fr 2-".
The function
vk=u+(un_R"^^dD),
k>0, (4.1)
n=k
78 I. V1 The Fundamental Convergence Theorem and the Reduction Operation
Proof of (f). Suppose first that there are only two summands in (3.2); so
the equalities
n
A=
Rv o
A
Rvk +RAn
4. Proofs of the Reduction Properties 79
and since R" 5 F+ , vR, it follows that (3.2sm) is true quasi everywhere and
therefore everywhere on D. Equation (3.2) is then true on D - A, and this
equation is trivial on A r D.
05 1ini
N_ QD
RV _t,=u-R;.
The difference u - Rw is a positive harmonic minorant of v - h for all n,
and therefore u - R,", 5 v - h ; so u = R; by definition of h. Finally, u = RA
because R ,, is a positive harmonic minorant of h and so vanishes
identically+
Proof of (h). In view of the trivial fact that the smoothed successive reduc-
tions of v on A and B in either order lie between and BvO", it is
sufficient to prove idempotence, that is, to prove that DBvO"DA = Qv0A. The
proof will be carried through in several steps.
(h,) If A c D, the desired idempotence is a consequence of (d) because
the condition on u in (d) is unchanged if v is replaced by OvOA.
(h2) If A c 8D, the following argument yields idempotence. Use
Choquet's topological lemma to find a decreasing sequence v, of
positive superharmonic functions on D, each majorizing v near A,
with sequence limit O v D". Replacing v by V. A v if necessary, it can be
supposed that v = v near A so that QV JA. It now follows
from (g) that
Finally, to prove (h), apply 111(5.2) and (f) to write D0vO"D" in the form
D OVOADA=
DOVOADAIW+D OVOAD"nD
- DOVOADAnODAnD
80 1 V1. The Fundamental Convergence Theorem and the Reduction Operation
and then apply (h,) and 111 (5.2) to show that the right-hand side is OvOA
so that
p v OA,H = OvOA DAv. +
(4.7)
= pupA + Ov 8.
Thus (3.4sm) is true, so (3.4) is true off A u B, and the latter equation is
trivial on (A u B) n D.
Proof of (k). (This proof involves the domination principle and thereby
the Green function, so at this stage the arguments are relevant only for
special open sets D, but the extension of the domination principle to all
Greenian sets will be seen to be trivial once GD has been defined for every
Greenian set D in Chapter VII.) We shall not use in the following proof
the partial result derived in the course of proving Theorem 2 that if v is
continuous as well as finite valued, is a Choquet capacity on D relative
to the class of compact subsets of D. To prove (k) in the present context
observe that all the capacity properties have been verified for except
the property that
By subadditivity of R;,,
RBm-B
+ RAY^B 2t RBA-B + RA m^B Z lim R" (k 5 m). (4.10)
R-OD
Hence
and as B shrinks to A n OD, the left side becomes RAnD + RAID in view of
III(5.1). The second reduction vanishes identically because v is a potential,
so we find that
Proof of (1). Case 1. If v is finite valued, (3.5) follows from (k) since analytic
subsets of D u 8D are capacitable for the Choquet capacity
Case 2. If A c D but if v is not necessarily finite valued, apply Section 3(e)
to derive
82 1 VI. The Fundamental Convergence Theorem and the Reduction Operation
so (3.5) is true.
Case 3. In the general case write uF for Rp ^ d ° and observe that according
to Section 111.5(c),
OF =uF - Rv^ F=VF-RV^°+RvF°. (4.12)
Since the class of sets F includes the compact subsets of A r D, Case 2 above
shows that limFt R1,D = RV"'. The same argument shows that if F' is a
compact subset of A, then
Proof of (m). Assertion (i) has already been proved in Section III(e). To
prove (ii) observe that if v is finite valued on D, then in view of the properties
(J) and (k) the restriction of the set function to the class of compact
subsets of D v OD is a topological precapacity. This topological precapacity
4. Proofs of the Reduction Properties 83
A) = inf B: B D A, B open)
= inf {RB(A): B c A, B open} = RA(s)).
from which it follows that hABAB 5 (a/b)hAB. Iterate and sum to derive (3.11)
and (3.12) with v instead of u A (bh). Relations (3.11) and (3.12) are true as
written because if v is replaced by V A (bh), the sets A and B are unchanged.
To prove (3.13) and (3.14), observe that the inequality between the second
and fourth terms in (4.16) implies
Iterate and sum to show that the left side of (3.14) is at most bh5A/(b - a).
Since (4.16) implies that bhBA < v and bheA 5 ah, (3.13) and (3.14) are true.
The reader is invited to derive (3.12) and (3.14) from (ot).
Green Functions
Zc+ zc+
G(4, ) - (1.1)
GD('
- (GD 0
on Do
) 0 on D - D0.
86 I.VII. Green Functions
GMDG(, )
(1.3)
= GQ,') - GMD[GB(, ) + GMBG(, )],
Thus the Green function of a smooth open set as defined in Section 1.8 and
evaluated for a ball in Section 11. 1 is the Green function in the present sense,
and GD = G when N > 2 and D = R". We shall discuss the solution of the
first boundary value problem for harmonic functions on Greenian subsets
of R" in Chapter VIII. Let u(, ) be the solution in the generalized sense of
Chapter VIII, that is, the "PWB" (Perron-Wiener-Brelot) solution, of this
first boundary value problem on a Greenian set D for the boundary function
2. Extremal Property of GI) 87
2. Extremal Property of GD
Theorem. Let D be an open subset of RN and let be a point of D. If GD exists,
then
= inf {u z 0: u superharmonic on D, u z
on some neighborhood of }
u(g)
= inf {u Z 0: u superharmonic on D, lim inf z 1 I.
-c q)
In the following proof we denote the jth class on the right in (2.1) by r,.
These classes are not empty if Go exists, but if GD does not exist, these classes
are empty because they all involve the existence of positive nonconstant
superharmonic functions on D, and we shall see in Section 7 that Go exists
if and only if D is Greenian.
Proof for r, . r3, r4. If u e IF, v r3 v r4, then we have just shown that u C- 1-2.,
and we have already seen it follows that u z Conversely, e
r,nr2nr4and (1 every e>0.
88 I.VII. Green Functions
3. Boundedness Properties of GD
Theorem. Let D be an open subset of R" with a Green function GD, and let
be a point of D.
(a) If B is an open neighborhood of s in D, relatively compact in D, and if
v is a positive superharmonic function defined on an open superset
of D - B, with v z GD(, ) on a neighborhood of v
on D - B.
(b) RBD,t , = R"Die = GD(i;, ) (reductions relative to D) whenever B is
a neighborhood of
(c) If v is a strictly positive superharmonic function on D, then outside
each neighborhood of , GD(tf , ) < const v. In particular (v a 1),
GD(,, ) is bounded outside each neighborhood of , and if , is a point
in the same open connected component of D as , then outside each
neighborhood of , GD(, ) 5 const GD(,, ).
(d) Let B, be a compact subset of D and let BZ be D less a neighborhood
of B, . Then GD is bounded on Bt X B2.
Proof of (a). Define
`GD(, ) on B,
v, =
Sl GD(, ) n v on D - B.
so the first minorant in (3.1) exists. The harmonic function u(,, ) is bounded
above by c, = sup,,D G(, , ) < + oc ; so
so the second minorant in (3.1) exists. Finally, the first difference in (3.2)
is at most
b = GD(bl, ) + b, (3.5)
4. Further Properties of GD
As already remarked we shall prove in Section 7 that the open sets with
Green functions are the Greenian sets. In the following theorem the boundary
involved is the Euclidean boundary.
Z GD(,') Z G(:, ) - c
on R'. It now follows from the Fundamental Convergence Theorem that the
function lim,,..m is equal quasi everywhere on R" to a super-
harmonic function u More specifically,
u(, ) = on D,
u
G(, ) on R' - D and at quasi every finite
point of OD.
GDp() = JD (5.1)
The following facts have been derived for D special but are true in general,
and the proofs for special D are applicable. A potential GDp is either super-
5. The Potential GDµ of a Measure p 93
GDp() =
JA
fA
q)p(drl). (5.2)
Since all open nonempty subsets of lE for N > 2 and all bounded non-
empty open or not connected open subsets of R2 are both Greenian and
have Green functions, only unbounded open connected subsets of l 2 re-
9. Approximation Lemma 95
on D.. (7.1)
9. Approximation Lemma
Lemma. If D is a Greenian subset of R', if 0 is a finite-valued continuous
function on D, with compact support B, and if B, is a compact neighborhood
of B in D, there is a sequence u, - v, of differences of finite-valued continuous
potentials whose associated Riesz measures are supported by Bt, with u _
v,, on D - Bt and lima.,, (u - uniformly on D.
Suppose that p and v are finite measures on a Greenian set D, with the
property that whenever u and v are finite-valued positive continuous super-
harmonic functions on D, with u Z v, then
96 I.VII Green Functions
j4)d <f0dv.
JD
inf v r = v({C}).
D.
Vol)
liminf =v({t}). (10.2)
q-t GD(1,
To prove this, observe that according to (10.1) the limit inferior a in question
is at least v({i;}). If there is strict inequality and if a > /3 > v({C}), then
v> C) on a deleted neighborhood of C and therefore (Theorem 3) on D;
so the infimum in (10.1) is z fl. Hence v((C)) z /3, contrary to hypothesis.
We shall prove (Theorem XI.4) that the limit inferior in (10.2) is a limit
in the context of the fine topology discussed in Chapter XI.
Generalization. If C is a point of a compact polar subset A of D and if
now Do is D - A, then a trivial modification of the preceding discussion
shows that the restriction of to D - A is a minimal harmonic function
for Do and that (10.1) and (10.2) are true, with the understanding that the
infimum in (10.1) may be taken over either Do or D - and that ry in
(10.2) may tend to C on either Do or D.
Chapter VIII
v() = dq) = V)
JD
for in D and a in 1,. For example, if D is an open subset of RN, if for each
g the index at represents a ball B of center with closure in D, if 1, is the
class of all such balls, and if v) is the unweighted average of v on aB,
then the class of continuous functions on D satisfying (1.1) is the class of
harmonic functions on D. Going back to the general case, suppose that h
is a strictly positive generalized harmonic function and define by
/1 A) = h(7)Y°h( . (1.2)
u(D = I
at each boundary point C. (In the usual formulation of such a problem the
boundary function f is supposed finite valued and continuous.) Since a
function on OD that is the boundary limit of a function on D is continuous,
this Dirichlet problem cannot have a solution unless f is continuous. On the
other hand, the following example shows that boundary function finiteness
and continuity may not be enough to ensure the existence of a solution.
EXAMPLE (a). Let D be a ball less the center, let h =_ 1, and let dD be the
Euclidean boundary. Let f = 0 at the ball center and f = 1 on the rest of
the boundary. Then f is continuous on OD. The Dirichlet problem on D
for this boundary function has no solution because if u were a solution,
then 0 < u S 1, and (Section V.5) u would be harmonic on the ball if defined
as 0 at the center. But then u would attain its infimum 0 at the center and
therefore would vanish identically, contrary to the hypothesis of limit I at
the ball boundary.
EXAMPLE (b). Dirichlet problem for a ball. Let D be a ball, and let 8D be
the Euclidean boundary. According to Theorem II.1, the Poisson integral
PI(D,f) solves the Dirichlet problem with h - I for any finite-valued con-
tinuous boundary function f If h is minimal harmonic however, that is
(Section IL 16), if h is a multiple of K(C, ) for some boundary point (, the
Dirichlet problem for h-harmonic functions with a specified bounded func-
tion f cannot have a solution unless f is identically constant. In fact a solu-
tion would be an h-harmonic function bounded by the bound off and so
would be identically constant because h is minimal harmonic.
The PWB method starts with a Greenian set D provided with a boundary
OD by a metric compactification and assigns to each extended real-valued
function f on BD an upper and a lower PWB" class of function on D. A
function v on aD is in the upper [lower] PWB" class if on each open con-
nected component of D this function is either identically +oo [ - oo] or
h-superharmonic [h-subharmonic], is bounded below [above], and satisfies
the inequality
for every boundary point C. The functions in the upper PWB' class for f are
the negatives of the functions in the lower PWB' class for -f. An application
of the minimum theorem for h-superharmonic functions yields the fact that
every function in the upper PWB" class for f is a majorant of every function
in the lower class. If u and v are in the upper class, then u A v is also. Thus
the upper class is directed downward, and dually the lower class is directed
upward. If v is an h-superharmonic function in the upper class and if B
is a ball with B c D, then rBv is also in the upper class and is a minorant
of v. Thus the infimum Hf of the upper class is, in each such ball B, the
limit of a downward-directed family of h-harmonic functions unless each
member of the upper class is identically + oo in B. In each open connected
component of D the function Hf is therefore either the constant function
+ oo, the constant function - oo, or an h-harmonic function. The supremum
H f of the lower class must also have this property, and H f < fl f'. The
function Hf [Hf] is called the lower [upper] PWB" solution for f It is
immediate that Hip = R; /h = "R; for A a subset of 3D. If the upper and
lower solution are identical and h-harmonic, they are denoted by H, f will
be called h-resolutive, or simply resolutive when h =- 1, and H f* will be called
the PWB" solution for f. A boundary of a Greenian set D will be called
h-resolutive, or simply resolutive when h = 1, if every finite-valued continuous
boundary function is h-resolutive, equivalently according to Section 6 below,
if the bounded Borel measurable boundary functions are h-resolutive. If a
boundary is h-resolutive for every h, the boundary will be called universally
resolutive.
The set D has not been supposed connected in the preceding discussion.
If D is not connected, let Do, D, , ... be the open connected components
of D, and let 3Dj be the boundary of Dj relative to D u 3D, where aD has
been determined by a metric compactification of D. Then OD = Uo 3Dj.
If f is a function on aD let fj be the restriction off to 3Dj. A function u on
D is in the upper [lower] PWBh class for the boundary function f if and
102 I.VIII. The Dirichlet Problem for Relative Harmonic Functions
Hf is harmonic on D.,,
5 (2.1)
ifHf ooon
(A dual assertion is true for lower PWB" solutions.) To see this, observe
that by definition of upper PWB" classes there is a function uj in the upper
PWB" class on D for f such that (2.1) is satisfied by uj. On each set D,, define
u = uj and define u = + oo on each remaining component of D.
Internal Resolutivity
Hf-e<Ha<HB<Hf+e,
and we conclude that if f is a uniformly convergent sequence of finite-valued
h-resolutive boundary functions with limit g, then g is h-resolutive, and the
sequence Hf is uniformly convergent with limit H.
This set is an F. set, that is, a countable union of compact boundary subsets.
In fact for an arbitrary function 0 from D into A the boundary function
C'- urn sup{-{,ID 0() is upper semicontinuous, so iff is a bounded boundary
function, the boundary set
3. Examples
for sufficiently large c. The assertions (b)(i) and (b)(ii) are therefore appli-
cable to polynomial boundary functions when D is bounded.
Special case (b"). According to Section VII.3, the hypotheses of (b) (i) and
(b) (ii) are satisfied by u1= G(,, ) A c1jD for , in D and - oo < ci 5 + oo.
Special case (b"). If N > 2 or if N = 2 and D is bounded, the hypotheses
of (b)(i) and (b)(ii) are satisfied by u, = G(s, )JD' u2 0, for each point
in D.
106 I. VIII. The Dirichlet Problem for Relative Harmonic Functions
This theorem, together with the fact that the PWB method yields the
classical solution whenever there is one, justifies this method. In the follow-
ing, C(OD) denotes the class of finite-valued continuous functions on OD,
metrized by the supremum norm. In view of the fact (Section 2) that the
limit f of a uniformly convergent sequence f of finite-valued resolutive
boundary functions is resolutive and that Hf is uniformly convergent to
Hf on D, it is sufficient to prove that there is a countable dense subset
r: iga,aaI} of C(aD) with the property that for each index value a, the
function ga is resolutive, and H,, has limit ga(C) at quasi every finite boundary
point C, as well as at i; = oo when N > 2 and D is unbounded. In fact the
Euclidean boundary is then resolutive, and if A. is the exceptional polar
boundary subset for ga, the finite boundary points not in UaeiAa are
regular.
In view of Section 3, Example (b'), when D is bounded F can be taken
as any countable dense subset of C(aD) consisting of restrictions to aD of
polynomials. The following proof is applicable to both unbounded and
bounded sets D.
If N > 2, let t, be the class of positive superharmonic functions on Ol;"
which are finite valued and continuous with finite limit at oo. Define u(oo)
for u in Ti as the limit of u at oo. Then IF, contains the positive constant
functions and u A v, and au + by are in IF, if u and v are and if a and b are
positive constants. Let F. be the class of differences u, - u2 with ui in 1-1,
so that 1'2 is a vector lattice in the order determined by pointwise inequality.
The set 173 of restrictions to OD of the members of F2 is a vector lattice of
finite continuous boundary functions, which contains the constant functions
and separates DD because c A -)Ian (defined as 0 at oo) is in 1-3 for an
arbitrary positive constant c and an arbitrary point . The set 173 is dense
in C(aD) (Stone-Weierstrass theorem), and in view of Section 3, Example
(b) any countable subset of l'3 dense in C(OD) can serve as the desired set F.
If N = 2, let o be a point of R' and define Ti as the class of functions u
satisfying the following two conditions:
(a) u is a finite-valued continuous superharmonic function on R2.
(b) There is a strictly positive constant a and a constant fi, both depend-
ing on u, such that u is identically fi outside some bounded
set which may depend on u.
4. Continuous Boundary Functions on the Euclidean Boundary (h a I) 107
f= IA 18
H"n"= Hn"";
0=Nf z
so the set { f > I /n} is h-harmonic measure null. Hence Ul f > 1 /n} _
{ f > 0) is h-harmonic measure null.
(d) If f is a boundary function for which H f < + oo, then the set
A = { f = + oo } is h-harmonic measure null.
Choose (Section 2) an h-superharmonic function u on D in the upper
PWB" class for the boundary function f. The function u is positive and has
limit + oo at every point of A so A is h-harmonic measure null according
to (b).
(e) Euclidean boundary, h = 1. A polar subset A of OD is a harmonic
measure null set.
If N > 2, let u be a positive superharmonic function on R", identically
+ oo on A. Then v = ulD has limit + oo at every point of A ; so according to
S. h-Harmonic Measure Null Sets 109
We use here the notation of the discussion in Section 2 of the PWB method
and the Kelvin transformation. It is clear from that discussion that an
h-harmonic measure null subset of aD is transformed under an inversion
into an h,-harmonic measure null subset of OD'. We shall use the following
additional fact when h = 1. If OD and aD' are Euclidean boundaries and if
A is a harmonic measure null subset of aD, then ¢(A) is a harmonic measure
null subset of OD', under the additional hypothesis when N > 2 that all
points of cb(A) are finite. This fact follows from the criterion for h-harmonic
measure null sets in (b) because if v is a positive superharmonic function
on D with limit + oo at every point of A, then the Kelvin transform of v
is a positive superharmonic function on D' with limit + oo at every finite
point of ¢(A), every point of O(A) if N = 2.
and we have just seen that such a transformation of the plane preserves the
harmonic measure null property. If N> 2, the singleton {oo} may not be
a harmonic measure null set for an unbounded Greenian set. For example,
if D = R' and if u is in the upper PWB class on RN for the boundary function
11,,), that is, if u is superharmonic and lower bounded on RN, with inferior
limit z I at oo, then u >- 1 by the superharmonic function minimum theorem.
I 1z
h()= 6, - SIN
IS -
Proof of (a). Let A be the harmonic measure null set in question. It is enough
to prove the second equality, and (by symmetry) it is even enough to prove
that Hf 5 H. If v is in the upper PWB class for g and if v, is a positive
superharmonic function on D with limit + oo at every point of A, then
v + ev, is in the upper PWB class for f whenever e > 0; so Hf 5 Hg quasi
everywhere on D and therefore everywhere on D. o
and if u [v] is in the upper PWB class for f [g], the function u + v is in
the upper PWB class for f + g; so Hf,9 < u + v and (c) follows. o
Proof of (d). The fact that the class of resolutive boundary functions contains
the finite constant functions, that the class is linear, and that the map f - Hf
is linear on this class follows from the PWB properties listed in Section 2
together with (c) and its dual for lower solutions. We need not discuss the
resolutivity of both f v g and f n g because f n g = -[(-f) v(-g)].
Moreover in treating f v g we can choose g = 0 because
fvg=[(f-g)v0]+g.
We assume therefore that f is resolutive and prove that f v 0 is resolutive,
with Hf o = LMD(HI v 0). Choose a point g; in each open connected
component of D, and choose v in the upper PWB class for j with
vn(bJ) G 2-"
for all j. The series Fk°D (v - Hf) of positive superharmonic functions has
a superharmonic sum because the sum is finite at a point of each open
connected component of D. The positive function
LMD(Hf v 0) + Z (v - Hf)
k
is a majorant of ur, form > n, and v is therefore in the upper PWB class for
f, with
Thus the first assertion of (e) is true at each point bk and therefore everywhere
on D in view of the trivial inequality Hf z lim,, H. Under the hypotheses
of the second assertion,
Proof of (h). Since H,A = I - H,aD_A, only the first equality in (6.1) need
be proved. A function v on D is in the upper PWB class for lA if and only if
on each open connected component of D the function v is either identically
1 14 I VI11 The Dirichlet Problem for Relative Harmonic Functions
8. h-Harmonic Measure
and (Section 11.3) on each open connected component of D the limit is either
identically + oo or is h-harmonic. If this limit is h-harmonic on D, the
function f will be called µD integrable; the class of such functions f will be
denoted by L'(AD). Then feL'(4D) if and only if f v 0 and f n 0 are in this
class and, if so,
Let Do, D,, ... be the open connected components of D, and let aDk be
the boundary of Dk relative to D u aD. Let h be a strictly positive super-
harmonic function on D, and denote by hk the restriction of h to Dk. Let f
be a function on aD, and denote by f the restriction off to aDk. Then f is
an h-resolutive boundary function for D if and only iff is h-resolutive for
Dk for all k; f is µD measurable if and only iffk is µ"Dk measurable for all k;
f e L' (,uD) if and only if f e L' (p'k for all k. When A is a µD measurable
subset of aD, the function p" k(-, A r aDk) is the restriction of 4(-, A) to D.
H1 = µD(-,f ). (8.1)
µD('>fv0)=JimAD(',(fv0)nn)=limHf o) ,,=Hfvo
Hence f v 0eL'(p'D). Similarly f A 0eLI(jD); so feL1(µD), as was to be
proved.
limµD(C, ') = 8
lim A) = 1
t--4
d7) =
µ8(i, a B). (8.2)
In view of Example (b) and Section 6(h) it is sufficient to prove that for A
a compact subset of aD the function 1,,,,W on 8B is an h-resolutive boundary
function for B and that (8.3) is true. Observe that if v2 [u2] is in the upper
[lower] PWB" class on D for the boundary function 1 A on OD and if v, [u, ]
is in the lower [upper] PWB" class on B for the boundary function defined as
A) on D n 8B and as 0 elsewhere on 6B, the difference v2 - v, [u2 - u
on B is in the upper [lower] PWB" class for the boundary function IA,,',
on B. It follows that 1 A,,,1B is an h-resolutive boundary function on aB and
that (8.3) is true.
See Section 3.11.3(d) for the simple (after the necessary foundations have
been laid) probabilistic derivation of (8.3).
u z Hf n= PD(-, f A n)
on Do. (8.5)
GD, ( ,
e(l + w)
9. h-Resolutive Boundaries
Section 6 implies that a boundary is h-resolutive if and only if the Bore]
boundary subsets have h-resolutive indicator functions, equivalently, if and
only if the compact boundary subsets have h-resolutive indicator functions.
9. h-Resolutive Boundaries 119
H,A+ H 10D-A = 1
Application to Balls
for every Borel boundary subset A. Hence the set function in Theorem 9 is
additive. so the Euclidean ball boundary is universally resolutive. Moreover
equation (9.1) implies that
)
PhW,dC) = K(C, (9.2)
h( )
PI(B, f ). The class of PWB solutions Hf is thus [Theorem 11.14(b)] the class
D(p8_) which includes all bounded harmonic functions on B. Hence the
Euclidean ball boundary is internally resolutive. The generalization of
Theorem 11.14 to h-harmonic functions in Section IX.12 will make this
reasoning applicable to show that the Euclidean ball boundary is universally
internally resolutive. The following example exhibits h-resolutivity and
internal h-resolutivity in an extreme case. If C is a Euclidean ball boundary
point and if h = K(C, ), then (9.2) implies that 1. In this case
every boundary function f finite at a is h-resolutive, and Hf = f(C); the
class of PWB' solutions is the class of finite constant functions. Since h is
minimal (Section 11.16), a bounded h-harmonic function is necessarily a
constant function; so we have proved that the Euclidean boundary is
h-resolutive and internally h-resolutive for this special choice of h.
Application to Half-spaces
logl-q*l
ifN=2
f - nl
(9.3)
IS - nl2-N - is - q*l2-N if N>2
2dr
N'N-I(dn), =0. (9.4)
nNl - nl
In fact this evaluation of µD is correct because it is easily checked that if f
is a finite continuous function on OD, the function PD(-J), as defined using
(9.4). is harmonic on D with boundary limit function f. The function pD( J)
is called the Poisson integral off, just as in the ball case. Just as in the ball
case, to each boundary point q of D corresponds a minimal positive harmonic
function K(q, ) on D, a constant multiple of the harmonic measure density
in (9.4) for that value of q, with a special provision for q = oo. More specif-
9. h-Resolutive Boundaries 121
1x I tl - Col x if 00
K(q, 117
dS if q = 00.
The proof follows that in the ball case and is omitted. Just as in the ball
case, it is shown that the Euclidean boundary is universally resolutive and
that (9.2) is true in the present context.
Some of these results are easily reduced to the ball case by means of an
inversion in a sphere taking D into a ball. It will be shown in Chapter XII
that if D is an arbitrary Greenian subset of R', there is a universally resolu-
tive and universally internally resolutive boundary aMD, the Martin bound-
ary, and a function K on 3MD x D, such that K(q, -) is a minimal positive
harmonic function on D when q is in a certain subset ?4'D of eD, and that
to each positive harmonic function u on D corresponds a unique measure
on aMD, supported by a;'D, for which the counterparts of the Riesz-
Herglotz-type representation (9.6) (known as the Martin representation in
this general context) and of (9.2) are valid. The Martin boundary reduces
to the Euclidean boundary if D is a ball or half-space, in which cases a;'D =
aTMD.
{tB(h,U) ID)
u(S) ? N"9(4,u1D) _ (EB). (10.1)
on B. The inequality in (10.1) and the inequality (10.2) are now both trivial.
The equality in (10.1) follows from the relation between h-harmonic measure
and harmonic measure on D n 8B established in Section 8, Example (b).
(b) The positivity hypothesis imposed on u in (a) was made only to
allow the use of reductions. We now drop this hypothesis on u but suppose
that B is an open relatively compact subset of D. Then a trivial modification
of the proof in (a) shows that the restriction to B of the infimum of the
class I- of h-superharmonic functions on D majorizing con D - B is U),
the PWB" solution on B for the boundary function f = ulaB. Finally, (10.2)
remains true in the present context, and in this context u1D = U on B. If
B, and B2 are balls of center S and if h = 1. the inequality (10.2) reduces
11. Generalization of the Operator TB' and Application to GM` 123
GMo''R. = lim
yM "R"-B
+U (11.2)
0°_1n
Du0"_B,
D DUD" D°-B' 5 + ll DUD"-B^ 0D-B1'
Duo"-B.,
5 + 0 DUD""B'" pD-H.
12. Barriers
Let D be a Greenian subset of 18", coupled with a boundary OD provided
by a metric compactification, let h be a strictly positive harmonic function
on D, and let C be a point of aD. Usable conditions that C be h-regular are
most easily formulated in terms of "h-barriers" (see Section 13). A strictly
positive h-superharmonic function u on D will be called an h-barrier for D
at { if limn-, U(q) = 0 and if (*) info-Bu > 0 whenever B is a neighborhood
of If the condition (*) is omitted, u will be called a weak h-barrier for D
at By an easy application of the h-superharmonic function minimum
theorem, (*) is true if and only if Iim infn.E u(q) > 0 for in OD - {C }.
As usual, h will be omitted from the notation and the nomenclature when
h-1.
Local Nature of the Existence of an h-Barrier
If N > 2 every unbounded open subset D of R' has a barrier at the point
ao, namely, the restriction of the function G(0, ) to D. An unbounded open
subset D of B2 has a [weak] barrier at the point ao if and only if the image
of D under an inversion in a circle has a [weak] barrier at the circle center.
Hence we can assume in the following proof that the boundary point C in
question is finite. In view of the fact that the existence of a barrier at C is
a local property of D, it is sufficient to show that there is a barrier on the
trace on D of an open neighborhood of C, so that D can be supposed bounded.
Suppose then that D has diameter 6 < + oo and that u is a weak barrier for
D at the boundary point C. Define O(PI) = J o7 - CI and f = 01,D. The function
46 is subharmonic, and OID is in the lower PWB class on D for f. Hence
Hf z ¢ on D, and it will be shown that Hf is a barrier for D at C by showing
that H. has limit 0 at C. Fix r > 0, let B = B(C, r), let A be a compact subset
of D n aB, and let 0 be the indicator function of (aB - A) n D on t?B,
so that PI(B, qi) is harmonic on B with limit I at every point of aB - A.
If uo is in the lower PWB class on D for f, the function uo on B n D is at most
r if 8B does not meet D and (by the maximum theorem for subharmonic
functions on B n D) is at most r + Su/infA u + SPI(B, 4i) if aB does meet D.
Thus in both cases
8u
Hf < r + + (Pl(B, +i) (12.1)
inf u
A
on B n D. The sum on the right has limit r + RI (B, 4/) (C) at C, and this
limit is at most 2r if A is sufficiently large. Since r is arbitrary, the function
Hf has limit 0 at C, as was to be proved.
The second assertion follows from the first applied to f and -f. To prove
the first assertion, let u be an h-barrier at C. Let b be any number strictly
larger than the right side of (13.1), let B be a neighborhood of C so small
that f S b in the neighborhood, and let b be the infimum of u outside D n B.
Choose n so large that b + no exceeds the supremum of f. The function
b + nu is in the upper PWB' class on D for f and has limit b at C. Hence the
left side of (13.1) is at most b; so the theorem is true.
Extension. Since a change off on a set of h-harmonic measure 0 does
not change HI or H f, the point , can tend to C on the right side of (13. 1)
on the complement of such a boundary set, and f(C) can be omitted on the
right hand side if {C} is h-harmonic null, as is true when h - I and 8D is
the Euclidean boundary, unless N > 2 and C = oo. This extension of Theorem
13 reduces to Theorem 11. 1 when D is a ball, h 1, and 8D is the Euclidean
boundary.
14. Barriers and Euclidean Boundary Point Regularity 127
Most of the open sets used in classical analysis have regular boundaries
because there are Poincare-Zaremba barriers at their boundary points. On
the other hand, if the excluded cone is sharpened into a cusp that is suffic-
iently sharp, a barrier may no longer exist at the vertex. For example,
suppose that N = 3, denote a point of 683 by its coordinates t'l, t2', t31,
let A be the closed line segment with endpoints the origin and the point
(1, 0, 0), and let u be the measure supported by A and determined by p(dd) =
""/t(ddt"). The potential Gp has value I at the origin, value +oo elsewhere
on A, and limit I at the origin along the negative 't) axis. The set D =
{ # 0: Gp(l:) < 2} is a solid of revolution about the fit" axis, includes the
negative fit" axis except for the origin, and has an exponential cusp at the
origin; D is the Lebesgue spine. We now show that the origin is an irregular
boundary point of D. If f is the boundary function equal to 2 at the finite
boundary points of D and equal to 0 at oo, then f is resolutive because the
Euclidean boundary is always resolutive. Moreover Hf is the restriction of
Gp to D because this restriction is a bounded harmonic function that has
the prescribed limit at every boundary point with the exception of the origin
and {0} is a harmonic measure null set. The origin is not a regular boundary
point of D because Hf has limit I at the origin along the negative l'I axis.
e,A) (17.1)
(17.2)
(17.4)
li m A) = A). (17.5)
and in view of (17.3) with A = A2, inequality (17.6) implies that (17.5) is
true when A = A2. Now by the monotoneity in (17.3),
for A c A2, and since the sum of these two inequalities yields an equality,
there must be equality in each; that is, (17.5) is true.
that is,
Note that we can take B = R' here when N > 2. With this specialization
(18.4) was derived in Section 3, application of Example (a). It will be shown
in Section 19 that (18.4) and (18.5) are true when N = 2 and B = l 2 if and
only if 112 - D is not too sparse near oo, more precisely, if and only if D is
bounded or if unbounded D has oo as a regular boundary point.
Observation (2). If we write for the restriction of the measure
to the class of Borel subsets of B, then according to Theorem 18,
and since the middle term in (18.7) is harmonic, the last term can be replaced
by GMDGB(q, ) to yield the equality
0= i) Ge (q, )) ( a D),
Now in view of the symmetry of the left side of (18.10), proved above, and
of the special lower semicontinuity property I1(6.1) of superharmonic func-
tions,
18. The Extension GD of GD and the Harmonic Average pD Ge (q. )) When D c B 135
GDv'=GDv=v-Io(',vIB), (18.13)
and then an application of the linear operation GMD to (18.13) yields (18.3).
If D is relatively compact in B and if v is superharmonic on B, it can be
supposed in proving (18.3) that v is lower bounded on B, after decreasing
B if necessary. In view of the Riesz decomposition it is then sufficient to
prove (18.3) separately for v a potential, in which case the proof has just
been given, and for v harmonic, in which case (18.3) is trivial. o
GMD V = (18.14)
136 1.VIll. The Dirichlet Problem for Relative Harmonic Functions
Now on the one hand (GMD v)/h = hGMDDv on D, and on the other hand
(Section 10(a)) the evaluation µ4,(, ul p) = vl p)h combined with (18.14)
yields
According to Section 18, Observation (1), both these relations are true when
N > 2 with no restriction on the nonempty open subset D of R". Equation
(19.4) is a natural approach to finding the Green function GD, and Theorem
19 exhibits the conditions under which it is valid, that is, under which
G(q, )) when N = 2. If there is no restriction on D, the
difference between left and right sides of (19.5) is 4D(S) - OD(q)
Observation (2). If C is a finite regular boundary point of D or is an
inner point of R2 - D, equation (19.1) yields
and so (bl) is true. The function OD is bounded on bounded sets, that is,
(b2) is true, because in (19.1) for fixed q in D the function G(q, ) is bounded
above on OD and bounded below on bounded sets, and q) is bounded
outside each neighborhood of q. Finally we have already proved (19.1) with
OB = 0 when D is bounded; that is, (b3) is true.
20. Interpretation of 0D as a Green Function with Pole oo (N = 2) 139
1. Introduction
In this chapter certain function classes that arise naturally in potential
theory will be discussed. These classes, the corresponding identically named
classes in parabolic potential theory (Section XVIII.19) and in stochastic
process theory (Chapter V of Part 2), are discussed together in Chapter I
of Part 3.
Throughout this chapter D is a Greenian subset of R', N z 2, and h is
a strictly positive harmonic function on D. Both D and h are held fast
throughout the chapter.
or else the supremum in (2.1) is identically +oo. [We adopt the convention
here and in similar contexts below that the domain of µ8(-, u) is B and that
the supremum of a set of functions at a point is the supremum at the point
of the values of those functions defined there.] Observe that the supremum
(directed limit) in question is unchanged if the sets B are all supposed to
contain a specified compact subset of D; that is, the analysis relates to the
properties of u near (any choice of) the boundary of D.
142 1. IX. Lattices and Related Classes of Functions
Then the class (2.2) is L' bounded; so LMDu exists, and since ((u) is a
positive h-subharmonic function, the supremum in (2.3) is
Thus in this case LMDF(u) exists, and the supremum in (2.3) is finite for
all ; that is, the class (2.2) is uniformly integrable for each point in D.
Furthermore the h-harmonic function LMDu satisfies the same uniform
integrability condition as u, with the same test function 0; (2.3) is true with
u replaced by LMDu. In fact we now show, under the hypothesis that (2.3)
is true as written, that
To see this, let B and B' be open relatively compact subsets of D. Then as B'
varies,
r 1l
[LMDu]) = µe -0 [suP µa4(', u)J (suPP.(.G(u)))
\\ B'
(2.5)
= LMD(D(u)) = LMDt(u)O < +oo.
Take the supremum as B varies to find that the first two terms in (2.4) are
majorized by the third. The reverse inequality is trivial.
(3.1)
3. The Class D (t4-) 143
sup { lt"B(1, (Dfl u1)) : A c B, B open relatively compact subset of D} < + oo.
(3.2)
and each function u, in (e) can be chosen so that the h-subharmonic function
'(u;) has an h-harmonic majorant.
144 1.1X. Lattices and Related Classes of Functions
u = LM4Iul - (LM4Jul - u)
is the desired representation; with this choice of u1, equality (3.3 shows that
(D(u;) has LM"(D(Iu1) as an h-harmonic majorant. Conversely, if u = ut - u2
with u; positive h-harmonic and in D(µ4_ ), then I uI 5 ut + u2 ; so u e D(µ4_ ).
It will be shown in Section 3.1.9 that an h-harmonic function on a Greenian
subset D of tll' is in D(µ4_) if and only if the function is quasi bounded (a
property defined in Section 9). More detailed results on the class of harmonic
functions in D(µo_) for D a ball were obtained in Section 11.14, and these
results will be extended to h-harmonic functions on a ball in Section 12, to
h-harmonic functions on a Greenian set in Section XII.9.
LMD(LMDIuI)P = LMDIuIP.
(4.2)
The proof of this theorem is left to the reader because the theorem follows
easily from the discussion in Section 2. Observe that part (e) of the present
theorem is slightly stronger than Theorem 3(e). In fact, in Theorem 3(e)
it is not asserted that if u = u! - u2 and if d>(u1) and'(u2) have h-harmonic
majorants, then c(Iul) has an h harmonic majorant, although the counter-
part of this assertion is contained in Theorem 4(e) with ((s) = sP. How-
ever, for 0(s) = sP and p z 1 this assertion is true because then (ut + u2)P 5
2P-'(ui + u2P).
In Theorem 4, as in Theorem 3, the condition (b) involves a set B in (2.2)
increasing to D, but as in Theorem 3, it is sufficient if the set B runs through
a nested sequence with union D as described in Section 2. If D is a ball, it
is natural to choose B to increase through balls concentric with B so that if
D = B(0, S), the subharmonic function Jul on D is in LP(z _) if and only if
sup,L(I u I P, 0, r) = 1im,t,,L(l u I P, 0, r) < + oo. The class of harmonic functions
on B(0, S) in the class L' was discussed in Section 11. 14.
EXAMPLE. Let u be a harmonic function on the Greenian set D. Then the func-
tion u2 is subharmonic with associated Riesz measure d A = (Au2/trN) dIN,
so that A(D) is a multiple of the Dirichlet integral of u,
u'=v+RD. (6.1)
Now let u be a member of r. Since u' and A r' are in r', there are members
v2 and v3 of S+ such that
v2=w+Rm. (6.3)
Proof of (a). The fact that Yr = kr' exists shows that (S+, <) is a condi-
tionally complete lattice and therefore that (S, <) is a conditionally complete
vector lattice. o
148 LIX. Lattices and Related Classes of Functions
Proof of (b) and (d). In proving (b) and (d) we can assume that r is directed
upward in the specific order, at the possible expense of replacing r by the
set of specific order suprema of finite subsets of r. We can then also assume
that r c S+, at the possible expense of choosing some member uo of r and
then replacing r by {u - uo : u e r, u uo}. Under these hypotheses r is also
directed upward and bounded in the essential order so that yr = u' exists
(Section 5) and is the pointwise supremum of r and in fact is the pointwise
supremum of a sequence u, in r. Choose any member u of r and choose
vo, v 1, ... successively in r to satisfy vo = u, (v Y u z 0.
The sequence v, is a specific order increasing sequence with pointwise limit
u'. There is a member w,,, of S+ such that u + wi1 = v,,, and if v' a r,, there
is a member of S' such that v., + W.2 = v'. Hence
u+limwi1=u',
n-00
u'+(limwi2)
_'O
=v
so r u' f", and we conclude that u' = Yr = Yo u,,. Thus Theorem 6(b)
and (d) are true.
+00 if u oo,
(u' - V T)O if U '(D < + oo.
Then u' = v t + V r + RD quasi everywhere on D, and therefore
u' S v r + RD everywhere on D; so repeating the reasoning already used
twice above, we find that there is a function w in S+ such that
in the sense that if one side of an equation exists, the other side exists and
there is equality.
If D is a ball, it was shown in Section [1.14 by means of the Riesz-Herglotz
representation theorem that S. is lattice isomorphic to the conditionally
complete vector lattice of finite signed measures on 8D. For Greenian D a
corresponding result will be proved in Section XII.9 by means of the Martin
boundary and the Martin representation theorem.
According to Section 4, an h-harmonic function is in S. if and only if the
function is in L'(pD_).
0=uAGMpu=GMDu;
that is, u e Sa . It follows that S' c SD, and so there is equality, as was to be
proved.
(u)Av=GM[(u) n V] ,, aGMD(u n c) = 0.
Thus if u e S and if umgb, ... are the respective projections of u on the bands
Smgb, ... , we have derived a unique decomposition
in which all functions on the right are positive in the specific order if u is a
positive h-superharmonic function.
The Classes L' (µ8_) and D(µ8_) : Theorem 11.14 for General h. As already
noted, the L' (µ8_) class of h-harmonic functions is the class Sm. For h - 1
the classes L'(µ8_) and D(µ8_) of h-harmonic functions were characterized
in Theorem 11.14. For general h this theorem becomes the following.
12. Lattices of h-Harmomc Functions on a Ball 153
The proof follows that of Theorem I1.14 and is omitted. Parts of the
theorem merely repeat results already discussed at the beginning of this
section as implications of Theorem 1I.14.
Universal Internal Resolutivity of eB. We have already shown in Section
VIII.9 that aB is universally resolutive and that the class of PWB" solutions
is the class of h-harmonic functions given by (bl) above, which is the class
of D(µ4_) h-harmonic functions. Since this class includes the bounded
h-harmonic functions [criterion (b2) above], it follows that dB is universally
internally resolutive.
The Class L'(µ4_) for p > 1. We now show that ue S. n LP(µ4_) if and
only if u = PI(B, ¢dM,,)/h for some function 0 in L°(OB, Mb). Observe
first that if u has this form, then
Since this inequality is true for continuous f, it is true for f bounded and
Borel measurable. Substitute in (12.3) the choice f = l f l"-' sgn f , where
l fvl < n and f = 0 elsewhere to find
= te[GDp]
transfers the component of µ on B to a measure supported by the set
aB = D n a(D - B) is particularly clear.
(SI) v is supported by A.
(S2) GDV = GDµ quasi everywhere on A.
In the following we shall write GD(, q) for OGD(, )DA(n). It will be shown
in Section 3 that Go is symmetric. The proof that Bo (, B) is Borel measurable
2. Relation between Harmonic Measure and the Sweeping Kernel 157
when B is a Borel set, so that So is a kernel, and the proof that GD is Borel
measurable on D x D will be given in Section 4 and so cannot be used at
the present stage. If B is open and relatively compact in D and if v = fl 1 IB
then v is a potential, say v = GDV, and integration with respect to v(dq)
in (1.2) yields 1 z So v) z 6D A(-, B). It follows that Eo D) S 1. It will
be seen in Section 5 [see (5.1')] that So D) = Q 11A for every set A. Ac-
cording to property (f) above, if is not an interior point of A, the swept
measure Sp is supported by D n A. On the other hand, if is an interior
point of A then Go according to Section VII.3(b), and there-
fore bE(l;, ) = SD(t, ); that is, {c)) = 1.
According to (1.2) and the relation between reductions and PWB solutions
derived in Section VIII.10,
that is Gp is symmetric on D x D.
4. Kernel Property of SD
Lemma. bD is a kernel.
L.(f)I = lim IL.(f)I = urn IIunDA - kVjA I s lim supIII = SUP If 1; (4.3)
n-m n-m n-m D D
that is, the linear functional LS has bound 1. Thus (Riesz representation
theorem) there is a measure on D with doA(r;, D) 5 1 for which
L4(f) = ODA(F, f) whenever f is continuous on D and has compact support.
Since this equation shows that f) is Borel measurable, SDA is a kernel.
Now suppose that u = GDp is the potential of a measure p with compact
support S, and let D. be an increasing sequence of open relatively compact
subsets of D with union D, for which S c Do and B. c Dn+t . According to
Theorem IV.10, there is an increasing sequence u, of continuous potentials
with limit u for which u = u on D - Do, and there is an increasing sequence
un of continuous potentials with limit tDnu for which u k = TD.u = u on
D - Dn+t. Then u. - u,. is in r, so
A A
(4.4)
Quo"=GDOruIA=GDp=5D(',u), (5.1)
JDv4d = fD v dQNQ".
(5.3)
D
f QvQ"dµ = f VA'UQA
= ID
(5.3')
D D ID ID
I n the course of proving Lemma 4 we proved (4.6); that is, the first and
fourth terms of (5. 1) are equal if µ has compact support. Since every positive
superharmonic function is the limit of an increasing sequence of potentials
of measures with compact supports (Section IV. 10), the first and fourth
terms of (5.1) are equal, and (5.1') is true. The first term is (5.1) is equal to
the second by definition of Qµ0". The third term is equal to the fourth
because
6D N' u) = J
D
f D
GDOI, C)µ(dd,
and the iterated integral becomes GDµ on reversal of the order of integration.
Equation (5.2) follows immediately from (5.1); (5.3) and (5.3') follow from
(5.1), (5.1'), (5.2), and the fact that J Qv0"lA = 0vO"
Generalization of Q p Q"
A comparison between (5.4) and (5.5) shows that h' = h and A = O VADA = VA,
so that the second and third equation in (5.4) are true.
6. Some Properties of SD
(a) Subadditivity of 6L. This set function is subadditive in the sense that
bD B 5 bD + Sn (6.1)
5DAvB(,, v) Dv0A
+5 A OvD ) = c5 v) + v) (6.2)
s' s (6.3)
implies that B) = 0.
(c) A zero-one law. Let be a point of D, let A be a subset of D, let B
be a neighborhood of , and let v be a positive superharmonic function on
D. Then either the equalities 6D^1(, I and DvDA^B()
= v() are true
for all B and all v or SD^B(, {}) = 0 for all B, in which case whenever
oo, the function Dv0A11 tends to 0 on D when B shrinks to . The
Section XI.3, where incidentally it will also be shown that this property is
independent of the choice of D containing . Thus this property is a local
property of A near . To prove (c), we first observe that, using the notation
of (c), bD^B(
, decreases when B increases because when B, and B2 are
neighborhoods of with B, c B2 subadditivity of bn implies
bD2( , { }) 65"(S, M) + 6 D
and the second term on the right is 0 because the measure SD= Bo(, ) is
supported by the closure of B2 - B, . Next observe that since J V O A B =
DvOA
QA^B
it follows that
hmOvlA' '(7)=
The last term on the right is 0 by hypothesis when ry = and vanishes at all
other points ry because according to (b) above, the measure c5(,) vanishes
on polar sets not containing q.
OhiO"'+Oh -h,O1°=h'°=h
implies that the reduction operations performed on the left have not de-
creased ht or h - h,, so h, = Oh, Out.
hzRh - RIo=h;
so R," = h. On the other hand, if C is not a pole of h, there is a positive super-
harmonic function v on D majorizing h near C and strictly less than It at
some point of D. It follows that RtiA 5 v < h at some point of D; so RA 0
if A is a sufficiently small boundary neighborhood of C. Furthermore, if B
is a boundary subset containing no poles of It, then Rh =- 0 because B can
be covered by a countable collection A. of boundary neighborhoods of
nonpoles, with R,"i =- 0; so R':!9 EJR,'J =_ 0. This result implies that there
is at least one pole of a minimal harmonic function h because Rh° = h. It
is left to the reader to check that the boundary is h-resolutive if and only
if h has only one pole and that if C is this pole, the singleton JC) hash-harmonic
measure 1. If It has more than one pole, the indicator function of the set of
poles is h-resolutive, and the set of poles has h-harmonic measure 1.
164 1. X. The Sweeping Operation
h( ). (8.1)
harmonic and bounded on F, and QhoI D0-F/ho is in the upper PWB"o class
on Do for the boundary function 1M. Moreover (by Theorem V.5) the
function an extension to D, harmonic on F and majorized by
Qh0QDo-F has
J Gd , n)v"(dn)
A
QhoOBO( ) = bno( ,
8.3)
= (
IG.. ,q) QBO (S)vh( dn)
fA
on B. Then for in B0
DhoOB0( ) = (8.4)
J
so no B. is fine dense.
2. A Thinness Criterion
Theorem. If a set A has finite limit point , then A is thin at S if and only if
there is a superharmonic function u defined on an open neighborhood of 4
such that
liminfu(,) >
u>c+(n- l)minuj
jsn
on B; so
To prove the second assertion of the theorem, let u satisfy (2.1), and suppose
first that b is bounded and contained in the domain of u. Then u is bounded
below and can be made positive on D by addition of a suitable constant
without affecting (2.1). Let B, be the ball of center and radius r < 8Dl
and let u, be the projection on B, of the measure associated with u. Then
5 u differs from GDp, by a function harmonic on
B,; so if b (5 + co) is the strictly positive difference between the left and
right sides of (2.1),
3. Conditions That e A' 169
lim infGDµ,(q) = S z S.
Aa4-4
A polar set Ao has no fine limit points because according to Theorem V.2,
if Ao is polar and if e Al, there is a superharmonic function defined on an
open neighborhood of , finite at , and identically + oo on the part of A 0
in a deleted neighborhood of ; so (2.1) is satisfied, contradicting the
hypothesis that E Ao. (In the fine topology of R" u { oo } as defined in
Section 5 a polar set cannot have oo as a fine limit point; this assertion is
reduced by an inversion in a sphere to the one just treated.) The converse
result that Al = 0 implies that Ao is polar will be proved in Section 6. The
fact that a polar set has no fine limit point implies that if A is an arbitrary
subset of a Greenian set D, then (reduction relative to D) OVOA = v on Af An D.
In fact this equality is true quasi everywhere on A, that is, everywhere on
A - Ao for some polar set AO; so the fine continuity of superharmonic
functions implies that u = OvQA on (A - Al) = Af
3. Conditions That t e Af
Let D be a Greenian subset of R", let A be a subset of D, let be a point
of D, and let v be a positive superharmonic function on D. All reductions
will be relative to D. We shall write lim81, to mean the limit as B, a neighbor-
hood of , shrinks to , that is, as its diameter tends to 0. Define vo =
lim8J, Ov0A^1, that is, vo is the infimum of the indicated class of smoothed
reductions. The positive function vo is harmonic on D - so (by Theorem
V.5) the restriction of vo to D - has a superharmonic extension to D,
and (by the Riesz decomposition) this extension must have the form
cG R,') + h, where c - 0 and h is a positive harmonic function on D. Since
this superharmonic function is majorized by a potential BvrB for B relatively
compact in D, the function h must vanish identically. The inequality vo 5 u
170 I.M. The Fine Topology
(b) 1.
(c) Gii(, ) =
If 0 Af, then
(a') limBl4 Dv0"nB = 0 on D - and the limit is 0 at if +00.
(b') 6A(4, J })=0.
(c') Gp( , ) # GD(4, ) on 0}, the open connected component
of D containing
Observation (2). We have already noted in Section X.6 the fact that the
only possible values of are 0 and 1. We now see that the value is
0 if and only if A is thin at .
Proof. (a)-(c) Suppose that e Af. Then e (A n B)f, and as pointed out
in Section 2, it follows that v(); so (a) is true, and in particular,
GD(,) D; that is (sweeping symmetry), (c) is true. Finally,
(c) ca (b) by definition of bD.
(a')-(c') Suppose that c e D - Af We can suppose that is a (Euclidean
topology) limit point of A, adjoining a countable set with limit point to
A if necessary to achieve this. The adjunction does not change smoothed
reductions on A and does not change 61. Then (by Theorem 2) there is a
positive superharmonic function u on D, finite at but with limit + 00 at
along A. If t > 0 and if B is so small that u > 1/E on A n (B - {%}), it follows
that
In the second place the rth smoothed reduction on the left obviously major-
izes the smoothed reduction at relative to r) of the function 1 onto
the boundary set A,; the value of the latter smoothed reduction is IN_t(A,)/
aNr'-t according to 111(4.3).
This application of Theorem 3 implies that a solid cone of revolution in
R" is not thin at its vertex. According to the criterion of Theorem 12 for
Dirichlet problem regularity of a boundary point in terms of the fine topol-
ogy, the nonthinness of a solid cone of revolution at its vertex is equivalent
to the Poincare-Zaremba criterion for Dirichlet problem regularity of a
boundary point (Section VIII.15).
Strengthening of (a'). The following slight strengthening of (a') will be
needed below: if e Ar and if v() < + oo, then
lliim 0 0. (a")
To see this, observe that this limit is limBl, 0 vrr), that according to the
remarks at the beginning of this section, lim84,8vOB = 0 on D - and
that according to (b'), 0.
Theorem. (a) The function u has a fine limit u*(C) at quasi every and vp + v,,
almost every point C of D. Moreover u* < + oo quasi everywhere and v,,
almost everywhere on D, and u* = + oo vv almost everywhere on {C: v(C) _
+oo}.
(b) At v,, almost every point C of the set {C: h(C) = + oo}, equivalently, at
v,, almost every point C of an arbitrary polar subset of D,
dvn
u*(C) = (C) (4.1)
(c) In particular, if C E D,
v(n) _
+ao. (4.3)
F191 4GD(7,C) -
Proof of (c). The special result (4.2), in which h = C) and so v,, is the
unit measure supported by {C}, is so much easier to prove than the more
general case (4.1) that we prove (4.2) separately, as follows. We have already
seen (Section VII.IO) that the last two terms in (4.2) are equal. In proving
(4.2) it can be supposed, replacing v by v - C) if necessary, that
these two terms vanish; under this hypothesis, unless (4.2) is true, there is a
strictly positive number b such that the set B = {n: v(n) > bGD(n, C)} i3 not
thin at C. Apply Theorem 3(c) to find that
1v08
vZ z
contrary to the hypothesis that C) has infimum 0. Hence (4.2) is true.
13
4. An Internal Limit Theorem 173
A = S B = { : Z bh(p)}. (4.4)
V A bh
hAB + hABAB + ... G (4.5)
b-a
Now
GD(V,.bA
hA = U' VA Z UGDVkUA -
Proof of (a) and (b). (For N > 2). To avoid trivialities we assume that A is
unbounded. Let 0 be an inversion in aB(C, b). Then 4,(A) has limit point C,
and we prove first that if ¢(A) is thin at C, there is a positive superharmonic
function u on 08' satisfying (5.2). In fact by Theorem 4(b) there is a positive
superharmonic function v on D = R N such that (4.1) is true, and therefore
the function
bz1
G(C, 0)
has limit + oo at the point oo along A. The function on the right is a positive
superharmonic function on 08' - {C} and in fact is a multiple of the Kelvin
transform of v. This function has a positive superharmonic extension u to
081 (Theorem V.5), and u is the desired function. Conversely, if there is a
positive superharmonic function u on some open deleted neighborhood of
the point ao satisfying (5.2) and if 0 is an inversion in aB(C, b), we prove
that 4,(A) is thin at C. The Kelvin transform v of u is a multiple of u(4,)G(C, ),
defined positive and superharmonic on a deleted open neighborhood B of C,
and has limit +oo at along ¢(A); so [by Theorem 4(b)] the set
A is thin at C, as was to be proved. Thus (a) and (b) of the theorem are true
forN>2. o
Proof of (c). (For N z 2). Under the hypothesis of (c), the set A is thin at
C if and only if (Theorem 2) there is a superharmonic function u defined on
176 I . XI. The Fine Topology
The proof of Theorem 5(a) and (b) for N = 2 follows the proof for N > 2
and is left to the reader.
Extension of the Fine Topology to R" u { oo }. We make the definition that
a subset A, of R" u {ao} does not have fine limit point co, and we describe
A, as thin at oo if A = A, n R" is subsumed under case (al) of Theorem 5.
The fine topology is thereby extended to R" u {oo}, and according to
Theorem 5, an inversion is a fine topology homeomorphism of I2" u {ao}
onto itself.
The Limit Relation (4.1) at the Point co. Let v be a positive superharmonic
function defined on a deleted neighborhood of a finite point C. Then (by
Theorem V.5) if v(C) is defined as lim inf,,..{ v(q), the extended function v is
positive and superharmonic on a neighborhood of C, and v satisfies the fine
limit relation (4.1). Trivially, v also satisfies the fine continuity relation
f"_'O
lim u(g) = lim inf u(q) (< + oo) if N = 2,
I,- ID
(5.4)
flimu(q)IgIN-2 = liminfu(,i)I,I" 2 if N> 2,
f,-M u(g)
limlog61171 - inf u(q) if N = 2,
lel>alogBl'1I (5.5)
flim u(,) = inf u(q)[l - (6117 l)2-"] 1 if N > 2.
'rm hI>a
In fact, if R" is inverted in B(0, 1), the Kelvin transform of u has domain
of definition B(0, 1/6) - {0} and is given there by q i-, v(g) = u(glgl-2)I,I2-1.
The relation (5.3) with t = 0 yields (5.4), and (4.1) with C = 0 and D =
B(0, 1/6) yields (5.5). The Green function GD is evaluated in Section I1.1.
If the domain of definition of u is an arbitrary Greenian set that is a deleted
neighborhood of the point oo, Example (c) of Section VIII.8 can be used
to evalute the right-hand side of (5.5).
7. Application to the Fundamental Convergence Theorem and to Reductions 177
If A is fine perfect in RN, that is, if A = Af n R", its fine boundary 8fA =
Af n (R" - A)f is a Euclidean Ga set, and therefore its fine interior A - 8fA
is a Borel set, the difference between two Ga sets. If A is analytic, its fine
closure in R" is analytic, and its fine interior A - (R" - A)r is analytic; so
its fine boundary is universally measurable. In particular, if A is a Borel set,
its fine interior and fine boundary are also Borel sets according to this
argument.
