Joseph L Doob Classical Potential Theory and Its Probabilistic Counterpart PDF

Springer Science+ Business Media, LLC
Born in Cincinnati, Ohio on February 27, 1910,

Joseph L. Doob studied for both his undergraduate
and doctoral degrees at Harvard University. He
was appointed to the University of Illinois in 1935
and remained there until his retirement in 1978.
Doob worked first in complex variables, then
moved to probability under the initial impulse of
H. Hotelling, and influenced by A.N Kolmogorov's
famous mono graph of 1933, as weIl as by Paul
Levy's work. In his own book Stochastic Processes
(1953), Doob established martingales as a particu-
lady important type of stochastic process.
Kakutani's treatment of the Dirichlet problem in
1944, combining complex variable theory and
probability, sparked off Doob's interest in potential
theory, which culminated in the present book.
(For more details see:

http://www.dartmouth.edu/ - chance/Doob/conversation.html)
Joseph l. Doob
Classical Potential Theory

and Its Probabilistic
Counterpart
Reprint of the 1984 Edition
Springer
Joseph L. Doob
University of nIinois
Department of Mathematics
101 West Windsor Road 11104
Urbana, IL 61802
USA
e-mail: doob@lmath.uiuc.edu
Originally published as Vol. 262 of the

Grundlehren der mathematischen Wissenschaften
Cataloging-in-Publication Deta applicd for
Die DeutJche Bibliothek - CIP-EinheitaauCoahme
Doob. Joseph 1..:

Clauical potential theory and its probabiliatic counterpart I J. 1.. Doob. - Reprint ofthe 1984 ed. - BerIin;
Heidelberg; NewYorlc; Barcelona; Hong Koog; London; Milan; Paris; SingapoR; Thkyo: Springer.2001
(Classics in mathematics)
ISBN 978-3-540-41206-9 ISBN 978-3-642-56573-1 (eBook)
DOI 10.1007/978-3-642-56573-1
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ISSN 1431-0821
ISBN 978-3-540-41206-9
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Printed on acid-free paper SPIN 10786705 4113142ck-543210

J. L. Doob
Classical Potential Theory

and Its Probabilistic
Counterpart
Springer Science+ Business Media, LLC

J. L. Doob
Department of Mathematics
University of Illinois
Urbana, IL 61801
U.S.A.
AMS Subject Classificaticns: 31-XX, 6OJ45
Library of Congress Cataloging in Publication Data

Doob, Joseph L.
Classica1 potential theory and its probabilistic counterpart.
(Grundlehren der mathematischen Wissenschaften; 262)
Bibliography: p.
I. Potential, Theory of. 2. Harmonie functions. 3. Martingales
(Mathematics) I. Title. 11. Series.
QA404.7.D66 1983 515.7 83-12446
© 1984 by Springer Seienee+Business Media New York

Originally published by Springer-Verlag New York Ine. in 1984
All rights reserved. No part of this book may be translated or reproduced in any form
without written eonsent from Springer-Verlag, 175 Fifth Avenue, New York, New
York 10010, V.S.A.
Typeset by Asco Trade Typesetting Ltd., Hong Kong.
98765432 I
ISBN 978-3-540-41206-9 ISBN 978-3-642-56573-1 (eBook)

DOI 10.10071978-3-642-56573-1
Contents
Introduction xxi
Notation and Conventions xxv
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 IR N 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 II
Basic Properties of Harmonic, Subharmonic! and Superharmonic
Functions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14
1. 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 "CB •••••••••••••••••••••••••••••••••••• 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
II. Examples....................................................... 25
12. The Kelvin Transformation (N ~ 2). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 26
vi Contents
13. Greenian Sets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27

14. The L 1 (/lB-) and D(/lB-) Classes of Harmonic Functions on a BaIl B; The
Riesz-Herglotz Theorem. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27
15. The Fatou Boundary Limit Theorem. . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . 31
16. Minimal Harmonic Functions. . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . 33
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 SmaIlness 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
l. Special Open Sets, and Potentials on Them. . . . . . . . . . . . . . . . . . . . . . . . . . . 45
2. Examples....................................................... 47
3. A Fundamental SmaIlness 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 1R 2 of the Riesz
Decomposition 53
10. An Approximation Theorem. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55
Chapter V
Polar Sets and Their Applications 57
I. 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 1R 2 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
II. The Infinity Set of a Potential and the Riesz Measure. . . . . . . . . . . . . . . . . . 68
Contents VB
Chapter VI
The Fundamental Convergence Theorem and the Reduction
Operation '. . . . . 70
l. 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
l. 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 GD/l of a Measure 11 ............................ 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 (·, OlD-I,} as a Minimal Harmonic Function. . . . . . . . . . . . 96
Chapter VIII
The Dirichlet Problem for Relative Harmonic Functions. . . . . . . . . . . 98
I. Relative Harmonic, Superharmonic, and Subharmonic Functions . . . . . . . 98
2. The PWB Method. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99
3. Examples............................. . . . . . . . . . . . . . . . . . . . . . . . . . . 104
4. Continuous Boundary Functions on the Euclidean Boundary (h == I) .... 106
5. h-Harmonic Measure Null Sets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 108
6. Properties of PWBh 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
II. Generalization of the Operator t~ and Application to G Mh . • . • . . • . . . • • • 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 == I) . 128
16. Continuation of Section 13 130
17. h-Harmonic Measure /l~ as a Function of D . . . . . . . . . . . . . . . . . . . . . . . . . . 131
18. The Extension G; ofGD and the Harmonic Average I1D(e,G;(",·» When
DeB.......................................................... 132
19. Modification of Section 18 for D = 1R 2 • . . . • • . . . . • . • . . . • . • . . • . . • . . . . . 136
20. Interpretation of tPD as a Green Function with Pole 00 (N = 2) . . . . . . . .. . 139
21. Variant of the Operator tB . . . . . . . . . . . . . . . . . • . • . • . • . • • • • • • • . • • • • • • . . 140
viii Contents
Chapter IX
Lattices and Related Classes of Functions 141
I. Introduction..................................................... 141
2. LM~ u for an h-Subharmonic Function u 141
3. The Class D(Jl~_) 142
4. The Class LP(Jl~_) (p ~ I) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144
5. The Lattices (S±, ~) and (S+, 6). . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . 145
6. The Vector Lattice (S,~) 146
7. The Vector Lattice SOl' ....................•.•...•............... , . 148
8. The Vector Lattice Sp . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . • . • . . . . . . . . 149
9. The Vector Lattice Sqb .. . • . • . . . . . • . •. . . . . . . • . . . . • . • • . . • . . • . . . . • .. . 150
10. The Vector Lattice S. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . 151
II. A Refinement of the Riesz Decomposition . . . . . . . . . . . . . . . . . . . . . . . . . . . 152
12. Lattices of h-Harmonic Functions on a Ball. . . . . . . . . . . . . . . . . . . . . . . .. . 152
Chapter X
The Sweeping Operation .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155
I. Sweeping Context and Terminology. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 155
2. Relation between Harmonic Measure and the Sweeping Kernel . . . . . . . . . 157
3. Sweeping Symmetry Theorem. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. . 158
4. Kernel Property of b~ . . . . .. .. . .. . .. . . .. . . .. .. .. .. . .. . .. .. .. .. . . .. . 158
5. Swept Measures and Functions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 160
6. Some Properties of b~. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 161
7. Poles of a Positive Harmonic Function. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 163
8. Relative Harmonic Measure on a Polar Set. . . . . . . . . . . . . . . . . . . . . . . .. . 164
Chapter XI
The Fine Topology. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166
I. Definitions and Basic Properties. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 166
2. A Thinness Criterion 168
3. Conditions That ~EAI 169
4. An Internal Limit Theorem. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 171
5. Extension of the Fine Topology to IR N u {oo}. . . . . . . . . . . . . . . . . . . . . . . . . 175
6. The Fine Topology Derived Set of a Subset of IR N • . . . . . . • • . • . . . . • . • • • . 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 AI in Terms ofa Special Function u·................. 180
II. Quasi-Lindelof Property 180
12. Regularity in Terms of the Fine Topology........................... 181
13. The Euclidean Boundary Set of Thinness ofa Greenian Set............. 182
14. The Support of a Swept Measure. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 183
15. Characterization oqJl~A 183
16. A Special Reduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 184
17. The Fine Interior ofa Set of Constancy ofa 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
21. Limits of Superharmonic Functions at Irregular Boundary Points of Their

Domains. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 190
22. The Limit Harmonic Measure f JlD 191
23. Extension of the Domination Principle................. 194
Chapter XII
The Martin Boundary 195
I. 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
11. 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 IR N • • • . • . . . . • • . • . . • • • • . 221
21. Nontangential and Minimal-Fine Limits at a Half-space Boundary. . . . . . 222
22. Normal Boundary Limits for a Half-space. . . . . . . . . . . . . . . . . . . . . . . . . . . 223
21. Boundary Limit Function (Minimal-Fine and Normal) of a Potential on a
Half-space ............................ 225
Chapter XIII
Classical Energy and Capacity 226
I. 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 Dt-+GDJl..... 230
6. Classical Evaluation of Energy; Hilbert Space Methods. . . . . . . . . . . . . . . . 231
7. The Energy Functional (Relative to an Arbitrary Greenian Subset D of
IR N). • • . • . • • . • • • • • . . . . . . . . • . . . . . . . . . . . . . . . . . . . • • . . . • . . . . . . . • • • • • • 233
8. Alternative Proofs of Theorem 7(b+) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 235
x Contents
9. Sharpening of Lemma 4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 237

10. The Classical Capacity Function 237
II. Inner and Outer Capacities (Notation of Section 10). . . . . . . . . . . . . . . . . . . 240
12. Extremal Property Characterizations of Equilibrium Potentials (Notation
of Section 10). . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 241
13. Expressions for C(A) 243
14. The Gauss Minimum Problems and Their Relation to Reductions....... 244
15. Dependence of C· on D. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 247
16. Energy Relative to 1R 2 • • . . . • . • . . • • . • • . . . . • . . . . • . • • • . . . • . . • • . • • . • • . • 248
17. The Wiener Thinness Criterion. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 249
18. The Robin Constant and Equilibrium Measures Relative to 1R 2 (N = 2) . . 251
Chapter XIV
One-Dimensional Potential Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 256
1. 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
1. Conventions..................................................... 262
2. The Parabolic and Coparabolic Operators . . . . . . . . . . . . . . . . . . . . . . . . . . . 263
3. Coparabolic Polynomials. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 264
4. The Parabolic Green Function of IR N • • • . . . . . • • . . . • . • • . . . . • • • • • • • • • • . 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
11. Harnack's Theorems in the Parabolic Context. . . . . . . . . . . . . . . . . . . . . . . . 276
12. Superparabolic Functions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 277
13. Superparabolic Function Minimum Theorem 279
14. The Operation iii and the Defining Average Properties of Superparabolic
Functions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 280
15. Superparabolic and Parabolic Functions on a Cylinder. . . . . . . . . . . . . . . . 281
16. The Appell Transformation.. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 282
17. Extensions of a Parabolic Function Defined on a Cylinder 283
Contents Xl
Chapter XVI
Subparabolic, Superparabolic, and Parabolic Functions on a Slab . 285
I. 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 V(tlJi-) and D(jlJi-) 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
I. 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
II. 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;::: I) . 326
19. The Quasi-LindelOf Property . 328
Chapter XVIII
The Parabolic Dirichlet Problem, Sweeping, and Exceptional Sets ... 329
I. 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
Xli Contents
6. Parabolic Regularity of Boundary Points ... . . . . . . . . . . . . . . . . . . . . . . . . . 337

7. Parabolic Regularity in Terms of the Fine Topology. . . . . . . . . . . . . . . . . . . 341
8. Sweeping in the Parabolic Context. . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . 341
9. The Extension G; of Go and the Parabolic Average Jio(e,G;(·,~» when
iJ c 1J ... ....................•............................... 343
10. Conditions that eeAp! 345
II. Parabolic- and Coparabolic-Polar Sets ...... 347
12. Parabolic- and Coparabolic-Semipolar Sets. . . . . . . .. . . . . . . . . . . . . . . . . . 348
13. The Support of a Swept Measure , . . . .. . . . . . . 350
14. An Internal Limit Theorem; The Coparabolic-Fine Topology Smoothness
of Superparabolic Functions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 351
15. Application to a Version of the Parabolic Context Fatou Boundary Limit
Theorem on a Slab . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 357
16. The Parabolic Context Domination Principle. . . . . . . . . . . . . . . . . . . . . . . . . 358
17. Limits of Superparabolic Functions at Parabolic-Irregular Boundary
Points of Their Domains . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 358
18. Martin Flat Point Set Pairs. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 361
19. Lattices and Related Classes of Functions in the Parabolic Context. . . . . . 361
Chapter XIX
The Martin Boundary in the Parabolic Context. . . . . . . . . . . . . . . . . . . 363
I. Introduction............................................. . . . . . . . . 363
2. The Martin Functions of Martin Point Set and Measure Set Pairs. . . . . . . 364
3. The Martin Space iJM 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 iJ = IRN X ]0, J[ with 0 < J ~ + 00 . . • . . . • . . 371
9. Martin Boundaries for the Lower Half-space of iRN and for iRN • • • • . . . • . . 374
10. TheMartinBoundaryofiJ=]O,+oo[x]-oo,J[ 375
II. PWB h Solutions on iJM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. .. . . . . . . . . . . 377
12. The Minimal-Fine Topology in the Parabolic Context . . . . . . . . . . . . . . . . . 377
13. Boundary Counterpart of Theorem XVIII.14(f) . . . . . . . . . . . . . . . . . . . . . . 379
14. The Vanishing of Potentials on OM iJ 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
I. Adapted Families of Functions on Measurable Spaces. . . . . . . . . . . . . . . . . 387
2. Progressive Measurability . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 388
3. Random Variables .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 390
Contents Xlll
4. Conditional Expectations. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 391

5. Conditional Expectation Continuity Theorem. . . . . . . . . . . . . . . . . . . . . . . . 393
6. Fatou's Lemma for Conditional Expectations . . . . . . . . . . . . . . . . . . . . . . . . 396
7. Dominated Convergence Theorem for Conditional Expectations. . . . . . . . 397
8. Stochastic Processes, "Evanescent," "Indistinguishable," "Standard Modi-
fication," "Nearly" . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 398
9. The Hitting of Sets and Progressive Measurability.................... 401
10. Canonical Processes and Finite-Dimensional Distributions. . . . . . . . . . . . . 402
11. Choice of the Basic Probability Space . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 404
12. The Hitting of Sets by a Right Continuous Process.................... 405
13. Measurability versus Progressive Measurability of Stochastic Processes .. 407
14. Predictable Families of Functions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 410
Chapter II
Optional Times and Associated Concepts. . . . . . . . . . . . . . . . . . . . . . . . 413
I. 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 IR+ x n ...................................... 427
II. The Classes D and LP of Stochastic Processes. . . . . . . . . . . . . . . . . . . . . . . . . 428
12. Decomposition of Optional Times; Accessible and Totally Inaccessible
Optional Times . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 429
Chapter III
Elements of Martingale Theory 432
I. 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
II. An LP Inequality for Submartingale Suprema. . . . . . . . . . . . . . . . . . . . . . . . . 444
12. Crossings....................................................... 445
13. Forward Convergence in the L 1 Bounded Case. . . . . . . . . . . . . . . . . . . . . . . 450
14. Convergence of a Uniformly Integrable Martingale 451
15. Forward Convergence of a Right Closable Supermartingale . . . . . . . . . . . . 453
16. Backward Convergence ofa Martingale.......... 454
XIV Contents
17. Backward Convergence of a Supennartingale. . . . . . . . . . . . . . . . . . . . . . . . . 455

18. The t Operator. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 455
19. The Natural Order Decomposition Theorem for Supennartingales 457
20. The Operators LM and GM . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 458
21. Supennartingale Potentials and the Riesz Decomposition. . . . . . . . . . . . . . 459
22. Potential Theory Reductions in a Discrete Parameter Probability
Context. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 459
23. Application to the Crossing Inequalities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 461
Chapter IV
Basic Properties of Continuous Parameter Supermartingales. . . . . . . . 463
1. Continuity Properties. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 463
2. Optional Sampling of Unifonnly Integrable Continuous Parameter
Martingales 468
3. Optional Sampling and Convergence of Continuous Parameter
Supennartingales. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 470
4. Increasing Sequences of Supennartingales 473
5. Probability Version of the Fundamental Convergence Theorem of Potential
Theory......................................................... 476
6. Quasi-Bounded Positive Supennartingales; Generation ofSupennartingale
Potentials by Increasing Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 480
7. Natural versus Predictable Increasing Processes (I = 1.+ or IR+) . . . . . . . . . 483
8. Generation of Supennartingale Potentials by Increasing Processes in the
Discrete Parameter Case 488
9. An Inequality for Predictable Increasing Processes. . . . . . . . . . . . . . . . . . . . 489
10. Generation of Supennartingale Potentials by Increasing Processes for
Arbitrary Parameter Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 490
II. Generation of Supennartingale 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 Supennartingale;
The Supermartingale Domination Principle . . . . . . . . . . . . . . . . . . . . . . . . . . 496
14. The Operators t, LM, and GM in the Continuous Parameter Context. . . . 500
15. Potential Theory on IR+ x Q. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 501
16. The Fine Topology of IR+ x Q . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 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 Supennartingale Potential. . . . . . . . . . . . . . . . . . . . . . . . . . . 515
22. The Subtraction of a Supennartingale Discontinuity. . . . . . . . . . . . . . . . . . . 516
23. Supennartingale Decompositions and Discontinuities. . . . . . . . . . . . . . . . . 518
Chapter V
Lattices and Related Classes of Stochastic Processes. . . . . . . . . . . . . . . 520
1. Conventions; The Essential Order . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 520
2. LMx(.) when {x(.),.F(·)} Is a Submartingale 521
Contents XV
3. Uniformly Integrable Positive Submartingales . . . . . . . . . . . . . . . . . . . . . . . . 523

4. U Bounded Stochastic Processes (p ~ I) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 524
5. The Lattices ('S±, S), ('S+, S), (S±, S), (S+, S) . . .. . .. . . . . . . . . . .. . .. 525
6. The Vector Lattices ('S, :S) and (S,:S) ... 528
7. The Vector Lattices ('Sm,:S) and (Sm,:S) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 529
8. The Vector Lattices ('Sp, :S) and (Sp,:S). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 530
9. The Vector Lattices ('Sqb,:S) and (Sqb,:S) 531
10. The Vector Lattices ('S.,:S) and (S.,:s) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 532
II. The Orthogonal Decompositions 'Sm = 'Smqb + 'Sm. and Sm = Smqb + Sm> . 533
12. Local Martingales and Singular Supermartingale Potentials in (S,:s) . . . . 534
13. Quasimartingales (Continuous Parameter Context). . . . . . . . . . . . . . . . . . . . 535
Chapter VI
Markov Processes. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 539
I. 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
II. Excessive Functions and Supermartingales . . . . . . . . . . . . . . . . . . . . . . . . . . . 564
12. Excessive Functions and the Hitting Times of Analytic Sets (Notation and
Hypotheses of Section II) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 565
13. Conditioned Markov Processes. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 566
14. Tied Down Markov Processes............. 567
15. Killed Markov Processes. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 568
Chapter VII
Brownian Motion. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 570
I. Processes with Independent Increments and State Space IR N • . . • . . . . • • . . 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 ~ I)......... 589
10. Space-Time Brownian Motion in an Open Set..... 592
II. Brownian Motion in an Interval. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 594
XVI Contents
12. Probabilistic Evaluation of Parabolic Measure for an Interval 595

13. Probabilistic Significance of the Heat Equation and Its Dual 596
Chapter VIII
The Ito Integral. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 599
I. Notation........................................................ 599
2. The Size ofro 601
3. Properties of the Ito Integral. . . . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . 602
4. The Stochastic Integral for an Integrand Process in r o . . . . . . . . . . . . . . . . . 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
I I. (N = 1) Computation of the Ito Integral by Riemann-Stieltjes Sums. . . . . 620
12. Ito'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
1. Elementary Martingale Applications. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 627
2. Coparabolic Polynomials and Martingale Theory. . . . . . . . . . . . . . . . . . . . . 630
3. Superharmonic and Harmonic Functions on IR N 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
II. 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. a-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 XVll
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 (J Algebra of a Conditional Brownian Motion . . . . . . . . . . . . . . . . 694
12. Conditional Space-Time Brownian Motion 699
13. [Space-Time] Brownian Motion in [IRN ] IR N with Parameter Set IR. . . . . . . 700
Part 3
Chapter I
Lattices in Classical Potential Theory and Martingale Theory. . . . . . . 705
I. 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 LP 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 ofS~ 710
8. The Singular Component of an Element of S+ . . . . . . . . . . . . . . . . . . . . . . . . 711
9. The Class Spqb .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . • . • . • . . . . . . • . • . . . . . 712
10. The Class Sps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 714
II. Lattice Theoretic Analysis of the Composition of an h-Superharmonic
Function with an h-Brownian Motion. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 715
12. A Decomposition ofS~s (Potential Theory Context). . . . . . . . . . . . . . . . . . . 716
13. Continuation of Section II 717
Chapter II
Brownian Motion and the PWB Method. . . . ... . . .. . .... . .. ... .. 719
I. Context of the Problem .................................... 719
2. Probabilistic Analysis of the PWB Method. . . . . . . . . . . . . . . . . . . . . . . . . . . 720
xviii Contents
3. PWBh Examples 723

4. Tail (J Algebras in the PWBh Context. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 725
Chapter III
Brownian Motion on the Martin Space. . . . . . . . . . . . . . . . . . . . . . . . . . 727
I. 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 1) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 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
I. Pavings and Algebras of Sets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 741
2. Suslin Schemes 741
3. Sets Analytic over a Product Paving 742
4. Analytic Extensions versus (J Algebra Extensions of Pavings. . . . . . . . . . . . 743
5. Projection Characterization .9I(iJ!!) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 743
6. The Operation .91(.91) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 744
7. Projections of Sets in Product Pavings. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 744
8. Extension of a Measurability Concept to the Analytic Operation Context. 745
9. The G6 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 II
Capacity Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .. 750
I. 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
I. 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
II. 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
I. 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 (J Finite Measure Lattice of a Measurable Space (Notation ofSection 4) 771
6. The Hahn and Jordan Decompositions. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 772
7. The Vector Lattice .Ita . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 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
II. Measures on Polish Spaces .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 777
12. Derivates of Measures. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 778
Appendix V
Uniform Integrability 779
Appendix VI
Kernels and Transition Functions .... . . . . . . . . . . . . . . . . . . . . . . . . . . 781
l.Kernels......................................................... 781
2. Universally Measurable Extension of a Kernel. . . . . . . . . . . . . . . . . . . . . . . . 782
3. Transition Functions ................ 782
Appendix VII
Integral Limit Theorems .... . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 785
l. 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
1. The Lower Semicontinuous Smoothing of a Function 791
2. Suprema of Families of Lower Semicontinuous Functions. . . . . . . . . . . . . . 791
3. Choquet Topological Lemma...................................... 792
Historical Notes. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 793

Part I 793
Part 2.................................. 806
Part 3 . . . . . . . . . . . . . . . . . . . . . . .. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 815
Appendixes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 816
Bibliography. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 819
Notation Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 827
Index ,. . . .. 829
Introduction
Potential theory and certain aspects of probability theory are intimately

related, perhaps most obviously in that the transition function determining
a Markov process can be used to define the Green function of a potential
theory. Thus it is possible to define and develop many potential theoretic
concepts probabilistically, a procedure potential theorists observe withjaun-
diced eyes in view of the fact that now as in the past their subject provides
the motivation for much of Markov process theory. However that may be
it is clear that certain concepts in potential theory correspond closely to
concepts in probability theory, specifically to concepts in martingale theory.
For example, superharmonic functions correspond to supermartingales.
More specifically: the Fatou type boundary limit theorems in potential
theory correspond to supermartingale convergence theorems; the limit
properties of monotone sequences of superharmonic functions correspond
surprisingly closely to limit properties of monotone sequences of super-
martingales; certain positive superharmonic functions [supermartingales]
are called "potentials," have associated measures in their respective theories
and are subject to domination principles (inequalities) involving the supports
of those measures; in each theory there is a reduction operation whose
properties are the same in the two theories and these reductions induce
sweeping (balayage) of the measures associated with potentials, and.so on.
The purpose of this book is to develop this correspondence between
potential theory and probability theory by examining in detail classical
potential theory, that is, the potential theory of Laplace's equation, together
with the corresponding probability theory, that is, martingale theory. The
joining link which makes this correspondence especially perspicuous is the
Brownian motion process, so this process is studied as needed. In order to
carry through this program it is necessary to study parabolic potential theory,
that is, the potential theory of the heat equation, and the corresponding
process of space time Brownian motion. No knowledge of potential theory
is presupposed but it is assumed that the reader is familiar with basic
probability concepts through conditional expectations. The necessary lattice
theory, analytic set theory and capacity theory are covered in the Appendixes.
Thus this book on the one hand contains an introduction to classical
and parabolic potential theory and on the other hand contains an introduc-
xxii Introduction
tion to martingale theory, including a smattering of the general theory of

stochastic processes and of Markov process theory. There is cross referencing
between the nonprobabilistic and probabilistic aspects of the work, and the
linking ofclassical and parabolic potential theory with martingale theory, by
Brownian motion and space time Brownian motion, is examined in depth.
One natural criticism of this project is that there is no reason to treat the
very special potential theories of the Laplace and heat equations rather than
general axiomatic potential theory. Another criticism is that there is no
reason to treat potential theory other than as a special subhead of Markov
process theory. In the author's opinion, however, classical potential theory
is too important to serve merely as a source of illustrations of axiomatic
potential theory, which theory in tum is too important in its own right to be
left to the probabilists. To learn potential theory from probability is like
learning algebraic geometry without the geometry.
It would be quite impossible to cover all those parts of modernized
classical potential theory which are relevant to the purpose of this book.
Thus there are striking gaps. For example the treatment of energy is skimpy,
and Dirichlet spaces and the concept of bounded mean oscillation are not
even mentioned in the text. The emphasis is on the Dirichlet problem and
related topics; these are treated in considerable depth. The treatments of
classical and parabolic potential theories are sometimes separated, some-
times together, but the notation is designed to exhibit the parallelism of
the two theories: dots in the notation distinguish parabolic from classical
concepts, thereby muddling eyes but saving brains. And the martingale
theory notation is designed to point out to readers the corresponding
potential theory notation.
Only the part of Markov process theory needed for the relevant discussion
of Brownian motion and conditional Brownian motion is covered. In this
book a stochastic process is a specified family ofrandom variables, frequently
coupled with a filtration to which the family is adapted, but the measure
space of the process is left unspecified and there is no translation operator.
Thus in a discussion of Brownian motion from a varying initial point the
measure space on which the process is defined may vary with the initial
point. This definition of a process may not be best for general Markov
process theory but is convenient in the special context of this book; it
implies for example that no matter how or on what measure space a process
is defined, if it has the properties of a Brownian motion (continuous sample
functions and the correct distributions of independent increments) then it
is a Brownian motion. In a traditional song, a child finds an object which
looks smells and tastes like a peanut so the child concludes that the object
is a peanut. As stochastic processes are sometimes defined, with special
properties demanded of the measure space on which the process random
variables are defined, this simple logic is invalid. However the point of view
of this book makes it essential in discussing Brownian motion to prove
certain invariance properties, for example that two Brownian motion pro-
Introduction xxiii
cesses in N space, with a common initial point and variance parameter, have
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
IR N is N dimensional Euclidean space, IR = 1R 1 , and IR+ is the set [0, + oo[ of

positive reals. ]R is the set [ - 00, + 00] of extended reals and ]R+ is the set
[0, + 00] of positive extended reals.
71. is the set of integers, 71.+ is the set 0, l, 2, ... , and 71.: is the set 0, ... , n.
The boundary of an unbounded subset of IR N contains the adjoined point
00 of the one point compactification of IR N unless some other compactifica-
tion has been specified. This boundary relative to the one point compactifica-
tion of IR N will be called the Euclidean boundary of the set.
If ~ is a point of IR N and A is a subset of IR N the distance between ~ and
A is written I~ - AI.
B(~, (5) is the ball, in whatever metric space is specified, of center ~ and
radius <5, specifically in IR N : B(~, (5) = {I'/: 11'/ - ~I < <5}.
IN refers to N dimensional Lebesgue measure.
If A and B are subsets of a space the set of points in A but not in B is
denoted by A-B.
"Positive" means "~ 0" and monotone concepts are to be taken in the
wide sense, so that for example a constant function from IR into IR is both
monotone increasing and monotone decreasing.
If D is an open subset of IR N the notation iC(kl(D) refers to the class of
functions from D into IR which are continuous together with their derivatives
of order sk.
Limit concepts for a function! at a point do not involve the value of!
at the point. Thus lim~_~f(I'/) = IX means that! is near IX in small deleted
neighborhoods of ~.
The notation for a sequence frequently uses a dot for the index set; unless
otherwise identified the index set is 71. +, so that A. = {A o, AI' ... }.
The set on which a function!satisfies some set S ofconditions is frequently
denoted by {S}. Thus if! is a function from IR into IR the positivity set of!
is {f~ O}.
The book is divided into three Parts. Section 1.11.3 is Section 3 of Chapter
II of Part 1; in any Part, Section 11.3 is Section 3 of Chapter II of that part;
in any Chapter, Section 3 is Section 3 of that Chapter, and so on.
Part 1
Classical and Parabolic Potential

Theory
(dimensionality number N > I in Chapters I-XIII)
Chapter I
Introduction to the Mathematical Background

of Classical Potential Theory
1. The Context of Green's Identity

In this chapter some of the mathematical ideas of classical potential theory
are introduced, under simplifying assumptions. The basic space is Euclidean
N space ~N. For a ball B(e,b) in ~N
(1.1)
An application of the Lebesgue dominated convergence theorem shows that

if u is a locally IN integrable function on an open subset D of ~N and if b > 0,
the function
is continuous on the set g: Ie - aDI > <5}.

A bounded open set for which Green's identity (1.2) is true will be called
smooth. Since a ball is obviously smooth in this sense, as is the set between
two concentric balls, and since these sets are the only smooth sets for which
the details of this chapter will be used later, a precise description of smooth
sets is omitted. The Laplacian of a function u, that is, the sum of the unmixed
second partial derivatives of u, will be denoted as usual by ~u. If B is a
smooth open subset of ~N, if D n is the partial derivation operator on aD
in the direction of the exterior normal, and if u and v are functions in C(2)(B),
Green's identity is
i B
(u ~v - v ~u) diN = J
DB
(uDnv - vDnu) diN-I' (1.2)
which for v == I reduces to

4 1.1. Introduction to the Mathematical Background of Classical Potential Theory
(1.3)
The right side of (1.3) is the flux of the vector field grad u out through oB.
2. Function Averages
The unweighted averages of a function u over oB(~, b) and over B(~, b) will
be denoted by L(u,~, b) and A(u,~, b), respectively; that is
A(u,~,b) = ~N rudIN, (2.1)

1t N JB(~ .s)
•
assuming that the necessary measurability and integrability conditions are

satisfied. If u is defined, IN measurable and locally IN integrable on an open
subset D oflR N , the function A(u,·,b) is defined and continuous on the set
{~: I~ - oDI > b} (see Section I). In this case according to Fubini's theorem
the average L(u,~,r) is defined for II almost every r in the interval ]0,15]
and
(2.2)
Define
(2.3)
choosing CN so that 1tN J'ti r N- 1 YN(r)/ 1 (dr) = 1, and under the preceding hy-
potheses on u, define A.su for 15 > by °
A.su(~) = b- NLN YN('~ ~ tl')U(tl)/N(dtl)
(2.4)
= 1tNIOO rN-IYN(r)L(u,~, br)/1 (dr) (I~ - oDI > b).
The function A.su is infinitely differentiable, A.s I == I, and if u is continuous
lim~o A.su = u locally uniformly on D.
3. Harmonic Functions
A harmonic function is defined as a (finite-valued) continuous function u,
defined on a nonempty open subset of IR N , satisfying
u(~) = L(u,~, b) if jj(~, b) c D. (3.1)

4. Maximum-Minimum Theorem for Harmonic Functions 5
The stated continuity condition is stronger than necessary. In fact, if it is

weakened to IN measurability and local integrability, (2.4) implies that
Aa(u,~) = u(~) for I~ - aD I > IX, so that u is infinitely differentiable and
therefore harmonic, and we have incidentally shown that harmonic functions
are infinitely differentiable. The class of harmonic functions on D is trivially
linear.
If u is harmonic on D, (2.2) yields
u(~) = A(u,~,<5) (I~ - aDI > (5). (3.2)
Conversely (3.2) implies (3.1) if u is IN measurable and locally integrable

because under (3.2) the function u must be continuous and (2.2) then yields
(3.1).
Equation (1.3) with B = B(~, (5) reduces to
i B(~.cl)
liudlN = 1tN <5 N - 1 ~L(u,~,<5). (3.3)
Hence a function u with continuous second partial derivatives is harmonic

if and only if u satisfies Laplace's equation liu = 0, and it follows that
harmonicity is a local property. If u is harmonic all its partial derivatives
are harmonic because they satisfy Laplace's equation also. According to
(1.3) we can conclude that if u is harmonic on D the flux of its gradient out
of any smooth subdomain of D vanishes, and conversely, if u has continuous
second partial derivatives and if the flux of its gradient out of every ball
B with closure in D vanishes, then u is harmonic. (It is easy to see that it is
sufficient here if u has continuous first partial derivatives.)
N = 2. The real and imaginary parts of a (complex) analytic function
f = u + iv are harmonic. In fact, u and v satisfy Laplace's equation because
they satisfy the Cauchy-Riemann equations. Alternatively, the Cauchy
integral formula yields (3.1).
4. Maximum-Minimum Theorem for Harmonic Functions

Recall our convention that in the absence of another stated topology the
space IR N with its usual Euclidean topology is supposed and is compactified
by a point at infinity, denoted by 00. This point 00 is not included in IRN
but is included in the boundary of every unbounded subset of IR N .
Theorem. Let u be harmonic on the open subset D oflR N.

(a) If D is connected and if u attains its supremum or infimum at a point
~ of D then u is identically constant.
(b) The supremum and infimum of u are limits of u along sequences of
points approaching aD.
(c) ffu has a continuous extension to D u aD, the supremum and infimum
of the extension are attained on aD.
A typical implication of this theorem is the fact that a harmonic function

on D with limit 0 at every boundary point must vanish identically. To prove
e
(a), suppose that u attains, say, its infimum lX at a point of D. Since (con-
tinuity of u) the set {,,: u(,,) > lX} is open, the harmonic function average
property (3.2) implies that u is identically lX on B(e,(j) for (j < Ie - aD!.
It follows that the set of points of D at which u = lX is open. Since continuity
of u implies that this set is also closed relative to D, this set is D if D is con-
nected. Thus part (a) of the theorem is true and parts (b) and (c) follow
easily.
5. The Fundamental Kernel for IRN and Its Potentials

If fe C(2)]a, b[ the function u defined by u(e) = f(lel) on the domain
g:a < lei < b} is harmonic if and only if (denoting lei by r)
Au = f"(r) +N - I f'(r) = o. (5.1)
r
Thus if G is defined by
if N = 2,
(5.2)
if N > 2,
the function G(e,') is harmonic on IR N - g}. The function kernel G is the

fundamental kernel of classical potential theory. For D = IR N we shall
sometimes write GD instead of G when N > 2 to match later notation for
Green's functions.
If Ie - ,,1 < r < s, equation (1.3) with B = B(e, s) - ii(e, r) and u =
G(',,,) reduces to
0= 'TtNS N- 1 1L(u, e, s) - 'TtNr N- 1 ; L(u, e, r) (5.3)
so that SN-l d/ds L(u, e,s) does not depend on s and since
lims=I~I_ + co L(u, e, s)/G(O, 0 = I,
-IOgr if N = 2
L(G(",,),e,r) = { 2 N (Ie - ,,1 < r). (5.4)
r - if N > 2
6. Gauss Integral Theorem 7
On the other hand since G(",,.,) is harmonic on ~N - {,.,}, the harmonic

function average property yields
L(G(",,.,),~,r) = G(~,,.,) when I~ -,.,1 ~ r. (5.5)
(The fact that this evaluation is valid when I~ - ,.,1 = r follows from an
easy continuity argument.)
If p. is a measure of Borel subsets of ~N the function Gp. defined by
(5.6)
is the potential of p.. We shall discuss the convergence of this integral later.
It is clear however that if p.(IR N) < + 00, the integral converges absolutely
at every point not in the closed support A of p. and thereby defines a con-
tinuous function on ~N - A. The function is harmonic on this domain
because it has the harmonic function average property there.
6. Gauss Integral Theorem

Let D be a smooth domain, and let p. be a signed measure supported by a
compact set A not meeting oD. Then
(6.1)
where
21t if N = 2,
(6.2)
1t~ {
= (N _ 2)1t N if N > 2.
If A does not meet D the function Gp. is harmonic on a neighborhood of

15 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 ~N - 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 1 containing 15 if D 1 - 15 is smooth because Gp. is harmonic on a neigh-
borhood of 151 - D so the flux out of D 1 - 15 of the gradient of Gp. vanishes.
Observe that (6.1) is trivially true if D is a ball with center ~ and if A = g},
and therefore, in view of the remark in the last sentence, (6.1) is true whenever
A is a singleton,
(6.3)
Integrating (6.3) with respect to p. yields (6.1).

See Section 7 for an extension of this theorem allowing the support of

p. to meet aD.
7. The Smoothness of Potentials; The Poisson Equation
In the following theorem the coordinates of a point ein ~N are denoted by

elll
e
, ... , lNl . We shall use the inequalities
aew,,) 1<
- NIJ'~ - nl
l aG(e~ l- N
Of ,
N;:::2.
(7.1)
Theorem. Let p. be a signed measure on ~N given by an IN measurable density

frelative to IN, dp. = fdl N·
(a) Iff is bounded and vanishes near 00 then u = Gp. is in class C(1)(~N)
and
(7.2)
(b) If in (a) there is an open set D on which f is continuous and satisfies

a Holder condition,
o <p ~ I, (e,,,)ED x D,
then ul D is in class C I2l (D), satisfies the Poisson equation liu = -1t~f, and
(7.3)
Here (jij is the usual Kronecker symbol; that is, «(jij) is the identity matrix.
Proof of (a). Since G(e,·) is locally IN integrable, the integral for Gp.converges
absolutely under the hypotheses of (a). Define Glkl as G /\ logk when N = 2
and as G /\ k N - 2 when N > 2. Then Glklp. is continuous and
logk.
consty If N = 2,
IGp. - Glklp.1 ~
1 const
k2
'fN
I >.
2
Hence limk _ oo Glklp. = Gp. uniformly on ~N, and we conclude that u = Gp.
is continuous. In view of (7.1) the integral in (7.2) is absolutely convergent.
7. The Smoothness of Potentials; The Poisson Equation 9
Round off the integrand in (7.2) when it exceeds k N - 1 in absolute value

to obtain a continuous finite-valued integrand and repeat the reasoning
proving the continuity of GJ-t to show that the right side of (7.2) defines a
continuous function of ~. This function must be ou/o~(i). 0
Proof of (b). In view of (7.1) and the Holder condition satisfied by f on D

the integrand in (7.3) for '1 in a neighborhood of ~ in D is majorized in
absolute value by const I~ - 'll-N+P; so the integral converges absolutely.
Let Pbe a function from IR+ into IR+ satisfying the following conditions:
PE C(1)(IR+), o 5;, p5;, I,

if 0 5;, r 5;, t,
p(r) = {~ if r ~ I,
and define
for lX > O. Then
so lima _ o (M~, lX) = ou(~)/O~(i) uniformly on IR N . The function 4>k, lX) is in

C(1)(IR N ). To prove (b) it is sufficient to show that, on D, lima _ o o4>do~(j)
is the right side of(7.3) and that the convergence is uniform on every compact
subset of D. To show this, write o4>do~(j) in the form
and denote the four terms on the right by I, II, III, IV, respectively. Observe
that each integrand vanishes for '1 outside B(~, lX).
The difference between I and the integral on the right side of (7.3) is at
most const So rrll l (dr) for a < Ie - aDI; 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 i= j in II, the integral over B(e, a) vanishes because the integrand is
odd in e(i) - 17(i). If i = j in II, the integral becomes
(7.4)
if N> 2 and a < Ie -

aDI. 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.
Ifa < Ie - aDI,
so when a -+ 0, there is uniform convergence to 0 on compact subsets of D.

To evaluate IV observe that when i i= j this integral over B(e, a) vanishes
because the integrand is odd in e(i) - 17(i). If i = j and if N > 2 then
The integral is the same for all i, and it is equal to the average of its values
for i = 1, ... , N. Hence
IV =
If N = 2 the corresponding evaluation of IV yields -nf(~) = -nl.!( ~)/2,

and the proof of the theorem is now complete. 0
Extension. If v is a signed measure on ~N for which the integral defining
Gv converges absolutely and if the projection of v on some bounded open
set D is determined by a bounded density g relative to IN' then (GV)ID E C(1 )(D)
because if f=gl D and dj.t=fdIN , then Theorem 7 is applicable to Gj.t
which differs on D from Gv by a harmonic function. The same argument
shows that if g is continuous on D and satisfies a Holder condition there,
then (GV)ID( _C(2 J(D) and J1Gv = -n~g there.
8. Harmonic Measure and the Riesz Decomposition 11
Extension of the Gauss Integral Theorem
Under the hypotheses of (b) the flux evaluation (1.3) yields, whenever B
is a smooth domain with closure in D,
This evaluation generalizes the Gauss Integral Theorem (Section 6) in that

the support of the measure J1. is allowed to meet oB.
8. Harmonic Measure and the Riesz Decomposition
Let D be an open bounded subset of IR N. Suppose that J1.E C(2)(D), and

suppose that ~u is bounded on D. Define a signed measure J1. on D by dJ1. =
-~udIN/1t~. Theorem 7 implies that ~(u - GJ1.) = 0, so that u = (u - GJ1.) +
GJ1. is the sum of a harmonic function and the restriction to D of the potential
GJ1.. This fact will now be proved in a slightly different version and developed
further.
If D is a smooth open subset of 1R1V, if jj(~,b) c D, and if UEC(2)(D),
an application of Green's identity to the pair of functions [u, G(~, .)] on
the smooth open set D - jj(~, b) yields
ioB(~.cl)
G(~, '1)Dn~uIN-l (d'1) - f
oB(~.cl)
u('1)Dn~G(~, ·)IN-l (d'1)
= r [G(~,'1)Dn~u - u('1)Dn~G(~")]IN-l(d'1)
JOD
(8.1)
- JD-B(~.cl)
r _ G(~, '1) ~u('1)IN(d'1).
Since Dnu is bounded, the first integral on the left is majorized in absolute
value by const b Ilog b I if N = 2 and by const b 2 if N > 2; so this integral
tends to 0 when b ~ O. The second integral on the left is equal to -1t~L(u, ~,b)
for N ~ 2 and therefore has limit -1t~u(~) when b ~ O. Thus when b -+ 0
in (8.1), we find
u(~) = ~
1tN
i [G(~,
oD
'1)Dn u - u('7)Dn G(~, ')]IN-t (d'7)
~ ~
(8.2)
- ~ r G(~, '7) ~u('7)IN(tbT)
1tN JD
This representation of u is another version of that obtained above be-

cause the first term in (8.2) defines a function harmonic on D and the second
term is the potential of the signed measure with density -!J.u/7t~. This
representation of u remains valid if G(e,,) is replaced by G(e,,) - u(e, '),
e
where (i) u(e, ')e (:(2)(.0) for each inDand u(e, ·)is harmonic onD. Suppose
that u(e,·) can be chosen to satisfy (i) and also (ii) u(e,·) = G(e,·) on oD.
In this case the restriction to D of the difference GD(e,,) = G(e,,) - u(e,,)
is called the Green function of D with pole e,
and GD is called the Green
function of D. The function u(e, '), if there is such a function, is uniquely
determined because the difference between two such functions is harmonic
on D with limit 0 at every boundary point and therefore vanishes identically
(maximum-minimum theorem for harmonic functions). Recapitulating,
GD(e,·) is to satisfy the following conditions:
(i') GD is defined on D x D and GD(e, e) = + 00.