In fact the first two terms are equal because, on the one hand, A C A U
(Af n D) and, on the other hand, a superharmonic function on D majorizing
v on A necessarily majorizes v on Af n D. The first term is equal to the third
because A differs from A n Af by a polar set. The fourth term is equal to
the others because A n Af c Af c A u Af.
1= 1 IAk.e(,) -a(.n({)
r- o
rinfOu'i"al = (infOu'OA
`aEf +
261 +
{u'>Du'D"}=D-Af
is aD(, ) null for every ; that is, SD( , ) is supported by AfnD. The
evaluation of Dµ0" in X(5.2) shows that this swept measure is supported by
AfnD.
(c) The evaluation of 0µD" in X(5.2) yields (b).
(d) If v" is the Riesz measure associated with OvO", then VA = OVA DA
according to Section X.5; so (d) follows from (b). o
15. Characterization of
D be a Greenian subset of RN, let A be a subset of D, and let
µ be a measure on D with superharmonic potential GDµ. Then the swept
measure Oµ0A is characterized uniquely by the following properties:
(a) DµO" is supported by AfnD.
(b) GoDpO" = GDµ on Af n D.
We have already proved that Oµ0" has these two properties. Conversely,
if a measure v on D has these properties, then v = OvO" by Theorem 14;
so since is supported by Af n D,
184 l.Xl. The Fine Topology
GDV =
/
5D(.,GDV) = SD(.,GD,) = GDOPOA,
so that
0 = vv(A) = J A) (17.2)
D
Now A c {v < c}f, and therefore [by Theorem 3(b)] the integrand in (17.2)
is 1 when e A ; so "(A) = 0, as was to be proved.
Proof of (a). The first assertion of (a) is Theorem 3(b). To prove the second
assertion, let be a point of D - Af, and observe that the restriction v to
D- of the function is superharmonic with associated
Riesz measure the restriction of to the class of measurable sub-
sets of D - The set {v = 0) is a Borel superset of the set Af n (D -
and it follows from Corollary 17 that the fine interior of this superset is
5 null. Since it is already known (Theorem 14) that SD(,) is supported
by D n Af, it follows that this measure is supported by D n afAf, as was
to be proved.
Ata={f<R1<f+e<+oo}vJ>--
A
1+eaRf+l+rbRf
20. A Generalized Reduction 189
up to a polar set; so
f-{RJZ},
1RfZ- I
and when b - 0, the set on the right decreases to { Rf = + oo }. Thus Theorem
20(a) has now been proved for f z 0.
To reduce the general case to the case of positive f, observe that if B is
a compact subset of D and if Do is an open neighborhood of B, relatively
compact in D, then the restriction of Rf to Do is the smoothed infimum
of the class of superharmonic functions majorizing R f on Do - B and
majorizing f on B. Without loss of generality in the discussion of of we
can suppose, adding a constant to f if necessary, that the restriction to Do
off is positive. It now follows from what we have already proved that for
every B the projection of u f on B is supported by Af,6 n Do for all strictly
positive E and S; so µf is supported by A' for all strictly positive a and 6,
and the rest of (a) follows as in the positive case.
(b) If f is fine upper semicontinuous, the set
Au=AucAu,
and part (a) of the theorem implies, when c - 0, that the measure µf is
supported by the union of {Rf =A and the polar set {R <f). Since (by
Theorem V.11) Rf = + oo at u r almost every point of a polar set, the set
{Rf <A must be µf null; so part (b) of the theorem is true. o
Proof. If N > 2, the point C must be finite because (by Theorem VIII.4)
oo is a regular boundary point of every unbounded open set. If N = 2 and
if C = oo, an inversion of the plane in a finite boundary point reduces the
theorem to one with C finite. Thus we can assume that C is finite and therefore
also that D is bounded. If C is an isolated boundary point of D, u has a super-
harmonic extension to D u (Cl and so has a fine limit at C, the value at C
of the extension, namely, lim inf, If C is not an isolated boundary
point of D, the fact that C is irregular implies that RN - D is thin at C and
therefore (by Theorem 2) that there is a positive superharmonic function v
on an open neighborhood of D, finite at C, with limit + co at C along RN - D.
Define c = liminf,.t(u + vID)(). If c = +oo, then u has fine limit +oo at
C because v has the finite fine limit v(C) at C along D. If c < + oo, the function
u1 = (u + vID) A (c + 1) is superharmonic on D, is majorized by c + 1, and
has limit c + I at every boundary point of D in some open neighborhood
B of C except at C itself. Extend ul to D u (B - {iC}) by setting ut = c + 1
on B - (D u {C}). Then ul is superharmonic and lower bounded on a deleted
neighborhood of C, and as noted above, such a function has a fine limit at C,
necessarily the inferior limit of the function at C. Thus
flimui(C) = liminfut(C) = c.
Modifications of Theorem 21
Here we have used the fact that v" = v' off the harmonic measure null set
{C} and that v is in the upper PWB class on D for the boundary function ev'.
Inequality (22.6) implies that f1D(C, {C}) = 0, as asserted.
From now on when u is a function in D, and Be f, the averages pa(C, u)
and fµ8(0, u) will be used under the convention that in these averages u(PI)
is to be taken as lim infs j4.,u(C) when q e aB n aD. If u is superharmonic,
this convention means that the function to be integrated on aB is lower
semicontinuous.
(c) If u is a lower-bounded superharmonic function on D and if B, and
B2 are in f with B, c B2, then
so vzh.
Chapter XII
1. Motivation
Let D be an open subset of R'. If D is a ball, its Euclidean boundary is so
well adapted to it from a potential theoretic point of view that the following
statements are true.
(a) The class of minimal harmonic functions on D is in a one-to-one
correspondence with the Euclidean boundary points, q a K(ij, ) (see Section
11.16), and every positive harmonic function u on D is representable as an
integral J8D K(ry, )M (dq) with M. a uniquely defined measure on the ball
boundary. The lattices of positive harmonic functions on D and of measures
on aD are thereby in a one-to-one order-preserving correspondence, and
the vector lattices of differences between positive harmonic functions on
the ball and signed measures on the ball boundary are linearly and order
isomorphic.
(b) The Euclidean boundary of the ball is universally resolutive and
universally internally resolutive (Section IX.12).
(c) Every boundary point is regular, so that has limit 0 at
every boundary point. Moreover (up to a multiplicative constant) the normal
derivative of at the boundary is the density relative to /N_, of har-
monic measure.
(d) The Fatou theorem and its generalizations (Section 11.15) assign
to each positive h-harmonic function, and therefore to each h-harmonic
function in L'(µo_) on the ball, a boundary function. In particular, the
Fatou boundary function of a PWB" solution Hf is equal M almost every-
where to f
The Martin boundary of a Greenian subset D of R" is defined in such
a way that it has some of these properties. Observe, however, that other
compactifications may be better adapted to other properties. For example,
the Kuramochi boundary is specially well adapted to the second boundary
value problem.
The only restriction to be imposed on D is that it be Greenian and con-
nected. It will be necessary to generalize two concepts playing a central
role in the ball case: special approach to the boundary (radial or non-
196 1.Xtl. The Martin Boundary
tangential) and the normal derivative of the Green function at the boundary.
The fine topology will be extended to the Martin boundary, and approach
to a Martin boundary point in this topology will replace both radial and
nontangential approach to the boundary in the ball case. If D = B(0, r)
and if I e D, then const. (r - j') when j>ij --i r so that if v is a
measure on D with compact support, const. (r - Iryf) near the
boundary. This fact suggests that the normal derivative of GD(i;, ) at the
boundary point C should be replaced by
lim h)
rc GDv(ry)
when c is a Martin boundary point, if this limit exists, for some convenient
measure v. It was Martin's idea to define a boundary in such a way that this
limit does exist and in fact to use the existence of this limit to define a
boundary.
Topological Conventions
Recall that throughout this book in dealing with R" and its subsets, if no
topology is specified, the topology of RN is to be understood as the usual
topology, sometimes identified as the Euclidean topology, compactified by
a point at infinity when boundaries of unbounded sets are in question.
K,(17, ) = GD(n, )
GDV(q)
Hence for n in D - (a u a,,) the function KM(n, ) associated with the point
n and the Martin function K,, is a constant multiple of the function K,.(n, )
198 1.X11. The Martin Boundary
associated with q and K.. The choice of reference measure for a Martin
function is a matter of convenience, although the most common choice
is one with a, a singleton, that is, with K, based on a reference point.
Proof of theorem. Let K. be a Martin function, and suppose that v has been
chosen to make Gov finite valued and continuous. Let f be a strictly positive
continuous function on D, IN integrable over D, and define
[ I n IK,(q,.,C) - h(OI1fC)lN(dC)
fo
tends to 0 when m -+ oo. We conclude that every convergent subsequence
of the sequence n - K,(q,,, ) has limit h, so that lim, K,(q,,, ) = h locally
uniformly on D. o
This discussion shows that if D is completed in the d, metric, the resulting
space DM is a compact metric space and that each point C adjoined to D
in the completion can be identified with a positive harmonic function, which
we denote by K,(C, ), identified by the fact that q -+ C in the DM metric if
and only if K,(q, ) -+ K,(C, -) locally uniformly on D. Moreover, integrating
to the limit shows that (2.2) is satisfied when q = C. The conditions (a)
and (b) of Theorem 3 are satisfied by K, and therefore also satisfied by an
arbitrary Martin function K,, in view of (3.1).
EXAMPLE (Balls and Half-Spaces). Let D = B(0, S), and let v be a unit mea-
sure supported by the origin. Then K,(q, 0) = I for q 0 0 and
4 Preliminary Representations of Positive Harmonic Functions and Their Reductions 199
S-Inl
ifN=2
G.(n, 0) (InI-'b),
N-2
SN_, (S - Inl) if N > 2
(4.5)
JDM
OuO141 = u and that then C is also a pole of every positive harmonic minorant
of U.
6. Extension of Lemma 4
Lemma. (Context of Lemma 4). If F is a compact subset of aMD, there is a
measure A. supported by F such that
IIU F OF. =
U aD"(',
F
Jr
which yields the second equation in (6.1) when n -, oo in view of the idem-
potency of the smoothed reduction operation.
Application. A Martin boundary point C is nonminimal if and only if
OKy(i;, ) Qic1 - 0. In fact, according to Lemma 6 with u = K,,(C, ) and F = {C},
K,(C,') O' =
if = jCeamD: S K(CCo)t.
shows that Oho" _- 0; that is, A is h-harmonic measure null. The application
in Section 6 implies that the points of B' n B are not minimal and that when
B runs through the open sets of a countable topological base of DM, the
class of F. h-harmonic measure null sets B' n B covers the set of nonminimal
Martin boundary points. The theorem follows.
It is sufficient to show that the first and third terms in (8.1) are equal
because the second term ties between them. There is [from Section VIII.5(b)]
a positive h-superharmonic function u on D that has limit + oo at every point
of the h-harmonic measure null set of nonminimal Martin boundary points.
Define
The set A. is a compact set of minimal boundary points, and since [from
Section V1.3(e)] Jim,,..,, Oho"_ = OhoA" it will suffice to prove that OhO"' = h.
Since u has limit + oo at every point of the set B = 3MD - A', the set B is
h-harmonic measure null [Section VIII.5(b)]; so OhO5 = 0, and by sub-
additivity of the set function OhO',
h = OhVA'vB S OhoA' + OhOB = Oho'' 5 h;
v= f K(C, (9.1)
JaMD
v= (9.2)
!MD
See Section 10 for the relation between Martin representing signed mea-
sures and harmonic measures.
OvOA = JK(c.)(dc)(9.4)
The measure AVA was just shown to be uniquely determined. If B is a compact
subset of A, the equality vD" OB = 0v 0B implies by Lemma 4 and Theorem
5(b) that
JOK(1)AA(dC) = J K(C,
B
Proof of (b). The uniqueness property has already been proved. The relation
v/h «-. M. is obviously linear and is specific order preserving because v z 0 if
and only if M z 0. The vector lattices in question are therefore isomorphic.
13
Proof of (c). The assertions of (c) follow from the vector lattice isomorphism
just derived. On the one hand, ASb is the subband of "5,,, generated by the
function 1, and "S,,,, is the orthogonal complement of "Sb in''Sm; that is,
'S., is the subband of AS,,, orthogonal to the function 1. Equivalently,''S,b
206 1.XII. The Martin Boundary
is the subband of''Sm consisting of the class of functions v/h with v in the
subband of'Sm generated by h, and 'S.,, is the subband of 'S. consisting of
the class of functions v/h with v in the subband of 'S. orthogonal to h. On
the other hand, it then follows from (b) that v/h is a quasi-bounded h-har-
monic function if and only if M,, is in the band generated by Mh of signed
measures (charges) on BMD supported by 8,"D, that is, if and only if M is
absolutely continuous relative to M,,. Furthermore v/h is a singular h-har-
monic function if and only if M 1 M", that is, if and only if Mn is singular
relative to M".
u=J K(C,
'UD
for some measure A,, on 0 'D, then A. must be supported by a uniquely deter-
mined singleton {p}. To prove this, observe that if A is a Borel subset of
3MD, then JA K(C, -).t (dd) is a positive harmonic function majorized by u
and therefore proportional to u. If now C is in the compact support of A. and
if A is the trace on 8'D of an open Martin topology neighborhood of C and
shrinks to C, it follows that
The Notation M,
u = Hf = f f(C)K(C, -) . (10.1)
JJMD
hM (d , f = dM,,
'J
Let h be a strictly positive harmonic function on D, and let A be a closed
subset of CMD. Apply (4.3) and Theorem 5 to derive
so that u is the PWB" solution for the boundary function f; that is, (10.1)
is true. Thus the Martin boundary is universally internally resolutive as
well as universally resolutive, and the proof of the theorem is complete.
Intrinsic Definition of h-Harmonic Measure. If u = v/h is h-harmonic on D,
if
then f coincides M" almost everywhere on O"D with the indicator function
of a Borel set A, and u = uD(-, A). Conversely, if u is the h-harmonic measure
208 I.XI1. The Martin Boundary
The set A is said to be minimal thin at C if the conditions (b) are satisfied.
The last assertion of the theorem is trivial, and the proofs will be phrased
accordingly. Observe that in view of the application in Section 6 if C is a
nonminimal Martin boundary point, condition (b2) is satisfied because
the indicated infimum is
The proof of the theorem will be carried through in several steps, num-
bered for convenience in reference.
Proof. Step I. Proof that RR({ is either K(C, ) or a potential. Since K(C, )
is minimal, the Riesz decomposition of RKI{ must have the form
1 I . Minimal Thinness at a Martin Boundary Point 209
v + cK(C,
RA
+K(C. ) - R A + cR A
+V +K(c. (11.2)
and since a function majorizes its smoothed reduction, it follows that the
terms on the right in (11.1) and (11.2) are pairwise equal. Hence either
c = 0 and R"
+K((, )
is a potential or c > 0 and R"
+K({. )
= K(4, ), in which case
c=Iandv=0.
Step 2. Proof of (c2). Without loss of generality we can assume that B
is so small that the compact support of the measure on which K is based
does not meet B. According to Lemma 4, there is a measure A on DM, sup-
ported by a(D - B) (boundary relative to DM), such that
If there were equality in (c2), the integral would define a harmonic function
on D; so the measure A would be supported by OmD. However, according
to Section 9, such an integral representation of a minimal harmonic function
K(C, ) is possible only if A is supported by {C}, contrary to the definition
of B. Hence there cannot be equality in (c2).
Step 3. Proof that (a 1) ca (a2). The implication (a2) (a 1) is trivial. To
prove the reverse implication observe that if (al) is true and (a2) is false,
then R"^B is a potential for sufficiently small B by Step 1, and R'-' is a
potential according to Step 2, because this smoothed reduction is a positive
superharmonic function majorized by the potential R'-,'. Hence by set
subadditivity of reductions is a potential, contrary to hypothesis.
Step 4. Proof of (c 1). Assertion (c 1) is trivially true when B = D and
therefore true for arbitrary B by (a), which we have just proved. Alternatively
(cl) is true because [by Theorem 5(a)] C is a pole of K(C, ).
Step S. Proof that (bl) (b2). The function Rg(GB) is harmonic and
positive on D - B. Let B shrink to C, say along a sequence of balls of center
C and radii tending to 0 (in terms of some Martin space metric). Then the
limit of the corresponding sequence of reductions in (b2) is the indicated
infimum and is a positive harmonic function, majorized by RK"(S ). Since
this smoothed reduction is a potential by Step 1, the harmonic function
vanishes identically, as was to be proved.
Step 6. Proof that (b2) . (b3) . (b1). These implications follow trivially
from Step 1 and the equivalence of (al) and (a2).
210 1 X[[. The Martin Boundary
The proof of the theorem is now complete, and we turn to the definition
of the minimal-fine topology of DM.
RA = RA'
+K({..).
(P4) Every set in MT(C) has an open superset in MT(i;), because ac-
cording to Section 111.5(e),
(Section 11. 16), and D - B is the locus of the inequality K(C, -) 5 c for some
strictly positive constant c. Since we shall prove [equation (12.3)] that the
minimal-fine limit of K(C, ) at C is + oo, the set D - B is minimal thin at C.
The set D - B is not thin at C because it contains the trace on a neighborhood
of C of an open cone with vertex C (see Section XI.3). We shall use the notation
"mf lim" for minimal-fine limits.
GD(C,Q
K°(C,C)Mo°(dC) = Mo°(dC) = GD(4,Ov(dO,
GD(4o, 0
EXAMPLE (b). Denote by dt the Nth coordinate of the point of R', and
define D = { : dc > 0}. Then (from Section 3) DM is the closure of D in
the one-point compactification of RN ; so the Martin boundary is the
Euclidean boundary. If u is a positive superharmonic function on D, if
c > 0, if u, = u(/c), if A is a subset of D, and if cA has the obvious meaning,
then RA In particular, if u() = L-Ndd, that is, if u is a minimal
harmonic function on D with pole the origin, then uc = cN-'u and
RB z RM"A(C) >
2
for sufficiently large n. Hence A' is not minimal thin at the origin.
v(7) = 1Df v = )
K((,7) K((,') M-(")
We shall see (in Section 19) that Theorem 13(a) is a special case of the
Fatou boundary limit theorem for a Martin space.
To prove Theorem 13, translate the proof of Theorem XI.4(c), (d) into
the present context, replacing GD(C, ) in that proof by K(C, ) and "thin"
by "minimal thin." See Example (a) in Section 12 for a discussion of the
relation between theorems on limits at a minimal Martin boundary point and
limits at a point of D.
Application. If v is a potential in (a), we find that the minimal-fine limit
is 0. If v =_ I in (a), we find that
Observe that (14.1) is trivial if the indicated inferior limit is + oo. We can
therefore ignore this case and prove the equality in (14.1) by showing that
214 1.X11. The Martin Boundary
whenever c is a finite number strictly larger than the inferior limit in (14.1),
it follows that the set A = {n: v(n) z cGD(4, n)) is minimal thin at C. Let K
be a Martin function for D based on the point . By definition of the smoothed
reduction on A the inequality v z cOGD(4, .) DA is valid on D; so in view of
sweeping symmetry, if n e D -
v(n)
(14.2)
GD((, h n) n)'
and therefore since OK(n, ) r() = bo ((, K(n, -)), Fatou's lemma is appli-
cable when n C in (14.2) and yields
as was to be proved.
Special case: v =_ 1. If GD((, ) has minimal-fine limit 0 at i;, as we shall
prove (Section 18) is true at µD almost every minimal Martin boundary
point (, it follows from Theorem 14 that has limit 0 at Con approach
to C in the Martin topology. [Incidentally, this application of Theorem 14
to the function exhibits the fact that the minimal-fine limit + oo
cannot be excluded in (14.1).] This vanishing of the Green function at
the Martin boundary (to be extended by relativization in Section 18) is
one indication that the Martin boundary is well adapted to classical potential
theory.
F= U(FknB,k),
0
Proof of (c). According to (b), the boundary set on which u has a minimal-
fine limit is a Borel set if u is extended real valued, because the set in question
is the set on which the minimal-fine superior and inferior limits of u are equal.
Moreover (b) implies that the limit function on this set is Borel measurable.
If the range space S of u is compact metric and if 0. is a sequence of functions
dense in C(S) in the metric of uniform convergence, then the map
{O (t)/sups n e V+} is a one-to-one bicontinuous map of S onto a com-
pact subset of the compact metric space [0,11 z; so an application of (a) and
(b) to each function 0.(u) yields (c).
Observe that the first equality is trivial and that the second equality asserts
that the function h1D(-, Amf n aMD) is the harmonic component of RA (Riesz
h
decomposition). To prove this assertion, apply the kernel operator 6D to the
Martin representation of h to find
+h h K(g, -) Mh(dd)
LD +RtC.'1 Amf 0 M D
(17.3)
Mh(dC).
+ R' I
aMD-Amt
218 I. X11. The Martin Boundary
The first integral after the second equality sign is equal to Af n aMD)
according to Section 10. According to Theorem 11, the function RA is
a potential whenever C is not minimal or is not in Am!, so the last integral
is a potential. Thus (17.3) displays the Riesz decomposition of R' and
thereby yields the second equality in (17.2).
u>"RA8>a"R A0 (17.4)
19. The Fatou Boundary Limit Theorem for the Martin Space
Let D be a connected Greenian subset of R. In this section the vector
lattice notation of Chapter IX will be used, as further developed in Section
9 of the present chapter. For example, when It is a strictly positive harmonic
function on D, we denote by i5+ the cone of positive h-superharmonic
functions on D. Let K be a Martin function for D. There is then (from Section
9) an isomorphism v -+ M between ' S1, and the vector lattice of signed
measures on tMD supported by the minimal Martin boundary aMD. When
v IF IS, it will be convenient to denote by M the Martin representing signed
measure of the component of v in 'S.; when this signed measure
ve'S+,
In particular :
(a) This boundary limit function vanishes M,, almost surely if u e "So
(b) If u OS., this boundary limit function vanishes M" almost surely
if and only if u e "S,,,,.
(c) If u is a PWB" solution, that is, if u = µo(-,f) for some h-resolutive
boundary function f, then f = M" almost everywhere on
0MD; so f is the minimal-fine boundary limit function of u up to an
M" null set.
Finally, if u = "Hf =jut(-J), let u, and u2 be in the lower and upper PWB"
classes, respectively, on D for f. Then (by the application in Section 17) when
e > 0,
u2 - u1 z mflimsuP[u2(,) - u1(1)] Z
`` rS 8
Since the left side of this inequality can be made arbitrarily small at any
point of D, it follows that mf u(q) = J(C) for p , almost every boundary
point C, equivalently, Ml, almost every boundary point C, as was to be proved.
Special cases. If h = K(C, ) is minimal, Theorem 19 states that v/K(C, )
has minimal-fine limit M"({C}) at C, as already proved in Section 13. If A
is a Borel boundary subset, the function pt(-, A) is the PWBh solution for
the boundary function 1A and therefore has minimal-fine boundary limit
function Mh almost everywhere equal to 1A.
at v,, almost every point C of the polar set of infinities of h, and we now show
that this limit result is a consequence of Theorem 19. Let F be a compact
subset of the set of infinities of h. To prove (19.3), it is sufficient to prove
that u has fine limit dv"/dv,, at v,, almost every point of F. In view of the Martin
compactification of D less a compact polar set [Section 12, Example (a)],
if v;, and v,; are the projections of vh on F and D - F, respectively, Theorem
19 implies that
,)lN-t(dn)
(22.1)
vk(0 = fAk G dd
The remainder of the proof assumes that N > 2. The argument is similar
when N = 2. We first prove that there is a constant c, depending only on N
224 I.XII. The Martin Boundary
such that uk 5 c, for all k and choices of Ak. To see this, let be a point of
D, and define
D= hi(s) = sup n)
s),
qe DrOD, d,,
Integration by parts, together with the fact that 4(s) 5 nN-,s"-`/(N - 1),
yields the majorant n,_, fo 4,(s)sN-2 ds of the right side of (22.3), and in
view of (22.2) the integral f u cur(s)sN-2 ds is convergent with value c, indepen-
dent of 4, A, k, Ak. If v; is defined using only finitely many of the intervals
in Ak, v,/c, is the potential of a measure supported by A,, and vv/c, 5 1.
Hence (domination principle) vk 5 c, o- 1o-", and therefore vk 5 c, o- 1 Q". To
bound vk from below, observe that when k oo, the integrand in (22.1)
tends to the normal derivative of at the boundary, that is [VIII(9.4)],
to it pD(b, dn)/IN_,(dn), uniformly for in any bounded set, so that (22.1)
yields, if A" is the set of normal limit points of A on 3D,
Thus A") 5 c2 o- 1o-" for some constant c2. Denote by A' the set of
minimal-fine limit points of A on D. According to Section 17, GMDo- 1o-" =
A'), so that A'):5 A'). Since the harmonic measure of a
Borel measurable boundary set B has minimal-fine boundary limit function
1,, up to an !N_, null set, it follows that A" c A' up to an IN_, null set, as
was to be proved.
23. Boundary Limit Function of a Potential on a Half-space 225
_
818A = v + PD(-, A'), (23.1)
1. Physical Context
Consider a distribution of positive and negative electric charges on IV and the
electrostatic potential induced by this charge. By definition of a conductor,
if A is a connected conducting body in R', the charge on A distributes itself
in such a way that the net effect is that of an all-positive or all-negative
charge. and the distribution on A is in equilibrium in the sense that the
restriction to A of the potential of the charge distribution in I8' is a constant
function.
Let D be an open subset of R with a conducting smooth boundary, and
suppose that the boundary is grounded. The significance of grounding is that
if a positive charge p is imposed on D, an induced negative charge - p*
appears on W. and the potential G(p - p*) is identically 0 on OD. Thus, if
p is a unit positive charge at in D, the restriction to D of the potential
G(p - p*) is identified with the Green function and p* is identified
with the sweeping of p onto aD (relative to R'); that is, p* is identified with
the harmonic measure p the measure p* is
identified with the sweeping of p onto aD and that G(p - p*) = GDp on D.
In view of this physical context the existence of a mathematical version of
the Green function of a reasonable set D was obvious long before there was
a rigorous existence proof, and the sweeping of a measure was a natural
concept to formalize.
Now suppose that a connected conducting body is introduced into D and
given a positive charge p. This charge necessarily distributes itself in such a
way that G(p - p*) = GDp is constant on A. Such a charge p, that is, such
a measure, is called an equilibrium charge (or measure, or distribution), and
the corresponding potential GDp is called an equilibrium potential for A. Two
equilibrium potentials for A are proportional, as are their potentials, and
if the potential on A of an equilibrium measure has the constant value I the
equilibrium measure [potential] is called the capacitary measure [potential].
In view of this physical context it was clear to Gauss that there must be a
capacitary distribution in a suitable mathematical context for any reasonable
pair A and D. The pair (A. OD) is a condenser in the physical context, and
the capacity of this condenser is defined as
2. Measures and Their Energies 227
The mathematical model of this physical context has already been dis-
cussed, at least in part. The set D is supposed Greenian. The Green function
GD has already been defined, and has been shown to have limit 0
at every regular boundary point of D. If p is a measure on D, the function
GDµ is the mathematical version of the electrostatic potential generated by
a distribution p of electric charge. More generally p will sometimes be allowed
to be a suitably restricted signed measure or charge in the sense of Appendix
IV.7. The energy of a charge and the mutual energy of a pair of charges will
be defined, following mathematical tradition, as twice the values assigned
by physicists. Equilibrium distributions will be derived, and the capacity
of a subset A of D will be defined by (1.1) when A is analytic.
if N = 2,
EXAMPLE (c). The general case of the preceding example is the following.
Let D be a Greenian subset of RN, let B be an open subset of D, let be a
point of B, and define A = D n aB (Euclidean boundary) and u = Sp(, ).
Then
IIull2 = 6A (S, GD(c,')) = GD(S. NB(S, 1D) (2.6)
and the energy of u is defined as [p, p]. To justify this definition, it must be
proved that the mutual energy of a pair of elements in 8' is finite (see
Theorem 7), and until this fact is proved, the definition (3.2) will be used
only when the finiteness of the summands is obvious from the context. The
form is symmetric (reciprocity law). It will be proved that the energy
of a charge in 8 is positive, and the energy will then be written This
notation will be used before positivity is proved whenever positivity is
obvious from the context.
Lemma. (a) The inequalities GDµ' 5 GDV and GDP" S GDv" for potentials
of measures imply that [y', p"] 5 [v', v"].
(b) The inequality GDµ 5 GDv for potentials of measures implies that
((p((2 5 ((v((2 and that y = v if these energies are finite and equal.
(c) Let GDp, and GDv, be increasing [decreasing] sequences of potentials
of measures, with respective [smoothed] limits GDp and GDv. Then
in the increasing case and, if [pa, vo] is finite, also in the decreasing case.
230 I .X111. Classical Energy and Capacity
Proof of (b). If p' = p" = p and v' = v" = v in (a), then l1µ11 s 11v11, and with
this specialization if the energies, that is, the integrals in (4.1), are finite,
equality in (4.1) implies that GDµ = GDv both p almost everywhere and v
almost everywhere, so that GDµ = GDv by the domination principle for
potentials of measures of finite energy (Section 2), and therefore µ = v.
Proof of (c). In the increasing case in view of (a) the sequence [µ,, v.] is an
increasing sequence with limit at most [µ, v]. The limit is [p, v] because for
every m,
and the last integral can be made arbitrarily near [p, v] by choosing m large.
The decreasing case is treated similarly, with the help of the fact that polar
sets are A null if A is a measure of finite energy.
lim f G dv;
e-m JD D
whenever the integrals are meaningful. The value 2(u) is the Dirichlet
integral of u. If u = GDµ and v = GDv are the potentials of charges in if, on
the Greenian set D, and are in class Cj2'(D), then nH dv = -Av d1N (Section
1.7), so that
u) 2(u)
[ p, v] = 2(n' [ µ 1<] = (6.3)
232 1. XI If. Classical Energy and Capacity
f Gp dv = , lf u &v dlN
RN RN R^
ICI
tm
141-- t
141 log -ii 0
and
for large I I. It follows that if y and v satisfy the additional condition µ(R2) _
v(R2) = 0, then the integral defining -Q(u, v) converges absolutely, and (6.4)
becomes (6.3) when B increases to R2.
Returning to the hypotheses of the first paragraph, if u = Goµ as described
there but if v is harmonic and has an extension to D in class Ct21(D), then
Green's identity [Section 1(1.2)] becomes
the bilinear form is a pre-Hilbert space, that is, a space in which all
the Hilbert space axioms except that of completeness are satisfied. It is known
that the space 6 of charges is not complete but that its subset 6 + of measures
of finite energy is complete.
(b) Functions. Let u, be a sequence of infinitely differentiable functions on
D for which 2(u - ur,) = 0. It is known that
there is then a function u from D into A with the following properties: grad u
exists IN almost everywhere on D, with 2(u) < + oo ; lim . 2(u -
u is the quasi everywhere limit of a subsequence of u.; u is fine continuous
quasi everywhere on D. A function u obtained in this way is called a "BLD"
function (Beppo-Levi-Deny). The space of BLD functions is the natural space
of functions on which to base the study of orthogonality and related topics
involving the Dirichlet integral. The harmonic BLD functions are the har-
monic functions with finite Dirichlet integrals. If the functions in the approx-
imating sequence u, have compact supports, u is said to be of potential type.
It has been proved that the class of BLD functions of potential type includes
the potentials of charges in 6, in particular, the superharmonic potentials of
measures of finite energy. If two BLD functions are identified when the
restriction of their difference to the complement of a polar set is a constant
function, the space of BLD functions coupled with the inner product 2(-, -)
is a Hilbert space in which the classes of harmonic BLD functions and of
functions of potential type are orthogonal subspaces with direct sum the
whole space. This fact generalizes our application of (6.5) according to which
if u is a superharmonic potential on D and v is harmonic on D, if D is suffi-
ciently smooth, and if u and v have sufficiently smooth extensions to D, then
2(u, v) = 0.
In view of (6.3) as suitably generalized to the BLD context, the pre-
Hilbert space it of charges can be immersed in the Hilbert space of BLD
functions by identifying a charge p in 6 with the function (nN)-"ZGop. The
Riesz decomposition of a positive superharmonic function into the sum of a
positive harmonic function and the potential of a measure can be inter-
preted, if the given function is a BLD function, as the sum of its orthogonal
projections on the subspaces of BLD harmonic functions and of functions
of potential type.
The details of this Hilbert space approach will not be carried out in this
book, and the stated results will not be needed with one exception. We shall
need the fact that the energy of a charge in 6 is positive. This fact will be
proved in the next section.
I[µ,v]ISllµ11llv1l. (7.1)
(c) A charge in of is the zero charge if and only if its energy vanishes.
(d) There is equality in (7.1) if and only if µ and v are proportional.
Proof. Step 1. Proof that (b+) (a) (b) and that (b+)(sm) (a)(sm)
(b)(sm). The following argument without the smoothness condition is also
applicable in the smooth context. Let µ : (µ1,µ2) and v be in 8. Under (b+)
so (b) (a). Under (a) the equality in (7.2) implies that [µt 11021 < + oo,
which implies in turn that 8 is a linear space and that for ce R,
0 511µ+cvll2=l1µ112+2c[µ,v]+c211v112 (7.3)
and inequality (7.1) now follows from Lemma 4. Hence (b+) is true and
therefore (a) and (b) are true by Step 1.
Step 3. Proof that (a) and (b) are true when D is a ball. According to
Step 2, it is sufficient to show that (b+)(sm) is true when D is a ball. When
µ is in 8(sm) relative to a ball D, the expression II(1.1) for GD shows that
GDp, when defined as 0 on 6D, is infinitely differentiable on D. The context
is therefore that of Section 6, and the evaluation (6.3) of [µ, v] shows that
the inequality (b+)(sm) follows from Schwarz's inequality.
8. Alternative Proofs of Theorem 7(b') 235
L(GDµt, , 6) = L(GDP2, , b)
The following proofs of the key inequality (7.1 +) are unnecessary but
instructive.
(a) Heat equation potential theoretic-probabilistic proof of (7.1 +). Sup-
pose that there is a positive Borel measurable function (t, , rl) r- bD(t, 4,17)
from ]0, + oo [ x D x D into R+ with the property that bD(t, , ) is symme-
tric, that
[p, v] = c J
o"
11 (dt)
L
(2, , u) bv(2, ,) , (8.3)
has the desired properties. This function bD will also be identified with the
transition density relative to IN of Brownian motion in D (transition from
to n in time t). See Chapter XVII for a discussion of OD, Section 2.VII.9
for the Brownian motion transition density bD, and Section 2.IX. 17 for the
identification of the potential theory bD with the probability bD.
This method of proving (7.1 +) can be applied without recourse to heat
equation potential theory or probability as follows. Define a function b on
]0, +oo[ x R by
I _ 1N(A)
(s.a
)
I- n1"-2
- CN RN I - CIN-' In - CIN-` *
and apply Schwarz's inequality to obtain (7.1 +) for D = RN. Proceed as in (a).
9. Sharpening of Lemma 4
llm11µJ=IIµII, llmIIµ-N,.II=0.
(It is easy to see that the second limit result implies the first.) If u is the
limit of the sequence of potentials and if v is a measure on D,
and the right side has limit 0 when B increases to D. Hence (Section VIII. 11)
u is a potential, say u = GDµ, and (9.1) follows from Lemma 4.
Observation. Assertions (a) and (c) together are equivalent to the asser-
tion that the restriction of II2.112 to the class of compact subsets of D is a
topological precapacity and that II2.112 is the Choquet capacity generated
(Appendix 11.8) by this topological precapacity.
Proof of (a). The set function II2.112 is obviously an increasing set func-
tion, and if A is an increasing sequence of sets with union A (c D), then
lim,,..," II2AII2 because this limit equation is trivial if the limit is
+ oo and the limit equation follows from Theorem 9 otherwise. Next let B
be an open relatively compact subset of D, and let A be a compact subset of
B. Then AA is supported by A, GDAA = 1 quasi everywhere on A, GD2B = 1
10. The Classical Capacity Function 239
112A 112 =
GDAA d2A = GRAB d2A = GDAA d i8 = f Ri dAB. (10.4)
J Ji) fD JD
The first equality in (10.2) now follows from Lemma 4(c). What we have
proved implies that the restriction of the capacity 112,112 to the class of
compact subsets of D is a topological precapacity generating 112,112 ; so this
capacity is countably strongly subadditive.
Unique Characterization of AA
Recall that with this definition C *(A) < + oo implies that A E r,; so Rl is
a potential, GDAA, that AA is supported by afAf and that
On the other hand, there are sets A in TD with AA(D) = C*(A) = +oo.
The values C*(A) and C*(A) are called, respectively, the inner and outer
capacities of A (relative to D). Thus C*(A) is the infimum of the inner
capacities of the open supersets of A. The set A is 11 A. 112 capacitable, that is,
C* capacitable, if and only if C*(A) = C*(A), and then C(A), called the
capacity of A (relative to D), is defined as the common value of the inner
and outer capacities of A.
If A is a subset of D with finite outer capacity and if e > 0, there are an
open superset AE of A and a compact subset A, of A such that
and there exist a G6 superset A" of A and an F. subset A' of A such that
and equality implies that A = AA. In fact (12.1) implies that A(A) < + oo
and that
fA (G
DA-2)dA=IIA112-2i.(A)=jj2-AA112-C(A). (12.5)
13. Expressions for C(A) 243
These expressions for C(A) are so easily obtained that we shall prove
only the first. If A is supported by A and if GDA 5 1, then (domination
principle) GD. S GDAA; so (by Lemma 4) IIAII2 s IIAAII2 = C(A); that is, each
integral on the right in the first line of (13.1) is at most C(A). Furthermore
C(A) is the supremum of the capacities of the compact subsets of A; so if
A = AF in (13.1), with F a compact subset of A, the integral can be made
arbitrarily near C(A).
Capacity of a Ball
If N > 2, if D = R", and if A is a ball of radius S, a uniform distribution
on aA of total value 1 has potential identically S-"2 on A according to
Section IV.2. Hence any uniform distribution on 8A is an equilibrium distri-
bution for aA and for A. Both have capacity 0-2. Moreover, since C(A)
is the supremum of the capacities of the compact subsets of A, C(A) = 6N-2
also, and any uniform distribution on 8A is an equilibrium measure for A.
If N z 2, if D is a ball of radius fi, and if A is a concentric ball of radius
a < fi, a uniform distribution on 8A is an equilibrium distribution for A, A,
and aA, and
_ f(lo)-'
a
if N = 2,
C(A) = C(A) = C(BA) = (13.2)
l2_tl _
R2-N)-l if N > 2.
244 I. Xl 11. Classical Energy and Capacity
L et r,; be the class of positive charges, that is, of measures, in rA, and let
problems (G1+) and (G2) be, respectively, (G1) and (G2) with f'A replaced
by 17A. We shall treat problems (G1+) and (G2+) only when f z 0. We shall
write that a charge solves one of the above problems if the charge minimizes
the relevant integral under the specified side conditions.
(a) A charge p solves problem (G2) if and only if
.so µ is the only charge solving (G2). Furthermore µ/f A f dp solves problem (G 1).
In fact µ solves (G2) if and only if whenever c e 18 and v e FA, the integral in
14. The Gauss Minimum Problems and Their Relauon to Reductions 245
(G2) with v replaced by u + cv has its minimum value for fixed v when c = 0.
A condition necessary and sufficient for this is (14.1). Equation (14.1)
implies that Ilµllz = jAfdµ and implies the evaluations (14.2) and (14.3)
except for the strict inequality in (14.2), which is a consequence of the
evaluation of G0µ in terms off to be made next. Equation (14.1) with v
replaced by its projection on an arbitrary Borel subset of A yields the in-
equality G0µ = f v almost everywhere on A for every v, and therefore (Section
2) G0µ =f quasi everywhere on A. Conversely, the latter condition implies
(14.1) because (from Section 2) polar sets are Ivl null for charges v of finite
energy. Finally, if v e r'A and if JA f dv = 1, equation (14.1) implies that
IlµllllvIIzI;so
µ 2
llV1l2 z IIpli-2 =
jfd
and therefore µ/jAfdµ solves problem (G1).
(b) A charge p solves problem (GI) if and only if Ilpll > 0 and µllµll-2
solves problem (G2), equivalently, if and only if llpll > 0 and G0µ = llpll2f
quasi everywhere on A. There can be only one such charge. In fact, if p solves
problem (G1), then the side condition implies that Ilpll > 0, and the min-
imizing property of p implies that for v in 17A,
_
_111111-2
+
(111411.14
- Ilpll-t)2
with equality when v = pllpll-2 Thus the latter charge solves problem (G2),
and the rest of (b) is now trivial.
(a+) If f z 0, a measure u solves problem (G2+) if and only if
for every v in r,, equivalently, if and only if G0µ ;2: f quasi everywhere on A
with equality µ almost everywhere on A. If so, (14.2) is true, and for v in r,;
the identity
shows that p is the only measure solving (G2+). Furthermore µ/jAfdµ solves
problem (G1+). In fact, if p solves problem (G2') and if ce R , the integral
246 1. XIII. Classical Energy and Capacity
in (G2') with v replaced by cµ has its minimum value when c = 1, and the
integral in (G2') with v replaced by µ + cv with c in R+ and v in ri has its
minimum value for fixed v when c = 0. These two conditions are satisfied
if and only if (14.1') is true. Conversely (14.1') implies that y solves problem
(G2+) and is thereby uniquely determined because under (14.1') in the
identity (14.3') the right-hand side z -11µ1I2 with equality only when v = p.
Equation (14.1') with v replaced by its projection on an arbitrary Borel
subset of A implies that G6µ 2:f v almost everywhere on A; so GDµ ;->f
quasi everywhere on A. There is equality p almost everywhere on A in
view of the equality in (14.1' ). Conversely, these two conditions on y imply
that (14.1 +) is true. Finally, if p solves (G2' ), then µ/ f A f dµ solves (G 1') by
the same proof as that of the corresponding implication in (a).
(b') /f f z 0, a measure p solves problem (G 1') if and only if l1µ II > 0 and
µ11µI1-2 solves problem (G2'), equivalently, if and only if l1µ11 > 0 and GDP Z
IIpII2fquasi everywhere on A with equality p almost everywhere on A. There
can be only one such measure. The proof is left to the reader.
(c) Suppose that f z 0, and define f as 0 on D - A. Then if µ solves
problem (G2'), GDP = R . (See Section XI.20 for the reduction involved
here.) Conversely, if A is fine closed in D, then R is the potential of a measure
p solving problem (G2'). In fact, if u solves problem (G2'), then GDµ = f <
+ oo p almost everywhere on A; so if v is a positive superharmonic function
on D that majorizes f quasi everywhere on D, the domination principle
states that GDµ 5 v. Since one choice of v is G6µ, it follows that GDµ = Rf.
Conversely, R f quasi everywhere on A, and R < GDA; so R is the
potential of a measure p of finite energy (Lemma 4). To prove that p solves
problem (G2+), we need only verify that A supports p, and according to
Section X1.20 (special positivity case), µ is supported by cdfAf - D, a subset
of A since A c Af by hypothesis.
(d) Classical balayage. Suppose that A is a Borel subset of D fine closed
in D and that f is equal quasi everywhere on A to the restriction to A of the
potential GDµ' of some measure µ' of finite energy not necessarily supported
by A. We have seen at the beginning of this section that then f satisfies the
conditions imposed throughout. In the present context, problem (Gl)
becomes the problem of minimizing 11v112 for all charges v of finite energy
supported by A with [p'. v] = 1, and problem (G2) becomes the problem of
minimizing 11 v112 - 2 [p', v] for all charges v of finite energy supported by A.
The measure 8 p, [A solves (G2) because
[G6µ'" =f
quasi everywhere on A and (by Theorem XI.14) the measure iµ'0" is sup-
ported by A.
The linearity properties of (G2) solutions noted in (a) imply that if f is
15. Dependence of C* on D 247
15. Dependence of C* on D
If D, and D2 are Greenian subsets of R' with D, c D2, we have noted in
Section VII. I that GD, 5 GD2. If outer capacity relative to D, is denoted by
C7, it will now be shown that C,* >- CZ on subsets of D, and that to a
compact subset B of D, corresponds a constant a = a(B) such that C,* 5 aC2
on subsets of B. In view of the relations between inner and outer capacities,
the corresponding inequalities are true for inner capacities, and it is sufficient
to prove these inequalities on compact sets, for which C,* reduces to the
capacity function C. If A is a compact subset of D, with capacitary measure
2;A relative to D;, then I >: GD2A2A > GD,A2A on D,; so by (13.1)
as was to be proved.
248 I. X111. Classical Energy and Capacity
Band
Z2pi(A)2log.
JR2 AA
Since the last term has limit 0 when i4 - oo, it follows that the energy [p,p]
of p relative to R2 is positive.
Schwarz's inequality (7.1) in the present context follows easily from
positivity of energy [see (7.3)]. The rest of the proof of Theorem 7 in the
present context follows that of Theorem 7 with one modification. To prove
that [p, v] = 0 whenever v is in 8 implies that u is the zero charge, we cannot
choose v as a uniform distribution on a sphere since this distribution is not
in .9. Instead choose S, > S > 0, and for in R2 let v be the charge supported
by b) v S,), equal on the larger sphere to the uniform distribu-
tion of a unit mass and equal on the smaller sphere to the uniform distribution
of a negative unit mass. Define u = GDp. The equality [p, v] = 0 implies that
L(u, , d) = L(u, , b,), and the condition E3 implies that lima,-. L(u, , S,)
= 0. It follows that L(u, , b) = 0 and therefore (S - 0) that u - 0. Hence p
is the zero charge, as was to be proved.
Theorem. The set A is thin at if and only if the following equivalent conditions
(with reductions relative to D) are satisfied:
m
(b) YR;n() < +co.
0
Hence conditions (a) and (b) are equivalent. In view of Theorem X1.3 these
conditions imply that A is thin at because under (b)
It follows from the definition of GD and the discussion in Section VII.3 that
liml4-also [GD(C, q)/G(g, q)] = I when C and q are restricted to be in a com-
pact subset of D. Hence for C and q in a compact subset B of D there is
a constant c" = c"(B) such that GD < c"G on B x B. (If N > 2, the stronger
relation GD < G is valid on D x D.) In view of this inequality for B = Ak
and (17.2).
on AZn, and the constant does not depend on n. It follows that GDµ2n Z 1
quasi everywhere on AZn for sufficiently large n; so Ri 2n 5 GDN2n quasi
everywhere on A2i for sufficiently large n, and therefore this reduction
inequality holds everywhere on D (domination principle) for sufficiently
large n. Hence, if m is sufficiently large,
Thus the sum in Theorem 17(b) over the terms with even n converges, as
was to be proved.
Observation. In view of (17.2) the theorem is true, and the proof requires
only trivial modification, if G in (17.1) is replaced by GD.
outside each neighborhood of oo, and has limit 0 at quasi every finite
(Euclidean) boundary point of D, and the difference has
a finite limit r(A) at co. [If this difference is defined as r(A) at oo, the dif-
ference becomes harmonic on a neighborhood of oo.] The value r(A) is
called the Robin constant of A. Obviously r(A) is invariant under rotation
and translation of R2. The value a-"" is called the logarithmic capacity
of A. Although the logarithmic capacity has the advantage of positivity,
we shall see that the key set function in this context is - r(-).
EXAMPLE. If A = B(O, S), then GD(oo, ) = log (J 1/b), r(A) = -logo, and the
logarithmic capacity of A is therefore 0.
If o a A, then [all functions in (18.1) are defined on D]
The domination principle now implies that GA = GAA ; so A = A.A. The mea-
sure AA is a canonical equilibrium measure for A in the present context.
R) = 7) - on('), (18.3)
The set function - r(-) very nearly satisfies the conditions defining a topo-
logical precapacity but is not positive. Let A. be a compact nonpolar subset
of R2, and consider the set function r(A0) defined on the class of
compact supersets of A0. This set function is a positive strongly subadditive
set function, and it is easy to modify the topological precapacity extension
theorem, using its methods to extend - r(-) + r(Ao), and therefore
to the class of analytic supersets of A0. The value -r(A) obtained in this
way does not depend on the choice of the compact nonpolar subset A0 of A.
Define -r(A) = - oo if A is polar. Since (from Section VI.2) every analytic
nonpolar set has a compact nonpolar subset, we have now defined - r(-) on
the class of analytic subsets of R2. The set function - is now an increasing
set function and is regular in the sense that
The logarithmic capacity set function a-'*) is then also regular in this sense
but as already noted is not strongly subadditive, in fact, not even sub-
additive.
Let A be an analytic nonpolar subset of R2, and let A' be a compact nonpolar
subset of A. Define D' = R2 - A' and D = R2 - A. The positive function
1. Introduction
The one-dimensional version of classical potential theory is so special that
its discussion has been deferred to this chapter, and much of this theory is
so elementary that it will be left to the reader to formulate and justify. A
ball in R with center is an open interval with midpoint 1;, and the averages
L(u, . S), A(u, , S), and Asu can play the same role when N = 1 as when
N > 1, but more direct methods are sometimes clearer.
Since an open subset of I8 is a countable union of disjoint intervals, it is
usually possible to consider functions defined on intervals.
3. Convergence Theorems
It is trivial that the supremum of an upper directed family of harmonic
[superharmonic] functions on an open subset D of F8 is harmonic [super-
harmonic] if finite at a point of each component interval of D. It is just as
trivial that the infimum of any family of superharmonic functions on D
is superharmonic if finite valued. Thus the Fundamental Convergence
Theorem of classical potential theory is both true and trivial when N = 1.
5. The Dirichlet Problem (Euclidean Boundary) 257
On the other hand, if the interval D has one finite and one infinite endpoint,
the PWB method yields a solution if and only if the specified boundary
258 I.XIV. One-Dimensional Potential Theory
6. Green Functions
When N = I and D is a finite interval ]a, b[, it is natural to define GD as a
function on D x D with the property that is harmonic on D -
and superharmonic on D, with limit 0 at each endpoint of D. These con-
ditions determine up to a multiplicative positive constant. Let d1
[d2] be the derivative of to the left [right] of . If now uE C121(b),
integration by parts yields
if ry5 ,
(6.2)
a)
if11z ,
b -a
and then (6.1) becomes
a) A (q - a). (6.4)
7. Potentials of Measures
If D is Greenian and if µ is a measure of Borel subsets of D, then the potential
GDµ is superharmonic, that is, concave, on each component interval of D
on which the potential is finite valued, because q) is concave for each
q. We now show that GMDU = 0 when u = GDµ is a superharmonic potential.
It will follow from the Riesz decomposition (Section 9) that conversely a
positive superharmonic function u with GMDU = 0 is the potential of a
measure. We can assume in the following that D is an interval ]a, b[. Let BB
be an increasing sequence of subintervals of D with compact closures in D
and union D. Then ra.GDu is a decreasing sequence of superharmonic
functions. Moreover, if e B,,, then
TB.(GDµ)(b) = (7.1)
0a(0 = f(i -
Here fs means the integral over ]a, fi]. The functions ¢, and ¢b are finite
valued, monotone increasing, and right continuous and satisfy
f (b - l) d4a(q) = f (q - a) dob(q),
z
e s
a<a<#<b, (8.3)
and
u( ) =
(b -)Wa(S) - ( - 4)
b-a ( 8 .
first when p({i;}) = 0 and then (right continuity) for all . Then for a <
a<#<b
f (q - a)p(dq) + f." (b -
(8.6)
4a0) - 4a0) =
a
' (1 - a) d4b(ti), (8.3')
9. Riesz Decomposition
Theorem. If u is a positive superharmonic function on an open proper subset
D of t, then
We can assume that D is an interval ]a,b[ with at least one finite end-
point. In fact, however, we shall assume that both endpoints are finite,
leaving the other case to the reader. Equation (8.6) is trivial, and when
a j a and ig T b, we find that 0. and 4 as defined by (8.2) are finite valued,
monotone increasing, and right continuous and satisfy (8.3). Then (8.5)
is true up to an additive constant; so (8.4) is true up to a linear term; that is,
u = GDp + v, where v is linear. Since the GMD operation is linear, just as
in the multidimensional case, and since this operation on a superharmonic
potential yields 0, it follows that v = GMDu, and the proof of the theorem is
complete.
K(q,) =
bo ^n q
We then find (q -+ 0, + oo) that the Martin space can be identified with
9+ ; the Martin boundary point 0 is associated with the minimal harmonic
function K(0, ) __ I; the Martin boundary point + oo is associated with
the minimal harmonic function f- K(+ oo, ) = /o.
Chapter XV
1. Conventions
, s)
eu(, s) = 2 Ari(,, s) -
as
(2.1)
s) = 2 s) + alias, s)
(CI V), _
u(S) = eo'a12 r
2 I)(N2)/2J(i.JII)ec2cs/2
N/2) -
2 (N- zuz
p
1(N-z),2(\CI, I)e°=Cs(2
3. Coparabolic Polynomials
Define the Hermite polynomial Hm...N on RN by
am,+ +M N e-1,11=
H.,. "N(,I) = z
(m) Z 0)
an(N)mN
yields
m (INn, (NV"N
e z<r.o> I712 _ Y- y m1!
Hm,...mN(t1). (3.3)
nOm,+...+mN=n t ... MN!
N!
According to (3.1),
11m,..mN = elnl' N
(-2n(I)e-171=)
brl an(I )m, . . . a'e)'"N
(3.4)
= -2mjHm....mN, m. =mj-blf ifmj>0,
and this partial derivative vanishes if m1= 0; so (3.4) is valid in all cases
when interpreted reasonably. Repeated integration by parts leads to
3. Coparabolic Polynomials 265
e-...rN(7)Hn,..
fIRI'H. "N(7)1N(d7)
RN
m, ! if m = n,,
=10 otherwise.
e<r.n>-Irl=02hl2 = C' )
,(IV", ... y (N)"N
H . (7, t).
(... MN! m
.
, . MN
n==Om,+...+mN=" ml
711Vn, .. 7(N)MN + , . .
The term written on the last line is the only term not involving t. The relation
(3.4) becomes
(Hm,...mN - m; - by ifmj>0,
(3.8)
mi= to ifmj=0,
and (3.5) becomes
e-Iel=nc'`Hr,...-N(7+t)H",..."N(n, t)1Nd7)
I
(a2t)n+N/2(2n)NJ2mI ! ... MN! if m, = n.,
I 0 otherwise.
0 ift50.
Note that the time variable is placed first in this notation, as appropriate
to the probability interpretation to be given later. The parabolic Green
function 6 of 9' is defined on 1'8' x A' (N z 1) by
In more detail,
(a) The function h) is the Green function with pole n for the heat
equation. This function is positive, parabolic on A' - {q}, and
vanishes below q and in the limit at the point oo.
(a*) The function G( , ) is the Green function with pole for the adjoint
equation. This function is positive, coparabolic on A' - { }, and
vanishes above and in the limit at the point oo.
5. Maximum-Minimum Parabolic Function Theorem 267
nI 2
ID(k>Q,7)I I - III S c(fl,o)(s - (s > t). (4.4)
- t)
t)-(N+k-eu2exp - 4oI2(s -
This inequality will be proved for k = 1. The proof in the general case
involves more notation but no additional ideas. For k = 1 and s > I
acMIT- 3C1
IC - oil* 5 (2a) "'a " _(I r 20
(4.5)
and the right side is majorized by the right side of (4.4) when k = 1.
If p is a measure on A", the functions Gµ and FRO defined by
Theorem. Let l; be a point of an open subset D of ft N , and let D(d) be the set
of points of D below C relative to D. If ti is a parabolic function on ,6 and if t (e)
is the supremum or infimum of the restriction of u to D(C), then u = ti(C) on
bg).
Observation. This theorem when applied to the part of D strictly below
an arbitrary horizontal hyperplane implies that if m is the supremum of ti,
there is a sequence 0. of boundary points of D with ordinate values strictly
less than supo ord ry such that
Equivalently,
f
(uAv - vbu)d1N = f
as
)dIN + 2 vDpu)dlN_t. (6.2)
JD:) U(s) rt (s)
The dot replacing a variable refers to the integration variable, and the normal
derivative is with respect to this variable. Apply Theorem I of Appendix VII
to find when a 0 that the part of the integral on the left over 6(s) has
7. The Parabolic Green Function of a Smooth Domain 271
The function Go is unique if it exists because if ift defined on D(t1, t2) is the
difference between two functions with the properties (a)-(c), for fixed the
function is coparabolic on D(tt, t2) with boundary function 0 except
possibly at the points of D(tt). The maximum-minimum theorem for para-
bolic functions as dualized for coparabolic functions and applied to Vi
implies that 4 vanishes identically.
The restriction of to the set of points of D strictly below is
coparabolic, and by the maximum-minimum theorem it follows that
272 I.XV. Parabolic Potential Theory: Basic Facts
If <2kc,ifInj >k,andifs>t,
-(2lnl - k)'C' < a(s - 1)1/2
G(s - t.2nc - + q) 5 [2na'(s - t)]-u' exp cznz
2a2(s - t)
(8.2)
Thus after dropping a finite number of summands, the series (8.1) and
similarly the series of partial derivatives of each order with respect to , q,
s, t converge uniformly on bounded subsets of 68 x A. For fixed q in
h each term of the series (8.1) except e (s - t, - + q), the term with n = 0,
defines a parabolic [coparabolic] function of [q] on B. Similarly, after
dropping a finite number of summands, the series
(8.3)
n=-m
W
4(a, [B(s - t, 2nc - + q) - G(s - 1, 2nc + 2a - - q)]
n=-00
(8.4)
is, for S fixed in Al, a function on h which differs from the function
- q) by a function coparabolic on h, and t(a, b) (4, ) has
rl i-+ 41(s - t,
limit 0 at every finite point of the boundary and vanishes when t z s. It is
natural to accept 0(a, b) as GB, the Green function of B. Now choose t, < t2
and define I) = ]a, b[ x ]t, t2 [. Let ¢(a, b, ti, t2) be the restriction of 4(a, b)
to'b x D. For in,6 the function 0(a, b, t1, t2) (4, ) differs from the function
iI '- G(s - t, q - ) by a function coparabolic on 13, has limit 0 at every
lateral boundary point of f), and vanishes when t >- s. Hence we accept
0(a, b, t,, 12) as the Green function GD of t). These definitions of GB and GD
are in agreement with the definition of the Green function of an arbitrary
open subset of 9' to be given in Section XVII.4.
x]aN,bN[x]t,,12[,andifcj=bj-aj,
the Green function GD is defined by
for 7 on the part of the lateral boundary with jth coordinate bj and with
density the negative of this derivative for fl on the part of the lateral boundary
274 1. XV. Parabolic Potential Theory: Basic Facts
Y ifq=b,
Q2 S in=-oo
x
2
-Y
S to
00
if q=a.
and thereby to see that if j is finite valued and continuous, the function
f) has boundary limit f(n) at every point ,j of the lateral or lower
boundary. The inner points of the upper boundary of ,6 are to be considered
as irregular boundary points for the first boundary value problem for para-
bolic functions. (See Chapter XVIII for a discussion of the first boundary
value problem in the parabolic context.)
The Operation r8. If ti is a Borel measurable function on an open subset
D of AN, if h is an interval with closure in D, and if the restriction of ti to
the lower and lateral boundaries of h is !N integrable, define
PI(B, u) on h
u onD-B
10. Parabolic Averages 275
in The interval E(, 6) will play the same role in the study of parabolic
potential theory as the ball B(t, b) in the classical theory. In the following
we take N = 1. The added complications in the general case are merely
notational, and the results will be valid, and applied, for all N. Define the
function f, on the one-dimensional interval [- 1, 1] by
where
2
I ifs < _ 2,
flO
f2(z) ifs> -.
When ¢ = I on [0, 1], we denote the value in (10.4) by A(6, 0, b) and define
A(u, q, 6) = A(ti(, + -),0,6). When ¢(r) = cexp [r z(1 - rz)''] for 0 < r <
1 and ¢(0) = 0(1) = 0 and c is chosen so that Ja4(r)l1(dr) = 1, we denote
the value in (10.4) by A,(ti, 0) and define Aa(ei, q) = A5(ei(q + ), 0). If ti is a
Borel measurable function defined on an open subset D of f(8, the values
A(u, q, 6) and A,(6,'1) are defined whenever B(q, 6) c D, that is, whenever
az + a° < I ry' - aD12, if a is locally 12 integrable on D. Under the latter
condition, 4(6, , b) is continuous, and A,(ti, ) is infmitely differentiable.
Application. It is trivial from the definition that if u is parabolic on D, then
(b) Inequality Theorem. Let b be an open subset of l'8N, and let A be a measure
on D with minimal closed in D support S. Let A be a compact subset of D for
which to each point of A there corresponds a point in S over the first point rela-
tive to D. Then there is a constant c depending only on D, S, A, ,i such that if
ti is a positive parabolic function on b,
max ti 5 c fs ci dpi.
A
If su is a C/" function on an open subset of ll' and is C12' in the space variables,
then ti is superparabolic if and only if Ati < 0, in view of (7.3) with D an
interval.
upper boundary, then (by the lower semicontinuity of ti) u(q) :9 &;(S), and a
trivial variation of the proof of the superparabolic minimum theorem shows
that u is identically m(S) on D(S). Hence there is a sequence rl, with the
desired properties.
or
(c")
u(S) ? Aau(S)
{
ti(p) = liminfti(q) = liminf
rc
qEB
EXAMPLE (The Green Function G of l'8N). For fixed q in u1N the function
q) is parabolic on ffBN - {q} and therefore satisfies the parabolic function
average equality there. Since q) is lower semicontinuous on iW and
satisfies the superparabolic function average inequality at q, this function
is superparabolic on AN. Dually, for fixed S in A' the function is
coparabolic on AN - and cosuperparabolic on V.
class 02', the assertion is trivial because Au = Au. In the general case we
need only discuss superharmonic functions u and superparabolic functions
u. If u is superharmonic, u is (Section IV.10) the limit of an increasing se-
quence of infinitely differentiable superharmonic functions; so u is the limit
of an increasing sequence of superparabolic functions and therefore is super-
parabolic. Conversely, if ti is superparabolic, let Do be an open relatively
compact subset of D. For sufficiently small b the function .46u is defined
on Do x R, is infinitely differentiable and superparabolic, and depends only
on the space coordinate, 46u(c, s) = u6(t). Hence u6 is superharmonic on
Do, and u = lim6.o u6 is also superharmonic on Do and therefore is super-
harmonic on D.
(b) Suppose that D is connected, let o be a positive superparabolic
function on D, and define v on D by the following positive integral operation
on the family of time translates of u:
a positive constant.
takes the upper [lower] half-space of 1N in a one-to-one way onto the lower
[upper] half-space, and 7`1rq = (- ail/t, -a2/t). Define
17. Extensions of a Parabolic Function Defined on a Cylinder 283
_ 2
bo(q) = (2na2IzI)-"f2exp
2121 /
for q in off" less the abscissa hyperplane. If u is a function with domain a
subset B of ft" not meeting the abscissa hyperplane, define Td on TO by
Tu(q) = bo(rj)u(r'i,), so that formally
a2 a
ATti(q) = bo(q)(Au)(T-1q) = T(bti)(q)
on the lower half-space. This parabolic function [without the factor (2n)-"]
was noted in Section 2 and will be seen in Section XVI.8 to play the same
role in the lower half-space for Poisson-integral-type representations and
minimal parabolic functions that y) plays in the upper half-space.
Observation. The lemma does not assert that the extension is unique. In the
following proof we shall find the maximum extension.
Let r be the class of subparabolic minorants of v on b which are majorized
on D' by v' and define v" = sup {u: u E r}. If a < b" < b' and if ci is defined
on b by
Let b and D' be as in the lemma, and let v be a minimal parabolic function
on D. Then 6[6, is minimal on D'. In fact, if v' is a positive parabolic minorant
of ti1D., the extension of u' to D provided by the lemma must be proportional
to d; so t' is proportional to vio..
Special Case: Extension of a Bounded Parabolic Function. Let '6 and D' be as
in the lemma. Then an arbitrary bounded parabolic function v' defined on
D' has a parabolic extension to D with the same infimum and supremum
there as i has on b'. In proving this we can assume that v' has infunum 0.
Let y = supb v'. Then the function v - y on b is a parabolic majorant of
v' on L5'; so v' has a positive parabolic extension to D, majorized there by y.
If D is a finite interval in IB", the preceding result follows easily from our
discussion of the parabolic context Poisson integral.
Chapter XVI
I 1, (1.2)
f RN
, IN(d7) < +oo
whenever S' < S, then the function ti defined on 15 = 68" x ]0, b[ by (1.1) is
parabolic. Moreover,
tim sup Jim sup f(7) (C a RN) (1.3)
6 - C-(G. o) RNa r{
286 I XVI. Subparabolic, Superparabolic, and Parabolic Functions on a Slab
and
lim
(C-0)
"'W'0
uniformly for ry outside an arbitrary open neighborhood A of C in R'; so if
e > 0 and if is sufficiently near (t;, 0),
f.N-A
6(s, - ry)I f(tl)I1N(dd) <- e fRNG(b''ry)1f(ry)I1N(dry). (1.5)
Thus the left side of (1.5) tends to 0 when -+ (C, 0), and the same limit
relation holds when f is replaced by the constant function 1, as required for
the application of Theorem I of Appendix VII. Inequality (1.4) is also a
special case of Theorem I of Appendix VII because
s- N11
[(N )N12
I e(s, - tl)I f(ry)IlN(dn) <
RN-A N-A e
Hence the integral on the left and the same integral with f replaced by the
constant function 1 tend to 0 when oo in 1), as required for the applica-
tion of Theorem 1 of Appendix VII.
Extension. According to the theorem as applied to -f if limj,j_.' f(PI)
+oc, then limb, e_. u(p) = +oo also. It will be useful to sharpen this result,
as stated in the following extension of the theorem. If (1.2) is true whenever
b' < b and if, for some tg > 0,
then for 0 < at < /f, 61 < (2ft2)-', and L1 = 68N x ] 0, b1 [ it follows that
2. A Generalized Supcrparabolic Function Inequality 287
lim +oo.
because the part of the integral over {In1 5 r} has limit 0 when ICI - +oo.
The value of this integral is
(1
1 - 2fa s
Let Dk be the slab RN x ] 1/k, S[ fork so large that k > 1/S. Let f. be an
increasing sequence of positive functions on IBN, finite valued and continuous
with compact support and with limit the lower semicontinuous function
ti(-, 1/k). According to Theorem 1, the function P1(Dk, is a positive para-
bolic function on Dk with limit f (j) at each point (i;,1 /k) of the lower
boundary of Dk and limit 0 at the point oo; so ii - P1(Dk, z 0 on Dk by
the minimum theorem for superparabolic functions on a slab (Section
XV.13). The lemma follows when n -+ oc and then k - oo.
Application (a). It follows trivially from Lemma 2 that
increasing function of s' on ]0, t[. This is an example of the fact that roughly
(see Section VIII. 10 for the classical counterpart) the parabolic average of a
superparabolic function over a set boundary decreases as the set increases.
According to Theorem 5 below, when ti in Lemma 2 is parabolic and positive,
the parabolic average on the left side of (2.2) is constant, equal to ti(,1, t), as
s' varies.
Application (b). If ti is bounded and parabolic on the above slab ,6 and if
u has normal limit f(C) = lim,-o u((, s) at IN almost every lower boundary
point 0), then an application of Lemma 2 to the function u + supb ti and
- ti + sup,, a shows that to = PI(D, f). According to Section 5, the bounded-
ness of ie can be replaced here by positivity if f(C) = limy-,t, o) for all ' in
R". Theorem 6(b) gives necessary and sufficient conditions that a parabolic
function on a slab be representable as the Poisson integral of a function.
To see that (a) can be assumed, observe that for any choice of rotation R the
function (g, s) -- s) is parabolic; so if s) is replaced by the average
of u(-, s) over the sphere in R' of radius I I and center the origin, the new
function will be parabolic and positive and have limit 0 at every point of the
abscissa hyperplane. It is sufficient to prove the lemma for this new function.
To see that (b) can be assumed, we show that the function
ti:
Jo
is parabolic on the given slab. This function satisfies (b), and it is sufficient
to prove the lemma for this function, which satisfies (a) if ei does. If a > 0,
define t by
s) = Ja(.r)1i(dr). 0<a<s<6.
t)]-N127rN
[2aa2(s - r"-t f(r, t)exp
fo""
- t)!t(dr) Sf(O,s), (4.1)
0<t<s<6,
and therefore if r > 1,
fW
r
[21ra2(s - t)]-N'2nNf(r, t) exp a2 11(da) :9 f(0, s), (4.2)
2az(s __0
or
r = 141, t 5 (1 - s)s. (4.3)
It now follows from Lemma 3 that u 5 0 on the slab R" x ]0, (1 - e)s[; so
ii = 0 on this slab and so on R" x ]0, S[.
290 I XVI. Subparabolic, Supcrparabolic, and Parabolic Functions on a Slab
Observe that Itil in (a3) and m,(Icil) in (b2) are positive subparabolic functions
with parabolic majorants. It follows that for fixed s > 0 and fixed s') in
h(0, s) the parabolic averages
that the details will be omitted. Choose 6' with 0 < d' < 6, and for 0 < r <
define charges t, and j on R' by
z
p,(dq) = ti(q, r)IN(d)l), ft:(dtl) = u(q, r) exp 1
2a2q r lN(dq)
Observe that the stated conditions are satisfied at Nh almost every point
of IBN. In the more common version of this theorem h - 1; so Nh = IN.
In particular, if u e D(Aj_) so that ti = 01(h, f) for some function f on R', the
theorem states that ti has parabolic limit f(C) at IN almost every slab boundary
point (C, 0).
Theorem 3 of Appendix VII can be applied to prove a modified version
of Theorem 7, namely, that under the hypothesis that dlN/dfh and d!1 /dI'4
8. Minimal Parabolic Functions on a Slab 293
both exist as symmetric derivates at , the function ti/h has normal limit
(dN,Jd!)(S) at (C,0). The proof of this modification follows the proof of
the corresponding result (Theorem I1.15) in the harmonic function context.
In the latter context the Harnack inequality made it possible to go from
normal approach to nontangential approach, but this step does not seem
possible for general h in the parabolic context. We therefore prove Theorem
7 as an application of Theorem 4 of Appendix VII. In the latter theorem if
we set
2
K(s, r) = exp Za2.s, 6(s) = const s12, so(a) = 2,
we obtain Theorem 7.
Application. We have proved in Section 2 that if ti is a bounded parabolic
function on the slab h and if ti has normal limit J ) at IN almost every point
(C, 0), then u = PI(B, f ). According to Theorems 6 and 7, the weaker hy-
pothesis that the parabolic function 6 on h is in D(pa_) implies that the
parabolic limit, say J(o, exists at IN almost every boundary point (C, 0) and
that 6 = l'I(B, f ).
on the lower half-space, for some point y of Q$N. In particular (y = 0), the
positive constant functions are minimal on the lower half-space. It follows
(Liouville-type theorem) that a bounded parabolic function on the lower
half-space, and therefore surely a bounded parabolic function on ft', is a
constant function. Furthermore the representation Theorem 6 transferred
to the lower half-space by an Appell transformation yields a representation
for a positive parabolic function u on the lower half-space:
294 1.XVI. Subparabolic, Superparabolic, and Parabolic Functions on a Slab
and
(a) ti is superparabolic.
(b) ri on each open set on which ti is superparabolic.
(c) u IN,, almost everywhere.
(d) There is a countable subfamily of F whose infrmum has smoothing j.
and
t'`=inf{J 4"B:AnabcE,J3openinbuaJ}
(3 . 1 sm)
= inf { A BjnD : A n aD c $, f3 open in b u aD}.
The counterparts of the other properties listed in Section 111.5 will be listed
below in Section 16.
EXAMPLE (a). Let .4 be the open upper half-space of A', let A0 be an arbitrary
subset of the abscissa hyperplane, and let v be a positive superparabolic
function on ft. The parabolic reduction (relative to A") and smoothed
reduction of ti on A u An are trivially v on A u Ao and 0 on the lower half-
space. Hence (by lower semicontinuity of superparabolic functions) the
smoothed reduction is ti on the upper half-space and 0 otherwise. The
reduction is 0 on off" - (A u,40) because according to Section 16(f) the
reduction and smoothed reduction are identical off the reduction set.
7) = t8.... t)ib
The reasoning used in the discussion of the Green function can be relativized
with no change in detail, just as in the classical context (Section VII.1) to
use an arbitrary nonempty open subset of A' as a reference set instead of
A". That is, if 6 and a are nonempty open subsets of dl" with I) c f, then
4) = 4) - Q, h) (4.3)
ri
i=1
D) x R, 6, = Df x R.
300 1. XVII. Parabolic Potential Theory (Continued)
is the product of the Green functions for N = I of Dt , ... , D" written in the
respective variables ( ( o h ), s), (,7(l), t)), ... , s), (ry1"1, t))
5. Potentials
If ,6 is a nonempty open subset of dA' and if p is a measure on D, the functions
n)li(dh), A6,6 =
Jd Jd
5. Potentials 301
EXAMPLE (b). Define L5 = R" x ]0, b[ and D' = R" x ] - oo, S[ with 0 < 6
S + co. Recall (Section 4) that ( [OD.] is the restriction of G to b x D
[D' x b']. Let 6 be a positive superparabolic function on D with associated
Riesz measure i and extend o to v' on D' by setting v' = 0 on D' - D. Then v'
is superparabolic and v is the projection on b of the Riesz measure v' associ-
ated with v'. For example, if 6 = + co and v =- 1, the function v' is the potential
ti on ft' discussed in Example (a). Now suppose that v is a potential, v =
(GDv = G`D.v on D. Since G,y.v = 0 on D' -,6, it follows that v' = OD.v, and
this representation shows that D' - D is v' null. On the other hand, if v
is parabolic there is (by Theorem XVI.6) a measure Na on the abscissa
hyperplane such that v' = Thus in this case NN is the projection of V
on the abscissa hyperplane. We have now proved that whatever the choice
of v on D, the extension v' to D' is a potential. One way of phrasing the fact
(Theorem XVI.6) that a positive parabolic function on the slab b is given by
a Poisson-Stieltjes integral is to state that every such function when extended
by 0 to 15' becomes a potential. This fact suggests that one way of deriving
the Poisson-Stieltjes representation is to prove directly that the extended
function v' is a potential; it is trivial that the corresponding Riesz measure
must be supported by the abscissa hyperplane.
302 I.XVII. Parabolic Potential Theory (Continued)
ifs> -1,
0
if s5 -1.
Obviously s) = + oo when s > 0; so ti is not superparabolic. On the
other hand, if fi is any constant the function # A v is superparabolic. The
evaluation
(5.2)
2oZIn14 /f
f11111<11
Since the integrand for fixed ICI is a function of Inl, there is a constant c
such that
zlt1r-"2expal41z11(dr)
z c2-'lzl 1/2exp
ti( ,0) z c f141 (5.4)
16 l2
Thinness
Dependence of dop on b
(Cf. Sections IV.1 and VII.5.) If b, c t3Z, the difference dD= - 66, on
15, x 6, is a positive function, parabolic in the first argument and copara-
bolic in the second. If p is a measure on b, whose potential (,D=p is super-
parabolic, then the difference GD= p - rro, p if defined suitably at the common
infinities of the two potentials is positive and parabolic on 1, .
then 6 has continuous second partial derivatives in the space variables and a
continuous first partial derivative in the ordinate variable, given by
021i(S)
= 026(S,h
0 [An, t) -f( , t)]1"+, (dn)
s) (6.2)
(6.3)
aas )= f',N as
Hence dti = -f
304 1.XV11. Parabolic Potential Theory (Continued)
u - bl -
ti al < III dt=6su PIII; (6.5)
d.
ati( ) =
__
nU1
I
aZ S-t
fON
(6.6)
Proof of (b). Under the hypotheses of (b) the integral on the right in (6.2) is
absolutely convergent, in view of the majorant of the integrand provided by
XV(4.4) with k = 2. Moreover the integral on the right in (6.2) defines a
continuous function of by an argument following that used in proving
continuity of the two integrals in the proof of (a). Since the function n p-+
n')/a is odd about , the first equality in (6.6) can be written in the
form
au(S) = (6.8)
a"10 a"(4 (dn).
S J R.N SS
If the integral on the right in (6.2) is integrated in ''' over an interval but
evaluated by first integrating inn, then "', then t, the result is the difference
between the values of at the endpoints of the interval. It follows
that (6.2) is correct. The absolute convergence of the integral in (6.3) and
the continuity of the function of thereby defined are proved just as the
8. Parabolic-Polar Sets 305
a( )= J G( s (6.9)
q" co
8. Parabolic-Polar Sets
A parabolic-polar subset of dt" (N z 1) is defined as a subset A satisfying the
following equivalent conditions:
306 1. XVII. Parabolic Potential Theory (Continued)
Minimality of r;)
v
inf = v({t;}). (8.1)
D-g) GD(S, )
The corresponding argument in the present context shows that the restriction
of to D - {C} is minimal parabolic and that if r is positive and
superparabolic on D, with associated Riesz measure v,
Coparabolic-Polar Sets
See the proof of the corresponding fact in the classical context in Section
111.5(e).
(b) If A and h are open subsets of D with A c h and if v is a positive
superparabolic function on b, then
OllO"QB = (11.2)
Just as in the classical context (Section VI.4), in view of the fact that the
smoothed successive reductions of v on A and h in either order lie between
Q 16lAOA and QtoO", it is sufficient to prove that (11.2) is true when A = B.
To prove this, we need only observe that since flvV" = ti on A a parabolic
function a on b majorizes 6 on ,4 if and only if u majorizes Q6" on A.
1 1. Preliminary List of Reduction Properties 311
See the proof of the corresponding fact in the classical context in Section
VI.4. Property (c) will be extended in Section 16(g) to cover countable sums
of positive superparabolic functions and arbitrary subsets A of b u aD.
(d) If v is a finite-valued continuous positive superparabolic function on
D, the set functions A F, R- and A - !r' are strongly subadditive on the
class of subsets of D u ab.
Property (d) will be extended in Section 16(k) where the restriction that
v be finite valued and continuous will be dropped.. To prove (d), we first
choose open subsets A and h of D, set v' = Its A Ite, and prove
The classical context proof of this reduction equality in Section VI.4 needs
no change except simplification : "quasi everywhere" is to be replaced by
"everywhere." Moreover, when A and h are open, R"$ " = v on A n B, so
AA ,j Thus (11.4) implies the validity of the strong subadditivity
inequality
R ire + R +RO (11.5)
when A and B are open subsets of D. In view of (a) this inequality is valid for
arbitrary subsets of D u aD, and the corresponding inequality for smoothed
reductions, true IN+t almost everywhere on D, must be true everywhere on D.
(e) If A, is an increasing sequence of subsets of D with union A and if
v is an increasing sequence of finite-valued positive continuous superpar-
abolic functions on b with finite-valued continuous limit 6, then
AP(e) < 2 c.
5 5 Rv"()+2E. (11.7)
0 0
Since (11.6) is true when the sets involved are open, (11.7) yields (n oo)
Hence
There remains the proof that (11.9) is true when e A°f n A. To see this,
observe that for such a point we have now proved at least that R"
Moreover the reduction value on the left is equal to because
e (A - { 5 })°f and the value on the right is equal to R"() because (Section 8)
a smoothed reduction is unaffected by a parabolic-polar change of the target
set. Thus (11.9) is true for the present choice of c.
The proof of (f) is based on (e) and therefore all but the first assertion
of (f) requires that v be finite valued and continuous. It will be proved
[statement in Section 16(e), proof in Section 17] that the conclusion of (e)
remains true for arbitrary positive superparabolic v, and it follows that the
conclusions of (f), restated in Section 16, remain true for arbitrary positive
superparabolic v.
12. A Criterion of Parabolic Thinness 313
Recall from Section 11(f) that the reduction in (12.1) is for every
choice of h if A is not parabolic thin at .
We can assume in the proof of the lemma that 0A. In fact, if A contains
then replacing A by A - { } does not affect the hypothesis that A is
parabolic thin at 4 and does not affect (12.1) because (Section 8) a smoothed
reduction on a set is unchanged if the set is decreased by a parabolic-polar
set. The lemma is trivial if 0; so we assume strict positivity below.
Since A is parabolic thin at , there is (from Section 9) a positive super-
parabolic function ti on D, majorized by v at and with limit + oo at
along A. If h is so small that v < on h, then
D,;O."(4)
hti a(
+ oc > z ) z inf u
U
"B sup ti
A'B
Z inf u vOAnB(S)s
lim 0. (12.1')
a"
Since sweeping has not yet been treated in the present context, the method
of proof in the classical context is not applicable. To prove (12.1'), choose
e > 0, let ut be a positive superparabolic function on D with tit(s) _ +oo,
and let Bo be a neighborhood of . Then
au(S)
1
oA ao (12.2)
1 fit sup t3.
infii t
314 I.XV11. Parabolic Potential Theory (Continued)
Apply (12.1) to find ho so small that the first term in the second inequality
is at most t;/2, and with this choice of h, observe that the second term is
at most E/2 if h is sufficiently small, since u, is continuous at .
and
(a) u is superparabolic,
(b) u = u on each open set on which ei is superparabolic,
(c) ti = u except on a parabolic-semipolar set,
(d) there is a countable subfamily of r whose infmum has smoothing u.
Conversely, i/',4 is a parabolic-semipolar subset of D, there is a decreasing
sequence u, of positive superparabolic,functions on D with limit ti such that
>onA.
+
Assertions (a), (b), (d) and the first equation in (13.1) are contained in
Theorem 2. In view of (d) it will be assumed in the proof of the direct half
of the theorem that ti, is a sequence of parabolic functions, and it can even
be assumed, as in the classical context (Section 111.3), that these functions
are positive. We now choose r, and r2 with r, < r2, define
lower semicontinuity of ; so
If there were a point a in b at which the set;ond and fourth terms in (13.3)
were unequal, there would be two numbers, r, and r2, strictly between the
values of these terms at e, with r, < r2. Since is parabolic-fine continuous,
u
the set A,,,2 would not be parabolic thin at C, and consequently there can
be no such point C. Thus (13.1) is true. Finally (c) is true because
has the properties described in the converse half of Theorem 14. In fact
ti is a monotone decreasing sequence of positive superparabolic functions
with
316 I. XVII. Parabolic Potential Theory (Continued)
6 2_*_1
Application to Reductions
Thus in this example if t; is strictly positive, the set {A" > AA) is the abscissa
hyperplane, which is parabolic semipolar but is not parabolic polar.
Character of Av1
The counterpart of the argument (Section XI.6) that in the classical context
the set Af is a Euclidean Gd set and that A - Af is polar yields in the par-
abolic context that 4Pf is a Euclidean Ga set and that A - 4Pf is parabolic
semipolar. Although the set Af is fine perfect, the set 4Pf need not be par-
abolic-fine perfect. For example, if A = U i {ord = - I/n}, the set 4Pf is
the abscissa hyperplane, which has no parabolic-fine limit point.
of the reference to the proof in the classical context when the latter proof
requires only translation into the present context. We stress that every prop-
erty in the following list is a property of reductions in the classical context
also, in which "(super)parabolic" is to be interpreted as "(super)harmonic"
and "semipolar" as "polar." Some of the proofs given in the present context
are unnecessarily indirect for the classical context but have the advantage
that they are applicable in many general contexts.
(a) If o'=u-R""6,then
RA = RA ab + RAnD (16.1)
v
and the corresponding equation (16. I sm) for smoothed reductions is also
true.
(b) R"SIi'"S6onA,
R" = v on (A u A°J) n D,
It" = RA = d on A°f n D, in particular on the parabolic-fine interior
of AnD.
R" = A-4 on b when A n 1) is parabolic-fine open.
It" is parabolic on D - A and equal to t there.
j "( ) = lim inf . R"(p) = pf lim,_S R"(ry').
(c) [See also (3.1) and (3.lsm).] If c is finite valued on A n D, then
(16.4)
0
Proof of (b). The properties listed under (b) have already been proved
except for the identification of A; with 9' when A n D is parabolic-fine
open. If A is a parabolic-fine open subset of D, the function is a positive
superparabolic function equal to v on A according to the third line of (b);
so f2" z A , and the reverse inequality is listed on the first line of (b). For
general A with A n 1) parabolic-fine open, combine property (a) with the
fifth assertion in (b) and the special case just considered to obtain the stated
identification. o
Proof of (c). The second assertion was proved in Section 11(a) by referral
back to the proof in the classical context. Since superparabolic functions
are parabolic-fine continuous, the same proof is applicable to prove the
first assertion. o
Jim
+.1 = Aniv<+.Dt, (17.1)
and therefore (16.3) is true, in view of (d), except possibly on the parabolic-
polar set An (6 = +co), on which, however, (16.3) is trivial. To prove the
second assertion of (e) suppose first that A^ c 8D. Let i;, be a sequence
dense in b, and choose a positive superparabolic function ti,, on b, majorizing
ti near A^ n aD and satisfying
P'4-(4,) + 2-", j S n.
The function
go
tik=limn"R+
ROOD
Y
n=k
Hence
limb""zkna6+A-nD=A..
R-00
Proof of (g). To prove (g) for two summands, that is, to prove
A
V,+V =1Z" +A2 (17.2)
and the corresponding equation for smoothed reductions, observe that (17.2)
appears as (11.3) in Section 1 I (c) for A an open subset of 1) but that the
proof of this special case was there referred back to the proof of the corre-
sponding special case in the classical context. That proof [Section VI.4(f)]
translates trivially into the present context for ,4 a parabolic-fine open subset
of D, with no restriction on t%,, o,. In view of the evaluation in (3.1) of a
reduction in terms of reductions on subsets of D, (17.2) is true whenever
An D is parabolic-fine open. It then follows from (c) that (17.2) is true
with no restriction on A if 6, and v2 are finite valued on A n D. Hence
with no restriction on v, and i'2 and with Ao = 4n {v, + i2 < + oo },
ltd 12V - + A4
Proof of (h). The proof follows that of the corresponding classical property
in Section VI.4(g).
Proof of (j). This property was proved under added restrictions (or rather
referred back to its classical counterpart) in Section 11(d). The method of
proof referred to is applicable in the present context whenever the sets
A n D and . n D are parabolic-fine open.
17. Proofs of the Reduction Properties in Section 16 323
Proof of (k). Equation (16.5) implies the strong subadditivity of the set
function A on the class of sets A with A n D parabolic-fine open
[the argument in Section 11(d) for A n D open is applicable when A n 6 is
merely fine open]. An application of (c) then shows that the strong sub-
additivity inequality (11.5) is true whenever v is finite valued on (A v h) n D;
so (11.5) is true with no restriction if A and $ are replaced by A n {v < + oo }
and h n {v < + oo }, respectively. Hence by (d) the inequality (11.5) is true
as written except possibly on the set (A i A) n {v = +co}, and (11.5) is
therefore true on b because the inequality is trivially true on (A u h) r-%,6.
The strong subadditivity inequality for smoothed reductions is true on D
because the inequality is true up to a parabolic-semipolar subset of b and
the two sides of this inequality are superparabolic functions. Properties (e)
and (g) imply that there must be countable strong subadditivity when there
is strong subadditivity.
E
Ui°Bk 5 s RA +
e u 2 2
on C. The function
A LUk]
t
J
324 1. XVII. Parabolic Potential Theory (Continued)
Proofs of (m) and (n). The proofs follow those of the corresponding classical
properties in Sections 111.6 and 111.5, respectively. Note however that the
counterpart ti of the function u in 111.6 should be superparabolic, but not
parabolic on any open subset of D; choose for example the potential of a
measure supported by a countable dense subset of D.
so we can apply (e) and the fact that (p) has been shown to be true for v
to deduce
R,", =AA-6=sup{R$°:neZ+}
= sup { R': n e l+, r' c A n D, t compact)
= sup { I : C c A n b, ' compact).
Since the last supremum is at most the supremum in (16.6) which is itself
majorized by the left side of (16.6), equation (16.6) is true. The same argument
involving smoothed reductions yields (16.6 sm) when v is a potential. We
have now proved (p) when ti is either parabolic or a potential so (p) is true
as stated in view of (g) and the Riesz decomposition of a positive super-
parabolic function.
17. Proofs of the Reduction Properties in Section 16 325
Proof of (q). The proof follows that of the corresponding classical property
in Section VI.4(n). o
Proof of (r). The proof must be more than a translation of the proof of
Lemma XI.10 into the parabolic context because the parabolic Dirichlet
problem has not yet been treated. The basic method of the proof of Lemma
XI.10 will be used however. Let D be a nonempty open subset of RN, let I
be an interval with closure in D, and let a [b] be the ordinate value on the
lower [upper] face of I. Define s) on D by
s-a
s) =
b-a
0
(17.4)
Proof of (s). The proof follows that of the corresponding inequalities in the
classical context in Section VI.4(o).
It follows that for fixed and t the function (tl, s) '- 6D((4, s), (tl, 1)) is super-
parabolic on b and is parabolic on D - t)} with the canonical isolated
singularity at t); so s), (q, t)) z OD((n, s), t)). Repeat this inter-
change of space variables to derive equality here, that is, to find that the
function (4, i) i-. CD((4, s), (ii, t)) is symmetric. Define the function GD on
RxDxDby
GD(t, , I) = OD((, 0), (17, - t)). (18.1)
(18.2)
a" =
f(N/2- I) if N > 2, a2 =
1 2
at = a2 .
2n""2 a2 2na2'
We first verify (18.2) in three special cases. If N > 2 and D = R", then
= AN, 6D = 0, and (18.2) follows by direct evaluation. Incidentally it also
follows that for any choice of D the integrals in (18.2) converge when N > 2
and ' q. If N = 2 and if D = D+ is a half-plane, let ry be the reflection
of ry in OD'. Then (from Section VIII.9)
-n
GD. 4) = log l (18.3)
18. Classical Green Function vs Parabolic Green Function 327
J(2aQ2t)-t (ex'2
2a2t
-ex p -14-g*IZ\
2a2t
ift>0
r,D, (t, x,11) = )
(18.4)
10 if t<0.
Integration yields (18.2) in this case also. If N = 1, let D = D' be the half-
line ]0. + oo[. In this case q) = A q according to Section XIV.6, and
according to (4.3), the function fD is given by (18.4) except that the first
factor on the right has exponent -3 instead of -1. In this case q = -q
Again (18.2) can be verified by direct integration.
To prove (18.2) in the general case for N > 2, denote by the value
of the equal integrals on the left. For fixed q the function s) - g0(S, q)
is superparabolic on D because the superparabolic function inequality is
satisfied; so q) is superharmonic on D. The corresponding argument
shows that q) is harmonic on D - {q}. Furthermore the first integral
in (18.2) is the value at of the superparabolic potential of the measure
1, on the line parallel to the ordinate axis through (q, 0). Hence the function
has no positive harmonic minorant other than 0. That is, 9D(., q) is
the superharmonic potential of a measure supported by {q}, and it follows
that q) = q) for some positive constant c. Now
the indicator function of the set f0 a b: ord it > s - 1/n}, the function u is
in the upper PWB" class on D for the boundary function 1.4; so H 0
when n is so large that a D. Hence H,., (o = 0.
I - (s + n) Jexp2it/i(d2)
(2/n)''22
°`
ifs > -n
tt(, s) _ (s + n)
1 ifs< -n
has the stated properties. (We have simplified the notation by taking a = 1.)
It is not difficult to show, although not necessary for present purposes, that
u (t, s) is the parabolic measure of {(0, t): t 5 -n}, the Euclidean boundary
subset relative to s).
slab boundary is a parabolic measure null set. We show that the boundary
is parabolic resolutive with Hf = PI(D, jo) when f is a finite-valued contin-
uous boundary function and To prove these assertions,
observe first that the function fo has limit f(oo) at oo and (from Section
XVI.1) if a is either oo or a point of the lower slab boundary the function
PI(D, fo) has limit f(C) at t . When b = + oo, the function PI(D, fo) is in both
the lower and upper PWB classes on D for f and so can be identified with
fff ; when b < + oo, the method used in Example (b) shows that Hf =
PI(D, fo)
2. h-Parabolic Measure
Let D be a nonempty open subset of A' coupled with a boundary provided
by a metric compactification, and let h be a strictly positive parabolic
function on D. The development of h-parabolic measure follows that of
h-harmonic measure; so the details will be omitted. If A is a subset of aD
with an h-parabolic-resolutive indicator function, we define fip(-, A) = H''a,
call A a EiD measurable set, and call µo(, A) the h -parabolic measure of A
relative to . The set function µv(, -) is a probability measure, and the
completion of the restriction of this measure to the class of At measurable
Borel sets is an extension of this measure. The h-parabolic measure null
sets defined above are the sets A for which µD(-, A) vanishes identically. A
boundary function measurable with respect to the a algebra of Nn measurable
sets will be called µ$ measurable, and L'(µo) is defined as the class of µ11
measurable functions from aD into R, with two functions identified when
they are equal un almost everywhere (that is, up to an h-parabolic measure
null set) for which ! f is is 4D(, -) integrable for every point 4 of D. A function
f from aD into A is h-parabolic resolutive if and only if f is in L' (ti"n), and
if so, then Hf =
The work in Sections VlII.8 to VIII.10 goes through in the present
context except that even if D is connected, it is not true that a positive para-
bolic function on D which vanishes at a point must vanish identically; so
the L' class for depends on 4; the class of 1o measurable sets and
the class L' (14) were defined taking this fact into account.
In the present context the notation tH of Section VIII. II becomes ie.
Thus if v' is an h-superparabolic function on b and if h is an open relatively
compact subset of D, the function ikti is h-superparabolic on D and is
h-parabolic on h, and &:9 S v, with equality on D - h up to a parabolic-
semipolar subset of Oh (Euclidean boundary). In particular, if ti z 0, then
t8v = h4U-$.
for (ry, 0) on the abscissa hyperplane. The points of the abscissa hyperplane
and the point ao are parabolic regular, but all other boundary points are
parabolic irregular. It is easy to see (cf. the classical context for D a ball in
Section VIII.9) that the Euclidean boundary is parabolic universally resolu-
tive, that the abscissa hyperplane has h-parabolic measure l for every choice
of h, and if (Riesz-Herglotz type representation, Theorem XVI.6), h =
PI(D,! .), then
3. Parabolic Barriers
The classical context definitions of weak h-barrier and h-barrier translate
directly into the parabolic context, as does the proof that if there is an
h-barrier locally at a boundary point, then there is an h-barrier defined on
the whole open set in question. The classical context Bouligand theorem
(Section VIII. 12) is also true in the present context: If there is a weak para-
bolic barrier at a Euclidean boundary point a of an open subset D of 1'(N,
then there is a parabolic barrier there. To see this, adapt the classical context
proof as follows. In view of the fact that the existence of a parabolic barrier
334 I.XVIII. The Parabolic Dirichict Problem, Sweeping, and Exceptional Sets
at the origin, and this limit is at most 2(c + 1)r2 + r6(0) if A is sufficiently
large. Since r can be made arbitrarily small, the function Hf has limit 0 at
the origin, as was to be proved.
Theorems VIII.13 and VIII.14 on the relations between regularity and
barriers translate directly into the parabolic context.
PhD(-. I f I) = lim .u
M-m
I f I A n) = lim µn(', I f I n n) = µD(', I f I) < + oo.
A s) = R O. (5. l sm)
EXAMPLE (c). [This example strengthens (a) except when the boundary
hyperplane in (a) is horizontal.] Suppose that o: is a boundary
point of D, and suppose that there is a ball of center : with S # o
such that the ball closure meets D in o but in no other point. Then o is a
parabolic-regular boundary point of D. To see this, let 6 be the ball radius,
and define u on D by
6-P - (6.1)
2
-
Then Oti < 0 sufficiently near 0 if p is large so there is a local barrier at 0.
1
12 < 2a21sj logl log lsjj, -1 < s < O. (6.3)
is a barrier for b at the origin. The inequality (6.3) can be written in the form
which makes it clear that ti > 0 on b and that ti has limit 0 at the origin.
Furthermore, using the fact that ti is parabolic, we find that
so ti is a barrier.
Application. This example shows that the top point of a ball in 11N is
parabolic regular. The other boundary points of a ball are parabolic regular
according to Example (a).
The value of s' will be chosen so near 0 that certain inequalities below will
be true. It will now be shown, in contrast with Example (d) in which c = 1,
that the origin is a parabolic-irregular boundary point of D, when c > 1.
Define the function ti on AN x ]s', 0[ by
2
k14---12 Nk 1 +e
bu(ss) _ -1s1 'IloglsiI '-`exp
2
Iloglsll (6.8)
Choose s' so near 0 that (I + c) I log ls' lI < Nk/2. The function u is then
superparabolic if
340 I.XVIII. The Parabolic Dirichlet Problem, Sweeping, and Exceptional Sets
Nk < (k -
Ilog lsll ,
exp
-k.
2Q IsI
(6.9)
20 IsI (log I log IsII )z
Nk < (k - (6.10)
2a2Isl
On the other hand, if (6. 10) is not satisfied at s), the second term on the
right in (6.9) is at least
Parabolic Balls
A parabolic ball in 9' of radius b and center (gyp, so) is defined as the set
6(so - (6.11)
Observe that the center of the parabolic ball is a boundary point. The set
(6.11) lies strictly below the center and is a solid of revolution with vertical
axis through the center. The highest and lowest points of the boundary are,
respectively, the center and (gyp, so - b). Example (a) shows that every
boundary point of a parabolic ball except possibly the center is parabolic
regular, and Example (c) shows that every boundary point of a parabolic
8. Sweeping in the Parabolic Context 341
ball except possibly the center and the lowest boundary point is parabolic
regular. The center is a parabolic-irregular boundary point according to
Example (e) because the set b, of that example is, for an arbitrary value of
c > I and an arbitrary 6 > 0, included in the parabolic ball of center the
origin and radius S when s' is sufficiently near 0.
This theorem is the parabolic context version of Theorem XI. 12, and the
proof is omitted because the only change needed in the proof of that theorem
to make it applicable in the present context is to change "polar" to "parabolic
semipolar."
and the reasoning in the classical case (Section X.1) shows that do 5 1 and
36<1.
The discussion proceeds as in the classical context, very slightly com-
plicated by the existence of two kernels instead of one, and the details are
left to the reader. It is first shown that if 1) is an open subset of b and if
is in 1), then
S'-B(S,') = (8.4)
on the Bore] subsets of ,6 n 8$. Next the classical context symmetry argument
is adapted, yielding here for an arbitrary subset A of D,
(8.5)
that is.
(8.6)
The common value in (8.5) will be denoted by il). It is then shown that
5 and 36 are kernels and that if r [ti] is a positive superparabolic [cosuper-
parabolic] function,
wQA
= D(', I ), Jd(., i). (8.7)
In particular, if fi is a measure on b,
fi
p` hA(',GDN) = GD.h A ` GDµ
(8.8)
NGDQA = 3-1(',µG0) = µ6o.
Moreover
(8.9)
More precisely the equations in (8.9) are correct according to our definitions
if the potentials involved are superparabolic or cosuperparabolic as the case
may be. if then Ei11 A and IµoA are defined by (8.9) for measures p on D for
which the swept measures are not already defined, every equation in (8.8)
is true. Finally a trivial integration yields
9. The Extension d, of do and the Parabolic Average da ii)) when b c h 343
first for a measure i' and a parabolic potential 6,6i and then by a limit
procedure for v and an arbitrary positive superparabolic function ti with
associated Riesz measure p. The formulation of the dual of (8.10) is left to
the reader.
This subadditivity, and the dual subadditivity, are shown by a slight refine-
ment of the proof in the classical context (SectionX.6).
Ga( ) I a) (9.3)
Proof of (a). Since Euclidean boundaries are parabolic resolutive, the para-
bolic resolutivity of the boundary function f;,, defined as GB q) on h n aD
10. Conditions that e 4,f 345
(9.5)
(9.6)
Furthermore on h - b up to a coparabolic-semipolar
set. Since ) is coparabolic-fine continuous and since a coparabolic-
semipolar set is coparabolic-fine nowhere dense, we conclude that (9.6) is
true if q is a coparabolic-fine limit point of B - D, as q is because q is co-
parabolic regular. We have now proved that for fixed equation (9.1) is true
except possibly when q is in the coparabolic-fine nowhere dense set of
coparabolic-irregular boundary points of b in B. Since both sides of this
equation define coparabolic-fine continuous functions of il, equation (9.1)
is true for all q. Equation (9.1 *) can be proved by the dual argument or can
be reduced to (9.1) by a reflection of 11N in the abscissa hyperplane.
(b) D
{}) = 1,
(c) GD (, ') _ v( ).
If 0,41f, then
(a') urn B1
ijQA^B
= 0 on D - { }, and the limit is 0 at if 6(6 < + oo,
(b') 6p(,{})=0,
(c') C (,) # Gp( ) on the .vet {(;D( ) > 0}.
Now in the classical context we have proved [Section X.6(a)] that the set
function SD is subadditive on the class of subsets of D, and this led to a proof
that increases when the neighborhood B of decreases. This
reasoning will now be refined to the parabolic context. In the first place
recall that [Section XVI1.16(j)] if A and h are open subsets of D and if v;
is a finite-valued continuous superparabolic function on D, then
"B + A-h =
66jA n 1'i[B IUi[B, (10.2)
so if v1 < r2,
O.1vB <
A+ B - JU1 B. (10.3)
where we have used the fact that the measure is supported by the
closure of A - b. Thus SD^B( in (10.1) increases as $ decreases; so
0, and the proof of Theorem 10(b') is now complete.
Observation. In connection with (c) and (c*) recall (from Section XVII.8)
that a parabolic-polar set has a parabolic-polar Borel superset; the dual
assertion for coparabolic-polar sets follows trivially. In view of this observa-
tion it is no restriction on generality in the following proof to assume that
A is a Borel set. Furthermore, if q is a point of A', the superparabolic
potential O(-, q) is the finite-valued potential on dl' of a nonnull measure
supported by the polar singleton {ry'}. Hence "bounded" in (c) and (c*)
cannot be replaced by "finite-valued."
unless i = 0. Hence (a) (c). On the other hand, if A is not parabolic polar,
the superparabolic function j 1 " does not vanish identically; so [from
Section XVII.16(p)] the set 4 has a compact subset h for which the function
348 I.XV111. The Parabolic Dinchlet Problem, Sweeping, and Exceptional Sets
Observation (a). In connection with (b) and (b*) recall (from Section
XVII.15) that a parabolic-semipolar set has a parabolic-semipolar Borel
superset: the dual assertion for coparabolic-semipolar sets follows trivially.
In view of this observation it is no restriction on generality in the following
proof to assume that A is a Borel set.
Observation (b). As the following proof shows, "finite-valued" in (b)
and (b*) can be replaced by "bounded."
Observation (c). Condition (b) of the theorem implies that A is IN,, null
because if A is a bounded Borel /"+, nonnull subset of 9" and if v is the
projection of l"+, on A, then (by Theorem XVII.6) the potential GDv is
bounded and continuous.
uous. Recall that a set is exceptional for the parabolic context Fundamental
Convergence Theorem in the sense of the converse statement of Theorem
XVI1.13 if and only if the set is parabolic semipolar. Now the proof of the
classical Fundamental Convergence Theorem (Theorem VI.1) when trans-
lated into the present context shows that a measure v supported by a compact
subset A of D is necessarily the null measure if (1) A is exceptional for the
parabolic context Fundamental Convergence Theorem and if (2) vOD is
finite valued and continuous. Hence v is null in the present context. More
generally suppose that i is a measure supported by a Borel parabolic-
semipolar subset A of D, with VGp finite valued and continuous, and let Ao
be a compact subset of A. If vo is the projection of v on Ao, then doO, and
(v - vo)G, are finite valued and lower semicontinuous with a continuous
sum; so VIGD is finite valued and continuous, and we have just proved that
therefore ivo is null. Since this is true for all A0, we conclude that v is null, as
was to be proved.
(b*) (a*) It is sufficient to prove that a Borel subset A of b is co-
parabolic semipolar if every finite-valued continuous potential id,, of a
measure v supported by A vanishes identically. Actually we shall only use
this implication when vCo is bounded and continuous. Let * u = *µGp be
a bounded continuous cosuperparabolic potential satisfying the dual prop-
erty of that satisfied by ti* in Section XVII.16(r). The cosuperparabolic
potential *p0"Go is lower semicontinuous, < *ti, and continuous
at every point where there is equality, in particular, at every point of A°f n A
If µ, is the projection of * µ 0 ' on a compact subset A, of A°'f n A, the
potentials µ,Gp and µ,)G, are lower semicontinuous with con-
tinuous sum at each point of A,, and so both are continuous at such a
point. Since µ, GD is coparabolic and therefore continuous on b - A, , it
follows that µ,G6 is bounded and continuous on D; so (b*) implies that
µ, = 0. Thus vanishes on compact subsets of 4°'f n A and therefore
vanishes on this set; that is,
A
° = = 6) = o'): (13.1)
so for every point in D the measure b is supported by the set {ti = v'}.
Now let v be a decreasing sequence of positive superparabolic functions
on D chosen (Choquet topological lemma) so that limn..,o v = v. has
smoothing DvQ". After replacing v by v A v if necessary, we can suppose
that v < z with equality on A. It follows that the measure is supported
by {v = v) for all n and therefore is supported by the intersection (ti,, = v)
of these sets. Thus S is supported by the set A u [{v. = v) n (b - A)].
Suppose that C is a compact subset of D - A. According to Section
XVII.16(l), the sequence v, can be chosen in such a way that um = ivO" on
C. Hence, if S is fixed, the projection on D - A of the measure is
supported by the set ti} n (D - A). Finally, if v is chosen as the
function ti' defined in Section XVII. 16(r), it follows that 8",(, ) is supported
by (A u A°f) n D. The evaluation of in (8.9) shows that this swept
measure is also supported by (A u A"') n 1).
(c) Follows trivially from Theorem 13(b).
14. Internal Limit Theorem; Smoothness of Superparabolic Functions 351
(e) The function u* is coparabolic fuse continuous, and the set where
u : ci is parabolic semipolar.
(f) In particular, if (E D,
FlimcG°(n)
_ +oo. (14.3)
C)
Proof of (f). Assertion (f) is a special case both of (c) and (dl). Its direct
proof is a translation of that of Theorem XI.4(c), but we give the translation
because a direct proof is so much easier than the proof of the general case
and because the direct proof illustrates the adaptation of the Theorem XI.4(c)
proof technique to the present context. The equality of the first and second
terms on the right side of (14.2) was pointed out in Section XVII.8. It can
be supposed, replacing v by v - 6,;({C })GD(, C), that v,;((C) ) = 0. Under
this condition, unless (14.2) is true, there is a strictly positive number b
such that the set h = 10: v(ri) > bGD(rl,C)} is not coparabolic thin at C.
Apply the dual version of Theorem 10 to obtain
Proof of (g). The proof is the counterpart of that of Theorem XI.4(d) and
is omitted.
Proof of (a2). In the context of Theorem XI.4 the fact that u* exists quasi
everywhere on D is a triviality, and in fact u* = u quasi everywhere on D,
but in the present context assertion (a2) that u* exists parabolic quasi every-
where on the strict positivity set of h + v is by no means trivial. Since (a2)
is a local assertion, we can assume that h is bounded below on D by a strictly
positive number fl. Let ho = C'DVtio be a potential majorized by fi, with mea-
sure i'Fo supported by the set e defined in (14.4). Then
b-a
and the reasoning showing that each summand of the second series majorizes
Ovvbc can be applied to ho and shows that each summand of the first series
majorizes dbv4.e, where vtioe is the projection of iota on e. Hence vho(C) = 0;
that is, the zero measure is the only measure supported by a whose potential
is bounded. It follows (by Theorem 11) that the set a is parabolic polar for
all pairs a, b with 0 < a < b, and this implies that u* exists parabolic quasi
everywhere on the strict positivity set of h. Apply this result to h/ti to com-
plete the proof of (a2).
Proof of (b). Write Bb for h defined by (14.4) and observe that the infinity
set of u* is included in 11- = nb o Brf. If v1i8m is the projection of iv,, on
A., then
rz z bOD(vhSD) (14.5)
Proof of (c). Since the Euclidean interior of Z is vi, null, we need only consider
the Euclidean boundary of Z in proving (c). In view of the properties of
this boundary, discussed at the beginning of this section, it is sufficient to
prove that (14.1) is true v;, almost everywhere on an arbitrary compact
subset t of this boundary lying on a horizontal hyperplane. We can suppose
that a and h are potentials, after replacing these functions by their reductions
on an open neighborhood of t, relatively compact in D. We first prove that
if v,,(F) = 0, then zit = 0 v,, almost everywhere on F. Define B by (14.4). Then
Proof of (d). Following the proof of Theorem XI.4(b), it is proved first that
if t is a Borel parabolic-polar subset of D and if 0, then tit = 0 ivi,
almost everywhere on F. Since the proof follows closely that of Theorem
XI.4(b), it is omitted. Apply this result to 1/h to find that (d2) is true, and
apply the same result to c/h on the trace of a vg null support of the projection
of 4 on t to find that (d3) is true. The proof of (d 1) follows that of Theorem
XI.4(b) and so is omitted.
Proof of (e). It is trivial from the definition of tit that this function is copara-
bolic-fine continuous. To prove that zit = ti up to a parabolic-semipolar set,
it is sufficient to prove that if E > 0, the set
A = {ti <- a}, A;, = {ti < a'}, B = {ti z b}, B = {ti z b}.
Since the problem is local and the functions are locally lower bounded, we
can suppose as usual that they are positive. Apply the reduction property
in Section XVII.16(s) to find
u A b (14.7)
lA;e + IA;,BA^B + ... < IA,B, + lA;B,,A;B,, + ... <
b - a'
I AB +1 ABAB
unb (14.8)
A B A BA B
b-a
The parabolic quasi everywhere existence of u* now follows as in the proof
of Theorem 14(a2). Further u < u ; so u < u' where both functions are
defined, that is, parabolic quasi everywhere on D. Since u = u = u' up to a
parabolic-semipolar set, the functions ri* and ti*, which are continuous
functions in the coparabolic-fine topology, are equal on a dense-in-this-
topology subset of their domains and so are equal where both are defined,
that is, are equal parabolic quasi everywhere. Thus the proof is complete
when f is a decreasing sequence. In the general case according to the Funda-
mental Convergence Theorem, more specifically according to Choquet's
topological lemma (Appendix VIII.3), there is a sequence u, in r with point-
wise infimum rig, such that ti = u. We can suppose that ti. is a decreasing
sequence, after replacing u by do A A u if necessary. Apply the result
for F a decreasing sequence to ti. to find that the inequality u 5 u S tu,o
implies
For the convenience of the reader we also state a weaker result, the
parabolic context version of Theorem V.10, the classical context domination
principle: h 5 r under each of the following three conditions.
(a) h* < + oo vh almost everywhere, and h* 5 ti* parabolic quasi every-
where on some Borel support of v,,.
(b) The inequalities h* < + oo and h* 5 v* are true v,, almost everywhere.
(c) Parabolic polar sets are vh null, and h* S ti* v,, almost everywhere.
Observation. Each of these three conditions implies the validity of the
condition of Theorem 16, namely, that (ti/h)* z 1 v, almost everywhere. Since
[by Theorem I4(d2)] h* = + oo v,; almost everywhere on each parabolic-
polar subset of A conditions (a) and (b) as well as (c) require (but Theorem
16 does not) that parabolic-polar sets are v,, null. A useful although stronger
condition than (c) is
(c') Parabolic-semipolar sets are vh null, and h 5 a vh almost everywhere.
This condition is stronger than (c) because iu = u4' and r = ti* up to parabolic-
semipolar sets.
The proof of Theorem 16 is merely a translation into the parabolic context
of the proof of Theorem XI.23. That is, if B is a Borel support of vh on which
(r/h)* is defined and z 1, and if 0 < c < 1, the set A = {ti z ch} is a deleted
coparabolic-fine neighborhood of every point of B; so h c A", and there-
for cfip(, { 5 }) = I when e B. Hence
so t: _ h.
EXAMPLE. The class L°(,4_) is the class of extended real-valued Borel mea-
surable functions on ,6 for which, if is in ,6 and if h, is an increasing sequence
of open relatively compact subsets of b with union b then 4 Itil°)
< + oo. This is the exact counterpart of the classical context definition in
Section IX.4, but observe that, in contrast to that context, even if D is
connected and 161° is h-subparabolic, the fact that this condition is satisfied
for one point of b does not imply that the condition is satisfied for every
point of D.
Chapter XIX
1. Introduction
In discussing the parabolic context Martin boundary of an open subset d of
ft' for N z I we first make the obvious remark that there are necessarily two
boundaries, one adapted to the operator d and superparabolic potentials,
the other adapted to the operator A and cosuperparabolic potentials. The
first is called the exit boundary; the second is called the entrance boundary.
These dual contexts are interchanged by a reflection of Et VV in the abscissa
hyperplane. We shall treat the exit boundary but shall omit the word "exit"
unless both boundaries are involved. The following remarks are offered to
orient the reader to the new features that arise in parabolic context Martin
boundary theory.
Let 1) be a nonempty open subset of kN. Throughout this chapter it will
denote the set of points of 1) strictly below 4 relative to d. Suppose that a
Martin function k based on a point i; of 6 is defined in the natural way,
q)
Ko, ) =
6D(c, 0)
Since (Section XVII.4) ( (C, ry') > 0 if and only if ,i e,64 the function K has
domain 6 x A. For q in di the function K(q, ) is superparabolic on 1),
parabolic on 1) - {ry'}, with value I at C. The classical Martin boundary treat-
ment suggests that the Martin boundary points to be introduced should
correspond to limit functions of the family {IC(q, ), rj a fit} when q in ,6t tends
to the Euclidean boundary 8b of b. This procedure will only yield Martin
boundary points of 6 below C; more precisely this procedure will yield a
boundary for I). A second new complication is the one-sided nature of
Harnack's parabolic context inequality, which is relied on to bound K(h, )
as n tends to a!. In fact this inequality, based on the normalization K(4, C) =
1, only bounds K(ry', ) strictly below C. Thus a limit function of K(, ) as
it - 8d cannot be defined at C so the normalization of such a function at C
requires a new formulation. This problem does not arise in the classical
context.
These difficulties will be at least partially surmounted in two ways, with-
364 I.XIX. The Martin Boundary in the Parabolic Context
out renouncing the Martin approach. One way is based on a Martin point
set pair, as defined in Section XVIII.17; the other way is based on a Martin
measure set pair, to be defined in the next section.
K(ii' 6 = o (2.1)
PdD(b' o
can be chosen for which v( is finite valued and continuous on b (so Q,, = 0)
and D is itself the smallest closed in b support of v. Since C,,(4, ) > 0 on
AI condition MMS(2) implies that v( > 0 on D. The Martin function K
for the pair (iv, b) is defined on D x D by
K(q, ) _
D(' , q)
(2.2)
v,(
If (C,,6) [(v,,6)] is a Martin point [measure] set pair we shall call a positive
superparabolic function u on 6 admissible if °Jti(C) < + oo [16 u dv < + J.
366 1.XIX. The Martin Boundary in the Parabolic Context
culty into the parabolic context. We shall therefore omit the proofs of the
counterparts of the other results in Sections XII.4 to XII.8 leading to the
Martin representation theorem, but we shall state the basic results in the
parabolic context for ease in later reference.
QuOA = (4.1)
DM
and
D): 1 uV (C'):
(4.2)
d'
fib
and
(',D): Judy.
(4.5)
?MD
and by (3.2)
(4.7)
f,5.1
and the set of minimal boundary points will be denoted by 8;'D. Observe
that the counterpart of (5.1) in the classical context is trivially true for each
function associated with a Martin boundary point but that in the present
context one Martin boundary point, say Co, associated with the identically
vanishing function, is associated with a minimal function but is not a minimal
boundary point. According to the following counterpart of Theorem XII.5,
however, every minimal parabolic function which is admissible and not
identically 0 is a constant multiple of for some uniquely determined
minimal Martin boundary point C. The proof of this theorem follows that of
Theorem XII.5 and is omitted.
v =f vfv(C') Jvdv].
aMb C=
(7.1)
KQ,C)=
As-t,C-?1)
6n(C,0=6(s-t,C-q), tt(S - t, C' - q)'
=(C,s), n=(n,t).