(ii') GD(e,,) is harmonic on D - {e}, and GD(e,,) - G(e,,) is harmonic
on D if defined suitably at e.
(iii') GD(e,,) has limit 0 at every point of oD.
(iv') e
GD(e,,) - G(e,·) if defined suitably at and, if defined as - G(e,,)
on oD, is in (:(2)(.0).
An application of the harmonic function maximum-minimum theorem

to GD(e,,) on D - {e} shows that GD 2:: O. We shall show in Section II.l
that a ball has a Green function in this classical sense. The existence of a
Green function satisfying conditions (i')-(iv') is a restriction on the smooth-
ness of oD, but in Chapter VII we shall define a Green function much more
loosely, keeping (i') and (ii'), weakening (iii'), and dropping (iv'). It will
be shown that every nonempty open subset of IR N for N > 2 and every
not-too-Iarge nonempty open subset of 1R 2 (for example, every nonempty
bounded open set) has a unique Green function in the looser sense. The
present discussion shows what led to the more general definition and will
suggest theorems to be proved.
Suppose then that D is smooth and that GD exists satisfying (i')-(iv').
If v is a measure on D, the function GDv on D is called the Green potential
ofv. Using GD instead of Gin (8.2) and defining GD(e,·) as 0 on oD reduces
(8.2) to
u(e) = -~
7tN
i
iJD"
u('7)Dn GD(e, ·)IN-l (m,) - ~
7tN
f D
GD(e, '7) !J.u('7)IN(d'7).
(8.3)
In particular
(8.4)
8. Harmonic Measure and the Riesz Decomposition 13
Define the measure J1.D(e,·) of Borel subsets of oD by
(8.5)
Then J1.D(e,·) is a positive measure because the normal derivative in the

integrand is negative, and J1.D(e,oD) = 1. The measure J1.D(e,·) is called the
e.
harmonic measure relative to The representation (8.3) can now be written
u(e) = i
iJD
u(r()J1.D(e,dr() + GDv(e), (8.6)
In our later general treatment we shall prove the following facts:

(a) GD is symmetric and continuous on D x D (= + 00 on the diagonal).
(b) The function J1.D(·,A) is harmonic on D for every A, and more
generally the function JiJD!(r()J1.D(-, dr() is harmonic on D for every
bounded Borel measurable function! on oD.
These facts will be trivially verifiable when D is a ball (see Section 11.1),
the only case when they will be used explicitly before the general discussion.
We therefore proceed without proving facts (a) and (b) in the present
discussion. If u is harmonic on D the second term in (8.6) drops out; so
u(e) = r u(r()J1.D(e,dr().
JiJD
(8.7)
This representation of u makes u(e) a weighted average of the values of u

e,
on oD. In particular, if D is a ball with center this averaging reduces to
°
the defining average property of harmonic functions.
More generally, if /1u ~ and u> 0, (8.6) exhibits u as the sum of a
positive harmonic function and the Green potential of a positive measure.
One of the principal aims of the general theory is to generalize this result
(the Riesz decomposition, Section IV.8) by dropping the smoothness con-
ditions on u, D, and GD •
Chapter II
Basic Properties of Harmonic, Subharmonic,

and Superharmonic Functions
1. The Green Function of a Ball; The Poisson Integral

Let B = B( eo, (5) and if e E B denote bye' the image of e under inversion in
oB. That is, e' is on the ray from eo through e, and Ie - eolle' - eol = <5 2 •
To simplify the notation take eo = O. Then GB , as defined by
(= 10gl~1 e=0)
if
GB(e,,,) = for N = 2 (1.1)

Ie - ,,!2-N - c~lr-21f - ,,1 2 N
- (=1,,12-N - <5 2 -
N
=
if e 0)
for N> 2
with the understanding that GB(c;, c;) = + 00, satisfies items (i')-(iv') of
Section 1.8, so that harmonic measure for B is given by
where 'N-l here refers to surface area on oB and
(1.3)
Hence, according to Section 1.8, if u is harmonic on a neighthorbood of B,
The function K(", 0) is harmonic on IR N - {,,} because GB(o,,,) is, and K(Yf, 0)
is normalized to be I at the origin. The function GB is symmetric, positive
(= + 00 when the arguments are equal), and increases with <5. Moreover
I. The Green Function of a Ball; The Poisson Integral 15
+ if N = 2,
lim GB(~' rt) = { 00 (1.5)
~-+<x> G(~, rt) if N> 2.
Since GB(·, rt) is harmonic on B - {rt}, 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 jJ.
is a finite measure of Borel subsets of oB, the Poisson integral (PI)
PI(B, jJ.)(~) = f K(rt, ~)jJ.(drt), (1.6)

JiJB
defines a harmonic function on B. It should cause no confusion if we write

PI(B,f) instead of PI(B, jJ.) when jJ.(drt) = f(rt)IN-l (drt)/(1t Nb N- 1 ). In later
applications the ball may not have the origin as center, and the Poisson
formula is modified accordingly. Moreover, if f is defined on a superset
S of the boundary of a ball B, we shall write PI(B,f) instead of PI(B,f1 iJB)'
Theorem. Iff is Lebesgue integrable on oB, u = PI(B,f) is harmonic on B

and
«(eoB). (1.7)
Combining (1.7) with the corresponding inequality for inferior limits, it follows
that u has limit f( 0 at ( iff is continuous at (.
We have already noted that u is harmonic on B. Inequality. (1.7) is a

special case of Theorem 1 of Appendix VII with X = oB and n -+ 00 replaced
by ~ -+ (. The key fact is that for rt outside a neighborhood of ( and on oB
the integrand K(rt,~) is at most const(b 2_1~12), and this majorant tends
to 0 when ~ in B tends to (.
Integral of K. The fact that fBK(rt, ~)IN(d~) = IN(B) will be needed below.
To derive this evaluation observe that the value IX = lX(rt) of this integral
does not in fact depend on rt; so
IX = L(IX, 0, b) = i PI(B, 1)IN(drt) = IN(B).
Solution of the Dirichlet Problem for a Ball
Iffis a finite continuous function on the boundary of a ball B, the function

u = PI(B,f) is harmonic on B and, according to Theorem 1 has limit f«)
at every boundary point (. There is only one harmonic function on B with
16 1.11. Basic Properties of Harmonic, Subharmonic, and Superharmonic Functions
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 hannonic functions on B. A generalized
form of this problem for the relevant class of open subsets of!R N is treated
in Chapter VIII.
If u is a finite-valued function defined and continuous on the closure of
a ball Band hannonic on B, u = PI(B, u) on B because u is the unique
solution of the Dirichlet problem for the boundary function ul oB ' 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 N , if B
is a ball with closure in D, and ifthe restriction of u to oB is IN-I integrable,
we define
rBu = {PI(B, u) on B,
(1.8)
u on D-B.
If u is upper or lower semicontinuous, Theorem I implies that rBu has the

same property.
2. Harnack's Inequality
Let A be a compact subset of the open connected subset D of !R N • There is a
function (A, D) 1-+ c(A, D) such that if u is harmonic and strictly positive on D,
u(e) < c(A D) (2.1)

u(rf} - ,
If ii(eo, £5) c D, the representation u = PI(B(eo, £5), u) yields
(Ie - eol ~ IX < £5). (2.2)
Thus
(2.3)
Harnack's inequality is therefore true if A c BRo, £5). More generally, it

follows that Harnack's inequality is true if the compact subset A of D can
be covered by finitely many balls BI , . . . , Bk , each with closure in D, in
3. Convergence of Directed Sets of Harmonic Functions 17
such a way that Bj + 1 n Bj =1= 0 for j = 1, ... , k - l. Since D is connected,

every compact subset A of D can be covered in this way.
Application to Lower-Bounded Harmonic Functions on IR N
A lower-bounded harmonic function v on IR N must be identically constant

because the function u = v - inf v + 1 is a strictly positive harmonic function
on IR N and (2.2) yields u(~) = u(O) when () -+ + 00. (See Section 13 for the
extension of this result, when N = 2, to lower-bounded superharmonic
functions.) In particular, it follows that a bounded analytic function on the
plane is identically constant (Liouville's theorem).
Application to Local Properties of Families of Harmonic Functions
Harnack's inequality implies that a family u. of positive harmonic functions

on a connected open set D is locally uniformly bounded if bounded at a single
point. Moreover, an application of (2.3) with C( near 0 shows that the family
u. + I and therefore also the family u. is equicontinuous at each point and
thus uniformly continuous on each compact subset of D. Trivially, more
generally, a locally uniformly bounded family r of harmonic functions on
an open set D is uniformly continuous on each compact subset of D. This
result can be strengthened as follows. Let r' be the family of partial deriva-
tives of some specified order of the members of r. These derivatives are
harmonic functions. Let B be a ball with closure in D. The representation
u = PI(B, u) can be differentiated to show that r' is uniformly bounded in
each smaller concentric ball, and therefore r' is locally uniformly bounded.
This same reasoning shows that r is locally uniformly continuous, as already
derived using Harnack's inequality.
3. Convergence of Directed Sets of Harmonic Functions

The following results are stated for directed sets (nets) of functions rather
than sequences because in potential theory convergence problems commonly
arise in the context of directed sets. In this section D is an open connected
subset of IR N and u. is a directed set of harmonic functions on D.
(a) Harnack's Convergence Theorem. If u. is directed upward, with limit

u, there is locally uniform convergence on D to u, and u is either identically
+ 00 or a harmonic function.
To prove the theorem, observe that if A is a compact subset of D and if
~o E A,then by Harnack's inequality (2.1) if f3 ~ C( so that up ~ ua , it follows
that
c(A, D)-l sup [up(~) - U,,(~)] :$; Up(~o) - u,,(~o)

~EA (3.1)
:$; c(A,D) inf [up(~) - u,,(~)].
~EA
If u is finite at a point, choose ~o as that point. Then (3.1) implies that u is

finite valued on D and that u. converges uniformly on A, so converges locally
uniformly on D. The limit function u is harmonic because it is continuous
and has the harmonic function average property. On the other hand, if u is
infinite valued at some point, choose ~o as that point, and then (3.1) implies
that u. converges uniformly on A, so locally uniformly, to + 00.
Observation. Whether u is identically + 00 or harmonic in this convergence
theorem, some increasing sequence in u. also has limit u according to
Theorem 2 of Appendix VIII.
(b) If u. is locally bounded and converges to a function u, then the
convergence is locally uniform, the limit function u is harmonic, and if D is
any partial derivation operator, lim" Du" = Du locally uniformly.
The fact that the convergence is locally uniform follows from the local
equicontinuity of u. (Section 2), and the last assertion follows on applying
the operator D to the limit equation lim" PI(B, u,,) = PI(B, u) with B a ball
with closure in D. If u. is a locally bounded sequence of harmonic functions
it is locally equicontinuous; so (by Ascoli's theorem) a subsequence converges
locally uniformly.
4. Harmonic, Subharmonic, and Superharmonic Functions

A function u from an open subset D of IR N into ] - 00, + 00] is called
superharmonic if
(a) u is lower semicontinuous.

(b) u is not identically + 00 in any open connected component of D.
(c) u(~) ~ L(u,~, b) if jj(~, b) c D.
Since u is necessarily locally lower bounded, the integral involved in (c)
is well defined and not equal to - 00. Applying (c) and 1(2.2) we find that
(c') u(~) ~ A(u,~, b) > - 00 if jj(~, b) c D.
Hence finiteness of u at a point ~ implies finiteness IN almost everywhere
in B(~, b) when jj(~, b) c D, and therefore a covering argument shows that
u is finite IN almost everywhere on D and that u is locally IN integrable. In
particular A(u,~,b) is finite in (c') even when u(~) = +00. We shall show
in Section 6(a) that L(u,~, b) in (c) is finite even when u(~) = + 00, and
we shall show in Section 6(c) that (c') can replace (c) in the definitiop of
superharmonicity.
Ifu l and U2 are superharmonic functions on D and if C l and C2 are positive
constants, the functions ClU l ' ClU l + C2U2, and Ul 1\ U2 are superharmonic
4. Harmonic, Subharmonic, and Superharmonic Functions 19
on D. Since superharmonic functions are lower semicontinuous, the limit

of an upward-directed family of superharmonic functions on D is the limit
of an increasing sequence of functions in the family (Theorem 2 of Appendix
VIII). The limit function u is superharmonic if condition (b) is satisfied.
A subharmonic function is defined as the negative of a superharmonic
function. A function is harmonic if and only if it is both subharmonic and
superharmonic. It is unfortunate that it is natural in pure potential theory
to consider superharmonic rather than subharmonic functions but that the
applications of potential theory are likely to involve subharmonic functions
rather than superharmonic functions.
Positive Integral Operations on Superharmonic Functions
Let D be a nonempty open subset of lR N , and let ~(D) be the class of Borel
subsets of D. Let{up,peI} be a family of superharmonic functions on D,
indexed by a set I. If (I, fF, A) is a finite measure space and if the function
(~,P)f-+Up(~) is measurable from (D x I,~(D) x fF) into (lR,~(~)), then
the function u' = II up A(dP) satisfies the superharmonic function average
inequality,
L(u',~, (5) = L(I upA(dP),~,(5) = Ie L(up,~, (5)A(dP) ~ u'(~)

(I~ - aDI > (5),
ifthe double integral involved converges absolutely. Thus u' is superharmonic

if the superharmonic function finiteness and lower semicontinuity conditions
are satisfied.
EXAMPLES. Let c5 be a strictly positive number so small that
D~ = {eeD: I~ - aDI > c5}
is not empty. Then if u is' a superharmonic function on D the function

u' = L(u, ., (5) on D~ is a special case of the preceding integral operation,
with up(~) = u(~ + P), peaB(O,c5) and with A the normalized surface area
of B(O, (5). In this case an application of Fato,u's lemma shows that u' is
lower semicontinuous. We shall show in Section 6(a) that L(u,', (5) is finite
valued, and it follows that L(u,', (5) 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,', (5) and A~u are also special cases of the above integral
operation. Since (from Section 2) A(u,', (5) is finite valued and continuous
and A~u is infinitely differentiable, these two functions are superharmonic
onD~.
For u superharmonic on D the three functions L(u,', (5), A(u,', (5), and
A~u are all majorized by u, and it will be shown in Section 6(f) that these
functions increase monotonely to u when b -. 0, in the sense that when

bo > 0 and b < bo, there is monotone convergence on DIJ o to u when b -. O.
5. Minimum Theorem for Superharmonic Functions

Theorem. Let u be superharmonic on an open subset D of IRN •
(a) If D is connected and if u attains its infimum at a point e,
then u is
identically constant.
(b) The infimum ofu is the limit ofu along a sequence ofpoints approaching
aD.
(c) If u has a lower semicontinuous extension to D u aD, the infimum of
the extension is attained on aD.
A typical implication of this theorem is the fact that a superharmonic

function on D with a positive inferior limit at every boundary point must
be positive. This theorem is the generalization for superharmonic functions
of the harmonic function maximum minimum theorem (see Section 1.4).
The proof of Theorem 5(a) is precisely the same as that given of Theorem
I.4(a) involving the infimum of u because that proof required only lower
semicontinuity of u and the superharmonic function average inequality.
Parts (b) and (c) follow easily from (a).
6. Application of the Operation 'tB

This operation, defined in Section 1, will be used to derive various important
properties of superharmonic functions.
(a) If u is superharmonic on D and if B is a ball with closure in D, then
u is IN-l integrable on oB and 'tBU :::;; u. In fact, since u is lower semicontinuous,
it is bounded below on oB, and there is an increasing sequence f. of finite-
valued continuous functions on oB with limit UlaB' Then PI(B,f.) is an
increasing sequence of harmonic functions on B with limit PI(B, u), and
an application of the superharmonic function minimum theorem to
u - PI(B,f,,) on B shows that the difference is positive there. Hence (n -. OCJ)
u is IN-l integrable on oB and 'tBU :::;; u.
e,
(b) In (a) if B = B(e, b) and if u(e) = L(u, b), then u is harmonic on B.
In fact, under the stated conditions, 'tBU(e) = u(e) so that the restriction to
e,
B of u - 'tBU is positive superharmonic, vanishes at and therefore vanishes
identically.
(c) In the definition ofsuperharmonicity in Section 4, (c) can be replaced
by (c'). We have already seen that superharmonic functions satisfy (c').
Conversely, if u satisfies Section 4(a), (b), (c') the reasoning leading to the
superharmonic function minimum theorem and thereby to (a) above remains
6. Application of the Operation "CB 21
valid, and then if B = B(~, <», the inequality 'tBU(~):S; u(~) is condition
Section 4(c).
(d) In the definition ofa superharmonic function in Section 4 condition (c)
[or equivalently (c /)] there need be supposed true only for sufficiently small
<>, depending on~, because the reasoning leading to (a) of the present section
used only this weakened condition, and (a) implies Section 4(c) when
B = B(~,<».
(e) In (a) the function 'tBU is superharmonic on D because according to
Section 1 this function is lower semicontinuous, and it is trivial that for
~ in D the inequality 'tBU(~) 2:: L('tBU,~, <» is valid for sufficiently small <>.
More generally, if B is a ball with closure in D, if u is superharmonic on D,
and if v is a function defined and superharmonic on B, with v 2:: 'tBU on B,
then the function v' (equal on B to v /\ u and on D - B to u) lies between
u and 'tBU from which it follows easily that v'is superharmonic on D.
(f) If u is superharmonic on D and if ~ E D, the functions <> f-+ L(u, ~, <»,
<>f-+A(u,~,<»,and<>f-+A"u(~)aremonotonedecreasingforO < <> < I~ - aDI,
with limit u(~) when <> -+ O. To prove the monotoneity of L(u,~,·) observe
that if Bi = B(~'<>i) with <>1 < <>2 < I~ - aDI, then the inequality 'tB 2 'tB,U:S;
'tB U reduces at ~ to L(u,~, <>2) :s; L(u,~, <>1)' Next apply the lower semicon-
1
tinuity of u and Fatou's lemma to derive the inequality
u(~) :s; lim L(u, ~,<» :s; u(~)

"->0
and thereby complete the proof of (f) for L(u,~,·). The corresponding
results for A(u,~,·) and A.u(~) follow from 1(2.2) and 1(2.4). The latter
results imply that the relation u 2:: v or u = v, if satisifed IN almost every-
where on their domain of definition D by superharmonic functions u and v,
is satisfied everywhere on D.
The preceding results imply the truth of a slight strengthening of the
lower semicontinuity property of a superharmonic function u, namely,
u(~) = liminfu('1) = liminfu('1), (6.1)

~->~ ~->~
~fA
where A is an arbitrary IN null set. We shall see in Section XU 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 <> > 0 and if </>" is a function on the interval [0, <>], Borel
It
measurable and II almost everywhere strictly positive, with </>ir) dr = 1,
then every superharmonic function u on an open set D obviously satisfies
the inequality
u(~) 2:: I: </>,,(r)L(u,~, r) dr (6.2)

when B(~, 0) c D. Now suppose that 00 > 0 and that </>~ is defined and
satisfies the conditions imposed on </>~ above, for 0 < 0 < 00 , Then if u is a
function on the open set D, satisfying the superharmonic function defining
conditions (a) and (b) of Section 4, together with (6.2) for sufficiently small
0, depending on ~, the function is superharmonic. This assertion has already
been proved for </>~(,) = NO-N,N-l, in which case the right-hand side of(6.2)
reduces to A (u, ~, 0), and the proof needs no change in the general case.
EXAMPLE (The Fundamental Kernel and the Green Function ofa Ball). If the
fundamental kernel G is defined on ~N x ~N, by 1(5.2) the function G(~,·) is
for each point ~ harmonic on ~N - {~} and is superharmonic on ~N. In fact
we have noted in Section 1.5 that this function is harmonic on ~N - {e}.
Moreover this function is continuous on ~N, 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 ~N, 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 (l.l), and for each point ~ of B, GB(~'·)
is harmonic on B - {e} and superharmonic on D.
7. Characterization of Superharmonic Functions in Terms of

Harmonic Functions
It is important to characterize superharmonicity intrinsically, without the
use of balls. Let u be a lower sernicontinuous function from the open subset
D of ~N into] - 00, + 00], not identically + 00 on any open connected
component of D. Consider the following property of u: if Do is a relatively
compact open subset of D and if v is a function defined and harmonic on a
neighborhood of Do, with u - v ~ 0 on oDo, then u - v ~ 0 on Do. This
condition is necessary and sufficient for u to be superharmonic and justifies
the name "superharmonic." In fact a superharmonic function on D has this
property according to the superharmonic function minimum theorem.
Conversely, if u has this property, let B = B(~, 0) be a ball with closure in D.
It is enough to prove that u(~) ~ L(u,~, 0) and even, since u is lower semi-
continuous, to prove that u(O ~ L(f,~, 0) for every finite-valued continuous
function f defined on oB and majorized by u. For such a function f the
function v = PI(B,j) is harmonic on B with a continuous extension to jj
obtained by setting v = f on oB. The difference u - v is lower semicontinuous
on Ii and positive on oB, so that if e > 0, then u - v ~ - e near oB (for
example, on oDo, for Do a slightly smaller concentric ball). The given
condition implies that u - v ~ -e on Do and therefore u - v ~ -e on B, in
particular at ~; that is, u(~) ~ L(f,~, 0) - e. Since e can be arbitrarily small,
the desired inequality is true.
Whenever harmonic functions can be defined, for example, on a Riemann
surface by Laplace's equation, superharmonic functions can be defined using
the intrinsic condition of this section.
9. Application of Jensen's Inequality 23
8. Differentiable Superharmonic Functions

Theorem. If D is an open subset oflR N and if u E C(2)(D), then u is superharmonic
if and only if /iu ~ O.
Since linear functions and products of two different coordinate functions
are harmonic, the Taylor expansion of u about a point of D yields e
(8.1)
so that /iu ~ 0 when u is superharmonic. Conversely if /iu ~ 0 define

v(e) = lel 2 . Then /i(u - ev) < 0 when e > 0, so that by (8.1) with u - ev
instead of u,
(8.2)
for sufficiently small (j. Then u - ev is superharmonic; so (8.2) is valid

whenever Ie - aDI > (j, and (8.2) becomes the superharmonic function
inequality for u when e --+ O.
Approximation of a Superharmonic Function by Differentiable

Superharmonic Functions
If u is a superharmonic function on the open subset D of IR N , the function

AiJu (see Section 1.2) is defined and infinitely differentiable on the set
g E D: Ie - aDI > (j}. According to Section 4 this function is superharmonic
and majorized by u, and according to Section 6(f), for each point of D e
the function (jI--+AiJu(e) is monotone decreasing for (j < Ie - aDI, and
IimiJ _ O AiJu = u. This approximation result will be improved in Section IV. 10.
9. Application of Jensen's Inequality

This inequality implies that if </> is a convex function
</>[L(u, e, 15)] ~ L(</>(u), e, D), (9.1)
whenever u is Lebesgue measurable on aB(e, D) and all integrals involved

exist. This inequality has the following consequences:
(a) If u is harmonic and </> is convex, </>(u) is subharmonic.
(b) If u is subharmonic and </> is convex and monotone increasing,
</>(u) is subharmonic.
Thus if uis harmonic or is positive and subharmonic, lul p
is subharmonic
when p ~ I. If u is positive and superharmonic, uP is superharmonic when

O<p::;;l.
10. Superharmonic Functions on an Annulus

Theorem. Suppose that 0::;; a < b, let D = g: a < I~I < b} be an annulus in
IR N, and let u be afunctionfrom D into iit
(a) If u has the form u(~) = f(IW, then u is superharmonic if and only
if u is a concave function of G(~, 0) (that is, a concave function of
-log I~I if N = 2 and ofl~12-N if N > 2). In particular, u is harmonic
if and only if u is a linear function of G(~, 0).
(b) If u is a superharmonic [harmonic] function on D, the function
~ ~ L(u, 0, IWis also superharmonic [harmonic] on D, and therefore
the function b ~ L(u, 0, b) on ]a, b[ is a concave [linear] function of
-10gb if N = 2 and of b 2- N if N > 2.
Observe that u is a concave function of -log I~I if and only if u is a concave

function of log ~ I I·
Proofof (a). Since we can replace u by Aau and then let IX -+ 0, we can suppose
thatfin (a) is infinitely differentiable. The following evaluation of ~u makes
(a) trivial.
if N = 2 and s = -logl~l, (10.1)
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
~ ~ L(u, 0, I~I) is superharmonic on D, as asserted in (b). If u is not bounded
and n E 7r, the function u 1\ n is a bounded superharmonic function on D;
so the function ~ ~ L(u 1\ n, 0, I~I) is superharmonic on D and when n -+ 00,
we find that the function ~ ~ L(u, 0, I~I) is either superharmonic or identically
+ 00. The latter case is excluded because u is locally IN integrable so (by
Fubini's theorem) L(u, 0, b) < + 00 for II almost every b in ]a, bE. 0
II. Examples 25
The Minimum Function of a Superharmonic Function
Let D be as in Theorem 10, let U be a superharmonic function on D, and

define
m(<5) = min {u(O: I~I = <5}.

We now show that the function ~l-+m(lel) is superharmonic on D; that is,
the function <51-+ m( (5) on ]a, b[ is a concave function of -log <5 if N = 2
and of <5 2 - N if N> 2. First observe that the function ~l-+m(I~I) is lower
semicontinuous on D because u is. Next observe that if y is an arbitrary
rotation of D about the origin, the rotated function ~ 1-+ u(y~) is super-
harmonic on D, and the infimum of the class of all these rotated functions
is the function ~l-+m(IW. Since an elementary argument shows that the
infimum of any locally lower bounded family of superharmonic functions
on an open set is superharmonic if this infimum is lower semicontinuous,
we conclude that the function ~l-+m(I~I) is superharmonic, as asserted.
11. Examples
(a) Suppose that N = 2 and let I be a not identically vanishing analytic
function on the connected open set D. The real and imaginary parts of I
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 III is subharmonic and therefore (Section 9) that I/lp is
subharmonic whenp ~ l. Actually I/lp is subharmonic whenp > 0 because
I/lp = IPI 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 III =
Re (log/) is subharmonic when defined as - 00 at a zero ofI and is harmonic
on the nonzero set off Since /IIP for p > 0 is a monotone increasing convex
function of log III, we have again that I/lp is subharmonic.
(b) If N = 2 and if/is analytic on B(O, (5) and does not vanish identically,
and if p > 0, the function I/IP is subharmonic so
(r < (5) (ll.l)
is an increasing function which is a convex function of log r. Define M(r) =

maxlzl=rl!(z)1 and let '- be a sequence dense on the unit circle {Izl = I}.
Then if un(z) = log 1/«(nz)1 define Vn = Uo V '" V Un to get an increasing
sequence v. of subharmonic functions with limit the function z 1-+ v(z) =
26 l.B. Basic Properties of Harmonic, Subharmonic, and Superharmonic Functions
10gM(lzl). Since n--+L(vn, O, r) is a convex function of log r, the same is true

of the function n--+ log M(r). See a slightly different derivation of this same
property of M(o) 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
rl-+ log M(r) = L(v,O,r)
is a convex function oflog r. This property of M(o) is known as the Hadamard

three circle theorem.
12. The Kelvin Transformation (N ~ 2)
Inversion in a sphere iJB(eo, b) is the transformation of the one-point

compactification IR N u { oo} onto itself which takes the point into the e
point e' on the same ray through eo, with Ie - eol Ie' - eol = b2 , under the
convention that the points eo and 00 are interchanged. This transformation
is its own inverse. From now on to simplify the notation we take eo = 0.
Let D be an open subset of IR N , and let D' be the set of finite points of the
image of D under inversion in iJB(O, b). If u is a function on D define u' on
D' by u'(e') = uW. Then if ueC(2)(D) and if /).' is the Laplacian in the
variable C
Thus the function
is harmonic on D' when u is harmonic on D. The characterization (Section

7) of superharmonicity in terms of harmonicity shows that v is superhar-
monic on D' if u is superharmonic on D. The function transformation from
u into v is called the Kelvin transformation (relative to the inversion sphere).
The Kelvin transformation is its own inverse.
If N = 2, if 1J is an analytic not identically constant function on a con-
nected open set D, and ifueC(2)(D), then /).u(1J) = 11J'1 2(/).u)(1J). Thus u(1J)
is harmonic on D if u is harmonic on 1J(D), and as in the preceding discussion
superharmonicity is also preserved. If 1J is replaced by if) the same argument
is applicable, and this case includes inversion in a circle, already discussed.
14. Classes of Harmonic Functions on a Ball 27
13. Greenian Sets

It is useful to have a special name, "Greenian set," for an open subset of
IRN which supports a positive nonconstant superharmonic function. If N > 2,
every nonempty open subset of IRN is Greenian because G(O,·) is positive
and superharmonic on IR N • If N = 2 and D is not dense in IR z, the set D is
e
Greenian because if is an inner point of IR z - D, the function c - G(e,·)
is positive and harmonic on D for large c. In particular, if D is any open
disconnected subset of IR z, each open connected component of Dis Greenian,
as is D itself. On the other hand, IR z is not Greenian. To prove that a positive
superharmonic function u on IR z must be identically constant, we can replace
u by Aau and thereby suppose that u is infinitely differentiable. Then if
D = B(O, (5) in 1(8.2) we find, with the help of 1(1.3),
u(O) = L(u, 0, (5) - - 1

21t
i
D
<5 IAu(tt)lz(d,.O,
log-I
tt
(13.1)
and Au;S; O. When <5 -+ + 00, this equation becomes impossible unless
Au == 0; so u must be harmonic and, according to Section 2, must therefore
be identically constant. [Alternatively, the fact that u must be harmonic
e,
follows from the fact that (Section 10) the function <51-+ L(u, (5) is a positive
concave decreasing function of log <5 for 0 < <5 < + 00 and so must be
identically constant.]
Application. Liouville's classical theorem that a bounded holomorphic
function f on the complex plane is identically constant is a special case of
the fact that the plane is not Greenian. We need only observe that the real
and imaginary parts of the function f are bounded harmonic functions and
therefore can be made positive by addition of suitable constants.
Observe that the trace on IRN of the image of a Greenian subset of IR N
under inversion in a sphere is Greenian.
14. The L 1 (J!B_) and D(J!B-) Classes of Harmonic Functions

on a Ball B; The Riesz-Herglotz Theorem
In a classification to be given in Chapter IX the harmonic functions charac-
terized in part (a) of the following theorem will be the harmonic members
of a class of functions denoted by L1(jlB_) and the harmonic functions
characterized in part (b) will be the harmonic members of a class of functions
denoted by D(IlB-). The theorem will be a model that suggests corresponding
characterizations in the context of relative harmonic and parabolic functions
defined on wide classes of open sets and in the context of martingales. (See
Chapter I of Part 3.)
28 l.II. Basic Properties of Harmonic, Subharmonic, and Superharmonic Functions
Theorem. Let u be a harmonic function on B = B(O, b).

(a) LI(PB_) harmonic functions. The following conditions on u are
equivalent.
(al) u = PI(B, Mu)for some signed measure Mu on oB.
(a2) u is the difference between two positive harmonic functions.
(a3) lui has a harmonic magorant.
(a4) SUPr<clL(lul, 0, r) < + ex).
Furthermore the map u 1-+ Mu is a one-to-one, linear, order-preserving
map from the class of L I (PB-) harmonic functions onto the class of
signed measures on oB, with
(14.1)
for every continuous function f on oB.

(b) D(PB-) harmonic functions. The following more restrictive conditions
on u are equivalent.
(bl) u = PI(B,fu)for some IN-I measurable and integrable function
fu on oB.
(b2) There is a uniform integrability test function (Appendix V)
cJ) for which <1'(lul) has a harmonic majorant.
(b3) The family {UIOB(O,r),lN_t/(1tNrN-I), 0 < r < b} of paired func-
tions and measures is uniformly integrable.
(b4) (If u > 0) u is the limit of an increasing sequence of bounded
positive harmonic functions.
Furthermore the map u 1-+ fu is a one-to-one, linear, order-preserving
map from the class ofD(IlB-) harmonic functions on B onto the class
L I (oB, IN-I), and dMu = fu dIN_t/(1t Nb N- 1 ).
Observe that lui in (a3) and <1'(lul) in (b2) are subharmonic functions; so
L(lul, 0,') and L(<1'(lul), 0,') are monotone increasing functions on ]0,15[.
In (a) the signed measure Mu is the zero measure if and only if u = 0, and
Mu ~ 0 if and only if u ~ O. In (b) the functionfu vanishes IN-I almost every-
where if and only if u = 0, and fu ~ 0 IN-I almost everywhere if arid only
if u ~ O. The functionfu will be identified in Section 15 as the nontangential
boundary limit function of u.
Nomenclature. The fact that a positive harmonic function on a ball has a

Poisson-Stieltjes representation (al) with Mu ~ 0 is usually called the
Herglotz theorem, although Herglotz himself referred to Riesz. To avoid
confusion this theorem will be called the Riesz-Herglotz theorem in this
book.
(al)::;. (a2) If Mu = III - Ilz is a Jordan decomposition of Mu into the
difference between two (positive) measures, the equation
14. Classes of Harmonic Functions on a Ball 29
u = PI(B, J1.1) - PI(B, J1.2)

expresses u as the difference between two positive harmonic functions.
(a2) = (a3) If u = U 1 - U 2 with U j positive and harmonic, the function
lui has the harmonic majorant U 1 + U 2 .
(a3) = (a4) If lui has the harmonic majorant v and if 0 < r < lJ, then
L(IUI, 0, r) ~ L(v, 0, r) = v(O).

(a4)=(al) If 0 < r < lJ, the function ~l-+u(r~/lJ) is harmonic on a
neighborhood of jj and so is given on B by a Poisson integral,
U = PI(B, J1.r), (14.2)
The total variation of J1.r is
and therefore, in view of the hypothesis of (a4), there is a strictly monotone

increasing sequence r. with limit lJ for which the sequence J1.r. of signed
measures has a vague limit; denote this limit by M u • When r -+ lJ along this
sequence in (14.2), the Poisson representation becomes U = PI(B, M u ). To
show that this representation of u on B determines M u uniquely, we show
that any representation u = PI(B, J1.) with J1. a signed measure on oB implies
that vague limr_ dJ1.r = J1. when J1.r is defined by (14.2). That is, we show (14.1):
whenever fis continuous on oB. Using the fact that I" - r~/lJl = I~ - r,,/lJl
for ~ and" on oB, an interchange of orders of integration yields
(14.3)
J
By Theorem I the right-hand side has limit oBfdJ1. when r -+ lJ, as was to
be proved.
The relation between L 1(J1.B_) harmonic functions on B and signed mea-
sures on oB is obviously linear and positivity preserving. If the space ofsigned
measures on oB is ordered by setting J1.1 ~ J1.2 when the difference J1.1 - J1.2 is
positive, the relation u ¢> M u is order preserving. Since the space of signed
measures on oB is a conditionally complete vector lattice (Appendix IV.7),
30 I.II. Basic Properties of Harmonic, Subharmonic, and Superharmonic Functions
the space V (PB-) of harmonic functions is also a conditionally complete

vector lattice (in the order determined by pointwise inequality). The vector
lattice isomorphism deduced here has an exact analog for harmonic func-
tions on Greenian sets provided with their Martin boundaries (Section
XII.9).
(bI) = (b2) Choose a uniform integrability test function CI> for which
JoBCI>(lful)dIN - 1 < +00. Then by Jensen's inequality
CI>(lul) = CI>[IPI(B,fu)IJ :::; PI(B, CI>(lful»· (14.4)
The last term is a harmonic majorant of CI>(lul).