372 I.XIX. The Martin Boundary in the Parabolic Context
lim K(n' ) =
G(s, D
4- 0101 0,
(b) If q = (n, t) e D and t b with no restriction on the varying of
'i or if 1?11 --+ + oo with no restriction on the varying of 1, then
lim,,. K(il, ) = 0.
The Martin space of (r', b) is therefore D compactified by adjunction of the
abscissa hyperplane and a single point 0: K((C, 0), 4) = e (s, - C/G(b, ' - C),
K(0,) = 0; n in D tends to (C, 0) in the Martin topology if and only if
ry' 0) in the Euclidean topology; q in b tends to 0 in the Martin topo-
logy under the conditions in (b). The point 0 is a nonminimal Martin boun-
dary point. It is trivial that every point or no point of the abscissa hyperplane
is a minimal Martin boundary point so every point of the abscissa hyperplane
is minimal. In the present context the Martin representation theorem states
that if ti is a positive parabolic function on D with 6) < + co, then
there is a unique finite measure Ma on the abscissa hyperplane such that
and
b) = MO(RN); (8.3)
that is [define Rj,(dd) = M (dd)/t (b, ' - c)], there is a unique measure 1V;,
on 1 N such that
and
c", with a) < + oo, then k is changed but the representing measure
N;, in (8.4) is unchanged. Observe also that if N,; is an arbitrary measure on
R" making u as defined by (8.4) finite at points of D with ordinate values
arbitrarily near b, then ti is necessarily parabolic on D. Moreover we have
seen that (8.5) is then true if either side is known to be finite so (8.5) is true
in general.
Finally we show that if 0 < 8 5 + oo and if ti is an arbitrary positive
parabolic function on D = RN x ]0, S[, then there is a unique measure N;,
on RN for which (8.4) is true, and (8.5) is true for every point ' of R" when
d < + cc, and that conversely, if N;, is a measure on R" for which u as defined
by (8.4) is finite valued on D, then ti is a positive parabolic function on 1) and,
if b < + oo, (8.5) is true for every point ' of R". All that remains to be
proved is the existence and uniqueness of Na satisfying (8.4) when a is
specified. To prove this, choose S' < 6 and apply the preceding work to the
Martin point set pair ((c', S'), R x ]0, 6'[) with arbitrary '. The restriction
of 6 to R' x ]0, b'[ determines a unique measure N;, for which (8.4) is true
for s < 6', and the uniqueness of N;, shows that this measure depends neither
on ' nor on 6'. Hence (8.4) is valid for s < S as desired. Observe that we have
now found a new proof of the representation part of Theorem XVI.6(a) and
in addition have derived (8.5) in the positive case when b < + oo. As already
remarked in Section XVI.8, the representation (8.4) shows that a positive
parabolic function on b = I8" x ]0, S[ is minimal if and only if the function
is a positive multiple of the function s) r-- 41(s, - C) on D for some point
C of R".
limK(n ,'c) _ t (s C - C) =
4-{
Furthermore the function k(q, ) tends to 0 when p' tends to any Euclidea
boundary point of 1) not on the abscissa hyperplane. Thus the Martin bound-
ary for (v, b) is the abscissa hyperplane and a point 0, as in the Martin point
set context. The class of positive parabolic functions on D given by the
Martin representation is now limited by the side condition ID a dv < + oo.
Just as in the Martin point set pair case, this form of the Martin representa-
374 I.XIX. The Martin Boundary in the Parabolic Context
Let b be this lower half-space, and let ' = (c', 0) be a point of the abscissa
hyperplane. Then (c', D) is a Martin point set pair. According to Section
XVII.4, the Green function GD is the restriction of G to D x D. The possible
limit functions of K(q, ) when ry' - OD are the following [with tT _ (, s),
_ (n, 01:
(a) If t -. - or, and q/t -' - a2 y, then
Martin point set pairs cannot assign a boundary to Q;8", but if a measure v is
chosen on Ll to make (v, A") a Martin measure set pair (for example, if v is
chosen in such a way that vG is cosuperparabolic on d8", that v is supported
by a set whose intersection with the slab R' x ] - oo, a[ is bounded for each
a, and that the smallest closed support of v has points with arbitrarily large
ordinate values), then we obtain a Martin boundary for (v, A'). This bound-
ary consists of a point 0 corresponding to the identically vanishing parabolic
function and of points y obtained like the corresponding Martin boundary
points of the lower half-space obtained above.
It was shown in Section XVI.8 as an application of the Appell transforma-
tion to the known properties of parabolic functions on a slab that a positive
parabolic function on 9" is minimal if and only if it is a positive multiple of
a function -+exp(<y, > + a2lyl2s/2) and that a positive parabolic
10. The Martin Boundary of t5 = ]0, + oo [ x ] - oo, b[ 375
6b(4,0=As-t, 7)-Os
S), n = (7, t).
e(s - - 7) - G(s - t, + 7) (10.1)
K(q, 4) =
B(b-7)-G(b-t,+7)
Corresponding to each point T of R we introduce the symbol T' and for in
the right half-plane ]0, + co [ x I8 define
_ z
ifs > r
K(r )= a(2n)112(s - T) 3/2 exp 2az(s r) (10.2)
0 if sST.
Corresponding to each point y of - U8+ we introduce the symbol y" and for
in the right half-plane define
}
zazs
(e -Y4 - &4) exp if y < 0,
(10.3)
if y=0.
The functions K(r', ) and K(},", ) are positive and parabolic on the right
half-plane. The limit functions of k are the following:
(a) When q - i = (0, r) with r < S,
Observe that
K(T'' ) _ = K(0",
lim for e D.
K(0',
(c) If n = (q,t)ed and either (cl) I-y +oo and q/(1 + jtl)-i +oo or
(c2) t - 6 with no restriction on the varying of ?I, then lim K(i1, ) - 0.
and therefore there is equality here; so k(T', ) has pole T'. Thus T' is minimal,
and similarly every boundary point ;" is minimal. Hence 0 is the only non-
minimal Martin boundary point.
In view of the corresponding discussion of the Martin representation for
positive parabolic functions on a slab in Section 8 we omit details in the
following. In the present context the Martin representation theorem states
that if a is a positive parabolic function on 6 with 6) < + oo, then
there is a unique measure 1V on ] - cc, n[ and a unique measure on - 98+
such that
Conversely, measures N.' and Nj, making the integrals on the right in (10.7)
finite define a parabolic function ii by (10.6), and (10.7) is then true. For
12. The Minimal-Fine Topology in the Parabolic Context 377
Let (C', b) [(v, D)) be a Martin point [measure] set pair determining a
Martin function K and Martin boundary aD. In this context we define
universal resolutivity to mean that a",6 is h-resolutive for every strictly posi-
tive admissible parabolic function h, and universal internal resolutivity is to
mean that for every such choice of h every bounded h-parabolic function is
a PWB" solution. Under these conventions the classical Martin boundary
resolutivity theorem (Theorem XII.10) goes over directly into the parabolic
context. The parabolic version is stated for the record, but the proof follows
that of Theorem XII.10 and is omitted.
Theorem. The Martin boundary of a Martin point or Martin measure set pair
is universally internally resolutive and universally resolutive, with
h()
(for h strictly positive and admissible). An admissible h-parabolic function
it = ti/h is a ISWB" solution if and only if it is quasi bounded, equivalently, if
and only if k6 is absolutely continuous relative to k6, and then
ti = Hf =
JiMo) f= (11.2)
Let (r,,,6) [(v, D)] be a Martin point [measure] set pair defining a Martin
function k and Martin boundary aMD.
378 I.XIX. The Martin Boundary in the Parabolic Context
lim
R-W
K(, ) "() _ K(, ) 'O < K(, )
Since the assertion to be proved is true when A is open, the smoothed reduc-
tion JK(1', ) OB" must be a potential for sufficiently large n. Hence lk(Z, ) p"
is majorized by a potential and so is itself a potential, as was to be proved.
The subset A of b is said to be coparabolic minimal thin at the minimal
Martin boundary point t if the conditions of the parabolic context counter-
part of Theorem XII.11(b) are satisfied, that is, if the following equivalent
conditions are satisfied:
The first condition is satisfied if and only if it is satisfied using the correspond-
ing smoothed reduction. In particular [cf. Section XII.12, Example (a)], if
!) is a deleted Euclidean neighborhood of a finite point , the point C can be
identified with a minimal Martin boundary point of b - {C}, with associated
parabolic function a multiple of GD(, C), and according to the dual of
Theorem XVIII. 10. a subset A of D - { } is coparabolic minimal thin at t
if and only if A is coparabolic thin at .
boundary point. In fact it follows easily from the above criteria that the
union of two subsets of D coparabolic minimal thin at a minimal Martin
boundary point is also coparabolic minimal thin at the point. Hence, if we
call a subset A of D a deleted coparabolic minimal-fine neighborhood of the
point when D - A is coparabolic minimal thin at the point, the class (filter)
of these deleted neighborhoods defines a limit theory. Limit concepts for this
filter will be distinguished by the prefix p*mf. A subset of b which is a deleted
coparabolic minimal-fine neighborhood of a minimal Martin boundary
point has a closed-in-,6 subset with the same property. Lemma XII.15 goes
over into the present context and thereby leads to the parabolic context
counterpart of Theorem XI1.16. Thus, if is a minimal Martin boundary
point, a function u from the trace on D of a Martin topology neighborhood
of C into a metric space has coparabolic minimal-fine limit [coparabolic
minimal-fine cluster value] a at C if and only if u has limit a at C on approach
along some subset of D which is a deleted coparabolic minimal-fine neighbor-
hood of C [is not coparabolic minimal thin at C].
v(n)
p*mflim , ++
= lim inft ) :5+00. (13.2)
R VU(, i) q-+(
A = {tjeb: ti(n) z
4) <
"D(b, h) VD(+h)
dAfV()
p*mfJimti(1) = (15.1)
a-c dM"
Theorem 15 in this context, applied only to the left boundary {0} x j - oo, d[,
asserts that ti/h has coparabolic minimal-fine limit dN/dN/, at NA' almost
every point of the left boundary. See Historical Notes for the details on this
result for other than coparabolic minimal-fine approach to the left boundary.
Observe that coparabolic minimal-fine approach to a point (0, r) is signif-
icant only for approach by way of points with ordinate values strictly greater
than r because (from Section 12) the set ]0, + oo [ x ] - oo, r] is coparabolic
minimal thin at (0, r). If h is not strictly positive, there is a number ro such
that 0 if and only if r > To. The boundary set {T': r 5 To} is then
N/, null, and the discussion needs only trivial changes.
Part 2
Probabilistic Counterpart of Part 1
Chapter I
2. Progressive Measurability
If I is a subinterval or singleton of R, we denote by(/) the class of Bore]
subsets of /. If I is a singleton, R (l) consists of that singleton and the empty
set. A family {x(t), t e 1) of functions from a measurable space (5),.x)
into a measurable space (0', .I') is called measurable if the function (t, (0) r+
x(t, w) is measurable from the measurable space (I x Q,. (I) x .F) into
the measurable space (0',.F'). This definition will frequently not be strong
enough, however, when we deal with an adapted family {x(t),.F(t), teR+}.
In fact in dealing with an adapted family one frequently wishes to deal with
a subfamily of the form {x(t), .F(t), I < c} and wishes the analysis of this
subfamily, in particular, the measurability of the subfamily, to depend
only on properties involving parameter values in the interval [0, c]. Un-
fortunately even if 9 = YE R+ .fi(t), the measurability of the original family
does not imply that the subfamilies of the stated form are measurable.
The following definition is formulated precisely to provide this measur-
ability.
Suppose then that {x(t), ,fi(t), t n R+ } is an adapted family of functions. A
subset A of R+ x 0 will be called progressively measurable if A n ([0, c] x Q)
e 9([0, c]) x F(c) when c >_ 0. The class of progressively measurable sets
is a a algebra. The adapted family is called progressively measurable if
the function is measurable from the space R+ x 0 coupled with the
2. Progressive Measurability 389
n / if(j - 1) nC <t5ic,
n
1 5j 5n,
(2.1)
x (0, w) = x(0, 0
390 2.1. Fundamental Concepts of Probability
measurable, and this yields (b). In other words the adapted process
is progressively measurable if the process {x(t), F(t + e), to I8+} is
progressively measurable for every e > 0.
3. Random Variables
4. Conditional Expectations
If x is a real integrable random variable on a probability space or a real
random variable bounded on one side, and if St is a a algebra of measurable
sets, the conditional expectation E{xIS } is the uniquely determined up
to null sets random variable which is Sr measurable and satisfies
The notation E{xlF } always refers to any one of the possible choices
of the conditional expectation rather than to the equivalence class. Unless
the contrary is stated, it will always be assumed in discussing this conditional
expectation that x is integrable. The Radon-Nikodym theorem ensures
the existence and uniqueness up to null sets of conditional expectations,
and the following six properties follow easily from the defining properties.
(a) E{ yjF } = y a.s. if y is 9 measurable, in particular, if y is a constant
function.
(b) If y is bounded and 9 measurable, E{xylS } = yE{xjSr } a.s.
(c) E{x + yjSr } = E{x!F } + E{ yjSF } a.s.
(d) x5 y a.s. implies that E{xjg } 5 E{yjF } a.s. and almost sure
equality in the first inequality implies almost sure equality in the second.
These properties imply that the map x"E{xjS } is a positive linear
idempotent transformation from L' into L', of norm 1.
(el) If Ae.Sand if x=ya.s.on A,then E{xjS=}=E{yf.F}a.s.on A.
(e2) If A E Sr r I and if the a algebras Sr and I have the same trace
on A (that is, if a subset of A is in 9 if and only if the subset is in !fl, then
E{xj5} = E{xlg} a.s. on A.
(f) If S= c 4, then
The next properties are less immediate, and their proofs will be sketched.
(g) If x is independent of Sz (that is, if x is independent of every Sr
measurable random variable), E{xIF } = E{x} a.s.
In fact, if y is the indicator function of a set A in Sr, the random variables
x, y are independent and
and since a convex function is the supremum of all the linear functions
it majorizes, and even the supremum of a properly chosen countable subset
of those linear functions, (4.5) implies (4.4). If 3F contains only the space
and the empty set, (4.4) reduces to Jensen's inequality.
According to (h), if pal, the transformation takes LP
into itself. In particular, let 9R be the space of square integrable F measur-
able random variables. The transformation maps LZ onto 0, and it is
easy to verify that x - E{xl.F } is orthogonal to 0, so that the trans-
formation acting on LZ is the orthogonal projection onto R.
(i) If x is integrable, the family of all conditional expectations of x is
uniformly integrable.
In proving this it can be assumed that x is positive (or replace x by lxl),
and then if we write x, for E{xl.F } and if c is a strictly positive constant,
The second relation ensures that, for sufficiently large c, P{x, > c} is
uniformly small as .F varies and the left side of the first relation must then
also be uniformly small for large c as F varies, and this property is precisely
the uniform integrability property.
Alternative Proof
The following less direct proof displays a technique which has many appli-
cations. Since x is integrable, this function constitutes a uniformly integrable
class; so there is a uniform integrability test function 0 (Appendix V) for
which E{b(I xl) } < + oo. Apply Jensen's inequality (h) above for conditional
expectations to obtain
Since the left side is uniformly bounded as .F varies, the family of conditional
expectations of x is uniformly integrable.
More generally a trivial extension of either proof shows that the class
of conditional expectations of the random variables of a uniformly inte-
grable family is uniformly integrable.
(j) If {x(t), t e J } is a family of integrable random variables and is
directed upward neglecting null sets, then (whether or not ess sup,. I x(t) is
integrable)
5. Conditional Expectation Continuity Theorem 393
This fact for integrals, that is, in the present context for expectations,
is proved in Appendix IV.9. Since the family (E{x(t)I5 }, t e 1} is directed
upward neglecting null sets, the result for integrals yields, when A E .F,
To prove (5.1), choose integers j < k < ! < m and real numbers a < b,
and define
nf{n21:x(n)Zb},l
v=i{min
[j, k, !; r] = x(n) S a; v =
/snsk J
(5.3)
=bP{[j,k;l,m]}.
Observe that if "5 a" had been " < a" or " Z b" had been "> b" in the
above definitions, the change would carry over throughout with no change
in the reasoning, and a trivial continuity argument for varying a and b
shows that here and in further reasoning below the inequalities allowing
equality imply those prescribing strict inequality and conversely. In view
of this fact (5.4) yields, when successively m -+ + oo, ! -+ + oo, k --+ + oo,
j-4 +oo,
diverges} = U [a; b]
a<b
a,b rational
J IxdP= f x'(+oc)dP.
A Jn
f or al l finite n and when n -' - oo, the L' convergence of implies that
these three integrals are also equal to J x'(- co) dP; so x'(- co) = x(- co)
almost surely, as was to be proved.
Let (1, 5) be a linearly ordered set and let {I(t), t e I} be a monotone family
of a algebras of measurable subsets of a probability space. Suppose that I
does not have a last element and denote by l(oo) either'. r f(t) or nfe I I(t)
according as is monotone increasing or decreasing. If x is an integrable
random variable, we shall now show, generalizing Theorem 5, that
396 2.1. Fundamental Concepts of Probability
both as an almost everywhere essential limit and an L' limit. We shall use
the notation x(t) = E{x14(t)} for tely {oo}.
Case (a) : I is countable. In this case there is according to Appendix
Theorem IV. 10 an increasing sequence t, in I for which the essential limits
inferior and superior of along I are, respectively, the same as along t..
The generalization of Theorem 5 for countable I thus follows from Theorem
5. Moreover the limit in (5.7) can be taken as an ordinary almost everywhere
pointwise limit because I is countable.
Case (b) : General case. If I has a countable cofinal subset, there is even
(Appendix 111.13) a countable cofinal subset J of I such that has the
same essential limits inferior and superior, respectively, along J as along 1.
According to case (a), there is almost everywhere convergence along J, and
it follows that there is essential order convergence along I. The identification
of the limit and the L' convergence are left to the reader. If I has no countable
cofinal subset, we prove a stronger result than (5.7): there is a point to of I
such that for t > to
In particular, if I = Z+,
7. Dominated Convergence Theorem for Conditional Expectations 397
For every k in Z+ and sin I the left side of (6.1) is almost surely at least
Inequality (6.1) follows from the fact that the right side of (6.2) increases as
k and s increase and has the essential limit E{essliminf,rx(t)JI(co)}
according to (4.7).
Assertion (c) is a special case of (b) because in (b) the set A' can be chosen
as [0, c] x A. Assertion (b) is a special case of (a) by the following argument.
The map (t, co) t-- (t, x(t, (o)) from the measurable space R' x S2 coupled with
the class of progressively measurable sets into the measurable space (R x X,
R(68`) x L") is measurable because the inverse image of any product set
[0, b] x Xo with X. in LI is a progressively measurable set. Hence (Appendix
Theorem 1.8) the inverse image of any set A' analytic over R(R) x .I" is a
set A" analytic over the class of progressively measurable sets. Finally the
projection of A" n ([0, c] x i2) is then the set in (9.1); so (a) implies (b). To
prove (a), observe that by Theorem 7 of Appendix I the projection of A" on
i2 is analytic over 5(c) and therefore is in 5(c) by Lusin's theorem (Theorem
4 of Appendix II because the restriction of P to JW(c) is a complete measure.
In (a) the projection of A" n ([0, c[ x S2) on i2 and in (b) and (c) the sets in
(9.1) and (9.2) with "t < c" replaced by "t < c" are all in w- (c) = Y«.f(t).
The method of proof of the theorem yields this variant, or the variant can be
deduced by an application of the theorem with c replaced by c - 1 In, n z 1.
Generalization
Change of Origin
The analysis of the hitting of a set in the parameter interval [0, c] or [0, c[ is
valid with trivial changes for hitting in an interval [b, c] or [b, c[ with
0<b<c.
An associated canonical process with the same parameter set, state space,
and finite-dimensional distributions can be defined as follows. Set 6 = X'.
The map 0: is measurable from (Q,9) into (6, A) because
(10.2)
Define I' on A as the measure induced by P; that is, P{R} = P{0-' (A) }. If
as usual P is supposed complete, it follows that F; so 0 is a
measurable map from (Q. S) into (Sy2, . *). Note that F may be strictly
larger than 4 1(. ) so that there may be sample function properties defin-
ing measurable subsets of 0 but not of n. Sample function properties involv-
ing uncountably many parameter values are obvious candidates.
If I is a topological space and if (X, ff ) is a topological space with 5t the
a algebra generated by the open subsets of X, suppose that in the pre-
ceding paragraph is a continuous process. Then we can choose an associated
continuous canonical process by setting 1 = n,, the space of continuous
functions from I into X, a subset of X'. The map 0 above is now from f2 into
(g2,, and P induces a measure on this function space. The family of
10. Canonical Processes and Finite-Dimensional Distributions 403
and (b) if t; , ... , t ; , is a permutation oft, , ... , t", the measurep(t,, ... , t" ; )
becomes the measure p(r', ... , t ; ) when the coordinates of X" undergo
the same permutation.
Let (X, X) be a Polish space coupled with its or algebra of Borel sets. Then
(X", 3-") is for n z I also a Polish space coupled with its a algebra of Borel
sets, and therefore (Appendix IV. 11) every measure on '" is inner regular.
Kolmogorov showed that for an arbitrary parameter set I, state space
(X,.-), and arbitrary finite-dimensional distributions for this choice of
parameter set and state space, satisfying (a) and (b) above, there is a canonical
stochastic process with L' = X' and the given finite-dimensional distri-
butions. (Kolmogorov had X = R, but the above inner regularity property
was all his proof needed.) His method of proof was to define P on the
algebra U5{' ......i(Q) by
I'{ [.Y(t,)...... Y(t"))EA} = p(t,, ...,t.,A) (AE.9C") (10.4)
( 1)
= {su1xti <
fE
_{supx(t5 1} E '( );
111 111
EXAMPLE (a). Let I = Z', (X, ") = (18, .(18)), and let x(0), x(1), ... be
mutually independent random variables. The theorem that the probability
12. The Hitting of Sets by a Right Continuous Process 405
l ift=w,
x(t, w) _
0 ift#w, x ff8+.
Since only countably many parameter values are involved on the right-hand
side the finite-dimensional distributions of the process determine the desired
hitting probability. Thus for a right continuous (or almost surely right
continuous) process the probability of hitting the open set B by time c
406 2.1 Fundamental Concepts of Probability
does not depend on the choice of almost surely right continuous process
with the given finite-dimensional distributions.
Again only countably many parameter values are involved on the right-hand
side. If A is a countable union of closed sets, the set A is hit by time c if and
only if some summand is. Thus for a continuous (or almost surely continuous)
process with a metric state space the probability of hitting an F. set by time
c does not depend on the choice of almost surely continuous process with the
given finite-dimensional distributions.
A = {w: (t, x(t, (!))) E A' for some t < c}, (12.3)
The metric
In the present context a process {x(t), t e R') with state space 68 defines
a function fi'x(.) : t r- x(t) from IB+ into S. This map taking a process into a
function is one to one and onto if two processes are identified when they
are standard modifications of each other.
with At, ... , A. disjoint Borel subsets of I8+ and Ate., then #,(., is Borel
measurable. This Borel measurability is trivial.
(ii) If fix).) is Borel measurable, then has a measurable standard modi-
fication. To show this, it is sufficient to show that the class of functions
from OB+ into S corresponding to processes which have measurable standard
modifications includes the continuous functions and is closed under con-
vergence. Suppose first that fx,.) is continuous. Define
Ok(t) =.12-k for (j - l)2-k < t < j2-k (j= 1,2 ....).
The set {t: mn(t) =j) is a Borel subset of R, and for each t
so
x '(t) = E{x(t)I.F(t)}.
When 2-"^ < e, the nth term on the left defines a process adapted to and
progressively measurable relative to the filtration ,f( + e). Hence if the
limit in (13.5) is replaced by the limit superior, the resulting process is
progressively measurable relative to .IF(- + e) for all strictly positive e and
so (Section 1.2) is progressively measurable relative to and this process
is a standard modification of
Proof of (b)(ii). Apply the conditional expectation continuity theorem
to (13.4) to obtain
and repeat the reasoning just used, thereby showing that the process defined
when the limit in (13.6) is replaced by the limit superior is a progressively
measurable standard modification of The proof of (b) is now complete.
Consider the class of adapted families {x(t); .fi(t), t e R' } of functions from
0 into R for which every sample function w) is left continuous, that is,
for which the family is left continuous. (Left continuity at 0 is vacuously
satisfied by every function on R'.) The smallest a algebra of subsets of
R' x Il making the function (t, w) t -x(t, w) measurable for every such
left continuous family is called the predictable a algebra, and the sets
in this or algebra are called predictable. A family { y(t), t e R' } of functions
from fl into an arbitrary measurable space is called predictable if the function
(1, w) i-+y(t, co) on the space R' x 0 coupled with its predictable a algebra
is measurable. A predictable family is necessarily adapted to the given
filtration. Since left continuity of a function family with state space (R, R(R))
implies progressive measurability (Section 2), the predictable sets are pro-
gressively measurable, and a predictable function family is progressively
measurable. The predictability definition implies that if is predictable,
if a > 0, and if x,(t) = x((t - a) v 0), then the family is also predictable.
i=t
then the family y.(-) is If measurable because it has just been shown that
each summand family is. Finally lim, so is I measurable,
412 2.1. Fundamental Concepts of Probability
Here the sets on the left are in r and those on the right are in the a algebra
generated by r'. Conversely, just as trivial a representation of r' sets in
terms of predictable sets shows that the a algebra of predictable sets includes
r'. Thus the a algebra generated by r' is the predictable a algebra. The
representation (14.1) shows that the class of analytic sets over r' includes
the predictable sets. We leave to the reader the similar trivial argument
showing that if 0 5 a < b 5 + oc, the predictable a algebra is the a algebra
generated by the class r" of product sets [a, b[ x A with A e ,T(0) if a = 0
and Ae U, .(t) if a > 0. The class of finite unions of these product sets
is an algebra. The class of analytic sets over r" includes the predictable sets.
The predictable a algebra is the smallest a algebra making the function
(t, (n) (o) measurable whenever is an adapted continuous
family with state space (l8,.i(R)). To prove this, we need show only that if
G" is a a algebra of subsets of R' x Q making every such family measurable,
then G" contains r. This inclusion follows from the fact that the indicator
function of a compact interval of I8' is the limit of a decreasing sequence
of continuous functions on hr vanishing outside an arbitrarily small neigh-
borhood of the interval.
Chapter II
for c 5 +oo. Equivalently, .9(T) is the a algebra of sets A in .F(+ oo) for
which (1.2) is true when c < + oo.
If S and T are optional with S < T, the stochastic interval QS, TD, a subset of
I8' x 0, is defined by
In particular, we write ITI for the interval [T, TI, the graph of T (but
observe that this graph is a subset of 68+ x 0; if T =_ + oo, this graph is the
empty set). The open stochastic interval IS, TQ and the half-open ones are
defined in the obvious way.
A stochastic interval of the form IS, TI is a predictable set because each
function w) is left continuous. The classes r and r' of generators of
the predictable a algebra, as defined in Section 1.14, can be described in
terms of stochastic intervals. For example, r consists of the graphs JSD with
S = 0 on an * (0) set and S = + oo elsewhere and of the stochastic intervals
IS, T] with S = a on an *(a) set A and S = + oo elsewhere, T = b on A
and T = + oo elsewhere.
Suppose that the given measurable space is a probability space, and that
each a algebra .(t) of the filtrations contains the null sets. Then if T is
optional, * (T) also contains the null sets, and if Tt and T2 are functions
2. Optional Time Properties (Continuous Parameter Context) 415
An{T<c}=[An{S<c}]n{T<c}E,y(c); (2.1)
so AE.01'(T). Thus the first assertion of (d) is true. To prove the second
assertion, replace IS < c} by IS < c} in (2.1).
(e) If S and T are optional .F(S) n.F(T) = F(S A T). In particular,
{S<c}E.F(SAc).
(f) If S and T are optional, the sets IS < T}, IS :5 T}, IS = T} are in
,F(S A T).
In fact, since
{S<T}n{SAT<c}= U {S<rc}n{T>rc} (2.2)
o<rst
r rational
416 2.11. Optional Times and Associated Concepts
and IT > rc} =Q - IT :5 rc} e,(c), it follows that IS < T } e,(S AT).
Interchanging S and T, we conclude that the set {T < S} and therefore also
the complementary set IS ;-> T} are in ,(S A 7). Finally
IS =T}={SST}n{TSS}e,(SA T).
(g) If S and T are optional and if A e,(S), then
For each pair (a, b) the brace set on the right is in ,(c) because by hypothesis
IT < b} e.F(S + b), that is,
{T<b}n{S+b<a+b}e,(a+b)c,(c). (2.5)
Only (i4) and (i5) need comment. In (i4) we need only prove that
no c .f+(T), and this inclusion follows from the fact that if
AEno .F+(T"), then
An {T5c}=U[An{T"Sc}]E.flc)
0
so that A E
(j) Suppose that { fo(r), t E I } is a filtration of a probability space
(3.1)
Here and below the infimum of the empty set is defined as +oo. If
{x(t), t c- I) is a family of functions on SZ with arbitrary state space (X,.X)
and if A' is a subset of I x X, the hitting time of A' (by { [t, x(t)], t E 1) ) is
defined as
In each case the entry time of the set in question is defined in the same way
as the hitting time except that "t > 0" is replaced by "t >_ 0." Observe that
If A' = I x A, the hitting and entry times of A' reduce to those of A and
that if A" = { (t, uw): [t, x(t, (o)] a A", the hitting and entry times of A"
reduce to those of A'.
The analysis of measurability of hitting and entry times is trivial when
I= ll+. For example, if A e" , it is clear that the entry and hitting times of
A by are measurable and in fact are optional for From now on
we shall therefore assume that I = H. Observe that if T' [T"] is the entry
[hitting] time of A" and if c > 0, then
and the corresponding observation is valid for the entry and hitting time
of A' and A. The evaluations in (4.4) and the corresponding ones for A' and
A make it easy to deduce optionality of entry and hitting times in a suitable
context, as follows.
To prove the theorem, recall that the sets on the right in (4.4) and the
corresponding ones for A' and A were shown in Section 1.9 to be in PF(c);
so the entry and hitting times are optional for The last assertion of
(b) is trivial because the probability of hitting and entry in the stated con-
texts, by time c, does not depend on the choice of probability space according
to Section 1.9.
Generalization
For n < + oo let T. be the nth entry time of A"; that is,
Then T, is the entry time of A" and under the hypotheses of (a) is optional
for If n < + on and if T. is optional, the stochastic interval T,,, + oo Q
is progressively measurable. Hence is the entry time of the progressively
measurable set A" n ] T,,, + oo Q and so is optional. It follows that T, , T2,. . .
and therefore also T,,, = lim, T. are optional. The corresponding assertion
is true for A' and A. Further, if .f(0) contains the null sets, part (a) of the
theorem as just generalized is valid if A" differs by an evanescent set from
one as described in (a), and part (b) of the theorem as just generalized is
valid if is indistinguishable from a progressively measurable
process.
We use the notation introduced at the beginning of this section. The last
hitting time of A" by { (t, w), t e 1) is defined as
under the convention that this supremum is 0 of the set in question is empty.
The last hitting times of A' and A, in the respective contexts of (4.2) and
S. Application to Continuity Properties of Sample Functions 421
(4.3), are defined in the obvious way. If c > 0, let S(c) be the hitting time
of A" by { (c + t, w), t e R ) . The function S" is not optional except in
trivial cases, but {S" > c} = {S(c) < +oo} so that measurability problems
for last hitting times can be reduced to dual problems for hitting times.
We prove the first assertion of (a) but omit the similar proofs of the other
parts of the theorem.
Fix c > 0, a > 0, and define .f(c -) = Yb<C 5(b), 9V = -4([0, c[) x
.F(c -), T(1, to) = inf {se [t, c[: O!(s,w) Z a}, for te[0,c[. Then
6. Continuation of Section 5
We use the notation of Theorem 5. If e > 0, let TE be the entry time of the
set
Then T is optional and (T (w), (o) is in this set when T(w) < + oo : so the
hypothesis of (a) implies that T A n = n almost surely for every n > 0, and
(a) follows. The proof of (b) is similar.
IimS.ATm=Tm, U{S.AT.=TmS2
n=o
so
Y f(S A Tm)=.lt'(Tm)
-0 n=0
Predictable Filtrations
8. Section Theorems
Let (S ..f, P) be a probability space, and let A be a subset of R' x Q.
A section theorem is a theorem stating that under certain conditions on A
there is a function T with useful properties, from Q into A', such that a
8. Section Theorems 425
infP{M: M A,MeF}.
Let A be the class of finite unions of subsets of R+ x Q of the form C x A
with C a compact subset of R+ and A in F. If A c R+ x fl, let n(A) be the
projection of .4 on 0, and define 1(A) = According to Appendix
11.5, the set function I is a Choquet capacity on R+ x 0 relative to A, and
{T5c}=n{An([0,c] xQ)}esd(.F),
and T obviously satisfies the other conditions prescribed in (a). o
426 2.11. Optional Times and Associated Concepts
Proof of (b). Observe first that if A is a set in the algebra r'" generated by
r" (defined in Section 1.14), then (b) is trivial because the entry time T of
A is predictable and satisfies (8.3) with s = 0. Second, suppose that A e r;,
that is, A = n,,,4. is a countable intersection of I"" sets. Then the entry
time of A is predictable because it is the supremum of the sequence of entry
times of A1, A2, ... , and again (8.3) is satisfied with c = 0. The general case
is reduced to this special case as follows. According to (a), if ,4 is predictable,
there is an 9 measurable function S from D into A' for which QST c A and
P{S < +oo} = P{n(A)}. Define
for Ee r-. The set function 2 is a measure on the algebra r"" and therefore
(Hahn-Kolmogorov theorem) has a unique measure extension to the a
algebra generated by r-, that is, to the predictable a algebra, and (8.4)
is valid for the extension. The extended measure 2 is supported by .4, with
2(A) = P{n(A)}. According to the full statement of the Hahn-Kolmogorov
theorem, there is a set h. in r;' such that h. c A and i(h.,) >: P{a(A)} - E.
Let T be the entry time of h,. According to the result in the special case of
(b) already treated, QTD c h, and P{T < +oo} = P{rt(E,)); so PIT < +oo}
z 2(hd z P{n(A)} - c, and T therefore satisfies (8.3).
Theorem. Let (0, .F, P; .fi(t), t e R+) be a filtered probability space, Suppose
that is right continuous and that F(0) contains the null sets.
(a) An optional time is predictable if and only if its graph is predictable.
(b) The intersection of a predictable set with the graph of its entry time
is a predictable set. In particular, the entry time of a predictable
set is predictable if the entry time graph is included in the set.
Proof of (b). If a set A is predictable and if T is its entry time, the stochastic
interval IT, + oo [ is predictable because its indicator function defines an
adapted left continuous process. Hence the set A - ] T, + oo [ = A n [ TI
is predictable.
Generalization
The Class D
This class of processes is the class of processes for which the family
E{D[jx(T)j]} 5 c (11.2)
for all Tin (11.1). Observe that if a point +oo and a a algebra .9f(+co)
are introduced as in Section 1 and if x(+ co) is an arbitrary F(+ oo) measur-
able and integrable random variable, then if the original process was in D
relative to the original filtration the augmented process is in D relative to the
augmented filtration. In fact the family (11.1) augmented by the random
variable x(+ oo) is uniformly integrable so there is a uniform integrability
test function 4) and a constant c such that (11.2) is true for T as in (11.1)
and also so that E{1)[x(+oo)I]} 5 c. The augmented process, in which T
is allowed to have the value + co, then satisfies (11.2) with c replaced by 2c.
12. Accessible and Totally Inaccessible Optional Times 429
The Class LP (p z 1)
Observe that LP c D when p > 1. Adjoin a pair {x(+ co), .F(+ co) } to each
process as in the discussion of the class D, but under the additional
condition of finiteness of E{Ix(+co)IP}. Follow that discussion to show
that (11.3) is true for the augmented process if true for the original process
and that then in the continuous parameter context (11.3) is true with Tan
arbitrary (< + co) optional time.
(The reader is warned that the now accepted definition of these optional
times differs slightly from the original version.) An optional time T is said
to be totally inaccessible if P{S = T < + co } = 0 whenever S is a predictable
optional time. In particular, the distribution function of T on R+ is con-
tinuous; that is, P{T = c} = 0 for every finite constant c. Observe that this
definition only involves the properties of Ton (T < + oo 1; total inaccessi-
bility is a property of T where T is finite valued. A striking token of this
fact is that an optional time T is both predictable and totally inaccessible
if and only if T = + co almost surely. Observe also that predictability of
430 2.11. Optional Times and Associated Concepts
A={Sn<S=T<+cc,foralln}.
If S;; = S. on the F (Sn) set {Sn < S < + oo } and S = + oo elsewhere on
S2, then the sequence n i-+ S. A n is an increasing sequence of optional times
whose limit, announced by this sequence, is predictable and equal to T on
A. Hence A is null if T is totally inaccessible. Conversely, if A is null for all
sequences S,, it follows that P{S = T < + oo } = 0 whenever S is a predict-
able optional time not almost surely 0; so T (by hypothesis almost surely
strictly positive) is totally inaccessible.
QT]=UIISnD
n
A
on S2-An.
12 Accessible and Totally Inaccessible Optional Times 431
Special Case: 0 < a < 1. In this case define the accessible optional time
T' and the totally inaccessible optional time T" by
These optional times are uniquely determined up to null sets, and there is
a subset A of Q such that T' = Ton A and T" = Ton 0 - A. Thus QT] =
QT'D u QT"] up to an evanescent set. The optional times ' and T" are
called, respectively, the accessible and totally inaccessible components of T.
1. Definitions
Let (f2, .9, P; ,fi(t), t e I) be a filtered probability space, and let 90)
be a process on this space, with state space (R,M(R)). The process is called a
supermartingale if the process random variables are integrable and if the
supermartingale inequality
[c, (0, Q)], where c is the common expected value of the process random
variables.
Choice of Filtration
2. Examples
EXAMPLE (a). If is a filtration (arbitrary linearly ordered parameter
set I) of a probability space, if x is an integrable random variable, and if
x(t) = E{xJ.flt)}, then the process is a martingale. Every right
closable martingale is of this type. Suppose in this example that T is a
countably valued optional time with values in 1. Then we shall show that
434 2 111 Elements of Martingale Theory
EXAMPLE (b). Let v(l ), v(2), ... be mutually independent integrable random
variables, and let Y(n) = E, f(j), .f(n) = . { < nJ. Then O}
is a submartingale if E;v( j); >- 0 for j > I and is a martingale if these
expectations vanish.
as was to be proved.
EXAMPLE (d). Let 0 be the interval [0, 1], let .F be the class of Borel subsets
of Q, and let P be Lebesgue measure on F. Define a stochastic process
by
lim inf x (s) Z linm inf E{x (t) I.fls)) Z E {liminfxn(t) IF(s) } a.s.,
(3.3)
relative to ¢. If x = d¢JdP, the pair [x, l(E f.fls)] right closes the given
submartingale. A trivial variation of this argument shows that a uniformly
integrable martingale is right closable; the converse martingale result was
noted above.
(f) A supermartingale which majorizes a uniformly integrable sub-
martingale is right closable. In fact, if is a supermartingale
which majorizes the uniformly integrable submartingale we
use the notation of (e) and show that the pair just obtained which closes
also closes For Ae.f(s) and t s,
E{ y(s); A} z E{y(t); A} ;2t E{x(t); A} -+ 4,(A) (t T),
and the inequality here between first and last terms is the integrated form
of the desired almost sure supermartingale inequality y(s) Z E{xl.F(s)}.
for each process x(-) in r, and therefore the right side can be replaced by
(ess inf r)(s) to obtain the supermartingale inequality. In the other direction,
if r is a family of supermartingales which is directed upward, the process
ess sup r is a supermartingale if its random variables have finite expectations
in view of the monotone convergence theorem for conditional expectations.
If the processes in this upward-directed set r are martingales, this reasoning
shows that the process ess sup r is a martingale.
If r is an upward-directed family of supermartingales (essential order
of processes) with essential limit a supermartingale, there is an increasing
sequence {x n e Z+ } in r with the property that ess sup r = supne Z+
up to a standard modification. To see this, it can be supposed (Section 4)
that the parameter set of the process x'(-) = ess sup r is a subset of 11 ordered
by inequality. The monotone decreasing function is the su-
premum of the upward-directed family of decreasing functions tr+E{x(t)}
for in r. Hence there is a sequence {x n e Z+ }, increasing in the
essential order, for which
for every parameter value t, and it follows that, for every parameter value
t, x.(1) = x'(t) almost surely, as was to be proved. If the hypothesis
that the essential limit of r is a supermartingale, equivalently, that the
random variables of this process are integrable, is not satisfied, the conclusion
still holds, as can be seen by applying the result just obtained to the family
{x(-) n k: for each positive integer k.
Similarly, but somewhat more easily, if r is a family of supermartingales
and if ess inf r is a supermartingale, that is, if the random variables of this
process are integrable, there is a countable subset r, of r for which ess inf r
= inf r, up to a standard modification. See the Fundamental Convergence
Theorem for supermartingales (Theorem IV.5) for a more complete study
of the essential infimum of a family of right continuous supermartingales.
If T is bounded by k, then
k
Eflx(T)I} S YE{jx(j)I} < 4-co.
0
zi
i
I
n.J,
[x(i + 1) - x(i)] dP < 0,
and there is equality if the given process is a martingale. Thus the integrated
version of the desired supermartingale inequality or martingale equality
is true.
Observation. According to this theorem if T. is an increasing sequence
of bounded optional times the process {x(T,), .I(T.) } is a supermartingale,
or a martingale if the original process is a martingale.
in the class D in the strong sense that the family {x(T): T optional} is
uniformly integrable. In particular, a right closable, equivalently, uniformly
integrable, martingale { y(t), .fi(t), t e I } is a class D process [set x(t) _
I '(')I]; if I = 68+ and if the martingale is almost surely right continuous,
the family {y(T): T optional} is uniformly integrable.
application of Theorem 6 to the pair (0, Tn) of optional times shows that
E{x(T,) } < E{ x(0) 1, so when n - + co, we find that x(T) is integrable. An
application of Theorem 6 to the pair (Sn, Tn) shows that
so (n-+x)
f x(T) dP < x(S) dP,
S=rfl
8. Optional Stopping
Let { 4i (t), t e 1 } be a filtration of a probability space, with I either Z' or 68',
and let T be an optional time. If (x(-), 9(-)) is a stochastic process on the
probability space, the process {x(T A t), t E I } is described as the process
stopped at T.
Suppose that I = Z' and that is a supermartingale [martin-
gale]. According to Theorem 6, the stopped process {x(T A n),F(T A n),
n e l' ) is also a supermartingale [martingale]. It is sometimes important
that even the process {x(T A n), .fi(n), n e Z' } is a supermartingale [mar-
tingale]. To prove this result, suppose that A e F(n). Then
because the integrands are the same on the integration domain, and
with equality in the martingale case, because the integrands are x(n) and
x(n + 1), respectively, on the integration domain; so the supermartingale
inequality [martingale equality] is applicable. Adding (8.1) and (8.2) we
obtain an integrated version of the desired supermartingale inequality, or of
the martingale equality in the martingale case.
9. Maximal Inequalities
Theorem. (a) If x(0), ... , x(n) is a submartingale and a is an arbitrary real
number,
which implies the first inequality in (9.1). To prove the second inequality,
define S = n n min { j: x(j) < a}. Then S is optional; so the ordered pair
[x(0), x(S)] is a submartingale, and the submartingale inequality E{x(0) } <
E{x(S)} yields
which implies the second line in (9.1). To prove (9.2), apply (9.4) to
Observe that in (9.1) and (9.2) if ">-a" and "Sa" are replaced by the
corresponding strict inequalities, the resulting versions of (9.1) and (9.2) are
apparently weaker than the old versions but actually imply them by a trivial
continuity argument.
If the parameter set of the submartingale or positive supermartingale in
question is any linearly ordered countable set A, the inequalities (9.1) or (9.2)
as the case may be are valid for every finite set x(to), ... , x(tn), where t, is a
finite ordered subset of A. It follows that
Moreover in this right closed case the derivation of the first inequality in
(9.1') yields the in general smaller right-hand side E{x(b); sup,EAx(t) Z a}.
If the parameter set of the submartingale or supermartingale is uncount-
able, (9.1') and (9.2') remain true if "sup" and "inf" on the left are replaced
444 2.111. Elements of Martingale Theory
by "ess sup" and "essinf" respectively, because these essential bounds are
equal almost everywhere to ordinary bounds over suitably chosen countable
parameter subsets. On the other hand, if the process parameter set A is an
interval and if the process is almost surely right continuous, then .(9.1') and
(9.2') are correct as written since replacing A in these inequalities by a count-
able dense subset including the right-hand endpoint of A if A is right closed
changes neither the left nor the right side.
where z is the indicator function of the set {max;s x(j) >_ a}. The other
inequalities in Section 9 can be extended similarly. Such extensions to con-
ditional inequalities will be omitted from now on.
According to Section 9,
aP{y>_a}5E{x;y>_a}, (11.3)
then
12. Crossings 445
Now
y(w) a
y'Iw)
5p Lip-2da xdP=p f xdP f aP-2da (11.5)
I Jn Jo
= qE{xyP-'} 5 gE'IP{xP}E'w{ yP}
12. Crossings
Let f, g, h be functions from a linearly ordered set I into R, with g 5 h. The
number Dn [ f; g, h] of downcrossings of [g, h] by f is defined as the su-
premum of the values of the positive integer k for which there exist t, <
446 2.111. Elements of Martingak Theory
< t2k in I satisfyingf(t) h(tt) when j is odd and f(it) < g(t) when j is even.
Upcrossings are defined in the obvious dual way. Observe that limt_,o j = f
implies that
E{x(0) A [by(0]
b-a
and in fact with the convention that 00 = I
E{Y(n); k} <
(a) E{x(0) b[bY(0)]'r
(k z 1).
(12.4)
Tk= SkAn.
As usual the minimum of the empty set of numbers is defined as + oo. The
sequence T. is an increasing sequence of optional times for Jr(-).
E{x" T j+ 1_ E J j+1}
2 2
E{x"(n)-x'(n);Dn>7 21}
- E{x(n); Dn =7 2 1 }.
Proof of (12.3) and (12.4). Inequality (12.3) is a special case of (12.2). Alter-
natively (12.3) can be obtained by summing (12.4). To prove (12.4), define
S, and T by (12.6) with by(-) and ay(-). Observe that for
k z 1,
448 2.111. Elements of Martingale Theory
a k- I
E{ y(SZk); S215 5 n} < ()E(Y(S2);S2
b
5 n}
a
5 ()k_lE{y(T2);St 5 n} 5 ()'E{Y(Si);si 5 n}
Furthermore fork z 1.
SE{y(S2k);S2k5n}5(b)
b
(12.11)
Proof of (12.5). To prove (12.5), define S. and T by (12.6) with x"(-) = b and
.x a. Since T. = n,
Thus on Ak,
and therefore
Strict Downcrossings
If downcrossings had been defined using strict inequalities, f > h and f < g,
the resulting apparently weaker versions of the inequalities of Theorem 12
would imply the present versions by a trivial continuity argument.
and (12.15) is also valid if the parameter set I is an interval of IB and the
process is almost surely right continuous. In fact under this hypothesis
the two sides of (12.15) are unchanged, for strict downcrossings and therefore
for downcrossings, if I is replaced by a countable dense subset including
each endpoint of I in I. In the context of (12.15) if the supermartingale
is left closed, by a random variable x(a), the supremum in (12.15) is
E{x(a) A b}. If this supermartingale is right closed, by a random variable
x(fl), the infimum in (12.15) is E{x(fl) A b}.
are null sets so limn, x(n) exists almost surely, and the limit is almost
surely finite because
El lim x(n)
r.O
(13.2)
is a martingale.
and when m - cc. this equation yields, in view of the L' convergence of
This equality holds for A in the algebra Uo ,f(n) and therefore holds in
the generated a algebra fl+ oo) ; so this limit random variable is x(+ oo).
It is trivial that the process (14.1) is a martingale. If p > I and if
E{Ix(n)IP} < +co, then (Fatou's lemma) E{lx(+oo)IP} < +oo. If
p> I and if E{Ix(+oo)IP} < +co, then (Theorem 11 applied to
lx(n)IP} < +oo. So Ix(n) - x(+oo)IP} < +co, and
therefore (dominated convergence) the sequence converges to x(+oo)
in the LP metric.
and since the corresponding right closure result for martingales was proved
in Section 14, it can be supposed from now on that the given supermartingale
is positive. Apply Fatou's lemma for conditional expectations to get
which shows that.r(+ x) coupled with F(+ oo) = Yo .f(n) right closes the
given supermartingale. Finally
The fact that the parameter set Z .... - I. 0 has a last element makes
:
The example x(n) _ - n shows that the limit in (b) may be identically + x.
Part (a) is trivial and is stated only for orientation. Just as in the proof of
Theorem 13 but more easily here because the process is right closed, the
downcrossing inequality implies that there is an almost sure backward
limit x(- oo). Apply Fatou's lemma and the supermartingale inequality
to obtain
supposed that the process random variables are integrable. Let S and T
be countably valued optional times with values in 1 and with S:5 T. Suppose
that x(T) is integrable, and define the process writing zsTx(t)
instead Of TSTX(') (t), by
Observe that
is a martingale; in fact
E{TSTx(t)I.F(s)} = E{1{sss)TSTx(t)LF(s))
= E{l1sss1E{x(T v t)I.flt)}I.fls)}
= E{x(T v t)I.F(s)}
= E{E{x(T v t)I.F(T v s)}I.F(s)} _< E{x(T v s)I.9r(s)}
= TSTX(s)
z
If this inequality is evaluated at a parameter value s < t, we find that
is a positive supermartingale, majorized (essential order) by
impossible unless there is equality. The proof is complete.
458 2111. Elements of Martingale- Theory
See Section V.5 for Theorem 19 as modified for right continuous pro-
cesses in the continuous parameter case.
The proof of this theorem is formally identical with that of its classical
counterpart Theorem 1.111.2. The class ro of submartingale essential order
minorants of r contains v with and is therefore
directed upward in the essential order with essential order supremum (limit),
say an essential order minorant of r. We prove the theorem
by showing that is a martingale. For every parameter value t,
every in r, every in ro,
s 5 t,x(-) S
GM (21.1)
To prove the theorem, define y(j) as the right side of (22.1), and observe
(set T - j) that y(j) >- z(j) almost surely. Next observe that for fixed j the
class of conditional expectations in (22.1) is directed upward. In fact if S and
T are optional and 2j. define U = T or U = S according as the inequality
Application to Reductions
and we show further that if T; is the entry time >-j of A, that is,
thin
and
A by(')
Y.4$(') + + ... S (23.5)
b-a
The corresponding particularization of (23.4) can be obtained by the same
substitution or by summation and integration in (23.5). The martingale
theory translation of I . VI(3.11) is the sequence
b by(-)
5 ()YAe. ... (23.6)
1. Continuity Properties
The continuity properties of continuous parameter supermartingales derived
in this section are of course also valid for continuous parameter sub-
martingales and martingales. Recall that a process is said to be [almost
surely] right continuous if [almost] every sample function is right continuous
and the process is said to be [almost surely] right continuous with left limits
if [almost] every sample function is right continuous and has a left limit
at every point.
The usual smoothness hypothesis to be imposed on a continuous para-
meter supermartingale is almost sure right continuity. Moreover the
following remark shows that it is possible to change the reference filtration
of an almost surely right continuous supermartingale to obtain a new one
to which the supermartingale is adapted, which is right continuous, and for
which each a algebra contains the null sets. Let {x(t), .F(t), t e R+ } be an
almost surely right continuous supermartingale, and define as the
a algebra generated by .F(t) and the null sets. Then is a super-
martingale. Moreover the filtration is right continuous, .F,+(0) con-
tains the null sets, and (x(-),.Fl" is a supermartingale because ifs' < t,
P { lim x(s) =
e 3slr
x(t) = 1.
J
Proof of (a) and (b). If to > 0, the restriction to A n [0, to] of almost every
process sample function is bounded, according to the inequalities
111(9.1') applied to - x(-). If such a restriction does not have a left and right
limit at every point of [0, to[, there must be a pair of rational numbers
rt , r2 with rt < r2 such that the sample function restriction to A n [0, to[
has infinitely many downcrossings of [r1 , r2]. Since the downcrossing in-
equality 111(12.5) yields
E{x(0) A r2 - x(to) A r2)
5 (1.1)
r2 - r t
the number of downcrossings is almost surely finite simultaneously for
all rational pairs rt, r2 and values of to. Therefore the restriction to A of
almost every sample function has one-sided limits x(t-) and x(t+) for
every t. Moreover, since
When t' j t sequentially and s' j s sequentially, apply Fatou's lemma for
conditional expectations together with the conditional expectation con-
tinuity theorem to derive
466 2.IV. Basic Properties of Continuous Parameter Supermartingales
Hence E{x(t)J.F' (s)} < x(s) almost surely; so the process {xO, +O} is a
supermartingale, and the proof of (cl)-(c4) for is now complete.
process almost surely has right and left limits. Define x(t,w) = x(t+,w)
[x(t, (o) = x(t - , w)] if this right [left] limit exists, and define x(t, w)
[x(t, (o)] arbitrarily otherwise. Then we show that x(, ) = x(, ) = x(, )
up to a semipolar subset of R` x Q. Since an evanescent set is semipolar, we
lose no generality if we adjust the process if necessary on a null set of Q to
make the process progressively measurable with no sample function having
an oscillatory discontinuity, and we shall suppose that this has been done.
Define
Ak={ (t,(o):Ix(t,(0)-x(t,w)Izk}.
so the set on the left is semipolar as asserted, and similarly the set {x(,) #
x(, ) } is semipolar.
Returning to the original hypotheses of this application of Theorem 1,
observe that one choice of x(, ), in fact the choice we shall always use below
whenever x() almost surely has right limits, is x(t) = lim inf.,,, x(s). This
choice makes {x(), ()} progressively measurable if fl-) is right con-
tinuous even if {`x()()} is not progressively measurable.
Let { x(t), F(t); t e R' } be a right closable almost surely right continuous
supermartingale, and suppose that is right continuous. If x right closes
the supermartingale and if E{xlF(t)} is chosen properly, the equation
and
and
for Ae.F([T]"). Hence (2.5) is true for A in the smaller a algebra .F(T).
When n -+ oo, we can integrate to the limit on the left side of (2.5) because
the sequence of integrands, a sequence of conditional expectations of x(+ oc)
according to (2.3), is uniformly integrable [Section 1.4(i)]. Since the same
argument is applicable to the right side of (2.5), equation (2.5) implies that
x(S) and x(S A T) are integrable and that
a(t) = 1(r,+.Dt(t)1
a"(t) = E{a((k + l)2-")j.F(t)} on I"k = [k2-",(k + 1)2-"[, ke7L+.
T"=inf{t: a"(t)-a(t)>E}.
Then T is an increasing sequence of optional times. Let T. = lim"_. T.
Since a"(t) = a(t) = I for sufficiently large t almost everywhere on
{ T < + oo }, and for t in I", the evaluation
470 2.IV. Basic Properties of Continuous Parameter Supermartmgales
_ Y_ a((k + 1)2-")dP
k_OJ {TneInk)
2.7)
<Y
cc
k_0
f a(Tn + 2-') dP
Tne/nk)
and by definition of T.
E{[an(Tf) - a(Tn)]l)rn<+m)} > eP{Tn < +oo} z eP{T,o < +oo}. (2.9)
P{T<T, T<+oo}-limP{TST.,T<+oo}ZiP{T,,<+oo}.
2.10)
Observation (b). If the process in the theorem is not right closable but if
S and T are bounded, say T:5 c, the process restricted to the parameter
interval [0, c[ is right closable, and the theorem is applicable with a trivial
reformulation to the process on this parameter interval. In particular, and
we state the following for martingales as well as for supermartingales since
the supermartingale result can be applied to both and in the
martingale case, if {x(t), .fi(t), t e 118+ } is a right continuous supermartingale
[martingale] and if T is optional, the process {x(T A t), .5(T A t), t e I8+ },
the process stopped at T, is a supermartingale [martingale]. A slight
refinement of the proof below (see Section 111.8 for the discrete parameter
case) yields the stronger result that {x(T A t), '(t), t e I8+ } is a supermar-
tingale [martingale].
Since the given supermartingale is right closable, the almost sure limit
x(+ oc) exists (Section 111.15). and the reasoning used in the discrete parame-
ter case in that section shows that x(+ cc) right closes the supermartingale.
Since the process is right continuous and therefore progressively mea-
surable, the function x(T) is measurable. The process {x(j2-"),S (j2-"),
j = 0, 1, ... , o--, } is a supermartingale and [T] as defined in Section 11.2 is
optional for the indicated discrete a algebra family. Hence (Theorem 111.7)
x([S].)
E{x([T].) - E{x(+x) (3.2)
a.s.
x(S) -
E{ -I .F(S)} performed on both sides of this inequality
yields (c).
Under the hypotheses of Theorem 3 we have seen that the process x(-) has
almost sure left limits. Suppose that Sand Tare as described in that theorem
and that T is an increasing sequence of optional times with limit T and with
T. = Ton IS = T}. Define x-(T) = x(T,J. We shall now prove that
the ordered triple
IX o
yield when n -+ oo the fact that x-(T) is integrable and (3.4a) is true. If
x(-) is a uniformly integrable martingale, it is a class D martingale (Section
111.6); so the martingale equality
[Ac-.(S)]
ii
fro m Theorem 3 yields the integrated form of (3.4a) when n - oo.