(b2) = (b3) Let v be a harmonic majorant of CI>(lul). Then
L(CI>(lul), 0, r) :::; L(v, 0, r) = v(o);
so (b3) is true.
(b3) = (bl) Since (b3) is stronger than (a4), u = PI(B, MJ, and we have
proved above that the signed measure IJ., tends to My (vague convergence)
when r ..... (j. Now the uniform integrability described in (b3) is equivalent to
uniform integrability of the family {,p-"" u(r'1I(j), ! < r < (j} offunctions on
oB relative to the measure IN-I' Hence (Appendix V) there is a strictly
monotone increasing sequence r. with limit (j for which the sequence
'11-+ u(r. "I(j)
has a weak limit functionj on oB in the sense that
(14.5)
for every bounded IN - 1 measurable function g on oB. This limit relation

implies (take g continuous) that the sequence IJ.,., already known to be
vaguely convergent to My, is vaguely convergent to the signed measure
jdIN_t/(nN(jN-I). That is, My is absolutely continuous relative to IN- 1 and
dMy = jdIN_t/(nN(jN-I). Thus (bI) is true andfu is uniquely determined up
to IN - 1 null sets because My is uniquely determined. The map ul-+fu has
the stated properties because the map u 1-+ My has the corresponding
properties.
=
(bl) (b4) Under (bl), if u > 0, U = PI(B,fJ withfu ~ 0, according to
what we have proved, and U = limn_ooPI(B,fu /\ n) represents u as the limit
of an increasing sequence of positive bounded harmonic functions.
(b4) = (bI) If Un is bounded positive and harmonic on B, condition (b2)
is satisfied, so (bl) is satisfied. Moreover, if u. is an increasing sequence of
positive bounded harmonic functions on B with limit u, the sequence fu
15. The FatoL Boundary Limit Theorem 31
is an increasing sequence (up to IN-t null sets) with limit some function f,
and the equation Un = PI(B,fu) becomes in the limit U = PI(B,f).
Observation. If U E D(jlD-) in the theorem, we have proved that limr....cJJlr =
M u (vague convergence of signed measures on oB), where Jlr is the signed
measure defined by (14.2). This convergence, or alternatively, a slight varia-
tion of the convergence proof, shows that if Vr is the signed measure on Ii
supported by oB(O, r) and defined by
then lim r.... b Vr = M u (vague convergence of signed measures on Ii).
15. The Fatou Boundary Limit Theorem

Let B = B(O, <5) in IR N • A "Stolz domain" in B with vertex' on oB is defined
as the intersection of B with an open cone of revolution with vertex " axis
of rotation the ray from' through the origin, half-angle < 1[/2. A "deleted
nontangential neighborhood" of' is defined as a subset A of B with the
property that if S is a Stolz domain with vertex " then S n B(', e) c A for
sufficiently small e, depending on S. The class of deleted nontangential
neighborhoods of , is closed under finite intersections. A function w on B
is said to have radial limit q at , if lim r.... ! w(rO = q. The function is said to
have nontangentiallimit q at , if lim~ .... cw(e) = q whenever the approach to
, is in a Stolz domain with vertex " that is, if w has limit q at , along the
filter of deleted nontangential neighborhoods of ,.
A signed measure J1. on the Borel subsets of oR can be considered as a
signed measure of Borel subsets of IR N , supported by oB. In particular,
(N - I)-dimensional "area" on oB when so extended to IR N will be denoted
by l~. If Jl and v are signed measures on IR N supported by oB, the symmetric
variational derivate dJl/dv (see Appendix IV.12) can thus be defined as the
symmetric derivate for measures on IR N or equivalently in the obvious way
for measures on oB.
Theorem.lfuEV(JlB_) and ifh is a strictly positive harmonic function on B

then if' E oB,
(symmetric variational derivate) (15.1)
whenever both the indicated derivate and the symmetric derivate dl~/dMh(O
exist.
According to this theorem the limit in (15.1) exists at M h almost every

boundary point (.
Observation. In the classical version of this theorem, as proved by Fatou,
h == I, so that M h is a normalized Lebesgue measure IN_d(nN~N-1) on oB.
In particular the theorem implies that iffis an IN -1 measurable and integrable
function on oB then the harmonic function PI(B,f) has nontangential
boundary limitf(O at IN-1 almost every point ( of oB.
Reduction of the Theorem to a Special Case

Suppose that it is known that u/h has radial limit 0 at a boundary point (
whenever
(Rl) u ~ 0,
(R2) The symmetric derivate dMu/dMh exists and is 0 at (.
(R3) The symmetric derivate dl~-ddMh exists and is finite at (.
It will now be shown that then the theorem follows. In the first place, when
u ~ 0 and u/h has radial limit 0 at ( then u/h also has nontangentiallimit 0
there. In fact let S be a Stolz domain with vertex ( and let S1 be a second
Stolz domain with vertex ( but with a larger vertex angle than S. Choose p
with 0 < p < 1 and let B p [B 1P] be the ball with center p(, internally tangent
to OS[OS1J. According to the Harnack inequality for balls as applied to u
and h in B 1p there is a strictly positive constant c with the property that
u(~) < u(pO

h(~) - c h(p(r
The constant c does not depend on p because the constant in Harnack's

inequality is unaffected by a similarity transformation of ~N. It follows that
u/h has limit 0 on approach to ( in S and therefore on nontangential approach.
In the second place we need only remark that if the derivate value in (15.1)
is IX, to reduce the general case to that of positive u and IX = 0 we can replace
M u by IMu - IXMhl, that is, replace u by the corresponding vector lattice
maximum (u - 1Xh) Y (1Xh - u) furnished by Theorem 14.
To finish the proof of the theorem, we prove that under (Rl)-(R3) the
function u/h has radial limit 0 at (. Let lXiO) and IXh(O) be, respectively, the
Mu and Mh measure of the closed spherical cap on oB cut off by the closed
cone of revolution with vertex the origin, axis the radius to " half-angle
o> 0, and define lXu(O) = IXh(O) = O. The functions lXu and IXh are monotone
increasing on [0, n] and right continuous except perhaps at 0, and IXh(O) > 0
when 0 > 0 in view of (R3). To simplify the notation take ~ = l. Define
(15.2)
16. Minimal Harmonic Functions 33
so that
(15.3)
The function Ks is a decreasing function on [0,1t],
(a> 0),
(15.4)
and according to hypotheses (R2) and (R3),
. lJ N - 1
11m
0-+0 (Xh
(lJ) < + 00. (15.5)
According to Appendix VII.3 with f= 1, P = N - 1, and n --+ 00 replaced

by s --+ 1, relations (15.4) and (15.5) imply that lims -+ 1 u(sOfh(s') = 0, as was
to be proved.
16. Minimal Harmonic Functions

A harmonic function U on an open connected subset D of IR N is called
minimal if U is positive and if every harmonic function v on D satisfying the
inequality 0 ::; v ::; u is a constant multiple of u. If u is minimal, the positive
multiples of u are also minimal. If ~o E D and if r is the class of positive
harmonic functions on D with value 1 at ~o, the class r is convex, and the
minimal members of r are the extreme elements of this convex set. In fact,
if u is minimal and in r and if u is not extremal, then u has a representation
p + q = 1, o <p < 1, (16.1)
with U 1 and U 2 distinct elements ofr. But thenpu 1 and qU2 must be multiples
of u with values p and q, respectively, at ~o, so u = U 1 = u 2 , contrary to
hypothesis. Conversely, if u is an extremal element of r and if v is harmonic
on D with 0 ::; v ::; 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
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.
EXAMPLE. Let D = B(O, (5) and let K be the normalized Poisson kernel density
function,
'1 E aB(O, (5), eE B(O, (5). (16.2)
The class of minimal harmonic functions with value I at the origin is

{K('1,·),'1EOD}. In fact K('1,') is minimal because the Riesz-Herglotz
measure of this function is supported by the singleton {'1} and the corre-
spondence between positive harmonic functions and their Riesz-Herglotz
measures is order preserving; so any positive harmonic function majorized
by K('1,') also has Riesz-Herglotz measure supported by {'7}. Conversely,
suppose that u is minimal with Riesz-Herglotz measure fJ.. Unless fJ. is
supported by a singleton {'7} in which case u is a multiple of K('7, '), fJ. is the
sum of two nonidentically vanishing measures, say fJ. = fJ.l + fJ.2' supported
by disjoint sets, so that fJ.l is not a multiple of fJ., and fJ.l is then the Riesz-
Herglotz measure of a positive harmonic function majorized by u but not
a multiple of u. The point is that the minimal measures on oB(O, (5) in the
obvious definition must correspond to the minimal harmonic functions, and
the minimal measures are those supported by singletons.
Chapter III
Infima of Families of Superharmonic

Functions
1. Least Superharmonic Majorant (LM) and Greatest

Subharmonic Minorant (GM)
If r is a class of extended real-valued functions on a set D, a function v
on D will be called a majorant [minorant] of r if v ~ U [v ~ u] for every
N
U in r. If D is an open subset of IR , the least superharmonic majorant
[greatest subharmonic minorant] of r, if such a function exists, will be
denoted by LMDr [GMDr], or by LMDu [GMDu] ifr = {u} is a singleton.
Theorem. If a superharmonic function u on D has a subharmonic minorant,

then GMDu exists and is harmonic.
Let B. be a sequence of (not necessarily distinct) balls with closures in

D and with the property that if ~ is in D, some neighborhood of ~ is contained
in infinitely many of the balls. Define Un = fBn ... fB0 u. Let UlX) be the limit
of the decreasing sequence u. of superharmonic functions on D. If v is a
subharmonic minorant of u,
and if ~ is in D, some subsequence of u., in some ball with center ~, is a

decreasing sequence of harmonic functions. It follows (Harnack convergence
theorem) that UlX) is harmonic and majorizes v, and therefore UlX) = GMDu.
Without the hypothesis that u has a subharmonic minorant the limit
function ulX) is either identically - 00 or harmonic on each connected open
component of D and, if harmonic on D, is GMDu.
Observation (aJ. If D is a ball or is IR N , a simple choice of B. is an in-
creasing sequence of balls with closures in D and with union D. Choice of
B. as an increasing sequence of open relatively compact subsets of D with
union D will be possible for every open set D once fB is defined (in Section
VIII.lI) whenever B is an open relatively compact subset of D.
Observation (b J. As the proof of the theorem shows,
36 I.III. Infima of Families of Superharmonic Functions
for superharmonic functions u l' U 2 and positive constants c1, C 2'
EXAMPLE (a). Let u be superharmonic on D and let B = B(¢, b) have closure

in D. Then GMB(uIB) = PI(B, u). We already know that there is inequality
(~) here because PI(B,u) = ('tBu)IB ~ U. If Bn = B(¢,b - lin), the minorant
in question is U oo = (lim n.... oo 'tBnu)IB' The function U oo is harmonic on Band
majorizes PI(B, u), and there is equality at ¢ because
uoo (¢) = lim L(u,¢,b

n-oo
_!)
n
= L(u,¢,b) = PI(B,u)(¢). (l.l)
Hence (harmonic function maximum-minimum theorem) there is equality

on B, as asserted.
EXAMPLE (b). GMDG D(¢,·) = O. In fact, if D has a Green function GD in
the sense of Section 1.8 then GD (¢,·) is a positive superharmonic function
on D with limit 0 at every boundary point. The function GMDG D(¢,·) 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 00 is the only boundary
point, shows that GMIRNG(¢,·) = 0 when N > 2. In Section VII.l the Green
function GD will be defined for every Greenian set D. The property
GMDG D(¢,·) = 0 remains true and in fact is very nearly a defining property
ofG D •
2. Generalization of Theorem 1
Theorem I is included in the following theorem but was proved separately
because of the importance of its constructive proof.
Theorem. If a classr of superharmonic functions on an open subset D of ~N

has a subharmonic minorant, then GMr exists and is harmonic.
Let robe the class of subharmonic minorants of r. The class r 0 contains

U1 v U2 with Ul, U2 and is therefore directed upward in the order of pointwise
inequality, with limit u', a function majorized by r. We prove the theorem
by showing that u' is harmonic. Let B be a ball with closure in D and suppose
that ver o. For every function u in r, v ~ 'tBv ~ 'tBU ~ u. Thus 'tBverO ,
and the supremum of r 0 is the same as that of {'tBV: ve r o}. This class on B
is an upward-directed family of harmonic functions majorized by r on B;
so u' is harmonic on B (Harnack convergence theorem) and therefore on
D, as was to be proved.
3. Fundamental Convergence Theorem (Preliminary Version) 37
3. Fundamental Convergence Theorem (Preliminary Version)

If u is a function from a topological space into IR, we denote (Appendix
VIII.l) by '1- the lower semicontinuous smoothing of u, that is, the maximal
lower semicontinuous minorant of u:
u(~) = u(~) /\ liminfu('1). (3.1)

+ ~-~
In the following theorem the trivial inequality '1- .::;; u is stated for complete-
ness and to facilitate reference.
Theorem. Let r: {u a , IX E I} be a family of superharmonic functions on an

open subset of IRN , locally uniformly bounded below, and define the lower
envelope (infimum) u ofr by u(~) = inf aEIUi~). Then u+ .::;; u,
(3.2)
and
(a) u is superharmonic.
+
(b) u+ = u on each open set on which u is superharmonic.
(c) u+ = U IN almost everywhere.
(d) There is a countable subset of r whose lower envelope has the same
lower semicontinuous smoothing u.+
Observation (1). The hypotheses of the theorem are not effectively

weakened by the added assumption that u. is directed downward because
if all finite minima ua , /\ ••• /\ uak are adjoined to the family, the enlarged
family of superharmonic functions is directed downward and has the same
lower envelope u, and (d) is true for the original family if true for the enlarged
family. The added assumption justifies the nomenclature "convergence
theorem."
Observation (2). According to Choquet's topological lemma (Appendix

VII!.3) Theorem 3(d) is true, and we can even assume that r is a decreasing
sequence. Furthermore, since the theorem is local, it can be assumed that
u is bounded below on its domain, say u ~ c, and replacing Ua by Ua - c,
it can be assumed that the members of r are positive.
In accordance with these observations the following proof assumes that
u. is a decreasing sequence of positive superharmonic functions. Apply
11(6.1) to find
u,,(~) = liminfu,,('1) ~ liminfu('1),

~-~ ~-~
38 I.III. Infima of Families of Superharmonic Functions
so that u(e) is at least equal to the last term on the right, and therefore
(3.1) implies (3.2). Since Un is superharmonic,
(3.3)
so that
A(~, e, b) ~ A(u, e, b) ~ u(e). (3.4)
Moreover continuity of A(u,', b} (Section 1.2) implies that
A(~, e, b) ~ A(u, e, b) ~ ~(e) ~ u(e) (3.5)
because u+ is the largest lower semicontinuous function majorized by u.

Inequality (3.5) implies that ~ is superharmonic. Finally ~ = u IN almost
everywhere on D because when 15 -+ 0 inequality (3.5) becomes ~ ~ u ~
~ ~ U IN almost everywhere on D, by a standard derivation theorem.
Application to GMDr
Let r: {u a , IX EI} be a family of superharmonic functions on an open subset

D of IR N and suppose that r has a subharmonic minorant. Then GMDr
exists; so r is locally lower bounded. Define u = infu a . According to
Theorem 3, the function u+ is superharmonic, and we now show that GMDr =
GMDu. +
It is trivial that GMDr ~ GMDu+ and in the other direction GMDr
is a continuous minorant of u and is therefore a minorant of u+ by definition
of u;
+
so GMDr ~ GMDu. +
4. The Reduction Operation

Let D be an open subset of IR N coupled with a boundary oD provided by a
metric compactification. Let A be a subset of D U oD, let v be a positive
superharmonic function on D, and let r be the class of positive superhar-
monic functions u on D majorizing v on A 1\ D and near A 1\ oD in the
sense that to each function u corresponds a neighborhood A o of A 1\ oD
in the compact space D U oD such that {u ~ v} => (A u A o) 1\ D. If Ut and
u 2 are in r, their minimum u t /\ U 2 is also in r; so r is directed downward
in the order of pointwise inequality. The reduction R: of von A is defined
as the infimum, that is, the limit, of the directed set r. Since VEr, this
reduction is also the infimum and limit of the class of functions v /\ u with
u in r, that is, of the class of positive superharmonic functions on D equal
to v on A 1\ D and near A 1\ oD. Thus R: ~ v, with equality on A 1\ D. The
4. The Reduction Operation 39
set D is part of the context but is omitted from the notation. In most ap-
plications A cD. According to the Fundamental Convergence Theorem
in the preceding section, the lower semicontinuous smoothed reduction
R+vA is majorized by R:, 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: > R A
+v
} is not only IN null but polar, a more re-
lJ:
strictive characterization to be defined in Section V.I, and it will be proved
in Section VIA that R: = on D - A.) The notation ~V~A will sometimes
be used instead of R+vA •
Obviously R: and R+vA increase when A or. v increases. Moreover the
reduction operation is subadditive in the sense that
(4.1)
and the corresponding inequality (4.lsm) for smoothed reductions is also

true. To prove (4.1) we observe that if uA [VA] majorizes U [v] on AnD and
near A noD and ifuB[v B] majorizes u[v] on BnD and near BnoD, then
UA + U B + VA + VB majorizes U + V on (A u B) n D and near (A u B) noD.
To prove (4. Ism), observe that the two sides are superharmonic functions
and that the inequality is true IN almost everywhere on D and therefore
everywhere on D.
If D - A is not empty and if B is a ball with closure in D - A, the function
't BU is in r whenever U is in rand 't BU ~ u; so R: on B is the limit of the
downward-directed family {( 't BU)IB' U E r} of harmonic functions. Hence
(by the Harnack convergence theorem) R: is harmonic on B and so is
harmonic on D - A and equal to R +v
A
there. In particular, when A coD,
the reduction R: is harmonic on D and R: = R +v
A
•
Since R: = V on AnD, it follows that R: = R+vA = V on the interior

of AnD. Hence, if A is open in D u oD, the smoothed reduction R+vA is a
positive superharmonic function majorizing v on AnD and near A noD
and majorized by R:; so R: = R+vA on D. More generally we shall show in
Section 5(d) that R: = R+vA whenever AnD is open.
EXAMPLE (a). Let D be a ball and let A be a relatively compact subset of D.

Then R: (and therefore also R+vA ) has limit 0 at every ball boundary point.
It is instructive to prove this result directly here, although the result also
follows naturally at a later stage from the remark that when A is relatively
compact in D, the function R+vA is (Section IV.8) the potential GD J1. of a
measure with compact support in the ball and as such (Section IV.I) has
limit 0 at every ball boundary point. To prove the stated result, let ~ be
the center of D, let Al be an open neighborhood of A and be relatively
compact in D, and let B be an open neighborhood of Al and be relatively
compact in D. Then R:' = v on A; so R: ~ R:', and R:t is harmonic on a
40 I.III. Infima of Families of Superhannonic Functions
neighborhood of oB. Choose a constant c so large that CGD(~'·) > R~' on oB

and therefore on a neighborhood of oB. The function u equal to R~1 on B
and equal to R~' 1\ cGD(~'·) on D - B is superharmonic on D, majorizes
R~, and is a minorant of CGD(~'·) on D - B; so R~ :s; u :s; CGD(~'·) near
oD, and therefore R~ has limit 0 at every boundary point of D. A similar
argument shows that when N> 2, D = IR N , and A is a relatively compact
subset of D, then R~ has limit 0 at the point 00.
EXAMPLE (b). Let D be a ball,let A = {e} cD be a singleton, and let v == l.
Then R~(~) = v(~) = I, but since eGD(~'·) majorizes v on A whenever e > 0,
it follows that R~ = 0 on D - {~} and the smoothed reduction l$A vanishes
identically. v
EXAMPLE (c). Let D be a ball with center the origin, and let v be a positive
harmonic function on D with Riesz-Herglotz representation (Section 11.14)
v= r K(", ·)Mv(d,,).
JaD
(4.2)
We shall now prove
(4.3)
for every Borel boundary subset A. The first equality in (4.3) is trivial
because R~ 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 A o
is a closed subset of A, the difference u - VA o is superharmonic on D and
positive near A o . Moreover the fact that lim~~,K(·,~) = 0 uniformly on
A o when (e oD - A o implies that VA o has boundary limit 0 on oD - A o .
Hence u - VA o has a positive inferior limit at every boundary point of D,
and the superharmonic function minimum theorem implies that u - VA o ~ 0;
so R~ ~ VAo' If Al is an open boundary superset of A, then lim~~,K(·,~) = 0
uniformly on oD - Al when (eA; so V - VA I has boundary limit 0 at every
point of A. Hence, if e> 0 the function VA I + e majorizes V near A, and
it follows that VA 1 ~ R~. Thus VA 0 :s; R~ :s; VA 1 , and this inequality implies
the desired equality (4.3).
EXAMPLE (d). Let D be a Greenian subset of IR N , 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 oB. Then R~-B = GMBv on B. In fact,
on the one hand, R~-B is harmonic on B and is majorized by V on B; so
R~-B :s; GMBv on B. On the other hand, if u is a positive superharmonic
function on D, with u ~ V on D - B, and if Vo is a harmonic function on
B and is majorized by V on B, then u - Vo is superharmonic on B and has
a positive inferior limit at every point of oB and so is positive on B, and it
follows that R~-B ~ GMBv on B.
5. Reduction Properties 41
According to Section VIII.18, the hypothesis in Example (d) that v be

finite valued and continuous at each point of oB is stronger than necessary.
It is sufficient, for example, if v is finite valued on oB. More specifically,
according to Theorem VIII.l8(c), in which J1.v(·, vl B ) can be identified with
R~-B, the evaluation R~-B = GMBv on B is true if and only if, in the ter-
minology to be developed below, the set of irregular boundary points of
B is a null set for the Riesz measure associated with v.
5. Reduction Properties
The following list of reduction properties will be useful, and' expanded,

in later chapters. The reductions are relative to a Greenian subset D of IR N ,
and no restrictions not specifically stated are imposed on the positive super-
harmonic functions on D to be reduced or on the subsets of D u aD on which
these functions are reduced.
(a) R~ in terms of reductions on subsets of D.
R~ = inf{R~uB: A noD c B, Bopen in Du aD}

(5.1)
= inf{R~AUB)()v: A noD c B, Bopen in DuoD}.
These evaluations follow from the fact that if u is a superharmonic function

on D majorizing v on AnD and near A n aD, then there is a neighborhood
B of A n aD so small that u also majorizes v near B n aD. The smoothed
version of(5.1) is
R A = inf {RAUB: A noD c B, B open in D u aD}

+v + +v
(5.lsm)
= inf {R(AuB)()V: A noD c B, B open in D u aD}.
+ +v
To prove (5.lsm), 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 R+vA , and the reverse inequalities are trivial.
If A n aD is compact, the sets B in (5.1) and (5.lsm) need only run through
a decreasing sequence of relatively compact open neighborhoods of A noD
with that set as intersection.
(b) If p is a positive superharmonic function on D with GMvp = 0, if
A c aD, and if v is a positive superharmonic function on D, then R~+p = R~.
In particular, R: = O. This property follows from the inequality
because R:, a positive harmonic function majorized by

identically.
p, must vanish
42 1.111. Infima of Families of Superhannonic Functions
Observation. In Section IV.8 the positive superharmonic functions p

with GMDP = 0 will be identified with the superharmonic potentials GDJ1..
(c) R: in terms of separate reductions on subsets of D and of aD. Recall
(Section 4) that R:C\oD is harmonic. We now prove that if v' = v - R:C\oD
then
(5.2)
and also prove the corresponding inequality (5.2sm) for smoothed reduc-
tions. In particular, if GMDv = 0 then R: = R:C\D and R+vA = RAC\D.
+v
In fact,
if VI is a positive superharmonic function on D, majorizing v near A (') aD
and if V2 ij. a positive superharmonic function on D, majorizing v' on A (') D,
then VI + V2 ~ R:, and therefore
(5.3)
Conversely, if V3 is a positive superharmonic function on D, majorizing

von A (') D and near A (') aD, the positive superharmonic function V3 - R:C\oD
majorizes v' on A (') D; so
(5.4)
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) R: = R A whenever A (') D is open. If A is open, this property was
pointed out in +Section 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 A (') D, then
R: = inf{R~: A c B, Bopen in DuaD}. (5.5)
In fact, if u is a positive superharmonic function on D which majorizes

von A (') D and near A (') aD, then for n ~ 1 the function (I + I/n)u majorizes
v on a neighborhood of A (') D and on the trace on D of a neighborhood of
A (') aD and therefore majorizes R~ for some open superset B of A.
6. A Smallness Property of Reductions on Compact Sets

Theorem. If D is a Greenian subset of~N, if A is a relatively compact subset
of D, and if v is a positive superharmonic function on D, then GMDR+vA = O.
By hypothesis there is a nonconstant positive superharmonic function

u on D. It can be supposed that D is connected and, replacing u by U I / 2 if
7. The Natural Order Decomposition for Positive Superharmonic Functions 43
necessary, that u is not harmonic. Replacing u by u - GMDu if necessary,
it can also be supposed that GMDu = O. If Al is an open relatively compact
subset of D containing A, then VI = R:l = RAt
+v
is a positive superharmonic
function on D, harmonic on D - AI, and is equal to V on A; so V I and v
have the same reduction on A. Replacing v by VI if necessary, it can be
supposed that v is harmonic on D - AI' Thus, if B is an open relatively
compact subset of D containing AI, the function tJ is harmonic on a neigh-
borhood of oB. Choose c so large that cu > v on oB. This inequality will
then hold on a neighborhood of oB, so that (cu) 1\ v = v on this neigh-
borhood. Define U I = v on ii and U I = (cu) 1\ von D - ii to get a positive
superharmonic function on D majorizing v on A and therefore majorizing
R: on D. Hence
GM D R+vA < R A = R vA <

- +v -
CU
on D - ii, and (by the subharmonic function maximum theorem) therefore

GMDR A ~ cu on D. Since GMDu = 0, it follows that GMDR A = 0, as was
+v +v
to be proved.
7. The Natural (Pointwise) Order Decomposition for Positive

Superharmonic Functions
Theorem. If U, u l , and U2 are positive superharmonic functions on an open

subset D of IR N , with u ~ UI + U2' then there are positive superharmonic
functions u~, u; on D for which
u= u~ + u;. (7.1)
Let u~ be the smoothed infimum (given by the Fundamental Convergence

Theorem) of the class of functions v, positive and superharmonic on D and
satisfying the inequality u ~ v + U2' Then u ~ u~ + u 2 IN almost everywhere
on D and therefore everywhere on D. Let u; be the smoothed infimum of the
class of functions v, positive and superharmonic on D and satisfying the
inequality u ~ u~ + v. Then u ~ u~ + u; on D, and if v is a positive super-
harmonic function on D for which u ~ u~ + v [u ~ v + u;], it follows that
v ~ u; [v ~ ua In particular (choose v = u), it follows that u ~ u~ and
u ~ u;. To prove the theorem, it will be shown that u = u~ + u;. Define
(u - u;)(e) as the indicated difference whenever u;(e) < + 00 and define
whenever u; (e) = + 00. The function u - u; is thereby lower semicontinuous

at each infinity of u;, and we shall now prove that u - u; is also lower
44 I. III. Infima of Families of Superharmonic Functions
semicontinuous at the other points of D. Let B be a ball with closure in D.

Then
(7.2)
on B, and the bracketed function v is superharmonic on Band majorizes

'tBU; there. Hence [Section II.6(e)] the function (u; /\ V)/B extended to D
by u; is a positive superharmonic function v' on D, and u ::s; U'1 + v'. It
follows that v' ~ u;; that is, 'tBU; + U - 'tBU ~ u; on B. Thus
(7.3)
on B. If B has center e,if u;(e) < + 00, and if B shrinks to e,

the value
'tB(U - u;)(e) = 'tBU(e) - 'tBU;(e) tends to (u - u;)(e), and since the left
side of (7.3) is continuous (harmonic) on B we conclude that u - u; is lower
e,
semicontinuous at as desired, and therefore is lower semicontinuous at
every point of D. Furthermore (7.3) implies that the function u - u; satisfies
the superharmonic function average inequality; so this function is super-
harmonic. The relations (u - u;) ::s; u~ and u = (u - u;) + u; are valid
except possibly at the IN null set of infinities of u; and are therefore valid
everywhere on D. It follows that u - u; = u~ and u = u~ + u;, as was to be
proved.
Chapter IV
Potentials on Special Open Sets
I. Special Open Sets, and Potentials on Them

Throughout this book a special open subset of IRN is either a ball in IRN or
IRN itself, but the latter only when N > 2. The Green function GD for D a
ball was defined in Section 11.1. The Green function GD for D = IR N with
N> 2 is defined as G. If Jl. is a measure on a special open set D, define the
function GDJl. on D by
(l.l)
An application of Fatou's lemma shows that GDJl. is lower semicontinuous,

and GDJl. satisfies the superharmonic function inequality because GD(', ,,) does
for each ". Hence GDJl. is either superharmonic or identically + 00 on D.
The function GDJl. is called the potential or sometimes the Green potential
of Jl.. In Chapter VII a Green function GD will be defined for every Greenian
open set and will be shown to enjoy many of the properties of the Green
function of a special open set. For example, if Jl. is a measure on the Greenian
set D, the function GDJl. will be shown to be either superharmonic or iden-
tically + 00 on each open connected component of D.
In Chapters IV-VI many theorems will be stated for potentials on
Greenian sets but proved only for potentials on special sets. This is done
because the results for these special sets will be used to develop many of the
general results of classical potential theory that are needed before a general
Green function can be comfortably defined and its properties studied. It
will be obvious that circular reasoning will not be invoked, and in Sections
VII.5 and VII.8 it will be pointed out that the proofs in the preceding chapters
for special sets are also applicable when the sets are Greenian.
In this book potential in the present classical context always means a
function GDJl. with D Greenian or (rarely and then always pointed out
explicitly) GJl. when N = 2 and the open set involved is the plane. The
existence of the latter potential is discussed later in this section.
Suppose again that D is special open and consider a potential GDJl.. It is
46 J.IV. Potentials on Special Open Sets
clear that GD J1. is superharmonic if J1. has compact support in D because this
potential is fmite off that support. More generally GD J1. is superharmonic if
J1.(D) < + 00 because if J1.1 is the projection of J1. on a ball B with closure in
D and if J1.2 is the projection of J1. on D - B, then GD J1. = GDJ1.1 + GD J1.2'
GDJ1.1 is superharmonic because J1.1 has compact support in D, and GD J1.2 is
superharmonic because this potential is finite on B. Moreover, if GD J1. is
superharmonic and if Do is an open J1. null subset of D, the potential GD J1.
is harmonic on Do because this potential is Borel measurable and satisfies
the harmonic function average property on Do.
If J1. has compact support in the special open set D, the Lebesgue dominated
°
convergence theorem when applied in (1.1) yields the fact that the potential
GDJ1. has limit at every boundary point of D, because the function GD(-, 11)
has this property and is uniformly bounded in a neighborhood of when oD
11 is restricted to a compact subset of D. More generally, if D is a Greenian
subset of ~N and if J1. is a measure on D with GD J1. superharmonic, it will be
shown that in various senses the potential GD J1., in particular GD (',l1) for
fixed 11 in D, has boundary limit function 0. See, for example, Section VilA,
VIII.11, XII.l9, XII.23, and 2X.8.
Potentials GJ1. When N =2

The study of potentials GJ1. when N = 2 is complicated by the fact that G is
°
then not a positive function. Observe first that for an arbitrary measure J1.
on ~2 and m > the integrand in
Um(e) = i
B(O.m)
G(e,l1)J1.(dl1)= r
JB(o.m)
logle-111- 1J1.(dl1), (1.2)
is lower bounded for each e; so U m ( e) is uniquely defined (::s; + (0). If we

write u(e) in the form
Um(e) = r
JB(o.m)
log(nle -111- 1 )J1.(dl1) - J1.(B(O,m))logn, n > m > 0,
(1.3)
the integrand is positive for e in B(O, n - m). The reasoning used above in
discussing potentials of measures on balls and on ~N when N > 2 when
applied to the function defined by the integral in (1.3) shows that Um is a
superharmonic function on B(O, n - m) and is harmonic on each J1. null open
subset of B(O, n - m). Since n can be chosen arbitrarily large, the function
U m is a superharmonic function on ~2 and is harmonic on ~2 - B(O, m)
and on each open J1. null subset of B(O, m). In particular, if J1. has compact
support and if m is so large that B(O, m) contains this support, it follows
that GJ1. is superharmonic and is harmonic on the complement of the
2. Examples 47
closed support of p.. Going back to an arbitrary choice of p., define

A = U:=1 {um = + <Xl}. Then A is IN null since Um is superhannonic, and
in fact A is what will be described in Section V.l as a polar set. Observe that
for k > 0 and m> k + I the function U m + 1 - U m is hannonic and negative
on B(O, k). In view of the Harnack Convergence Theorem (Section 11.3) we
conclude that either (a) Gp. = - <Xl on B(O, k) - A and Gp. is not uniquely
defined on A or (b) Gp. is uniquely defined and superharmonic on B(O, k).
Since k can be chosen arbitrarily large, either (a) Gp. = - <Xl on 1R 2 - A
and Gp. is not uniquely defined on A or (b) Gp. is uniquely defined and super-
hannonic on 1R 2 • Thus Gp. is superharmonic if and only if
f log 1111 p.(d1]) < + 00; (1.4)

JIRLB(O,I)
the condition p.(1R 2 ) < + <Xl is necessary but not sufficient for (1.4). See
Section 9 for a further analysis of superhannonic functions on 1R 2 .
Dependence of GD and GDp. on D
If D 1 and D 2 are special open subsets of IR N with D 1 c D 2 , it follows from

the maximum-minimum theorem for hannonic functions that GD I ~ GD 2 on
D 1 X D 1 because if eED1 , the function GD 2 (e,·) - GD I (e,·) if properly
e
defined at is harmonic on D 1 with positive limit at every boundary point.
In this sense the function D f-+ GD is monotone increasing. In particular,
GB(o.,) increases as r increases, and (direct calculation) lim,-+oo GB(o.,) is either
identically + 00 or G on IR N x IR N according as N = 2 or N > 2. If p. is a not
identically vanishing measure on IR N and if p., is the projection of p. on B(O, r),
then lim,-+oo GB(O,,)p., is identically + 00 if N = 2 and is Gp. if N > 2. What-
ever the dimensionality, if p. is a finite measure on the ball B, the potentials
GBp. and Gp. are superharmonic and differ on B by a hannonic function.
2. Examples
Let p. be a unit mass distributed uniformly on oB(O, (5). Then
on B(O,<5),
on IR N - B(O, (5) (N) 2), (2.1)
GB(O.D)P. = Gp. - N
a- + 2
on B(O, a) if a> <5.
In fact the potential Gp. must be a function of the distance 1111 from the origin,
must be superharmonic, and must be hannonic on IR N - oB(O, (5), and there-
fore (according to Section 11.10) must be a concave function of 111I- N + 2 , and
48 l.IV. Potentials on Special Open Sets
l"r
°
N 2
must be a linear function of + on each open component of ~N -
oB(O, b). Finally, this potential is b- N + 2 at the origin and has limit at 00.
Hence the first two lines of (2.1) are correct. If a> b, the difference GJ.l.-
GB(O.a)J.l. is a function of 1,,1, defined and harmonic on B(O, a), with limit
GJ.l. = a- N + 2 at the boundary. Hence (maximum-minimum theorem for har-
monic functions) this difference is identically a- N + 2 ; so the third line of(2.1)
is correct.
Similarly
on B(O,b),
on ~2 - B(O, b) (N = 2), (2.2)
on B(O, a) if a> b.
If J.l.~lJ is a unit mass distributed uniformly on oB(~, b), then
(2.3)
and it follows from (2.1) and (2.2) that for N ~ 2 the function of (~,,,)
defined by (2.3) is continuous on jRN x ~N. If a> b and if ~ E B(O, a - b), the
difference GJ.l.~lJ - GB(O.lJ)J.l.~lJ = h is harmonic on B(O, a); so
(2.4)
It follows that the function of (~,,,) defined by (2.4) is continuous on

B(O, a - b) x B(O, a).
3. A Fundamental Smallness Property of Potentials
,Theorem. If D is a Greenian subset of ~N and if u = GDJ.l. is a superharmonic

potential on D, then GMDu = 0.
If D is special, choose a sequence B. of balls with closures in D and with

the property that if ~ is in D, some neighborhood of ~ is contained in infinitely
many of the balls. Then (Section III.l) 'tBn ... 'tB 1 J.l.! GMDu. Moreover
and the integrand decreases to °

when n -+ 00 because (Section Ill. I)
GMDGD(·,,,) = 0. Hence GMDu = 0, as was to be proved. Observe that
when D is special, the simplest choice of B. is an increasing sequence of
concentric balls with union D. The proof as stated will be valid for arbitrary
5. Smoothing of a Potential 49
Greenian D once GD has been defined in Section VII. 1. The converse of

Theorem 3 is also true: it will be seen in Section 8 that for u positive and
superharmonic on a Greenian set D the condition GMDu = is necessary
and sufficient for u to be a potential on D.
°
4. Increasing Sequences of Potentials
Theorem. If D is a Greenian subset of[RN, if Jl.. is a sequence ofmeasures sup-

ported by a compact subset A of D, if vague limn.... co Jl.n = Jl., and if GDJl.l ~
GDJl.2 ~ ... , then lim n.... co GDJl.n = GDJl..
We defer the prooffor Greenian sets and suppose that D is special. Since
sUPn Jl.iA) < + 00, the function u = limn.... co GDJl.n is finite on D - A and is
therefore superharmonic on D. Apply Fubini's theorem and the fact that
(~, 11)1-+ L(GD (11, .),~, r) is continuous (Section 2) to deduce
L(u,~, r) = n....limco L(GDJl.n'~, r) = i

A.
L(GD(11, .),~, r)Jl.(d11) = L(GDJl.,~, r). (4.1)
When r -+ 0, we find that u = GDJl., as was to be proved.
5. Smoothing of a Potential
Let Jl. be a measure on [RN with compact support A. An elementary calcula-

tion shows that AI1.(GJl.) = GJl.I1.' where Jl.11. is absolutely continuous relative to
IN with infinitely differentiable density
(5.1)
Moreover Jl.i[RN) = Jl.(A), the measure Jl.11. is supported by g: I~ - AI < IX},

and liml1..... o Jl.11. = Jl. (vague convergence). Finally (from Section 11.6) GJl.11.
increases when IX decreases and liml1..... o GJl.11. = GJl.. According to Theorem 1.7,
the density (5.1) is equal to -!1(GJl.I1.)/1t~.
If B is a ball containing A and if IX < IA - oBI, the function AI1.(GBJl.) is
defined and superharmonic on gEB: I~ - oBI> IX} and is harmonic and
equal to GBJl. on gEB:I~-AI>IX,I~-oBI>IX}. Define AI1.(GBJl.) on
g E B: I~ - oBI ~ IX} as GBJl. to obtain an infinitely differentiable super-
harmonic function on B. Since GBJl. differs from GJl. on B by a harmonic
function the results in the preceding paragraph yield the fact that AiGBJl.) =
GBJl.I1.' where Jl.11.' the same measure as above, has density -!1(GBJl.J/1t~ =
-!1(GJl.I1.)/1t~ relative to IN, and GBJl.11. increases to the limit GBJl. when IX!O.
50 !.IV. Potentia~ on Special Open Sets
6. Uniqueness of the Measure Determining a Potential

Theorem. Let D be a Greenian subset of[RN (N ~ 2) or D = [R2, and let J.l and
v be measures on D for which GDJ.l and GDv are superharmonic. Suppose that
A is an open subset of D and that there is afunction h defined and harmonic on
A for which GDJ.l = GDv + h on A. Then the projections of J.l and v on A are
identical.
The proof will be given for D = [RN 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 [RN, and therefore it can be supposed, replacing J.l and v by their
projections on a ball containing A if necessary, that J.l and v have compact
supports. According to Section 5, the functions Aa(GJ.l), AiGv) are infi-
nitely differentiable potentials of measures J.la, Va with respective densities
-t:!Aa(GJ.l)/n~, -t:!Aa(Gv)/n~ relative to IN' Since these densities are equal
on the set {¢ E A: I¢ - i)A I > (l(}, the projections of J.la and Va on this set are
identical, and since J.la and Va have vague limits J.l and v when (l( -+ 0, the
projections of J.l and v on A are identical, as was to be proved.
Extension of Theorem 6 to Charges
In the following extension of Theorem 6 we consider charges J.l on D (see

Appendix IV.7) with the following property: J.l has positive and negative
variations J.l+ and - J.l-, respectively, with the property that GDJ.l+ and GDJ.l-
are superharmonic. As usual J.l+ and J.l- are finite on compact subsets of D,
but if D #- [R2 both J.l+ (D) and J.l- (D) may be + 00, so J.l need not be a signed
measure. The potential GDJ.l is defined as GDJ.l+ - GDJ.l- on the subset of D
on which at least one of the potentials GDJ.l+ , GDJ.l- is finite. If v is a second
such charge on D, if A is an open subset of D and if h is a function defined
and harmonic on A, suppose that GDJ.l = GDv + h on A in the sense that
GD(J.l+ + v-) = GD(J.l- + v+) + h on A. According to Theorem 6, if this
condition is satisfied, it follows that J.l+ + v- = J.l- + v+ on subsets of A.
Since the four measures involved here are finite valued on compact subsets
of D, we conclude that J.l = von the compact subsets of A, so these measures
have identical projections on A. Thus we have extended Theorem 6 to cover
potentials of charges as restricted above.
In particular, if GDJ.l is harmonic on the open subset A of D, so that we can
take vas the zero charge, we conclude that A is J.l null. As a second particular
case suppose that GDJ.l+ and GDJ.l- are finite valued on an open subset A of
D and that (GDJ.l)'A is in the class C<3)(A). Let v be the charge on A )\lith
density -(t:!GDJ.l)/n~ relative to IN' If A o is an open relatively compact subset
of A and if Vo is the projection of v on A o then (Section I. 7) (GD VO)IA is in the
class C(2)(A), and t:!(GDJ.l- GDVO) = 0 on A o ; so GDJ.l differs from GDVO on
A o by a harmonic function and it follows that J.l = Vo on subsets of A o and
7. Riesz Measure Associated with a Superharmonic Function 51
so on subsets of A; that is, dfJ. = -!:i(GDfJ.)/1t~dIN on A. The hypothesis that

(G DfJ.)I AEC<3)(A) can be weakened, for example, to the condition GDfJ.
E C(2)(A) by applying the result just obtained to a smoothing A«(GDfJ.),
but we shall not need this refinement.
7. Riesz Measure Associated with a Superharmonic Function

Theorem. If u is a superharmonic function on an open subset D of IR N(N ~ 2),
there is a unique associated measure fJ. on D with the property that if A is an
open relatively compact subset of D, and if fJ.A is the projection of fJ. on A, there
is a superharmonic function hA on D, harmonic on A, with
(7.1)
onD.
The uniqueness of fJ.A is obvious from Theorem 6, and incidentally this

uniqueness implies that the measure determining a potential is the measure
associated with the potential. If the theorem is true with hA supposed only
defined and harmonic on A and satisfying (7.1) on A, this function can be
extended to a superharmonic function on D which satisfies (7.1) on D. In
fact, if B is an open superset of A, relatively compact in D, and if v is the
projection of fJ.B on B - A, then hA = Gv + hB on A. Thus hA has a super-
harmonic extension Gv + hBto B, and when hA is so extended, u = GfJ.A + hA
on B. In this way hA can be extended in stePf> to D. Finally, it is sufficient to
prove that if A is a ball with closure in D, there is a measure fJ.A defined on A
and a harmonic function hA defined on A for which u = GfJ.A + hA on A. In fact,
if two such balls overlap the parts of the two associated measures on the
intersection of the balls must be identical by Theorem 6, and the desired
measure on D is obtained by piecing together the measures associated with
the balls.
To prove the italicized statement we first replace D by a subset if necessary
to make u bounded from below on D, and adding a constant if necessary, we
can even suppose that u is positive on D. Since only the restriction of u to A
A
is relevant to the desired result, we can replace u on D by R
+u
, a positive super-
harmonic function on D, equal to u on A, harmonic on D - A. The proof

now proceeds as follows. Let B be a ball concentric with and larger than A,
with closure in D. Choose ex so small that ex is strictly exceeded by the dif-
ference between the radii of A and B and by IB - oDI. The function A«u is
superharmonic and infinitely differentiable on a neighborhood of B, equal
to u, and harmonic on a neighborhood of oB, and lim«_o A«u = u on D.
According to 1(8.6),
(7.2)
on D, where J1.a. is the measure on D with density - /)'Aa.u/1t~ relative to IN' The
value of J1.a.(D) can be found by applying the Gauss integral theorem (inte-
grate over aD), and since Aa.u = Uon D, J1.iD) does not depend on a. Thus as
a ~ 0 along a suitable sequence J1.a. has a vague limit measure J1.o supported by
A. Applying Theorem 4, we find that if J1.A is the projection of J1.o on A, then
U = {GBJ1.0 + PI(D, u) on D,
(7.3)
GJ1.A +hA on A,
where hA is harmonic on A, and we have used the fact that GBJ1.A and GJ1.A
differ on A by a harmonic function.
Observation. It follows from Theorem 6 that the map U1-+ J1. from super-
harmonic functions into their associated measures is additive (u11-+ J1.1 and
U21-+J1.2 imply that U1 + U21-+J1.1 + J1.2) and positive homogeneous (UI-+J1.
implies that cu 1-+ CJ1. for c a positive constant).
8. Riesz Decomposition Theorem

Theorem. If D is a Greenian subset offRN (N ~ 2), if Uis a superharmonic func-
tion on D with associated measure J1., and if Uhas a subharmonic minorant, then
U = GDJ1. + GMDu. (8.1)
In the most common application U is supposed positive, in which case the

harmonic function GMDu is also positive. We defer the general Greenian
case to Section VII.8 and treat here only special sets D. If D is a ball, let D be
a smaller concentric ball. In the notation of Theorem 7, u = GJ1.B + hB =
GDJ1.B + h~, where h~ is superharmonic on D a~ harmonic on D. Now
according to Section III.l, the minorant GMDv depends additively on the
superharmonic function v, and according to Section 3, this minorant vanishes
if v is a potential. Hence GMDu = GMDh~ ~ h~. When D increases to D, we
conclude that GDJ1. is superharmonic, that h~ decreases to a harmonic func-
tion h on D, and that u = GDJ1. + h. Then h = GMDu, and the proof is com-
plete. The proof for fRN when N > 2 is essentially the same.
The following assertions about a positive superharmonic function u on D
are easy consequences of the Riesz theorem.
(a) The function u is a potential GDJ1. if and only if GMDu = 0, equiva-
lently, when D = D(~,t5), if and only if limr_6L(u,~,r)= limr_6
rB(~.r)U(~) = 0 (or when D = fRN with N > 2, if and only if this limit
is 0 when r ~ + 00).
(b) If u is majorized by a superharmonic potential u is itself a potential.
(c) Special case of (b). If u is a superharmonic potential, then R+uA is also,
for every choice of A; in particular, RoD
+u
= 0 for every choice of aD.
9. Counterpart for Superharmonic Functions on 1R 2 of the Riesz Decomposition 53
°
(d) The smoothed reduction RA.
+u
is a potential if A is a relatively compact
subset of D (because GMDRA.
+u
= according to Theorem 111.6).
Observe that a superharmonic function u on D is the sum of a potential

and a harmonic function if and only if u has a subharmonic minorant.
9. Counterpart for Superharmonic Functions on [R2 of the

Riesz Decomposition
Let u be a superharmonic function on 1R 2 and let fJ be a strictly positive
number. Then (Section 11.4) the function L(u, " fJ) is superharmonic on 1R 2 .
For fixed ~ in 1R 2 the function
~ L(u,~,fJ)-L(u,~,I)= ( J:~)
U 1-+ I ~ m u, .. , u
- ogu
is a positive increasing function on ] I, + 00 [ in view of the superharmonic

function average inequality and the fact (Section 11.10) that the function
L(u,~,') is a concave function of log fJ. Hence (Section 11.4) the function
m(u) = lim 6 -+ 00 m(u,', fJ) is either identically + 00 or a positive superharmonic
function, and in the latter case it is identically constant because (Section 11.13)
the plane is not Greenian.
Theorem. (a) Ifu is a superharmonicfunction on 1R 2 , then u is harmonic ifand

only ifm(u) = 0.
(b) If J.l is a measure on 1R 2 and if g(fJ) = J.l(B(O, fJ», then GJ.l is super-
harmonic on 1R 2 ifand only if
100
log fJ dg( fJ) < + 00. (9.1)
(c) IfJ.l is a measure on 1R 2 satisfying (9.1) and ifu = GJ.l, then

lim [L(u, 0, fJ) + g(fJ) log fJ] = 0, (9.2)
6-+00
and (9.2) is also true if g(fJ) is replaced bJ! J.l(1R 2 ).