It follows that
x(O) (4.3)
then almost surely r(t) < e on [0, T[. The class 1'e of almost surely strictly
positive optional times T for which almost surely r(t) < e on [0, T[ is not
empty according to what we have just proved, is directed upward, and is
476 2.IV. Basic Properties of Continuous Parameter Supermartingales
thus making the definition of slightly more specific than that in Section
1. According to Section 1, if flO) contains the null sets and if is right
continuous, the process is an almost surely right continuous
supermartingale and up to a semipolar subset of R+ x 0;
in particular. P{x(t) = x(t)} = I up to a countable set of values of t. The
(almost surely) right continuous smoothing plays the same role for
as the lower semicontinuous smoothing of a function plays in classical
and parabolic potential theory, according to the theorem of this section.
The martingale theory concept corresponding to that of a locally lower
bounded family of superharmonic functions is a locally lower bounded
family of supermartingales. Although local lower boundedness is not diffi-
cult to formulate in the martingale theory context, we shall restrict ourselves
to families of positive supermartingales to simplify the discussion.
The set (08+ x S) - M is evanescent. When (t, (o) a E , the sample functions
co) and w) are continuous at t and equal there; so for each a in J,
x(, ) = x(, ) < x2(, ) quasi everywhere on A . The problem is to enlarge
J, to ensure that also x(, ) < x.(, ) quasi everywhere on Bd. If J' is a
countable superset of Jo and if x'() = inf8E J x.(), then x'() = x() almost
surely on the positive rationals; so the almost surely right continuous
processes x() and x'(-) are indistinguishable. Moreover and Bd are
changed by at most evanescent sets when J. is increased to Y. According
to the discussion of the discontinuities of a supermartingale at the end of
Section 1, there is a sequence T of optional times the union of whose graphs
covers h, Choose J' so large that infaE,,..xa(T") is a version of ess inffE (T")
for all n. Then for each a in J, x'(,) 5 x.(, ) quasi everywhere on U8+ x S2;
the exceptional evanescent set depends on a. The countable set J' is the final
choice of Jn and has the properties described in (c).
so (d) is true.
Let y() be a version of this infimum process. Since y() is equal quasi every-
where to the infimum of a countable set of almost surely right continuous
positive supermartingales, equivalently, equal quasi everywhere to the limit
of a decreasing sequence of almost surely right continuous positive super-
martingales, the fact that the optional sampling Theorem 5 is applicable
to an almost surely right continuous positive supermartingale implies that
this theorem is applicable to y().
480 2.1 V. Basic Properties of Continuous Parameter Supermartingales
Increasing Processes
From now on in this section we shall suppose that I has a first point, denoted
by 0, but no last point. A process {A(t), t e 11, not necessarily adapted to
#'(-), with state space (18+,.(R )), will be called an increasing process if
the following conditions are satisfied.
(a) A(0) = 0, P{A(s) S A(t)} = 1 when s S t;
(b) E{A(t)} < +oo for tel.
Let +co" denote a point not in I, and define A(+oo) = ess sup,. , A (t).
If is Lt bounded, that is, if E{A(+oo)} < +oo, define (uniquely up
to a standard modification) a supermartingale {x(t), .F(t), t e 1) by
I= 7 l + : E 1) - y(k)] [A (k + 1) - A(k)]} = 0
k-0
(6.2)
1= R : E{ fW y(t)dA(t)} = E{y(+oo)A(+oo)}.
0
1= R: E{ f Y(t)dA(t)} = E{Jy(t)dB(t)}.
(o
(b2) If and are predictable then these processes are indis-
tinguishable.
so
= E{y(+oo)A(+oo)}. 0
Proof of (a2) when I = r+. See the exactly parallel proof below for the case
!=. o
Proof of (a3) when I = V. If is predictable apply (7.1,1= V+) to both
and the increasing process {A(k + 1) - A(1); ,F(k), k e Z+ } to derive
(6.2, 1 = V+). Conversely, suppose that (A(-), .F(-)) is an adapted L'
bounded increasing process and that (6.2,1= 7L+) is satisfied for every
choice of To show that then is nearly predictable, it is sufficient
to observe that A(0) is -,F(0) measurable and to prove that A(1) is also .F(0)
measurable, because this result can then be applied to the increasing process
{ A(k + I) - A (l), .flk + 1), k e g+ } which satisfies the counterpart of (6.2,
1 = V+) for the filtration {,F(k + 1),keg+} to show that A(2) is .mi(l)
measurable, and so on. To prove that A (1) is 9(0) measurable, let y be a
bounded F(1) measurable random variable and define as the martingale
E{ yj.4r(0)}, y, y, ... Then (6.2,1= V+) yields
Hence
7. Natural versus Predictable Increasing Processes (I = Z' or R') 485
Since y can be the indicator function of an arbitrary .f(1) set, it follows that
Since lim^.. y^(t) = y(t) almost surely, simultaneously for all t, (7.5) yields
(7.1,1= R+) by the Lebesgue dominated convergence theorem. o
Proof of (a2) for I= R+. If is natural apply both (6.2,1= R+) and
(7.1,1= R+) with y(t) = E(zl,flt)} to derive
E{ f 0E{zj.F(t-)}dA(t)}=E{ f 'E{zl.F(t)}dA(t)j=E{xA(+oo)}
0" )
and (7.2,1 = R+) now follows from the fact that E{zl#(t-)} = z almost
surely when t > a. Conversely, if (7.2,1= R+) is true and if is a bounded
almost surely right continuous martingale, apply (7.2,1= R+) with z = y(a)
and then let a - + cc to derive the condition (6.2,1= R+) that be
natural.
Y
"=o
so it is sufficient to show that the right side vanishes. The sum in (7.6) is
equal to
If now T. is defined by
which has limit (n - x,) the right side of (7.8); so does not charge T. as
asserted.
E{ If zl;,(t)dA(t)}=E{J"y"(t)dB(t)}. (7.9)
0 o
When n -' oc this equation yields (7.3,1= R+). Thus the latter equation is
true if is bounded and left continuous, and since the class of bounded
predictable processes on O+ is the smallest class of bounded processes closed
under bounded monotone convergence and containing the left continuous
adapted processes, (b1) is true.
(b2) We give the proof for 1= OB+; the proof for I = 7L+ is similar but
less deep. Suppose first that A(+ oo) and B(+ oc) are bounded, and combine
(7.1,1= ff8+) with (7.3,1= IB+) to find that E{ y(+ oc) [A(+ oo) - B(+ oo)] }
= 0 whenever (y(-), .F(-) I is a bounded almost surely right continuous pre-
dictable martingale. If now we choose we find that
A(+ or,) = B(+oc) almost surely. Hence (martingale equality) for each
value of t it follows that A(t) = B(t) almost surely; so by the almost sure
right continuity of and these processes must be indistinguishable.
In the general case we need only find an increasing sequence S, of optional
times for which lim"..,,S. = +oc almost surely and for which A (S.) and
B(S") are almost surely bounded for each n. In fact, if the result for bounded
processes is applied to the pair A(S" A ), B(S" A ), it follows that these
processes are indistinguishable so and are. To find a sequence S.,
observe that for n > 0 the entry time T. of the predictable set
S"=T1.V... VT"".
Decomposition of a Submartingale
+oo if A(+oo)Sc
T`-{inf{j:A(j+1)>c} ifA(+oo)>c.
490 2.1V. Basic Properties of Continuous Parameter Supermartingales
Then
f A(+oo)dP5 I x(Tc)dP+cP{A(+oo)>c}
A(+ao)>c) (A(+ao)>c)
as was to be proved.
Observe that when I= Z+, this theorem does not contain Theorem 8
because in that theorem the increasing process is predictable; in fact this
10. Generation of Supermartingale Potentials by Increasing Processes 491
Proof. (a) (b) and (a) (c) See Section 6 where these implications are
derived without the adaptedness hypothesis on
(b) (a) Assume first that I is a bounded subset of G2+ and includes 0.
The random variable x(t) can be identified with a point of Lt (Q, .F(+ oo), P).
This function has a left [right] limit at each point of the closure !of I which
is a limit point of I from the left [right] according to the supermartingale
convergence theorems and the condition that the given process is in D,
so is uniformly integrable. According to an elementary theorem on functions
from a subset of R into a metric space, the set Io of points t of !for which
two of the members x(t -), x(t), x(t+) of Lt (12, 9(+ co), P) exist but are not
the same is countable. Let J be a countable subset of I, dense in 1, including
0, !o, and every point of ! which is not a bilateral limit point of 1, and let J
be a finite subset of J, including 0, with Jo c Jt c , Uo J. = J. The
restriction of to J. is a positive supermartingale to which Theorem 8 as
trivialized for finite parameter sets can be applied. (Theorem 8 is stated for
the parameter set Z+ but can be applied to a finite parameter set, say 0, . . . , k,
by defining the process random variables to vanish identically at parameter
values strictly greater than k.) According to Theorem 8, there is a process
{A (t), t e for which A (0) = 0, A&) is increasing and is predictable, and
if we define co) as the value of A.(-) at the maximum parameter value
in J,,,
2f 5 2E{x(0)}, (10.3)
3 x(T)dP. (10.4)
f1An(+oo)>e) fA,(+oo)>c/2j
the class D property of x(-) the right side of (10.4) has limit 0 when c - oo,
uniformly as n varies, and it follows that the sequence A,(+ oo) is uniformly
integrable. Hence some subsequence A.(+oo) converges weakly in L'(f ,
.F(+oo),P) to a limit random variable A(+oo), and consequently for each
parameter value t in I the sequence E{A, (+oo)19(t)} converges weakly in
L'(1,.4z(t),P) to E{A(+oo)I.F(t)}. From (10.2) if teJ, the sequence A,(t)
also converges weakly in L' (i2, .fi(t), P) to a positive F(t) measurable
random variable A(t), with A(0) = 0. Furthermore (10.1) is true for t in J,
and A(-) is an increasing process on J. By definition of J each point t in
I - J is a bilateral limit point of J, and x(t) = x(t+) = x(t-) almost surely
if the one-sided limits are defined either as L' limits or as sequential almost
sure limits. Hence for t in I - J,
(b) (a) (in the general case) According to Section 111.4, there is an
order-preserving map from I into B such that 4)(s) = (¢(t) if and
only if x(s) = x(t) almost surely. We can choose 0 to be bounded and
to take the initial point of I into 0. Define 1= 4)(I). If ieI, define .#(i) =
Y.0-y) .fi(t), and define i(t) as x(t) for some t in 0`(t); the choice of t
does not matter. Ifs and i are in I ((and if s < i, then ))when ¢(t)
is increasing, L' bounded, and predictable, and (10.2) is true with A"(+ oo) =
sup,E,"A"(t). It follows as in the proof of Theorem 10 that the sequence
is uniformly integrable and that therefore some subsequence
A,,(+ oc) converges weakly in L' (i2, F(+ oc), P) to a limit random variable
A(+oo). When teJ, the sequence E{A,_(+oo)I.f(t)} therefore converges
weakly in L'(0,. (t), P) to E{A(+oo)I.F(t)}, and so (10.2) implies that the
sequence A, (t) converges weakly in P) to an .F(t) measurable
random variable A(t). In particular, the sequence A, (0) converges trivially
to A (0) = 0. Equation (11.1) is true for t e J, and (t T + oo)
y(s-)dA(s)}
EI If.
= lim Y E{ y(k2-") [A((k + 1)2-m) - A(k2-n)])
k=0
where we have used the discrete parameter case of Theorem 7 to derive the
last line, and in the last line n oo along the sequence Incidentally this
proof shows that there is convergence in (11.3) when n oc unrestrictedly.
12. Meyer Decomposition of a Submartingale 495
Uniqueness Observation
tingale. The restriction of this process to [0, c[ is also in the class D according
to Section 111.6. The sum process { is a submartingale
whose restriction to any parameter interval [0, c[is in the class D. Conversely,
we shall now show that an almost surely right continuous submartingale
If whose restriction to each parameter interval [0, c[is in the class D
can be written as a sum { y(-) + with { y(-), -F(-)) an almost surely
right continuous martingale and an almost surely right contin-
uous predictable increasing process; moreover both components are unique-
ly determined up to indistinguishability. Let be the restriction of to
the parameter interval [0, c[. This submartingale is in the class D by hypoth-
esis, and the right closable martingale
{E{z(c)j.F(t)},.F(t),0 5 t < c}
is also in the class D (Section 111.6). The version of the conditional expecta-
tion in the process
can be chosen to make the difference process a positive almost surely right
continuous class D supermartingale. The supermartingale potential compo-
nent of the Riesz decomposition of the difference process is then also in the
class D and so is generated by an almost surely right continuous predictable
increasing L' bounded process {Ajt),.f(t), 0 5 t < c}. That is, we can
write on the interval [0, c[, where is an
almost surely right continuous martingale on the parameter interval [0, c[.
In view of the uniqueness property of the Meyer decomposition we can
choose an almost surely right continuous predictable increasing process
5() } whose restriction to the parameter interval [0, c[ is indistin-
guishable from and therefore is a martingale on
the parameter interval R+.
Then T' and T" are optional, t < T' < + oo, t S T" < + co, and
{T'=T"=+x}={T(t)=+oc}.
(Null sets are ignored throughout.) The optional time T' can have no totally
inaccessible component because [see the proof of Theorem 7(a3)] does
not charge any totally inaccessible optional time. Hence T' is accessible.
Let S be a predictable time whose graph is a subset of that of T', and let S.
be a sequence of optional times announcing S. It is no restriction to suppose
that So >- t. The almost sure supermartingale inequality
yields (n - x)
Now
E{x((T'-)IIs<+00)
E{x(T'-)lis<+m1IF(t)} = E{[A(+oo) -
Since A(+oo) = A(t) on the set {T' = T" = +oo}, the right side of (13.7) is
almost surely x(t), and the proof is now complete.
Special Case: Almost Sure Continuity of The parabolic context
domination principle (Theorem 1.XVIII.16) is the exact translation of the
classical domination principle (Theorem 1.V.10) into the parabolic context
if the Riesz measure corresponding to the given superparabolic potential
vanishes on parabolic semipolar sets; that is, under this condition coparabol-
ic-fine limits are not involved. Corresponding to this fact, in the present
Theorem 13 if A (di) almost surely vanishes on semipolar subsets of Fl+ x i2,
that is, if
P{ JBdtA(t,co) = 0} = 1
500 2.1V Basic Properties of Continuous Parameter Supermartingales
(R' xAnA')nISvS',TAT'Q,
also of this type, and that S v S' is identically constant if S and S' are.
A Base for the Fine Topology. The class of sets (stochastic intervals)
(R' x A) n [a, TQ with a a positive constant and A c F(a) is a base for the
fine topology because if { is a right continuous process, not
necessarily a supermartingale, and if T, is the entry time of the set
16. The Fine Topology of R' x S2 503
then
{(t, w): x(t,w) > c} = U. (R x {co: x(t,w) > c)) r) it, T,Q.
IER
is a fine neighborhood of (to, wo) for every e > 0, and the set of these fine
neighborhoods for all E > 0 is a base for the fine neighborhoods of (to, wo).
Hence a subset A of l8' x f2 has (to, wo) as a fine limit point if and only
if A contains points (t,,, wo) with t > to, t = to. Thus if all 0 single-
tons are P null the fine topology is the direct product of the discrete topology
on fl and the one sided Euclidean topology on l8+ in which a base for the
topology is the class of left closed intervals.
It follows that the second possibility can occur only countably many times,
504 2 I V Basic Properties of Continuous Parameter Supermartingales
that is, there is some countable ordinal a with T,+, = + x almost surely,
and we have just seen that then A must be semipolar.
t'
referred to. Proofs are given or referred to in Section 19. We leave to the
reader the translation of the listed properties to the context of a countable
parameter set.
(a) [See Section 1.XVII.16(b).]
q.e.on AnAf;
R".) = R" =z(-) q.e. on ,4f, in particular, q.e. on the fine interior of A;
R" = RA(.) q.e. when A is fine open.
one version of the right-hand side is the infimum when a runs through some
decreasing sequence of fine-open supersets of A. In particular, if all almost
surely right continuous supermartingales on the given space are almost
surely lower semicontinuous, then whenever is almost surely continuous,
the set 1) in (18.2) can be further restricted to have open t cross sections for
fixed co.
(e) [See Sections 1.XVII.11(b) and 1.XVII.16(i).] If A c $ and if A is
fine open, then the supermartingales OB and are indistinguish-
able. If 1) is also fine open, these supermartingales are indistinguishable from
flz(i 0 P".
18. Reduction Properties 507
and the corresponding inequality (18.sm) for smoothed reductions are true.
The exceptional evanescent set depends on A, B. [See (i) for countable
strong subadditivity.]
(h) [See Sections 1.XVII.11(e) and 1.XVII.16(e).] If A, is an increasing
sequence of subsets of Q8+ x f2 with union A and if is an
increasing sequence of almost surely right continuous positive supermartin-
gales with limit then quasi everywhere on I8+ x 0 both
and the corresponding equation (18.4sm) for smoothed reductions are true.
(i) [See Section 1.XVII.16(k).] The set functions A)- Ra.) and A) -+R )
are countably strongly subadditive in the sense that if A. and B are sequences
of subsets of R+ x 0 with An c Bn, then quasi everywhere on R+ x S both
and the corresponding inequality (18.5sm) for smoothed reductions are true.
(j) [See Section 1.XVII.16(g).] If n e 7L+ } is a sequence of almost
surely right continuous positive supermartingales, if Eo (almost
surely right continuous by Theorem 4) is a supermartingale, that is, if
Eo E{zn(0) } < + oo, then quasi everywhere on 68+ x D both
R1r R./
(18.6)
0
and the corresponding equation (I 8.6sm) for smoothed reductions are true.
(k) [See Section 1.XVII.16(m).] If S is a finite optional time and if
A = [0, S], then GM R".) = 0 quasi everywhere (equivalently, R=) is a
supermartingale potential) if either S is bounded or S is unrestricted and
is uniformly integrable.
(1) [See Section 1.XVII.16(o).] Suppose that (S2, , has the
property that every almost surely right continuous supermartingale is almost
surely lower semicontinuous, and suppose that is an almost surely
continuous class D positive supermartingale. Then the set function 4F-* R",.,
508 2 IV. Basic Properties of Continuous Parameter Supermartingales
and the corresponding equation (I8.8.sm) for smoothed reductions are true.
(n) [See Section 1.XVII.16(q).] If and are bounded positive
almost surely right continuous supermartingales, then
where sup' means the supremum up to evanescent sets, and the corresponding
inequality (18.9sm) is true for smoothed reductions.
(o) [See Section 1.XVII.16(s).] Let {x( ), () } and { y( ), be
almost surely right continuous positive supermartingales, let a and b be
positive numbers with 0 5 a < b, and define
[b. (0)]
E{ 5 x(0)b (18.10)
19. Proofs of the Reduction Properties in Section 18 509
(r, (o) entry into the nearly progressively measurable set [S ] r).4, then
{ T. = S.' < + co } c Af up to a null set ; it then follows from (b) that
T. > S almost everywhere on A. Since the set [S,;, Tn[ n A is evanescent
it follows from (c) that R= Rz almost everywhere on A; this
equality implies that A is null.
(g) To prove strong subadditivity of the reduction operator and its
smoothing, suppose first that A and h are fine open, in which case (18.3sm)
reduces to (18.3), and define z'(-) = R= .) A RB.). Then [see the proof of the
corresponding potential theory equality I.VI(3.4) and 1.XVII(11.4)]
This equality implies inequality (18.3) for fine-open A and $ and in view
of (18.2) thereby implies (18.3) for all A and E. Inequality (18.3sm) follows
trivially from (18.3).
(h) The proof of (18.4) follows the proof of the parabolic potential
theory equation 1.XVII(11.6). If each set An is fine open, (I8.4sm) reduces
to (18.4) and follows from the fact that on the one hand (quasi everywhere)
the limit on the left side of (18.4) exists and is majorized by the right side
and on the other hand the limit process is almost surely right continuous
(Theorem 4) and (quasi everywhere) majorizes on A and so majorizes
the right side on I8+ x Q. If the sets involved are not fine open, let T be a
finite valued positive Y20JF'(r) measurable function, and let be the
indicator function of the set 5 k}. Then
An = An n
5 E(R")(T)xk(T)} + 2e.
19. Proofs of the Reduction Properties in Section 18 511
Since (18.4) is true when the sets involved are fine open, (19.3) yields (when
n-4oo)
Ck: (R'4.)(-, li m
has the property that its intersection with the graph of Thas a null projection
on 0, whatever the choice of T. It follows (from Theorem 11.8) that Ok is
evanescent and that therefore (18.4) is true. Then (18.4sm) is true up to a
semipolar set and since both sides of this equation are almost surely right
continuous processes the two sides must be indistinguishable.
(i) Inequality (18.5) and (18.5sm) follow from strong subadditivity
combined with (18.4) and (18.4sm).
(j) To prove (18.6) for two summands, it is sufficient to give the proof
for A fine open, in which case the proof of the classical. context counterpart
I . VI (4.2) translates easily into one valid in the present context. It then follows
from (18.2) that (18.6) is true for arbitrary A and finitely many summands
and therefore by (18.4) for countably many summands. Finally (18.6sm)
has now been shown to be true up to a semipolar set, and since both sides
of (18.6sm) are almost surely right continuous processes, the two sides must
be indistinguishable.
(k) If A = Q0, SD and if A = QS, + oo Q, it is trivial that R-4., = 0 quasi
everywhere on A. Hence the martingale GMR= vanishes quasi everywhere
if S is bounded. If S is not bounded
RV) <
E{z(S)j.9'(t)} if t < S
zo(t) = z(t) if S:5 t < T
0 if +oo>t>T
is a positive right continuous supermartingale if the conditional expectations
are defined suitably (Theorem 2), is equal to z(-) on A, and is a quasi every-
where minorant of v(-). Hence is a version of RA.).
EXAMPLE (b). If A is as in Example (a) and B = QS, T}, then any positive
right continuous supermartingale majorizing on h majorizes R z(.)
quasi everywhere and satisfies (20.1). Moreover for s > 0 the process
go is also a positive right continuous supermartingale majorizing
z(-) on B. It follows that quasi everywhere
E{z(S)j.f(t)} ift<S,
R".,(t) = z(t) if S<t<T,t < +oo,
0 if+oo>t> T,
RB =R-4 quasi everywhere, and RB < RB., on QTD, a semipolar set.
Theorem. Suppose that (S2, . , j F(-), P) has the property that every almost
.surely right continuous supermartingale is almost surely lower semicontinuous,
and .suppose that is an almost .surely continuous positive supermartingale.
Let A he predictable , and let T,' [T,] he the entry [hitting] time ol'A n Q t, + cc
Then for each t > 0
so (20.2) for A becomes (20.2) for A when n - oo. In (ii) So, < S < ,
and T,. On the one hand, R -4-H = R".) by (18.7-). On the
other hand, (20.3) is true; so again (20.2) for A becomes (20.2) for A when
n
Observation. The reduction R'. ) is identified in (20.2) only up to a stan-
dard modification. In fact, however, we have defined R'.) as a very special
standard modification, unique up to an evanescent set.
and we shall now show that if E{A(+co)2} < +oo, then according to this
definition,
ZE{A(+ao)2}. (21.2)
and thereby yields (21.2). If A(+ oo) is not bounded, let (Section 7) S. be an
increasing sequence of finite optional times for which S. = +oo and
for which A is bounded for each n. Then (21.2) for the increasing process
A(S A ) yields (21.2) for when n -* oo.
and for to R+ define y(t) = Jlirst) (=0 on the set (T= +oo}). Let T be a
sequence of optional times predicting T. Then
(a) the process is an almost surely right continuous super-
martingale, almost surely continuous at T I (r< +,,i, right closable by x(+ oo) + J,
and E{J} 5 E{ x(0) - x(+oo)}.
In fact according to Section 3 (extension of Theorem 3), x(T-) is inte-
grable, and the following supermartingale inequalities are true:
Hence J is integrable, and E{J} satisfies the stated inequality. To prove that
is a supermartingale observe that is adapted to and that
satisfies the supermartingale inequality if and only if 0 5 s < I
implies that
Hence
11T.<q (22.6)
are nearly predictable because they are adapted and left continuous; so their
almost sure limit processes (n -+ oo) are nearly predictable. The first almost
sure limit process is that with tth random variable the first in (22.5). The
second almost sure limit process is that with tth random variable the second
in (22.5). Thus is nearly predictable, as asserted.
Proof of (a). Since it is sufficient to prove (a) for x( A n) for all n > 0, we
can assume that is a right closable supermartingale, or a right closable
martingale if the process is a martingale. The process {x( - ),() } is
almost surely left continuous and therefore nearly predictable so the process
x( - ), is nearly predictable, and it follows that when c > 0,
the set
H, = {(t,(o). x(t,uw) - x(t-,w) z c}
23. Supermartingale Decompositions and Discontinuities 519
(essinfx(t),tel}.
x(. r
2. when Is a Submartingale
(See Section 1.IX.2 for the potential theory counterpart of this section.)
Let be a submartingale with an arbitrary linearly ordered
parameter set I having a first element. If S and T are countably valued
optional times, upper bounded in I, with S:5 T, then 5 5 TTX(')
in the essential order. According to the dual of the Special case in Section
111.20, either has no essential order supermartingale majorant and
lim,tE{x(s)} = +oo, or has an essential order supermartingale major-
ant, LM exists, the process { LM is a martingale,
(As usual we write LM x(t) for [LM (t).) In view of one of the forms
of the submartingale sampling theorem (Theorem 111.7) the supremum and
directed limit
is bounded.
If is a positive submartingale, the existence of LM is
equivalent to the L' boundedness of the random variable class (2.3) and
in this case a trivial argument shows that S in (2.3) need not be bounded in
1. Moreover the hypothesis that I has a first element can be dropped because
in any case the process is left closable by the random variable 0 coupled with
the trivial a algebra (0, i2). In particular, suppose that the positive sub-
522 2.V. Lattices and Related Classes of Stochastic Processes
LM 'F[LM LM (2.5)
= E{
Take the essential limit as s increases to find that the left-hand side of (2.5)
is an essential order minorant of the right-hand side. The reverse order
relation is trivial.
Recall from Section IV. 14 that in the continuous parameter context (defined
in Section 1) if {x(-), is an almost surely right continuous submartingale
for which LM x(-) exists, this martingale majorant can be chosen to be right
continuous; the notation LM x(-) will always refer to an almost surely right
continuous version. Moreover, if _fl-)) is a positive almost surely right
continuous submartingale, not only is the existence of LM equivalent to
the finiteness of
as already stated in the general context, but the restriction that S be countably
valued is unnecessary. In fact if the supremum in (2.6) is c, let T be an arbi-
trary optional time except that T< +oo. Then if [T], is defined as in
Section 11.2, Example (b2), it follows from Fatou's lemma that
E{x(T)} S liminfE{x([T]n)} 5 c.
n_ .O
[Section II1.3(e)], then this argument is valid for an arbitrary optional time
T < + x : so in this case S in (2.6) can be an entirely unrestricted optional
time.
LM (D[LM LM (3.1)
LM [LM (3.2)
(4.1)
The proof is left to the reader because whatever is not already covered
by Theorem 3 with D(s) = sP follows easily from the discussion in Section 2.
Observe that assertion (c) of the present theorem with p > 1 is slightly
stronger than Theorem 3(d) with 0(s) = sP. In fact in Theorem 3(d) it is
not asserted that if and if has a martingale
essential order majorant, then has a martingale essential order
majorant. However, for cD(s) = sP and p z I this assertion is true because
then
I x(')I P S [xl(') + X2(')]' S 2P-'[x1(') +
P{x(1) = x(1)} = 1
except possibly for a countable set of values of t. Moreover the limit inferior
in (5.1) is an almost sure limit for each t. Let St be the set of equivalence
classes of almost surely right continuous supermartingales, under the relation
of indistinguishability. Then St can be imbedded in 'St (in the present
continuous parameter context) in an obvious way. If r is a subset of St
and if we denote by 'r the subset of 'S± consisting of the equivalence classes
of the latter set which contain those of r, we have noted above that if AT
exists there is a sequence {x n e 7L+ } in r such that the process
determines AT. The process is almost surely right upper
semicontinuous so 5 in the essential order, and there may be strict
inequality. The process is in the equivalence class of the maximal
essential order St minorant of IF. Thus, if we denote by (St, S) the set St
in the essential order, this set becomes a conditionally complete lattice, for
which we shall use the order symbols :5. 2--, V, A, but the St order infima
and suprema are not inherited from the natural imbedding in ('St, 5). The
argument just given together with the analysis of ('St, 5) shows that if
r c St then the (St, 5) infimum [supremum] of r, if it exists, is the
infimum [supremum] of a countable subset of r. If r is countable and if ro
is a set of supermartingales consisting of one member from each equivalence
class in r, then the equivalence class nr has as one member the process
for the pointwise infimum of 170, and (Theorem IV.4) if r is directed
upward and is bounded above in (S', --5), the equivalence class VF has as
one member the pointwise supremum of rt,.
The natural decomposition theorem (Section 111. 19) is valid in the continuous
parameter context, in which all the supermartingales in the theorem are
almost surely right continuous. In fact, if are almost surely
right continuous positive supermartingales and if up to
an evanescent set, then according to the natural decomposition theorem of
Section I11.19 there are positive supermartingales x, such that
5 x&), x, 0 + x'2()
528 2.V. Lattices and Related Classes of Stochastic Processes
The set 'S+ is a cone as defined in Appendix 111.3 and therefore defines a
specific order on itself for which we use the order symbols Y, A, and
'S+ in the specific order will be denoted by ('S+, S). Define'S = 'S+ - 'S+,
The duals of (b), (c), (d), involving infima, are obtained by replacing IT
by - r. Since r' is directed downward in the specific order in (c), the dual
of (d) implies that Ar' = Ar' = yr.
The reader will observe that this theorem has precisely the same statement
as Theorem 1.IX.6, although S in that theorem does not have the same
meaning as 'S here. The point is that the contexts of the two theorems are
quite different but the order properties in the two contexts are identical.
The proof of Theorem 6 is simply a translation of that of Theorem 1.IX.6
into the present context. For example, to prove that Ar' = Ar' = yr if
r c 'S+, we can follow the proof of this assertion in Section I.IX.6. That is,
we now interpret the members u, v, ¢, ... of S+, r, r' in that section as
positive supermartingales and interpret R° there as a generalized probabil-
istic reduction, namely, as the equivalence class of essential infima of the
set of positive supermartingale essential majorants of The details of
the translated proof are left to the reader.
Intrinsic Definition of S
Yr=LMr, Ar=GMr
in the sense that if one side of an equation exists, the other side also exists
and there is equality. According to Section 4, a martingale is in an 'S.
equivalence class if and only if the martingale is L' bounded.
The proof of these relations in the potential theory context (Section 1.IX.8)
is applicable in the present context.
The class'Sgb is defined as the subset of'S+ whose equivalence classes contain
the quasi-bounded positive supermartingales, that is (Section IV.6), contain
the supermartingales x(-) which satisfy the following equivalent conditions,
in which all processes are adapted to the specified filtration.
(a) The process is the specific order essential supremtun of a set of
bounded positive supermartingales.
(b) The process is the limit of a specific order increasing sequence
of bounded positive supermartingales; that is, is the sum of a
series of bounded positive supermartingales.
The class 'Sqb is a cone which satisfies the conditions (Appendix 111.8)
implying that the set 'Sqb = 'Sqb - 'Sqb is a band in ('S, and as such is
a conditionally complete vector lattice. The equivalence classes in this band,
and also their stochastic process members, are called quasi bounded. Observe
that if in (a) and (b) above is a martingale, then the bounded positive
supermartingales in (a) and (b) must also be martingales because they are
specific order minorants of
In view of Section 8 these two bands are mutually orthogonal, and 'Sqb =
'S,,,qb + 'Spgb. The band 'S,,,qb is the band in 'S generated by the equivalence
class of the process all of whose random variables are identically 1. According
532 2.V Lattices and Related Classes of Stochastic Processes
to Theorem IV.10, 'Spgb = 'S, n D if the parameter set has a first point but
not a last point.
It is sufficient to prove the first equality, and [by Theorem 3(d)] even
sufficient to prove 'S n UI. In this context if is a uniformly
integrable positive martingale, it is right closable [Section 11I.3(e)] by some
random variable x; so x(t) = E{xj.'F(t)} almost surely. If x is the bounded
martingale defined by x (t) = E{x A nI.F(t)}, then lim,,... x (t), t c Ig+
defines a martingale in the equivalence class of x(-); so x(-) is quasi bounded.
Conversely, if x(-) is a quasi-bounded martingale, so that there is a sequence
of bounded martingales, { y.(-), n e Z'), such that x(-) = Eo y.(-), then y
is right closable, say by a random variable yy, and must be right closable
by Eo so is uniformly integrable.
in the bands 'S, and S, and the processes they contain are called singular.
A process in 'S+ [S'] is singular if and only if every bounded 'S+ [S']
specific order minorant of the process is a standard modification of [indis-
tinguishable from] the identically zero process. We leave to the reader the
verification of the fact that in the continuous parameter context if is
an almost surely right continuous supermartingale, then e'S; if and
only if a S; and that e'S, if and only if a S,. Thus in the con-
tinuous parameter context the equivalence classes in S, [S,] can be identified
with those in'S; ['S] which contain almost surely right continuous processes.
We shall denote by and 'S
S, respective bands
and of singular supermartingale potentials are defined correspond-
ingly. Thus we now have an orthogonal decomposition of each of the lattices
'S and S into four bands:
'S = 'S,,,qb + 'S,,,, + 'Spgb + 'Sp S = S,,,qb + S,,,, + Spgb + Sp,. (10.1)
and choose the conditional expectations in such a way (Section IV. I) that
is an almost surely right continuous martingale. This
conditional expectation martingale comes under Case (a). The bracketed
difference in (1 1.1) is a martingale with almost sure limit 0 at + oD and so
comes under Case (b). Thus (11.1) exhibits as the sum of its quasi-
bounded and singular components.
If S,,,, then esslim,tx(t) exists (Section 111.13), and Cases (a)- (c)
go through as in the continuous parameter context.
A infIt En':x(t)>_n},
Then T, = + oo because almost every almost surely right continuous
supermartingale sample function is bounded on compact intervals. Observe
that )e S+ with r,.x(t) < n for t < T. and that with r(t) < n
13. Quasimartingales (Continuous Parameter Context) 535
almost everywhere on the set {T. > t}. Since the first and third terms in
(12.2) are trivially equal almost everywhere on the set {T 5 t) [because
this set is in .F(t) and the function x(T A t) is .fi(t) measurable], the process
(12.1) is a martingale. Hence is a local martingale. Conversely, suppose
that e S, and that is a local martingale, so that there is an increasing
sequence T. of finite optional times with almost sure limit + oo such that
each process (12.1) is a martingale. If is in S+ and is a bounded specific
order minorant of then z(T A -)S x(T A ); so z(T A ) is a martin-
gale with a bound independent of n. The martingale equality E{z(0)} =
E{z(T A t)} yields E{z(0)} = E{z(t)} in the limit, and therefore
Since it follows that 0 quasi everywhere; so is singular,
as was to be proved.
Observe that, for a given probability space and filtration, the class of quasi-
martingales is linear and includes L' bounded almost surely right continuous
martingales (set c = 0) and positive almost surely right continuous super-
martingales (set c = E{x(0) } ). Hence the members of S are quasimartingales.
According to the following theorem, the converse is also true.
is meaningful, and E{y(0)} < c; the series converges both almost surely
and in L'. Furthermore the L' convergence of this series implies that
L' limk-m E{x(tk)I.IF(tj)) exists. Since this is true for all j, so that tj can be
any number in IB+, and since two sequences t, can be combined into a single
one, this L' limit property implies that
L' lim
t-m
E{x(t)I.IF(s)} = x.(s)
exists for all s. Moreover Y.(s) is .ms(s) measurable because JF(0) contains
the null sets, the process is L' bounded because
=
1
(t) is defined arbitrarily when this right limit does not exist] is an almost
surely right continuous martingale and is obviously L' bounded. Moreover
(Section 4) the process is the difference between two positive almost
surely right continuous martingales. At the price of replacing by
[which does not change the sum in (13.1) or y(t) in (13.2)] we can
therefore suppose from now on that L' lim,-m E{x(t)I.fls)} = 0. If the
13. Quasimartingales (Continuous Parameter Context) 537
and therefore
{Y(t),.f(t.)}, {Y(t.) -
are supermartingales. We have already noted that E{ y(0)} 5 c. The reader
can readily verify that adding points to t replaces by a supermartingale
which majorizes on the original sequence t.. Let {y"(j2-"),.F(j2-"),
j e Z+ } be, for n e Z+, the version of when t, = { j 2-", j e Z+ } . For tin Q
and n so large that y"(t) is defined, y"(t) increases almost surely as n increases.
Define to obtain positive supermartingales
Apply Section IV.1 again to find that the positive right limit processes
z( - are almost surely right continuous supermartingales
relative to on the parameter set R+. The desired representation of
is x() = z() - [z() - x()}.
Observation. Theorem 13 asserts that the quasimartingale x() has a
representation x() = x,() - x2(), where x.() is a positive almost surely
right continuous supermartingale. There is some interest in minimizing x, ()
and x2(). An indirect but interesting way is to observe that the class of pairs
(x,(), x2()) with the stated properties has the property that if (x'1(), x2())
and (x,,xz) are in the class, then (x1() A x;(), x2() A x2()) is in the class.
Thus the set of first components and the set of second components are both
directed downward, and it is not difficult to show that the properly smoothed
version of the pair of essential infima of these two sets is the desired minimal
pair. A more direct method suggested by the classical discussion of the
positive and negative variations of a function of bounded variation is to
538 2.V. Lattices and Related Classes of Stochastic Processes
Markov Processes
Define W(s) = .F{x(r), r >_ s}. It will now be shown that (1.1) implies
so that (1.1') is true for z = zoz, when z has this special form. Equation (1.1')
for z, = 0, [x(t,)] then follows using the usual approximation procedure.
We now proceed by induction. If (1.1') is true for z = zo zk with an
arbitrary choice of to = s < t, < < tk and functions 0a, . . , Ok, for some
.
k>_ 1.
540 2.VI. Markov Processes
= zoE{E{z, zk+jI.f(t,)}Ix(s)}
as was to be proved.
A manipulation of conditional probabilities which will be left to the
reader shows that if the process parameter set is a set of consecutive integers,
(1.1) is true in general if true for t = s + 1.
The Markov property can be reformulated: is Markovian if
and only if the past and future are independent, given the present, or, in
precise form, if A e .ms(s) and M e v(s), then
To derive (1.5') from the Markov property, suppose that y and z are measur-
able, as described, and bounded. Using (1.1'),
so performing the operation E{ - Ix(s) } on the first and third terms yields
(1.5'). Conversely, under (1.5')
so
by x(s) and x(t), in view of (1.1'), and that as so modified (1.13) can be
written in the form
P{x(tt)eAjj:<n}=JA,
fA2
(1.17)
J q(ta-, S"-, ; tn, dcn).
A
In particular, if ! has a first point to, and if v is the distribution of x(to),
Recall (Section 1.10) that to a prescribed state space and prescribed finite-
dimensional distributions correspond a stochastic process with those finite-
dimensional distributions if the state space satisfies a certain weak condition
(for example, if the state space is a Polish space coupled with its Borel sets)
and if the finite-dimensional distributions are consistent. Thus, under the
I. The Markov Property 543
stated restriction on the state space, if I has a first point, to each specified
initial distribution and stochastic transition function with parameter set I
correspond a Markov process with the specified initial distribution and
transition function; if / has no first point, to each stochastic transition
function q and absolute probability function for q correspond a Markov
process with the specified transition and absolute probability functions. The
finite-dimensional distributions of the process are determined by (1.17), and
the absolute probability function is determined by the initial distribution if
1 has a first point.
then the transition function value q(s, ; s + t, A) does not depend on s for
any value oft = 1, 2, ..., and in fact according to the Chapman-Kolmo-
gorov equation, (s, A) t-4 q(s, ; s + t, A) is the tth kernel iterate of In
this case is said to have stationary probabilities and to have
transition function p. If 1= R+ and if q is stationary (Appendix V1.3), that
is, if there is a stationary continuous parameter transition function (t, , A) F-.
p(t, , A) for which
here s = 0 yields the version of (1.18) in the present context, since u(0, ) is
the initial distribution.
2. Choice of Filtration
Let {x(-), .F(-)) be a Markov process with an arbitrary linearly ordered
parameter set
The larger the a algebras of the filtration the more significant is the
assertion that has the Markov property. The minimal choice of
filtration to which is adapted is operating on both sides of
(1.1) with E{-I9o(s)} shows that is Markovian. In the other
direction it is trivial that is Markovian. Thus
Lemma. If .f(t) c .tea for some parameter value t, then F'(t) c .ryro(t).
Pa{x(j)eAjj5 n} = j'(do)dt)
,
jP(.i ,(3.2)
and i n particular,
proof that the extension exists is omitted.) This construction has the advan-
tage that the space (!ft, A) is defined without reference top orp, an advantage
illustrated by the fact that if Jr contains the singletons, the function g F-.
{R} for A in is 3C measurable and for arbitrary p
PN{R} = f (3.3)
X
Extension of Theorem 3
A) = MDISI(b A).
the fact that is the unweighted average off on and that the
radius of varies continuously with . With this choice of the fact
that x(oo) exists almost surely is proved as before, and the limit
must be on OD because
Ix(n) 2 aDI
I x(n + 1) - x(n)I = e n a.s.
andfors-0,1>0,
Pµ{x(0)EA}=µ(A), a.s. (5.2)
AA
with stationary transition function p. If 0 = to < .. < 1, and A;E3-,
EA,,j <(n'}
and in particular,
PS(x(t) EAj,(j<n}
Polish, coupled with its Borel subsets. Given a Polish state space (X, X), a
probability measure y on 37, and a stochastic transition function p on (X. X ),
there is a canonical Markov process with state space (X, X), initial distribu-
tion p, and transition function p. We sketch the definition of this process
(cf. Section 1.10). The space 6 is the space of functions w from R' into X,
and .'(t, (b) is the value of w at t. Define A(t) = F{z(s), sy,5 t}, A =
The measure P. on A is determined by defining Yµ{z(tf)eA;,
j 5 n} by the right side of (5.3), and this definition is extended to .A using
Kolmo$orov's theorem. The measure P. is then completed, thereby enlarging
to ,#,,, and finally ,.(t) is defined as the cr algebra generated by .1(t) and
.
and in addition ¢ -t (.µ(t)) c .F(t) if.4t(0) contains the Pµ null sets. Moreover
These relations all follow from the fact that for t and A. as above, if R =
{z(t)eAt, '_-5n)' then and (5.4) is true for this set R.
If R e , the function is x measurable, that is, Borel measur-
able, and
/"µ{R} = f (R)µ(d ) (5.5)
X
because (5.3) is valid for µ, and therefore the assertion is true for in ,F{s(ti),
j:!5 n), hence true for A in'n' the algebra U {x(tt), j 5 n} (where the union
is over all finite parameter sets), and finally the assertion is true for A in
I. From the general theory (Appendix V1.2) we know that if for each the
measure P is restricted to the class &(.*) of universally measurable sets
over A or even to the possibly larger class IPr (.*) of universally measurable
sets over,* relative to the kernel A) -+ PA(R) on T x 1, then the function
P.{R} is universally measurable on X, and (5.5) remains true. In expectation
language the function is dr'[*(f)] measurable if z is the indicator
function of a set in I and therefore by the usual approximation
procedure if z is .A [c&! ( )] measurable and is positive or absolutely rµ
integrable, then `,{f} is .1[W(X)] measurable and
and the right side of (1.1') can be expressed in the form It,(s) {z}.
In view of (5.4) and the corresponding equation for expectations the
relations (5.5) and (5.6) can be applied to noncanonical processes to deduce
that
jP{4)_I(A)}/2(d)> EN{4-'(. )} = fX
(5.8)
where A and z are as above and ¢-'(X) = z(4). Here PP is the probability
measure, and E{ is the corresponding expectation operator for an arbitrary
Markov process with state space (X, -T), transition function p, initial point
, on a probability space (52,, ..;, Pc), and the set S24 may vary with .
The measure .6, is then completed, thereby enlarging .0 to A,. This definition
of implies that I satisfies (5.2) (with u in that equation supported by
{ } ), and it follows as in Section 5 that the function r-+ p{ {R) is X measur-
able when Re. A. The measure P,, defined by (5.4) on A makes
a right continuous Markov process with initial distribution p and transition
function p. We have thus proved that there is such a process for every U.
It is now clear that everything in Section 5 is true in the present context in
which the members of 15 are right continuous. What is new is that the
canonical processes are now right continuous, and this fact induces new
process properties. We shall derive properties of the hitting of analytic sets
in the present context, keeping the notation of Section 5 but using the fact
that the canonical processes are now necessarily progressively measurable.
Suppose that A is an analytic subset of X. We have shown in Section 1.9
that
6. Specialization to Right Continuous Processes 553
It now follows from (5.4) that for any almost surely right continuous
Markov process on a probability space P) with state space (X, d"),
initial distribution p, and transition function p the probability of hitting A
at some time 5 t, that is, the probability that the entry time T of A is at
most t, is P{T 5 t} = J6,{&-' (A)) so that this probability does not depend on
the choice of probability space. If µ is supported by {r;}, this probability
is f{&'(A)} and is universally measurable as a function of . Finally the
probability for general p is the integral The corre-
sponding remarks are valid for hitting and entry time distributions. We
conclude that such probabilities and expectations as the following define
universally measurable functions of the initial point .
(a) P,{sup,E,u[x(t)] > c} for I an interval and u a Borel measurable
function from X into A.
(b) E, (sup,. t u[x(r)] } if [notation of (a)] u -a 0 or if this expectation
with u replaced by Jul is finite for all .
(c) P{{limsup,tru[x(t)] > c} for u as in (a) and for T the hitting time
of an analytic subset of X by
(d) E E {lim sup,tT u[x(t)] } if [notation of (c)] u 2 O OT if this expectation
with u replaced by Jul is finite for all .
If for every point of the state space there is a continuous process with
initial point and the given transition function p, then all the work in this
section can also be carried through with Sl the space of continuous functions
from R+ into X.
We now change some of the notation in the right continuous context we are
treating. Let A be an analytic subset of X, let I be a compact parameter
interval, let be a right continuous Markov process from g with the
given transition function p, and recall that the space on which is defined
may depend on c. Consider the function
The process random variables need not be defined on the whole space; so
"a.s." means "almost everywhere where x(s) is defined." In any expression
involving a random variable of the process the added condition that the
random variable is defined is to be understood and will sometimes be written
explicitly. Thus the set {x(t) e X } is the domain of definition of x(t). With
7. Continuous Parameter Markov Processes. Lifetimes and Trap Points 555
this convention (5.3) remains valid. According to (7.1) and the Chapman-
Kolmogorov equation, the random variable x(O) is defined almost surely,
and the function t c - P{x(t) e X), equal to Jxp(t, c, X)p(dc) when t > 0, is
monotone decreasing and right continuous on R+. If 0 < s < t, the random
variable x(s) is defined almost everywhere where x(t) is defined because
= f P{x(t)eX}.
X
Define y(t) on the set IS > t} [which differs from the domain of x(t) by
a null set] as x(t) and leave y(t) undefined otherwise. Then the process
{ is Markovian with transition function p, initial distribution p,
lifetime S and is a standard modification of
If is a Markov process with substochastic transition function
p and lifetime T, enlarge the state space by adjoining a single point a and
extend p to be stochastic on the enlarged space, making a an absorbing
point (Appendix VI.3). If now x(t) is defined as a fort > T, the extended
process is Markovian with transition function the extension of p. Thus
results for Markov processes with stochastic transition functions can be
applied to those with substochastic transition functions.
Going in the opposite direction, if p is a substochastic transition function
with Polish state space X and if p is a probability distribution on the state
space, there is a Markov process with transition function p and initial
distribution p according to the following argument. Adjoin a point a to X
as an isolated point of X u a, and extend p by making a an absorbing point.
There is then a Markov process with the extended state space,
the extended transition function, and the given initial distribution (supported
by X). If i(t) is replaced by its restriction x(t) to the set {i(t) e X }, the process
.0(-)) will have the properties described at the beginning of this section
and, if desired, can be modified to have a lifetime, as discussed above.
556 2.V1. Markov Processes
Theorem. Let {x(-), bean almost surely right continuous Markov process
with Polish state space and with transition function p. Suppose that whenever
t > 0 and f is a bounded continuous function on the state space, the function
p(t, , f) is continuous, or at least the process p(t, x(-), f) is almost surely right
continuous. Then
(a) The process .F '(-))is Markovian with transition function p.
(b) If for all t z 0 the a algebra .fi(t) is generated by the null sets and
.F{x(s),s < t}, then
Observation (1). Condition (a) implies that for f as in (b) the function
f) is right continuous on 68' because if is chosen as in (a), the
function t i- p(t, S, f) = E{ f [x1(t)] } is right continuous.
Observation (2). If.fr(t) _ 9(T + t), the theorem implies that the process
{x(T + ), .F '(-))
T is a Markov process on { T < + oo } with transition func-
tion p and initial distribution the distribution of x(T). To see this, first note
that the process in question is adapted because (Section 11.3) the function
x(T + t) is 9(T + t) measurable, and second note that if to Z 0 and if the
pair (T, T + t) in (9.2) is replaced by (T + to, T + to + t), then (9.2) becomes
the Markov property for the translated process; that is,
General Case
Apply the first special case to find that the process {x(T + ), -,FT(-) I is a
right continuous Markov process on { T < + oo } with transition function p.
Next we apply the second special case. If T is finite valued, the fact that S
and T are optional for implies (according to Section 11.2(h), but the
notation there is different) that S - T is optional for .FT(-) = .F(T + ).
Since S - T is T(0) measurable, the second special case can be applied to
{x(T+ with the pair (0,S - T) of optional times, to show that
(9.5) is true. If T is not necessarily finite valued, observe that S A n is
.F(T A n) measurable for all n and apply (9.5), but with the pair (S A n,
560 2.VI. Markov Processes
{SSn}=An{TSn}nIS 5n}e.f(n)n.9r(T)=,F(TAn),
(a) e-°'p(t, , u) 5 u,
(10.1)
(b) limp(t, , u) = u.
r-+0
The Hunt theory has been presented in varying degrees of generality. For
example, the theory includes classical potential theory on Greenian subsets
of R' with regular boundaries if the following hypotheses are imposed.
Hl. The state space is a locally compact Hausdorff space satisfying the
second separability condition, coupled with its Borel sets (but
10. Probabilistic Potential Theory; Excessive Functions 561
jetP(tf)li(dO. (10.3)
0
J e°'p(s,ff)lt(ds) 5 (10.4)
e-°'p(l, , u) = u (10.5)
uous. Hence the evaluation (10.6) implies that un is excessive. Moreover the
monotoneity of u A m) implies that the sequence
1(n
Excessive Measures
e-a, {,
p(t, , A)µ(dd) = p(A) (10.8)
x
In the most common Markov process setting the state space for the transition
function p is a topological space coupled with some a algebra of subsets
564 2.VI. Markov Processes
including the Borel subsets. For example, the state space of Brownian motion
in an open subset D of R" can be taken as the a algebra of Bores subsets
of D or perhaps more naturally as the a algebra of 1. measurable subsets of
D (the last because the transition distributions are absolutely continuous
relative to 1"). At first glance it may seem that whatever the context, it makes
no difference which of the possible a algebras is chosen. But in fact the choice
is involved in the definition of excessive functions and measures. In the
Brownian motion case it makes no difference in the sense that (Sections
IX.6, 8, 18) whichever choice is made of the three possibilities mentioned,
a function u is excessive if and only if on each connected component of D
this function is either identically + oo or positive and superharmonic, and
a measure is excessive if and only if it is the indefinite integral of an excessive
function. For space-time Brownian motion in an open subset b of h",
however, the situation is different. It will be seen (Section IX.18) that
coupling 6 with its a algebra of Borel subsets is less suitable than coupling
with the much larger a algebra of those subsets of 15 which meet every
hyperplane orthogonal to the ordinate axis in a Bore) set. (Replacing "Borel"
here by "1" measurable" would not change the classes of excessive functions
and measures.)
When the context is not otherwise unambiguous, we shall use the language
".' measurable excessive function" and "excessive measure on " to indi-
cate the choice of X.
E{e''Ttu[x{(T{)]}, (12.1)
z T,{)] }
= e-'"E{E{e-°T'tu[x,(t + T,4)]j.F(t)}} = e °`E{v[x,(t)]} (12.2)
= e`p(t, , v).
Moreover, when t - 0 the first expectation tends to v is a-excessive
and is majorized by u when u is bounded. If u is not bounded, u is the limit
of an increasing sequence of bounded a-excessive functions (Lemma 10);
so v is the limit of an increasing sequence of bounded a-excessive functions
majorized by u. Hence v is a-excessive and is majorized by u.
If a = 0 and u =_ 1, the value is the probability that an path
hits A at a strictly positive time, and p(t, , v) is the probability that an
path hits A at some time > t. Thus the condition that v be excessive, namely
that p(t, , v) increase to as t decreases to 0, has a simple probabilistic
interpretation in this special case.
Suppose that a > 0, and define the substochastic transition function pa
by p (t, , A) = e-"p(t, , A). Suppose that u =_ I so that E{e-aT }.
Let S be a positive random variable defined on the same probability space
as x,(-), independent of with distribution density (relative to /t )
t - ae-" on R. Then the probability that an path hits A at a strictly
positive time but before time S is Equivalently, v(D is the probability
that a path from of an almost surely right continuous Markov process
with transition function pa hits A at a strictly positive time.
566 2.V1 Markov Processes
(13.2)
P"{A} =
E{h[ (j]; A}
for Ae.94(t). (13.3)
Here as before we adopt the convention that the integral of a function over
a set means the integral over the part of the set on which the function is
defined. Thus in (13.3) without this convention A would be replaced A n
(Sc > t}. In particular,
lifetime), and it follows easily that there is an almost surely [right J continuous
process with initial point and transition function p'.
In probabilistic potential theory hypotheses are imposed on the state
space and transition function p ensuring that for any in the state space there
is a right continuous Markov process from with transition function p
and that for such a process the composed process is almost surely
right continuous whenever u is excessive. In this theory it then follows as
sketched above that h-path processes x'(-) from points of finiteness of h can
be chosen to be right continuous. Moreover, if u is excessive for p, the fact
that is almost surely right continuous and therefore almost surely
right continuous for the measure P" suggests that is also almost
surely right continuous. Finally the fact that P"{xr(t)eX - X"} = 0 sug-
gests that almost no h-path from ever hits X - X". Proofs of these state-
ments and conjectures will be given in more detail in the contexts of Brownian
motion and space-time Brownian motion.
for and q in X. The hypothesis of strict positivity of p' will be satisfied in the
applications to be made and avoids technicalities. This hypothesis implies
that if h is excessive for p, then 11h = + oo } = 0 unless h is identically + oo.
Choose t > 0, and let , q be any (not necessarily distinct) points of X.
If is a Markov process with initial point and transition function p,
if we consider in X, that is, before transition to a trap point, and if
0 < s, < ... < s < t, the formally calculated joint density of x,(s,) _
C ... , C. given that xs(t) = q is
The .joint density (14.2) is also that of a Markov process reversed in time on
the parameter interval ]0, t] with initial value q at time t and nonstationary
transition density (from S2 at time .s2 to C, at time s, with 0 < s, < s2 < t)
Next suppose that A is not necessarily closed but that h is strictly positive,
and define p"(t, S, dq) = p(t, 4, dq)h(q)/h(S). Consider killed at L, except
that the parameter value 0 is dropped; that is, consider x 4C defined for each
t > 0 as the restriction to ; L4 > t} of If 0 < t, < .. < t.,
15. Killed Markov Processes 569
when t tends to 0, the right-hand side tends (increasing) to the limit h().
Chapter VII
Brownian Motion
Let y(0), y(1), ... be mutually independent random variables with distribu-
tions qo, q1, ... , respectively, on R", and define x(n) = 2:oy(j), F(n) =
.F {y(0), ... , y(n)} = 9 {x(0), ... ,x(n)}. If the transition function p with
state space R" is defined by A) = (A - ), where A is a Borel subset
of R" and A - is the translation of A by the process is
Markovian with initial distribution qo and successive transition functions
po, p...... In fact according to the application in Section 1.7,
P{x(n + 1)eAJ.f(n)) = P{x(n) + y(n + 1)eAJ.fln)}
= x(n)) = A) a.s.
If 0 5 n1 < < nk, the increments x(n2) - x(n1), ... , x(nk) - x(nk_ 1) are
independent random variables, and these increments are independent of x(0).
If yo, yl , ... is an arbitrary sequence of random variables with values in
R" and if x _ Yo y,, the joint distribution of yo, y, , ... determines that of
x0, x1, ... , and conversely. Hence two different distributions of yo, y,, .. .
do not induce the same distribution of xo, x, . .... In the context of the
preceding paragraph this one-to-one correspondence between distributions
implies that if, for n Z 0, q is a probability measure on R' and if p is defined
by qn+1(A - ), then any Markov process determined by the
initial distribution qo and these transition functions is a sequence of succes-
sive sums of independent random variables, x = Yo y,, for which yy has
distribution q;.
Let {x(t), to R+ } be a stochastic process with state space R" and with
independent increments; that is, 0 S t1 < tk implies that the increments
1. Processes with Independent Increments and State Space 68^ 571
x(12) - X(tl), ... , X(Ik) - x(tk_1) are mutually independent. If s < t and if
q(s, t, ) is the distribution of x(t) - x(s), the fact that the distribution of the
sum of two independent random variables with state space R' is the convolu-
tion of their distributions implies that for 0 < s, < s2 < s3,
and for seR4 the set of increments {x(t) - x(s): t > s} is independent of
F(s). Equation (1.5) is the Chapman-Kolmogorov equation for the transi-
tion function p. Conversely, suppose that { x(t),.fi(t), t e t+ } is a Markov
process with stationary transition function (t, , A) i- p(t, 5, A) and suppose
that p has the form (1.6). Then the random variables (1.3) are mutually
independent, and for 0 < s < t the increment x(t) - x(s) has distribution
q(t - .s. ). Finally to any family {q(s, ), s > 0} of probability distributions
on RN satisfying (1.5) along with a further probability distribution v on R'
corresponds a Markov process with initial distribution v and
transition function (s, , t, A) i - q(t - s, A - ).
2. Brownian Motion
Define f(t,rt) by I.XV(4.1). but in discussing transition densities it will
sometimes be more intuitive to write ((t, , ry) for 4(1,17 - ). The variance
parameter a2 is fixed throughout. A stochastic process is called an
N-dimensional Brownian motion or a Brownian motion in RN if the following
four conditions are satisfied :
BM 1. The parameter set is R'. The state space is RN.
BM2. The process has stationary independent increments. If 0 < to, <
r + r, the distribution of the increment w(tt, + t) - w(to) has
density t(t, ) relative to ly.
BM3. The random variable w(0) is independent of the set of process
increments.
BM4. The process is almost surely continuous.
A Brownian motion in ' can also be defined as a Markov process
{ w(t), 9(t). t e R+ } satisfying the following three conditions:
BMI*. BMI.
BM2*. The (stationary) stochastic transition function has density
, (t, 5, q) = 15 (t, q - ) relative to /N.
BM3*. BM4.
Observe that BM 1 *- BM2* imply that for fixed s > 0 the set of increments
x(t) - x(s): r > s} is independent of .'(s).
The two Brownian motion definitions are equivalent in the following
2. Brownian Motion 573
when t > 0. Since the function (n, PI) = 6(t, - tr) is parabolic on
9N - the function ti, which is Borel measurable and is finite valued
on a dense subset of ftN, has the parabolic average property and so is parabol-
ic on fit'. Under our hypotheses when seR the process {w(s + t), teR+} is
a Brownian motion with initial distribution of IN density s). The distribu-
tion of each increment x(t2) - x(t,) with t, # tZ is an infinite-valued
measure. Since the process is Markovian, the reversed time process is also
Markovian, and a version of the reverse transition density relative to IN is
easily calculated: the density of a transition from at time s to r at time
t<sis
ti(,i, t)G(s - t, 17, )
(2.4)
The conditions BM I -BM2 are conditions for a Markov process with state
space RN and with a specified transition function. Hence (Section VI.5) such
a process exists for an arbitrary choice of initial probability distribution µ,
for example, as a canonical process on the space of all functions from P+
into RN. A useful additional fact is that since the distribution of the process
in question is the integral with respect to p(dd) of the distribution of the
process with initial point , it follows that there is such a process when p is
an arbitrary measure on R', finite on compact sets, and not identically 0.
In Section 3 we shall show that any process satisfying has a
standard modification satisfying BM3*. Thus Brownian motions with
parameter set R+ exist.
2. Brownian Motion 575
w(t) if 05t5a,
w"(t) = w(a) + (t - a)U2[W [f(t)] - w(a)]
[f(t) - al 112
ifa<t<+ o0.
initial distribution is defined in the obvious way and has these same proper-
ties. In this definition space-time Brownian motion moves downward in
4.8", that is, in the direction of decreasing ordinate values. The dual motion
moving upward will be called space-cotime Brownian motion. It will be
convenient to introduce the following notation. If A is a subset of A',
define A, = {q: (q, t) EA} and A, = A, x {t}. The transition probability func-
tion (r, s), A) F--, p(r, s), A) for space-time Brownian motion has the
property that p(r, s), ) is a measure supported by As_r, and this measure
when considered as a measure on A,_, is absolutely continuous relative to
IN, with density 8(r, , ). Define
so that f il) governs the transition density for time s - t when s > t,
us
exp d, (3.2)
Let T= min { j: x(j) >- a}. Then the set {T=j} is independent of
x(n) - x(j), and since the latter random variable is symmetrically distributed,
n n
P{maxx(k)>-a}=>P{T=j} <2>P{T=j,x(n)-x(j)>-0)
k!gn 1 i
(3.4)
< 2P{x(n) > a}.
(3.5)
According to (b) this inequality is true if the supremum on the left side
is replaced by the supremum for only finitely many values of r:5 t. The
inequality is therefore true as stated except possibly for the countably
many values of a which are discontinuities of the distribution function of
the supremum on the left. The inequality is true without exception because
both sides of (3.5) define left continuous functions of a.
By symmetry, if x(r) - x(0) is replaced in (3.5) by its absolute value,
the right side of (3.5) should be doubled.
We can assume in the proof that the variance parameter is 1 and that
N = 1. Applying (c) above, if m > 0, n > 0 and if r and s are rational,
mn-1
P{ sup Ix(s) - x(r) I > 2a J< Y P { s0<s-u/p Ix(s) - x(j/n)I >a l
0<s-r< 11n j=0 n52/re
S5m
= mnP { sup Ix(s) - x(0)I >- a J< 4mnP{x(2/n) - x(0) >- a} (3.6)
s 52/n
Since the last term has limit 0 when n oo, the restriction to the rationals
of almost every sample function is uniformly continuous on [O,m[. In
other words the restriction to the rationals of co) for w not in some null
set coincides with a continuous function on R'. Since
IimE{[x(t) - x(s)]2} = 0,
surely continuous. If f, (t) is the a algebra generated by ,F(t) and the null
sets, the process is still a Brownian motion. Since s < s' < t
implies that w(t) - w(s') is independent of the random variable
w(t) - w(s) is independent of .F; (s), and this independence implies that
the process J w(-), () } is a Brownian motion. Thus there is no loss of
generality in assuming that for a Brownian motion F(-)) the a algebra
.5(0) contains the null sets of the probability space and fl-) = that
is, is right continuous. In particular, if (w(-), .F(-)) is a Brownian motion
with .fi(t) = .5{w(s), .s < t} and if .5,(t) is the a algebra generated by 5(t)
and the null sets, then { .IF, is a Brownian motion, and (by Theorem
VI.8) is right continuous.
In view of the properties of Brownian motions the entry and hitting times
of analytic subsets of the state space are optional for a Brownian motion
{ whenever. (0) contains the null sets of the probability space and
is right continuous. The space-time Brownian motions have the strong
Markov property and the preceding entry and hitting time property under
the stated conditions on the Brownian motions involved.
Proof of (c) in the martingale case. A trivial argument shows that it is sufficient
to prove that if x is an integrable .5(+oo) measurable random variable,
then x(t) = E(xI,flt) } can be defined for t < + oo to make a continuous
process. In proving (s) we shall use repeatedly the fact that if x. is a sequence
of random variables with L' limit x and if (*) is true for x and its martingale
(x.(-), fl-)), then is true for x and In fact, going to a subsequence
if necessary, it can be assumed that E{Ix,,,., - x.1} < 2-" which implies
580 2.VI1. Brownian Motion
so (Bore] Cantelli theorem) for almost every w, lim, x"(t, co) exists
uniformly in t. The limit process is an almost surely continuous version
of and can then be modified to be continuous. To prove (*), let fo,
f, be continuous functions on lt' with limit 0 at + oo and define 0 by
0(a, r) = E{fl (z + r)}, for z an N-dimensional Gaussian random variable
whose components are mutually independent with mean 0 and variance a,
and for r in R. The function 4' is continuous. If 0 < t1 < t2 and if x =
fo[W(0)]f1[w(12) - w(tt)], then
neglecting null sets. Thus (*) is true for this choice of x. More generally an
only slightly less trivial calculation shows that (*) is true if
"
X =fo[w(0)] F1 J[W(ti) - w(ti-r )]
1
Proof of (b). To prove that each set in F(T) is in Yo .F(T ), let x be the
indicator function of a set in .4=(T), and recall that we have proved above
that we can define x(t) = E{xI.F(t)} fort 5 +oo to make a continuous
process. Apply the conditional expectation continuity theorem and the
martingale optional sampling Theorem IV.2 to obtain
and in fact G(s - t, , q) = s), (,, t)). This relation between Brownian
motion transition density and the parabolic Green function of ft N will be
extended to the corresponding relation between the transition density for
Brownian motion in an open set D and the parabolic Green function of
D x R in Section IX.17. As we shall see in cases related to the Dirichlet
problem for parabolic functions many Brownian motion probabilities can be
evaluated in terms of solutions of the heat equation on the relevant domains
with the appropriate boundary conditions or, if there is stationarity in time,
can be evaluated in terms of solutions of Laplace's equation with appropriate
boundary conditions.
582 2.VII. Brownian Motion
{el -Iw
E"xp n
t > 0,
Y(t) =
0 ift=0.
An application of (e) to the one-dimensional component processes of
shows that has the same finite-dimensional distributions as More-
over the process sample functions are almost all continuous on ]0, + oo [,
and lim,.o y(t) = 0 a.s. if t -+ 0 along a countable dense set because has
this property. Hence this limit relation is true when t - 0 unrestrictedly. Thus
is Brownian motion, and the relation between and shows that
6. The Zero-One Law for Brownian Motion 583
w(t)
lim = 0 a.s. (5.4)
t-.m I
This result is a version of the strong law of large numbers in the continuous
parameter context, as applied to Brownian motion.
are trivial.
It can be assumed that the initial point of the Brownian motion is the
origin. If A c- f, and if t > 0, the set A is independent of the class of dif-
ferences {w(s2) - w(s,), t < s, < s2) and therefore is independent of the a
algebra .f{w(s2) - w(s,), 0 < s, < s2} which, since w(0+) = 0 almost sure-
ly, together with the class of null sets generates a a algebra including .F,. .
Thus A is independent of itself and so has probability either 0 or 1. Apply
this result to the Brownian motion { tw(1 /t), t e I8+ } [see Section 5(f)] to
derive the triviality of .F2.
Observation. Since a Brownian motion process satisfies the conditions of
Theorem VI.8(b) after the associated filtration is enlarged if necessary
to have .`1v(0) contain the null sets, it follows from Section VI.8 that for a
Brownian motion from a point the a algebra .F, is trivial. This proof was
not used above because a direct proof is more elementary and just as short.
Since the condition in the braces defines an .F set, the probability in question
must be 0 or 1. and so is 1. and therefore lim sup,- w(t) = + oo almost surely
because c is arbitrary. Similarly or by symmetry the inferior limit is almost
surely - x. Thus almost every path hits each point of R at arbitrarily
large parameter values. In particular, almost every path hits 0 at ar-
bitrarily large parameter values and therefore also [Section 5(f)] hits 0 at
arbitrarily small strictly positive parameter values. We shall see in Section
IX.5 that when N > I, almost no Brownian path in R" ever hits a specified
point at a strictly positive parameter value.
(b) According to Theorem 6, if A is an analytic subset of R". the value
of P; T" = 0} must be either 0 or 1. The following examples exploit this fact.
The dichotomy suggests that a topology of R" [A'] can be defined by making
a point a limit point of a set A if the hitting time of every analytic superset A,
of A by a [space-time] Brownian motion from the point is almost surely I.
We shall see in Section IX.15 that this can be done (even with A, open in
the Euclidean topology) and that the topology so defined is the [parabolic]
fine topology already defined in Section I.XI.I [Section I.XVII.9]. From
now on in this section the remarks relating probability results to fine topology
results will always be for the classical context, but the corresponding remarks
for the parabolic context will also be true.
(c) Let A be an open right circular cone in R" with vertex the origin.
Then P{ w(t) E A; is independent oft > 0 and is proportional to the cone
central angle. Hence, if t. is a sequence of strictly positive parameter values
with limit 0.
set n,>o u(4(]0, t[))- is the "cluster set," that is, the set of limiting values,
of u at ¢(0+) along C. A point q' is in this cluster set if and only if
lim infd'(q', 0.
r_o
so lim sup,.o u[w(t)] is .ft measurable and therefore almost surely constant.
In particular, if A is an analytic subset of D and if u = 1", the set A, is analytic
for all c and we find that P{T" = 0) is 0 or 1, as already observed in (b).
This special case illustrates the fact that Bore] measurability of u is sometimes
too strong a hypothesis. If u is supposed Borel measurable, both the above
limit superior and the corresponding limit inferior are almost surely con-
stant. We shall see in Section IX. 15 that the constant values here are, respec-
tively, the fine topology superior and inferior limits of u at the origin.
(e) A point q' of D' is a cluster value of u either along almost no or along
almost every path back to the origin because according to (d) the
probability
P{liminfd'(q',u[w(t)]) = 0)
r-o
is either 0 or 1. Let A' be the set of points q' for which this probability is 1.
We shall see in Section IX.15 that q' is in A' if and only if q' is a fine topology
limit value of u at the origin.
(f) The set A' defined in (e) is closed and is the cluster set of u along
almost every path back to the origin and if D' is compact,
In fact A' is obviously closed so if q' a D' - A', there is a neighborhood B' of
of so small that if B = u-' (B'), then P{ TB' = 0) = 0. The set D' - A' is
therefore a countable union Uj Bj of open sets Bj with this property. It
follows that neglecting a null set of paths, the cluster set of u along each
path back to the origin is a subset of A'. Furthermore, if A o' is a countable
dense subset of A', the cluster set of u on almost every path back to the
origin includes Ao and therefore includes A' and so is A'. The set A' may be
empty, but if D is compact, A' cannot be empty, and (6.3) is true because if
A" is an open neighborhood of A', a finite subunion of U; B; covers D' - A".
586 2.VII. Brownian Motion
The joint density (7.1) is also that of a Markov process reversed in time on
[0, t] with initial value, at time t and value at time 0 and transition density
(from C2 at time S2 to C, at time s, , with 0 < s, < s2)
The joint distribution of ww,,(st), ww,,(s2) is Gaussian with means and var-
iances as just evaluated and covariance u2st(t - s2)/t.
Suppose that N = I and that t is specified, and consider the process
defined by y(s) = wo(s) - swo(t)/t, 0S s < t. The process is almost
surely continuous, and its finite-dimensional joint distributions are Gaussian
with zero means and
- s2)
E{Y(st)Y(s2)} = a2s1(t (7.4)
Since the term on the right is trivially equal to P{w(t)eA'}, we have proved
P {sup w(s) > a, w(t) a drl ) = G(t, 2a - n)h (dn) (n < a), (8.5)
,sl
which implies that
P { sup w(s) < a, w(t) a do } = [e (t, n) - 6(t, 2a - n)] 1 t (dn) (n < a). (8.6)
s51
Since the distributions involved here are continuous, "<a" and "<a" are
interchangeable in (8.6), and the corresponding remark is valid in the
preceding equations.
The preceding derivations are formally satisfactory but give less insight than
the following derivation of corresponding results in RN, results that could
of course also have been derived by the above methods. Let D be a half-
space of R" whose closure does not contain the origin, and let n' [A'] be
the reflection of a point n [subset A] of RN in the bounding half-plane it
of D. Let { -fl-)) be a Brownian motion in R' from the origin, and let
T be the hitting time of it by The strong Markov property of Brownian
motion implies that the process {w(T + ),.F(T + )} is a Brownian motion
9. Brownian Motion in an Open Set (N .a: 1) 589
(9.3)
Stf
for i > 0, and the equation is trivially true for r < 0. The function GD is Bore)
measurable on I8 x D x D. The expectation on the right in (9.3) can be
evaluated when 0 < s < t using the strong Markov property of Brownian
motion :
E{Eills(4ss,G(t (Ss)}}
(
= E j l Iss<sl J 1(t - s, C, rl)P(s - SS, ww(SS), C)IN(dC)J (9.4)
l RN ))
(c) The equation is true for IN almost every C when is fixed because
GD is a transition density for Brownian motion in D.
In view of the inequality GD 5 G it follows from (9.6) that GD(t, , ) is a
continuous bounded function on D x D for each value of t. Moreover,
according to the analysis of the integrand in (9.5), the expectation on the
right in (9.5) is for fixed q a bounded function of t) on D x ]0, + oo [.
Af- f A
(Si,.Si). (10.4)
nsx
together with equality in the limit when .s2 T s, . If in addition there is equality
in (10.5) whenever .s, > s2, the function ti is invariant for space-time Brown-
ian motion.
The transition density (o of space-cotime Brownian motion is defined
by dualizing the preceding discussion and satisfies the equation
so that
OhO' = OhO - QabO v QhahQ - QabahO u . (11.2)
The probabilities of these events are easily calculated using the reflection
principle. For example. P;OabO} is the probability that a path reaches
h by time t after having hit a, or, reflecting the path in a at the hitting time
of a, and settings=h - a
P {QahQ} = P{minwjs)
S<I
<a - c} = PI S5/
min tv(.s)<a- e -
(11.3)
= 2P{w(t) > - h + 2c}.
Just as (8.2) was strengthened into (8.5), so the condition w,(t) a dry can be
imposed on each term of (11.2) to obtain
00
and similarly
sion will be given for N = 1 to simplify the notation. Suppose then that
D = ]a,b[.
11-GD(s- 660,(11,1[)),
=b
2 etil + 0(62) (13.1)
= 6&i + 0(62),
59t 2 VII Brownian Motion
where the partial derivatives are evaluated at [w(t), r]. Thus it is plausible
that ti must he coparaholic and that conversely the process tt[tr( ), ] is a
martingale in some local sense if iu is coparabolic. Equivalently, u com-
pounded with space-time [cotime] Brownian motion is a martingale in some
local sense if and only if ii is parabolic [coparabolic]. In particular (if u is
a function of the space variable), a function u on R" composed with Brownian
motion is a martingale in some local sense if and only if u is harmonic.
The results suggested in this section will be formulated rigorously and
proved in later chapters
Chapter VIII
1. Notation
Let be a Brownian motion in IJB, defined on some probability
space (Q, .F, P). It is supposed that is right continuous and that ,F(0)
contains the null sets. The Ito integral !{, ¢ dw will be defined for stochastic
processes in the space IF of not necessarily adapted to F(-) real processes
{ Ib(t), t c l } with the following property: there is a progressively measurable
process depending on for which
)=
r'2dist(.0,Eu21jo. 1.0 -,I2ds}. (1.5)
plim f (1.6)
n- o
for all finite t, and there is convergence in the I' metric if and only if (1.6)
is true for t = + oc. Here 0.(-) and are chosen to be progressively
measurable members of their equivalence classes, in t or r as required.
There are sometimes formal advantages in having members of r defined
at the parameter value + oo. This can be effected for our purposes by defining
¢(+oo) arbitrarily, by defining ffl(+oo) = F, and leaving the r, F and r2
metrics unchanged.
Observe that if 0 is a bounded member of r, then is in I' or i'
or r'2 if is. A useful special case is ii(-) = 1sT, defined as the indicator
function of the stochastic interval IS, TD.
As usual the definition of an integral is first given for a simple linear
class of integrands. In the present context this class, a subclass of 1'2, is the
class r'o each of whose equivalence classes contains a process defined
as follows. There is a finite set 0 < t, < < tk < + oo and corresponding
bounded random variables f, , ._f, f, such that f is F(:) measurable and
that
2. The Size of ro 601
0 if tSt,,
0(1) = if t;_, < 1:5 1,, 2 < j < k, (1.7)
0 if t > tk.
2. The Size of ro
Lemma. The set ro is dense in r, r, and F. in the metrics of these spaces.
>V(t) ifl41(t)lSnandt5n,
0 otherwise.
ift< m
<t5 J, 1 <j5nm,
ift>n.
The process is progressively measurable, I4'. 1 < n, a ro, and
lim,,,-. in the r metric because there is bounded 1, almost
everywhere sample function convergence. This completes the proof of the
lemma for the r metric and the proof of the lemma is concluded by the
observation that for 4(') in r or 1-2 the convergence assertions in the above
proof are also valid in the metric of the space f or r2 as the case may be.
602 2.V11I. The Ito Integral
a.s.
0 0
The space F" is the subset of r' for which almost surely lim, x(t) = x(+ oo)
exists and is finite. The I" metric is defined by strengthening (3.1) to
rZ E"2{ ,<+
sup I x(t) - y(t)I2}. (3.3)
OD
The spaces r', 1", and rZ are complete in their metrics. When 4'(')e r, the
integral !o 0 dw = x(t) will be defined for 0 5 t < + oo [or 0 5 t 5 + oo if
¢(.)e r] and will have the following properties.
(a) x(0) = 0 almost surely, and a version of x(t) can be chosen for each
t in such a way that E F. In the following it will be assumed that
is so chosen.
3. Properties of the Ito Integral 603
Then
4dwl'I-a2E{Js I4,I2dc}
EIl
and the process {x(T A (S + t)), F (S + t), 0 < t < + 001 is an almost surely
continuous martingale. If and in t satisfy (3.7), then
For in r define
a nd
as will be seen in Section 12, Example (b), by means of Ito's formula, but
the special case (3.16) will be needed before Ito's formula is derived.]
E{x(tt) I.F(tt_ 1) }
0 = x(0) ifj = 1, (4.2)
E{ ym(r)I'F(i _1)}
I = y,,(0) a.s. ifj = 1,
y,,(tt-1)E{exp [I--t (K'(tt) (4.4)
Now f_, and w(l) - w(tt_,) are mutually independent, and whenever z
is a normally distributed random variable with mean 0 and variance a,
E{exp(az)} = exp(a2(x/2). Hence the right side of (4.4) reduces to y'y(tt_,).
Thus { is a martingale, and it follows repeating an argument
just used that {y,,(-). F(-)) is a martingale.
606 2.VIII. The Ito Integral
P{supl+o4dwI>_ <2e
j+ 2 JJ42ds} (5.2)
Proof of Section 3(c). (cl) In order to prove (3.4) either for in r' with
T < + o0 or for in r with T :g + oc, it is actually sufficient to prove (3.4)
for T bounded. In fact, if (3.4) is true for T bounded, then for general T,
Thus (3.4) is true. From now on in the proof of (3.4) we shall suppose that
T is bounded and that 4(() is in F.
(c2) If (3.4) is true for the optional time it is true for T because
loT(')4(') in the F metric and lim, x(T)
almost surely.
(c3) Proof of (3.4) for in r,. According to (c2), it is sufficient to
prove (3.4) with T replaced by At the possible cost of modifying the
representation (1.7) of we can suppose that t. includes the values
{j2-",je7L+} in the interval [O,tk]. Finally by linearity of the map
1o 0 dw it is then sufficient to prove (3.4) for given by (1.7) with k = 2.
That is, we now suppose for f the indicator function of the .(t,) set
{ [T] > t, } that
(0 ift<tl,
jl j if t, < t < 1Z, (6.3)
0 ift>l2.
This process is in 1,0, and the definition of the integral for an integrand
process in r70 makes (3.4) trivial in this case.
(c4) To prove (3.4) for arbitrary in F, let n e Z') be a sequence
in F0 with limit in the F metric, and define $o 0 dw. According
to (c3),
J
608 2.VIlI. The Ito Integral
lira
n-n; IoT(')On(') = lor(')O(')
in the r metric; so
Proof of Section 3(f). Suppose first that S=_ 0, T=- + oo and that (3.7) is
true. Then is in r2. Let be a sequence in r0 with limit
in the r2 metric, and define xn(t) = f o 0. dw. Then lim"-,,
in the r2 metric; in particular,
Since the process {xn(t), ,f(t), t < + oo } is a martingale, it follows that the
limit process is a martingale. Moreover
E{ Jx(+oo)12} r
= a2E I0I2dsl
Jo J)
because this equation is valid for and 4"(-). In the general case of
Section 3(f) if we apply what we have just proved to we find
[see (3.5)] that
is a martingale and that (3.8) is satisfied. Equation (3.9) is obtained from (3.8)
as usual by polarization. Since the martingale (6.5) is almost surely contin-
uous and right closed, the process remains a martingale when t is replaced
by S + t; so the process {x(T n (S + t)) - x(S),.F(S + t), t < + ao} is a
martingale; equivalently, {x(T A (S + t)),.F(S + t), t < + x j is a martin-
gale.
6. Proofs of the Properties in Section 3 609
Proof of Section 3(e). We prove this property using Section 3(f), just proved.
For in t and a > 0 define
li m f f cbdw
o Jo
in the r' metric; so p li1n,, ym1(t) = y(t) for each t. The process { y,,.(-),
.fl-)J is a positive martingale, and an application of Fatou's lemma for
conditional expectations shows that { is a supermartingale.
a2
y4(t)`=y,, (t)tweXp[cCoc - 1) 2 J I#12dS]
(6.7)
o
(6.8)
Hence
E{I yam(t)I`} S lim E{Iyam"(t)i`} :5
n-W
2 I0loriIzds5a
0
Proof of Section 3(l). It is sufficient to prove (3.15) for in I'o and specified
by (1.7) with k = 2. In this case when t, < t S tz, the left side of (3.15) can
be put in the form
l
In view of the fact that
E{ze°=} = aae°''1z
O dw = 4ot dw°°.
o i o
612 2.VIII. The Itb Integral
The spaces I-', r', r2 defined in Section 2 are used below, with the same
state space R. It is left to the reader to check that at most minor modifications
of the proofs in Section 6 show that (a)-(1) in Section 3 are valid for N,-:t I
under the following conventions. In (3.9) the integrand ¢4/ is to be interpreted
as the inner product E; Ou'Viu1. In Section 3(l) y is to be interpreted as a
vector; the right side of (3.15) is to be interpreted as the inner product of
the vector y and the vector-valued integral; (3.16) is to be interpreted
correspondingly.
z = E{z} + f ¢ dw a.s.
0
If (b) is true then under the hypotheses of (a) define as the almost surely
continuous martingale and then apply (b) and the condi-
tional expectation continuity theorem to find that
so
i
0 = E{z(I) jf" dwl.F(s)} = E{z(t) J0dwI(s)}_ z(s) Es 0 dw a.s.
m
Ir{znv,.(Sj) ,0<St <S2 < ...
ll
and proceed as above to find that E{zlw(s,)} = 0 almost surely for every
finite subset .s of R+ and therefore for a countable dense subset of R'
(conditional expectation continuity theorem). Hence by the almost sure
continuity of Brownian motion E{zlw(s),se R) = 0 almost surely, equiv-
alently F_ ; z Y E a .f(s)) = 0 almost surely, and since z is by hypothesis
YEtt..f(s) measurable, this vanishing conditional expectation is almost
surely
9. A Change of Variables 615
9. A Change of Variables
Review of the Inverses of Monotone Functions
The process IS., -fl-)) is an adapted process whose sample functions satisfy
condition M. The filtration is right continuous, and 9(0)
contains the null sets. Moreover {.S 5 r} e 9(r) in view of (9.1) and the
right continuity of Hence each random variable S, is optional for
Furthermore .fi(t) c .*(S,) for all t; that is, if A e9(t), then A n {S, 5 a} e
F(a) for all a, equivalently,
for all at and P. In fact (9.2) is trivial if t > fi, whereas if t 5 fi, all the sets
in (9.2) are in .f(fi).
JS,lo(s)12ds
(9.3)
0
Extension to N > I
is only true almost everywhere for each t [which implies that (9.3) is true
almost surely simultaneously for all t.J
JA(t)
Application (a). If N z 1 and if 101 = I in Theorem 9, then S, = t, _
.F(t), and w(t) = Yo 0 dw. We leave it to the reader to show that in this case
whenever * e t (state space R) and (0¢) is the scalar multiple of the vector
0 by 0. More generally, if M(t) is for each t in R' an N x N orthogonal
matrix-valued random variable and if the component processes of are
in r, then the vector process {Jo M dw, is an N-dimensional Brownian
motion with parameter value o2.
Application (b). (N,2: 1) Let be a real vector process in r, and
define
00(t, w)
if 100(t'(0)l 0- 0'
(N-u2 .. , N-112) if 0.
JIoId=Jodw
r r
a.s.
o, 0
(fi(t) if t:5 k,
k(t) =
(1,...,1) ift>k,
Tka = inf it :
I
rkl2 ds Z a}, xk(t) = Jo, Ok dw.
2 J 0r
618 2.VI11. The Ito Integral
limtEi If[w(s),s]-f(s)l2dr}=0.
-W o
Thus to prove (10.1) for a = fi in the L2 limit sense for f bounded it is suffi-
cient to prove
When the indicated square is multiplied out, each term has the form
tah - 2 n t)(Akn
f(j-1)nik-1)n(ejn (a)Z
- 2-RI), j <- k.k
If j < k, the last factor is a random variable with expectation 0 and is inde-
pendent of the other factors. Hence the expectation of the term vanishes.
The terms with j = k yield
1 z"
The sum on the left side of (10.1) for a = fi differs from the sum with f
replaced by gm on a set of small probability when m is large. It follows that
(10.1) for a = fi is true as stated.
To prove (10.1) for a: fi with the limit in the L2 sense for If I bounded
by c, observe that (for o = 1)
11f n n
2 2
(a) (B) 21S 2 (a11 (1)'j (10.5)
E1 Y_ jU-I)nejn ejn = Y EIIjU 1),,J ejn ejn
l j=1 1 j=1
22"`
< C2 L f E{Aj(.)2Ar.)11
=2 -n,.212 ~ 0 (a
j=1
An application of the Borel Cantelli theorem yields Levy's theorem, that is,
2n
lim Y A;n = o2t a.s. (10.7)
n_ j=1
620 2.VIII. The Ito Integral
and
0(0) if t = 0,
¢R(t) _ 0(t1-,) if t1_, < t 5 t1, J 5 n,
0(t) if t > b.
Proof. (a) Under the hypotheses of (a) the usual reasoning in the discussion
of the Riemann integral yields
b
lim 1¢R-0I2ds=0 a.s.;
6(m)- O
fo
so lim j(,.o r dist (¢R, 0) = 0, and since the map 0 dw is continuous
in the (T, n pair of metrics, it follows that (11.2) is true and even that
(11.4)
rs o
12. Ito's Lemma 621
f 1.0. dW 121 =
IIJ¢d/+ - UzEll I.0 -.0.12T
E o o
(11.5)
5 azb sup E{14(t) - 4(s)Iz}.
It-zIsb(.1
Oss,tsb
Therefore (b) is true, and in fact (11.4) is true as an LZ limit because the
map Jo 0 dw is continuous in the (I'z, I'z) pair of metrics. o
Integration by Parts
If is in t and if the restriction to the interval [0, b] of almost every
sample function is right continuous and of bounded variation, then
where for almost every point co of the basic measure space the integral on
the right is the Riemann-Stieltjes integral J w(s, w) d,4(s, w). In fact the
hypotheses of Theorem 11 (a) are satisfied, and the sum in (11.1) is equal to
n
w(b)O(b) - w(a)O(a) - Y w(t) [O(t) - 0(t;-1)], (11.7)
!=1
which almost surely yields the right side of (11.6) when S(ic) -+ 0.
_ au au
u,=anu,' azu
uO at ' uri=aq(;,aqu,
exist and are continuous. Before proving Ito's lemma we prove an important
special case: simultaneously for all t e R',
N r a2 N f0t
u[w(t), t] - u[w(0), 0] = uo ds + Y, 1 ua dw(a)(s) + 2 Y u. ds
o a=1 o a=1
or N r
(12.1)
= Au ds + f ua dw(a)(s) a.s.
a=1 Jo
622 2.VI11. The Ito Integral
du = du dt + Y ua dw(a', (12.1')
a=1
and from now on relations like (12.1) will sometimes be written in the
corresponding differential form. It is sufficient to prove (12.1) to be valid
for fixed t because each side of (12.1) is the tth random variable of an almost
surely continuous process. Fix t and denotej2-"t by sj". so that
2n
u[w(t),I] - u[w(0),0] = Y {u[w('sjn),sjn] - u[W(sjn),S(J-I)n]j
j=1
(1221
2"
+ E {u[W(sjn)'S1/- lln] - u[w(Sti- lln) S(i- 1)n] If -
j=I
The jth term in the first sum is u0[w(sj"), sj"]2-"t up to an error which for
each continuous Brownian motion sample function is uniformly o(2-") as j
varies and n -+ x. Hence the first sum in (12.2) has the first integral in (12.1)
as almost sure limit when n - oo. The jth term in the second sum in (12.2)
is, if ej(n) = Nrlal(sjn) - W(a1(S(j-1).)'
N N
ua9[w(s(j-I,),s(j-!),,]A1")ej(n)
2 (12.3)
a-I a.p=1
Localization
(12.1) is almost surely valid for t < S in the sense that if Do is an arbitrary
open relatively compact subset of D and if S0 is the hitting time of aD0 by
then (12.4) is almost surely true on {w(0)E Do} if i is replaced by t A So.
To see this, let u0 be a L(2)(R') extension of the restriction of u to Do. Then
an application of (12.4) to u0 with t replaced by t n So gives the desired
result.
We now turn to Ito's lemma. Let u and be defined as at the beginning
of this section. Let M be a strictly positive integer, and for I < m 5 M and
1 < n < N let and Wm be processes in r except that the integrability
requirement for Y'm is weakened: it is supposed only that almost every
sample function is integrable over finite intervals. Define
x"'(.)]
by
N r ,{{,
where dx(m) dx(") is to be interpreted as the formal product under the convention
so that
dx(m) dx(") = a2 j
a=1
0. W,,//,naA
It is sufficient to prove the lemma for ¢ and i/i in I70, given by representations
of the form (1.7) with a common partition :
0(t)=''(t)=0 if t<t,,
00) =4-1' 0(t)=gg_1 if t;_, <t<t;,25j5k,
0(t) _ P(t) = 0 if t > tk.
624 2. VIII. The Ito Integral
In the interval [0, tl] the evaluation (12.6) is trivial. In the interval ]t1, t2]
du=uodt+u1J1dw+u,g,dt+ 2
which agrees with (12.6). The verification of (12.6) on the remaining inter-
vals ]t;_,, t;] is similar, and the verification on ]tk. +oo[ is trivial.
J¢dw+ tyds
0
with 0 and t' as described above form an algebra. In fact, if dx; = 4., dw +
t1 dt,
EXAMPLE (c) (N z 1). Recall (Section 1.XV.3) that the space-time Hermite
polynomials are coparabolic and satisfy I.XV(3.8). Define ft.,_. N; as
H,,,11 .... , with
m;-8i; ifmm>0,
m;
to if m1=0.
13. The Composition of the Basic Functions of Potential Theory with Brownian Motion 625
Then
N
mN[w(t),1] = Y
!=t
Thus in the stochastic calculus based on the Ito integral the process
{Jim ..,mN[w(t),t],teR+} plays the role of the product of powers mt,...,mN
of the coordinate variables.
E{ f0lgradul2dsj<+oo (13.3)
TQ=inf t JIrz(s2= a ,
fsoIJ
0
[Z(s)]I2ds,
0
since w(t) - w(s) is independent of F(s) for s < t. The second process is a
martingale when N = I and therefore when N Z I because s < t implies that
The third process is a martingale (for any complex vector ') because if s < t
628 2.1X. Brownian Motion and Martingale Theory
(1.4)
yields
N
E{expi «, v(t) - w(s)> 19(s) If = exp [_2(( - s) ?
2' a.s. (1.5)
= E{ws(S{)} (1.6)
which implies
P{w4(S4)=b}=6-a. (1.8)
I. Elementary Martingale Applications 629
Thus the probability that a Brownian path from in ]a,b[ reaches the
boundary first at b is the solution of Laplace's equation on ]a, b[ with
boundary limit I at b and 0 at a. In other words in this elementary case the
distribution of at the first hitting place on the boundary is harmonic
measure on the boundary relative to the initial point S. This evaluation of
harmonic measure will be extended to the Borel boundary subsets of an
arbitrary Greenian subset D of R' in Section 13. That is, if trr() is an N-
dimensional Brownian motion from S in D and if S4 is the hitting time of
aD by try( ), it will be shown that S4 is almost surely finite when N = 2 and
that under the convention tr,(+ x) = oo when N > 2 the harmonic measure
evaluation (I.8) generalizes to
PIw,(SS)EAi
Hf(S) = (1.9)
and therefore
No2E{S } = Eflws(S4)J2}. (1.11)
a2NE(S4)=f
p
- J
aD
(1.12')
T2 A tl
1 = E{exp [YW(TA t) - y2a2 (1.13)
D.
Take y real and strictly positive, so that the integrand is at most exp (ya).
When t - + oo (1.13) becomes
that is
This equation specifies the distribution of Tby way of its Laplace transform.
Ito integral and incidentally gain insight into the space-time Hermite poly-
nomials. Since every space-time coparabolic polynomial is a linear combina-
tion of space-time Hermite polynomials, it is sufficient to consider these as
defined in Section 1.XV.3 by
ao
(1)m, (N)mN
n,, ...mN(7),
n=o m,+- +mN=n m(1 ... mNl
Y_ Y_
(2.1)
(1)m (N) N
yr(t) _
} m1(... MN!
H.,...mN[u'(t)] (2.2)
N
and by 1.XV(3.9) (if n = m1 + + mN)
For fixed y and t the series in (2.2) is a series of orthogonal random variables
with mean square limit sum yr(t). Thus integration to the limit with respect
to the probability measure is legitimate. Now the process
is a Brownian motion with variance parameter j'I2 a2 ; so (Section 1, Example
M3) the profess { is a martingale. The validity of the martingale
equality for this process is an identity in y and implies the validity of the
martingale equality for each process {Hm and each of
these processes is therefore a martingale. The L2 martingale maximal in-
equality (Theorem III.11) together with (2.2) implies that for b > 0
(N)N
j ,(1)m
ao
E sup' yr(t) - Hm, mN [H (t)]
)Sb n=k m,+ +mN=n m 1 ... MN!
5 4(2na2t)N12 (ldZa2t)n.
n=k n
632 2.1X. Brownian Motion and Martingale Theory
This inequality implies that almost surely the partial sums in (2.2) converge
uniformly for t < b, ft 1 < b, for each pair b, b, .
Harmonic Polynomials
JN i(t,
(3.1)
(27Za21)-N12 nN j exp -r L(Iu+,r,S)rN-' dr < +oo.
2 721
Ju
f(t,-,tc) (3.2)
3. Superharmonic and Harmonic Functions on R" 633
(3.3)
_ (27ra21)-NIA (u, 1,C) + L(u, 1,C) < +oc.
Application to Potentials
ff
,1 R=
At, C, q)12WO filly-0:5 log I 1 - CI -5 (dC)
I
(3.4)
<- (27ra21)-1 f µ(dC) f log 11 - CI-'12(d7)
,1 a2 Jlle clstl
(4a2t)-1µ(R2)
_ < +oc.
fa2
logMn-Clµ(dC)
-C112(di1)+(4a2t-1u(R2)
f p(dC)JRz 1n
.R {fit =
p(Q82)
= Jlog [a + I - CI ]u(d() + (4721)-'
the last line is finite because the potential of the projection of u on the
exterior of B(5, a) is harmonic on that disk and so is finite at g.
Parabolic Context
We have seen in Section VI1.6 that almost every path of a Brownian motion
in 11 hits every point of R at arbitrarily large parameter values. When N > I
we shall now show that almost no path of a Brownian motion in Q8' hits a
specified point q of Q8" at a strictly positive parameter value. It is sufficient
to consider Brownian motions from a point of Q8N. The function u = G(q. )
is superharmonic on 118" with value + x at q. This function is positive when
N > 2 and satisfies the integrability condition (3.1) for every point (q not
excluded) when N = 2. If is a Brownian motion from f. the
process ; is therefore a supermartingale except that the param-
eter value 0 is to be excluded if S = q. This supermartingale is almost surely
continuous, so (Section IV. I) almost every sample function is finite valued.
Hence almost no path ever hits q except when = q and the parameter
value is 0. It follows that if N > I and if A is a countable subset of 68",
almost no path of a Brownian motion ever hits A at a strictly positive param-
eter value. This result will be extended to polar sets A in Section 5.
4. Hitting of an F, Set 635
4. Hitting of an F. Set
Let A be a subset of R", and let A) be the probability (if this probability
is defined) that a Brownian motion from hits A at a strictly positive time.
The function A) is defined and Borel measurable if A is an F. set (Section
VI.6), defined and universally measurable if A is an analytic set according to
the same section. We suppose that A is an F. set in the present section to
show how far one can go using relatively elementary methods. See Section 9
for A analytic; such generality will not be needed in the application to be
made in Section 5.
Parabolic Context
Proof of (c). Let B be a disk, and let B) be the probability that a Brownian
motion wt(-) from ever hits B. According to Section 4, the positive function
B) is superharmonic on 982, and it follows (Section 1.I1.13) that B)
is identically constant, necessarily identically 1 because this function is 1 on
B. Thus almost every Brownian path from hits B at a strictly positive time.
Ifs > 0, the process {wf(s + t), t e 98+ } is a Brownian motion with initial
distribution the distribution of wt(s), and so almost every Brownian path
hits B after time s; that is, almost every Brownian path from a point of 982
hits B at arbitrarily large parameter values and therefore hits every disk
with rational radius and rational center at arbitrarily large parameter values.
Part (c) follows.
Part (c) implies that the cluster set of almost every plane Brownian path
as the parameter value becomes infinite is the whole plane. According to
Theorem 10 below, (c) is true with "disk" replaced by "analytic nonpolar
set."
Theorem 5 exhibits the special nature of dimensionality 2 in classical
potential theory. Dimensionality I is also special, for example, in that only
the empty set of R is polar; so Theorem 5(a) becomes trivial when N = 1.
Theorem 5(c) is almost as trivial because almost every Brownian path is
unbounded positively and negatively. On the other hand the cases N = 1, 2
are not special for the parabolic version of Theorem 5.
Parabolic Context
Theorem 5(a) is true in the parabolic context, that is, almost no space-time
Brownian path meets a parabolic-polar set at a strictly positive time. The
proof of Theorem 5(a) is applicable, and simpler in the parabolic context
in that the proof given above for N > 2 is valid in the parabolic context for
N z 1. The parabolic version of Theorem 5(b) is trivial: if is a space-
time Brownian motion lim,_. ord w(t) = - oo. See Section 15 for the hitting
of a parabolic-semipolar set by space-time Brownian motion.
See Section 8 for the converse theorem. The condition that u be excessive is
(a) GD(t, , u) 5 u,
(6.1)
(b) lim GD(t, , u) = 11,
t-o
and we show first that (6.1b) and the finiteness of GO, , u) follow from
(6.1a). For each point of D let be a Brownian motion in D
from , with lifetime S (Section VII.9); for example, this process can be a
Brownian motion in U3 killed at the hitting time SS of 8D. We can assume
that contains the null sets and that is right continuous. Since u
is lower semicontinuous and positive and is almost surely continuous,
Fatou's lemma yields
(6.2)
t-o t-o
and therefore (6.1 a) implies (6.1 b). The finiteness of GD(t, 5, u) follows from
(6.1 a) if co. If oe, let B be a ball with center S and closure
in D. The function tBu is positive and superharmonic on D, finite on B,
equal to u on D - B. Apply (6.1a) to tBU to find that
in view of the fact that u is IN integrable over B. Thus to prove the theorem,
it is sufficient to prove (6.1a).
In the following proof we refine an example given in Section VIA. Let
Bu(ry) be the ball with center p in D and radius e A (In - 8DI/2), in particular,
of radius a if D = pN. Choose a point q at which u is finite, and define
{u[w{(t)]; t E R+ }
Parabolic Context
Theorem 6 and its probabilistic interpretation and proof translate directly
into the parabolic context except that balls in the proof of Theorem 6 are
to be replaced by intervals.
640 2.IX. Brownian Motion and Martingale Theory
J (W(fIE R'-S)
dP = J
v -B
e(t, ) I -
f uz[w(t)]dPS f f(t. 2 - oI 13 (d )= 3I 2
JIw(1)EBI JB \ \ /
(b) lim, u[w(t)] = 0 almost surely because [by Theorem 5(b)]
lim,_,,w(t) = co almost surely.
(c) Choose 6 < and let Td be the hitting time of S) by w(-).
Then, under the convention that u[w(+ec)] = 0, the process
and therefore the process in (e) is a potential which in view of (c) is a local
martingale and as such (Theorem V.12) is singular.
(h) The process in (e) is not in the class D. In fact, if this process were
in D, we could go to the limit (h -+ 0) in (d) to find, since
lim P{u[w(TT)] = 0} = 1,
S4 =sup{t>0:w{(s)eDfors<t},
and let u be a positive superharmonic function on D with potential, singular
harmonic, and quasi-bounded harmonic components. respectively, up, urns, and
u,,,gb, so that u = up + urns + urngb. Then
642 2.IX. Brownian Motion and Martingale Theory
(b) The processes A,(-)) and A,(-)) are almost surely right
continuous supermartingales except that the parameter value 0 is to
be omitted if +oo. (The second process will be shown in
Section II to be almost surely continuous.)
(c) If u = up or u = u,,,s, the limit in (a) vanishes almost surely. I fu = u,,,qb,
the process A,(-)) is a uniformly integrable martingale.
(d) u,,,qb() = E{lim,tssu[wt(t)]}.
when 0 < s < 1. Furthermore, for each parameter value t, x;,4(1 A S.4)=
x,(1) almost surely. Apply Fatou's lemma for conditional expectations
in (7.2) when n -a oo to find that the almost surely right continuous process
is a supermartingale. (According to Theorem I I below, this
process is actually almost surely continuous.)
Proof of (c) and (d). Denote the expectation in (d) by The supermar-
tingale inequality for at the pair of times 0, + oo yields u Z u'. The
reader is invited to prove, without analytic set theory, that u' is Borel mea-
surable. It follows from the general theory in Section VI.6 that u' is univer-
sally measurable, which is all we shall need. If 6) c D and if T is the
hitting time of S) by the strong Markov property of Brownian
motion implies that w,(T+ ) is a Brownian motion with initial distribution
the distribution of w,(T), the uniform distribution on 6) in view of the
spherical symmetry of a Brownian motion about its initial point. Hence
This vanishing can be phrased in various ways. For example, in view of the
Riesz decomposition of a positive superharmonic function u on a Greenian
set D the function is a potential if and only if GMDU = 0; equivalently
(Section 1.VIIl.1I), when B is an increasing sequence of open relatively
compact subsets of D with union D, the positive superharmonic function u
is a potential if and only if
U(O
The function u is positive and harmonic on D and has limit 0 at every bound-
ary point except i ; so although u is not a potential, u has limit 0 along almost
every Brownian path from a point of D to the boundary.
8. Excessive and Invariant Functions for Brownian Motion 645
Parabolic Context
Theorem 7 and its proof translate directly into the parabolic context.
Observe, however, that "right continuity" will not be strengthened below
to "continuity" in the parabolic context. That is, if u is a positive super-
parabolic function on an open subset D of AN, then the parabolic context
analog of the process is almost surely right continuous but not neces-
sarily almost surely continuous, as shown by an example in Section 12.
See Section 6 for the (partial) converse theorem. It can be assumed in the
proof that D is connected. Suppose first that u is excessive continuous and
bounded on D, and let be a point of D. Then if is a Brownian
motion in D from and if is defined by (7.1), the process
is an almost surely right continuous supermartingale. If b) c D and if
T(S) is the hitting time of 6) by the Brownian motion, the supermartin-
gale inequality for times 0 and T(S) yields the superharmonic function
inequality u(a) >_ L(u, , c) because ws(T(cS)) is uniformly distributed on
(S) (spherical symmetry of Brownian motion about its initial point).
Hence u is superharmonic. In the general case define
,In
r2r)-Nl2 I
D(t, . p)IN(dry) < (27r
and therefore tends to 0 when t -+ + oo. The first integral in (8.2) increases
to L(u. , <i) when t + oo. and since u is locally IN integrable, it follows
that u is harmonic, as asserted.
Parabolic Context
EXAMPLE (c). Let be a Brownian motion in IIi' with parameter set 118,
and let u(-, s) be the distribution density of v(s) relative to IN, as defined in
Section V11.2. Equation VII(2.3) satisfied by a shows that a is invariant
excessive for space-time Brownian motion; so a is parabolic on 6FN. Con-
versely, direct calculation shows that a minimal positive parabolic function
on RJ' . given by I.XVI(8.I ). is invariant excessive for space-time Brownian
9. Application to Hitting Probabilities and to Parabolicity of Transition Densities 647
Since [notation of VII(10.3)] j4'4(1'4) - rij >- I8D - ry'1, the last term in
VII(10.3) defines a bounded function of g. It follows that c = I and that the
last term in VII(10.3) defines a parabolic function of in D. In Section 17
we shall show that t`j = G6, that is, the last term in (9.1) vanishes identically.
648 2.IX. Brownian Motion and Martingale Theory
Theorem. (a) Let be a Brownian motion in R2, and let A be a plane set
which is not inner polar (for example, A may be analytic and nonpolar). Then
almost every path hits A at arbitrarily large parameter values.
(b) If a plane open set D is Greenian, almost every Brownian path from a
point of D hits the boundary. If D is not Greenian, almost no Brotvnian path
from a point of D hits the boundary.
wx(b - t)
wA(0) + w2(t) - wA(b) if t > b.
[0, h [. Hence (under the present hypothesis that n. = IN) for every h > 0
almost every process sample function is continuous, where defined,
on the parameter interval [O,b[ and therefore on R. Referring back to
Section VI.6 again, it follows that for IN almost every in R' this sample
function property holds for when I is supported by and therefore
holds for when ), is absolutely continuous relative to 1N. If now
is a Brownian motion in RN with an arbitrary initial distribution and
if r > 0, the process w(r + ) is a Brownian motion with an initial distribution
absolutely continuous relative to IN. The theorem follows for parameter
values >_ r and therefore as stated.
Parabolic Context
According to Section 7, if s is the parabolic context version of the process
defined in (7.1), the process is an almost surely right continuous
supermartingale except that the parameter value 0 is to be omitted if
x.. It follows that except possibly at the parameter value 0, the x )
sample functions are almost surely finite valued with finite left limits. It is
left to the reader to check that more generally if a is any superparabolic
function on an open subset of A" and if is a space-time Brownian
motion on 68N, then except possibly at the parameter value 0, almost every
sample function (where defined) is finite valued and right continuous
with finite left limits. As the following example shows these sample functions
need not be continuous.
E{f[wt(S{)]), (13.1)
This equation is trivial on the set IS, 5 11. On the complementary set
S > t; the Markov property of Brownian motion implies that the right-
hand side of (13.3) is almost surely E{ f [ws(S4)I w4(t) }. Since the process
is a Brownian motion with initial distribution the distribution of
this conditional expectation is the expectation of f at the first hit of DD
by a Brownian motion from v4(t). In view of (a) this expectation is almost
surely H f[ws(t)]. Thus (13.3) is true and shows that is an almost
surely right continuous martingale, uniformly integrable because it is right
closed, a family of conditional expectations of a given random variable.
Since this martingale is almost surely right continuous, it must almost surely
have left limits at all points, so the limit in (13.2) exists. (Alternatively apply
Theorem 7 as in the above observation to obtain the existence of this limit).
To identify the limit as .f [w4(S4)], we can apply Theorem VII.4 which states
that an almost surely right continuous martingale relative to a suitably
defined filtration of a Brownian motion is almost surely continuous, but we
can also give the following more elementary direct proof. Observe that in
the notation of the proof of Theorem 7 it is clear that ws(Sk4) is Y" # (S.4)
measurable for all k: so lim, _ wt(Sks) = ws(S4), and therefore also f [w4(S4)]
are Y; measurable. It now follows from this measurability and the
conditional expectation continuity theorem that
Parabolic Context
Theorem 13 translates directly into the parabolic context with no change in
proof.
14. Probabilistic Evaluation of Reductions 653
that is,
P{w,(TA)eB.T4 (14.2)
R1()=P{T'4 (14.3)
lim u[ww(s)]
SfSS
exists almost surely, and we define v [wf(1)] for SS < t < + oo as this limit,
so that (Section 7) fir( )} is an almost surely continuous super-
martingale. Let A be a Borel subset of D, and define ,4 = { (t, a)): wt(t, w) a A}.
The set A is nearly predictable because is a nearly predictable process.
In the classical context R' is a positive superharmonic function on D, and
we define
and in particular,
P{ TB = 01 = 1 (15.1)
Parabolic-Fine Topology
induction, defining T,+, < T,,+2 < . Observe that E{T} = E{T,+, } if
and only if T, = c almost surely; so there is a countable ordinal ), such that
T. = c almost surely, and it follows that almost every path meets A
at most countably often in the parameter interval ]0, c[, as was to be proved.
Since (Section I.XVIII.12) a parabolic-semipolar set is also coparabolic
semipolar, a parabolic-semipolar set is a countable union of Bore! sets
which are both parabolic thin and coparabolic thin at every point of AN,
so we could have supposed in the preceding proof that A has this property.
Under this hypothesis on A it follows easily that P{ U , { T. = c } } = I in
the preceding proof: so transfinite induction could have been avoided.
IK'(t)I
limosup (2a 2tlogllogtl)1!2 I a.s. (15.2)
r- =
almost surely for all sufficiently small strictly positive values of t, depending
on the Brownian path. but when c = 1, there are almost surely arbitrarily
small strictly positive values oft for which there is equality in (15.3). This
result is a restatement in probability language of the significance of Section
1.XVIII.6. Examples (d) and (e). To see this, observe that on the one hand
according to Example (d) when c = 1, the open set
e-°`bD(1, , u) 5 u
1) = -e'A°u(?I)
at (PI, t).
If u is an arbitrary not identically +oo a-excessive function, the decom-
position iu = UUp + cimgb + u,,,s of the positive superparabolic function ti into
its potential, quasi-bounded parabolic, and singular parabolic components
is invariant under a translation (q, 1) r (q, t + c). Hence, if ti is any one of
the above three components,
E{e- 4f [w4(SS)] r
Theorem. Let b he a nonempty open subset of C8", and let tri be the transition
density of space-time Brownian motion in D.
662 2.IX. Brownian Motion and Martingale Theory
(a) n) = 0-
(b) in particular, if D = D x OB with D a Greenian subset of j N and if
I'D is the transition density of Brownian motion in D, then (,(t.
61)W- s),(q,s- t)).
Proof. (a) Assertion (a) is true if b = IFB' because then both sides of the
equality in (a) reduce to f(s - t, , n). In the general case (, is given by
VII(10.3), and according to the probabilistic evaluation of parabolic measure
in Section 13, equation VII(10.3) means that for fixed n', p(5,>7) is equal
to/'(.v - t, , n) less the parabolic Dirichlet solution on D at for the boundary
function i( - t. , n) (defined as 0 at the point ao if b is unbounded). Since
Gr, can also be expressed in terms off in this way (Section I.XVII1.1). (a)
is true.
Assertion (b) is a specialization of (a) requiring no separate proof. 0
for a,% as specified in that section. We shall now sketch how (17.1) can be
derived from the probabilistic definition of iD in Section V11.9 without
using the potential theory derivation. Observe first that for N z 3 equality
(17.1) follows from the evaluation of iD in VII(9.5). In fact (17.1) is true
if D = R', in which case iD = i, and on integration V[I(9.5) becomes
iD(t,s.n)lt(dt) = p. (17.2)
in view of the fact that has distribution µD(5, ). The bracketed quantity
was identified with n) in Section 1.VIII.3. When N = 2, first let D
he a half-plane D. We have evaluated GDa in 1.XVII(18.3) and in VII(9.8)
18. Excessive Measures for Brownian Motion 663
we have evaluated the Brownian transition density from the origin as initial
point for a half-plane not containing the origin. This evaluation is easily
adapted to give the expression 1.XVII(18.4) for the transition density of
Brownian motion in a half-plane. Equation (17.1) can now be verified for
D = D. When D c D, the evaluation
derived as VII(9.5) was, is then integrated to prove that (17.1) is true for
D c D+, and therefore surely if D is an arbitrary nonempty open bounded
plane set. Hence, applying this result to each member of an increasing se-
quence of bounded open subsets of an arbitrary Greenian set D, with union
D. yields (17.1) in the general case when N = 2. The case N = I is treated
similarly. Observe that the above argument when N Z!: 3 is simpler than the
argument given in Section I .XVII.18 because parabolic measure is available
in the present context.
Application to Energy
for all s > 0, t > 0, n e D. Hence for fixed the left side of (18.3) increases
as t decreases. Define u'(n) as the limit of this left side when t -+ 0. Then
u' S u !N almost everywhere on D, and there must be equality IN almost
everywhere because the left side of (18.2) has limit u(A) when t - 0. The
function u is uniquely defined up to an IN null set, and we now replace u
by u'. This change does not affect the left side of (18.3); that is, we now have
u' = u, and u is obviously excessive. Conversely, if u is a t -excessive function
and is not identically + oc, that is, if u is a positive superharmonic function
on D, then u is locally IN integrable, and using again the symmetry of GD(t, , ),
we find that
with the obvious convention for uncountable sums. In the following "mea-
sure on !P" refers to a measure defined in this way, but we make no hypotheses
on the finiteness of ti or of t) on any class of sets. A measure µ on I
is Go-excessive if and only if whenever A e b,
Here A depends on it = (?I, t), but in view of the parabolic version of Lemma
1.X1.8 we can choose A so that (20.1) is true for , in a countable dense
subset of D x ]0, +oo[. The parabolic context Harnack theorem now
implies that (20.1) is true for all 7 in this product set and that the convergence
is locally uniform so the function h --+GD(t, (, q) is parabolic on this product
set. Finally we show that GD(t, C") is the distribution density of w'(1). To
see this, observe that if f is a continuous function on D with compact support,
lim
S-0 D
GD(t - s, w'(s), i) = I
D
GD(t a.s.
(20.2)
in view of the fine limit result we have just obtained. The integral on the
left is a version of E{ f [w'(t)]Jw'(s)}, and in view of the Markov property
of Brownian motion this conditional expectation defines a martingale for
0 < s < t, t fixed, and an application of the conditional expectation con-
tinuity theorem and the 0-1 law of Brownian motion shows that when s -+ 0
sequentially the almost sure limit of this conditional expectation is
E{ f [w'(t)] }. This fact combined with (20.2) shows that GD(t, C, ) is the
stated density. The corresponding result in the parabolic context is left to
the reader.
Chapter X
1. Definition
Let D be an open subset of RN, and recall that a Brownian motion in D
was defined in Section VI I.9 as an almost surely continuous Markov process
with state space D and transition density Go. The probability space on which
the process is defined may or may not be rich enough to extend the process
to be a Brownian motion in RN.
We now define a Brownian motion in D conditioned by an arbitrary
strictly positive superharmonic function h on D. If D is not Greenian, for
example, if N = 2 and 982 - D is polar, the definition yields nothing new
because then h is necessarily a constant function and conditional Brownian
motion reduces to Brownian motion. We therefore suppose below that D
is Greenian. Following Section VI.13, define D" = {h < + cc), and define
h(i7) if ( , 7) a D" x D
(1.1)
0 if ( ,7)e(D - D") x D.