(d) Let u be a superharmonic function on 1R 2 with associated Riesz mea-
sure J.l and define 9 as in (b). If
liminf[L(u,O,fJ) + g(fJ)logfJ] < +00, (9.3)

6-+00
then GJ.l is superharmonic and u = GJ.l + h, with h a harmonic function on 1R 2

given by
54 I.IV. Potentials on Special Open Sets
h( e) = lim [L(u, e, (5) + Ji(1R

0-00
2
) log <5]. (9.4)
Proof (a) Ifu is harmonic on 1R 2 the function m(u, 0, (5) vanishes identically;
so m(u) = 0. Conversely, if u is superharmonic on 1R 2 and m(u) = 0, then
e,
since m(u, 0) is a positive increasing function on the interval] I, + 00[, it
follows that this function vanishes on the interval; that is, L(u, 0) is a e,
e,
constant function there. Since L(u, 0) is a decreasing concave function of
e,
10g<5 for <5 > 0, it follows that L(u, 0) is identically constant; that is, u
satisfies the harmonic function average equality and so is harmonic.
(b) and (c) The condition (9.1) that GJi be superharmonic was derived
in Section I [see (1.4)] in a trivially different form. If (9.1) is satisfied, the
evaluation of L(G(e, 0), 0, 0) in Section 2 or Section I.5 yields
L(GJi,O, <5) = -Ji(B(O, (5»log <5 - r

JRLB(O.O)
log I'Ti Ji(d,O
(9.5)
= -g(<5) log <5 - [ logsdg(s).
JJ<l,+oo[
The function g is positive, monotone increasing, and right continuous, with

limit Ji(1R 2 ) at + 00. Thus (9.2) is true. Moreover (9.1) implies that
lim [Ji(1R 2 ) - g( (5)] log <5 = 0; (9.6)

0-00
so g(<5) can be replaced in (9.2) by Ji(1R 2 ).

(d) Under (d) let Jio be the projection of Ji on B(O, (5). According to
Theorem 7, there is a superharmonic function ho on 1R 2 , harmonic on B(O, (5),
such that
(9.7)
Now (9.5) with Ji replaced by Jio yields the equality L(GJio' 0, (5) =
-g(<5-)log<5. Furthermore the function n--+L(ho,O,r) is continuous and
equal to hiO) for r < <5; so L(h6 , 0, (5) = hiO). Hence
L(u, 0, (5) = - g( <5 - ) log <5 + hiO). (9.8)
For fixed '1 the function <5 f--+ GJii'1) is monotone decreasing on the interval
]1 + 1'11, +00[, so the function <5f--+ho('1) is increasing on this interval.
Hence (Harnack convergence theorem) either limo_ oo ho = + 00 on 1R 2 or
limo_ oo ho = h is a harmonic function on 1R 2 . In view of (9.8) the first case
is excluded by (9.3). Hence in the limit (9.7) yields the fact that GJi is super-
harmonic and u = GJi + h. Moreover from (9.8)
10. An Approximation Theorem 55
h(O) = lim [L(u, 0, b) + g(b) log b],

0-->00
and as noted in the proof of (c), the value g(b) can be replaced by Jl(1R 2 )
in this limit relation. Thus (9.4) is true for ~ = 0 and therefore for all ~
since ~ rather than the origin can be chosen as the reference point in this
discussion. 0
10. An Approximation Theorem
The following theorem is an example of the application of the reduction and

related operations.
Theorem, Every superharmonic function u on an open subset D of IR N is the

limit ofan increasing sequence u, ofsuperharmonic functions with the following
properties:
(a) un is upper bounded.
(b) infDun = infDu.
(c) Un is infinitely differentiable.
(d) [At the possible sacrifice of (a)] ifu is harmonic outside a compact
no
subset A of D, then Un = u outside a compact neighborhood An of A with
A n+! C An and An = A.
If u is harmonic outside a compact subset A of D, we can choose u, to

satisfy (b)-(d) as follows. Choose a sequence a, in IR+ satisfying
tlA - aDI > a o > IX! > ... ,
and define Un = Aanu on the set Bn = g: I~ - AI < 2IXn }. The function Un is

superharmonic and is equal to u near aBn. Define Un = u on D - Bn to obtain
a sequence u, satisfying (b)-(d), with An = iin.
To find a sequence u, satisfying (a)-(c) for general superharmonic u
suppose first that infDu = 0 and let D, be an increasing sequence of open
relatively compact subsets of D with union D. Define Vn = R~:n' a positive
superharmonic function on D, bounded by n, equal to u /\ n on Dn , and
harmonic on D - 15n • Now proceed as suggested by the method used in the
preceding paragraph. Define an = IDn - aD1/3, except that an = lin if
D = IR N , and define Un = AaJvn,,) on the set Bn = {~: I~ - Dnl < 2an }. The
function Un is superharmonic, majorized by Vn, and equal to Vn near DBn.
Define Un = Vn on D - Bn to obtain a sequence u, satisfying (a)-(c).
If infDu = 13 > - 00, find a sequence u, satisfying (a)-(c) by adding 13 to
each member of a sequence satisfying these conditions for the function u - 13.
If U is not lower bounded, modify the approximation procedure as follows.

Choose Dn as above and also to satisfy Dn C Dn+1, and define Vn by
Vn = inf {v: v superharmonic on D, v ~ U II. non D zn u( 9 ODZj)} (10.1)
so that the lower semicontinuous smoothing v is majorized by U II. n,

coincides with U II. n on D zn , and (FundamentatConvergence Theorem) is
superharmonic on D and harmonic on U:' (D zj +z - Dzj ). Define oc. as a
decreasing sequence of strictly positive numbers satisfying
OCn < !oDzn +z - DZn+11 II. loD zn +1 - Dznl,
and define Un by
A v on DZn + 1 '
Un = "n+n (10.2)
{ on DZk+l - DZk - 1 for k > n.
A"k V+n
The sequence U. has the desired properties (a)-(c).
Specialization to Positive Superharmonic Functions and Potentials
If D in Theorem lOis Greenian and if U is a positive superharmonic function

on D, each approximation Un can be chosen to satisfy (a)-(c) and also to be
the potential of a measure with compact support. If U is itself the potential
of a measure with compact support A, each approximation Un can be chosen
to satisfy (a)-(d) with Un the potential ofa measure supported by An [notation
of (d)].
It is convenient to suppose first that U is the potential of a measure with
compact support A. Then U is harmonic on D - A. Furthermore U is bounded
outside each neighborhood of A because the function (e, 1])I-+GD (e, 1]) is a
e
bounded function for 1] restricted to A and restricted to the complement
of a neighborhood of A. (This property of the Green function is trivial for
D special and will be proved in the general case.) The first paragraph of the
proof of Theorem 10 furnishes a sequence U. with the properties (a)-(d);
Un is a potential because [Section 8(b)] Un is majorized by the potential u; the
Riesz measure associated with Un is supported by An because un is harmonic
on D - An. Thus the assertion for U when U is the potential of a measure
with compact support in D is true. For U superharmonic and positive the
proof of Theorem 10 for the case infDu = 0 provides a sequence U. with the
desired properties. In fact each function Un is a potential because by compact-
ness of Dn the function Vn = R~",.,. is a potential [Section 8(d)], and the
positive superharmonic function Un is a potential because it is majorized by
Vn ·
Chapter V
Polar Sets and Their Applications
1. Definition
A polar subset of IR N is a set to each point of which corresponds an open
neighborhood of the point that carries a superharmonic function equal to
+ 00 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 ofa single superharmonic function
defined on IR N .
The polar sets are the negligible sets of classical potential theory. An
assumption about points of IR N 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 g} is polar because G(e, 0) is super-
harmonic on IR N and equal to + 00 at e. Although the point 00 is not in
IR N , that point is considered a Euclidean boundary point of every unbounded
set. In a context allowing 00 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 IR N 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 + 00 on the part of A in its domain, a polar set has
IN measure O. It follows that an IN measurable inner polar set also has IN
measure O.
If u and v are superharmonic functions on an open subset of IRN 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(0]
everywhere.
58 l.V. Polar Sets and Their Applications
2. Superharmonic Functions Associated with a Polar Set
Theorem. If A is a polar subset of IR N , there is a function superharmonic on

IR N and identically + 00 on A. This function can be chosen to be the potential
GJ1. of a measure J1. with J1.(IR N ) finite and to be finite at any preassigned point
oflR N - A.
e
To prove the theorem suppose that E IR N - A and apply the LindelOf
covering theorem to cover A by balls Bo , B 1 , .•• so small that is not in e
any ball closure and that to each ball Bk corresponds a function Uk defined
and superharmonic on an open neighborhood of lik and identically + 00
on Bk n A. Let J1.k be the projection on Bk of the Riesz measure associated
with Uk; choose a strictly positive constant Ck so small that CkJ1.k(Bk) < r k,
that CkIGJ1.k(e)1 < r\ and if N = 2, that Ck Ie:' log 1'71 J1.k(d'7) < r k. The super-
harmonic potential G:EO' CkJ1.k is + 00 on A and finite at e.
Observation (a). Since the set of infinities of a superharmonic function
v is the GlJ setnO'{v > n}, every polar set is a subset of a GlJ polar set.
Observation (b). Since a superharmonic function is IN-l integrable on
every ball boundary in its domain, a polar set meets a ball boundary in
an IN-l null set.
Observation (c). The complement of a closed polar subset A of IR N is
connected. To see this, let B be an open connected component of IR N - A,
let u be a superharmonic function on IR N , identically + 00 on A, and define
v = + 00 on B and v = u on IR N - B. The function v satisfies the conditions
for a function to be superharmonic on IR N except for the finiteness condition.
Hence v is either identically + 00 or superharmonic. Both alternatives are
impossible unless IR N - A is connected.
Observation (d). If D is an open subset of IR N , the set IR N - D is polar
if and only if the finite part 0°D = ~ n oD of the boundary is polar, and
then 0° D = IR N - D. In fact, if 0° D is polar, its complement is connected
and everywhere dense and so is equal to D, and therefore IR N - D = 0° D
is polar. Conversely, if IR N - D is polar, the set D is everywhere dense; so
0°D = IR N - D is polar.
Extension. If D is a Greenian subset of IR N and if A is a polar subset of D,
then there is a positive function superharmonic on D and identically + 00 on A.
This function can be chosen to be the potential GD J1. ofa measure J1. with J1.(D)
finite and to be finite at any preassigned point of D - A.
If D is special, the proof of Theorem 2 for N > 2 with IR N replaced by
D and G replaced by GD is valid in the present context. This same proof
will be valid in the case of general Greenian D once (Section VII. 1) G D
has been defined.
4. Properties of Polar Sets 59
3. Countable Unions of Polar Sets
Theorem. A countable union of polar sets is polar. In particular, an inner

polar Fa set is polar.
e
In fact, if A o , At, ... are polar, if E IR N - U~ A k, and if Ilk is a measure
on IR N with IGllk(e) I + Ilk(IR N ) < r k, with Gllk = + 00 on A k and (if N = 2)
with ff log 1'1 IIlk(d,O < rk, then the superharmonic potential G(I:~ Ilk) is
+00 on U~ A k •
Since singletons are polar, this theorem implies that countable sets are
polar. For example, suppose that A is a countable dense subset of IR N , and
let u be a superharmonic function on IR N , equal to + 00 on A. The set of
infinities of u is a polar dense G" set and therefore is not countable.
It will be shown in Section VI.2 that an analytic inner polar set is polar.
According to Theorem 3, if u and v are superharmonic functions on an
open subset of IR N and if v :5 u inner quasi everywhere on an Fa set A, then
this inequality must hold quasi everywhere on A because the set
{v> u} nA = U{v > r} n {r ~ u} nA (r rational)
is an Fa inner polar set and is therefore polar.
4. Properties of Polar Sets
Theorem. The following conditions on a subset A of a connected Greenian

set D are equivalent :
(a) A is polar.
(b) There is a superharmonic potential u = GDIl with Il(D) < +.00 and
u = +00 on A.
(c) If u is superharmonic and strictly positive on D, R+uA == O.
(d) There is a strictly positive superharmonic fun,ction u on D for which
R~ has a zero.
In the following argument D is special. We defer the general Greenian

case to Section VII.8.
Proof (a) => (b) Has already been proved for D = IR N • The proof for a
ball is similar.
(b) => (c) Let u be a positive superharmonic function on D, identically
+ 00 on A. Then (for n ~ 1) u/n ~ u on A; so R~ :5 u/n, and therefore
R~ = 0 at every point where u is finite. Hence the positive superharmonic
60 I. V. Polar Sets and Their Applications
function R+uA has a zero and accordingly must vanish identically (super-
harmonic function minimum theorem).
A
(c) => (d) The result follows because R
+u
= R: IN almost everywhere.
(d) => (a) The result follows because if R:(~) = 0, there is a function
Vn positive superharmonic on D, ~ u on A, ~ Tn at ~, so that I:O'vn is
superharmonic on D, identically + 00 on A. 0
5. Extension of a Superharmonic Function

Theorem. Let D be an open connected subset of !R N , let A be a polar subset
of D, and let u be an extended real-valued function on D - A satisfying the
following conditions: - 00 < u ~ + 00 ; u ~ + 00 ; u is locally lower bounded;
u is lower semicontinuous; if ~ED - A, then u(~) ~ L(u,~,fJ)for sufficiently
small fJ, depending on ~. Then u has a unique superharmonic extension u' to
D, determined on A by
u'(~) = liminfu(,,). (5.1)

"....~
In this theorem when jj(~,fJ) c D, the function u is defined IN-l almost
everywhere on oB(~,fJ), and u is IN-l measurable and lower bounded on
this set; so L(u,~, fJ) is well defined. In the simplest case A is relatively
closed in D, so that the hypotheses make u superharmonic on D - A, but
these hypotheses allow A to be dense in D. A superharmonic extension
u' of u satisfies (5.1) because of the strengthening of the lower semicontinuity
property of superharmonic functions in 11(6.1). If the theorem is true
locally, it is true as stated; so we can assume that D is a ball, that u is not
identically + 00, and (Section 4) that there is a positive superharmonic
function v on D, identically + 00 on A but finite at some point of D - A
at which u is finite. When e > 0, the function u + ev, if defined as + 00
on A, is superharmonic on D, and according to the Fundamental Conver-
gence Theorem (Section 111.3), the function U o = lim.....o(u + ev) has lower
semicontinuous smoothing u+0 superharmonic on D, equal IN almost every-
where on D to Uo. If ~ ED - A, the given inequality u(~) ~ L(u, ~, fJ) implies
[see 1(2.2)] that u(~) ~ A(u,~, fJ) (for sufficiently small fJ). Applying lower
semicontinuity of u, we find that lim infd _ o A (u, ~,fJ) ~ u( ~). Hence
u(~) = limA(u,~,fJ) (~ED - A). (5.2)

d.... O
Moreover u = U o = U+0 IN almost everywhere on D. Therefore
u(~)=limA(u ,~,fJ)=u (~) (~ED-A); (5.3)

d-O +0 +0
so u+0 is the desired superharmonic extension of u.

5. Extension of a Superharmonic Function 61
Special Case
If in the theorem u is bounded and if u(~) = L(u,~, b) for ~ in D - A and

sufficiently small 15 depending on ~, then u has a unique harmonic extension
to D. In fact, under these stronger hypotheses if u' is the bounded super-
harmonic extension of u provided by Theorem 5 then when ~ ED - A and
15 is sufficiently small the function u' - 't"B({,6)U is positive and superharmonic
on B(~, b), vanishes at ~, and therefore vanishes identically on B(~, b). Thus
u must be continuous on D - A, and Theorem 9 can now be applied to - u
to provide a subharmonic extension u" of u to D. The function u' - u"
vanishes identically on D because this difference is superharmonic on D
and coincides IN almost everywhere with the harmonic function 0; so u'
is the desired harmonic extension of u.
Application to Analytic Functions
If A is a polar subset of the open subset D of 1R 2 , if A is closed in D, and

if/ is a bounded analytic function on D - A, the real and imaginary parts
of/ have harmonic extensions to D according to the preceding paragraph.
The extension to D of/obtained in this way is analytic because the Cauchy-
Riemann equations are satisfied. If A is a singleton this result reduces to
Cauchy's classical theorem on isolated singularities of bounded analytic
functions.
Application to Isolated Singularities of Harmonic Functions
Let u be a function defined and harmonic on an open deleted neighborhood

e
B of a point and satisfying
· 'f
Iog I,., - ..1'1>
IlmIn u(rf) 'fN 2
~-+{ -
-00 1 =, (5.4)
lim infu(,.,) I,., - ~IN-2 > -00 if N> 2.
~-+{
Then Theorem 5 implies that there is a constant C such that the function
u + clog I· - ~1 if N = 2,
u- cl· - ~12-N if N > 2
has a harmonic extension to Bu {~}. We give theprooffor N = 2. According

to (5.4) there is a constant C 1 for which the function u + c1log ~I is I· -
positive on a deleted neighborhood of ~; so this harmonic function has a
superharmonic extension to B u {~}. Since the Riesz measure associated
62 1. V. Polar Sets and Their Applications
with the extension must be supported by g}, there is a constant c such that
the function U + c log I· - ~ I has a superharmonic extension u' to B u {~}
and that the Riesz measure associated with u' vanishes identically. Hence
u' is harmonic. Observe that by way of inversion in a sphere of center ~ the
result just obtained implies that if v is a function defined and harmonic on
a deleted open neighborhood of the point 00 of ~N and if
lim inf v(rf) > - 00 if N = 2,

~->CXl log I'll (5.5)
liminfv('1) > - 00 if N > 2,
~->CXl
then there is a constant c such that the function
v - clog 1·1 if N = 2,
(v - c)I·I N
-
2
if N > 2
has a finite limit at the point 00.
Application to a Generalized Liouville Theorem (N = 2)
According to Section 11.2 a lower-bounded harmonic function on IR N for

N ~ 2 must be identically constant. The preceding application of Theorem 5
implies when N = 2 that a harmonic function on ~2 which satisfies (5.5)
must be identically constant because if c is chosen so that v - clog 1·1 has
a finite limit at the point 00, then v must have a limit IX at the point 00, finite
or infinite according as c = 0 or c :F O. In view of the maximum-minimum
theorem for harmonic functions IX is finite and v == IX.
Application to the Greatest Subharmonic Minorants of Superharmonic

Functions
Let D be an open subset of IR N and suppose that u is a superharmonic function

on D for which GMDu exists. Let A be a subset of D, closed relative to D,
and define Do = D - A. Then GM Do(uI D0 ) ~ GMDu on Do. We now show
that there is equality if A is polar and is null for the Riesz measure associated
with u. We can assume, replacing u by u - GMDu if necessary, that GMDu =
0, and it is then sufficient to prove that if h is a function defined and harmonic
on Do, with 0 :::;; h :::;; u, it follows that h = o. According to Theorem 5, such
a function h has a positive superharmonic extension h 1 from Do to D and
similarly u - h has a positive superharmonic extension v from Do to D. Since
u = h 1 + v on Do, it follows that u = h 1 + v on D and therefore A must be
null for the Riesz measure associated with hi. Hence h 1 is positive and
7. Superharmonic Function Minimum Theorem (Extension of Theorem 11.5) 63
harmonic on D and is majorized there by u so hi = 0, and therefore h = 0,

as was to be proved.
6. Greenian Sets in 1R 2 as the Complements of Nonpolar Sets
Theorem. A nonempty open subset D of 1R 2 is Greenian if and only if 1R 2 - D

is not polar, equivalently, if and only ifIR 2 (') aD is not polar.
If 1R 2 - D is polar (equivalently, according to Section 2, if 1R 2 (') aD is

polar) D is not Greenian because a positive superharmonic function on D
can be extended to be a positive superharmonic function on 1R 2 and therefore
(Theorem 11.13) is a constant function. Conversely, suppose that 1R 2 (') aD
is not polar. If D is bounded, it was noted in Section 11.13 that Dis Greenian.
If D is unbounded, let A be the intersection of 1R 2 - D with a closed disk
so large that A is not polar. Let B be a disk containing A and define v on
1R 2 - A by
v= {1]: on B - A (reduction relative to B),

o on 1R 2 - B.
In view of the fact that v is harmonic and positive on B - A with limit 0

at every boundary point of B [Section IlIA, Example (a)], the function v
is subharmonic; so I - v is positive and superharmonic on D but not identi-
cally constant there because v = 0 on D - B but (Theorem 4) v > 0 on
D (') B. Hence D is Greenian.
7. Superharmonic Function Minimum Theorem (Extension of

Theorem 11.5)
The obvious application of the following theorem to harmonic functions is
left to the reader.
Theorem. Let D be a Greenian subset of IR N and let u be a lower bounded

superharmonic function on D. Suppose that there is a constant c such that
liminf,,_{u(tl) ~ c at quasi every finite point' of aD, and also at , = 00 if
N> 2 and D is unbounded. Then u ~ c.
Observation (a). We are only excluding trivia by the hypothesis that D

be Greenian because if N > 2, all nonempty open subsets of IR N are Greenian
and if N = 2, a lower-bounded superharmonic function on a non-Greenian
open set is identically constant. (Moreover, according to Theorem 6, a
64 l.V. Polar Sets and Their Applications
condition on quasi every finite boundary point of a non-Greenian open

subset of 1R 2 is necessarily satisfied vacuously.)
Observation (b). Since the set A of finite boundary points of D at which
u has inferior limit < c is a countable union of compact sets,
A= 0 {(EoD:I(I::;n,liminfU(tT)::;C-!},
n=l ~-{ n
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 IR N, identically + 00 on A;
if N = 2 and D is bounded, there is a positive superharmonic function v on
a ball containing 15, identically + 00 on A. In either case if e > 0 the function
(u + ev)ID is superharmonic on D with inferior limit ~ c at every point of
oD, including 00 if N > 2 and D is unbounded. Hence u + ev ~ c on D by
the superharmonic function minimum theorem of Section 11.5, and therefore
u ~ c quasi everywhere on D and so everywhere on D. If N = 2 and D is
unbounded, we can suppose that lim inf~_<x> u(l'f) ~ 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 ~ c' on D - B. The
part of the theorem already proved yields the inequality u ~ c' on D n B
from which it follows that u ~ c on D, as was to be proved.
Application to Analytic Function Theory
Let f be a bounded complex-valued function defined and analytic on a

Greenian subset D ofthe plane; that is, the complement of D is nonpolar. The
function If I is subharmonic; so it follows from Theorem 7 applied to -If I
that if limsupz'_zlf(z')! ::; c at quasi every finite boundary point of D, then
IfI::; c on D.
8. Evans-Vasilesco Theorem
Theorem. Let D be either 1R 2 or a Greenian subset of IR N (N ~ 2), and let

GDJ.L be a superharmonic potential on D. Then if A is a closed (in D) support
e
ofJ.L, continuity of(GDJ.L)IA at a point of A implies continuity ofGDJ.L at e.
The triviality of the extension of this theorem from D special open to D
general Greenian will be explained in Section VII.8. Accordingly we assume
8. Evans-Vasilesco Theorem 65
here that D is either ~2 or a special open subset of ~N (N ~ 2). We can

suppose that J1. has compact support because the GDpotential of the projec-
tion of J1. on A - B(e, (5) is harmonic and therefore continuous on D n B(e, (5)
for every <5 > O. Under the hypothesis of compactness of A, the restriction
(GJ1.)ID is superharmonic and is the sum of GDJ1. and a function harmonic on
D (Section IV.l); so it follows that under the hypotheses of Theorem 8, the
e
function (GJ1.)IA is continuous at and is finite there, and it is sufficient to
prove that GJ1. is continuous at e.
Suppose first that N> 2. If J1.~~ is the
projection of J1. on B(e, (5), finiteness of GJ1.(e) implies that J1.({e}) = 0 and
that lim~... oGJ1.~~(e) = O. Furthermore, since G(J1. - J1.~~) is continuous on
B(e, (5), the function (GJ1.~~)IA must be continuous at If E: > 0 and if <5 is e.
sufficiently small, depending on E:, GJ1.~~(e) < E:. For such a value of <5 conti-
e
nuity of (GJ1.~~)IA at implies that (GJ1.~~)IA < E: in some neighborhood of e,
and hence this inequality is true for all smaller values of <5. It follows that
lim sup GJ1.~~(O = O. (8.1)

~ ...o ~'eAf'\B(~,~)
If' is a point of D, let" be a point of A at minimum distance from' so

that if" E A,
(8.2)
The oscillation of GJ1. at ecan be majorized as follows:

OscGJ1.(e) = OscGJ1.~~(e) ~ sup GJ1.~~(O
'eB(~,~/2)
(8.3)
~ 2N - 2
sup GJ1.~~(O.
'e B(~,~/2)
Now rEB(e,<5)nA when 'EB(e,<5/2) because Ie - 'I < <5/2; so the right
side of (8.3) has limit 0 when <5 ~ 0, by (8.1). That is, GJ1. is continuous at e,
as was to be proved. When N = 2, the only change needed in the preceding
argument is that in (8.3) it should be supposed that <5 < ! to ensure positivity
of the potentials involved, and the last term in (8.3) should be replaced by
sup GJ1.~~(O + J1.(B(e, (5» log 2,

'eB(~,~/2)
which tends to 0 with <5.
Observation. If in the theorem it is supposed that (G DJ1.)IA is finite valued

and continuous, it follows that GDJ1. is finite valued and continuous on D.
If D is special open and if J1. has compact support in D, the function GDJ1. is
66 LV. Polar Sets and Their Applications
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 GDJ1. for J1. of compact support in D follows from the
boundedness properties of GD to be proved in Section VII.5.
9. Approximation of a Potential by Continuous Potentials

Theorem. Let D be either ~2 or a Greenian subset of ~N (N ~ 2) and let J1.
be a measure on D. Suppose that GDJ1. is superharmonic and that GDJ1. < + 00
on some support A of D. There is then a sequence J1.. of measures on D for
which J1.n is supported by a compact subset of A, GDJ1.n is finite valued and
continuous (bounded if D # ~2), and J1. = L~=o J1.n; so GDJ1. = L~=o GDJ1.n·
Recall our convention that "supported by A" means that A is J1. measur-
able and that the complement of A is J1. null. The generality of the statement
of the theorem is convenient for reference, but there is no loss of generality
in supposing that A is a Borel set because there is always a Borel support
of J1. that is a subset of A. Apply Lusin's theorem to find a sequence A. of
disjoint compact subsets of A with the property that J-l(A - U~=o An) = 0
and that (G DJ1.)IA n is bounded and continuous. If J1.n is the projection of J1.
on An, the continuous function (G DJ1.)IA n is the sum of the restrictions to An
of the lower semicontinuous functions GDJ1.n and GD(J-l - J-ln)' Hence these
restrictions are continuous, and therefore (by the observation in Section 8)
GDJ1.n is bounded and continuous on D unless D = 1R 2 , in which case
GDJ1.n = GJ1.n is at least finite valued and continuous.
Coronary. If B is a compact (but see the extension below) nonpolar subset

of ~N, there is a measure v on ~N supported by B for which if N = 2, the
function Gv is finite valued, continuous, and not identically 0 and if N ~ 2,
the function GDv is strictly positive, continuous, and bounded whenever D is
a connected Greenian superset of B.
If D is a Greenian superset of B, the smoothed reduction (relative to D)

lJ~ is the potential of a measure J1. supported by B [Section IV.8(d)], and
according to Theorem 9, there is a measure v supported by B with GDv as
described. In particular, if N = 2, the potential Gv is then finite valued and
continuous on ~2.
Extension of the Corollary to Analytic Sets B
It will be proved in Section VI.2 that a nonpolar analytic subset of ~N 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
10. The Domination Principle

The following theorem will be referred to as the domination principle,
a designation sometimes used more restrictively.
Theorem. Let D be a Greenian subset oflR N , let Jl. be a measure on D, and let
v be a positive superharmonic function of D. Then each of the following three
conditions implies that GDJl. :s; v:
(a) GDJl. < + 00 Jl. almost everywhere and GDJl. :s; v inner quasi everywhere
on some Borel support ofJl..
(b) The inequalities GDJl. < + 00 and GDJ.l :s; v are true J.l almost every-
where.
(c) Polar sets are Jl. null and GDJ.l :s; v J.l almost everywhere.
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 Jl. null and thereby
that (a)-(c) are equivalent. It is a defect of Theorem 10 that polar sets must
be Jl. null, but it will be shown in Section XI.23 that GDJl. :s; v if
lim sup GDJl.('1) < 1 (10.1)

~-~ v('1) - ,
GDI'(~) < + 00
e.
for Jl. almost every In fact the condition in Theorem XI.23 is considerably
weaker than (10.1). If J.l is a probability measure supported by a singleton
{eo}, so that GDJl. = GD(eo, .), and if v = 2GD(eo, .), the condition (10.1) but
not Theorem 10 is applicable to show that GDJ.l :s; v.
It is sufficient to show that GDJl. :s; v when condition (a) is satisfied. In
fact, if Bisan arbitrary Borel support ofJ.l, the set B n {GDJ.l < + 00, GDJ.l :s; v}
is, under either (b) or (c), a support of Jl. on which GDJl. < + 00 and GDJ.l :s; v;
so condition (a) is satisfied. To prove that condition (a) implies that GDJ.l :s; v
we assume that D is special, deferring to Section VII.8 the explanation of
why this specialization is trivial. Let A be a Borel support of Jl. on which
GDJ.l < + 00 and GDJl. :s; v inner quasi everywhere. Since (by Theorem 9) the
function u = GDJ.l is the limit of an increasing sequence of bounded con-
tinuous potentials of measures supported by compact subsets of A, we can
suppose that A is compact and that u is bounded and continuous. If E A e
and if u(e) :s; v(e), then
liminfv('1) ~ v(e) ~ u(e) = limu('1). (10.2)

~~ ~~
Thus the restriction to D - A of v - u is superharmonic, is lower bounded,

and has positive inferior limit at inner quasi every point of A n o(D - A).
68 I. V. Polar Sets and Their Applications
Moreover every limiting value of this restriction at a point of oD is positive

because (Section IV.I) u has limit 0 at every such point. (If D is not special,
it will be seen in Section VII.5 that u has limit 0 at quasi every point of oD,
including the point 00 if D is unbounded and N > 2.) It follows (Theorem 7)
that v ~ u on D - A, so v ~ u inner quasi everywhere on D and hence
(Section I) everywhere on D, as was to be proved.
Special Hypotheses on v
If v in Theorem lOis a constant function, the theorem is sometimes called

the principle of the maximum. If v is the sum of a constant function and a
potential, the theorem is sometimes called the complete principle of the
maximum.
The Domination Principle for Potentials GJl When N = 2
If N = 2, if GJl is the superharmonic potential of a measure Jl on ~2, and if

there is a constant c such that GJl ::s; c Jl almost everywhere then the method
of proof ofTheorem 10 shows that G Jl ::s; c on ~2. Observe that if c is replaced
by a harmonic function h in this hypothesis then any further hypothesis on
h leading to the conclusion that GJl ::s; h on ~2 would imply (according to
Section IV.9) that lim infl~l_oc> h(e)/Iog Ie I > - 00 and that therefore (Section
5) h is identically constant.
11. The Infinity Set of a Potential and the Riesz Measure

Theorem. If D is a Greenian subset of IR N , if A is a polar subset of D, and if
u = GDJl is the potential ofa measure on D, then u = + 00 Jl almost everywhere
onA.
(The phraseology of the theorem requires that Jl be a completed measure.)

We can assume that D is connected. If u is not superharmonic then u == + 00,
so the theorem becomes trivial. If u is superharmonic the conclusion of
the theorem can be restated in the following form: if u is finite valued on A
then Jl(A) = O. It is this assertion that will be proved. The triviality of the
extension from special to Greenian sets will be explained in Section VII.8.
Suppose then that D is special and that u = G DJl is finite valued on the polar
set A. Since the theorem is local it can be assumed that A is relatively compact
in D. It can also be assumed that A is a Borel set because there is a polar
G" superset of A and the intersection of this superset with the set of finiteness
of u is a Borel set. If An = {e E A: u ::s; n} and if Jln is the projection of Jl on
An then an application of the domination principle to the pair Un = GDJln'
V == n shows that Un ::s; n on D. Let GDv be a superharmonic potential identi-
11. The Infinity Set of a Potential and the Riesz Measure 69
cally + 00 on A, with v(D) < + 00. Apply Fubini's theorem and the symmetry
of GD to derive
nv(D) ~ Iv GDJln dv = Iv GDvdJln = + 00 Jl(AJ.
It follows that Jl(A n) = 0; so Jl(A) = 0, as was to be proved.
Application to GJl When N = 2
If N = 2, if Jl is a measure on 1R , and if u = GJl is superharmonic, the con-

2
clusion of the theorem remains true. It is sufficient to prove that u = +

00
Jl almost everywhere on any bounded polar set A. Let D be a disk containing
A and let JlD be the projection of Jl on D. According to Theorem II, GDJlD =
+ 00 JlD almost everywhere on A. Since GDJlD - GJl is harmonic on D if
defined suitably on the set of common infinities of GDJlD and GJl, it follows
that GJl = + 00 Jl almost everywhere on A, as asserted.
Chapter VI
The Fundamental Convergence Theorem and

the Reduction Operation
I. The Fundamental Convergence Theorem

Theorem. Let r: {u"" lXEI} be afamily ofsuperharmonicfunctions defined on
an open subset of ~N, locally uniformly bounded below, and define the lower
envelope u by u(~) = inf",elu",(~). Then ~ ~ u,
u(~) = lim inf u(rO, (1.1)

+ ~-{
and
(a) u+ is superharmonic.
(b) u = u on each open set on which u is superharmonic.
+
(c) ~ = u quasi everywhere.
(d) There is a countable subset ofr whose lower envelope has the same
lower semicontinuous smoothing u.
+
Conversely, if A is a polar subset of a Greenian subset D of ~N, there is a
decreasing sequence v. ofpositive superharmonic functions on D with limit v
such that 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 1(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 11I.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 D, with Un replaced by R:n
(reduction relative to D). This reduction, equal to its lower semicontinuous
smoothing because D is open, is a superharmonic potential GnJl.n (Section
IV.8) and is equal to Un on D, so the replacement is legitimate. The measure
Jl.n is supported by Ii. On D - ii 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 - ii (Theorem 11.3).
2. Inner Polar versus Polar Sets 71
Evaluation of fJ.iD) by the Gauss Integral Theorem shows that fJ..(D) is a

convergent sequence. Going to a subsequence if necessary, it can be assumed
that the sequence fJ.. is vaguely convergent to a measure fJ. supported by ii.
If c is a strictly positive constant, the function GD /\ C is continuous and
so that u ;;:: GDfJ.. Let v be a measure having compact support in D, with GDv
finite valued and continuous. Then
Iv GDfJ.n dv = Iv GDvdfJ.n < +00.

The equality
combined with the inequality u ;;:: GDfJ., implies that u = GDfJ. at valmost every
point of D. Since u+ is the maximal lower semicontinuous minorant of u, it
follows that u ;;:: u+ ;;:: GDfJ. with equality v almost everywhere. Thus, if A =
{u > !t}, it has now been shown that v(A) = 0 whenever GDv is finite valued
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 Borel inner polar set. Theorem I (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
IR N , 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) R1,
and (Theorem VIA) R+1A == O. According to Theorem I (d), there is a sequence
in r whose lower semicontinuous smoothed infimum vanishes identically. If
Vn is the minimum of the first n members of this sequence, v. has the properties
stated in the converse of Theorem I.
2. Inner Polar versus Polar Sets

Theorem. An analytic inner polar subset of IRN is polar.
It is obviously sufficient to prove the theorem for bounded sets so we

shall consider subsets of a Greenian set D, say a ball. Reductions below are
relative to D. The proof will be in several steps: Some of the preliminary
results proved below are more general than needed; this is to avoid later
repetition when the results will be strengthened.
72 l.VI. The Fundamental Convergence Theorem and the Reduction Operation
(a) If A is a compact subset ofD and if v is afinite-valued positive contin-

uous superharmonic function on D, then E,ATV
= v quasi everywhere on A. In
fact, according to the part of Theorem 1 actually proved in Section I, the set
An {R+vA < v} = "" n {R

UA A
s; (1- Ijn)v}
1 +v
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 e)
ED, the set functions R~( and R· (e) are strongly subadditive on the class
of compact subsets of D. To pro:; this, consider the strong subadditivity
inequality
(2.1)
and the corresponding inequality (2.1sm) for smoothed reductions. In-

equality (2.1) is trivially satisfied on A n B. On one of the sets but not on the
other, say on A - B, (2.1) reduces to the inequality v + R:,.,B s; v + R:.
Thus (2.1) is satisfied on A u B, and hence (2.1 sm), an inequality between
superharmonic potentials, is satisfied inner quasi everywhere on A u B, a
support of the measures associated with these potentials. It follows from the
domination principle that (2. Ism) is true on D. Since (2. Ism) is true, (2.1)
is true on the open set D - (A u B) on which all the reductions are harmonic
and equal to their smoothings. We have already verified (2.1) on A u B.
The foregoing proof depended on the domination principle, not available
in a fomi strong enough for this proof in parabolic potential theory. A proof
of reduction operator strong subadditivity not depending on the domination
principle is given in Section 4 [proof of Section 3(j)].
(c) If v is a finite-valued positive continuous superharmonic function on D
and if A. is an increasing sequence ofcompact subsets ofD with compact union
A (cD), then
IimR:" = R:, (2.2)

".... ""
and the corresponding equation (2.2sm) for smoothed reductions is also true.
A
Under these hypotheses lim"...."" R " = v quasi everywhere on A because
+v
R+v " = v quasi everywhere on A", and the two superharmonic potentials
A
lim"...."" R+vA " and R+vA 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 lim"...."" R:"
and
R: 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 a finite-valued positive continuous superharmonic function on D
2. Inner Polar versus Polar Sets 73
and if A. is a decreasing sequence of compact subsets of D with intersection A,

then (2.2) is true. In fact; if B is an open neighborhood of A the set B must
also be a neighborhood of An for sufficiently large n, so limn...", R~n :s; R:,
and since v is finite valued and continuous, it follows from III(5.5) that (2.2)
is true with equality replaced by the inequality :S;. Since the reverse inequality
is trivial, (2.2) is true.
(e) If v is a finite-valued positive continuous superharmonic function on D
and if ~ E D, the set function R~ is a Choquet capacity on D relative to the
class of compact subsets of D. According to (b)-(d) and the monotoneity of
the reduction operator and under the stated hypotheses on v, the restriction
of the set function R~(~) to the class of compact subsets of D is a topological
precapacity. This restriction therefore (Appendix 11.8) has an extension to
a Choquet capacity I(~,·) on D relative to the class of compact subsets of
D, for which I(~, F) = Rt(~) when F is compact and
I(~,B) = sup{Rt(~): Fe B,Fcompact} (Bopen), (2.3)
I(~,A) = inf{I(~,B): A e B,Bopen} (A arbitrary). (2.4)
To prove (e) we show that I(~, A) = R~(~) for every subset A of D. Let F.o
be an increasing sequence of relatively compact open subsets of the open
subset B of D, with union B, and define F,. = £"0. Then R~~ = RF~, and 1(·, B)
° +v
= limn...", RFn
+v
is a positive superharmonic function, identically v on B. Hence
1(·, B) ~ R:, and since the reverse inequality is trivial, it follows that 1(·, B)
= R: when B is open. Since both R~(~) and I(~,·) satisfy (2.4), the set
functions R~(~) and I(~,·) are identical.
(f) Proof of the theorem. Let v be any finite-valued strictly positive
continuous superharmonic function on D, say v == I. Suppose that A is an
inner polar analytic subset of D and choose ~ in D - A. The set A is capacit-
able for the Choquet capacity R~(~); that is,
R~(~) = sup{Rt(~): Fe A, Fcompact}. (2.5)
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. 0
Characterization of a Nonpolar Set
According to Theorem 2 every analytic nonpolar subset of IR N has a compact

nonpolar subset. Hence Corollary V.9, which asserts the existence of a not
identically 0 continuous finite-valued potential 'supported by a nonpolar
compact subset B of IR N , remains valid if B is supposed only nonpolar
analytic.
74 1. VI. The Fundamental Convergence Theorem and the Reduction Operation
3. Properties of the Reduction Operation

In the following D is a Greenian subset of IR N , provided with a boundary fJD
by a metric compactification. Reductions of positive superharmonic func-
tions u, v, ... on subsets of D u fJD are considered, and no further hypotheses
not stated explicitly are imposed on these functions and sets. The following
list of properties includes for the reader's convenience some properties
already discussed in Sections 11I.4 and 11I.5. Reduction properties linked
directly to notions of capacity are treated in Section 5.
Although it may seem logical and efficient to prove Theorem 3 and
related theorems by methods also applicable to the parabolic potential
theory treated in Chapters XV to XIX, it is unfortunately true that the most
natural methods in the present context are not all applicable to parabolic
potential theory. For this reason the methods used here will be those specially
adapted to the present theory, and the parabolic counterparts of the reduc-
tion properties listed below and proved in the next section will be proved by
different methods and in a different order, although those methods can also
be used in the present context.
(a) R Av = v on AnD'' R
v
A
= R
+v
A
= v on the interior of AnD''R
v
A
= R
+v
A
when AnD is open; R: is harmonic on D - A and is equal to R +v