Observe that the fact that h is GD-excessive implies that GD(t, , ) = 0 IN
almost everywhere on D - D" when e D". An h-Brownian motion in D
is a Markov process with state space D, transition density dD, and initial
distribution supported by D. After proving in Section 2 that there is always
a continuous process satisfying these conditions, we shall add to the definition
the condition that the process be almost surely continuous. It will be shown
that then almost no sample path leaves D". Thus a 1-Brownian motion in
D is what we have defined as a Brownian motion in D.
=GD(t'''h)
Ph{SS > t} Ph{Se = +ao} = lim (1.2)
h() ' 1^aC NO
The function ho = lim,-,o GD(t, , h) is an invariant excessive harmonic
minorant of h [Section IX.8, Example (a)]. Thus if h is a potential, the
function ho vanishes identically, so almost every h-Brownian path has a
finite lifetime. If h is a strictly positive superharmonic function on D which
is IN integrable over D, for example, if D is bounded and h is a bounded
function, then
(21t02)-N/2
P h {St-
hmt_N/2
h
= + ao} < f 0; (1.3)
n
so under these hypotheses almost every h-Brownian path has a finite lifetime.
If h is minimal harmonic on D, then ho = ch for some constant c, and since
ho is invariant excessive for eD,
t -Excessive Functions
Parabolic Context
The translation of the discussion in this section into the parabolic context
is left to the reader. Observe, however, that in the parabolic context an
example in Section IX.12 shows that the composition of a superparabolic
function with space-time Brownian motion, almost surely right continuous
with left limits, may have a dense discontinuity set which is the same for
every sample function.
A are defined in the same way in terms of sample functions as T" and
A" are defined in terms of sample functions, then
P"{A"n{S">T"}}= h[w(T)]
LIS>T)
Although we shall only need very special cases of (2. 1), its intuitive meaning
clarifies the subject so we prove (2.1) under very general hypotheses.
Case (a) of (2.1): T - t for some strictly positive constant t. Define a
measure Q` on the measurable space (el,.9 (t)) by
to obtain a measure space on which the process {w(s),s < tis almost
surely continuous. Suppose that 0 < i t < < t" = i and that A E $(D").
Define
and observe that M,, c IS > t{ and Mo a {S" > 1j. In view of the fact
that D - D" is polar and therefore IN null we can evaluate Q`(M0) in terms
of
Thus
the fact, which we shall not need, that for the class of pairs (M, M")
obtained in this way the class of sets M is the class of subsets of {S > t} in
the a algebra .F{w(s),s S t} and the class of sets M" is the class of subsets
of {S" > t) in the a algebra .{w"(s),s 5 t}.
Almost Sure Continuity of h-Brownian Motion. Equation (2.5) states
that the almost surely continuous process { w(s), s 5 t} under Qt has the
same finite-dimensional distributions as the process {w"(s), s 5 It
follows that the latter process has an almost surely continuous standard
modification and that therefore every h-Brownian motion in D from a
point of D", and more generally every h-Brownian motion in D with initial
distribution supported by D", has an almost surely continuous standard
modification up to the process lifetime. In more detail, what we have shown
implies that when t > 0 the restriction to the rationals in [0, t] of almost
every sample function is uniformly continuous and that for fixed s
Hence, if w'(s) is defined on C h for s < S" as the limit at s of w"(-) along the
rationals, w'(-) is the required almost surely continuous standard modifi-
cation of w"(-) and is itself an h-Brownian motion from . We refine our
preliminary definition of h-Brownian motion accordingly: from now on
an h-Brownian motion in D is any almost surely continuous up to (but not
including) the process lifetime process in D with transition density GD and
with initial distribution supported by D". In particular we assume from
now on in this section that w"(-) is almost surely continuous up to but not
including the process lifetime.
under Q` and the almost surely continuous process {w"(s),s S t}ilsh,t) have
the same finite-dimensional distributions, it follows that these processes
have the same probabilities of hitting an analytic subset B of D during a
specified parameter interval (Section I.12), and more generally the same
argument shows that the same assertion is true if the processes are restricted
to sets M and M", respectively, linked as described above. That is, if T [T"]
is the hitting time of B by then (2.6) remains true.
Representation of an Arbitrary h-Brownian Motion in terms of a Brownian
Motion. For t > 0 define a measure Q` on 3F'(1) by
h()
Q'"(M") = (2.7)
JMh(Sb>rlh[w(t)]
and note that QV'(M") = 0 if and only if P" { M" n {S" > t)) = 0. The process
{w"(s),s 5 1}1(s">,) under Q` has the same finite-dimensional distributions
as the restricted Brownian motion process jw(s),s S t}ils>ti. We can now
complete a full circle in the discussion : the integral
h["'"(t)]dQ'h
>
JMhSh>r)
whose value is P"{ M" n {S" > t} } when expresses wh(-) process
probabilities to time t under the side condition S" > tin terms of a Brownian
motion in D under the corresponding side condition. The important point
is that this Brownian motion and the h-Brownian motion involve the same
probability space and the same random variables; only the measures are
different. In particular, if u is a function on D, then for parameter
values < t is not only a function of under P" but also under Q",
and we can thereby deduce properties of u on h-Brownian motion from the
known properties of u on Brownian motion.
The following assertions are immediate consequences of the representa-
tion of h-Brownian motion in terms of Brownian motion that we have
obtained.
(a) If A is a polar subset of D, almost no path of an h-Brownian motion
in D hits A at a strictly positive parameter value. In particular, almost no
such path hits D - D".
(b) A superharmonic function r on D composed with h-Brownian
motion in D yields a process almost surely continuous up to the h-Brownian
motion lifetime with finite-valued sample functions except possibly at the
parameter value 0.
We have already pointed out in Section 1 that if v is a positive super-
harmonic function on D and if u = v/h (= 0 where h = +oo), then
is a supermartingale if defined as 0 for parameter values z S" and with the
understanding that the parameter value 0 is to be omitted if oo.
2. h-Brownian Motion in Terms of Brownian Motion 675
We now see from (a) and (b) that this supermartingale is almost surely
continuous except for a possible discontinuity at S". For almost every
sample function the supermartingale right limit exists at S" trivially and
is 0; the left limit at S' must exist (finite) almost surely because almost
surely right continuous supermartingales almost surely have finite left limits
at all parameter values, including the parameter value + oo if the super-
martingale is positive.
(c) h-Brownian motion filtrations and the strong Markov property.
Theorems VI.8 and VI.9 are not directly applicable to an h-Brownian motion
unless h is finite valued, in which case D" = D, but the proofs of these
theorems are applicable to the h-Brownian motion context. Hence, if ."(t)
is generated by the null sets and .F{w"(s), s 5 t}, it follows that is
right continuous. Moreover, even without this special choice of filtration,
the strong Markov property VI(9.l) holds for These assertions are
of course true not only if x,"(0) _ but for an arbitrary initial distribution
supported by D".
(d) The zero-one law for h-Brownian motion. Let -Ft be the a algebra
generated by nr,o F{tv"(s, s 5 t) and the null sets. Then [assuming as
above that tv"(-) is an h-Brownian motion in D from in D"] .fit is trivial;
that is, it consists of the null sets and their complements. Two proofs of
the zero-one law for Brownian motion were given in Section VII.6; the
second one is applicable to h-Brownian motion for all h. The zero-one law
implies that if B is an arbitrary analytic subset of D and if T is the hitting
time of B by w"(-), then the probability P{T = 0) must be either 0 or 1.
The representation of h-Brownian motion in terms of Brownian motion
shows that this probability does not depend on the choice of h, and it follows
(Theorem IX.15) that this probability is if and only if is a fine limit
1
The basic filtration in this case is A o'(-). Let t bean arbitrary A,'(-) optional
time and let A be an AV) set. We make the obvious choices of fi" and
R", namely t" = t and R" = A, and prove (2.1) in this context. Observe
that, with the optional time notation defined in Section 11.2, Example (b),
and using the fact that
j2_"
A . {9" > = [fi"]n} eAo(j2-"),
(2.6) yields
_
f h[K'(j2_-)]d Pzz
Y_
J=O n"r,{$>j2-n=jf).) NO
(3.1)
=J
n "nIJ`>ftt,)
When n oc, the left side of (3.1) tends to p" {tt" n { 9" > th) }. The right
side is The sequence ..., h[w([t jt)],
ordered as written is a supermartingale, left closable by h[w(t)] and
(Theorem 111.17) uniformly integrable; so there is L' as well as almost
everywhere convergence to the limit h[w(t)]. Hence we can integrate to
the limit (n - oc) in (3.1) to obtain (2.1) in the present context.
Application of Case (b). If is a Brownian
[h-Brownian] motion in D from on the probability space ((),.F, P)
4. Asymptotic Character of h-Brownian Paths at Their Lifetimes 677
[(S2'' " P")] with lifetime S [S"], the problem of finding large classes of
pairs (T, T"), (A, A") for which (2.1) is true is partially solved by a reduction to
case (b). In fact, if we make the convention that all processes involved have a
common trap, the maps co i- w(-, w) = th, w" H w take 0 and
i2" into L = ?", the space of a canonical Brownian motion in D from .
In the notation of case (b), an optional time ton 1) has as inverse images
under these maps an optional time T on S2 and an optional time T" on 0"
if we suppose, as we can, that and are right continuous. A set
A in .00'(t) has as inverse images a set A in and a set A" in .F"(T")
and (2.1) is true as written if T, A, P. and A" are obtained in this way be-
cause (2.1) is true in the context of case (b). For example, if t is the hitting
time by of a closed subset of D, then T [T"] is equal almost surely to
the hitting time of this set by
(Not used below.) It is natural to try to extend Case (b) and thereby the
application just noted to allow for the P and P" null sets. This generalization
is needed, for example, if T is to be the hitting time by of an arbitrary
analytic or even merely Borel subset of D. More specifically define .O(t)
[A"(t)] as the a algebra generated by Ao(t) and the P [P"] null sets. Ac-
cording to Section 2, the filtrations and ^-) are right continuous.
If t is an . optional time and if Ae.*(t), there are [from Section
11.2(j)] an optional time fio and an Ao(1o) optional time Ao such that,
up to a P null set, to = t and AO = A. Now according to case (b) of (2. 1),
an o (to) subset of {9 > to} is P null if and only if it is P" null. Hence,
up to a P" null set, t = t and Ao = A. Thus if we define T = 11, T" = to,
A = A, A" = AO, equation (2.1) is true in the canonical process context,
generalizing case (b). We could equally well have started with an
optional time t" and an .?"(t") set A".
Observation (1). Part (a) of the theorem does not state that when h is
harmonic, almost every h-Brownian path from tends to a point of aD,
and in fact it will be proved in Section 3.11.2 that if aD is obtained by a
metric compactification of D, then almost every h-Brownian path from
tends to a point of OD if and only if OD is h-resolutive, and in that case the
distribution of the path limit point on aD is OD We can already verify
this result in a special case, when h = I and is the Euclidean boundary,
resolutive according to Theorem I .VIII.4. In fact, if a Brownian motion in
08" from 6 in D is killed at the hitting time of the Euclidean boundary OD
to obtain a Brownian motion in D, almost every path of the Brownian
motion in D obtained (without loss of generality for the present purpose)
in this way tends to a point of OD at the path lifetime, namely to the point
at which the original Brownian path first hits aD. The distribution of this
hitting point on aD is according to Theorem IX.13.
Observation (2). We shall prove a stronger result than Theorem 4(b):
h-Brownian paths from can be obtained in this case by first choosing
the asymptotic endpoint for a path according to the probability distribution
and then choosing a 0)-Brownian path from (necessarily
tending to 5 at the path lifetime). It follows, as stated in (b), that if A is polar.
v((', A n D") = 0 because (Theorem I .V.11) h = GDµ = + co p almost every-
where onA;sop(AnD")=0.
Proof of (a). Let be an h-Brownian motion in D from 5. with lifetime
S", let Do be an open relatively compact subset of D containing , and let
T" be the hitting time of aD by The superscript h is omitted throughout
when h = 1. It is trivial that P{S > T } = 1. According to (2.1) under case
(b) as applied in Section 3, if h is harmonic,
dP E{h w(T)]}
P"; S" > T"} = h[w(T)]h) h()
;s>ri
(4.1)
I<no( h)
= I.
h()
Thus almost every path hits aDo. To prove (a), we prove that if Cis a
compact subset of D and if now T" is the first hitting time by of C
after hitting aDo, then P"{S" > T"} is arbitrarily small if D0 is sufficiently
large. With this definition of T" (2.1) yields
Now the probability on the right is the probability that a Brownian path
in D from f hits C after hitting aD0 and this probability is arbitrarily small
4. Asymptotic Character of h-Brownian Paths at Their Lifetimes 679
ItDo(S,h
P" {S" > T") =
h(C)
as in the proof of (a). Since his now a potential, the right side of this equality
can be made arbitrarily small by choosing Do sufficiently large (Section
I.VIII.I I); so almost every h-Brownian path from has closure a compact
subset of D. Now consider a particular case, h = C) for some point
C of D other than c. We show that in this case almost every path tends
to C at the path lifetime. To see this, define D' = D - {C}, and denote by
h' the restriction of h to D'. The function h' is harmonic on D', and h'-
Brownian motion in D' from can be identified with h-Brownian motion
in D from g; so it follows from (a) that almost every path tends to
OD' = {C}u aD at the path lifetime. Since we have just proved that almost
every path has closure a compact subset of D, it follows that almost
every h-Brownian path from tends to C at the path lifetime. More generally,
if h = GDµ,
and if 0 < t, < . . . < t,,, the joint density of v"(t,), ... , Who.) is
v(S,dy
1,b11S2)...4D(tn-
f -D(t1+S,S1)GD(t2 - tn-1,Sn-1, n)GD(SYYM. O
C)
D GD(b, 0
(4.3)
h, . The evaluation
ht (t, , n) + 7)
(n (t, , tl) = (4.4)
Suppose now that all probabilities are multipled by This change does
not affect the conditional densities in h-BM(3) but replaces h-BM(2) by
h-BM(2') wz(t) has distribution density function GD(t, 5o, )h when
t > 0. The fact that the measure space on which the process is defined now
has measure which may not be I causes no difficulty. From now on
an h-Brownian motion from o will mean as before a process satisfying
h-BM(1)-(3) when +x, but satisfying h-BM(l), (2'), (3) when
+oo. In the latter case the measure space on which the process is
5. h-Brownian Motion from an Infinity of h 681
when t > 0. We have not yet shown that an h-Brownian motion from an
infmity of h exists, and we now proceed to do so. We shall construct the
desired process on the space 0 of all functions from R' into D v (a) with
value o at the parameter value 0. Observe first that if a process exists,
satisfying either h-BM(l)-(3) or h-BM(l), (2'), (3), then if 'eD and if
s' > 0, and whether is finite or not, the process conditioned by
wwo(s) has the following properties: the process on the parameter
set [0, s'] is independent of the process on the parameter set [s', + oo
the process on the first parameter set is Markovian, with reverse transition
density (5.1); the process on the second parameter set is an h-Brownian
motion from '. Now a process can be constructed on the function
space Q with the finite-dimensional distributions of the so-conditioned
process. In fact the standard procedure of Kolmogorov can be used, in
which a measure P. is assigned to 0 making the family of coordinate func-
tions {x(t), to R+} have the specified finite-dimensional distributions for
strictly positive parameter values, with x(0) = o. The class of measurable
sets is the smallest class making every coordinate function measurable.
The probability assigned to Q itself in this way is 1. If now ' is given the
distribution on D with density v'D(s', o, )h, the probability measure P.
on t) becomes a measure
P. = J 'D(s',
J h[wro(s')]dP
AnfS>Y
assigns a distribution to {woo(s), s:5 s'} which has the same finite-dimensional
distributions as {x(t), t S s') on the set {x(s') a D} under P. It follows,
682 2.X. Conditional Brownian Motion
wsti (t) =
C ift<0
ift>S. h
S)h(C)
Density at S in D of the x(s) distribution = (6.1)
Furthermore for i > 0 the conditional distribution of x(s + t), given x(s)
in D - can be chosen to be absolutely continuous on D for each value
of x(s), with
for s, < . . < s < s and nje D. Thus for any choice of initial parameter
value to the restriction of the process x(to + ) to the parameter set I8+ and
to the tZ x R set {x(to) a D} = {0 5 z - to < S,*) is a Markov process with
initial distribution specified by the density (6.1) (which involves h) and
transition density (6.2) (which does not involve h) as long as the x(to + )
paths lie in D. More precisely, if the process is killed when the paths reach
, so that the process lifetime is z - to, the so-restricted and killed process
x(to + ) is a motion, with initial distribution of density
(6.1). Furthermore an easy adaptation of Theorem VI.9 (strong Markov
property) to the present context shows that if A is an analytic relatively
compact subset of D and if T' is the hitting time of A by then the process
x(T' + ), restricted to the set { T' < + oo } and killed when the paths reach
, is a motion process. More precisely, if we define a
filtration of 12 x R by setting ..'(t) for t in I8 to be the a algebra
generated by the P x 1, null sets and.F{x(s), - cc < s:5 t}, then the process
{x(T' + 0,.47'(T' + t), to R+}, restricted and killed as just described, is a
motion process. Going back to the original space f2,
define L' as the last hitting time of A by and let be the filtration
of Li obtained by defining .F(t) to be the a algebra of subsets of f2 generated
by the P null sets and .F{w'(L" - s),s 5 t}. Then what we have proved
yields in this context that the process { ws(L" - t), .fi(t), t e I8+ } killed at
time L is a motion, with initial distribution the dis-
tribution of w{ (L{). The distribution of w{ (L) will be evaluated in Section 10.
and there is actually almost sure equality because the expectation of each
side is Eh { f [ww (SS - t)] }. It follows that the process vh (S, - ) is a
Brownian motion, as asserted. In particular, suppose that D is provided
with a boundary OD by a metric compactification with the property that
lim,tshw4'(t) exists almost surely. Define w,(S,) as this limit where the
limit exists, and define w,h(Sh) arbitrarily elsewhere. This convergence con-
dition is satisfied if the boundary is the Euclidean boundary and h = I or
at least if h has a strictly positive harmonic extension to a neighborhood of
D. When D is connected, we shall show that (Theorem 3.111.2) that this
convergence condition is satisfied if and only if the boundary is h-resolutive.
If this convergence condition is satisfied, the process { W4 (S4' - t), t e OB+ },
killed at time SS, is an almost surely continuous Markov process whose
initial distribution is supported by aD. We shall prove in Section 3.11I.2
that this initial distribution is the h-harmonic measure Observe
that, whether or not a boundary is introduced, if w,(-) is an h-Brownian
motion in D with initial distribution ). and lifetime Sx, and if S," is almost
surely finite valued, then the process {wx(S,,h - t), t > 0}, killed at time
S;", is a GDJ.-Brownian motion, which can be extended to the parameter
set R with initial distribution supported by aD if a boundary is introduced
with the above stated properties. We shall describe the wx(S,", - ) process as
a GD,t-Brownian motion whether or not the parameter set is extended to R'.
1 Bh)
I %,'(S,'-)E B) = f h[w,(S,-)] dP -_ = IUD( . B).
i Jiw4(S4-)FB) h() (7.1)
That is, extending tri\'ially the meaning of "hitting," the h-harmonic measure
is the hitting distribution of )v'(-) on OD, as was to be proved. Further-
more Theorem IX. 13 can now be translated directly into a theorem on h-
Brownian motion, with no change of proof, but recall that D here is bounded
and that h here has a harmonic extension to an open neighborhood of D.
The general case, for arbitrary Greenian D and strictly positive harmonic
h on D is treated in Section 3.11.2 and is more delicate because even the
Euclidean boundary of a Greenian set is not necessarily h-resolutive for
every strictly positive harmonic h.
Since u is e,-excessive (Section VI.12), u = v/h on D' for some positive super-
harmonic function v on D. Here v:!5; h on D'; 'so v < h on D. In particular,
if h is harmonic, the function u is h-superharmonic, and the proof given in
Section IX.9 for the case h = I shows that u is h-harmonic on D - A. The
following discussion for general h puts hitting probabilities into the context
of reductions.
on Dh. and in this section we shall abuse notation by denoting this smoothing
by hRA even though this /p-excessive function is not necessarily the lower
semicontinuous smoothing of 'Ru . With this definition, hRA < 'R. and there
is equality quasi everywhere on D, in particular [Section 1.VI.3(b)], there is
equality on D - A.
Recall from Section IX. 14 the reduction evaluations
path tends to 8D at the path lifetime Sr. Such a path does not necessarily
tend to a single boundary point, however, and for each point w" of the
probability space on which is defined we denote by rr(w") the compact
cluster set on 8D of a path w") which tends to 8D at the path lifetime.
To avoid messy typography, we write I$(A) for the indicator function of the
boundary subset rr n A and write l" for the indicator function of D".
"RA
E"{u[wr(T"")] 1, "< I
(7.4sm)
+ Ir(A) ltrh"as41 ltm u[w{(t)] }.
E D",
"RA E"{u[iv(Tr")]}, (7.6sm)
which are merely reformulations of (7.3) and (7.3sm) by way of (7.2) and the
relation between Brownian motion and h-Brownian motion probabilities
discussed in Sections 2 and 3.
Proof when A n 8D is a countable union of compact sets. If A n 8D is
compact, let B, be a decreasing sequence of open subsets of D u OD with
intersection A n OD, and define A. = (A u n D. By definition of the
reduction operation
lim"RA^="RY.
n-'an
688 2.X Conditional Brownian Motion
on D". In fact this equation was proved in the preceding paragraph in the
increasing case, and this equation is true in the decreasing case by definition
of the reduction operation. Thus each side of (7.4) defines a topological
precapacity on OD for fixed A n D and fixed S in D". Each side is equal to
the extension (Appendix 11.8) of its precapacity to a Choquet capacity for A
analytic because as proved above for each side the value on an F. boundary
subset is the supremum of the values on compact subsets. Hence (7.4) is
true.
Parabolic Context
Theorem 7 and its proof can be translated directly into the parabolic context.
surely continuous at the parameter value 0 in this case even though this
parameter value must be excluded in the supermartingale assertions.
The proof of (a)-(d) follows that of Theorem IX.7 (the special case
h = 1) and is therefore omitted. To prove (e), observe that u = up + u,,,, + uqb ;
so in view of (c) it is sufficient to show that u,,,Qb is identically constant, and
this constancy follows trivially from the minimality of h.
I f h is harmonic, Theorem 8 states that u has a finite limit along almost every
h-Brownian path from a point of D to the one-point boundary of D. On the
other hand Theorem I.XII.19 states that u has a minimal-fine limit at MI,
almost every Martin boundary point of D. These two results will be seen to
be equivalent in Section 3.111.4 by means of the following reasoning. Let K
be a Martin function. It will be shown that almost every path tends to
a minimal Martin boundary point at the path lifetime and that the distribu-
tion of ww (SS -) is the harmonic measure p' on the Martin boundary.
In particular, it follows that if C is a minimal Martin boundary point, almost
every K(C, )-Brownian path from c has limit C at the path lifetime. Further-
more it will be shown that for arbitrary strictly positive harmonic h the
distribution of can be constructed by choosing a minimal Martin
boundary point C with the distribution dC) and then choosing K(C, )-
Brownian paths from . More precisely the conditional distribution of w20
given w, (S2 -) = C is the distribution of K(C. )-Brownian motion from . It
follows from Theorem 8 that for almost every minimal boundary
point C the positive h-superharmonic function u has a limitf(C) along almost
every K(C, )-Brownian path from to C. It will be shown that the valuef(C)
does not depend on the path, does not depend on , and is in fact the minimal-
fine limit at C whose existence is asserted in Theorem XII.19 of Part 1. The
equivalence between the latter theorem and the present theorem in the con-
text of the Martin boundary lies in the facts to be proved in Chapter Ill of
Part 3 that conditional Brownian motion on the Martin space can be gen-
erated as described above and that a function has a minimal-fine limit fi at
a minimal Martin boundary point S if and only if the function has limit #
along almost every K(C, )-Brownian path from a point of D to C. Precise
statements will be given in Chapter III of Part 3. In Section 9 it will be seen
that the preceding reasoning is easily carried through when D is a ball, in
which case the Martin boundary is the Euclidean boundary. It was shown
in Sections l.XI1.19 to 1.XII.23 how the fine topology Fatou theorem yields
the classical one for a ball or half-space, in which the classical boundary
approach is nontangential or normal.
The function K(C, ) is minimal harmonic on D (Section 1.11. 16) with value 1
at the origin and limit 0 at every ball boundary point except C. Moreover
692 2.X. Conditional Brownian Motion
(Section 1.11. 1) f D K(C. q)/N(dq) < + o o. Fix C and consider a K(C, )-Brownian
motion from a point 5 of D. According to Section 1, the lifetime of the
process is almost surely finite because
r = K(C. ). (9.4)
This expression shows that h-Brownian motion paths from 5 can be obtained
by first choosing the asymptotic path endpoint C according to the distribu-
tion and then choosing K(C, )-Brownian paths from c to C. Thus
+(S"-) exists almost surely and has the distribution pD(C, as already
proved (Theorem IX. 13) when D is an arbitrary Greenian set, h = 1, and 8D
is the Euclidean boundary. In Section 3.11.2 this evaluation of µ will be
extended to every pair (h, OD) for which OD is h-resolutive, in fact extended
in a natural sense to every pair (h, OD).
If h = h, + h2 is an arbitrary strictly positive superharmonic function on
the ball with h, positive harmonic and hz a potential (Riesz decomposition),
10. Last Hitting Distributions: Capacitary Distributions 693
Recall that for a ball the Fatou theorems involving radial and nontangential
approach to the boundary, and the relations between those theorems and
those involving the minimal-fine topology boundary approach, have already
been discussed in Sections 1.11.15, I.XII.19 to 1.XII.23. According to
Theorem 8, if v and It are strictly positive superharmonic functions on a ball
D and if w is an h-Brownian motion in D from , with lifetime S{, then
(almost surely) the left limit vlh[(S, -)] exists and is finite. Now suppose
that h is harmonic. In view of the structure of h-Brownian motion Theorem 8
in this case is equivalent to the statement that at M" almost every ball
boundary point C, that is, at every boundary point up to an h-harmonic
measure null set, the function v/h has a finite limit along almost every
K(C, )-Brownian path from to . The fact that the existence of a limit in
this sense at is equivalent to the existence of a minimal-fine limit at C will
be proved in Section 3.111.3.
R"()
hO = P{Lf > 0}.
694 2.X Conditional Brownian Motion
Theorem. For RBA = G,,41 as Just described the distribution oJ' it, (Lh) on
1) - ; ; i.A giren h.r
AA(dn)
(10.1)
space generated by the null sets and .F{wa(s), s S t}. In Section VII.6 it was
supposed that h _= 1 and the asymptotic properties of paths and of
functions on these paths, as the parameter value tends to 0, were investigated.
In Section 2 of the present chapter it was shown that the results in Section
VII.6 do not depend on the choice of h. In this section we investigate the
dual questions, in which the parameter value tends to SS instead of 0.
In Sections VII.6 and in Section 2 of the present chapter the key was the
initial a algebra, denoted by .fit in Section VII.6. In this section the corres-
ponding role is taken by the tail a algebra of sets, determined by w{ as the
parameter tends to Si'. The natural definition of this a algebra I,' is the
following. If B c D, let Spa be the hitting time of 8B by 4 0. Define I,' as
the a algebra generated by the null sets and the a algebra
for n - 1, A' a Borel subset of fl", and u; a Borel measurable function from
D into A. A trivial map shows that 08 can be replaced here and in the defini-
tion of !§j" by an arbitrary compact subinterval of R.
The following results (a)-(c) on the tail a algebra and associated concepts
will be used in later chapters. A characterization of the tail a algebra in terms
of a suitable boundary of D is given in Section 3.11.4.
(a) Let u be a function from D into 08 with the property that the set
{u > c} is analytic for all real c, define ut by (11.2), and define E{ u,}
whenever this expectation is meaningful. Then
(al) u, is !§' measurable.
(a2) If u is lower bounded, the function u' is either identically + 00 or
h-harmonic and quasi bounded.
(a3) If in (a2) the function u' is h-harmonic, then
696 2.X. Conditional Brownian Motion
{us>a}= U n Am,a+k
k=I m=0
so u, is 114, measurable.
Proof of (a2). Suppose first that u is bounded. Then the strong Markov
property of conditional Brownian motion yields
Hence (Section 7)
Proof of (a3). We can suppose that u is positive. Then by (a2) either u' - + 00
or u' is h-harmonic and quasi bounded. In the latter case (11.5) is applicable.
11. The Tail a Algebra of a Conditional Brownian Motion 697
,Ea.
Note that u, is I,,, measurable, that W, C and that according to
Section VI.7 the a algebra on the right here is Y.e Z. - 4 ( S 4 so when
114
and (Section 1.4) one version of the conditional probability on the right has
the form 46^[w (SnB^)], where 0^ is a Borel measurable function from aB^
into [0, 1]. We apply the conditional expectation continuity theorem, again
using the fact that
P{ lid'(A', v[ (t)]) = 0} = I
ttsh4
for every c.
(c5) The function -- P{lim,t5h v[wf (t)] exists a.s.) is either identically
0 or identically 1, and in the latter case there is a point q' of D'
such that lim,tsh v[w2 (t)] = PI' almost surely, for every point of D.
Proof of (c 1) and (c2). We shall prove (c2) which implies (c 1). It can be
supposed, replacing u by arctan u if necessary, that u is bounded. The func-
tion " E{u,} is h-harmonic according to (a2). Since u' is bounded
and h is minimal, the function u' is identically constant, u' - c, and (11.7)
then yields u, = c almost surely, as was to be proved.
Proof of (c3). A point tl' is a cluster value of v[,,' (t, a))] when t T S{ if and
only if
Proof of (c4). The proof of Section VII.6(e) with obvious changes to the
present context yields (c4).
s) = exp 1<Y,
+ a' 171'sJ (13.1)
with } a point of R". Then the above reverse transition density becomes
G(s - t, , rl - a2(s - t)y). This is the transition density of a Brownian
motion with drift: conditioned by fixing w(0) = , the process
{w(-t) +azty,tER+}
13. [Space-Time] Brownian Motion in [d8"] RN with Parameter Set R 701
w(t)
lim = aZ; a.s. (13.2)
f-'-aC t
o expL<i',
and we conclude that if a is the absolute probability density function for
vi,(-), then lim,__, [w(t)/t] exists almost surely and has distribution cr2N (dy).
Observe that the only condition imposed on 1Vj is XVI(8.3); so N;(18N) need
not be finite. In particular, if R. is the unit measure supported by the origin,
the function ti is given by (13.1) with y = 0, and so u = 1. This is the stationary
case. The choice of ti is the choice of the distribution family s . s)IN(d);
this family is called the entrance law of the Brownian motion.
In the study of h-Brownian motion in IRN with parameter set H the function
h is a strictly positive superharmonic function on RN, and the transition
density (from at time s to at time t > s) is given by
(13.4)
from - x to the finite process death time, every w"e) sample path comes in
from the point oo, along a direction determined by ; if 7 # 0, and tends to
at the process death time. For general ti and general It the process is made
up of such processes. Thus in general lim,__. [w(t)/t] is a random variable
with distribution and (Theorem 4) if h = Gp and if h(c) < +oc,
the conditional distribution for iv(s) = of the left limit of at the
process death time is Roughly, the choice of « determines
at the beginning of the process, and the choice of h determines the
process at the end.
sup E{x'(t) - 5e
reR
then x(-) is in D.
The difference on the right is constant in s and is at most c/2 for sufficiently
small (negative) n because x(-) is in D. The process x;(-) is defined as
LM v n] for such a choice of n, and the process x;(-) is defined dually.
Conversely, if x' and xl(-) exist as in the converse assertion, with x,"(-) z
- K,, and 5 K1, where K, > 0, and if b > 0 is chosen so that
Pflx(t)I = b} = 0,
then
E(lx(t)I ; jx(t)j ;>-- b} 5 E{x; (t) - x,(t)} - E{xL (t); x(t) < -b}
+ E{x;(t); x(t) > b} (4.2)
5 E + K`P{jx(t)j > b}.
It follows that sup,,, Efl x(t)j} < + oo and if K is this supremum, the right
708 3.1. Lattices in Classical Potential Theory and Martingale Theory
Parabolic Context
S. n D = S,,,qb. (5.1)
a.s.
Observe that (6.1) and (6.2) are identical with the same equations for
unsmoothed reductions because {u > c} is an open subset of 1 N and A, is a
fine-open subset of Ili3+ x 0. In (6.1) the reduction decreases when c increases.
In (6.2) we can only assert that c < d implies that D"d < Oz(-) "c quasi
everywhere, and that is why in (6.2) the limit is sequential. The set lL+ in
(6.2) can of course be replaced by any other unbounded increasing sequence.
Proof in the classical potential theory context. (The martingale theory proof
is a direct translation.) If u = E0 u; with u; in S+ and bounded, then
hkrlv>`s
<_ > (6.3)
710 3.1. Lattices in Classical Potential Theory and Martingale Theory
lu al w
' c c
Parabolic Context
The lemma and its proof need no change in the parabolic potential theory
context.
Parabolic Context
Theorem 7 and its proof need no change in the parabolic context. The
parabolic criterion corresponding to (b2) does not require a new proof and
is of course stated in terms of the limit of a positive h-parabolic function
along h space-time Brownian paths.
Observation. Equations (8.1) and (8.2) are equivalent to the same equa-
tions with unsmoothed reductions. See the observation in Section 6 on the
corresponding point for Lemma 6, and on the explanation of the sequential
convergence (n -+ co) in (8.2) rather than the unrestricted approach (c -* oo)
in (8.1).
Proof in the classical potential theory context. (The martingale theory proof
is a direct translation.) Suppose first that uESs . By Section I.Vl.3(i) as
adapted to reductions in the h-superharmonic context,
hOuO,u>C,
u + hOu0(u5c) (8.3)
The first term on the right has limit 0 quasi everywhere when c - oo according
to Lemma 6, and the second term on the right is us for every c because
b1Us0(Us>ci <
Us = us,
so Theorem 8 is true.
Parabolic Context
Theorem 8 and its proof need no change in the parabolic context.
lim 0 q.e.
R-M
Observation. PT(c) and MT(c) are equivalent to the same equations with
unsmoothed reductions. See the observation in Section 6 on the corre-
sponding point for Theorem 6 and on the explanation of the sequential
convergence (n - cc) in MT(c) rather than the unrestricted approach (c - oo)
in PT(c).
(9.3)
To show that the second term on the right has limit 0 when n oe, note
first that (Section 1.V.4) there is a function v positive and superharmonic
on B, with v = +oo on A and v z I on C. for large n;
so lim sup.- µB.0, C,) 5 and since for every S > 0 the function Sv
satisfies the same conditions as v, it follows that µ8n0, 0. Hence
(class D property) limn_.µB.0, ulcn) = 0; so
PT(a) ueS;,.
PT(b) blur'"' = u for every (equivalently some) strictlYpositive constant
c.
PT(c) p is supported by a polar set.
Parabolic Context
the parameter value S,. For almost every to this cluster set is a compact
boundary subset. In particular, if h = I and if aD is the Euclidean boundary,
the process iv,'(-) can be identified with a Brownian motion in R' killed
at the hitting time of OD, and r!(())) is then almost surely a singleton,
{ :'[S4 ((o) - ] , . Similarly, if D is bounded, if aD is the Euclidean boundary,
and if h has a harmonic extension h' to an open neighborhood D' of D, then
can he identified with an h'-Brownian motion in D' killed at the hitting
time of (3D. and again r"((,)) is almost surely a singleton, {w2 [S, (o))-];.
According to the following theorem, whatever the choice of (D, the dis-
tribution of 1 is the h-harmonic measure an h-resolutive function
/ is for almost every (j) a constant function on the cluster set q(w), and Hf
has the prescribed value of./ as limit along almost every path to the
boundary. Furthermore aD is h-resolutive if and only if r,' is almost surely a
singleton, that is, if and only if the left limit r, (SS -) exists almost surely.
Thus the PWB method generalizes the classical concept of solution of the
Dirichlet problem but nevertheless leads to solutions which have the pre-
scribed boundary limit function in a reasonable sense.
and
A) = P;I", c A} = n A 96 Qf ). (2.3)
'
Proof of (a). The equality H =''R; = RAA /h was pointed out in Section
1.VIII.2. The last equality in (2.1) is a special case of Theorem 2.X.7. An
application of (2.1) to OD - A yields (2.2).
function u2, u,, Hf has a finite limit along almost every it`(-) path to the
boundary, and
u, () 5 E{ lim u, [w (t)] } < E{ lim Hf [w (t)] } < E{ lim u2[W (t)] } u2( ).
(2.7)
Moreover
lim u, [w (t)] < inf f(g) < sup f(C) 5 lira u2 [w (t)] as. (2.8)
fsE CEr Erg
S*41
x(IfI A n);')
(2.9)
The fact that the last two of these processes are supermartingales implies that
x( I f l n n: ) is a martingale and therefore (n -* oo) that x{(If 1, ) is a mar-
tingale, that is, that (c) is true when f is positive. Since the first two processes
in (2.9) are now known to be almost surely continuous martingales, the
process x(./; ) is also, as was to be proved.
Proof of (d). If the boundary is h-resolutive, that is, if the Borel boundary
subsets are µD measurable, chooses > 0, and let A, , ... , A. be compact
boundary subsets of diameter at most r and with union D. Since (2.3)
implies that r,' is almost surely a subset of any A, it intersects, the diameter of
rh is almost surely at most E. Hence r,' is almost surely a singleton; that is,
the left limit tt>2(SS -) almost surely exists. Conversely, if r is almost surely
a singleton for some point , the set function A F- is an additive
function of Borel boundary sets by (2.1); so the boundary is h-resolutive
(Section 1.VIII.9).
Special Case: It Is Minimal. If h is minimal, then for every boundary subset
A the h-harmonic function ff' = Re/h is either identically 1 or identically
0. In fact by minimality H is a constant function, so that RA = ch, and
iterating the reduction operation [Section I.VI.3(h)] yields ch = cRA = c2h;
so c = 0 or 1. For every boundary point C if R;; ' - 0, then (since R,; 1 is the
infimum of the class of reductions on boundary neighborhoods of C) RA = 0
3. PWB" Examples 723
A close examination of the analysis reveals that the theory of analytic sets
and Choquet capacities is not needed in the derivation of Theorem 2 if it is
supposed that the left limit wf (Sf -) exists almost surely for some (equiva-
lently every) point of D or, going in the other direction, if the boundary is
h-resolutive. This hypothesis is satisfied if aD is the Euclidean boundary and
if either h - I or D is a relatively compact open subset of an open set on
which h has a positive harmonic extension.
3. PWB' Examples
EXAMPLE (a). The Alexandrov one-point boundary of a Greenian set D is
trivially universally resolutive. From the point of view of Theorem 2 universal
resolutivity corresponds to the fact that for strictly positive harmonic h on
D almost every h-Brownian path from a point of D tends to the one-point
boundary at the path lifetime.
EXAMPLE (c). Let N = 2, let D be a disk, let { be a boundary point, and let
h = K(C, ) be the minimal harmonic function corresponding to C (Section
1.II.1). For in D let be the angle between the rays from { to and to
the disk center, - n/2 < 0 < n/2. Then 0 is harmonic on D. Define a
distance function on D x D by
We now fix and S and discuss the absolute probability distributions of the
N4 process: it, A) F--. $w(i) e A} = p(i, A) for A ranging through the Borcl
subsets of D - Since
f1x(di) J'(r - s, q', OAS, dq') = p(t, A). 0 < s < t, (2.1)
A D
Observe that the value of the integral on the right does not depend on the
choice of s for 0 < s < t because t satisfies the Chapman-Kolmogorov
equation; so (2.2) defines C. ) on ] 0, + co[ x (D - {s}). The function
p,(t, , ) is the IN density of the distribution of is (t) in D, and the function
p, is that is, ¢ = C, is parabolic, on
]0, + oc [ x (D - { }) in view of the following properties of 0 on this
product set:
4) is Borel measurable.
4) is locally IA+t integrable.
¢ has the parabolic function average property locally, because fD
(- s, q, ) is parabolic on the domain of 0.
It is natural to conjecture that when of - C suitably, the transition density
t (t, q', q) tends to p j(t, S, q), and we now derive one version of such a limit
relation : for each strictly positive t,
To see this, observe that the function (t l', t') ' -, q) is GD(5, )-parabolic
on (D - x ] 0, + oo[ and, in fact, is invariant excessive for
space-time Brownian motion on this set. Moreover (2.2) implies that
Hence the process 14f (t - s, w e(s), q), 0 < s < t} is a martingale. This mar-
tingale is almost surely continuous and so (from Section 2.111.16) has an
almost sure limit as the parameter tends to 0. This limit is a random variable
measurable with respect to the K(C, )-Brownian motion tail a algebra and
so (from Section II.4) is almost surely identically constant. Since every mar-
tingale is uniformly integrable on a right closed set of parameter values
[Section 2.111.3(e)], this constant must be the common expectation in (2.4);
that is, (2.3) is true.
730 3.111. Brownian Motion on the Martin Space
EXAMPLE. Denote by d{ the Nth coordinate of the point of R', and let D
be the half-space {dd > 0}. The Green function GD was evaluated in Section
1.VIII.9, and in Section 1.XII.3 the Martin boundary was found to be the
Euclidean boundary. All boundary points are minimal, and the finite bound-
ary points are attainable. By direct calculation, if ( is a finite boundary
point and if a2 = 1,
d°I
dr2ntC12G D ( , if N = 2 ,
d,,I(-(IN
dd(N - 2) (2n)"r2 t(x+2Y2 ' 7) if N > 2.
According to the results in this section, this limit is p4(t, (,, ). If now tends
to a second finite boundary point C,, the transition density b, tends to a
limit transition density, that of K((,, )-Brownian motion, and p,(t, C, )
tends to a limit density which can be described as the absolute probability
density at time t of a Brownian motion from ( to (, .
P{L;R=SC} = 1 (3.1)
K(C, C)
Since the left side is I for all B if and only if C is a minimal-fine limit point
of A and the right side is 1 for all B if and only if (3.1) is satisfied, the theorem
is true when A is analytic. Since C is a minimal-fine limit point of a subset A
of D if and only if C is a minimal-fine limit point of every open superset of A
(Section I.XII.12), the theorem is true for every set A.
732 3.111. Brownian Motion on the Martin Space
for each point 4 of D, and the corresponding equation for inferior limits is
also true.
u4 = (4.1)
,ts
exists almost surely. In view of the structure of h-Brownian motion discussed
in Section 1, the existence of this almost sure limit means that for pD almost
every Martin boundary point 4 (which we can suppose minimal) the function
u has a limit along almost every K(4, )-Brownian path to 4 from g. According
to Section 2.X.11(c), this limit is for each C almost surely a number f(4) which
does not depend on 4. In view of Section 3 we have proved that
mf lim f(4)
rC
- R+
{xn(t), tE R+ } = l- ( 4t1L(j.
C
Cn
)'
tE
( v[ws(t)]
1 O<t<{n
Lf
tt''(t))' }
is at most c/(r2 - r,). Since this is true for all n, the same assertion is true for
0 < t < Se, and we deduce just as in the discussion of supermartingale conver-
gence that the function has a limit at i along almost every 40 path;
equivalently (Section 3), the function has a minimal-fine limit at C.
Observe that E{xn(0)} > 0 because v 0 0, and observe also that L' 1 - LCn
is the hitting time of D. by so by the supermartingale inequality at
optional times E{xn+, (0) } Z E{x (0)}, and therefore limn..,E{xn(0) } > 0.
6. Martin Representation of Harmonic Functions in the Parabolic Context 735
Parabolic Context
-f D
S, 1)/v(t, q, h)IN(dn) _ -/D(s + t, , h) (s > O, t > 0). (6.1)
at all points below a zero. Hence, if s' > 0, equation (6.1) is true for (5, s) E
D x ]0, s'] if t is not in some 1r null set. When s' runs through the strictly
positive integers, we find that there is an 1t null set A such that (6.1) is true
for (C, s) a D+ if and only if t is not in A. However, fort not in A and for
strictly positive s and 6,
-GD(S + s + t, C, h) _- J('D D
GD(b, C, )GD(s, , t1)GD(t, 1, h)1N(d)7)1N(dd)
_ - J GD(s.C,S)Gn(s + t, ,h)IN(dd)
(b+s+t,c,h).
Hence there is equality throughout; so .s + t is not in A, and it follows that
A is empty.
(b) Either h) = 0 (and this is true if and only if his an invariant
excessive harmonic function) or h) < 0 on D+ because the positive
parabolic function - h) vanishes identically below each zero and (6.1)
implies that this function vanishes identically above each 0 in 6.
(c) The function Go(-, , h) determines h uniquely up to an invariant
excessive harmonic function. Since [Section 2.IX.8, Example (a)] the
function
4D(t,5,h)= J u(C,s)1t(ds);
6 Martin Representation of Harmonic Functions in the Parabolic Context 737
Hence
h, < Ja(.s)li(ds)=h;
n
h t) + fD(s. c, h - h t) = ",
h) = - J'0(z.h)l1(dt).
h= f hal, (da)
738 3 111 Brownian Motion on the Martin Space
Analytic Sets
2. Suslin Schemes
We use the notation N = 71+ x71+ x . Let (Y, ?/) be a paved space. A
Suslin scheme is a map Y, from the set of finite sequences of points of 71'
into #, (n, , ... , nk) f-s Yn nk
E V. To each point n, = (n, , n2, ...) of N
then corresponds the intersection Yn1 n Y-1-2 n , and the uncountable
union U. E N n Y,' n - ) is called the nucleus of the Suslin scheme
and is said to be a set analytic over 4. The class of these nuclei will be denoted
by If A e ' and if Y n... -'k = A for all k and n I,..., nk, the nucleus is
A; soYY c Furthermore s.4(J),, = d(J) because if Ate.d(J), say
let at be a one-to-one map from 71+ onto 71+ x71' and define
Yn,.....nk = YS(n,)n,...nk.
742 A I Analytic Sets
Theorem. Let (X, .,Y') and (Y, -Y) be paved spaces. Then x d(,) c
x fl. If SEX and AE,vI(.1' x ?%), then {q: (5,tj)EAj
To prove the first assertion, suppose that A ef. Using the obvious
notation, it is clear that
Similarly, if Ac.W(g4),
and this is the desired inclusion relation. To prove the second assertion,
suppose that 4E.91(-T x N), say
,i = U (X x Y 7)n ...
Theorem. Let (Y, ,.W) be a paved space, and let (X, I') be a topological space
paved by its class of compact subsets. Then the projection on Y of a set in
.al(; ' x ') is in .W(W). For a suitable choice of (X,,1), and some suitable
choices are compact metric, sd(4') is the class of projections on Y of the sets in
(X x V),a
Suppose that the paved spaces are as described in the first assertion and
that A E sd(.1 x -Y),
n Xn n Y.'n, n...
n ... nk is defined by
` Yn, ... nk
if Xn r) ... n 'n nk # 0
10 otherwise,
m
E 2-'larctan mj - arctan nj!.
i=o
If n, . ... . nk are in 7L let X., , , .,,k be the compact set of points of X with first
k coordinates nt, ... nk. The nucleus of the Suslin scheme Y, on Y is then
the projection on Y of
U R. nX
IIE RI
00
where for each k the union in the second expression is over all finite-valued
k-tuples nt . . . ,nk.
and since (by Theorem 5) the projection on Y of a set in the class on the right
is in the present theorem is true.
Application. The first assertion in Theorem 3 can now be strengthened.
In fact
.al[.W(-6C) x .sal(f)] = d(. ' x N)
This theorem is a trivial consequence of the fact that the inverse image
under f of an arbitrary intersection [union] of sets is the intersection [union]
of their inverse images.
Proof. (a) If X, = no O" with O" an open subset of X, define a new distance
function d, on X, by
dt( Y2-" A
0
to get a complete metric space (X,, d,) homeomorphic with (X,, d).
(b) Let f map X homeomorphically into a complete metric space X'.
Let a(') be the oscillation of the inverse function at ' in the closure off(X),
and define a as 0 off the closure off(X). Then a is upper semicontinuous on
X' and-vanishes on f(X). Suppose that ' is in the closure of f(X) and that
0. Let B;, be the ball of center ' and radius I/n, so that f -' (B") is
746 A.I. Analytic Sets
-
be supposed that d 5 1. Let , be a sequence dense in X. Then
z 1)
plete metric space [0, 1], is homeomorphic with a complete metric space. In
this case the image can be taken as the Baire null space, and the map can be
written explicitly by means of the continued fraction representation of an
irrational number x in ]0, 1 [,
x n EBN.
nt +
nZ+...
It will be convenient to denote by BN°° the space of sequences {n;,j Z 1) for
nn a strictly positive integer or + oo, with metric
a)
dist(m,, n,) = Y 2-ijarctan mt - arctan nnl.
I
The space BN°° is compact metric, and the subset of this space with finite
coordinates is a G6 homeomorphic with BN.
Proo/. (a) (d) Under (a) there is a complete metric space X such that the
set A is the nucleus of a Suslin scheme X.: n, , .... nk,-
X nk a closed subset of X. It will be convenient, and irrelevant to the
construction of analytic sets, to restrict n, , n2, ... to be strictly positive. For
j and k strictly positive integers choose B;k a closed subset of X, of diameter
< Ilk. with B;k = X. Then
where the union is over all sequences n, , n2, ... of strictly positive integers.
The kth set in parentheses is closed and has diameter <I/k. Let
x(a, h) be a one-to-one map of the set of pairs of strictly positive integers onto
the set of strictly positive integers, and define
Xaln,. n.) = n
Xaln,. n.laln,. nal = (Bn, n n (B,,2 n
to get a Suslin scheme X; for which, given n,, the set nk is closed, has
diameter < Ilk, decreases ask increases, and either is empty for sufficiently
large k or shrinks to a singleton f(n,). The function f fis thereby defined on a
subset of BN, is continuous, and maps its domain onto A. To extend f to
BN, choose some point of A, and if is not empty, choose a point
k in this set. If f(n,) is not defined, either X is empty, in which case
define 1(n) = ', or there is a maximal k >_ l for which is not empty,
in which case define./'(n,) = S k. Then J'is a continuous map from BN
onto A. (Alternatively, it is easy to see that the original domain off is closed
and so is itself a Polish space and as such is the continuous image of BN,
which makes A the continuous image of BN.)
(d) = (a) If (d) is true A = f(BN), where f'is continuous from BN into
the Polish space containing A. Let Y ... k be the set of points of BN with
first k coordinates n, . . . h 1 . This set is closed and has diameter 11(k + 1).
. .
Parts (a) and (b) are special cases of Theorem 3. To prove (c), observe
that the projection map is continuous; so in view of Theorem 12(b) the
projection on Y of an analytic subset of X x Y is the continuous image of a
continuous image of a Polish space and is therefore analytic. To prove (d),
let f be a Borel measurable function from X into Y. The graph off is a Borel
and therefore analytic subset of X x Y. Furthermore, if A is an analytic
subset of X, A x Y is an analytic subset of X x Y; so the intersection A of
the graph off with A x Y is analytic, and its projection on Y, that is to say
J(A), is therefore analytic by part (c), as was to be proved.
Appendix II
Capacity Theory
1. Choquet Capacities
If (X, . ') is a paved space for which l is closed under finite unions and inter-
sections, a Choquet capacity on (X,.'), that is, on X relative to X, is a func-
tion / from the class of subsets of X into k with the following properties:
(a) / is increasing; that is, X, X2 implies that 1(X,) < 1(X,).
(b) X. T X,,, implies that
I X, implies that I(Xj.
A subset A of X is called capacitable [relative to (X,'1',1)] if
2. Sierpinski Lemma
Lemma. Let (X, .:'1') be a paved space, let A he the nucleus of a Suclin scheme X.
over .r', and let h, , h2, ... he a sequence in P. Define
Ak = I I X' n X^,nz n . . .
n :ni56i
<k (2.1)
M
Bk = U Xn, n ... n X., nk B=nB'.
ni < bi
'Sk
I(Ak-') > a, choose bk so large that I(Ak) > a, again using property (b).
4. Lusin's Theorem
Theorem. If (X, X, p) is a complete measure space for which p is a countable
sum of finite measures, for example, if p it a finite, then .rd(1) = T.
Then p is a Choquet capacity relative to (X, i'). In fact the defining property
Section 1(a) is trivial, (b) is a standard property of outer measures defined
in this way, and (c) is a standard property of finite measures. According to
the Choquet capacity theorem, the sets of .W(X) are capacitable, and in the
present context capacitability and measurability are equivalent.
752 .Capacity Theory
Al!.
inf {P(B): B D A, Be .F }.
(c) For an arbitrary strictly positive integer n when AI, .... A and
Bl, ...,Bnare in !and AicBBforj<n,
I(Ue,)+1(At)<>1(Bt)+/(UA). (6.1)
J t i t
In fact under (a) and under (c) with n = 2 inequality (6.1) yields (b) when
A, = A n B, A2 = A, B, = B, B2 = A. Conversely, if (a) and (b) are true,
(c) is proved as follows. If A = B, and B = A I u B2, conditions (a) and (b)
yield
These two inequalities combine to yield (6.1) for n = 2, and the general case
is proved by induction. If (6.1) is true for a countable sequence (involving
countable unions and sums) of pairs (As, BB) in X with Aj c B,, the set
function I is called countably strongly subadditive.
Let I be a positive strongly subadditive set function on (X, .1), and let f be
a subclass of T,, closed under finite intersections and countable unions.
Define the function A F-+ 1 *(A) from the class of all subsets of X to 68' by
then 1 * is an extension of I, does not depend on the choice of- f, and is a Choquet
capacity on X relative to X, countably strongly subadditive on the class of all
subsets of X. If I *(A) < + oo, the set A is (X, .Y) capacitable if and only if to
each e > 0 correspond sets A. in .Q'a and A; in X satisfying
The limit on the left is therefore at least (and trivially at most) I*(A).
(ii) 1 * is strongly subadditive on the class of all subsets of X. In fact,
since the inequality in Section 6(b) is true for A and B in d", increasing
sequences of pairs (A, B) yield the same inequality for sets in Y. If A and B
are arbitrary and if either P (A) or P (B) is infinite, this strong subadditivity
inequality is trivially true for P. If both values are finite and A e A' a X,
BcB'e.T.then
I *(A v B) + /*(A n B) < 1 *(A' u B') + !*(A' n B') < !*(A') + 1 *(B'), (7.5)
and (ii) is true because the right side can be made arbitrarily close to
!*(A) + I*(B).
(iii) A. T A implies that P (A.) -4 !*(A). This conclusion is trivial if
+oc. If this limit is finite and if t > 0, choose A;, in 1 in
such a way that A. D A,,, 1*(A,,) < 2-"e. By strong subadditivity
[see (6.1)]
(7.6)
1 J \1 JJ
Hence
The conditions (a), (b), and (i)-(iv) imply that I* is a countably strongly
subadditive Choquet capacity relative to (X, 1). The last assertion of the
theorem is trivial. There remains the proof that I* does not depend on the
choice of 9i . Let 1, be the Choquet capacity obtained with the choice
9C = X and let 1* be the Choquet capacity obtained with some other
choice. It is assumed that (b) in the theorem is true for both choices. It is
trivial that 1; 5 P and that there is equality on 9C and therefore also on X..
Now if A is an arbitrary subset of X,
8. Topological Precapacities
Let (X, 9C) be a locally compact second countable space together with its
class of compact subsets. Suppose that I is a function from £ into l with
the following properties:
(a) I is strongly subadditive on T.
(b) If A. is a monotone sequence of compact sets with compact limit A,
then 1(A).
Then I will be called a topological precapacity on X. Theorem 7 can be applied
with t the class of open subsets of X if 1*(A) = I(A) for A compact, and
this is true because if B. is a decreasing sequence of relatively compact
open subsets of X with no B = no B = A, then in view of (b) and the
fact that 1(A) 5 5
1(A) 5 lim 5 lim I(B,) = 1(A). (8.1)
M-10 n-.o
The class of capacitable sets includes the analytic subsets of X. A set A with
1*(A) finite is capacitable if and only if to each s > 0 correspond a compact
subset A; of A and an open superset A, of A such that 1 *(A,') < 1(A + C.
Letting a run through a sequence with limit 0, it follows that A with 1 *(A)
finite is capacitable if and only if there is an F. subset A' of A and a Ga
superset A" of A such that 1*(A') = 1*(A) = 1*(A"). This condition is
trivially necessary and sufficient for capacitability of A when 1 *(A) = + oo.
756 A. If. Capacity Theory
Note, however, that if A has compact subsets with arbitrarily large values
of 1, then 1 *(A) = + oo, and A is capacitable no matter how complicated
its structure.
EXAMPLE. Let (X, 3r) be R together with its compact subsets, and define
1(A) for A compact as 0 or I according as A is empty or not. Then I is a
topological precapacity. Let . be the class of open subsets of R. The exten-
sion l* is l on every nonempty set, and all sets are l* capacitable. Observe
that l* has the property that there is a decreasing sequence A. of capacitable
sets for which
1*(0 -X
0
Let I be a function from the class of all subsets of a locally compact second
countable space into 9'. Suppose that I is monotone increasing, that the
restriction of I to the class of compact sets is a topological precapacity, and
that if B is open
so that
!(?) c A(V(I)) c V(.fl,
that is, .c1(?l( )) = 1(.").
9. Universally Measurable Sets 757
If f is a map from the measurable space (X, 37) into the measurable space
(Y,,Y) and if f -' (,Y) c f that is, if f is measurable, a measure p on X trans-
forms into a measure Nf on IN by way of pf(A) =,u [f -'(A)]. Moreover, if µ
is complete, this relation remains valid for A in the domain of the completion
of pr. In particular, this relation is valid for A in V(Y) and c:
*(X); that is, f is measurable from (X,,&(. ')) into (Y, W(G')).
Appendix III
Lattice Theory
1. Introduction
The following is an outline of the lattice theory used in this book. Elementary
proofs are omitted or merely sketched. Vector spaces are always over the
reals. The reader is warned that the nomenclature of this subject has not
been standardized and that therefore the definitions given below are not
universally accepted.