A
there; ~:(e) = lim inf"... ~ R:(,,). [See also Chapter 11I(5.1), (5.1sm),
(5.2).]
(b) R+vA ::s; R: on D, with equality on D - A and quasi everywhere on
AnD.
(c) If At and A 2 differ by a polar subset of D, then
D - (At u A 2 ) and R A
, = R , on D.
A
=R:' R:'on
+v +v
(d) ~: = inf {R:o : A - Ao a polar subset of D} = inf {u: u ~ 0, u super-
harmonic on D, u ~ v near A n fJD and quasi everywhere on
AnD}.
(e) If A. is an increasing sequence of subsets of D with union A and if
v. is an increasing sequence of positive superharmonic functions on
D with superharmonic limit v, then
(3.1)
and the corresponding equation (3. Ism) for smoothed reductions is

also true. If Vn = v for all n, then (3.1) and (3.1sm) are true for A. an
increasing sequence of subsets of D u fJD.
Observation. The following example shows that the last assertion of (e) is
false without the hypothesis that Vn = v for all n. Let D be a ball, let u be a
minimal harmonic function on D corresponding to some boundary point (,
that is, v is a strictly positive multiple of the Poisson kernel for the boundary
3. Properties of the Reduction Operation 75
point" and define Vn = U /\ n. An application of Section IV.8(a) shows that

the function Vn is a potential, because this function is positive, bounded, and
superharmonic and has limit 0 at each boundary point except (. Finally,
RoD
v
= RoD
+v
= V' VRoDn
= RoD
+v
= 0' and lim11-+00 vII = v, contrary to (3.1).
n
(f) If v = Lg'
Vn is a sum of positive superharmonic functions on D and
is superharmonic, then
(3.2)
and the corresponding equation (3.2sm) for smoothed reductions is

also true.
(g) If A c aD and if v. is a decreasing sequence of positive super-
harmonic functions on D with limit v, then limn_co R: = R:.
n +
(h) If A c B,
(3.3)
(i) If v' = R+vA /\ R+vB , then
(3.4)

also true.
(j) The set functions R~ and IJ;
are .countably strongly subadditive.
(k) If v is finite valued and if ~ eD, the set function R~(~) is a Choquet
capacity on D u aD relative to the class of compact subsets of
DuaD.
(I) If A is analytic
R: = sup {R;: Fe A,Fcompact}, (3.5)

also true.
(m) The equality
R: = inf{R:: A c B,Bopen} (3.6)
is true if either (i) v is finite valued and continuous at each point of

AnD (for example, if v is arbitrary and A c aD) or (ii) if v is
finite valued and AnD is analytic. Moreover (3.6) implies
B
R+vA = [inf {R
+v
: A c B, B open}] + . (3.7)
76 l.VI. The Fundamental Convergence Theorem and the Reduction Operation
(n) If u and v are bounded then
sup IR~
D
- R~I ~ sup
D
lu - vi, (3.8)
and the corresponding inequality (3.8sm) for smoothed reductions

is also true.
(0) Denote ~U~CI, ~ ~U~CI~C2, .•• , respectivel)', by uc" UC ,c2' ••••
(Ot) Let v, v', v", h' be functions from D into IR+ with v" = v' + h', and
suppose that v, v", and h' are positive superharmonic functions. Define
A = {v ~ v'} and B = {v ~ v"}. Then
h~ + h~BA + h~BABA + ... ~ v" (3.9)
and
h~B + h~BAB + .. . ~ vi ~ v A v" (3.10)
(0 2 ) Let v and h be positive superharmonic functions on D, let a and b

be numbers with 0 ~ a < b, and define A = {v ~ ah} and B = {v ~ bh}.
Then
h < V A (bh)
AB - b '
so
(bh)
hAB + hABAB + ... .
V A
~ (3.12)
b-a
Furthermore
h < V A (ah)
BA - b '
so
V A (ah)
hBA. + hBABA + ... ~ b
-a
. (3.14)
Observation. Since h's ~ h', it is trivial that (3.9) is true with the left side
replaced by h'sA + h'sABA + .... We shall see in Section XI.4 that the inequal-
ities under (0) 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
4. Proofs of the Reduction Properties

Proof of (a). See Sections IlIA, I1I.5(d), VI. 1. 0
Proof of (b). According to the Fundamental Convergence Theorem in

Section 1, 1]: ~ R:, and there is equality quasi everywhere on D. If ~ E D - A,
let u be a positive superharmonic function on D, identically + 00 on the polar
set A (\ {RAnD
+v
< R: nD } but finite at ~ (see Theorem V.2). Then v ~ RAnD
+v
+ &II
on A when t: > 0 so R:nD(~) ~ RAnD(~) +v
+ &II(~), and therefore R:nD(~) ~
RAnD(e). So there must be equality; that is, R: = R A on D - A when A cD.
+v +v
If A (\ aD is not empty the expressions 111(5.2) and 1I1(5.2sm) for reductions
and smoothed reductions in terms of those on A (\ D and A (\ aD separately
yield the equality of R: and R+vA on D - A. 0
Proof of (c). Let ~ be in D - (At U A 2 ), and (Theorem V.2) let u t be a

positive superharmonic function on D, identically + 00 on the polar set
(At - A 2 ) U (A 2 - At) but finite at ~. If u is a positive superharmonic
function on D, majorizing v on At (\ D and near At (\ aD, then for every
t: > 0 the function u + W t majorizes v on A 2 (\ D and near A 2 (\ aD. Hence
u(~) + t:Ut(~) ~ R:'(~); so R:l(~) ~ R:'(~), and by symmetry the reverse
inequality is true so R:' = R:' on D - (A t U A 2)' It then follows that the
superharmonic functions RAt+v
and R+vA, are equal quasi everywhere on D and
therefore everywhere on D. 0
Proof of (d). The first line of (d) and the equality of the two infima are
immediate consequences of (b) and (c). 0
Proof of (e). Under the hypotheses of (e) the reduction R:" increases with
"
n. Define u = lim,,~<Xl R A ", and observe that u is superharmonic and that
+v"
u = v quasi everywhere on A because u" = v" quasi everywhere on A". It
follows from (d) that u ~ R+vA , and since the reverse inequality is trivial,
(3.1sm) is true. Equality (3.1) is trivial on A and is also true on D - A
= RVA and R: = R+vA according to (b). In proving the
because on that set R:" +
n
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" (\ aD, with
The function
<Xl
v~ = U + L (u" -
,,=k
R:"na~, k~O, (4.1)
78 I. VI. The Fundamental Convergence Theorem and the Reduction Operation
is positive and superharmonic on D because the sum is the limit of an

increasing sequence of positive superharmonic functions and is finite at ~.
Moreover vk ~ U ~ v quasi everywhere on AnD because = v quasi 1]:"
everywhere on A" n D, and
when n ~ k; so vk majorizes v near A n aD, and therefore vk ~ R:. When

k -+ 00, we find that U ~ 1]:
quasi everywhere on D and therefore everywhere
on D. Since the reverse inequality is trivial, (3.1 sm) is true, and as in the first
case of (e), it follows that (3.1) is true. 0
Proof of (f). Suppose first that there are only two summands in (3.2); so
the equalities
(4.2)
and (4.2sm) are to be proved. By subadditivity (4.2sm) is true for" S;"; so

(natural order decomposition) there are positive superharmonic functions
U I , Uz on D, satisfying
(4.3)
If A is an open subset of D, then R+VjA =V j on A and R+VA +V2 = VI + V z on A

1
A
so Uj = Vj on A, and it follows that Uj ~ R . So (4.2sm) is true. If now A is
+Vj
still an open subset of D and if VI and Vz are supposed finite valued and
continuous, equation 111(5.5) gives the value of a reduction on an arbitrary
set in terms of reductions on open supersets, and it follows from (4.2sm)
[the same as (4.2) for open sets] that (4.2) is true for an arbitrary subset A
of D. Since a positive superharmonic function on D is the limit of an increas-
ing sequence of finite-valued positive continuous superharmonic functions,
(e) implies that (4.2) is true for an arbitrary subset A of D with no restriction
on VI' vz , and then (4.2sm) must also be true with this generality because the
two sides of (4.2sm) are superharmonic functions and are equal quasi every-
where on D. The evaluations in Section IlLS of reductions and their smooth-
ings in terms of reductions and their smoothings on subsets of D show that
(4.2) and (4.2sm) are true with no restrictions on the sets or functions. Thus
(3.2) and (3.2sm) are true for two and therefore any finite number of sum-
mands. If there are infinitely many summands, write r" for L~I R A • Then
+Vk
and since R+rA ~ L~I vk , it follows that (3.2sm) is true quasi everywhere and
n
therefore everywhere on D. Equation (3.2) is then true on D - A, and this
equation is trivial on AnD. 0
Proof of (g). Define h = GMDv+ and define u = limn_ex> R:n , a positive har-
monic function. Obviously
The difference u - R: is a positive harmonic minorant of Vn - h for all n,

and therefore u - R: ~ ~ - h; so u = R: by definition of h. Finally, u = R:
because R:- h is a positive harmonic minorant of ~ - h and so vanishe+s
identically~ 0
Proof of (h). In view of the trivial fact that the smoothed successive reduc-
tions of von A and B in either order lie between ~~V~A~A and ~V~A, it is
sufficient to prove idempotence, that is, to prove that ~ MA ~A = ~V~A. The
proof will be carried through in several steps.
(hI) If A cD, the desired idempotence is a consequence of (d) because
the condition on u in (d) is unchanged if v is replaced by MA.
(h 2 ) If A coD, 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 ~V~A. Replacing Vn by Vn /\ v if necessary, it can be
supposed that V n = v near A so that ~vn~A = ~V~A. It now follows
from (g) that
(4.4)
(h 3 ) For arbitrary A,
(4.5)
These inequalities follow, respectively, from
MA(")D = ~ ~V~A(")D ~ A(")D ~ ~ ~V~A ~ A(")D ~ ~V~A(")D,

(4.6)
~V~A(")OD = ~ MA(")OD~A(")OD ~ ~ MA~A(")OD ~ MA(")oD.
Finally, to prove (h), apply 11I(5.2) and (f) to write ~ ~V~A ~ A in the form
~M A ~A = ~ ~V~A ~A(")OD + ~ ~V~A ~A(")D _ ~ ~ MA ~A(")OD~A(")D,

and then apply (h 3 ) and III(5.2) to show that the right-hand side is ~V~A. 0
Proof of(i). Observe that quasi everywhere on (A u B) n D,
so that
(4.7)
Thus (3.4sm) is true, so (3.4) is true otT A u B, and the latter equation is
trivial on (A u B) n D. 0
Proofof(j). We have derived a weakened version of(j) in Section 2. Instead

of going on from this result, we observe that (3.4sm) implies strong sub-
additivity of R' because if v'is defined as in Section 3(i), it follows that
+v
v' = V quasi everywhere on A n B; so
RAuB ~ RAr-B = RAr-B,

+v +v' +v
and therefore (3.4sm) implies
(4.8)
the strong subadditivity inequality. This inequality is trivial on Au B for

the unsmoothed reductions and is true for these reductions elsewhere on D
because it is true for the smoothed reductions. That is, both R; and R'
+v
are
strongly subadditive. Countable strong subadditivity follows from strong
subadditivity by an application of (e). 0
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, R;(e) 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 R;(e) except
the property that
limR:" = R: (4.9)
"-00
whenever A. is a decreasing sequence of compact subsets of D u cD with

intersection A. Define u = limn_a.:> RAn.
+v
The function u+ is superharmonic, and
U = v quasi everywhere on AnD.
+
Proof of (4.9) when A o c D. In this case u+ and R+vA are finite-valued
potentials on D (Section IV.8) whose associated Riesz measures are sup-
ported by A, and both potentials are equal to v quasi everywhere on A.
According to the domination principle these potentials are therefore
identical. Since RAn
+v
is harmonic on D - An, the function u is harmonic on
D - A, so u = u+ on that set. Since R:n = RAn +v
on D - An and R: = R+vA on
D - A, equation (4.9) is true on D - A, and this equation is trivially satisfied
onA.
Proof of (4.9) when v is a potential. If B is an open neighborhood of
A n cD the sequence A. - B is a decreasing sequence of compact subsets of
D with limit A - B; so by what we have just shown, limn_a.:> R:n- B = R:- B.
By subadditivity of R~,
R:m- B + R:kr.B ~ R:m- B + R:mr.B ~ lim R:n (k ~ m). (4.10)

n-a.:>
Hence
R:- B + R: ~ lim R:n, (4.11)

n-a.:>
and as B shrinks to A n cD, the left side becomes R:r.D + R:r.oD in view of
111(5.1). The second reduction vanishes identically because v is a potential,
so we find that
R: ~ R:r.D ~ lim R:n,

n-a.:>
and the reverse inequality is trivial.

Proof of (4.9) in the general case. In view of the Riesz decomposition of
a positive superharmonic function v and of the reduction additivity property
Section 3(f), it is sufficient to prove (4.9) separately for v a potential and
for v harmonic. The proof for v a potential was just given. The proof for v
finite valued and continuous, and A c D, was given in Section 2 under
part (d) of the proof of Theorem 2, and the proof is valid for A a compact
subset of D u cD. Thus (4.9) is true for v harmonic. The proof of (4.9) and
thereby that of (k) is now complete. 0
Proof of (I). Case 1. If v is finite valued, (3.5) follows from (k) since analytic
subsets of D u cD are capacitable for the Choquet capacity R~(e).
Case 2. If A cD but if v is not necessarily finite valued, apply Section 3(e)
to derive
R~ = supR~l\o = sup{supR~l\o :Fc A, Fcompact}

0;;<0 0;;<0
= sup {R~l\o: Fe A, Fcompact, n ~ O} = sup {R~: Fe A, Fcompact};

so (3.5) is true.
Case 3. In the general case write VF for R~ni1D and observe that according
to Section III.5(c),
F
Rv = VF -
RFnD
V-VF = VF -
RFnD
v
+ RFnD
VF . (4.12)
From now on Fis to be a compact subset of A. The class of these sets ordered
by inclusion is directed so each term on the right in (4.12) defines a directed
set whose limit we now evaluate. Let h be the harmonic component of the
Riesz decomposition of v. According to Section 111.5, VF = Rfni1D; so by
Case I above
Since the class of sets F includes the compact subsets of AnD, Case 2 above
shows that limFt R~nD = R~nD. The same argument shows that if F' is a
compact subset of A, then
(4.13)
Now FI-+ V F is an upward-directed set of harmonic functions with limit

VA; so VA is the limit of an increasing sequence {V Fn , n E ,r}, and therefore
letting F' in (4.13) run through this sequence, we find from Section 3(e) that
limn R~;D ~ R~AnD. There must be equality because the reverse inequality
is trivial, and (4.12) now yields
so (3.5) is true. Equation (3.5sm) is true on D - A because equations (3.5)

and (3.5sm) are identical on D - A, and this equality on D - A implies
(3.5sm) on AnD by the following argument. If ~ E A, the left side of(3.5sm)
is unchanged according to Section 3(c) when A is replaced by A - {e}. The
right side is also unchanged in view of Section 3(c) and Section 3(e) [replace
Fin (3.5sm) by Fless each of a sequence of balls of center ~ and radii tending
to 0]. Thus (3.5sm) is reduced to (3.5). 0
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 R~(~) to the class of compact
subsets of D U oD is a topological precapacity. This topological precapacity
generates a Choquet capacity /(~,.) on D u aD relative to the paving of

compact subsets of D u aD, as described in Appendix 11.8. More specifically,
/(~, .) = R~(~) on the class of compact sets, and when A is open
/(e, A) = sup {/(e, F): Fe A, Fcompact}

= sup{R~(~): Fe A, Fcompact}. (4.14)
Hence /(~, A) = R:(~) when A is open, in view of Section 3(e) (since A is a

countable union of compact sets) or Section 3(1). Finally, for arbitrary A,
/(~, A) = inf {/(~, B: B::> A, B open}

= inf {R~(~): B::> A, B open} = R:(~)}.
If A is an /(~,.) capacitable set, in particular, if A is analytic, (4.14) is true

and combined with (3.5) yields /(~, A) = R:(~) and thereby yields (3.6).
According to property (a), each reduction on the right in (3.6) is equal to
its smoothing; so an application of the Fundamental Convergence Theorem
to (3.6) yields (3.7). 0
Proofof(n). If C = sUPDlu - vi, so that v :s; u + c, we find that R: :s; ~ + c,

and interchanging u and v yields the other half of (3.8). This argument
applied to smoothed reductions yields (3.8sm). 0
Proof of (0 1), Obviously VB :s; v on D, and therefore h' + VB :s; v" on A.

Hence h~ + vBA :s; v"; so h~BA + vBABA :s; vBA, .... It follows that (3.9) is
true. To prove (3.1 0), observe first that VB :s; v" and VB :s; v; so VB :s; v /\ v".
Finally, take the smoothed reduction onto B of both sides of (3.9) to find
that (3.10) is true. 0
Proof of (0 2), To prove (3.11) and (3.12), observe first that hAB :s; hB :s; v/b
and that VA :s; ahA' Hence
(4.16)
from which it follows that hABAB :s; (a/b)hAB . Iterate and sum to derive (3.11)
and (3.12) with v instead of v /\ (bh). Relations (3.11) and (3.12) are true as
written because if v is replaced by v /\ (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 bhBAI(b - a).
Since (4.16) implies that bhBA ::; v and bhBA ::; ah, (3.13) and (3.14) are true.
The reader is invited to derive (3.12) and (3.14) from (0 1), 0
5. Reductions and Capacities

Let D be a Greenian subset of IR N , provided with a boundary aD by a metric
e
compactification, let be a point of D, and let v be a positive finite-valued
superharmonic function on D.
Relation between the Capacity R~ and Topological Precapacities
According to Section 3(k), the set function R~(e) is a Choquet capacity on

D u aD relative to the class r of compact subsets of D u oD. This fact
combined with Section 3(j) implies that the restriction of R~(O to r is a
topological precapacity. Let I(e, 0) be the Choquet capacity on D u oD rela-
tive to r generated by this topological precapacity. We have seen in the
course of proving Section 3(m) that I(e, 0) ::; R~(e), with equality on the
class of I(e, o)-capacitable sets and on the class of all boundary subsets, and
that there is equality for all sets if v is continuous as well as finite valued.
Finiteness of v Is Necessary in Section 3(k)
e
Let D be a ball of radius I, let be the center of D, for n > 1, let An be a
closed concentric ball of radius lin, and define v = GD(e, 0). Then A is a o
decreasing sequence of compact subsets of D with intersection A = {e}, and

limn _", R~n = R~ is false because R~n = v for all n even though R~ vanishes
except at e. Thus the finiteness of v is necessary in Section 3(k). Observe
e
that with D, A, v, as just defined, (3.6) is false because the left-hand side
e
of (3.6) is a function vanishing except at whereas the right-hand side is v.
K(e)
+v
Is Not a Choquet Capacity on D Relative to the Class r o of
Compact Subsets of D
Choose v continuous and choose a compact subset A of D containing in e

such a way that 1J:(e) < v(e). If A is a decreasing sequence of compact
o
neighborhoods of A with intersection A, then RAn(e) = v(e) > RA(e) for all
+v +v
n, and therefore even if v is finite valued and continuous, the set function
RO(e)
+v
is not a topological precapacity on r o and K(e)
+v
is not a Choquet
capacity on D relative to roo
Chapter VII
Green Functions
1. Definition of the Green Function GD

Let D be a nonempty open subset of IR N • If N> 2 or if N = 2 and D is
bounded, the function G(~,·) is lower bounded for each point ~ of D; so
GMDG(~,·) exists (Section III. I). If N = 2, if D is unbounded, and if G(~,')
has a subharmonic minorant on D for some ~ in D, then the minorant
GMDG(~,·) exists for every ~ in D. In fact G(e',') - G(~,·) is bounded below
outside each neighborhood of ~, and G(~',') is bounded below on each
compact neighborhood of ~ so that if GMDG(~,·) exists,
for some constant c depending on ~' and ~.

If GMDG(~,·) exists for ~ in D, define GD(~") by
(1.1)
The function GD on D x D is called the Green function of D, and GD(~") is

called the Green function of D with pole ~. The latter function is ,positive
superharmonic, harmonic on D - g}, with GMDGD(~") = o.
It will be shown in Section 7 that D has a Green function if and only if
Dis Greenian. All we have proved so far is that D has a Green function if
N > 2 or if N = 2 and if D is bounded. If N = 2 and if D is not everywhere
dense in 1R 2 , the Green function GD exists because if ~ ED and if' is an inner
point of 1R 2 - D, the restriction to D of G(~,') has G(',') - c as a harmonic
minorant on D for sufficiently large c. If D is not connected, it follows that
each open component of D has a Green function, and it is trivial to verify
that GD exists and that GD(~") is defined for ~ in the open component Do of
Dby
on Do
onD-Do _
86 J. VII. Green Functions
The existence of the Green function GB of an open set B implies the

existence of GDwhenever D is a nonempty open subset of B and also implies
that GD ~ GB on D x D. Moreover GDcan be obtained from GB just as GDis
obtained from G:
(1.2)
To see this, note that if e E D, then
GD(e,·) = G(e,·) - GMDG(e,·)

(1.3)
= G(e,·) - GMD[GB(e,·) + GMBG(e,·)],
and by linearity of the G M operator (Section III. I)
which yields (1.2). In particular, if B - D is polar then GD = GB on D x D

in view of the corresponding result for greatest subharmonic minorants in
Section V.5. Conversely, if D is an open subset of jRN for which GD exists
and if B is an open superset of D with B - D polar, then GB also exists. In
fact, if e ED, the function GMDG(e, .) is locally upper bounded relative to
B and so (Section V.5) has a subharmonic extension to B, and this extension
is a subharmonic minorant of G(e,·) on B; so GMBG(e,·) exists.
Evaluation of GD by Solving the First Boundary Value Problem
If D is an open subset of jRN, bounded if N = 2, and if for e in D there is a

harmonic function u(e,·) on D with limit G(e,,,) at each point" of oD (limit
o at the point 00 if N > 2 and D is unbounded), then an application of the
superharmonic function minimum theorem and the harmonic function
maximum-minimum theorem shows that u(e,·) = GMDG(e, .), so that
(l.5)
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 = JRN. We shall discuss the solution of the
first boundary value problem for harmonic functions on Greenian subsets
of IR N in Chapter VIII. Let u(e, .) 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 GD 87
Ie,= G(¢,'), D; if D is unbounded, definele,(oo) as -00 or 0 according as

N = 2 or N> 2. According to Theorem VIII.I8, the evaluation (1.5) is
correct with this interpretation of U if N > 2 or if N = 2 and D is bounded.
If N = 2 and D is unbounded, (1.5) is correct (Theorem VIII.l9) if and only
if D does not certain too much of a neighborhood of the point 00 in a sense
made precise in the statement of Theorem VIII.l9.
2. Extremal Property of GD
Theorem. Let D be an open subset oflR N and let ¢ be a point of D. IfGDexists,
then
GD(¢,') = inf {u 2 0: u = G(¢,') + h with h defined and harmonic on D}

= inf {u 20: u = G(¢,') + h with h defined and
superharmonic on D} (2.1)
= inf {u 2 0: u superharmonic on D, u 2 G(¢,')

on some neighborhood of ¢}
= inf {u 2 0: u superharmonic on D, li~_~nf G~~~~) 2 1}.
In the following proof we denote the jth class on the right in (2.1) by r j .
These classes are not empty if GD 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 GD exists
if and only if D is Greenian.
Prooffor r 2 • If GD exists and if u E r 2 , then -h ::; G(¢,') on D; so -h ::;

GMDG(¢, '), and therefore GD(¢,') ::; u. On the other hand, GD(¢, ')E r 2 . 0
Proof that r 1 U r 3 U r 4 c r 2 . If GD exists and if u E r 4 , let IJ. be the Riesz

measure associated with u. If c < 1, the function u - cG(¢,') is positive and
superharmonic on an open deleted neighborhood B of ¢. Hence (Theorem
V.5) u has a superharmonic extension to B u {¢}; so IJ. {¢} 2 c, and therefore
IJ.{e} 2 1; so UE r 2 . Thus r 4 c r 2 . The inclusions r 1 C r 2 and r 3 C r 4 are
trivial. 0
Prooffor r 1 , r 3 , r 4 . IfuEr1 u r 3 u r 4 , then we have just shown that UEr2 ,

and we have already seen it follows that U 2 GD(¢, .). Conversely, GD(¢, ')E
r 1 n r 2 n r 4 and (l + s)GD (¢,') E r 3 for every s > O. 0
88 l.VII. Green Functions
3. Boundedness Properties of GD
Theorem. Let D be an open subset of IR N with a Green function GD, and let ~
be a point of D.
(a) If B is an open neighborhood of ~ in D, relatively compact in D, and if
v is a positive superhamlOnic function defined on an open superset
of D - B, with v ~ GD(~'·) on a neighborhood ofoB, then v ~ GD(~'·)
onD- B.
(b) R~ (~ .)
D'
= R+GD(~")
B
= GD(~'·) (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(~'·) ~ constv. In particular (v == I),
GD(~'·) is bounded outside each neighborhood of~, and if ~ 1 is a point
in the same open connected component of D as ~, then outside each
neighborhood of~, GD(~'·) ~ const GD(~ l ' .).
(d) Let B l be a compact subset of D and let B 1 be D less a neighborhood
of B l · Then GD is bounded on B l x B 1 •
Proof of (a). Define
{ GD(~'·) /\
GD(~'.) onB,
l
v = V on D - B.
The function V l is superharmonic on D, and G(~,·) - v l , defined as 0

at ~, is a subharmonic minorant of G(~,·) and is therefore majorized by
GMDG(~, .); that is, V l ~ GD(~'·) on D - B. 0
Proof of (b). The function R B is a positive superharmonic minorant

+GD(~")
of GD(~'·) on D, equal to GD(~'·) on a neighborhood of~, and therefore by

(a) must majorize GD(~'·) outside this neighborhood. Hence these two func-
tions are identical. Since the unsmoothed reduction lies between GD(~'·) and
the smoothed reduction, the three functions are identical on D. 0
Proof of (c) and (d). In (c) we can suppose that the neighborhood in
question is open and relatively compact in D. Then if v is a strictly positive
superharmonic function on D, the function cv majorizes GD(~'·) on a
neighborhood of oB for sufficiently large c; so (a) can be applied to yield
(c). The particular cases of (c) follow trivially, and (d) follows from the first
of these cases by an application of the Heine-Borel theorem. 0
(Note: ~ is fixed throughout the discussion.) If (X > 0, the set D" is an open
subset of D containing ~. No open connected component of Da not containing
3. Boundedness Properties of GD 89
~ is relatively compact in D, but Da is itself connected and relatively compact

in D if Q( is sufficiently large. In fact, if B is a relatively compact in D open
connected component of Da not containing ~, then the function GD(~") is
harmonic on B, with boundary limit Q( at every boundary point of B, and so
must be identically Q( on B, an impossibility. On the other hand, if Pis the
supremum of GD(~") on the complement of a compact neighborhood of ~
in D and if Q( > P, then the set Da is relatively compact in the interior of this
neighborhood and so also relatively compact in D and is connected by what
was just proved.
Observation (N = 2). According to Theorem 3, the function GD(~") =

G(~,·)- u(~,·) is bounded outside each neighborhood of~. It will now be
shown that if ~ 1 and ~2 are in D and if c is an arbitrary constant, the minorants
(3.1)
exist and that the differences
(3.2)
are bounded outside any neighborhood of ~l and ~2' outside any neigh-
borhood of ~l' respectively. These facts imply that if", is a finite boundary
point of D, the minorants in (3.1) are bounded on the trace on D of a compact
neighborhood of", in 1R 2 , a fact needed later.
Since G(~l") - G(~2") is bounded outside any neighborhood of ~l and
~2 and since GD(~i") is bounded outside any neighborhood of ~;, the dif-
ference U(~l") - U(~2") is bounded outside any neighborhood A of ~l
and ~2' Choose a compact neighborhood A of these two points, so that
IU(~I") - U(~2' ')1 :s; bon D - A, where b depends on A, ~l' and ~2' This
inequality must hold on all of D in view of the maximum theorem for sub-
harmonic functions. Then
so the first minorant in (3.1) exists. The harmonic function U(~l") is bounded
above by C1 = sUP(JDG(~lo') < + 00; so
and it follows that for any constant c,

90 I. VII. Green Functions
so the second minorant in (3.1) exists. Finally, the first difference in (3.2)
is at most
(3.5)
e
and similarly the second is at most GD( l' .) + const; so these differences
e
are bounded outside each neighborhood of el' 2 or each neighborhood
of el' respectively.
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.
Theorem. If D is an open subset of jRN for which there is a Green function,

the Green function GD has the following properties:
(a) GD is continuous and symmetric on D x D (= + 00 on the diagonal).
(b) For quasi every finite point' of aD and also for' = 00 if N > 2
e
and D is unbounded, lim"...., GD(e, '7) = Ofor every in D.
(c) If eeD, the function GD(e,·) has a positive extension G;(e,·) to
JRN, uniquely characterized by the following properties:
(cl) G;(e,·) = 0 on jRN - jj and at quasi every finite point ofaD.
(c2) G; (e,·) is subharmonic on jRN - {e}.
(c3) If' is afinite boundary point of D,
(4.1)
if N > 2 and if D is unbounded, lim"...."" G;(e, '7) = O.

Observation (1). If D is connected, the finite points , of aD for which
G; (-, 0 = 0 on D, equivalently, by lower semicontinuity of subharmonic
functions the boundary points' for which lim"...., GD(e, '7) = 0 for all in e
D, will be seen in Section VIII.l4 to be the finite regular boundary points
of D relative to the Dirichlet problem for harmonic functions on D.
Observation (2). We shall prove (b) as a consequence of (c). Alternatively
it is possible to prove (b) after the Dirichlet problem for harmonic functions
on D has been treated, by showing that quasi every finite boundary point
of D is regular and that the regular boundary points are the points at which
GD(e,·) has limit O. The extension G;(e,·) can then be obtained by an
application of the extension Theorem V.5 to -GD(e,·) on jRN - {e}.
4. Further Properties of GD 91
Proof of (a). We have seen in Section III.l that if GD exists, then u(~, 0) =
GMDG(~, 0) can be obtained as follows. A sequence B o of balls is chosen
with closures in D and with the property that each point of D has a neigh-
borhood which lies in Bn for infinitely many values of n. If t B. is the operator
11(1.8) but applied here to functions on ~N, and if for ~ E D ~e define
U~(~, 0) = tB ••• tB G(~, 0),

n 0
then {u~(~, 0), nE Z+} and {un(~, 0), n E Z+} are decreasing sequences of super-
harmonic functions on ~N and D, respectively. The limit of the second
sequence is u(~, 0). We shall deal with the first sequence later. Since G is
continuous on D x D, the functions uo, U 1 , ••• are successively continuous,
so U is upper semicontinuous. Let ~o be any point of D and choose Bft in
such a way that ~o E Bo and that there is an open neighborhood B c Bo
of ~o which is a subset either of Bnor of D - lin for each n. A glance at the
formula for tBo G(~, 0) shows that for each point '1 of D the function uo(o, '1)
is harmonic on B, and the same reasoning shows that Ul (0, '1), U2(o, '1), ...
are harmonic on B. It follows that u(o, '1) is harmonic on B, and since U
is independent of the choice of B0' the function u( 0, '1) is harmonic on D,
a minorant of G(o, 1]). By definition of u it follows that u(o, '1) :::;; u('1, 0), and
reversing arguments in this inequality yields the symmetry of u on D x D.
Hence GD is symmetric on D x D.
To prove continuity of GD , we prove that u is continuous. Let U and
U' be balls with closures in D, and express u on U x B" using the Poisson
integral on the boundary of each ball. If d.e balls either are the same or
have disjoint closures, this representation of u shows that u is continuous
on U x U'. Thus u is continuous on D x D. 0
Proof of (b) and (c). The sequence {u~(~, 0), n E Z+} is a decreasing sequence
of superharmonic functions on ~N, all equal to G(~, 0) on ~N - D. Moreover
the sequence is locally uniformly bounded below on ~N - fJD . . In fact
u~(~, 0) ~ u(~, 0) on D, and u~(~, 0) = G(~, 0) on ~N - 15. We now show that
this sequence is uniformly bounded below on a neighborhood of each
finite boundary point of D. This fact is trivial if N > 2 because u~ is then
positive and is trivial if N = 2 and D is bounded because a lower bound of
G(~, 0) on a neighborhood of 15 is also a lower bound of Uft(~, 0) on the
neighborhood. If N = 2 and D is unbounded, the function GD(~' 0) is bounded
on D in a neighborhood of fJD (Theorem 3), say GD(~' 0) ~ c there; so
on D near fJD, and u~(~, 0) = G(~, 0) on ~2 - D; so the sequence {u~(~, 0),

n E Z+} is locally lower bounded on a neighborhood of each finite point
of oD, as asserted. Thus {u~(~, 0), n E Z+} is locally uniformly lower bounded
92 1. VII. Green Functions
on IR N • It now follows from the Fundamental Convergence Theorem that the

function u'(e,·) = limn_ oo u~(e,·) is equal quasi everywhere on IR N to a super-
harmonic function ~(e, .). More specifically,
u(e,') = GMDG(e,') on D,
t{(e,·) = G(e,.) on IR N - jj and at quasi every finite
1 point of oD.
The function Go (e,') = G(e,') - u'(e,·)

+
satisfies the conditions in (c) and
is obviously uniquely determined by these conditions; that is, (c) is true.
By the upper semicontinuity of subharmonic functions the positive function
Go(e,·) is continuous at every zero; in particular, GD(e,·) has limit 0 at
el
quasi every finite point of oD. If for some point of D the function GD(el")
has limit 0 at a boundary point (, then GD(e,·) has limit 0 at ( for all e in
el
the same open connected component of D as because (Theorem 3) outside
each neighborhood of e the inequality GD(e,·) ::s:; const GDRl") is valid.
Since the number of open connected components of D is countable, (b)
is true. If N > 2 and D is unbounded, the function Go(e,·) has limit 0 at
00 because Go(e,·) ::s:; G(e, .). If (is a finite boundary point of D and N ~ 2,
then
(4.2)
because Go(e,,) is subharmonic on IR N - {e}. This limit relation remains

correct if '1 tends to (along the nonzero set of Go(e,·) and also [see 11(6.1)]
if '1 avoids the polar set of points '1' of oD for which G(','1') #- 0; that is,
(4.1) is true. 0
Observation (3). The method of proof of (b) can be applied to show

that the function differences in (3.2) also have limit 0 at quasi every finite
point of oD.
5. The Potential GD /1 of a Measure /1

Let D be an open subset of IR N for which G D exists. If J1. is a measure on D,
the potential GDJ1. is defined by
(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 GDJ1. is either super-
5. The Potential GDII of a Measure II 93
harmonic or identically + 00 on each open connected component of. D

and, if superharmonic, is harmonic on every Jl null open subset of D. More-
over GMDGDJl = 0 if GDJl is superharmonic. In particular, GDJl is super-
harmonic if Jl(D) < + 00.
If Jl has compact support in D, Theorem 3(c) implies that GDJl is bounded
outside each neighborhood of this support. Moreover in this case GDJl has
limit 0 at every Euclidean boundary point' at which lim,,_~GD(e, 11) = 0
e
for every because one can integrate to the limit in (5.1) when Jl has compact
support. It follows (Section 4) that when Jl has compact support in D, the
potential GDJl has limit 0 at quasi every finite Euclidean boundary point
of D and also the point 00 if D is unbounded and N > 2. Since a measure
Jl on D can be chosen, supported by a countable dense subset of D, making
GDJl a superharmonic function + 00 on a dense subset of D, the hypothesis
of compact support for Jl was necessary in the preceding sentence.
If Jl has compact support in D, the potential GDJl differs from GJl on
D by a harmonic function. In fact, if u(e,·) = GMDG(e, .),
(5.2)
The second integral defines a harmonic function on D because the function

is Borel measurable, has the harmonic function average property, and is
finite valued on a dense set. Observe that what we have proved implies that
if A is a compact subset of IRN , if Jl is a measure on IR N supported by A,
and if D 1 and D 2 are open supersets of A whose Green functions exist, then
GD1 Jl and GD2 Jl differ on D 1 n D 2 by a harmonic function.
In order to complete the proof of the Riesz Decomposition Theorem
(Section IV.8) by proving it for open sets D for which G D exists-it will
be seen in Section 7 that these sets are the Greenian sets-we need only
follow the steps of the proof for D special. According to (5.2), the conclusion
of Theorem IV.7 can be stated in the form: u = GDJlA + hA, where hA is
superharmonic on D and harmonic on A. This representation of u was the
basis for the proof of the Riesz Decomposition Theorem for special open
sets, and the continuation of that proof needs no change in the present
more general context. Note again that according to that theorem, a positive
superharmonic function u on D is a potential GDJl if and only if GMDu = O.
In view of(5.2) the Gauss Integral Theorem (Section 1.6) and also Theorem
1.7 on the smoothness of the potentials GJl of measures given by densities
are valid for the more general potentials GDJl.
Application to the Function DI-+GD
Let D 2 be a Greenian subset of IRN , let D 1 be a nonempty relatively compact

open subset of D 2 , and let Jl be a measure on D 2 with compact support in
94 1. VII. Green Functions
D l · Then G D~ J.I. = G D1 J.I. + GM D1 GD2 J.I. on D l · The minorant is [Section III

Example (d)J the restriction to D l of ~GD2 ~D2-DI (reduction relative to D z ).
This smoothed reduction must be a potential G D2 /l on D z ; so G D2 J.1. =
GD I J.I. + GD 2 /l 1 on D l , where J.l.l is a measure supported by oD l ·
1
6. Increasing Sequences of Open Sets and the Corresponding

Green Function Sequences
Theorem_ Let D_ be a monotone sequence of open subsets of~N with limit D,
and suppose that G Dn exists for all n.
(a) If Dn i D then the increasing sequence G D. has limit GD if GD exists
and has limit + 00 otherwise.
(b) If D n ! D and if D is open and not empty then the decreasing sequence
G D. has limit G D.
Proof of (a). To avoid trivia suppose that D is connected. If ~ is a point

of D and if un(~, -) = GM Dn G(~, -), then un(~' -) ~ Un+ l (~, -) on Dn, and
therefore (Theorem 11.3) the limit u(~,-) of the sequence {un(~,-),n~O}
on D is either identically - 00 or harmonic, and it is easy to check that in
the latter case u(~, -) = GMDG(~, -). Conversely, if GMDG(~, -) exists, the
sequence {un< ~, -), n ~ O} is locally bounded below; so the limit function
u(~, -) is harmonic on D. Since GD(~' -) = G(~, -) - GMDG(~, -), assertion
(a) follows. 0
Proof of (b). Define Gi> = limn_oo GDn on D x D. For ~ in D the function

G~(~, -) is harmonic on D - g}. The inequality G D ::; G~ ::; G Dn implies
that G~(~, -) is continuous with value + 00 at ~ and that the difference
G~(~, -) - GD(~' -) is a positive harmonic function on D if defined suitably
at ~' This difference is bounded [because GDn (~, -) is bounded outside a
neighborhood of ~] and has limit 0 at quasi every Euclidean boundary
point of D, including the point 00 if N> 2 and D is unbounded [because
GDn (~, -) has this boundary limit property]; so this difference vanishes
identically according to the extended maximum-minimum theorem for
harmonic functions in Section V.7. 0
7. The Existence of GD versus the Greenian Character of D
Theorem_ An open subset D of~N is Greenian ifand only ifG D exists.
Since all open nonempty subsets of ~N for N > 2 and all bounded non-
empty open or not connected open subsets of ~z are both Greenian and
have Green functions, only unbounded open connected subsets of ~2 re-
9. Approximation Lemma 95
main to be considered. If a set has a Green function, the set is trivially

Greenian. Conversely, suppose that D is an open unbounded Greenian
subset of 1R 2 , so that there is a positive nonconstant superharmonic function
u on D, with associated nonnull Riesz measure IJ.. Let Dn be the part of D
in B(O, n) and let IJ.n be the projection of IJ. on D n • According to Theorem 6,
unless D has a Green function, lim n_ oo G Dn = + 00, but this limit relation
is impossible because (Riesz decomposition)
(7.1)
8. From Special to Greenian Sets
Many theorems have been stated for Greenian sets D but proved only for
special sets. The justification for this awkward procedure is that the pro-
perties of G D make the proofs already given for special D valid whenever
D is Greenian, that is, whenever G D exists. Some of these extensions to
Greenian D have already been checked in Sections 4 and 5. The rest are
equally easy to check.
9. Approximation Lemma
Lemma. If D is a Greenian subset of IR N , if 4J is a finite-valued continuous
function on D, with compact support B, and if B 1 is a compact neighborhood
of Bin D, there is a sequence u. - v. of differences offinite-valued continuous
potentials whose associated Riesz measures are supported by B 1 , with un =
Vn on D - B 1 and lim n_ oo (un - vn) = 4J uniformly on D.
For n sufficiently large, say n ~ no, the function A 1/n4J is defined on a

neighborhood of B 1 and vanishes off B 1 . For n this large define A 1/n 4J = 0
on D - B 1 where this function is not already defined. Then {A 1/n4J, n ~ no}
is a sequence of infinitely differentiable functions converging uniformly
to 4J on D. Define Un [vnJ as the potential of the measure with density
-((6.A 1/n4J) /\ O)jnN [((6.A 1jn 4J) v O)jnN]. Then A 1/n4J - (un - vn) = h n is a
function harmonic on D, and Vn - Un = h n on D - B 1 • The inequalities
Vn ~ h n and Un ~ -h n are valid on D - B 1 and therefore (superharmonic
function minimum theorem) also on D; so h n = 0 since GMDvn = GMDun =
O. That is, A 1/n4J = Un - Vn, and the lemma follows.
Application to the Ordering of Measures
Suppose that Jl 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 ~ v, then
96 l.VII. Green Functions
I(U-V)df..l:::;; i(U-V)dV. (9.1)
We now show that it follows that f..l :::;; v. It is sufficient to show that if </>
is a positive continuous function on D with compact support then
(9.2)
According to the lemma, the function </> can be approximated uniformly

by a sequence U. - V. of differences between continuous potentials, equal
outside a neighborhood of the support of </>. By hypothesis
and this inequality yields (9.2) when n --+ 00.
10. The Function GD(·, O,D-{{} as a Minimal Harmonic

Function
Let D be a connected Greenian subset of IR N • We now show that if (eD,

the restriction of GD (·, 0 to Do = D - {q is a minimal harmonic function
for Do. In fact let U o be a positive harmonic function on Do, majorized
there by GD(·, O. We are to show that Uo must be a constant multiple of
GD(·,O on Do. The function Uo has a superharmonic extension U to D
(Theorem V.5) whose associated Riesz measure is supported by g}, U =
cGD(·,O + h, where c is a positive constant and h is a positive harmonic
function on D, majorized on Do by U and therefore majorized on D by
GD (·, O. Hence h == 0 and the proof is complete.
If v is a positive superharmonic function on D, with associated Riesz
measure v, then
(10.1)
To prove this, let c be the infimum in question. Then v ~ cGD(·, 0 on Do,

so the difference v - cGD(·,O is positive and superharmonic on Do and
therefore has a superharmonic extension Vi to D. Thus v = cGDh 0 + Vi
on Do, and the equality is valid at , because two superharmonic functions
equal on a deleted neighborhood of a point are equal at the point. But then
v({(n ~ c, and there must be equality by definition of c, so (10.1) is true.
Furthermore
10. The Function GD (·, OID-(" as a Minimal Harmonic Function 97
(10.2)
To prove this, observe that according to (10.1) the limit inferior IX in question
is at least v({(}). If there is strict inequality and if IX > p > v({(}), then
v > pGD (·, 0 on a deleted neighborhood of' and therefore (Theorem 3) on D;
so the infimum in (10.1) is ~{3. Hence v( {O) ~ {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 , 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 GD (', 0 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 - {O and that ~ in
(10.2) may tend to' on either Do or D.
Chapter VIII
The Dirichlet Problem for Relative Harmonic

Functions
1. Relative Harmonic, Superharmonic, and Subharmonic

Functions
The class of relative harmonic functions is suggested by the following trivial
remark. Let (D,~) be a measurable space, and suppose that to each point ~
of D is assigned some set (perhaps empty) {Jli~,·),(xEld of probability
measures on D. Call a function generalized harmonic if it satisfies specified
smoothness conditions and if
(1.1)
for ~ in D and (X in I~. For example, if D is an open subset of IR N , if for each

~ the index (X represents a ball B of center ~ with closure in D, if I~ is the
class of all such balls, and if JlB(~' v) is the unweighted average of von oB,
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 Jl:(~,') by
(1.2)
Then Jl:(~,') is a probability measure, and if v is a generalized harmonic

function, the function u = v/h satisfies
(1.3)
Conversely, if u is a function satisfying (1.3), the function v = uh is generalized

harmonic. (We omit, here and in the following, possible side conditions on
the functions.) The functions u = v/h thus satisfy the same kind of averaging
condition as the generalized harmonic functions, but with Jla. replaced by Jl:.
Theorems on generalized harmonic functions v relative to the averaging {Jla.}
2. The PWB Method 99
correspond to theorems on functions v/h relative to the averaging system

{J.t~}. This remark suggests the following definition.
Let D be an open subset of IRN and let h be a strictly positive harmonic
function on D. A function u = v/h will be called h-harmonic, h-superharmonic,
or h-subharmonic if v is harmonic, superharmonic, or subharmonic on D,
respectively. This definition is of interest only if h is not identically constant,
so that D is always supposed Greenian in discussing these matters. If v = GDJ.t
is a potential, the function v/h will be called an h potential. The functions of
classical potential theory relativized by a strictly positive harmonic h play
an essential role in the study of the case h == 1. Many properties of the
relativized functions follow trivially from the case h == 1 or can be deduced
using the proofs for that case. For example, the proof of the superharmonic
function minimum theorem translates at once into a proof of the same result
for h-superharmonic functions. The operator-r: is defined by t:(v/h) = (tav/h.
The notations GM\ LM h , hR~, and h~U~A (for u a positive h-superharmonic
function) have the obvious interpretations.
Minimal harmonic functions were defined in Section 11.16, and minimal
h-harmonic functions are defined correspondingly. The positive h-harmonic
function v/h on D is a minimal h-harmonic function if and only if v is a
minimal harmonic function. In particular, if h is minimal harmonic, the
positive constant functions are minimal h-harmonic, and conversely.
A function u is h harmonic if and only if (in the usual inner product
notation) ~u = - 2(grad u, grad h)/h. If u is a function in (;<2l(D) the func.tion
is h superharmonic if and only if ~u :s; - 2(grad u, grad h)/h.
Relative Superharmonic (Harmonic) Functions and the Kelvin

Transformation
Let v [h] be a superharmonic [harmonic] function on a Greenian subset D

eo.
of IRN , and let ¢ be an inversion of IR N in a sphere ofcenter Define v' = v( ¢)
and h' = h(¢), and let V t [ht] be the Kelvin transformofv[h]. Then vt/ht =
v'/h', and this function is an ht-superharmonic function on ¢(D - go}) if
h > 0, h t-harmonic if h is harmonic. According to the definition of the
Kelvin transformation, the function vtlh t is not the Kelvin transform of
v/h unless N = 2, in which case V t = v' and h t = h'.
2. The PWB Method
Let D be a Greenian subset of IR N , provided with a boundary aD by a metric

compactification, and let h be a strictly positive harmonic function on D.
Let f be an extended real-valued function defined on aD. The traditional
Dirichlet (first boundary value) problem in the context of h-harmonic
functions is to find a function u which is h-harmonic on D and has limitf«()
100 I. VIII. The Dirichlet Problem for Relative Harmonic Functions
at each boundary point ,. (In the usual formulation of such a problem the
boundary function f is supposed finite valued and continuous.) Since a
function on aD that is the boundary limit of a function on D is continuous,
this Dirichlet problem cannot have a solution unlessfis 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 aD be the
Euclidean boundary. Let / = 0 at the ball center and / = 1 on the rest of
the boundary. Then / is continuous on aD. The Dirichlet problem on D
for this boundary function has no solution because if U were a solution,
then 0 ~ U ~ 1, and (Section V.S) 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 1 at
the ball boundary.
The following example illustrates the influence of the choice of the

relativizing function h,
EXAMPLE (b). Dirichlet problem for a ball. Let D be a ball, and let aD be
the Euclidean boundary. According to Theorem ILl, the Poisson integral
PI(D,f) solves the Dirichlet problem with h == 1 for any finite-valued con-
tinuous boundary function! If h is minimal harmonic however, that is
(Section 11.16), if h is a multiple of K(,,·) for some boundary point " the
Dirichlet problem for h-harmonic functions with a specified bounded func-
tion / cannot have a solution unless / is identically constant. In fact a solu-
tion would be an h-harmonic function bounded by the bound of/and so
would be identically constant because h is minimal harmonic.
The method of attacking the Dirichlet problem will be one devised by

Perron, developed by Wiener, perfected by Brelot, now called the PWD
method. In general the PWB method assigns a "PWB solution" to certain
"resolutive" boundary functions. A finite-valued continuous boundary func-
tion/for which the traditional Dirichlet problem has a solution uf is resolu-
tive with PWB solution uf' but the PWB method goes further. In fact the
class of resolutive boundary functions is the class of integrable boundary
functions relative to a certain measure, and one task of the theory is to show
that the PWB solution for a resolutive boundary function has that boundary
function as a boundary limit function in some reasonable sense. In the
context of h-harmonic functions we shall introduce h into the notation and
denote by HJ the PWBh solution determined by an h-resolutive boundary
function! Although the method itself provides a not unreasonable justifica-
tion for describing HJ as a solution corresponding to f, we shall show that
HJ has/as a boundary limit function along certain paths.
The PWB method starts with a Greenian set D provided with a boundary
aD by a metric compactification and assigns to each extended real-valued
function f on aD an upper and a lower PWBh class of function on D. A
function v on aD is in the upper [lower] PWBh class if on each open con-
nected component of D this function is either identically + 00 [ - 00] or
h-superharmonic [h-subharmonic], is bounded below [above], and satisfies
the inequality
~ ,
[lim sup v(rf}
....
~ f(O]
for every boundary point ,. The functions in the upper PWBh class forfare
the negatives of the functions in the lower PWBh class for -fAn application
of the minimum theorem for h-superharmonic functions yields the fact that
every function in the upper PWBh class for fis a majorant of every function
in the lower class. If u and v are in the upper class, then u /\ 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 jj c D, then t;V is also in the upper class and is a minorant
of v. Thus the infimum ilJ 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 + 00 in B. In each open connected
component of D the function ilJ is therefore either the constant function
+ 00, the constant function - 00, or an h-harmonic function. The supremum
lfJ of the lower class must also have this property, and lfJ ~ ilJ. The
function lfJ [ilJJ is called the lower [upper] PWBh solution for f It is
immediate that Ht = Rt/h = hR1 for A a subset of aD. If the upper and
lower solution are identical and h-harmonic, they are denoted by HJ,fwill
be called h-resolutive, or simply resolutive when h == 1, and HJ will be called
the PW~ solution for f A boundary of a Greenian set D will be called
h-resolutive, or simply resolutive when h == 1, ifevery 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.
Disconnected versus Connected Greenian Sets
The set D has not been supposed connected in the preceding discussion.
If D is not connected, let Do, D 1 , . . . be the open connected components
of D, and let aDj be the boundary of Dj relative to D u aD, where aD has
been determined by a metric compactification of D. Then aD = Uo aDj'
If f is a function on aD let./j be the restriction off to aDj' A function u on
D is in the upper [lower] PWBh class for the boundary function f if and
102 1. VIII. The Dirichlet Problem for Relative Harmonic Functions
only if for each j the restriction of u to Dj is in the upper [lower] PWB"

class on Dj for the boundary function fj. Thus the restriction to Dj of HJ
[Hn is the upper [lower] PWB" solution on Dj for the boundary function
fj, and / is an h-resolutive boundary function for D if and only if for all j
the boundary function fj of Dj is an h-resolutive boundary function for Dj .
Let Da" Da" ... be the components of D on which HJ is not identically
+ OC!; for j ~ I, choose a point ~a'1 (to be held fast below) in Da ., and choose
e > O. Then there is a function u 0n D, in the upper PWB" c1~ss for /, such
that for j ~ I,
HJ(~aj) +e if HJ is harmonic on Dar

(2.1)
u(~a) ~
jI
e if HJ =- OC! on Dar
(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/such that (2.1) is satisfied by Uj' On each set Da . define
U = uj and define U = + OC! on each remaining component of D. J
Internal Resolutivity
It is trivial that the one-point boundary of a Greenian set D is universally

resolutive and that the PWB" solutions are the constant functions. At the
other extreme, a boundary of D will be called internally h-resolutive if every
bounded h-harmonic function is the PWB" solution of some boundary
function, and a boundary will be called universally internally resolutive if the
boundary is internally h-resolutive for every strictly positive harmonic h.
Observe that the characterization "h-resolutive" is not applied to any
proper subset of a boundary.
EXAMPLE (c) (The Classical Solution). If / is a finite-valued continuous

boundary function for which the traditional first boundary value problem
has a solution, that is, there is an h-harmonic function u on D with boundary
limit function/, then/is h-resolutive, and HJ = u because u is in both upper
and lower PWB" classes; so u = HJ = HJ. Thus [see Example (b) above]
the Euclidean boundary of a ball is resolutive. This ball boundary will be
shown to be universally resolutive in Section 9 and will be shown to be
universally internally resolutive in Section IX.12.
h-Regularity of Boundary Points
A boundary point' of D will be called h-regular, or regular when h = I,

if whenever / is a finite-valued continuous boundary function
If every boundary point is h-regular, the boundary will be called h-regular,

or regular when h == 1. An h-regular boundary is h-resolutive because when-
ever f is a finite-valued continuous boundary function ilJ = llJ in view of
the h-harmonic maximum-minimum theorem. For each such functionfthe
PWBh solution HJ for an h-regular boundary is the solution of the traditional
Dirichlet problem. Conversely, if this problem has a solution for every
finite-valued continuousf, the boundary is h-resolutive and h-regular.
Elementary Properties of Upper and Lower Solutions
It is trivial that il~ f = -llJ, that ilJ and llJ increase withf, that iic~ = ciiJ
and llc~ = cllJ when c is a positive constant, and that ilJ+c = iiJ + c and
llJ+c = llJ + c when c is an arbitrary constant. Moreover, if e > 0 and iff
and g are finite-valued boundary functions whose upper and lower solutions
are finite-valued, and if If - gl ~ e, then liiJ - ii:1 ~ e and IllJ - ll:1 ~e
because
and the same inequalities are valid for the lower solutions. It follows that if
in additionfis h-resolutive,
and we conclude that iff. is a uniformly convergent sequence of finite-valued

h-resolutive boundary functions with limit g, then g is h-resolutive, and the
sequence H; is uniformly convergent with limit H:.
The Set of h-Irregular Boundary Points
This set is an Fa set, that is, a countable union of compact boundary subsets.
In fact for an arbitrary function </J from D into iR the boundary function
(f-+ lim sUP~_~EaD </J(e) is upper semicontinuous, so iffis a bounded boundary
function, the boundary set
A(f,e) ={(EOD: lim sup iiJ(e) -liminfU}(e) ~ e}

~-~ ~-~
is compact. Iff. is a sequence of boundary functions dense in C(D), the set

of irregular boundary points is U:,,,=o A {fm, T"}, an F;, set.
The PWB Method and the Kelvin Transform
Let D be a Greenian subset of IR N provided with a boundary aD by a metric

compactification of D, and let ¢ be an inversion of IR N in a sphere with
center not in D. Then D' = ¢(D) is Greenian. The D u aD metric induces
a metric on D', and the completion of D' in this metric is a metric homeo-
morph of D u aD and thereby defines aD'. Let h be a strictly positive
harmonic function on D with Kelvin transform h 1 on D'. A function I on
aD induces a corresponding function/1 on aD'. If v/h is in the upper PWB h
class on D for I and if V 1 is the Kelvin transform of v, then v 1 /h 1 is in the
upper PWB h, class on D for /1' and the corresponding assertion is valid for
the lower classes. Thus the PWB method on D is easily translated into that
on D'. For example,fis h-resolutive on aD if and only if/1 is h 1-resolutive
on aD', and a point of aD is h-regular if and only if its image on aD' is h 1
regular. Observe that if aD is the Euclidean boundary, then aD' = ¢(aD)
is also the Euclidean boundary. It will be proved in Section 14 that in this
e
Euclidean boundary context a point of aD is not only regular (that is,
h-regular with h == I) if and only if ¢(e) is an h 1-regular point of aD' (with
e
h 1 the Kelvin transform of the constant function I) but that is regular if
and only if ¢(e) is regular, under the additional hypothesis that when N > 2
neither boundary point is the point 00.
3. Examples
EXAMPLE (a) (Euclidean Boundary). Let u be an h-superharmonic lower-

bounded function on the Greenian subset D of IR N , and suppose that u has
a finite or infinite limit at every point of aD, thereby defining a continuous
boundary function f Then GM~u exists, and if this minorant is bounded
above, it follows that/is h-resolutive with HJ = GM~u. In fact under these
hypotheses, u is in the upper and GM~u is in the lower PWBh class for I;
so GM~u ::;; HJ ::;; iiJ ::;; u, and therefore by definition of GM~u the first
three terms of this inequality are equal.
Application: Green Functions and the Dirichlet Problem
Suppose that h == I and that D is arbitrary if N > 2 but bounded if N = 2,

choose e in D and define u = G(e,o),D,f= G(e, o)laD' with/(oo) = 0 if N > 2
and D is unbounded. Then I is bounded so GMDu is bounded (harmonic
function maximum-minimum theorem). We conclude that I is resolutive
with PWB solution GMDG(e, 0) and that GD(e, 0) = G(e, 0) - Hf . This eval-
uation of the Green function in terms of a Dirichlet solution is also correct
if N = 2 and D is unbounded whenever D is sufficiently sparse near the
point 00. More precisely, as we shall show in Section 19, this evaluation is
3. Examples 105
correct if and only if 00 is a regular boundary point of D, equivalently

(Section X1.l2) if and only if D is not a deleted fine neighborhood of 00.
EXAMPLE (b) (Euclidean Boundary, h == 1). Let u, and U2 be superharmonic

functions on the Greenian subset D of IR N , and suppose that GMDu j = u;
exists. Furthermore suppose that U = u, - U 2 is well defined near aD and
has a finite limit at every point of aD, determining a boundary function f
Then f is bounded and continuous and we now show (i) that f is resolutive
with Hf = u~ - u;. If, in addltion, u, and U 2 have superharmonic extensions
to a neighborhood of IR N n D, if these extensions have finite limits at every
point of aD, and if Uj - u; is bounded outside some compact subset of D,
we shall show (ii) that lim~....{ HArT) = f(O at quasi every finite boundary
point Cof D and also at the point 00 if N > 2 and D is unbounded. (These
conditions are convenient to verify but are more stringent than necessary.)
The function u, - u; is superharmonic with limit inferior ~f(o at every
boundary point Cof D. This difference is therefore lower bounded and is
in the upper PWB class forf; so u, ~ u; + ilf , and therefore u~ ~ u; + ilf .
Interchang~g u, with U 2 yields the inequality u; ~ u~ - Hf and we conclude
that Hf = Hf = u', - u;, that is, (i) is true. In Section VIlA the Fundamental
Convergence Theorem was used to show that the function GD(e,·) = G(e,·)
- GMDG(e,·) has limit 0 at quasi every finite point of aD. Under the
hypotheses of (ii) the same reasoning shows that Uj - u; has limit 0 at quasi
every finite point of aD and therefore that Hf has limit f(O at quasi every
finite boundary point C. To prove that Hf has limitf(oo) at 00 when N> 2
and D is unbounded, we apply a barrier argument, to be developed more
generally in Section 14. Define u(e) = lel 2 N
- e
for in D, choose b > f(oo),
choose a neighborhood of 00 so small that f :5 b in the neighborhood, and
then choose n so large that b + nu ~f on aD outside this neighborhood.
The restriction to D of the function b + nu is in the upper PWB class on D
forfand has limit b at 00. Hence lim sup~.... <Xl HAe) :5 b; so this limit superior
is at most f( 00). Since the same reasoning is applicable to - f, the function
Hf has limitf(oo) at 00, as was to be proved.
Special case (b /). Let D be bounded and let f be the restriction to aD
of a polynomial u. Then u can be written as t~e difference between two
polynomials superharmonic on a heighborhood of l5:
(3.1)
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
ej
(b)(ii) are satisfied by Uj = G(ei'·) 1\ cilD for in D and - 00 < Ci :5 + 00.
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(e, ·)ID, U 2 == 0, for each point e
in D.
4. Continuous Boundary Functions on the Euclidean

Boundary (h = 1)
Theorem. The Euclidean boundary ofa Greenian set D is resolutive. Moreover

quasi everyfinite point ofthis boundary is regular, and 00 is a regular Euclidean
boundary point whenever D is unbounded and N > 2.
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 HI. is uniformly convergent to
Hf on D, it is sufficient to prove that there is a countable dense subset
r: {ga, IXE I} of C(oD) with the property that for each index value IX, the
function ga is resolutive, and Hga has limit ga(O at quasi every finite boundary
point (, as well as at ( = 00 when N > 2 and D is unbounded. In fact the
Euclidean boundary is then resolutive, and if A a is the exceptional polar
boundary subset for ga' the finite boundary points not in UaelAa are
regular.
In view of Section 3, Example (b /), when D is bounded r can be taken
as any countable dense subset of C(oD) consisting of restrictions to oD of
polynomials. The following proof is applicable to both unbounded and
bounded sets D.
If N > 2, let r 1 be the class of positive superharmonic functions on IR N
which are finite valued and continuous with finite limit at 00. Define u( 00)
for u in r 1 as the limit of u at 00. Then r 1 contains the positive constant
functions and u 1\ v, and au + bv are in r 1 if u and v are and if a and bare
positive constants. Let r 2 be the class of differences U 1 - U 2 with Ui in r 1 ,
so that r 2 is a vector lattice in the order determined by pointwise inequality.
The set r 3 of restrictions to oD of the members of r 2 is a vector lattice of
finite continuous boundary functions, which contains the constant functions
and separates oD because C 1\ G(e, ·)laD (defined as 0 at 00) is in r 3 for an
e.
arbitrary positive constant c and an arbitrary point The set r 3 is dense
in C(oD) (Stone-Weierstrass theorem), and in view of Section 3, Example
(b) any countable subset ofr3 dense in C(oD) can serve as the desired set r.
If N = 2, let eo be a point of 1R 2 and define r 1 as the class of functions u
satisfying the following two conditions:
(a) u is a finite-valued continuous superharmonic function on 1R 2 •
(b) There is a strictly positive constant IX and a constant P, both depend-
ing onu, such thatu is identically IXG(eo,·) + poutside some bounded
set which may depend on u.
4. Continuous Boundary Functions on the Euclidean Boundary (h == I) 107
When U is in r l , the function cu is also in r l when c is a strictly positive

constant, and u + c is in r l when c is an arbitrary constant. When U 1 and
U 2 are in r l , the functions U 1 + U2 and U 1 1\ U 2 are in r l . Let r 2 be the class
of differences U 1 - U2 for which U 1 and U 2 are in r l and have the same
multiplier IX in (b). Then U 1 - U2 is constant outside some bounded set.
Define U 1 - U 2 at 00 as this constant value. The set r 2 is a lattice in the
order determined by pointwise inequality. If U is in this lattice, cu and U + c
are also in the lattice, for every constant c. If r 3 is the class of restrictions
to oD of the members of r 2, r 3 is a lattice of finite continuous boundary
functions which contains c/ and / + c with f Moreover r 3 separates oD.
To see this, let eland e2 be distinct points of oD, and let B be a ball containing
eo and either el or e2' say el' but not the other. The boundary function
is then in r 3 . If/has the same value at e I as at e2 decrease the radius of B

to increase/at el but not at e2' Thus r 3 separates oD and therefore (Stone-
Weierstrass theorem) is dense in C(oD). In view of Section 3 Example (b)
any countable subset of r 3 dense in C(oD) will serve as the desired set r.
Partial Generalization to PWBh Solutions
Suppose that D is Greenian, that h is a strictly positive harmonic function

on D and that B is an open relatively compact subset of D. If/is a finite-
valued continuous function on oB, a function U is in the upper [lower] PWBh
class on B for the boundary function / if and only if the function uh on B
is in the upper [lower] PWB class on B for the boundary function.fh loB'
It follows that/is h-resolutive, with HJ = Hfh/h, and that a boundary point
of Bis h-regular ifand only if the point is regular. Thus quasi every boundary
point of B is h-regular..
This partial generalization of Theorem 4 will be completed in Section 8
where it will be shown that if D is given an h-resolutive boundary by a
metric compactification, if B is an open subset of D, and if oB is the boundary
of B relative to D U oD, then oB is h-resolutive. This fact can be deduced now
when h = I and oD is the one-point boundary provided by the Alexandrov
compactification of D. In fact, in this specialization if/is a finite continuous
function on oB, let f' be the function on the Euclidean boundary 0'B of B
defined as/on oD n 0' Band (if Bis not relatively compact in D) as/(oB noD)
on the rest of 0'B. The function f' is finite and continuous and therefore
resolutive on B for 0'B. Moreover the upper and lower PWB classes on B
for f' on 0'B are the same as those classes for / on oB. Hence/is resolutive,
5. h-Harmonic Measure Null Sets

Let D be a Greenian subset of ~N provided with a boundary by a metric
compactification, and let A be a boundary subset. If the upper solution
Ht.. (= hR1 = Rtlh = ./}tlh) vanishes identically on D, the set A will be
called an h-harmonic measure null set, or harmonic measure null set if h == I.
In the following discussion D 1 , D 2 , .•• are th~ open connected compo-
nents of D and ¢j is a point of Dj , held fast throughout. The proofs are given
for infinitely many components and the simplifications to be made when
there are only finitely many are left to the reader.
(a) A countable union A = Uo An of h-harmonic measure null sets is
h-harmonic measure null.
If e > 0 and if (Section 2) Un is an h-superharmonic function in the upper
PWBh class on D for the boundary function I...n , with un(¢j) < er n - 1 for
all}, then the func!!on v = LO Un is i!! the upper PWB class for the boundary
h
function I... , and Ht. = 0 because H~",<¢) ~ v(¢) < e for all}.
(b) A boundary subset A is h-harmonic measure null if and only if there
is a positive h-superharmonic function u on D with limit + 00 at every point
of A.
If A is h-harmonic measure null, define An = A and observe that then the
positive h-superharmonic function v in (a) has limit + 00 at every point of A.
Conversely, if a function u as described in (b) exists, then for every e> 0
the function eu is in the upper PWBh class for the boundary function I... ;
so H~... = 0 except possibly on the polar set of infinities of u, and so H~... = 0
onD.
(c) If / is a positive boundary function and if HJ = 0, then the set
{J> O} is h-harmonic measure null.
If n ;;:: I and if J" is the indicator function on oD of the set {J> lin},
then
so the set {I> lin} is h-harmonic measure null. Hence U~=l {I> lin} =
{J> O} is h-harmonic measure null.
(d) If / is a boundary function for which iiJ < + 00, then the set
A = {J = + oo} is h-harmonic measure null.
Choose (Section 2) an h-superharmonic function u on D in the upper
PWBh class for the boundary function! The function u is positive and has
limit + 00 at every point of A so A is h-harmonic measure null according
to (b).
(e) Euclidean boundary, h == I. A polar subset A of oD is a harmonic
measure null set.
If N > 2, let u be a positive superharmonic function on ~N, identically
+ 00 on A. Then v = UID has limit + 00 at every point of A ; so according to
5. h-Harmonic Measure Null Sets 109
(b), the set A is h-harmonic measure null. If N = 2 and if' is a finite boundary
point of D, choose a ball B of center' so small that 1R 2 - (D u B) is not
polar, that is, so that D' = DuB is Greenian. Then if A ("\ B is not empty,
there is a positive superharmonic function u on D', identically + <X) on
A ("\ B; so UID has limit + <X) at every point of A ("\ B. Thus according to (b),
A is locally harmonic measure null, and it follows that A is a countable
union of harmonic measure null sets and is therefore itself harmonic measure
null.
The converse of (e) is false: a harmonic measure null subset ofa Euclidean
boundary aD need not be polar. For example, if D is a ball in IR Nit will be
seen in Section 9 that the harmonic measure null subsets of the Euclidean
boundary are the 'N-l null boundary subsets, and it is not difficult to find
examples of 'N-l null subsets of a sphere which are not polar. The following
is however a near converse to (e).
(f) Let D be an arbitrary nonempty open subset of IR N , and let A be a
nonpolar proper subset of D, closed relative to D. Provide D with a boundary
by a metric compactification, and let a(D - A) be the boundary of the
Greenian set D - A in this compactification. Then the set A ("\ a(D - A) is
not harmonic measure null relative to D - A. In fact, if A ("\ a(D - A) is
harmonic measure null, then by (b) there is a positive superharmonic
function U on D - A with limit + <X) at each point of A ("\ a(D - A). If U is
extended to D by defining U = + <X) on A, the resulting function is super-
harmonic on D with value + <X) on A; so A is polar, contrary to hypothesis.
h-Harmonic Measure Null Sets and the Kelvin Transformation
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 hl-harmonic measure null subset of aD'. We shall use the following
=
additional fact when h I. If aD and aD' are Euclidean boundaries and if
A is a harmonic measure null subset of aD, then <jJ(A) is a harmonic measure
null subset of aD', under the additional hypothesis when N> 2 that all
points of <jJ(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 + <X) at every point of A, then the Kelvin transform of v
is a positive superharmonic function on D' with limit + <X) at every finite
point of <jJ(A), every point of <jJ(A) if N = 2.
EXAMPLE (a) (Euclidean Boundary, h = I). If N ~ 2 and if , is a finite

boundary point of D, the singleton {(} is polar and therefore is harmonic
measure null. If n = 2, the singleton {<X) } is harmonic measure null for every
unbounded Greenian set D because the point <X) can be made finite by an
inversion of the plane relative to a circle centered at another boundary point
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 = IR N and if u is in the upper PWB class on IR N for the boundary function
l{oo}' that is, if u is superharmonic and lower bounded on IR N , with inferior
limit;;::: I at 00, then u ;;::: 1 by the superharmonic function minimum theorem.
EXAMPLE (b) (Euclidean Boundary). A polar subset of aD need not be an

h-harmonic measure null set for all h. For example, let D = 0(0, <», and let
h be a minimal harmonic function on D corresponding to the boundary
point' (Section 11.16), say
Let 9 be the indicator function of A = aD - {n. Since the function e/h is in

the upper PWB" class on D for 9 whenever e > 0, the set A is h-harmonic
measure null; so {(} is not, because aD is not an h-harmonic measure null
set.
6. Properties of PWB h Solutions

The following properties of PWB" solution will be needed in addition to
those derived in Section 2. Proofs are given in the next section. The functions
/ and 9 below are boundary functions.
(a) If/ = 9 up to an h-harmonic measure null set, then HJ = H: and
H-"-H-"
~- g. -
(b) HJ < +00 if and only if HJvo < +00.
(c) If iiJ < + 00, if ii: < + 00, and if/ + 9 is defined arbitrarily on the
h-harmonic measure null set, where / or 9 is - 00 and the other is
+ 00, then H J + g~ HJ + Hg.
-II -"-,,
(d) The class of h-resolutive boundary functions contains the constant

functions and is a vector lattice (that is, the class is linear and
contains / v 9 and / /\ 9 when it contains / and g). Moreover, if
/ and 9 are h-resolutive, then
H:J + pg = rxHJ + PH:, HJv 9 = LMi(HJ v H:),

HJAg = GMi(HJ /\ H:).
(e) Iff. is a monotone increasing sequence of boundary functions with
limit/and if iiJo > - 00, then iiJ = limn _ oo iiJn" Moreover iiJ = HJ
if each functionJ.. is h-resolutive.
7. Proofs for Section 6 111
(f) If/is an h-resolutive boundary function, there are Borel measurable

h-resolutive boundary functions 11 and 12 such that 11 5.1 ~/2'
HJ, = HJ = HJ2' and/1 = 1=12 up to an h-harmonic measure null
set. In particular, if A is a boundary subset with h-resolutive bound-
ary indicator function 1= lA' there are Borel boundary subsets A1
and A 2 such that the functionsh = lA and/2 = lA are h-resolutive,
h h' h 2 •
that A 1 cAe A 2 , that H f , = H f = HI,' and that A 2 - A 1 IS
h-harmonic measure null.
(g) IfI is h-resolutive, if Do is an open subset of D, and if 10 is defined
on oDo as I on oDo Il oD and as H; on D Il oDo, then fo is h-
resolutive for Do and the PWBh solution on Do for/o is the restriction
of HJ to Do·
(h) For every subset A of oD,
Ht = inf {H~B: oD ::> B::> A, B open in oD},

(6.1)
H~A = sup {H~B: Be A, B compact}.
For each point ~ of D the set function A 1--+ H~i~) is a Choquet

capacity relative to the class of compact boundary subsets.
h-Resolutive Boundaries. Property (e) and its dual for decreasing sequences
imply that if oD is h-resolutive, all bounded Borel measurable boundary
functions are h-resolutive. This result will be extended in Section 8.
7. Proofs for Section 6
Since the proofs do not depend on the choice of h they will be given for
h == 1 to simplify notation. The point is that the assertions in Section 6 are
valid for the PWB method in a very general context.
Proolol(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 ~ Hg • If v is in the upper PWB class for g and if V 1 is a positive
superharmonic function on D with limit + 00 at every point of A, then
v + eV 1 is in the upper PWB class for I whenever e > 0; so Hf ~ Hg quasi
everywhere on D and therefore everywhere on D. 0
Proolol(b). If Hf < + 00, there is a lower-bounded superharmonic function

von D, say v ~ e, in the upper PWB class for f Then v + lei is in the upper
P_WB ~ass for I v 0; so HfvO < + 00. Conversely, if HfvO < + 00, then
Hf ~ HfvO < +00. 0
Prool 01 (c). Redefine I and g to be finite on the harmonic measure null

set on which either function has the value + 00. Then I + g is well defined,
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 iif +9 :s; U + v and (c) follows. 0
Proofof(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 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 1\ g because f 1\ g = - [( - f) v (- g)].
Moreover in treatingf v g we can choose g = 0 because
fv g = [(f - g) v 0] + g.
We assume therefore that f is resolutive and prove that f v 0 is resolutive,
e
with H fvO = LMD(Hf v 0). Choose a point j in each open connected
component of D, and choose v" in the upper PWB class for fwith
for all j. The series Lf (v" - HJ ) 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
+ L(v"
00
LMD(Hf v 0) - Hf )
k
is therefore superharmonic. Moreover this function majorizes Vk and there-

fore is in the upper PWB class for f v O. When k -+ 00, it follows that
iif v 0 :s; LM D(Hf v 0) quasi everywhere on D and therefore everywhere on D.
On the other hand, llJvo majorizes both Hf and 0; so llJvo ~ LMD(HJ v 0)
and (d) follows. 0
Proof of (e). Let f. be a monotone increasing sequence of boundary func-

tions with limit! The first assertion in (e) is trivially true in any open con-
nected component of D on which some iif" is identically + 00. We therefore
decrease D if necessary and assume that iif" < + 00 on D for all n. Choose
a point ek in each open connected component of D, and choose Um in the
upper PWB class for fm with Um(ek) < iifm(ek) + 2- m for all k. The series
1:~ (u m - iifm) of positive superharmonic functions has a superharmonic
sum because the sum is finite at a point in each open connected component
of D. The superharmonic function v" defined by
7. Proofs for Section 6 113
is a majorant of Um for m > n, and Vn is therefore in the upper PWB class for
f, with
lim Hfn(ek) S; Hiek) S; lim Vn(ek) = lim Hfn(ek)'

n-oo n-oo n-oo
Thus the first assertion of (e) is true at each point ek and therefore everywhere
on D in view of the trivial inequality Hf ;::: limn.... oo Hfn . Under the hypotheses
of the second assertion,
so there is equality throught, and the proof is complete. 0
Proof of (f). Suppose first thatfis an arbitrary boundary function. Choose

a point ek in each open connected component of D, and let V. be a decreasing
sequence of members of the upper PWB class for f with limn.... oo Vn(ek) =
Hf(ek) for all k. There is such a sequence v. because the upper PWB class
for fis directed downward. Define 9n(0 = liminf~ ....,vn(") for 'EoD. Then
9. is a decreasing sequence of lower semicontinuous boundary functions
with Borel measurable limit function h ;:::f; so HJz ;::: Hf , and there is
equality on the set e..
Since an upper PWB solution for f is either harmonic
or identically + 00 or identically - 00 on each connected open component
of D, we conclude that Hf2 = Hf • A dual argument (or apply this result to
- f) yields a Borel measureable boundary function f1 with f1 S; f and
Hft = Hf • In particular, iffis PWB resolutive,
so f1 and f2 are resolutive, and the equation Hh - H f, = 0 together with

the inequality f1 S; f S; f2 implies (Section 5) thatf1 = f = h up to a harmonic
measure null set, as was to be proved. Iff = IA is the resolutive indicator
function of a set A, we can replace h [f1] by the indicator function of the
set A 2 = {f2 = I} [A 1 = Lit = I}] to obtain the second part of (f). 0
Proof of (g). If v is in the upper PWB class on D for f, the restriction of v

to Do is in the upper PWB class on Do for fo. Hence the upper PWB solution
oilf 0 on Do for fo satisfies the inequality oHf 0 S; H f on Do· Similarly, ollf0 ;:::
Hf on Do so (g) is true. 0
Proof of (h). Since 11lA = I - H 1oD _ A' only the first equality in (6.1) need
be proved. A function v on D is in the upper PWB class for IA if and only if
on each open connected component of D the function v is either identically
114 l.VIII. The Dirichlet Problem for Relative Harmonic Functions
+ 00 or positive superharmonic with lim inf~ ...., v('1) ~ 1 when' EA. For such
a function v, 0 < rx < 1 implies that lim inf~ ...., v('1) > rx for' in some neighbor-
hood B of A relative to aD, so that v/rx is in the upper PWB class for I B ,
and HI B ~ v/rx. Since
_ (X can be chosen arbitrarily close to 1, the infimum in
(6.1) is at most_ HI A . The inequality in the other direction is trivial. The set
e
function --+ HI A (e) = Rt(e) is a Choquet capacity of boundary subsets
relative to the class of compact boundary subsets according to Section
VI.3(k). [In the present context we have already proved all the desired
properties of this set function except that if A. is a decreasing sequence of
compact boundary subsets with intersection A, then limn....'" HI = HI , and
An A
this fact is elementary in view of the first equation in (6.1).] 0
8. h-Harmonic Measure
Let D be a Greenian subset of IR N , coupled with a boundary aD provided

by a metric compactification of D, and let h be a strictly positive harmonic
function on D. In view of Sections 6(d) and 6(e) the class of boundary subsets
whose indicator boundary functions are h-resolutive is a (J algebra, and if
we define 1l~(" A) = H~A for each set A in this (J algebra, the set function
e
1l~(e,·) is a probability measure for each point of D. The sets of this (J
algebra will be called the 1l~ measurable sets, 1l~ will be called h-harmonic
measure, and Jlt(e,·) will be called h-harmonic measure relative to The h e.
will be omitted when h == 1. Observe that a boundary subset A is an h-
harmonic measure null set in the sense of Section 5 if and only if the set is
1l~ measurable and 1l~(', A) == 0, equivalently, if and only if the function
1l~(', A) has a zero in each open connected component of D. According to
Section 6(f), a boundary subset A is Jlt measurable if and only if there are
Borelllt measurable boundary subsets Al and A 2 such that Al cAe A 2
e
and A 2 - A I is 1l~ null. Thus for in D, Ilt(e,,) is the completion of the
restriction of 1l~(e,·) to the 1l~ measurable Borel boundary subsets if D is
connected. If/is a boundary function, we write Ilt(·,f) for fDf('1)llt(',d'1)
when this integral is defined. Under this convention 1l~(·,A) can also be
written IlM·, lA)' If/is defined on a superset of aD, the notation IlM·,f) is
to be interpreted as 1l~(' ,lioD)' It is trivial that for I a linear combination of
indicator functions of 1l~ measurable sets, the function 1l~(',f) is h-harmonic.
Since a bounded 1l~ measurable boundary function is the limit of a uniformly
convergent sequence of such linear combinations, the function Ilt(·,f) is
h-harmonic if I is bounded and Ilt measurable. If I is a Ilt measurable
boundary function,
Ilt(·, Ifl) = lim Jlt(·, 1/1/\ n) ~

n .... '"
+ 00,
8. h-Harmonic Measure 115
and (Section 11.3) on each open connected component of D the limit is either
identically + 00 or is h-harmonic. If this limit is h-harmonic on D, the
function f will be called JJ.'D integrable; the class of such functions f will be
denoted by L 1 (JJ.'D). Then f ELl (JJ.'D) if and only iff v 0 and f /\ 0 are in this
class and, if so,
Let Do, D 1 , ••• be the open connected components of D, and let aDk be
the boundary of Dk relative to D v aD. Let h be a strictly positive super-
harmonic function on D, and denote by hk the restriction of h to Dk • Letf
be a function on aD, and denote by.h the restriction off to aDk • Then f is
an h-resolutive boundary function for D if and only if.h is h-resolutive for
Dk for all k; f is JJ.'D measurable if and only if.h is JJ.t~ measurable for all k;
fEL1(JJ.'D) if and only if .hEL1(JJ.':J) for all k. When A is a JJ.'D measurable
subset of aD, the function JJ.':J/, A (\ aDk ) is the restriction of JJ.M·, A) to Dk •
Theorem. If D is a Greenian subset Of~,N coupled with a boundary aD provided

by a metric compactification of D and if h is a strictly positive harmonic
function on D, then a boundaryfunctionfis h-resolutive ifand only iffE L 1 (JJ.'D),
equivalently, ifand only iffis JJ.'D measurable with both iiJ and llJ finite valued,
and then
(8.1)
Proof That h-Resolutive Boundary Functions Are JJ.'D Measurable
Let Co be the class of continuous functions from IR into IR with limit 0 at

± 00 and let f be a finite-valued h-resolutive boundary function. The class
of functions ¢ in Co for which ¢(f) is h-resolutive is a vector lattice which
is closed under uniform convergence and which separates points of IR
because the class includes the function x f--+ (1 - Ix - n I) v 0 for n E 7L + .
Hence (Weierstrass approximation theorem) the class is Co' Since the class
of functions ljJ from IR into IR for which ljJ(f) is h-resolutive is a class closed
under bounded monotone convergence [Section 6(e)] and includes Co, this
class includes every bounded Borel measurable function. When ljJ is the
indicator function of an interval in IR, we find that f is JJ.'D measurable.
Finally, iff is an arbitrary h-resolutive boundary function, redefine f as 0 at
its infinities to find an h-resolutive boundary function differing fromf on a
set of h-harmonic measure 0 and thereby to conclude thatfis JJ.'D measurable.
ProofofTheorem 8. Iffis the indicator function ofa JJ.'D measurable boundary

subset, then f is h-resolutive, and (8.1) becomes the definition of JJ.'D. More
generally (8.1) is therefore true if fis a finite linear cotnbination of indicator
functions of J1.~ measurable boundary subsets, that is, iff is an h-resolutive

boundary function taking on only finitely many values, all finite. Denote
this class of boundary functions by r, Apply the dominated convergence
theorem and Section 6(e) to show that if f is a positive and h-resolutive
[J1.~ measurable and integrable] boundary function, then f, as the limit up
to an h-harmonic measure null set of an increasing sequence of positive
functions in r, is in Ll(J1.~) [is h-resolutive], and (8.1) is true. This result
applied to f v 0 and (-f) v 0 shows that an arbitrary boundary function
fis h-resolutive if and only if it is in L 1 (Jl~) and that then (8.1) is true. Finally
we prove that if the boundary functionfis J1.~ measurabl~ with iiJ and HJ
finite valued, thenfELI (J1.~). According to Section 6(b), H;v0 < + 00; so in
view of Section 6(e) and what we have just proved,
Hencefv OELl(J1.~). Similarlyf/\ OELl(J1.~); sofELl(J1.~), as was to be

proved. 0
h-Regularity in Terms of h-Harmonic Measure
If aD is h-resolutive, the condition for h-regularity of a boundary point'

becomes
(vague convergence of measures on aD), where <5~ is the probability measure

supported by {{}; equivalently, ( is h-regular if and only if
limJ1.~(e, A) = I
~-~
whenever A is the trace on aD of a neighborhood of {.
EXAMPLE (a) (Relation between J1.B and J1.; for B Relatively Compact in D).
If Dis Greenian, if h is strictly positive and harmonic on D, and if B is an
open relatively compact subset of D, it was shown in Section 4 that aB is
h-resolutive with HJ = HJh/h. It follows that
(8.2)
EXAMPLE (b) (Extension of Example (a) to Non-relatively Compact B). Let

D be Greenian, provided with a boundary aD by a metric compactification,
and let B be an open subset of D, with boundary aB relative to D u aD.
Let h be a strictly positive harmonic function on D. Then the class of h-
8. h-Harmonic Measure 117
resolutive boundary functions on aB includes the indicator functions of the

Borel subsets of D (1 aB, and for such a subset A and point ~ in B the value
Jl~(~, A) does not depend on the choice of aD. Furthermore (8.2) is true for
,., E D (1 aB when JlB is defined using the Euclidean boundary of B. To prove
these assertions, let A be a compact subset of D (1 aB, define/as the indicator
function of A on aB, and define j' as the indicator function of A on the
Euclidean boundary of B. A function u is in the upper PWB h class on B for/
onaBifand only ifuh is in the upper PWB class on Bforj'h on the Euclidean
boundary. In view of the fact that Euclidean boundaries are resolutive
(Theorem 4), it follows that fit = Hfh/h, where the notation refers to
Dirichlet solutions on B. If e > 0 and if uh is in the lower PWB class on B
forj'h on the Euclidean boundary, then u - e/h is in the lower PWBh class
on B for / on aB. It follows that lJJ ~ Hfh/h. This conclusion implies the
truth of the assertions made above.
EXAMPLE (b) (Continued). An assertion made in Section 4 can now be
strengthened and proved. Suppose in Example (b) that aD is h-resolutive.
Then aB is h-resolutive for B, and if A is a Borel subset of aD,
JlM~, A) = Jl~(~, A naB) + r

JDt"'>iJB
Jl~("', A)Jl~(~, d,.,) (~EB). (8.3)
In view of Example (b) and Section 6(h) it is sufficient to prove that for A
a compact subset of aD the function I At"'> iJB on aB 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 h class on D for the boundary function I A on aD and if VI [UI]
is in the lower [upper] PWBh class on B for the boundary function defined as
Jl~(" A) on D (1 aB and as 0 elsewhere on aB, the difference V2 - VI [u 2 - u t ]
on B is in the upper [lower] PWB h class for the boundary function IAt"'>iJB
on aB. It follows that IAt"'>iJB is an h-resolutive boundary function on aB and
that (8.3) is true.
See Section 3.II.3(d) for the simple (after the necessary foundations have
been laid) probabilistic derivation of (8.3).
Application to the h-Superharmonic Function Inequality
Let u be an h-superharmonic function on D, and let B be an open relatively

compact subset of D. Then the restriction of u to B is in the upper PWBh
class for the boundary function UliJB; so u ~ Jl~(" u). A more delicate result
is the following. Suppose that u is superharmonic and lower bounded on
D, and define a lower semicontinuous boundary function/ on aD by
Then if aD is h-resolutive, we show that I is h-resolutive and that
u ~ Jl.~(-,J). (8.4)
In fact, for nE71.+ the boundary function I 1\ n is h-resolutive [Section 6(d)],

and u is in the upper PWB" class for this boundary function; so
u >
- H"
fAn = r
,,"D(-' 11\ n)
and (8.4) follows. The function! is h-resolutive because it is in L 1(J1.~).
EXAMPLE (c). Let D1 be a Greenian subset of IR N , let D be an open subset

e
of D 1 , and let be a point of D. We consider PWB" solutions on Do = D - {e}
with aDo the Euclidean boundary and h = GDI (e, -)ID0 . Let/be the function
1{~) on aDo. We show that/is a PWB" resolutive boundary function and
has the PWB" solution
(8.5)
In particular, if D = D 1 it follows that Jl.t(-, {en = I on Do. Let u be the

restriction to Do of the function on the right in (8.5). Then u is h-harmonic
and is in the upper PWB" class on Do for the boundary function f The
Green function GD(e, .) has boundary limit 0 at quasi every finite point of
aD and at the point 00 if N > 2 and D is unbounded (Theorem VII.4), and
therefore at quasi every finite point of aDo = aD u {e} and at 00 if N > 2
and D is unbounded. The polar exceptional set A is harmonic measure null
(Section 5), so according to Section 5, there is a positive subharmonic func-
tion won Do with limit + 00 at every point of A. Hence if I: > 0, the h-sub-
harmonic function
GD(e, .) - 1:(1 + w)
GD,(e, -)
on Do is bounded above because (Section I) GD S; GD I , and this h-subhar-

monic function has limit superior S; I at every point of aDo. This function
is therefore in the lower PWB" class fori; so (I: -+ 0) the lower PWB" solution
for I is at least u. Hence u is the PWB" solution for f, as stated in (8.5).
9. h-Resolutive Boundaries
Section 6 implies that a boundary is h-resolutive if and only if the Borel

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
The following theorem gives a useful criterion for this h-resolutivity

condition.
Theorem. A boundary of a Greenian set is h-resolutive if and only if the set

function A 1-+ jjt
= R:/h is additive on the class ofcompact boundary subsets.
Th~ equality jj~A = R:/h was pointed out in Section 2. If oD is h-resolutive

A 1-+ H~A = J.t~(., A) for A compact. To complete the proof of the theorem,
it will be shown that conversely if there is the stated additivity, then the
boundary function lA is h-resolutive whenever A is compact. Let B be a
compact subset of oD - A. By hypothesis
and when B increases to oD - A through a sequence of compact sets, this

equation becomes, in view of Section 6(e),
so that jj~A = Ht· That is, IA is h-resolutive, as was to be proved.