2. Lattice Definitions
A lattice is a class of objects ordered by a transitive reflexive binary relation
for which every pair x, y of the objects has a unique order supremum x Y y
and infimum x A y. The lattice will be called complete if every subset has
a supremum and infimum. If every upper-bounded subset has a supremum,
then every lower-bounded subset has an infimum, the supremum of the lower
bounds of the subset, and if every lower-bounded subset has an infimum,
then every upper-bounded subset has a supremum, the infimum of the upper
bounds of the subset. If these suprema and infima exist, the lattice will be
called conditionally complete.
A lattice will be said to have the countability property if each subset which
has a supremum [infimum] contains a countable subset with the same
supremum [infimum].
A subset of a lattice is called a sublattice if x Y y and x A y are in the
subset whenever x and y are.
3. Cones
A cone is a set closed under a commutative addition operation (x + y) and
multiplication by positive constants (cx) satisfying the usual associative and
distributive laws together with
x+y=0=x=y=0.
x + J. = x + y' . y = y' (unique subtraction).
4. The Specific Order Generated by a Cone 759
(cx, , cx2) if c Z. 0,
c(x, , x2) _
((-c)x2, (-c)x,) if c < 0.
The cone . t' is identified with the class of elements of .9 having representa-
tions of the form (x, 0), and (x, , x2) is also written x, - x2 when there is no
danger of confusion.
xYY+xAy=,r+Y. (4.1)
_'+xYy=(z'+x)Y(z'+Y)-< ,r +Y;
so z' -< z, and it follows that z = x,A v, as asserted.
760 All. Lattice Theory
If .4' is a vector space and if .N' is a cone in #, the space A! can be given
a transitive reflexive order by setting x < y if y - x e . Y. The order thereby
assigned to .4' is the specific order, and .N' becomes the set .4' K+ of positive
elements of .,K, that is, the set of elements x 0. This ordering of .,' is
called the specific order relative to X. It is trivial that in this order the pair
of relations x< y and y< x implies that x = y. Conversely, let .,K be a
vector space with a transitive reflexive order in which this implication is
valid and in which x< y implies both that cx < cy for c e 68+ and that
x + z < y + z for z e.,&. The set .&+ of elements ::0 is then a cone, and the
.4' order is the specific order relative to .,#+.
5. Vector Lattices
x-[(x-x,)A(x-x2)]
and that then the desired infimum is given by -[(-x,) Y (-x2)]. A
vector lattice .41' is [conditionally] complete if and only if its positive cone
is [conditionally] complete in its specific order. For example, if .,K+ is
conditionally complete, a subset {xa,aeI} of .. t' with an upper bound x
has a supremum, namely x -,&, , (x - x.).
If I( is a vector lattice,
and
The property (5.2) can be used to deduce properties involving suprema from
dual properties involving infima and conversely. We shall use the notation
x+y - X.
that is, (4.1) is true for vector lattices. We rewrite this result for later reference
together with some useful relations easily deducible from it.
It A(x,Yy)_(AxaYy. (5.6)
;Cl SEl )
Only (5.5) will be proved. The right side of (5.5) majorizes xa A y for every a,
and conversely, if x x. A y for every a, then
Yy;
Ky
aEl J
so
Yxa+y-[(Yx,)Yy]=(Yx))Ay,
and therefore (5.5) is true.
-All
762 A.M. Lattice Theory
x2=(x-y1)Y0,
so that x2 is positive and is majorized by y2.
This decomposition theorem implies that if y1, y2, y are positive elements
of a vector lattice, then
x1 + x2 = (Yi + Y2) A Y.
Ix,+X21Alyl_IxtIAIYI+Ix2IAlyl=o.
The band condition (b) is obviously satisfied by X'; so if x and y are in
Xl, the elements lxl, lyl, lxi + IyI, x Y y, x k y are also in Xl, which is
thereby seen to be a sublattice of the given lattice..K. To finish the proof, it
will be shown that if {x., a E 1) is an arbitrary subset of X 1 with a supremum
Y, E, x, = x, then x E X 1. Suppose first that x. has a smallest element, say
xs = A,E,x Then YE,(x, - x5) = x - x,,, and if y is in X, an applica-
tion of the distributive law yields
I a6l
y (X. - IyI=QY[(xa-xp)A IYI]=0;
so x - xp, and therefore x are in A. In the general case choose any index
value fi, and replace x, by xQ = x, Y x, for all a. The set x; has a smallest
element ; so its supremum x is in X1, as was to be proved.
9. Projections on Bands
If X is a band in a conditionally complete vector lattice i, define the map
nX from .11 onto X by
n.-x= 1 / x A y (9.1)
YEJ,
for x 0, and for arbitrary x define n x = n,,-x+ - it x-. The map n,,,
reduces to the identity on X and tr,, x x for x 0.
If ye.K and if x 0, then IyI A (x- n, x) + it, x x, and since the left
side is a positive element of A, it follows that operating with it, on both
sides shows that the left side is majorized by it, x. Thus 0 IyI A (x - a, x)
0. The indicated infimum is therefore 0; that is, x - it, xe.,4%l, and x can
be written in the form x = x, + x2 with x, = 7r, x e . V' and x2 = x - tr , x C-
A". This representation of x as the sum of an element of ,'V and one of
.N'1 is trivially extendible to not necessarily positive elements x. Since such
a representation must be unique, ..# is the direct sum of .A" and /V l ,,y 11 =
At, and the map x i--* x, = it, x must be linear. Replace X by rV' above to
find that x2=rr,,x.
so (k oo) nx rr2 x rzx, and it follows that it = 7<2. The map it is additive
because on' the one hand using (6.2)
12. Order Convergence 765
n(x + y) nx + ny (11.3)
an d on t he other h an d
xAkz+ Y [yA(n-k)z]=xAkz+ny;
.Gz
(11.4)
Then
Moreover any increasing sequence s, in I with s >_ t for all n has these
same properties. Thus if 1 has a cofinal increasing sequence, we can increase
t. above if necessary to make t, cofinal in addition to the above stated
properties.
lim ,& x(t) = lim infx(t), lim Y x(t) = lim sup x(t)
A"W 12!1, it n-. ,,2,n it
and that ifs is an upper bound of t,, then (13.1) is true. If I has no cofinal
increasing sequence, there are (infinitely many) such points s, and we are
done. If I has a cofinal increasing sequence, the sequence t, is cofinal, and
we define 1 = {t: t 5 t < Let I be a countable subset of I., chosen
so that has the same infimum and supremum on I as on I,,. The set
J = Uo I satisfies (13.2).
Appendix IV
QE1 ail a E I
Borel subsets of X, that is, the a algebra generated by the class of open
subsets of X. If (X, X) and (Y, 1) are measurable spaces, a function 0 from
X into Y is defined as measurable if 4 '(S() c .Q', and for this it is sufficient
that O'(A) E- 5C for each set A in a subclass of N which generates the a
algebra V. If 01 is a measurable function from (X,1) into (Y,?J) and if 02
is a measurable function from (Y,g) into a third measurable space (Z,.'),
then the composed function ¢2(¢,) is measurable from (X, X) into (Z,.7).
If X is a set, if .tea is a a algebra of subsets of X for each point a of some
index set 1, and if ¢ is a measurable function from (X, Y., I 9a) into a
measurable space (Y, 1), then if 'J is countably generated, there is a count-
able subset J of / such that 0 is measurable from (X, YE J .tea) into (Y, 9). In
fact it is sufficient to show that for each set A in a countable generating class
for Y the set 0-'(A) is in the a algebra generated by a countable subclass of
.. ., and we have already remarked in Section 1 that this is true.
Suppose that to each point t of a set I corresponds a measurable space
(X, i). The product a algebra X, 1, is defined as the a algebra of subsets
of the product space x,,, X, generated by the class of product sets x,,, A,
with A, = X, for every value of t with one possible exception and for that
value A, e..G,. The product measurable space is defined as (x,E, X, X,, , X,).
If (X, X) is a measurable space and if (X, Y,) is a replica of (X,.7) for every
t in a set 1, we denote the product measurable space by (X, V), or by
(X`, ik) if 1 has cardinality k.
3. Composition of Functions
If y is a function from a space X into a measurable space (Y, 'J), the smallest
a algebra F of subsets of X making _y measurable from (X, .F) into (Y, ')
will be denoted by .f {y}. That is, ..{y} = y-'(N) is the class of subsets of
X of the form l y e A} with A in I'. If Qi is a measurable function from (Y, IN)
into a measurable space (Z, .'), the composed function z = 4)(y) is measur-
able from (X,.F{y}) into (Z,-7). Conversely, if z is a measurable function
from (X, .F{ y}) into (Z, .'), it is a useful fact that z must have this form
4)(y) under suitable restrictions on the measurable space (Z, .7). The follow-
ing lemma, stated in the preceding context, gives one such restriction.
Lemma. Let (Z, .7) be a Polish space coupled with its class of Borel sets. Then
if z is a measurable function from (X, 9 (y)) into (Z, -7), there is a measurable
function 0 from (Y, I/) into (Z, 7) such that z = 0(y).
We can suppose that Z has been assigned a metric making the space
complete and separable. To prove the lemma, suppose first that z has as
range a sequence C. of points of Z. Then z-' ({,) e.F{y} ; so there is a (perhaps
not uniquely determined) set B; in ' such that z-'(C;) = y-'(B,). If we
replace Bo, B, , ... by Bo, B, - Bo, B, - (Bp u B,), ... if necessary, we can
4. The Measure Lattice of a Measurable Space 769
nJ
The only nontrivial part of this assertion is the countable additivity of the
set functions defined in (4.1). If A(A) is the right-hand side of the first line
and if A = U 'o AJ (disjoint union),
A(A)=sup{E [p(Bj)+v(Aj-By):BcA,Bj:BAJ}
(4.2)
M 00
Thus A is a measure, and an analogous argument shows that the second line
of (4.1) defines a measure.
The class ...r has the identically vanishing measure as order infimum and
the measure assigning + oo to each nonempty set as order supremum. More-
over the lattice /l+ is a complete lattice. In fact we now prove that an
arbitrary subset { pa, a e 1) of ..K+ has an order supremum (and therefore
also an order infimum). In proving that the supremum exists it can be
supposed that p, contains every supremum of finitely many of its elements
because adjoining these suprema does not change the conditions for an
overall supremum. Define p on . by p(A) = sup,E f p,(A). It is trivial that
p= j pQ once it is shown that p is a measure. If A = Uo Aj (disjoint
union),
no
Support of a Measure
A support of a measure p on (X, ') is a set with the property that its comple-
ment is p null. In some contexts uniqueness can be attained by a further
condition on a support. For example, if p is a measure of Borel subsets of
an open subset X of G8", finite on compact subsets, then p has a smallest
support closed relative to X.
Orthogonal Measures
If p and v are measures on (X, 1), they are orthogonal if p A v = 0, that is,
if (p A v) (X) = 0. This condition is satisfied if and only if the measures have
5. The a Finite Measure Lattice of a Measurable Space (Notation of Section 4) 771
Theorem. The lattice K,+ has the countability property; that is if { p2, ae I} is
an upper-bounded subset of .,ll;, there is a countable subset J of I such that
YYEJp2 - YQEIp3
p Y P. = (Y /
n21
lean f " i 2= Y (pen Y P2)
n21
Hence by definition of p,
This particular Jordan decomposition is minimal in the sense that p < p' and
v < v' whenever p' - v' is a Jordan decomposition of A. Conversely, if u and
v are measures on X, their difference p - v need not be a signed measure,
but if both p and v are a finite, there is an increasing sequence B. of sets
with union A 'such that both u and v are finite on every set BB ; so the restric-
tions of p and r to the class of subsets of B, are finite. and we can therefore
build a set A' from the positivity sets of these restrictions such that p > v
on the subsets of A+ and p < v on the subsets of A- = X - A'. In this way
we have found what amounts to a Hahn decomposition of X for p - v and
thereby found a Jordan decomposition of this difference, although the
difference may not be defined on all T sets. In Section 7 such differences will
be rigorously defined and ordered to obtain a vector lattice.
Charges
topology that . ' is either the class M(.') of Borel subsets of X or the perhaps
partial completion of .(9t") relative to some class of measures. Suppose now
that X is a locally compact second countable Hausdorff space. (In this book
X will in fact usually be an open subset of IB".) In this context it is to be
understood in the absence of a contrary statement that the set functions are
finite valued on compact sets. A member y of .,lf, for which 1µ I = µ+ +,u-
is finite valued on compact sets will be called a charge. If either µ+ or µ- is
finite valued, the charge can be identified with the signed measure µ+ -,U-,
in particular with the measure µ+ if µ- = 0. We shall not use the term
"Radon measure" in this book, in which "measure" always implies positivity.
The class of charges is a sublattice of ..lf, and is itself a conditionally complete
vector lattice with the countability property.
In the following sections it is to be understood that the measures and
charges discussed are defined on some measurable space, specified further
as needed by the context.
µ.(A) = d2di.
Je
Theorem. The lattice A' * is complete, and .,# is conditionally complete. Both
lattices have the countability property that the supremum [infunum] of a set,
iJ it exists, is the supremum [infimum] of a countable subset.
10. Order Convergence of Families of Measurable Functions 775
Since the transformation ft.-. arctan f is order preserving from &* into
..U; , it is sufficient to prove the assertion of the theorem for .,# and there-
fore for .,/!; ' . Each element f of . K; ' determines an element p f of .,#, by
way of du f = f d.1, and the map f " p f is an order isomorphism between . K;
and the lattice of A absolutely continuous elements of .11 . The theorem now
follows from the conditional completeness of #Q and Theorem 5.
and the essential limit infimum is defined dually. A function f is called the
essential limit off if both the essential limit superior and essential limit
inferior are equal A almost everywhere to f.
because the sums of the integrals of the bracketed A almost everywhere posi-
tive functions converge. Hence (10.1) is true with t, the set {1,,j: n >_ 0, j < a j
arranged in increasing order.
Generalization
limsupj'[ y(t)]
n-al rt
Let ,x(t), te!} be an upper-directed (in the essential order) family of mea-
surable functions from the a finite measure space (X, fit", A) into OB. The
ordering of the functions defines an ordering of I, and
[If 1 does not have a countable cofinal set, this result is trivial because
according to Theorem 111.12 there is a point t' of I such that x(t) = x(t')
almost surely whenever t >_ t'.] If ess inf,E, x(t) >_ 0, then
1. Measures on Polish Spaces 777
f ess lim inffp dA = lim f ess inf fp dA. < lim inf fX f dA.
X
pt at x /Za at
D rop the positivity hypothesis and apply the usual argument using Fatou's
lemma to prove the Lebesgue dominated convergence theorem in the present
context: if ess limpt fp =f exists and if ess suppE, fpl is A integrable, then
f fdA=lim f fpdA.
X
Pt x
We sketch the proof for A a finite measure. In the first place (11.1) is
true if "compact" is replaced by "closed" because the class of Borel sets A
for which (11.1) as so modified is true includes the closed sets and is closed
under countable unions and intersections, and is therefore .4(X). Thus it is
sufficient to verify (11. I) as stated for closed sets A. Let A be a closed set,
and let a be a strictly positive number. In some metric for X let A. be a
sequence of nonempty closed subsets of A, of diameter < 1, with union A.
Define Bo = A and B, = Ui=o At, where n is so large that A(B,) > A(Bo) - e.
Continue by induction: if Bk has been defined as a closed subset of Bk_,
with A(Bk) > A(A) - t, we can use the preceding argument to find Bk+,, a
closed subset of Bk, the union of finitely many closed sets of diameter
< 1/(k + 1), with A(Bk+,) > A(A) - E. The set B = nk o Bk is a closed set
which can be covered by finitely many sets of diameter < 1 /k for every k > 0;
so B is compact. Moreover A(B) z A(A) - E. Hence (11.1) is true.
This theorem implies that for any a finite Borel measure p on a Polish
778 A.IV Lattice Theoretic Concepts in Measure Theory
space the class of continuous functions with compact support on the space
is a dense subset of L' (µ).
In particular, if (12.2) is required only when each set S. is a closed ball with
center 5, the derivate is called the symmetric derivate. The convex derivate
exists at v almost every point C, and the derivate function is v almost surely
the Radon Nikodym derivative dp/dv. The latter notation will also be used
for the convex and symmetric derivates, with the intended interpretation
always specified.
If there is a finite number q such that
0,
d1/`v
d
dtp - qvl
dv
° 1.I-gj (12.3)
t' almost surely; so (12.3) is true v almost surely simultaneously for all
rational q, and it follows from an easy continuity argument that (12.3) is
true almost surely simultaneously for all q. If C is not in the exceptional set
for the last statement, set q = J(C) to complete the proof.
Appendix V
Uniform Integrability
This Appendix. consisting of only one section, lists for easy reference what
is needed in this book of the uniform integrability concept.
It will be convenient to call a function 1 from R* to 68+ a uniform
integrabilityy test function if b is monotone increasing and convex and if
lim,_m [O(s)/s] = + x.
Let (X,.£',A) be a measure space with i.(X) < +x. All functions on X
in the discussion below are measurable from (X, I") into (l . (OB)) unless
specified otherwise. Recall that a family , j,, I E I) of such functions is said
to be uniformly integrable (relative to i.) if
limsup lJ,Idi.=0.
n-x tel
f1UP"I
The following uniform integrability properties are used in this book. Except
in (d), all functions of the family are in L'(;.).
(a) The family.f is uniformly integrable if and only if it is L' bounded
and if the set function family ; A F-. f A Jj; J(1i., t E i) is uniformly absolutely
continuous relative to i. ; more formally J; is uniformly integrable if and
only if
lim fX f,"g di = lx fg dl
"-aD
Generalization
Let (X, ') be a measurable space, and let I be an arbitrary nonempty set.
Suppose that for each t in I there is a function f, on X and a finite measure
A, on 1'. The family is said to be uniformly integrable relative to A. if
The obvious translations of (a) and (b) into the present context are valid.
Appendix VI
1. Kernels
Let (X, £C') and (Y, 4.1) be measurable spaces. A kernel from the first space
into the second is defined as a function from X x Y into G'8+ with the follow-
ing properties:
(KI) A) is X measurable when AE*.
(K2) p(l;, ) is a measure on W when e X.
The kernel is called substochastic if I and stochastic if p(-, V) __ 1.
If (X, X) = (Y, W), the kernel is said to have state space (X, 1).
A) = q)).(dq) ( e X, A E 'J)
JA
Notation
If p is a kernel from (X, f) into (Y, IN) and if f is a measurable function from
(Y, IN) into (U8,.V(fi)), we write p(, f) for j,. dry) when this integral is
well defined, for example, when f >_ 0 and f is Y measurable. If p has density
q relative to a specified measure, we also write f) for p(-, f ).
Let p be a substochastic kernel with state space (X, 5C'). This kernel can be
extended to be stochastic as follows. Adjoin a trap point (also called a
cemetery) 8 to obtain an enlarged space X' = Xu {8}, and define F as the
782 A.V1. Kernels and Transition Functions
3. Transition Functions
Let I be a linearly ordered set, let (X, ') be a measurable space, and suppose
that to each pair (r, s) of points of I with r < s corresponds a stochastic
kernel p(r, , s, ) with state space (X, 9C') such that for A in *' and r1 < r2 < r3
in I the Chapman-Kolmogorov equation
definition will be specified explicitly. The parameter set is usually either the
set of strictly positive integers discrete parameter case or the interval ]0, + 00[
(continuous parameter case).
Let (X, _f) be a measurable space, let p(1, , ) be a kernel with this state
space, and define inductively a sequence of kernels with this state space by
Then
Let (X, ") be a measurable space, and let p be a function from ]0, + cc [ x
X x .£ into R with the following properties:
(a) For each t in ]0, + o t,[ the function p(t, , ) is a kernel with state
space (X, X).
(b) The Chapman-Kolmogorov equation (3.3) (with r and s now in
]0, +oo[) is satisfied.
If each kernel p(t, , ) is stochastic, the function (r, , .s, A) r-. p(s - r, , A)
for 0 < r < s is a transition function with parameter set ]0, + oo[, but as in
the discrete parameter case the function p itself is called a stationary or
temporally homogeneous transition function. If the kernels are allowed to
be substochastic, in which case p is a substochastic transition function, a
784 A.VI. Kernels and Transition Functions
single trap point can be adjoined to X to make each kernel p(t, ,) stochastic
and thereby extend p to be a (stochastic) transition function.
Then
(,A)-' f(t)p(t,,A)!t(dt)
0
lim (1.1)
'-' Jx
The following theorem gives conditions that such a limit relation be true.
The conditions are phrased for ease in application rather than for maximal
generality.
If the right side of (1.2) is +oo, inequality (1.2) becomes trivial. Thus to
prove (1.2), which implies the last assertion of the theorem, it is sufficient to
show that if f _< a < + oo on a deleted open neighborhood A of C, then the
left side of (1.2) is at most a. We can suppose, adding a constant to f if
necessary, that a Z 0. Then
as was to be proved.
786 A.VII. Integral Limit Theorems
lim °" _
Al
a. b dH (0). (2.2)
Suppose it has been proved that (2.2) is true under the following special
conditions. t1 e F, U > 0. and the derivate in (2.2) is the symmetric derivate
and vanishes. It then follows that (2.2) is true for U in f whenever the
derivate on the right exists as a symmetric variational derivate (see Section
IV.12 for the derivate definitions). In fact if q is the value of this derivate.
J' k(n,rl)IU-gHI(dq).
lima-"=0
w b"
Theorem. Suppose that a", b" as defined by (3.1) are finite for all n and that
the following conditions, in which p is some strictly positive integer, are satisfied.
(a) k" is positive and monotone decreasing and has a continuous derivative
k;,.
(b) If a > 0,
fa
lim infk"k"(a) ' 1t (dr) = + oo.
o "°c
(c) There is a strictly positive function f on 68+ such that the function k"/f
is monotone decreasing for large n and that fo fda < +oo.
,in P
(d) liro P(r) 0, soup fi(r) < + oo.
To prove the theorem, choose t strictly positive and so small that the
limit superior in (d) is strictly less than I/E. If a is so small that cc <- E3 on
[0, a], then
fa fa fa
k" da = a(a)k"(a) - ak;, d1 t < a(a)k"(a) - E f3k;, d1 t
0 0 o
(3.3)
(3.4)
j k dot
lim sup b" < e + lim sup
"-°°
o f " 1, (dr)
r" f f da 5 jfdrx.
[Incidentally this inequality shows that condition (c) implies the finiteness
of a..] In view of condition (b) the limit superior in (3.5) is 0, and therefore
(3.2) is true.
L0 K(s, r) _ 0.
K(so r)b(s)N -
4. A Ratio Integral Limit Theorem Involving Convex Variational Derivates 789
u(g,s) dU (r)
lim sup = 0. (4.2)
s~o It-Slsca(s) h(l:,s) dH
Observe that (Section IV. 12) dU/dH and d1N/dH exist and are finite as convex
variational derivates at H almost every point C of RN.
For fixed H the class of charges U satisfying (a) is linear, contains I U1
with U, and contains H. Hence according to the argument in Section 2, it
is sufficient to prove that (4.2) is true for C when U is positive and both
dlN/dH and dU/dH exist as finite convex derivates with (dU/dH)(C) = 0. To
simplify the notation, we assume that C = 0. For r > 0 define r) and
(3(l;, r), respectively, as the U and H measures of r), and define a(l;, 0) _
0) = 0. By definition of the convex derivate
r).
lim sup cr = 0,
r-o W, r)
rN
limsup
r~o
I < cr < +00.
r)
so that
If now e > 0 and if a is so small that a(g, r) < r) when I :!5; cr and 1
r S a, then the right side of (4.6) is majorized when K'a is replaced by eK'Q,
and integration by parts yields
790 A VII. Integral Limit Theorems
+e K(s, r) r)
>aw).a1
<
da(, r) <
K(s. r) + (4.8)
s) K(s, d(s))
Finally, if so is chosen as in condition (d) of the theorem, if e' > 0, and then
if s is sufficiently small,
l[
N
K(s, r) ha(S, r) < e' K(so, r) r) b(s)
I M.+ao[
S)
h
<
K(s, b(s))
Now u//i is the sum of the integrals on the left in (4.5), (4.8), and (4.9). The
first of these integrals tends to 0 with s when I I < cb(s) by (4.3). The second
can be made arbitrarily small in the limit (s 0) by choosing a small and then
choosing a small. For such a choice of a the right side of (4.9) is arbitrarily
small with c' when I 1 <- cb(s). Hence Theorem 4 is true.
Appendix VIII
simultaneously for every rational c and therefore for all c. Then u' is lower
semicontinuous, u' < u', and {u' > c} = {u' > c} for all c. Hence {u' z c} _
{u' >_ c} also, and subtraction yields {u' = c} = {u' = c}; so u' = u'. The
second assertion of the theorem is left to the reader.
and it follows that u' 5 u'. The reverse inequality is trivial; so there is
equality. The second assertion of the lemma is left to the reader.
Historical Notes
The modernization of classical potential theory during the last fifty years
has proceeded for the most part in small steps, many of which were more
and more rigorous derivations in more and more general contexts of facts
stated years earlier. Thus it is certain that the following notes, which give
reference to the "originators" of the more important advances, will appear
to knowledgeable readers to be inaccurate and unfair. The historical notes
to the probability discussion are only slightly more reliable. It is trivial for
research mathematicians to discover mistakes in historical accounts of their
own subjects, especially when the accounts rely on publication dates and on
the references in research papers. Thus no one should have much confidence
in a detailed history of the development of a mathematical theory. The
difficulty is compounded by the fact that many theorems are proved by
several authors in more or less overlapping formulations and that (see the
many papers on the Martin boundary) authors are frequently unwilling to
read their colleagues' papers carefully enough to state for the record the
exact differences between the scopes of their papers. Thus the reader is
requested to read the following notes with a grain of salt and a lump of
tolerance.
Part 1
See Burkhardt and Meyer [1, 1900] and Lichtenstein [1, 1919] for reviews
of nineteenth and early twentieth century potential theory, and see Kellogg
[2, 1929] for potential theoryjust before its renaissance. See Brelot [11, 1952]
and [17, 1972] for more modern reviews. The books of Tsuji [1, 1959].
Helms [1, 1969], Brelot [15, 1969], Constantinescu and Cornea [1, 1972],
Landkof [l, 1972], and Wermer [1, 1974] on potential theory contain much
of the material in Part I but are organized differently with emphasis on
different aspects of the subject. The books of Murali Rao [4, 1977], Port
and Stone [1, 1978]. and Chung [2, 1981] derive their potential theory as
a by-product of probability.
794 Historical Notes
Chapter 1.1
Chapter 1.11
Chapter 1.111
Chapter l .I V
Chapter IN
Section 1. Brelot [5, 1941] introduced polar sets to take the place of sets
of inner capacity 0 (called inner polar sets in this book) as the negligible
sets of classical potential theory. Cartan proved in [2, 1945], although he
announced the result in [1, 1942], that the polar sets are the sets of capacity
0 in the capacity definition of Chapter 1.XIII.
Section 2. Choquet [2, 1957] showed, in a trivially different context, that
if A is a polar Ga subset of a Greenian subset D of I", then there is a measure
p supported by A such that A is the set of infinities of GDu. G. C. Evans had
proved the existence of such a potential for A polar and compact.
796 Historical Notes
Chapter I . V1
Chapter 1.VII
Chapter 1.VIII
See Vasilesco [3, 1938] for a survey of progress in the Dirichlet problem
just before Brelot's [3, 1939] definitive study of what is now called the
PWB method.
Section 1. The fact that relativization of a family of functions having an
average property (1.1) yields a family with a corresponding average property
(1.3) was pointed out in [Doob 9, 1958]. In a Markov process probabilistic
context this relativization corresponds to a modification of transition prob-
abilities (Section 2.VI.13) conditioning paths to go where the conditioning
function is large. The analysis of the Dirichlet problem on a Greenian subset
of R" provided with its Martin boundary in [Brelot 13, 1956] was essentially,
although not explicitly, for relative harmonic functions.
The Dirichlet problem for harmonic functions has been attacked in several
ways, but it was finally seen that each way involves two distinct problems.
(i) The first problem is to find, for a specified suitably restricted boundary
function f, certainly for an arbitrary finite-valued continuous boundary
function f, a perhaps generalized "solution" u1. The function u f is to be
harmonic, and if the given domain and the given boundary function are
sufficiently smooth, the function of is to have boundary limit function f;
that is, of is the solution of the Dirichlet problem in the classical sense.
(ii) If of exists and if a domain boundary point i; is specified, the second
problem is to find conditions on the domain and boundary function ensuring
that of has limit f(C) at C. The simple Zaremba [1, 1911] example [Section 2,
Example (a)] and the more discouraging Lebesgue [1, 1912] spine example
(Section 15) showed that the Dirichlet problem may not be solvable in the
classical sense even when the boundary is the Euclidean boundary and
the boundary function is finite valued and continuous. Poincar6 [1, 1890;
2, 1899], however, had shown that for a sufficiently smooth Euclidean
boundary the Dirichlet problem has a solution in the classical sense for
every finite-valued continuous boundary function. The problem of finding
Dirichlet solutions in more general contexts was solved by generalizing the
798 Historical Notes
Chapter I.IX
Everything in this chapter is in the folk lore of potential theory. and much
of it has appeared explicitly.
Sections 9 and 10. The classes of quasi-bounded and singular harmonic
functions were first discussed by Parreau [I, 1951].
Chapter I.X
Chapter 1.X1
See [Brelot 16, 1971] for further elaboration of the fine topology and its
applications.
Section 1. Brelot [4, 1940] defined thinness of a set at a point by X1(2.1).
Cartan pointed out in a letter to him that thinness could be interpreted by
means of what is now called the fine topology. For some years thereafter,
however, the fine topology was merely a tool for phrasing results elegantly;
in fact topological language was not commonly used in discussions involving
thinness. Cartan [3, 1946] noted that the fine topology is the restriction of a
certain topology of measures to the class of unit measures supported by
singletons. According to Constantinescu and Cornea [1, 1972]. the Baire
property of the fine topology was noted by Cornea in 1966.
Section 4. The existence of the fine limits in Theorem 4(a) was proved by
Doob [8. 1957] by probabilistic and [11, 1959] by nonprobabilistic methods.
The present proof is new. The identification of these limits could easily
(see the application in Section XII.19) have been made in these earlier
papers but was not.
Section 5. See [Brelot 6, 1944] for classical potential theory extended
to If8" u { oo ; .
Chapter l.Xll
Sections 1 to 9. Martin [1, 1941] defined what is now called the Martin
boundary and proved what is now called the Martin representation theorem
(Theorem 9). By now the Martin boundary of a set D on which harmonic
functions in some generalized sense are defined is a rather vague concept.
Roughly any set of points (, to each of which corresponds a minimal har-
monic function K(C, ), which is adjoined to D along with possible other
points to form a topological space and which then gives as a representation
of an arbitrary positive harmonic function u an integral J K(C, )MM(dd) is
called a Martin boundary for D. The treatment in Sections 1 to 9 follows
Martin as modernized by Brelot [13, 1956] and put into the context of
h-harmonic functions. The significance for its Martin representation of quasi
boundedness of a harmonic function was pointed out by Parreau [1, 1951 ].
Section 10. Theorem 10 is due to Brelot [ 13, 1956]. Heins [1, 1959] defined
a "generalized harmonic measure" on a Riemann surface D as a positive
harmonic function u for which 0:5 u< 1 and GMD[U A (I - u)] = 0.
According to the remark "Intrinsic definition of h-harmonic measure,"
such a function u is actually the harmonic measure of a Martin boundary
subset. (The Martin boundary discussion is applicable to Riemann surfaces.)
Sections 11 to 14. Naim [1, 1957] defined the minimal-fine topology on
a Martin space (in a more satisfying way than that in Section 12, where her
elegant approach is considerably abbreviated) and proved Theorems 11,
13, and 14. Theorems 13(a) and 14 had already been proved in different
terminology for D a half-space by Lelong [1, 1949].
Section 16. NaIm [1, 1957] proved the part of Theorem 16 involving
minimal-fine limits. The cluster set part of Theorem 16 is taken from [Doob
11, 1959].
Section 18. Theorem 18 is due to Naim [1, 1957].
Section 19. Theorem 19 was proved by Doob [8, 1957] using probabilistic
and [11, 1959] nonprobabilistic methods. This theorem has been generalized
to axiomatic potential theory contexts by Gowrisankaran (to Brelot har-
monic spaces) and by Sibony (to a context including Bauer harmonic spaces).
See [Taylor 1, 1980] for a simple version of Sibony's result with references
to previous work.
Section 21. Theorem 21 was proved by Brelot and Doob [1, 1963] along
with further theorems on the relations between nontangential and minimal-
fine boundary limits of functions defined on a half-space. See the references
there to work of Constantinescu and Cornea and others on the relations
between nontangential and minimal-fine cluster values of functions defined
on a ball and see [Brossard 1, 1978] for such relations derived in probabilistic
language.
802 Historical Notes
Sections 22 and 23. Theorem 23(a) for n = 2, in the disk rather than the
half-plane context, was proved by Littlewood [1, 1928] long before the fine
topology was invented. His result was generalized to the N-dimensional
context by Privalov [1, 1938]. The proofs of Lemma 22 and Theorem 23
are taken (corrected) from [Doob 16, 1965], an unreadably garbled paper.
Fine topology confusion. Let D be a half-space, let be a finite boundary
point of D, and let A be a subset of D. The relations between thinness of A
at C, minimal thinness of A at C, and the relations between these two concepts
when A is in a cone with vertex S are not obvious and have sometimes been
misstated in the literature. The situation has been complicated by the habit
of Doob and some other authors of omitting the qualifier "minimal" in
discussing minimal-fine limits and cluster values at Martin boundary points.
Jackson [1, 1970] surveyed this situation and made the necessary corrections.
Chapter I.XIII
Chapter 1.XIV
Chapter 1.XV
there that for an open set bounded by hyperplanes the Euclidean boundary
is regular for the heat equation is false.
Section 5. The proof of Theorem 5 is taken from [Tychonoff 1, 1935].
Section 11. See [Moser 1, 1964] for a more precise Harnack-type inequal-
ity than that given in Section 11.
Section 16. The Appell transformation dates back to [Appell 1, 1892].
Chapter I.XVI
Chapter 1. XVII
Chapter I.XVIII
Section 1. Sternberg [1, 1929] was apparently the first to observe that the
Perron method of attacking the Dirichlet problem could be applied in the
parabolic context, although he restricted himself to functions on very special
domains.
Part I 805
Section 4. Babuka and Vyborny [1, 1962] showed that a finite Euclidean
boundary point of a subset D of RN is regular for Laplace's equation if
and only if every Euclidean boundary point s) of D x R is regular for
the heat equation.
Section 6. The iterated logarithm criterion of Example (d) is due to
Petrowsky [2, 1934-1935] who knew that this criterion corresponded to the
Khintchine iterated logarithm law for Brownian motion (Section 2.IX. 15).
Sections 11 and 12. Meyer [ 1, 1962] showed that in a very general potential
theoretic context, defined probabilistically, a set is polar [semipolar] if and
only if it is copolar [cosemipolar].
Section 14. Theorem 14 and Applications (a) and (b) appear to be new.
Applications (c) and (d) in a more general (probabilistic) context are exercises
in Blumenthal and Getoor's [1, 1968] and are proved in their [2, 1970].
Section 15. See [Doob 13, 1960] for a probabilistic version of Theorem 15,
and see Section XIX.15 for a proof of Theorem 15 by Martin boundary
technique. It is natural to conjecture that when h - 1, then (15.1) is true as
a normal limit (that is, as a limit along the normal line to the boundary
point) as well as a coparabolic-fine limit, but in fact Kaufman and Wu
[1, 1982] have exhibited a measure v on the upper half-space D of I such
that lim sup,_0 GD s) = + oo for 0 < c < 1.
According to Theorem 15, a positive parabolic function v on a slab
UFN x ] 0, 6[ has coparabolic-fine limit function AMIN at IN almost every
point of the abscissa hyperplane. Koranyi and Taylor [1, 1983] have shown
that this result can be used to prove Theorem XVI.7 in the special case
h =_ 1, but their method fails for general h. That is, the reasoning used in
proving Theorem XII.21 to go from minimal-fine boundary limits to non-
tangential boundary limits does not seem to have a counterpart in the
parabolic context.
Section 16. In a general axiomatic setting including parabolic potential
theory Janssen [2, 1975] proved that (notation of Theorem 16) h < ii if
suph..4 v(il)/h(,) >_ 1 for Jt, almost every . This result becomes
Theorem 16 with the help of Theorem 14. Blumenthal and Getoor state that
h 5 6 under condition (c') in a more general context but with ti = const as
an exercise in their [1, 1968] and give the proof in their [2, 1970].
Chapter 1.XIX
Part 2
The most useful reference books for Part 2 are [Meyer 6, 1966], [Dellacherie
and Meyer 1. 1975; 2. 1980]. and [Dellacherie 2. 1972]. For Markov pro-
cesses see [Dynkin 1. 1960; 2, 1965] and [Blumenthal and Getoor I, 1968].
[Meyer 8, 1968] contains a useful summary of key ideas in the general theory
of stochastic processes, including classification of optional times, classifica-
tion of types of stochastic process measurability, and a discussion of section
theorems. The books of K. M. Rao [4, 1977]. Port and Stone [1, 1978], and
Chung [2, 1981] are useful references for the relations between probability
and classical potential theory.
Pan 2 807
Chapter 2.1
Chapter 2.11
Section 1. Like the Moliere character who spoke in prose without realizing
it, mathematicians had dealt with optional times for centuries without finding
it necessary to define them precisely. Precise definitions were finally intro-
duced, along with a algebra filtrations, to answer the needs of Markov
808 Historical Notes
process and martingale theories. Meyer [6, 1966; 8, 1968] first classified
optional times.
Section 4. Hunt [2, 1957] was the first to show that in an appropriate
context the hitting time of an analytic set is optional. Doob [5, 1954] had
shown that the hitting time by Brownian motion of a capacitable set is
optional, but in 1954 it was not known that all Borel sets are capacitable
in his context. Meyer [2, 1962-1963] proved that the hitting time of a
progressively measurable set is optional.
Section 7. Observe that predictable optional times are defined slightly
differently in [Dellacherie and Meyer 1, 1975].
Section 8. Section theorems were introduced into probability theory by
Meyer [2, 1962-1963], more successfully in [6, 1966]. See Dellacherie [1,
1972], from which the proof of Theorem 8 is taken, for an elegant unified
approach to them.
Section 9. The proof of Theorem 9 is taken from the correction sheet in
[Dellacherie and Meyer 1, 1975].
Section 10. Dellacherie [1, 1969] proved that, in the notation of this
section, a predictable subset A of If8' x n is semipolar if for almost every
w the set {t: (t,w)EA} is countable.
Chapter 2.III
Before martingales had been formally christened, Levy [1, 1935; 2, 1937],
Bernstein [1, 1937], and other mathematicians had analyzed some of their
properties in special contexts; usually the martingales in question arose as
partial sums n -. Eo y) of a sequence y, of random variables under the condi-
tion E{ y,I ,, . y'1-i } = 0 so that the sums arose as generalizations of
sums of independent random variables with zero means. Ville [1, 1939]
defined a martingale very nearly as a positive martingale is now defined but
tied it to a sequence of independent random variables under analysis. His
fundamental tool, a fact he proved, was that almost every sample sequence
ofa positive martingale sequence is bounded (see Theorem 9). Doob [1, 1940]
discussed martingales and proved the basic martingale convergence theorems
under the name "family of random variables with the property E." ("E"
was chosen not as the initial letter of "expectation" but as the first letter in
the alphabet following D.) Under the respective names "semimartingale"
and "lower semimartingale," submartingales and supermartingales were
introduced in [Snell 1, 1952] and [Doob 4, 1953]. This obviously inappro-
priate nomenclature was chosen under the malign influence of the noise
level of radio's SUPERman program, a favorite supper-time program of
Doob's son during the writing of [Doob 4, 1953]. For further work in
martingale theory see [Neveu 1, 1972] (discrete parameter context) and
[Dellacherie and Meyer 2, 1980] (continuous parameter context).
Part 2 809
Section 4. The trivial but useful map in this section appears to be new.
Section 6. Theorem 6 and its generalizations to various forms of optional
sampling in Chapters III and IV are adapted from [boob 1, 1940; 4, 1953]
with improvements from [Meyer 6, 1966].
Section 9. Theorem 9 is taken from [Doob 4, 1953]. In the martingale
case or the Imartingalel case Theorem 9(a) was proved by Levy [2. 1937].
Bernstein [l, 1937], and Ville [1, 1939].
Section /1. Theorem I I is taken from [Doob 4, 1953].
Section 12. Inequality (12.2) is new, as are (12.3) and (12.4) except when
1. Crossings (implicit in [Doob 1. 1940]) were formally introduced
into martingale theory in Doob [3, 1951], where a variant of (12.3) was
obtained for a martingale and 1. Snell in [I, 1952] extended
crossing inequalities to submartingales and supermartingales. Dubins [1.
1966] obtained a variant of (12.4) with 1.
Sections 13 to 17. These results are taken from [Doob 4, 1953]. In the
martingale case Theorems 13 and 17 were in [Doob I. 1940].
Section 19. This may be the first time that the natural decomposition
theorem appears in print in the martingale theory context, but the result is
merely a special application of the general theory
Section 22. The First application of reduction theory to martingale theory
was made by Snell [I, 1952]. See Neveu [I, 1972] for further discussion of
related problems. The infimum of the class of supermartingales majorizing
a given process under appropriate side conditions is called the Snell envelope
of the given process.
Chapter 2.I V
Sections 6 to 12. Doob [4, 1953] proved the rather trivial discrete param-
eter decomposition Theorem 8 and after searching for several years found a
mathematician who could prove the continuous parameter version Theorem
I 1 [Meyer 4, 1962; 5, 1963]. See the appendix to Meyer [6, 1966] for earlier
decomposition results due to Volkonski, Sur, and Meyer which are for
supermartingales associated with Markov processes. Perhaps as tribute to
Doob's persistent search for this holy grail, the Meyer decomposition is
sometimes inappropriately called the Doob-Meyer or even the Doob decom-
position. Meyer proved Theorem 11 with the monotone increasing process
natural in the sense of Section 7. The equivalence between natural and
nearly predictable [Theorem 7(a3)] was proved by Doleans [1, 1967].
Rao's [1, 1969] proof of Theorem 11 is followed in the text. See [Dellacherie
and Meyer 2, 1980] for extensive applications of the Meyer decomposition.
Sections 17 to 20. Reduction theory in this form seems to be new, but see
also related work involving Snell envelopes by Mertens [1, 1972], Azema
[1, 1972], and Azema and Jeulin [1, 1976]. Results in the latter paper
together with Theorem 13 suggest that in some contexts R i.) in Section 17
should be defined as the infimum of the class of almost surely right contin-
uous positive supermartingales whose left limit processes majorize that of
on A. This definition is also suggested by the awkward extra hypotheses
in Section 18(m).
Chapter 2.V
Chapter 2.VI
This chapter treats only those aspects of Markov process theory needed in
this book. Readers interested in going further into probabilistic potential
theory, which is based on Markov processes, may consult [Dynkin 2, 1965],
[Blumenthal and Getoor 1, 1968], and [Chung 2, 1981]. Knowledgeable
readers will observe that translation operators are not mentioned in this
chapter. They are not needed in this book.
Section 1. A. A. Markov introduced what are now called Markov pro-
cesses into probability theory in [1, 1906].
Section 3. The strong Markov property in the discrete parameter case is
trivial to prove, but the realization that such a property is relevant and
requires proof had to await the sophistication not present before the property
was needed in the technically more difficult continuous parameter case. Even
now rather than explicitly recalling and applying this property, it is frequently
easier, when the discrete parameter strong Markov property is relevant in a
computation, to make the computation detailed enough to avoid explicit
statement and use of the property.
Section 4. Kakutani [3, 1945] defined random walks on domains of R2
as in the example in this section. He proved, omitting some details, what
amounts to the fact that the distribution of x(n) in the example tends to
harmonic measure relative to the initial point.
Section 6. Hunt [2, 1957] was the first to consider in depth the hitting
probabilities of sets by Markov process trajectories.
812 Historical Notes
Section 8. See Meyer [7, 1967] for a more complete analysis of the
filtrations generated by Markov processes. The 0-1 law in this section
is known as the Blumenthal 0-1 law in view of [Blumenthal 1, 1957].
Blumenthal's paper is probably the first paper to treat a Markov process
explicitly as a process adapted to a general filtration and having the Markov
property relative to the filtration.
Section 9. The first version of the strong Markov property in a continuous
parameter context was proved by Doob [2, 1945] in the context of a count-
able state space. Hunt [1, 1956] proved a version for processes with inde-
pendent increments. The first generally applicable versions were proved
independently by Dynkin and Yushkevich [1, 1956] and Blumenthal [1,
1957].
Sections 10 to 12. Hunt [2, 1957] introduced excessive functions and
measures into Markov process theory as part of his fundamental develop-
ment [1, 1957; 2, 1957; 3, 1958] of probabilistic potential theory based on
Markov processes.
Section 13. Conditioned Markov processes were introduced in [Doob 8,
1957] in the context of Brownian motion. See [Dynkin 2, 1963] for condi-
tioned Markov processes in the context of multiplicative linear functionals.
Section 15. See [Meyer, Smythe, and Walsh 1, 1972] for a deep discussion
of Markov processes killed at various kinds of random times.
Chapter 2.VII
The Brownian motion process is the link between classical potential theory
and martingale theory, and only those Brownian motion properties relevant
to this linkage are discussed in this book. For more information on Brownian
motion see, for example, [Levy 4, 1948], [Ciesielski 1, 1966], [Freedman
1, 1971], [Ito and McKean 1, 1974], [Knight 1, 1981], and, especially for
the physical significance of Brownian motion, [Nelson 1, 1967]. The process
takes its name from the English botanist Brown who in 1827 observed
irregular motion of pollen particles in a liquid. Einstein in 1905 obtained
from physical considerations the fact that the mean square displacement of
a Brownian particle is a multiple of the displacement time and evaluated
this multiple. Bachelier [1, 1900; 2, 1901] and later papers derived many
distributions involving Brownian motion considered as a limit of random
walks and saw the connection with the heat equation. The first rigorous
construction of a Brownian motion process was given by Wiener [1, 1923],
but his work remained unknown to or at least ignored by other probabilists
for about 15 years. Thus probabilists were at a disadvantage in treating
sample functions of Brownian motion; although they realized that in some
sense these sample functions were continuous, it was not clear how to
Part 2 813
Chapter 2.VIII
See [Doob 10. 1953] for a martingale proof of this limit theorem.
Section 12. It6's lemma, also called Ito's formula, was proved in [2,195 1].
Section 14. The fact that the composition of an analytic function with
plane Brownian motion is Brownian motion with a new time scale is due
to Levy [4, 1948].
Chapter 2.IX
tions and going to the obvious limit. They refer to the probabilistic inter-
pretation of their difference equation. Petrowsky [1, 1933-1934] gave a
similar discussion, and Khintchine [1, 1933] in a corresponding discussion
for both harmonic and parabolic functions mentions the Brownian motion
interpretation of the limiting case. Such ideas were common at the time,
but Wiener's [1, 1923] treatment of Brownian motion was unknown or
unappreciated, and, for example, Khintchine's Brownian motion interpreta-
tion was therefore somewhat artificial. Kakutani [2, 1944; 3, 1945] stated
Theorem 3(a) with indications of a proof.
Section 14. Theorem 14 (in a much more general context) is due to Hunt
[2, 1957].
Section 15. The dichotomy in Theorem 5 in the classical and parabolic
contexts [Doob 5, 1954; 6, 1955] has been generalized to define fine and
cofine topologies in the probabilistic potential theory of Markov processes.
Khintchine [ 1, 1933] proved the iterated logarithm law for Brownian motion,
aside from the fact that he could not quite define the probabilities involved
without a rigorous definition of Brownian motion.
Section 17. Theorem 17 is part of the folk lore of the subject but is new
as stated.
Chapter 2.X
Section 6. See [Chung and Walsh 1, 1969] for a general discussion of
reversing a Markov process.
Section 8. The anplication of martingale theory to derive a probability
version of Theorem 1.XI.4 is taken from [Doob 8, 1957]. See [Weil 1, 1969]
and [Airault 1, 1973] for such work in a more general context. Airault shows
that the specification of the limit in Theorem I.XI.4(b) is possible because
if the Riesz measure associated with a positive superharmonic function h is
supported by a polar set, the lifetime of an h Brownian motion process is
predictable. Unfortunately the stated hypotheses underlying most probabil-
istic analysis of this sort, including the above references, are too strong to
cover the parabolic context.
Section 10. The evaluation of the capacitary distribution in terms of last
hitting distributions (in a more general context) is due to Chung [1, 1973].
Part 3
Chapter 3.1
The lattice theoretic results in this chapter are mostly routine or in the
folklore; so few references to their origin will be given.
816 Historical Notes
Chapter 3.11
Chapter 3.1I1
Appendixes
Appendixes I and II
Appendixes III to VI
Appendix VII
See [Doob 13, 1960; 14, 1960-1961] for ratio integral limit theorems; those
in Appendix VII are adaptations to fit the needs of this book.
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Notation Index
08,
68+,
68, xxiv b
Hf, n
Hf, Hrk 101
7 L , Z , 7L xxiv AD 114
00 xxiv GD 132
1 - Al xxiv WD 136
6) xxiv D(µ4_) 142
IN Xxiv LP(4_) 144
A-B xxiv St, Si 145
L(k'(D) xxiv S 146
nN 3 Sm 148
A 3 SP 149
D. 3 Sqb 150
L(u, 6) 4 Smqb, Spqb 150
A(u, , 6) 4 Ss, Sms, Sps 151
'IN 4 SD 156
4 f lim 166
G 6 Af 167
a 7 u* 172
hD(S, A) 13 u# 180
GB 14 R 188
K(q, 14
fAD 191
Pi 15 193
fGD
TB 16 K 196
L`(uB-) 27 DM, aMD 197
D(JB-) 27 a;MD 200
LM, GM 35 [u, v], 1IN11 227
u 37 9+ 227
R, 38 9 229
0v04 39 -9 (u, v), -9 (u) 231
TB 99 BLD 233
GM", LMh 99 C*, C*, C 240
hRA 99 r(A) 252
IDu0A 99 Al A 262
PWB, PWBh 100 ftN 262
82_8 Notation Index
Hm1 m5
264 E{xj.F} 391
265 QS, TP 414
Hm l m,v
266
[S]. 415
G 266
O*, O** 421
271
Dn[f;g,h] 445
274
rsr, Ti 456
TB
275
GM, LM . 458
A(u, q, c)) 276
Rz1., 459
Aa(ti, rj) 276 R^1., 460
285 Tsr, LM, GM 500
PI
st 525
LI(NB ) 290
290 'S', S±, S+ 526
GM. LM 295 'S 528
S 529
296
'Sm, Sm, 'Sp 530
GD, 296
'Sqb, 'Smgb, 'Spgb 531
6b 298 Sqb, 'ST, Ss 532
pflim 308 Sms 533
APt. At' 309 GX 561
p*flim 309 t(t, , ?) 572
rI N 320 590
fU 326
592
UN 326
r 599
GMh, GMh 329 r, rZ, ro 600
329 r', r, r2 602
hTB htA 329 1'a 604
FIj, Hf 329 Sms00 716
Smsf 717
D 332
r,, (w) 719
343
u5(t) 728
351
Pf1r, PfpD Pf(,D 359 fD 728
362
G, (t, . h) 735
LP(µp_)
363
.a1(4) 741
4+/(X) 756
K 364
41+ 769
DM, 366
b ,#.+ 771
371
W. 772
387
E{ x}, El x;A 390
Index
References are to sections, say 1.11.3 or, for the Appendixes, A.1.2. The index
covers neither the Historical Notes nor the Bibliography.
Ball
Classical context: the Green function and the Poisson integral, 1.11.1;
Riesz-Herglotz theorem, 1.11.14: L'(µ8_) and D(µB_) classes of har-
monic functions, 1.11.14, 1.1X.12; Fatou boundary limit theorem,
1.11.15; minimal harmonic functions, 1.11.16; reductions. 1.111.4;
potential of a uniform boundary distribution, I.IV.2. PWB solutions,
I.V1II.2: universal and universal internal resolutivity of the boundary,
I.V111.9, lattices of relative harmonic functions. I.IX.12; Martin
boundary. 1.X11.3: classical versus minimal fine boundary limit
theorems for relative harmonic functions, 1.X11.20: ball capacity.
1.X111.13; conditional Brownian motion in, 2.X.9
Parabolic context: regularity of the boundary, parabolic ball and the
irregularity of its highest point, I.XVlll.6
Band: of a vector lattice, A.I11.8; projection on, A.111.9; generated by a
singleton. A.111.I I
Barrier
Classical context: definition, local nature, versus weak-, at oo, I .V11l.12,
relation with boundary point regularity, I.V111.13, 1.VI1I.14, 1.VIll.16,
Poincare- Zaremba examples, 1.VIll.12, 1.Vlll.15
Parabolic context: definition, local nature, versus weak-, relation with
boundary point regularity, I.XVII1.3
Below: a point of 1W relative to a set, I .XV. I
BLD function: 1.X111.6
Boundary limit theorems
Classical context: for the Poisson integral, semicontinuous boundary
function, 1.11.1; ratio, for harmonic functions on a ball, 1.11.15, 2.X.8:
for superharmonic functions at an irregular boundary point, 1.X1.21:
ratio, for superharmonic functions on a Martin space, 1.X11.13,
1.X11.14, 1.X11.18, 1.X11.19; classical versus fine topology approach
to a ball boundary, 1.X11.20: for potentials on a half-space, 1.X11.22,
1.X11.23: ratio, for superharmonic functions, along stochastic process
paths. 2.Vl.4, 2.1X.7, 2.1X.13, 2.X.8, 3.111.4, 3.111.5: for Dirichlet
solutions, 2.1 X.13, 3.11.2
Parabolic context: for the Poisson integral on an interval or slab, semi-
continuous boundary function, I.XV.9, I.XVI.1 ; ratio, for superpara-
bolic functions on a slab, 1.XVI.7, I.XV111.I5: for superparabolic
functions at an irregular boundary point. 1.XVIII.17. ratio, for super-
parabolic functions on a Martin space, with applications to a slab and
to the fourth quadrant of 082, l.XIX.13-l.XIX.15; ratio for super-
parabolic functions, along stochastic process paths. 2.1X.7, 2.1X.13,
2.X.12, 3.11
Brownian motion (see also Conditional Brownian motion and Space-time
Brownian motion): definition, 2.VlI.2; path continuity, 2.VII.3; right
continuity and predictability of-filtrations, predictability of-optional
times, continuity properties of supermartingales relative to-filtrations,
Index 831
D class
Classical context (D(pn )): of h-harmonic functions on a ball. 1.11.14.
I IX 12. of functions on an open set, in particular h-harmonic and
positive h-suhharmonic functions, I.IX.3
Parabolic context (D(µn_ )): of parabolic functions on a slab, I.XVI.6; of
functions on an open set, 1.XVIII.19
Probability context: of stochastic processes, 2.11 11, includes right closed
positive submartingales, 2.111.6, 2.V.3: includes potentials generated by
increasing processes, 2.IV.6
Combined context: notation, 3.1.3: the PWB method. 3.1.4: S. n D =
Smgh. 3 1 5. SPyg, = D n S'. 3.1.9
Decomposition
See Krickeberg decomposition, LP. Rao decomposition, and Riesz-Herglotz
representation for decompositions in various contexts of a vector lattice
element into a difference between positive elements, see A.1I1.5 for the
abstract version of such a decomposition, and see A.IV for such decom-
positions in measure theory. See Lattice for decompositions of a vector
lattice into bands.
Riesz: of a superharmonic function. 1.1.8, I.IV.8, I.IX.I 1 ; of a su-
perparabolic function, I.XVI1.7: of a supermartingale, 2.111.21,
2.V.8
Natural order: for superharmonic functions, 1.111.7; for superparabolic
functions, I.XVII.2: for supermartingales, 2.111.19, 2.V.5
Index 833
Harmonic measure (p'): for domains with smooth boundaries, 1.1.8; null
sets. I.Vl1I.5; of fool, LVIII.5; definition, l.V1I1.8; for ball and half-
space, I.V111.9; dependence on D, 1.VIII.17; relation with the sweeping
kernel. 1.X.2; on a polar set, 1.X.8; relative to an irregular boundary
point, I .X1.22. for the Martin space, 1.X11.10; as a conditional Brownian
motion hitting distribution, 2.1X.13, 2.X.7, 3.11.2
Harnack convergence theorem: classical context, 1.11.3, parabolic context.
I.XV.I I
Harnack inequality: classical context, 1.11.2; parabolic context, 1.XV.11.
1.XVI11.17
Hermite polynomials: 1.XV.3; composition of space-time-with space-
cotime Brownian motion, 2.IX.2
Hitting: by progressively measurable processes, and the dependence on the
choice of process with prescribed finite dimensional distributions, 2.1.9-
2.1.12; hitting, entry, and last hitting times, 2.11.4: the hitting probability
for a Markov process of an analytic set, in particular of an F. set, as a
function of the process initial point, 2.V1.6, 2.1X.4, and the excessive
function so defined, 2.VI.12; by Brownian motion, 2.VI1.6, 2.V11.8,
2.1X.1, 2.1X.4, 2.1X.9, 2.1X.15; of a parabolic semipolar set by space-time
Brownian motion, 2.1X.15: harmonic measure as a conditional Brownian
motion hitting distribution. 2.1X.13, 2.X.7, 3.11.2; capacitary distribu-
tions in terms of last hitting distributions, 2.X.10
Hunt potential theory: 2. V1.10
Quasi-bounded
Classical context: the classes Sqb, Smgb, Sp'gb, 1.IX.9; significance for the
PWB method of quasi-boundedness, 1.IX.9; significance of quasi-
boundedness of a harmonic function in relation to the class D property
and the Riesz-Herglotz and Martin representations, 1.IX.12, 1.X11.9
842 Index
ISBN 3-540-41206-9