Observation. For an arbitrary boundary the set function A 1-+ jj~A(e) (A
e
compact) is subadditive; so there is additivity for all in D if and only if
e
there is additivity for a point in each open connected component of D.
Application to Balls
The Euclidean boundary of a ball B is universally resolutive. In fact, if h is

a strictly positive harmonic function on B and if M h is the Riesz-Herglotz
measure for h, then (Section IlIA)
(9.1)
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
(9.2)
so that H; = PI (B,fdMh)/h. In particular (h == I), the class of harmonic

measure null boundary subsets is the class of IN-l null boundary subsets;
the class of resolutive boundary functions, that is, the class L 1 (J.tB), is the
class of IN-l measurable and integrable boundary functions; and Hf =
PI(B,f). The class of PWB solutions Hf is thus [Theorem 1I.14(b)] the class
D(J-lB-) 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' is a Euclidean ball boundary
point and if h = K«(, .), then (9.2) implies that J-l~(" gn
== 1. In this case
every boundary function f finite at , is h-resolutive, and HJ = f(O; the
class of PWB h 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
Denote by d~ the Nth coordinate of the point ~ of IR N and define D = {~:

d~ > O}. For" in DIet,,· be the reflection of" in the boundary hyperplane
of D. Then GD is given by
if N= 2
(9.3)
if N> 2
because, as so defined, GD(~") is harmonic on D - g} with the right

singularity at ~ and has limit 0 at every boundary point of D, including 00.
In view of 1(8.5) it is to be expected that J-lD(~' d,,) (Euclidean boundary) is
given by - D n q GD(~' ')IN - 1 (d")/1t,,, augmented possibly by a contribution
from the singleton {oo}. Evaluation of this normal derivative leads to the
density function in (9.4). The IN - 1 integral over IR N - 1 of this density is I; so
the natural conclusion is that J-lD(~' d,,) is given by
J-lD(~' {oon = o. (9.4)
In fact this evaluation of J-lD is correct because it is easily checked that iff
is a finite continuous function on aD, the function J-lD(',f), as defined using
(9.4), is harmonic on D with boundary limit function! The function J-lD(',f)
is called the Poisson integral off, just as in the ball case. Just as in the ball
case, to each boundary point" of D corresponds a minimal positive harmonic
function K(",·) on D, a constant multiple of the harmonic measure density
in (9.4) for that value of", with a special provision for" = 00. More specif-
9. h-Resolutive Boundaries 121
ically, if eo is a point of D with d~o = 1 and if K is normalized to make

K(o, eo) == 1, then
d~elN I" - eol

j I N
if" # 00
K(", e) = "- (9.5)
d~ if" = 00.
It is shown that each function K('1, 0) is minimal harmonic by showing that

there is a Riesz-Herglotz-type representation of an arbitrary positive
harmonic function on D by means of a unique measure M u on aD:
u(e) = r K«(, e) MjdO·

JOD
(9.6)
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 IR N , there is a universally resolu-
tive and universally internally resolutive boundary aMD, the Martin bound-
ary, and a function K on aM D x D, such that K(", 0) is a minimal positive
harmonic function on D when" is in a certain subset a~ D of aMD, 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 =
aMD.
The PWB Method and the Fatou Boundary Limit Theorem
According to Theorem 11.15, if h is a strictly positive harmonic function on

a ball B, the Dirichlet problem solution HJ = PI(B,fdMh)/h has nontangen-
tial limit /(0 at M h almost every boundary point (. This fact is at least a
partial justification of the PWB method. Furthermore, if D is an arbitrary
Greenian subset of IR N , provided with a boundary by a metric compactifica-
tion, and if/is an h-resolutive boundary function, then (Theorem 3.11.2) HJ
has / as a boundary limit function along h-Brownian paths from a point of
D to the boundary in the sense that almost every such path tends to some
boundary subset A depending on the path (A is a singleton if the boundary
is h-resolutive),fis constant on each set A, and HJ has limit/(A) along the
path.
10. Relations between Reductions and Dirichlet Solutions

Let D be a Greenian set provided with a boundary oD by a metric com-
pactification of D, and let B be an open subset of D with boundary oB
relative to D U oD. Let h be a strictly positive harmonic function on D,
and let u be an h-superharmonic function on D. Define a function f on
oB by setting f = u on D (') oB and (if B is not relatively compact in D)
f = 0 on oD (') oB. Observe that a function on B in the upper or lower PWBh
class for f will be in the same class for any other choice of oD and corre-
sponding choices of oB and off The simplest choice for oD in this context
is the Alexandrov compactification one-point boundary.
(a) If u ~ 0, the functionfis an h-resolutive boundary function for B,
with PWBh solution the restriction to B ofhR~-B and
u(J:) > J1.h(J: ul ) = J1.B(~' uhl D ) (~EB). (10.1)

'> - B ,>, D h(~)
If B 1 and B2 are open subsets of D with B 1 c: B 2 , then
(10.2)
In proving these assertions we assume, as we can without loss ofgenerality,

that oD is the one-point boundary. Since this boundary of D is trivially
h-resolutive, it follows [Section 8, continuation of Example (b)] that oB is
h-resolutive. If u' is a positive h-superharmonic function on D and majorizes
u on D - B, !.hen the function U'IBjS in the upper PWBh class on B for f;
so hR~-B ~ H;. Since 0 ~ 8; H;,
~ we conclude (Theorem 8) that f is
h-resolutive with H; ~ hR~-B. In the other direction, if u' is now a function
on B in the upper PWBh class on B for the boundary function f, then the
function u' 1\ (uI B) is also in this class and, when extended to D by u, is a
positive h-superharmonic function on D majorizing u on D - B and there-
fore majorizing hR~-B on D. Hence il;
= H; ~ hR~-B on B; so there is
equality on B; that is, in terms of h-harmonic measure, J1.i(·,uI D ) = hR~-B
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 (') oB 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 r of h-superharmonic functions on D majorizing v on D - B is J1.k, u),
the PWBh solution on B for the boundary functionf = UlcB' Finally, (10.2)
remains true in the present context, and in this context ul D = u on B. If
B 1 and B 2 are balls of center ~ and if h == I, the inequality (10.2) reduces
II. Generalization of the Operator r: and Application to GM h 123
to the fact that the function n--+ L(u,~, r) is a decreasing function for
0< r < I~ - aDI·
11. Generalization of the Operator 't~ and Application to G M h

If u is an h-superharmonic function on an open subset D of ~N and if B
is an open relatively compact subset of D, we define t;U as the smoothed
infimum of the class of h-superharmonic functions on D, majorizing u on
D - B, so that t~U is h-superharmonic on D, equal (Section 10) on B to the
PWBh solution J.L~(., u), and equal to u quasi everywhere on D - B, in
particular, equal to u on the interior of D - B. When B is a ball, this defini-
tion agrees on D - aB with the Section 11.1 definition of tBU and the Section 1
definition of t;U, and therefore the definitions agree everywhere on D
because two h-superharmonic functions equal IN almost everywhere are
equal everywhere. Obviously, in all cases t~ 1 u ~ t~ 2 u when B 1 C B z . If u
is h-subharmonic, t~U is defined as - t~( - u).
In view of Section III.l [especially Observation (a)] as generalized
trivially to allow arbitrary h and of the present extended definition of t~,
if D is a Greenian set, if B. is an increasing sequence of open relatively
compact subsets of D with union D, and if u is an h-superharmonic function
on D, the limit of the decreasing sequence t~. u of h-superharmonic functions
is, on each open connected component of D, either identically - 00 or
h-harmonic and, if h-harmonic on D, is GM~u. That is,
GM~u = n-oo"'"
lim t~ u = lim J.L~ (., u)
"-00 un
(11.1)
if u has an h-subharmonic rninorant. In particular, an h-potential u is

characterized among the positive h-superharmonic functions on D by the
condition limn_<x>J.L~(·,u) == O.
A related result is the following, in which u is supposed positive !o make
reduction notation possible. Let D, h, and B. be as in the preceding paragraph,
let u be a positive h-superharmonic function on D, define a bounary aD for
D by a metric compactification, and write 15 for D u aD. Then if A C 15,
(11.2)
We prove this for h == 1 to avoid irrelevant notational complexities, and

we use the alternative reduction notation because iterated reductions will be
needed. Observe that
and we have just proved that the limit (n ~ (0) on the left is GMD~U~A; so in
(11.2) the left side is at least equal to the right side. In the other direction,
~ ~U~A r-B,. ~ ~ ~U~A-B", ~D-B,. + ~ ~U~A"B", ~D-B,.

~ ~U~A-B", + ~ ~U~A"B", ~D-B,..
When n -+ 00, this inequality yields
GMD~U~A ~ lim ~u~A-B",

m-c:o
+ GMD~U~A"B""
and the last term vanishes because A n Bm is relatively compact in D; so
~u~A"B", is a potential. Hence in (11.2) the left side is at most equal to the
right side so there is equality.
A Local Property of .h
If u is an h-subharmonic or h-superharmonic function and if B. is a decreasing
sequence of open relatively compact subsets of D with intersection ~, then
limn_c:o .~u(~) = u(~). In fact the proof for h == I and B. a sequence of balls
of center ~ [see Section II.6(f) for this result in a slightly different context]
is applicable in the general case.
12. Barriers
Let D be a Greenian subset of IR N , coupled with a boundary aD provided
by a metric compactification, let h be a strictly positive harmonic function
on D, and let' be a point of aD. Usable conditions that' 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 lim~-+< U(11) = 0 and if (*) infD-B u > 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 lim inf~_~ U(11) > 0 for ~ in aD - {n.
As usual, h will be omitted from the notation and the nomenclature when
h==1.
Local Nature of the Existence of an h-Barrier
Let Do be an open subset of D with boundary that relative to the topology

of D u aD, and let ho be the restriction of h to Do. Then if' is a common
boundary point of Do and D, the restriction to Do of an h-barrier for D at
, is an ho-barrier for Do at " Conversely, if some neighborhood of' has
the same trace on Do as on D, the existence of an ho barrier Uo for Do at'
implies the existence of an h-barrier for D at C. In fact, let B be the trace
12. Barriers 125
on Do ofsome open neighborhood of( so small thatD (\ oB = Do (\ oB"# 0,

and set IX = infDo-Bu o ' Then IX> 0, and if u is defined as IX /\ U o on D (\ B
and as IX on D - B, the function u is an h-barrier for D at (. Thus the existence
of an h-barrier for D at ( is a local property of D near (, depending on h.
Lemma (Euclidean Boundary, h == I). If there is a weak barrier at a boundary

point (, there is a barrier at the point.
If N > 2 every unbounded open subset D of IRN has a barrier at the point
00, namely, the restriction of the function G(O, .) to D. An unbounded open
subset D of 1R 2 has a [ weak] barrier at the point 00 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 ( in
question is finite. In view of the fact that the existence of a barrier at ( 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 J < + 00 and that u is a weak barrier for
D at the boundary point (. Define 4J(Y/) = IY/ - (I andf = 4J1DD' The function
4J is subharmonic, and 4J1D is in the lower PWB class on D for f Hence
°
Hi ;::: 4J on D, and it will be shown that Hi is a barrier for D at ( by showing
that Hi has limit at (. Fix r > 0, let B = B(C r), let A be a compact subset
of D (\ oB, and let ljJ be the indicator function of (oB - A) (\ D on oB,
so that PI(B, ljJ) is harmonic on B with limit I at every point of oB - A.
If U o is in the lower PWB class on D for f, the function U o on B (\ D is at most
r if oB does not meet D and (by the maximum theorem for subharmonic
functions on B (\ D) is at most r + Ju/infA u + JPI(B, ljJ) if oB does meet D.
Thus in both cases
Ju
Hf :::; r + -=--f + JPI(B, ljJ) (12.1 )
lOU
A
on B (\ D. The sum on the right has limit r + JPI(B, ljJ)(O at C and this
°
limit is at most 2r if A is sufficiently large. Since r is arbitrary, the function
Hi has limit at (, as was to be proved.
EXAMPLE (a). If h is a strictly positive harmonic function on D with a finite

continuous strictly positive extension to i5, then if u is a barrier for D at
a boundary point (, the function u/h is an h-barrier for D at (.
EXAMPLE (b) (Euclidean Boundary, h == 1). If D is unbounded and N> 2,

we have already noted that the function G(O,') is a barrier for D at the
point 00.
EXAMPLE (c)(Poincare)(Euclidean Boundary, h == 1). If (is a finite boundary

point of D with the property that some closed ball meets i5 at ( but at no
other point the restriction to D of the function G(e, 0 - G(e, .), with ethe
ball center, is a barrier for D at (.
We shall show in Section 15 that it is sufficient for the existence of a barrier

at ( if in this Poincare criterion the ball is replaced by a cone with vertex (.
EXAMPLE (d) (N = 2, Euclidean Boundary, h == 1). If ( is a finite boundary

point of D and if there is a simple continuous arc with initial point (, in
~2 - D except for (, then there is a barrier for D at (. In fact, if B is a ball
of center ( so small that the arc hits aB, let Bo be B less the part of the arc
from Cto the first hit of aB. Then Bo is simply connected; so the function
loge· - 0 has a single-valued analytic branch 4> in Bo . The restriction to
B (') D of the real part of 1/4> is a barrier for B (') D at C; so there is a barrier
for D at (.
13. h-Barriers and Boundary Point h-Regularity

Theorem. Let D be a Greenian subset of ~N, coupled with a boundary aD
provided by a metric compactification. If there is an h-barrier for D at the
boundary point Cand iffis an upper bounded boundary function, then
(13.1)
in particular, iffis bounded and is continuous at (, then
(13.2)
and therefore Cis h-regular.
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 Cso small
thatf:::; b in the neighborhood, and let () be the infimum of u outside D (') B.
Choose n so large that b + n{) exceeds the supremum of f The function
b + nu is in the upper PWBh 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 of f on a set of h-harmonic measure 0 does
not change llJ or ilJ, the point" can tend to Con the right side of (13.1)
on the complement of such a boundary set, and f(O can be omitted on the
right hand side if {C} is h-harmonic null, as is true when h == 1 and aD is
the Euclidean boundary, unless N > 2 and C= 00. This extension ofTheorem
13 reduces to Theorem ILl when D is a ball, h == 1, and aD is the Euclidean
boundary.
14. Barriers and Euclidean Boundary Point Regularity 127
14. Barriers and Euclidean Boundary Point Regularity
Theorem. (Euclidean Boundary, h == 1). A boundary point is regular if and

only if there is a barrier at the point.
If there is a barrier at a boundary point, the point is regular by Theorem 13.

Conversely, suppose that the point' is a regular boundary point of the
Greenian set D. If N > 2 and if' = 00, there is a barrier, exhibited in Section
12, Example (b). If N = 2 and' = 00, make' finite by an inversion in a
sphere with center a finite boundary point. Thus' can be supposed finite
in proving the existence of a barrier there.
If D is bounded, definef= I· - 'lieD and u = I· - "ID' Then u is subhar-
monic and is in the lower PWB class on D for f; so Hf ~ u, and Hf is a barrier
at' because (regularity of 0 Hf has limit 0 at ,. If D may not be bounded, the
cases N > 2 and N = 2 will be treated separately. If N > 2, definefand u as
the restrictions to aD and D, respectively, of I:f n- 3 [n - G(C·) 1\ n], with
f( 00) = I:f n- 2 if 00 E aD. The functionf is a finite-valued continuous posi-
tive boundary function vanishing at , and only there, and the function u is
a continuous positive subharmonic function in the lower PWB class for f;
so Hf ~ u. Moreover Hf has limit 0 at , because' is regular. Hence Hf is
a barrier at ,. If N = 2, let B be a ball of center' so small that D 1 = DuB
is Greenian. The function I:f n- 3 [n - GD • (',.) 1\ n] is a positive bounded
subharmonic function on D 1 . Define u as the restriction to D of this function,
and define fat each point 1] of aD by f(r,) = lim sup~ ....~ u(~). Thenfis positive,
bounded, upper semicontinuous, and vanishes at , and only there. The
function u is in the lower PWB class for f on D; so Hf ~ u. Moreover Hf
has limit 0 at , because' is regular. Hence Hf is a barrier at ,.
Application (a): Local Property of Regularity. (Euclidean Boundary,
h== 1.) Since the existence of a barri~r at a boundary point is a local property
of a Greenian set D near the point~ regularity at a point of the Euclidean
boundary is also a local property of D near the point.
Application (b): Regularity of a Boundary Point of a Disconnected Set.
(Euclidean Boundary, h == 1.) Let D be a Greenian subset of IR N , let' be a
boundary point of D, and let D l ' D 2 , ••. be the open connected components
of D with boundary point ,. Then' is a regular boundary point of D if and
only if' is a regular boundary point of each set Dk • In one direction, if' is
a regular boundary point of D, the restriction to Dk of a barrier for D at ,
is a barrier for Dk • Conversely, if' is a regular boundary point of each set
Dk and if Uk is a weak barrier for Dk at " then the function u defined on D
by setting u = 2- k (Uk 1\ 1) on Dk is a weak barrier for D at ,.
Application (c): Regularity of a Boundary Point in Terms of the Green
Function. (Euclidean Boundary, h == 1.) A boundary point' of a Greenian
set D is regular if and only iflim".... ~ GD(~' 1]) = 0 for some (equivalently every)
point of each open connected component of D with boundary point ,. In view

of application (b) we can assume in the proof that D is connected. If the
condition on GD is satisfied for a single point ~, the function GD(~'·) is a
weak barrier at ,; so , is regular. If N > 2 or if N = 2 and if D is bounded,
the expression for GD(~'·) in terms of a Dirichlet solution (Section 3) implies
the truth of the converse, for all ~. The following proof of the converse is
valid in all cases. If' is regular and if u is a barrier for D at " let ~ be a point
of D, and let Be be the set {GD(~'·) > c}, where c is a constant chosen so
large that Be is relatively compact in D. Such a choice is possible because
GD(~'·) is bounded in a neighborhood of aD. Choose n so large that nu > c
on Be. Then (Section VII.3) GD(~'·) :::; nu outside Be; so GD(~'·) has limit 0
at '"
Application (d): Relative Boundaries. If D is a Greenian subset of IR N ,
provided with a boundary aD by a metric compactification, if h is a strictly
positive harmonic function on D, and if B is an open subset of D with relative
boundary oB in D u aD, then quasi every point of oB in D is h-regular
because if u is a local barrier for B at a boundary point of Bin D, then u/h
is a local h-barrier for B at the point and (Section 12) can be extended to B
to be an h-barrier there.
Application (e): The Kelvin Transformation and Regularity. (Euclidean
Boundary, h == 1.) We use here the notation of the discussion in Section 2
of the PWB method and the Kelvin transformation. If , is a regular finite
boundary point of D, then its image under inversion in a sphere is a regular
boundary point of D' because if u is a barrier for D at " the Kelvin transform
of u is a barrier for D' at <pm except possibly when N > 2, and the inversion
sphere has center ,. In this case, however, the image of' is the point 00,
which is a regular boundary point of every unbounded Greenian set when
N > 2 (Theorem 4). If N > 2 and if 00 is a (necessarily regular) boundary
point of D, the image of 00 under an inversion mayor may not be a regular
boundary point of D'. If N = 2 and if 00 is a regular boundary point of D,
the image of 00 under an inversion is a regular boundary point of D' because
the Kelvin transform of a barrier for D at 00 is a barrier for D' at the image
of 00.
15. The Geometrical Significance of Regularity (Euclidean

Boundary, h := 1)
If' is a boundary point of D with the property that some neighborhood of

, meets aD in a harmonic measure null set, the point' is irregular because
a PWB solution Hf is not affected by a change off on such a set. This fact
together with Poincare's criterion [Section 12, Example (c)] for the existence
15. The Geometrical Significance of Regularity (Euclidean Boundary, h ;: I) 129
of a barrier suggests that regularity of " equivalently, the existence of a

barrier at " amounts to the requirement that D not fill up "too much" of
a neighborhood of (. Thus an isolated finite boundary point ( is irregular
because {n is polar and therefore harmonic measure null, and when N = 2,
the point 00 (if an isolated point of aD) is irregular because D can be mapped
into a Greenian set by an inversion leaving harmonic measure invariant
and taking 00 into a finite boundary point. The point 00 is exceptional in
that when N> 2, the harmonic measure J.lD(·, {oo}) may be strictly positive
and, in fact, is identically 1 when D = IR N • (Recall that when N> 2, the
point 00 is a regular boundary point of every unbounded Greenian set.)
It will be shown in Section XI.l2 that a finite boundary point ( is regular if
and only if ( is a limit point of IR N - D in the fine topology, and this criterion
will be stated probabilistically in Section 2.IX.15.
Poincare-Zaremba Regularity Criterion
Poincare's regularity criterion [Section 12, Example (c)] was improved to

the following: if ( is a finite boundary point of D with the property that
some open solid cone of revolution with vertex ( does not meet D in a
neighborhood of (, there is a barrier at (so (is a regular boundary point).
In view of the discussion of barriers in Section 12, it is sufficient to prove
that if A is a closed cone of revolution with vertex the origin and if D =
e) e
B(O, 1) - A, then D has a barrier at the origin. Define <p( = I Iand / = <PloD'
Since <P is subharmonic on D, <PID is in the lower PWB class on D for /;
so HJ ~ <PID' and we show that HJ is a barrier at the origin by showing that
HJ has limit 0 there. Let Do be the part of D at distance <! from the origin.
Observe that HJ :::; Ion D and that HJ has limit/at every point of aD - {O}
because (Poincare criterion) every point of aD - {O} is regular. By the
harmonic function maximum theorem IX = SUPDo HJ < 1. The function
el---+Hie) - (IX v !)HJ (2e) is a bounded harmonic function on Do and has
a negative limit at every point of aDo - {O}. Hence (Section Y.?) by the
extended harmonic function maximum theorem Hie) - (IX v !)HJ (2e) :::; 0,
and therefore
so the superior limit is 0, as was to be proved.
Strengthened Poincare-Zaremba Criterion
In the preceding proof, if A 1 is an (N - 1)-dimensional hyperplane containing

the axis of the cone A, AnAl is a flattened cone, and the preceding proof
with A replaced by A n A 1 is valid with trivial changes. Thus a finite boundary
point of an open subset of IR N is regular if some flattened cone in this sense
has vertex ( and does not meet D in a neighborhood of (. The reader is

invited to strengthed this criterion still further by weakening the conditions
on AI'
Regularity of Classical Boundaries: The Lebesgue Spine
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 e of 1R 3 by its coordinates e(l), e (2 ), e (3 ),
let A be the closed line segment with endpoints the origin and the point
(1,0,0), and let Ji. be the measure supported by A and determined by Ji.(de) =
e(l)ll (dell). The potential GJi. has value I at the origin, value + 00 elsewhere
on A, and limit 1 at the origin along the negative e(l) axis. The set D =
g¥-O: GJi.(e) < 2} is a solid of revolution about the e(l) axis, includes the
negative e(l) 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. Iff is the boundary function equal to 2 at the finite
boundary points of D and equal to 0 at 00, thenfis resolutive because the
Euclidean boundary is always resolutive. Moreover Hf is the restriction of
GJi. 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 {O} is a harmonic measure null set. The origin is not a regular boundary
point of D because Hf has limit 1 at the origin along the negative ell) axis.
16. Continuation of Section 13

Let D be a Greenian subset of IR N , provided with a boundary oD by a metric
compactification, and let h be a strictly positive harmonic function on D.
(a) If oD is h-resolutive and if ( is an h-regular boundary point with
Ji.i(·,{O) < I, then there is a weak h-barrier at (. In fact, if An is the part
of the boundary at distance ;C;r n from" the function ~~2-nJi.i(·,An) is a
weak h-barrier at (.
(b) If oD is h-resolutive and if (is a boundary point with Ji.i(·, {O) == I,
then ( is necessarily h-regular, but there may be no weak h-barrier at (.
For example, if h == I and if aD = {O is the one-point boundary, then it is
trivial that aD is resolutive and that Ji.D(o, {O) == 1. In this case there can in
general be no weak barrier u for D at ( because such a function would be a
strictly positive superharmonic function on D with limit 0 at every Euclidean
boundary point of D. Then u would be a weak barrier for D at every Euclidean
boundary point; so the Euclidean boundary would be regular, and this
regularity would be a restriction on D.
17. h-Harmonic Measure JJt as a Function of D 131
17. h- Harmonic Measure tJ.~ as a Function of D
Theorem. Let D be a Greenian subset of ~N provided with a boundary aD by

a metric compactification, let h be a strictly positive harmonic function on D,
and suppose that aD is h-resolutive. Boundaries of subsets of D are to be
relative to D u aD.
(a) If Do is an open subset of D, then aDo is h-resolutive and
(17.1)
on Do whenever A is a Borel subset of aDo 11 aD.

(b) If D. is an increasing sequence of open subsets of D with union D,
e
then for in D,
(17.2)
(vague convergence on D u aD). Moreover, if eE D m and if A is a

Borel subset of aDm 11 aD, then
The h-resolutivity of aDo was proved in Section 8. Inequality (17.1) is a

trivial consequence of (8.3), and (17.3) is simply a repeated application of
(17.1). To prove (17.2), it will be shown that iffis a finite-valued continuous
function on D u aD, then
lim JLin (.,f) = JLi(.,f). (17.4)

n-a)
If u is in the upper PWBh class on D for fjoD and is bounded, extend u to u'
on D u aD by setting u'(O = lim inf~_~ u(rt) for' E aD. Then if e> 0, the
function u' + e - fis lower semicontinuous on D u aD, strictly positive on
aD, and therefore also strictly positive on aDn for sufficiently large n. Hence
for sufficiently large n the restriction to D n of u + e is in the upper PWBh
class on Dn for the boundary function fjoD; so JLin(·,f) ::; u + e on Dn. It
follows that lim SUPn_oo JL~n (.,f) ::; JL~(.,f), and this inequality together with
the corresponding inequality for - fyields (17.2).
Application. In Theorem 17 suppose that h == I and that aD is the Eucli-
dean boundary. Let D: be an increasing sequence of subsets of D u aD, open
relative to D u aD, define Dn = D 11 D~, and suppose that UO'Dn = D.
Suppose that At is a subset of D u aD, open relative to D u aD, and that
At c D~ for sufficiently large n. Then if A is a Borel subset of At 11 aD and
ifeED,
lim J.lD
n-OQ "
(~,A) = J.lD(~,A). (17.5)
To see this, define A 2 = A 1 (') aD, and observe that if n is so large that ~ E D n
and A l C D~, then J.lDn (~,Al) = J.lDn (~,A2) and J.lD(~,Al) = J.lD(~,A2)' In view
of the vague convergence in Theorem 17(b),
and in view of (17.3) with A = A 2 , inequality (17.6) implies that (17.5) is

true when A = A 2 . Now by the monotoneity in (17.3),
lim J.lDn (~, A)

n-oo
:$ J.lD(~' A),
for A C A 2 , and since the sum of these two inequalities yields an equality,
there must be equality in each; that is, (17.5) is true.
18. The Extension G; of GD and the Harmonic Average

JlD(~' G;('1, 0»
When DeB
In the following theorem D and Bare Greenian subsets of IR N with DeB,
and boundaries are Euclidean. Recall from Section VIlA that for ~ in D
the function G;(~,') is an extension of GD(~") to IRN , subharmonic on
IRN - {~}, vanishing on IR N - jj and quasi everywhere on IR N (') aD, with
«( E IR N (') aD). (18.1 )
In particular, if ( is a finite regular boundary point of D, the function

G;(~,') is continuous at ( with value 0 there; if D is not bounded, this
function has limit 0 at 00 when N > 2 and also when N = 2 if 00 is a regular
boundary point of D.
In discussing J.lD(~' G;('1,·n when D is unbounded and N = 2, the value
assigned to G; ('1, 00) is irrelevant because (Section 5) the singleton {oo} is
J.lD null. When N > 2 and D is unbounded, the singleton {oo} may not be
J.lD null, but we define G; ('1,00) = 0, corresponding to the fact that G; ('1, .)
has limit 0 at 00.
If u is a superharmonic function on a superset of D, we write GMDu
instead of GMD(uID)'
Theorem. (a) For each '1 in B the function G;('1, ')laD, defined as 0 at 00
if D is unbounded, is a resolutive boundary function.
(b) If~ED,then
(18.2)
18. The Extension Gj; of GD and the Harmonic Average JlD (e, G8 (1/, ,» When DeB 133
that is,
(18.2')
(c) lfv = GBv is a superharmonic potential on Band ifv i is the projection

of v on the set of irregular boundary points of D in B, then on D,
(18.3)
If D is relatively compact in B, (18.3) is true whenever v is a superharmonic

function on B and v is its associated Riesz measure.
Observation (l). If 1'/ E D, (18.2) becomes
[(e, I'/)ED x D], (18.4)
and we thereby have found the important symmetry relation
[(e, 1'/) ED x DJ. (18.5)
Note that we can take B = IR N 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 = 1R 2 if and
only if 1R 2 - D is not too sparse near 00, more precisely, if and only if Dis
bounded or if unbounded D has 00 as a regular boundary point.
Observation (2). If we write IlD(e,')IB for the restriction of the measure
IlD(e,,) to the class of Borel subsets of B, then according to Theorem 18,
[(e, 1'/) ED x B]; (18.6)
e
so for fixed in D the potential GB[IlD(e, ')IB] is a finite-valued superharmonic
function on B. Thus Theorem 18(b) implies that the measure on IRN - {e}
associated with the superharmonic function -G~(e,·) on this set is the
restriction of the harmonic measure IlD(e,,) to the class of Borel subsets
of IRN - {e}.
Proof of (a). For 1'/ in B define In on aD as GD(I'/, .) on B ( l aD and as 0 on

aB ( l aD. Since G;(I'/,') = 0 at quasi every point of aB, assertion (a) states
that the function f" is a resolutive boundary function. This fact was proved
in Section 10 (but observe that the notation here reverses the roles of D and
B in Section 10). 0
Proof of (b). (When I'/EB-aD.) Ifl'/EB, the function GB(I'/,')ID is in the

upper PWB class on D for the boundary function f". If I'/EB - aD, the
function GMDGB (",.) is in the lower PWB class on D for /" when/" is in-
creased to + 00 on the polar set of irregular boundary points of D. Since a
change of boundary function on a polar set does not change PWB solutions,
("eB - aD), (18.7)
and since the middle term in (18.7) is harmonic, the last term can be replaced
by GMDGB (",.) to yield the equality
("eB - aD). (18.8)
Under this equality equation (18.2) with" in D reduces to the expression

for GD in terms of GB derived in Section VII. I [see VII(I.2) J. If" e B - D,
(18.2) reduces to
(eeD),
and since GB (', rf} is harmonic on D, this equation is a trivial consequence

of (18.8). Thus we have proved (18.2) for" in B - aD.
We now prove
[(e,'1)eD x BJ. (18.9)
We shall need this symmetry relation which is a special case of a fundamental

e
symmetry relation to be derived in Section X.3. For and 'I in D equation
(18.9) reduces to (18.5) [see Section lO(a)], and (18.5) is true because, as
just proved, (b) is true when 'I is in D. Thus, if (e, ,,) e D x (B - D), equation
(18.9) is true if D is enlarged to D u B('1, lin) with I" - aDI < lin. When
n --+ 00, it follows [from Section VI.3(e)] that (18.9) is true if D is replaced
by D u {,,} and therefore is true with no replacement because [by Section
VI.3(c)] a smoothed reduction is unchanged if the target set is changed
by a polar set.
(b) (When 'Ie B n aD.) Suppose first that 'I is a regular boundary point
of Din B. With this choice of '1, (18.2') reduces to
(18.10)
or equivalently [Section lO(a)],
(18.11)
Now in view of the symmetry of the left side of (18.10), proved above, and
of the special lower semicontinuity property 11(6.1) of superharmonic func-
tions,
18. The Extension G; of GD and the Harmonic Average JlD (~, G;(",·» When DeB 135
~GB('1,') ~B-D(~) = ~GB(~") ~B-D('1)
= liminqGB(~' .)~B-D(O 1\ liminf ~GB(~' .)~B-D(O,

D3'-~ B-D3'-~
(18.12)
and if convenient, , can be allowed to tend to '1 on B less an arbitrary IN

null set. The first limit inferior in (18.12) can be written in the form
lim infD 3,-~JLD(" GB(~") 1B), and since' is a regular boundary point of D,
the limit inferior is actually a limit and is GB(~' '1). Since ~GB(~' .)~B-D =
GB(~") quasi everywhere on B - D, the second limit inferior in (18.12)
is GB(~' '1) unless some neighborhood of '1 meets B - D in an IN null set,
in which case we can ignore this limit inferior. Hence (18.11) is true. We have
now proved that (b) is true if '1 either is in B - aD or is a regular boundary
point of Din B; so (b) is true for quasi every point '1 of B. Since the two sides
of (18.2) are equal when '1 = ~ and define subharmonic functions of '1 on
B - {e}, these two sides are equal for all '1 in B, and the proof of (b) is
complete. 0
Proof of (c). If v = GBv, apply (18.2) to find that
(18.13)
and then an application of the linear operation GM D 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. 0
Application to the Vanishing of h-Potentials at the Boundaries of Their

Domains
Let D be a Greenian subset of IRN , let h be a strictly positive harmonic

function on D, let u = GDvJh be an h-superharmonic h-potential on D,
and define Dc = {u > c}, for c > O. Then Dc is an open subset of D, and we
now prove that if Dc is not empty, then (Euclidean boundaries)
Define v = GDv. We can assume that uS; c + I, that is, v S; (c + l)h, be-
cause Dc is unaltered if we replace u by u 1\ (c + 1). The measure v vanishes
on polar sets because v is finite valued; so (Theorem 18)
(18.14)
Now on the one hand (GM Dv)jh = hGM Dvon De and on the other hand
(Section lO(a» the evaluation ~~e (., ul D) = P.De (., vlD)h combined with (18.14)
yields
(18.15)
The left side of (18.15) is a majorant of the constant function c and u:s; c
on D n oDe by lower semicontinuity of h-potentials, so (18.15) implies that
c :s; CJl~{-, D n oDe) and we conclude that there is equality here and therefore
that Jl~e(., aD noDe) == 0, as asserted.
19. Modification of Section 18 for D = 1R 2
In Section 18 the set B is Greenian and so cannot be chosen to be ~N unless

N> 2. In this section N = 2, the set D is a Greenian subset of ~2, and the
work in Section 18 is adapted to the choice B = ~2. As in Section 18 the
topology defining boundaries is the Euclidean topology. We adopt the
convention that G(e, (0) = - 00. The counterpart of the Section 18 set
oB n oD is the empty set if D is bounded and the singleton {<X)} if D is
unbounded. Recall from Section 5, Example (a), that when D is unbounded,
the singleton {<X)} is a JlD null boundary set. According to the following
theorem, an awkward new term appears in the counterpart of (18.2).
Theorem. (a) For each" in ~2 the function G(",·) is a resolutive boundary

function; that is, this function is in L 1 (JlD)'
e
(b) If ED, then
(19.1)
where 4JD is a positive harmonic function on D, defined in (19.10), and

(bl) 4JD has limit 0 at every fznite regular boundary point of D.
(b2) 4JD is bounded on bounded sets.
(b3) 4JD = 0 if D is bounded.
(b4) if D is unbounded and connected, 4JD == 0 if and only if 00 is a regular
(c) If v = Gv is a superharmonic potential on ~2 and if Vi is the projection
ofv on the set offinite irregular boundary points ofD, then on D,
(19.2)
If D is bounded, (19.2) is true with 4JD == 0 whenever v is a superharmonic

function on Dand v is the associated measure.
19. Modification of Section 18 for D = 11I 2 137
Observation ( 1). If" ED, then (19.1) becomes
[(e,,,)ED x DJ. (19.3)
According to (b3) and (b4), the following two important implications of

(19.3) are true if and only if <PD = 0, that is, if and only if D is bounded or
is unbounded with regular boundary point 00 :
GD(e,,,) = G(e,,,) - JlD(e,G(", 0» [(e,,,)ED x D], (19.4)
JlD(e, G(", 0» = JlD(", G(e, 0» [(e,,,)ED x DJ. (19.5)
According to Section 18, Observation (I), both these relations are true when
N> 2 with no restriction on the nonempty open subset D of IR N . 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
GMDG(e,o) = JlD(e, G(", 0» when N = 2. If there is no restriction on D, the
difference between left and right sides of(l9.5) is <PD(e) - <PD(")'
Observation (2). If , is a finite regular boundary point of D or is an
inner point of 1R 2 - D, equation (19.1) yields
(19.6)
Observation (3). According to Theorem 19, the integral
(19.7)
is well defined and finite; so for fixed e in D the potential GJlD(e, o) is a

finite-valued superharmonic function on 1R 2 . [There is a slight abuse of
language here because when D is unbounded, JlD(e, o) is not a measure of
subsets of 1R 2 , but we have already noted that JlD(o, 00) = 0 in the present
context.] In view of (19.7) Theorem 19(b) implies that the Riesz measure
on 1R 2 - g} associated with the superharmonic function - G~ (e, 0) on that
set is JlD(e, 0).
Proof of (a). For" E 1R 2 - D and, if D is bounded, for" E aD. If we define

f" = G(", o),oD' the function f" is resolutive under the stated restrictions on
" and D because Euclidean boundaries are resolutive and
if"ElR 2 - aD,
if"EaD, D bounded.
(19.8)
0»
The function '1'--+ JlD(~' G(rr, = JlD(~'f,,) is the potential for the kernel G
of the measure J1.D(~' 0) and is superharmonic because it is finite on 1R 2 - aD.
Proof of (19.1) when D is bounded. If D is bounded and if B = B(O, b)
contains fl, then
(19.9)
according to Theorem 18. Furthermore according to the formula for GB

in 11(1.1),
where h" is a symmetric function on B x B and h,,(~, 0) has a harmonic

extension to a neighborhood of ii. If this evaluation of GB is substituted
in (19.9), we obtain (19.1) with <PD == 0.
Proof of (a) and (19.1) when D is unbounded. If D is unbounded, let B'.
be an increasing sequence of relatively compact open subsets of 1R 2 with
union 1R 2 and define BII = B~ n D. If we write (19.1) for BII , let n -+ 00, and
take into account the fact that JlD(~'f,,) > - 00, we· find (19.1) first for quasi
every rr and then for all rr, with
(19.10)
for example, (19.1 0) can be particularized to
[BII = D nB(O,n)]. (19.11)
Thus (a) and (19.1) are now completely proved. 0
Proof of (bl)-(b3). If ( is a finite regular boundary point of D, fix rr in D

and observe that since f" is upper bounded, the PWD solution JlD(o, G('1, 0»
has superior limit ~ G('1, 0 at ( (Theorem 13). Moreover GD ('1, 0) has limit
at (; so (19.1) implies that
°
and so (bl) is true. The function <PD is bounded on bounded sets, that is,
(b2) is true, because in (19.1) for fixed rr in D the function G(rr, 0) is bounded
above on aD and bounded below on bounded sets, and GD(o, rT) is bounded
outside each neighborhood of '1. Finally we have already proved (19.1) with
<PB = 0 when D is bounded; that is, (b3) is true. 0
20. Interpretation of <PD as a Green Function with Pole 00 (N = 2) 139
Proof of (b4). Observe first that with no hypotheses on D,
lim sup [G(e,,,) - JLD(e,G(",

D3 ~-oo
.»] = lim sup
D3 ~-oo
1 cD
log II( - ,,1 JLD(e,dO :;; 0
e- "1
(19.12)
in view of Fatou's lemma, because the integrand has limit 0 when" -+ 00

and is at most
(19.13)
Here the right side of (19.13) defines a function of ( in L 1(JLD)' according

to Theorem 19(a). If <PD == 0, inequality (19.12) combined with (19.1) shows
that GDR,') has limit 0 at 00; so (Section 14) 00 is a regular boundary point
of D. To prove the converse, apply in (19.1) the evaluation oflim6_ oo L(u, 0, (5)
with u a potential (kernel G) on 1R 2 to find
(19.14)
In particular, if 00 is a regular boundary point of D, the function GD(e,,)

has limit 0 at 00; so the left side of (19.14) is 0, and <PD == 0, as was to be
proved. 0
Proof of (c). See the proof of Theorem 18(c). 0
20. Interpretation of <PD as a Green Function with Pole 00

(N= 2)
If D in Section 19 is a deleted neighborhood of the point 00, this point is

an irregular boundary point of D, and the limit equation (19.12) simplifies to
lim [G(e,,,) - JLD(e, G(",

~-oo
.»] = o. (20.1)
Equation (19.1) now yields
(20.2)
It is natural to write the limit on the left as GD(e, 00) and to think of GD(', 00)
as the Green function of D with pole 00. See Section XIII.18 for further
remarks on this Green function.
21. Variant of the Operator t B

If U is a superhannonic function on an open subset D of ~N (N ~ 2) and if B
is an open relatively compact subset of D, we have defined tBU in Section II
as the smoothed infimum of the class of superhannonic functions on D
majorizing U on D - B. Under this definition tBU = JlB(', u) on Band tBU = U
quasi everywhere on D - B. Define taU as the superhannonic function on
D equal quasi everywhere on D - B to U and equal on B to GMBu. The
construction of GMBu in Section 111.1 in tenns of a decreasing sequence of
superharmonic functions shows that taU exists. Since tBU :s; U on B, it follows
that tBU :s; taU. According to Theorem 18(c) (in which the roles of Band D
are reversed), tBU = taU if and only if the set of irregular Euclidean boundary
points of B is a null set for the Riesz measure associated with u; so there is
equality if fJB is regular. In the general case both tBU and taU decrease when
B increases. Moreover, if B l and B2 are open relatively compact subsets
of D, with iil C B2 , then
tB' I U ~ tB I U ~ ta2 U ~ tB2 u. (21.1)
For many purposes we can use ta and tB interchangeably. For example, if

B varies through the open relatively compact subsets of D, then (21.1) shows
that tBU and taU as B varies have a common infimum; the infimum is GMDu
if this harmonic minorant exists.
Chapter IX
Lattices and Related Classes of Functions
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.l9) 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 RN , N ~ 2, and h is
a strictly positive harmonic function on D. Both D and h are held fast
throughout the chapter.
2. LMiu for an h-Subharmonic Function u

Suppose that D is connected and that u is an h-subharmonic function on D.
According to Section VIII. I I (where the discussion is in the dual context,
in which u is h-superharmonic), if A and B are open relatively compact
subsets of D with A c B, then u ~ 'du ~ 'I:;U, and if B. is an increasing
sequence of open relatively compact subsets of D with union D, then '1:; u
is an increasing sequence of h-subharmonic functions, and either LM~u exists
and is given by Iim n _ oo 'l:Z"u, an h-harmonic function, or this limit is identically
+ 00. An equivalent formulation is: the set of functions 'I:;U for B ranging
through the class of open relatively compact subsets of D is directed upward
and either LM~u exists and is given by
LM~u = sup {Jli(·, u): B open relatively compact subset of D}, (2.1)
or else the supremum in (2.1) is identically + 00. [We adopt the convention
here and in similar contexts below that the domain of Jli(·, 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 I. IX. Lattices and Related Classes of Functions
If u is positive, the existence of LM~u is equivalent to the L 1 boundedness

of the class
{ [UI DB ' J.l~(~, .)]: B open relatively compact subset of D} (2.2)
of functions coupled with the indicated measures, for some, equivalently

each, point ~ of D. Alternatively the set B can range through a nested
sequence B. with union D, as above. In particular, suppose that u is positive
and that the class (2.2) is uniformly integrable for some point ~ in D, that is,
that there is a uniform integrability test function for which
sup {J.l~(~, (u»: B open relatively compact subset of D} < + 00. (2.3)
Then the class (2.2) is L 1 bounded; so LM~u exists, and since (u) is a
positive h-subharmonic function, the supremum in (2.3) is LM~(u)(~).
Thus in this case LM~(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 LM~u satisfies the same uniform
integrability condition as u, with the same test function <1>; (2.3) is true with
u replaced by LM~u. In fact we now show, under the hypothesis that (2.3)
is true as written, that
sup {J.l~(" (LM~u»: B open relatively compact subset of D}

(2.4)
= LM~([LM~u]) = LM~(u).
To see this, let Band B' be open relatively compact subsets of D. Then as B'
varies,
J.l~(~, [LM~u]) = J.l~ (e, [s~'p J.l~'(" U)]) :5 J.l~ (~, s~,P J.l~'(', (U»)
(2.5)
= J.l~(e, LM~(u» = LM~(u)(~) < + 00.
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. The Class D(Jl~_)
(See the corresponding stochastic process class in Section 2.11.11. This class
is the linear class of real-valued Borel measurable functions u on D for which
if c; is in D and if B. is an increasing sequence of open relatively compact
subsets of D with union D, then the sequence
(3.1)
3. The Class D (J.li-) 143
of coupled functions and measures is uniformly integrable. It follows from

the definition of uniform integrability that a Borel measurable function u
on D is in D(J.lt-) if and only if, for each point' in B, J.li(e, lui) < + 00
whenever B is an open relatively compact subset of D and there is a compact
subset A = A~ of D for which the family (2.2) of coupled functions and
measures, under the added restriction that A c B, is uniformly integrable.
This condition is satisfied if and only if there is a uniform integrability test
function ell = eIl~ such that
sup {J.l~(e, eIl(lul)): A c B, B open relatively compact subset of D} < + 00.

(3.2)
The notation D - is to remind the reader that not h-harmonic measure on

some boundary of D but h-harmonic measures on the Euclidean boundaries
of open relatively compact subsets of D are involved. When D and hare
specified and there is no danger of confusion, we shall sometimes write D
instead of D(J.lt-). Since J.li(·,f) = J.lB(·,hf)/h a function u is in D(J.lt-) if
and only if uh is in D(J.lD-)' (See Section 11.14 for the D class of harmonic
functions on a ball.)
When the function u on D is h-subharmonic the situation is simpler
because then the map B~ J.li(·, u) is monotone increasing. In particular,
if u is positive and h-subharmonic, the supremum in (3.2) is independent
of the choice of A, and (Section 2) if (3.2) is true, the left side of (3.2) is
LMtell(uHe). It is thus natural that the case of most interest in potential
theory is that in which lui is h-subharmonic, in particular, if uis h-harmonic.
Theorem. If u is a Borel measurable real-valued function on the connected

Greenian set D and if lui is an h-subharmonic function on D, the following
conditions are equivalent:
(a) uED(J.lt_).
(b) The family (2.2) of coupled functions and measures is uniformly inte-
e
grable for every point in D.
(c) Condition (b) is satisfied for a single point e.
(d) There is a uniform integrability test function ell such that the h-
subharmonic function eIl(lul) has an h-harmonic majorant.
(e) (If u is h-harmonic) u = u 1 - U2' where Ui is a positive h-harmonic
function in D(J.lt-).
Moreover, if u satisfies (a)-(c) and ifell satisfies (d), then LMtlul E D(J.lt-),
(3.3)
and each function U i in (e) can be chosen so that the h-subharmonic function
eIl(ui ) has an h-harmonic majorant.
If lui here is identified with u in Section 2, this theorem follows at once

from the discussion in Section 2, except for the assertion involving (e). To
prove that an h-harmonic function u in D(Jlt-) has the representation (e),
observe that since lui is h-subharmonic and LMtlul ED<Jlt-), it follows that
u = LMtlul- (LMtlul- u)
is the desired representation; with this choice of Uj, equality (3.3 shows that
(u j ) has LMh<l>(lul) as an h-harmonic majorant. Conversely, if u = Ut - U2
with Uj positive h-harmonic and in D<Jlt-), then lui:::;; U t + U2; so uED<Jlt-).
It will be shown in Section 3.1.9 that an h-harmonic function on a Greenian
subset D of IR N is in D<Jlt-) 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<JlD-) 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.
This class is the linear class of extended real-valued Borel measurable func-
tions u on D for which if ~ is in D and if B. is an increasing sequence of open
relatively compact subsets of Dwith union D, then sUPn:o<oJl~(~, lul p ) < + 00.
It follows for p > I that LP<Jlt-) c D(Jlt-), because the function sr--.s P is
a uniform integrability test function. A Borel measurable function u on D
is in LP(Jlt-) if and only if, for each point ~ in D and each open relatively
compact subset B of D with ~ in B, Jli(~, lul p ) < + 00 and there is a compact
subset A = A~ of D for which
sup {Jli(~, lul p ): A c B, B an open relatively compact subset of D} < + 00

(4.1)
When D, h, and p are specified and there is no danger of confusion, we

shall sometimes write LP instead of LP(Jlt-). A function u is in LP<Jlt-) if
and only if uh is in LP(JlD-)' As in Section 3, the case of most interest in
potential theory is that in which lui is h-subharmonic, in particular, if u is
h-harmonic. The following theorem is in part a specialization of Theorem 3.
Theorem. If u is a Borel measurable real-valued function on the connected

Greenian set D and if lui is h-subharmonic, the following conditions are
equivalent:
(a) uELP(Jlt-).
(b) The family (2.2) offunctions coupled with the indicated measures is
U bounded for every point ~ in D.
(c) Condition (b) is satisfied for a single point~.
5. The Lattices (S±, s;) and (S+, s;) 145
(d) Thefunction lul P has an h-harmonic majorant.

(e) (If u is h-harmonic) u = u 1 - U2, with Ui positive, h-harmonic, and in
LP(Jl~-).
Ifu satisfies (a)-(d), then LM~luIELP(J.l~_), and in fact
(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 ifu = U1 - U2 and ifcI>(u 1) and cI>(U2) have h-harmonic
majorants, then cI>(lul) has an h harmonic majorant, although the counter-
part of this assertion is contained in Theorem 4(e) with cI>(s) = sp. How-
ever, for cI>(s) = sP and p ~ I this assertion is true because then (u 1 + U2)P :::;
2P-l(uf + uD.
In Theorem 4, as in Theorem 3, the condition (b) involves a set Bin (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(O, b), the subharmonic function lui on D is in LP(Jl~-) if and only if
sUPrL(lulp, 0, r) = limrt~L(lulp, 0, r) < + 00. The class of harmonic functions
on B(O, b) in the class V(JlB(O.~)-) was discussed in Section 11.14.
EXAMPLE. Let u be a harmonic function on the Greenian set D. Then the func-
tion u 2 is subharmonic with associated Riesz measure dA = (lJ..u2/1t~)dIN'
so that A(D) is a multiple of the Dirichlet integral of u,
We now prove that uEL 2(J.lD_) if and only if GDA is superharmonic. In the
one direction ifuE L 2(JlD_)' that is, ifLM Du 2 = v exists, then GMD(v - u2) =
0; so v - u2 is a potential and necessarily v - u2 = GDA by direct calculation
of lJ..u 2. Conversely, if GDA is superharmonic, the function u 2 + GDA is a
majorant of u2 and is harmonic because lJ..(u 2 + GDA) = 0; so uEL 2(JlD_)'
In particular, if the Dirichlet integral of u is finite, that is, if A(D) < + 00,
then GDA is superharmonic; so uEL 2(J.lD_)'
5. The Lattices (S±, ::=;;) and (S+, <)
(See the corresponding martingale theory lattices in Section 2.V.5.)

The Lattice (S±, :::;). Denote in this way the class of h-superharmonic
functions on D with positive h-superharmonic majorants, ordered by point-
wise inequality in the notation ~, ~, /\, v. If r c S± and if r has an

h-superharmonic minorant, then according to the Fundamental Conver-
gence Theorem (Section VI.l) as trivially adapted to h-superharmonic
functions, the lower semicontinuous smoothing of the pointwise infimum
of r is h-superharmonic, and this function is obviously the (S±, ~) infimum
/\ r. If r c S± and if r has an h-superharmonic majorant, then V r exists
and is the (S±, ~) infimum of the class of h-superharmonic majorants of r.
Thus (S±, ~) is a conditionally complete lattice. The pointwise order will
sometimes be called the essential order to match the essential order of
stochastic process theory defined in Section 2.1.8.
Let r be a subset of S±. According to the Fundamental Convergence
Theorem, if r has an h-superharmonic minorant, some countable subset of
r has the same (S± , ~) infimum as r. If r has an h-superharmonic majorant,
some countable subset of r has the same (S±, ~) supremum as r. In fact,
if r is directed upward, V r is the pointwise supremum, and the assertion
for pointwise suprema was proved in Section 1104; ifr is not directed upward,
apply the result in the directed case to the set of (S±, ~) suprema of finite
subsets of r.
The Lattice (S+, ~). The sublattice (S+, ~) of (S±, ~) is the class of
positive h-superharmonic functions on D in the pointwise order.
6. The Vector Lattice (S, -<)

(See the corresponding martingale theory lattice in Section 2.V.6.) The set
S+ has the unique subtraction property, that is, for u 1 , u2 , u; in S+ the
equality U 1 + U 2 = U 1 + u; u;.
implies that U 2 = This property, trivial for
finite-valued functions, is true in the general case because U 2 = u;
on the
set of finiteness of u 1 ; so u 2 = u; quasi everywhere and therefore everywhere.
Thus S+ is a cone as defined in Appendix I1I.3 and therefore determines a
specific order on itself. The specific order symbols will be ::$, ;::, Y, A,
and S+ in the specific order will be denoted by (S+, ::$). Define S = S+ - S+
so that each member of S can be identified with a function u 1 - U 2 with U j
in S+ ; this difference is well defined off the polar set of common infinities
of U 1 and U2' Order S by the specific order with positive cone S+ (Appendix
IlIA) to obtain a partially ordered vector space (S, ::$).
Theorem. (a) The space (S, ::$) is a conditionally complete vector lattice.
In (b)-(d) let r be a subset ofS with a specific order majorant.
(b) yr is the specific order supremum ofa countable subset ofr.
(c) If r' is the class ofspecific order majorants of r, then V r ::$ r'.
(d) Ifr is directed upward in the specific order, then Yr = V r.
The duals of (b)-(d), involving specific order infima, are obtained by

replacing r by -r. Since r' is directed downward (specific order) in (c),
the dual of (d) implies that /\ r' = Ar' = Yr.
6. The Vector Lattice (S, ::;) 147
It will be convenient in the following proof to use a generalized reduction:

the function v in R~ will not be required to be superharmonic on the specified
Greenian set D but may be an arbitrary extended positive-valued function;
no other change is made in the reduction definition. In the applications to
be made, A = D and it will be obvious that v has a positive superharmonic
D
majorant on D so that R +v
will exist and be superharmonic on D. In the
following proof rand r' are as defined in the statement of the theorem.
Proof that Ar' E r' ifr c S+. Ifu is in rand u' is in r', there is a function
v in S+ for which u + v = u'. Let u' run through a sequence in r' with
essential order infimum Ar' to find that u:S Ar'.
Proof that Ar' = Ar' = vr if r c S+. Let u' be in r', and define
+ 00 ifu'(~) = + 00,
4>(~) = .
{ (u' - "r')(o If u'(~) < + 00.
Then u' ~ Ar' + IJ:

quasi everywhere on D and therefore everywhere on
D. According to the natural order decomposition theorem, there are func-
tions v and VI in S+ such that v ~ Ar', VI ~ IJ:,
and u' = v + VI' But then
VI ~ 4> quasi everywhere on D; so VI ~ IJ:,
and there must be equality; so
(6.1)
Now let u be a member of r. Since u' and Ar' are in r', there are members
V2and V3 ofS+ such that
(6.2)
Then V 2 :::; v3 + R+.pD ; so repeating an argument just used, there is a member

W ofS+ such that
(6.3)
Then (6.2) implies that u' = u + w + R+.pD ; so V = U + w from (6.1). If we fix

u', the function v is also fixed; so u :S v for all u, and it follows that v E r'.
Hence v ~ Ar', and there must be equality because by its definition, v satis-
fies the reverse inequality. Thus u' = Ar' + R+.pD from (6.1), and since u' is an
arbitrary member of r', it follows that Ar' :S r'. Since we have already
proved that Ar'er', we now deduce that Ar' = Ar'; so Ar' = vr by
definition of r'.
Proof of (a). The fact that vr = Ar' exists shows that (S+,:s) is a condi-
tionally complete lattice and therefore that (S, -<) is a conditionally complete
vector lattice. 0
148 !.Ix. Lattices and Related Classes of Functions
Proofof (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 fmite subsets of r. We can then also assume
that reS +, at the possible expense of choosing some member Uo of rand
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 Vr = 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
v o , VI' ••. successively in r to satisfy Vo=U, vn+I::::(vn Yu n) for u~O.
The sequence V. is a specific order increasing sequence with pointwise limit
u'. There is a member Wni of S+ such that u + Wni = Vn , and if V' E r', there
is a member Wn2 ofS+ such that Vnl + Wn2 = v'. Hence
u + lim W ni = u', u' + (lim

n.... oo Wn2)
=V';
n.... oo
+
so r :::s u' -< r', and we conclude that u' = Y r = Yo Un' Thus Theorem 6(b)
and (d) are true. 0
Proof of (c). Let u' be in r' and define
+00 ifu'(~) = +00,

"'(~) = { (u' - V r)(~) if u'(~) < + 00.
Then u' = vr + '" -< vr + 1$:

quasi everywhere on D, and therefore
u':5: V r + R D everywhere on D; so repeating the reasoning already used
+t/I
twice above, we find that there is a function win S+ such that
w:5: vr, (6.4)
Furthermore by definition of r' if u is in r, there is a function WI in S+

such that u' = u + WI' Then WI :5: '" quasi everywhere on D; so WI :5: R+t/ID
and
u+R D < U + W = u' = W + RD.
+t/I - I +t/I
W for all u in r; so V r s w, and by (6.4) there must be

It follows that u :5:
equality. The second equality in (6.4) thus becomes u' = vr + R D ; so
+t/I
Vr -< u', as was to be proved. 0
7. The Vector Lattice 8 m

(See the corresponding martingale theory vector lattice in Section 2. V. 7.) An
h-superharmonic function specific order majorized by an h-harmonic func-
tion is itself h-harmonic and if r is a set of positive h-harmonic functions
8. The Vector Lattice Sp 149
with vr = u, then u is a specific order majorant of each member of r; so u

is positive and h-superhannonic, and GMtu is a specific order majorant of
r. Hence u = GMtu and is h-harmonic. It follows that if S~ is the cone of
positive h-hannonic functions on D and if Sm = S~ - S~, then Sm is a band
in S. The essential and specific orders coincide on Sm' If r c Sm,
vr=LMtr, Ar=GMtr
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 11.14 by means of the Riesz-Herglotz
representation theorem that Sm is lattice isomorphic to the conditionally
complete vector lattice of finite signed measures on iJD. 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-hannonic function is in Sm if and only if the
function is in V(,u~-).
8. The Vector Lattice Sp
(See the corresponding martingale theory vector lattice in Section 2.V.8.) An

element of S + specific order majorized by an h-superhannonic h-potential
GD,u/h of a measure is itself such a potential. If r is a set of such potentials
with V r = u, then u is a specific order majorant of each element of r; so u
is a positive h-superhannonic function, and linearity of the GMt operation
implies that the h-potential u-GMtu is also a specific order majorant of r
and therefore must be u; that is, u is an h-potential. The class S; is therefore
a cone satisfying the conditions (Appendix III.8) implying that the set
Sp = S; - S; is a band in S.
Sp and the Corresponding Lattice of Charges. Let M+ be the set of measures
on D and let M = M + - M +, the set of charges on D. The set M ordered by
the positive cone M + is a conditionally complete vector lattice. Let M; be
the set of measures in M + whose h-potentials are h-superhannonic and
define M p = M; - M; . Then M p is a conditionally complete vector lattice,
a sublattice of M. The map ,u 1--+ GD,u/h is a one-to-one order-preserving map
from M; onto S; inducing a one-to-one linear order-preserving map from
M p onto Sp'
Sp = S~. In fact, on the one hand, if u ES; and v ES~, then u A v = 0
because this lattice infimum is h-harmonic as a specific order minorant of
the h-hannonic function v and is a minorant in both specific and pointwise
orders of the h-potential u. Hence S; c S~; so Sp c S~. Conversely, if
UE(S~t, then the two relations GMtuES~ and GMtu:s u imply that
150 I.IX. Lattices and Related Classes of Functions
0= u AGMtu = GMtu;
that is, ueS;. It follows that S; eSp, and so there is equality, as was to be
proved.
9. The Vector Lattice Sqb

(See the corresponding martingale theory vector lattice in Section 2.V.9.)
The class S;;b is the class of elements u in S + which satisfy the following
equivalent conditions:
(a) The function u is the specific order supremum of a set of bounded
elements of S + .
(b) The function u is the limit of a specific order increasing sequence of
bounded elements of S + ; that is, u is the sum of a series of bounded
elements of S + .
Observe that if "specific order" in (a) were replaced by "essential order,"
the resulting class of elements u would be S + itself. The class S;;b is a cone
satisfying the conditions (Appendix III.8) implying that the set Sqb =
S;;b - S;;b is a band in S; the members of this band are called quasi bounded.
The bands Smqb = Sm (\ Sqb and Spqb = Sp (\ Sqb' In view of Section 8 these
two bands are orthogonal and Sqb = Smqb + Spqb' The band Smqb is the band
in Sm generated by the constant function 1. It will be shown in Section 3.1.9
that an h-superharmonic potential GD J1./h is quasi bounded if and only if J1.
vanishes on polar sets, equivalently, if and only if u e D(J1.t-).
EXAMPLE (Quasi Bounded h-harmonic Functions and Dirichlet Solutions).

If D is provided with a boundary aD by a metric compactification, the PWB h
solutions for this boundary are quasi bounded. To see this, observe that if
u is a positive PWB h solution, say u = HJ, then the relation
u = lim HJ"n = It-oo

It-ex>
lim J1.~(-, f 1\ n)
exhibits u as the limit of a specific order increasing sequence of positive

bounded h-harmonic functions. Conversely, if the boundary is internally
h-resolutive, that is (Section VIII. 2), if every bounded h-harmonic func-
tion u is a PWB h solution, u = HJ = J1.~(.,f), then every quasi-bounded
h-harmonic function on D is a PWB h solution. It will be shown in Section
3.1.5 that Smqb = Sm (\ D(J1.~_). This class includes the PWBh solutions what-
ever the choice of aD, and the inclusion becomes equality when the boundary
is internally h-resolutive. We have already proved in Section VIII.9 that if
D is a ball, its Euclidean boundary is universally resolutive and is internally
resolutive, and we remarked there that the argument will be generalized in
10. The Vector Lattice S, lSI
Section 12 of the present chapter to show that this boundary is universally

internally resolutive.
Roughly, a boundary is internally h-resolutive if it has enough points and
is h-resolutive if it does not have too many. For example (h == I), if D is a disk
less a radius, the Euclidean boundary is resolutive (Theorem VII1.4) but is
not internally resolutive because a bounded harmonic function on D with a
limit at every boundary point except that there are different limits at the two
sides of the deleted radius is not a PWB solution. Adding boundary points by
ramification to separate the two sides of the deleted radius makes the boun-
dary internally resolutive. On the other hand, if h is the minimal harmonic
function corresponding to a boundary point , of the disk and if the disk
boundary is ramified so that' explodes into a set containing more than one
point, the new boundary of the disk is h-internally resolutive because quasi-
bounded h-harmonic functions are identically constant, but the new disk
boundary may not be h-resolutive.
10. The Vector Lattice Ss
(See the corresponding martingale theory vector lattice in Section 2.V.lO.)

Define Ss = Sib' the class of singular elements of S, and define
Sms = Sm IIS s' Sps = Sp liS.. Ss+ = Ssll S+, S;s = Sms II S+, S;s =
Sps II S+. Then Ss' Sm.. Sps are bands, Sms 1- Sps' and Ss = Sms + Sps' A
function u in S+ is singular if and only if 0 i:; the only bounded function in
S+ which is a specific order minorant of u.
Sms' It will be shown in Section XII.9 that an h-harmonic function u = v/h
is singular if and only if in the Martin representation (Section XII.9) of v and
h, which generalizes the Riesz-Herglotz representation (Section 11.14), the
representing measure M v is singular relative to the representing measure M h .
We prove now that for a function u in S; to be singular, it is sufficient that
u 1\ C ES; for some strictly positive constant c and necessary that u 1\ C ES;
for every strictly positive constant c. Ifu ES;s' then GMt(u 1\ c) = u A C = 0
for every positive c because u A c is a bounded positive specific order minor-
ant of u. Hence u is an h-potential. Conversely, if u E S;, if u 1\ c is an h-
potential for some strictly positive c, and if v is a bounded member of S+
with SUPDV = a, then
so (a/c)u 1- v, and therefore u 1- v. Hence UES~s'

Sps' It will be shown in Section 3.1.10 that an h-superharmonic h-potential
GDJi./h is singular if and only if Ji. is supported by a polar set.
11. A Refinement of the Riesz Decomposition

The Riesz decomposition of a positive superharmonic function can be
expressed in vector lattice language in the form 8 m 1. 8 p , 8 = 8 m + 8p- We
have now found a refinement of this decomposition: the four bands 8 mqb ,
8 ms , 8 pqb , 8 ps are orthogonal and
Thus if U e 8 and if Umqb, ••• are the respective projections of U on the bands
8 mqb , ••• , 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.
12. Lattices of h-Harmonic Functions on a Ball

Let B be a ball and let h be a strictly positive harmonic function on B. If
U = v/h is an h-harmonic function on B, then ue8m = 8 m n V(Jli-) if
and only if v is the difference between two positive harmonic functions,
that is, if and only if there is a Riesz-Herglotz measure M v on oB (Euclidean
boundary) such that v = PI(B, M v ). It follows from Theorem 11.14 that the
map U f-+ PI(B, Mv)/h is a linear one-to-one order-preserving map from
8 m onto the vector lattice of signed measures on oB. The classes 8 mqb , 8 m .,
D(Jli-), LP(Jli-) of h-harmonic functions will now be described in terms of
the corresponding classes of Riesz-Herglotz measures.
The Classes 8 mqb and8ms • In the map U = v/hf-+Mv the constant h-
harmonic function 1 corresponds to M h • The band 8 mqb generated by the
constant function I therefore corresponds to the band generated by M h ,
which is (Appendix IV.8) the class of signed measures absolutely continuous
relative to M h • Thus ue8mqb if and only if u = PI(B,4>dMh)/h for some
M h measurable and integrable function 4> ( = dMv/dMh ), that is, if and only
if (Section VIII.9) u is the PWBh solution for some boundary function 4>.
According to Theorem 11.15, the function 4> is the nontangential boundary
limit function of u. The band of singular h-harmonic functions corresponds
to the band of signed measures on oB lattice orthogonal to M h , that is
(Appendix IV.8), the class of signed measures singular relative to M h •
The Classes L 1 (Jli_) andD(Jli_): Theorem II. 14for General h. As already

noted, the V(Jli-) class of h-harmonic functions is the class 8 m • For h == I
the classes L 1 (Jli_) and D(Jli-) of h-harmonic functions were characterized
in Theorem 11.14. For general h this theorem becomes the following.
12. Lattices of h-Harmonic Functions on a Ball 153
Theorem. Let u = vjh be an h-harmonic function on the ball B = B(O, (5).

(a) [Ll(Jl~_) h-harmonic functions.] The following conditions on u are
equivalent:
(a1) u = PI(B, Mv)jhfor some signed measure M v on oB.
(a2) u is the difference between two positive h-harmonicfunctions.
(a3) lui has an h-harmonic majorant.
(a4) SUPr<clJl~(O,r)(O, lui) = sUPr<clL(lulh, 0, r)jh < + 00.
Furthermore the map u t-+ M v is a one-to-one linear order-preserving
map from the Ll(Jl~_) class of h-harmonic functions onto the class
of signed measures on oB.
(b) [D(Jl~_) h-harmonic functions.] The following more restrictive con-
ditions on u are equivalent:
(b1) u = PI(B,fvdMh)jh for some M h measurable and integrable
function fv on oB.
(b2) There is a uniform integrability test function et> for which
et>(lul) has an h-harmonic majorant.
(b3) The family {uloB(O,r), Jl~(O,r)(O, ·),0 < r < <5} ofpaired functions
and measures is uniformly integrable.
(b4) UESmqb'
Furthermore the map u t-+ fv is a one-to-one linear order-preserving
map from the class of D(Jl~_) h-harmonic functions on B onto the
class L 1 (oB,Mh), and dMv = fvdMh.
The proof follows that of Theorem 11.14 and is omitted. Parts of the
theorem merely repeat results already discussed at the beginning of this
section as implications of Theorem 11.14.
Universal Internal Resolutivity of oB. We have already shown in Section
VIII.9 that oB is universally resolutive and that the class of PWBh solutions
is the class of h-harmonic functions given by (b1) above, which is the class
of D(Jl~_) h-harmonic functions. Since this class includes the bounded
h-harmonic functions [criterion (b2) above], it follows that oB is universally
internally resolutive.
The Class LP(Jl~-)for p > 1. We now show that uESmnLP(Jl~_)if and
only if u = PI(B, </JdMh)jh for some function </J in U(oB, M h). Observe
first that if u has this form, then
by Jensen's inequality; so lul P is majorized by an h-harmonic function and

therefore is in LP(Jl~_). Conversely, if UESmn LP(Jl~_) for p > I, it follows
that UE D(Jl~_); so u = vjh with dMv = fvdMh, u = PI(B,fvdMh)jh, and it
will now be proved that Ifvl P is M h integrable. It can be assumed that fv
154 l.Ix. Lattices and Related Classes of Functions
is Borel measurable. According to Theorem II .14, iff is a continuous func-

tion on oB, then
so ifl/p + I/q = I, and ifvdh is an h-harmonic majorant oflul p, the absolute

value of the integral average on the left in (12.1) for fixed r is at most
and the second factor in (12.2) is VI (0) lip ; so
(12.3)
Since this inequality is true for continuous f, it is true for f bounded and
Borel measurable. Substitute in (12.3) the choice f = 1f.,IP-I sgnf." where
If., I < nand f = 0 elsewhere to find
r 1f.,IPdMh~VI(O),
JO!vl<n}
which imples that 1f.,IP is Mh integrable, as was to be proved.

It is instructive to attempt an alternative proof of this integrability, based
on h-harmonic measure. In the first place
J.lB(O,rj(O, lulph) _ h (0 liP) h (0 ) - (0) (12.4)

h(O) - J.lB(O.rj ,u ~ J.lB(O,rj 'U I - UI
if U I is an h-harmonic majorant of lul P• Next try to put this inequality in a

context in which Fatou's lemma is applicable when r ~ b. For example, if
h == I, (12.4) implies
f oB
j
u(r,,)/PIN-I(d,,)<u
5:
u
5:N-I -
1CNU
1
(0) , (12.5)
and therefore Fatou's lemma yields the desired IN-l integrability of the
IN-I almost everywhere limit limr _ o lu(r,,/b)iP. This application of Fatou's
lemma depends on the fact that when h == I, the h-harmonic average
J.li(o,rj(O, lul ) can be written as an integral average over a measure space
p
that does not depend on r. It will be seen that such a representation of this
harmonic average is possible in a probabilistic approach (Section 2.IX.13)
even without the hypothesis that B is a ball.
Chapter X
The Sweeping Operation
1. Sweeping Context and Terminology
Throughout this chapter D is a Greenian subset of IR N , coupled with a

boundary ,aD provided by a metric compactification when a boundary is
relevant, and the boundary of a subset of D u aD is that relative to the
compactification, In most of the discussion the nature of the boundary is
irrelevant, and aD can be taken, for example, as the Euclidean boundary
or one-point boundary of D.
If A c D and if u = GDJ-l is the superharmonic potential of a measure
J-l on D, the function ~U~A is a positive superharmonic function majorized
by u and is therefore also the potential of a measure; this measure will be
denoted by ~J-lr. The map J-ll--+ ~J-l~A is called the balayage, that is, the sweep-
ing, of J-l onto A, and ~J-l~A is called the swept measure or, with an unfortunate
grammatical ambiguity, the sweeping of J-l. The reduction operation prop-
erties lead to sweeping operation properties, some of which will now be
listed. The notation is as above: J-l is a measure on D with a superharmonic
potential, and all sets on which J-l is swept are subsets of D.
(a) GD~J-l~A:::; GDJ-l with equality quasi everywhere on A [cf. Section
VI.3(b)]. .
(b) ~J-l~Al = ~J-l~A2 if Ai differs from A 2 by a polar set [cf. Section VI.3(c)].
In particular, if A is polar, ~J-l~A '= O.
(c) If A c B,
(I.l)
[cf. Section VI.3(h)]. In particular, the sweeping operation is

idempotent.
(d) ~J-l~A is supported by AnD [cf. Section VI.3(a)].
(e) If A is a Borel support of J-l and if GDJ-l < + 00 on A, then J-l = ~J-l~A,
equivalently, GDJ-l = GD~J-l~A. In fact, on the one hand, GD~J-l~A :::; GDJ-l
by (a), and on the other hand, GDJ-l = GD~J-l~A < + 00 on A, a support
for J-l; so (by the domination principle) GDJ-l :::; GD~J-l~A.
156 I.X. The Sweeping Operation
(f) If B is a J.l null open subset of A, then ~J.l~A(B) = 0 [cf. Section

VI.3(a)]. In particular, strengthening (d), if A is J.l null the swept
measure ~J.l~A is supported by D n oA.
(g) If A is a Borel subset of D, the measure J.l can be written as the sum
J.ll + J.l2 + J.l3 of the projections of J.l, respectively, on the sets A n
{GDJ.l< +oo},An{GDJ.l= +oo},D-A.
In view of the reduction additivity property of Section VI.3(f), ~J.l~A =

~J.ll~A + ~J.l2~A + ~J.l3~A. According to (d)-(f), the sweeping operation of
J.l onto A leaves J.ll invariant and sweeps J.l3 into a measure supported by
D n oA. The measure ~J.l2~A is supported by An aD. More detailed informa-
tion on ~J.l~A will be furnished by Theorems 5 and XI.18. In the most common
classical application of sweeping, A = D - B with B a ball with closure in
D. In this case the fact that the operation GDJ.l1--+ ~GDJ.l~D-B = !B[GDJ.l]
transfers the component of J.l on B to a measure supported by the set
oB = D n o(D - B) is particularly clear.
Characterization of ~J.l~A (Refined in Section XI.l5)
If A is a subset of D, closed in D, and if J.l is a measure on D with a finite-

valued potential GDJ.l, the swept measure v = ~J.l~A is uniquely determined
by the following properties:
(Sl) v is supported by A.
(S2) GDv = GDJ.l quasi everywhere on A.
These properties of ~J.l~A have already been noted. Conversely, if a measure

v has these properties, then v = ~J.l~A by the domination principle because
GDv = GD~J.l~A quasi everywhere on a common support A of v and ~J.l~A,
and both potentials are finite valued on A.
The Sweeping Kernel c5t
If ~ e D, the probability measure on D supported by {~} will be denoted by

c5D(~' .). The sweeping of this measure onto A, denoted by c5t(~, '), is deter-
mined by its defining equation
~GD(~") ~A(11) = 1 GD(11, Oc5t(~, dO = c5t(~, GD(11,'» (11eD). (1.2)
In the following we shall write G~(~, 11) for ~GD(~' .)~A(11). It will be shown
in Section 3 that Gt is symmetric. The proof that c5t(·, B) is Borel measurable
2. Relation between Harmonic Measure and the Sweeping Kernel 157
when B is a Borel set, so that <5t is a kernel, and the proof that Gt 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 = ~ 1 ~B
then v is a potential, say v = GDv, and integration with respect to v(drf)
in (1.2) yields 1 ~ <5t(·, v) ~ <5t(·, B). It follows that <5t(·, D) S; 1. It will
be seen in Section 5 [see (5.1')] that <5t(·,D) = P~A for every set A. Ac-
cording to property (f) above, if ~ is not an interior point of A, the swept
measure <5t(~,·) is supported by D n oA. On the other hand, if ~ is an interior
point of A then Gt(~,·) = GD(~") according to Section VII.3(b), and there-
fore <5t(~,·) = <5D(~' .); that is, <5t(~, {~}) = 1.
2. Relation between Harmonic Measure and the Sweeping

Kernel
Theorem. If D is a Greenian subset offRN, if A is a subset ofD, closed relative

to D, and if ~ ED - A, then <5~(~,.) = JlD-A(~") on the Borel subsets of
DnoA.
According to (1.2) and the relation between reductions and PWB solutions
derived in Section VIII.lO,
[(~,'1)ED x (D - An (2.1)
The harmonic measure symmetry property VIII(l8.5), in which D and B

correspond respectively to D - A and D here, implies that (2.1) with both
~ and '1 in D - A can be written in the form
[(~,'1)E(D - A) x (D - An (2.2)
Moreover, in the present context VIII(18.2') becomes
(~ED) (2.3)
whenever' is a regular boundary point of D - A in D or is an inner point

of A; so (2.3) is true for quasi every' in A. Now for fixed ~ in D - A each
side of (2.2) is the value at '1 of the GD potential of a measure on D. These
potentials are equal on D - A according to (2.2) and are equal quasi every-
where on A according to (2.3). Hence these potentials are equal on D;
so the measures JlD-A(~") (restricted to subsets of D) and <5~(~,.) generating
the potentials are the same, as was to be proved.
158 LX. The Sweeping Operation
3. Sweeping Symmetry Theorem

Theorem. If D is a Greenian subset of IRN and if A is a subset of D, then
(3.1)
that is Gt is symmetric on D x D.
This fundamental theorem is a deep generalization of the theorem that

the Green function GD is symmetric, and reduces to the latter theorem when
e
A = D. Suppose first that A is closed inDo For and '1 in D - A equation (3.1)
is equivalent to the assertion that the function (e, '1) 1-+ Ji.D-A(e, GD('1,·)) is
symmetric on (D - A) x (D - A), a fact noted in Section VIII. 18 and just
e,
applied in Section 2. If at least one of the points '1 is in the set A, then (3.1)
is true for the pair (e,'1) when A is replaced by
An = A - [B(e, lin) u B('1, lin)],
and therefore (n -+ 00) equation (3.1) is true when A is replaced by

A - [{e} u {'1}], in view ofthe reduction property Section VI.3(e). Finally,
(3.1) is true as stated for A closed in D since [Section VI.3(c)] smoothed
reductions on A are identical with smoothed reductions on A less two
points. Apply Section VI.3(e) again to find that (3.1) is true if A is an F"
set, in particular, if A is open. For an arbitrary set A it follows that (3.1)
is true when A is replaced by an arbitrary open superset of A and there-
fore [Section VI.3(m)] that (3.1) is true for unsmoothed reductions if neither
e nor '1 is in A. Since [Section VI.3(b)] reductions on A are equal on D - A
e
to their smoothings, (3.1) is true as stated if neither nor '1 is in A. Finally,
if at least one of these points is in A, apply (3.1) to A less these two points.
The smoothed reductions are unchanged, and we deduce that (3.1) is true
for the pair (e, '1)
4. Kernel Property of bt
Lemma. (j~ is a kernel.
All that needs to be proved is that (j~(., B) is Borel measurable whenever

B is a Borel set. Consider the linear class r offunctions of the formf = u - v,
where u and v are bounded continuous potentials on D, the measures
associated with u and v have compact support, andfhas compact support.
Define fA = ~U~A - ~V~A, and observe that fA is determined by f because
if f has two representations, f = u - v = Ji.' - v', then u + v' = u' + v; so
~U~A + ~V'~A = ~U'~A + MA, and finally ~U~A - ~V~A = ~U'~A - ~V'~A. If eeD
4. Kernel Property of <5~ 159
r
the functional/f-+ L~U) = IA(e) is linear on r. Let .!?e the class of uniform
limits of sequences in r, so that (by Lemma VII.9) r includes the class of
r
continuous functions on D with compact support. IfI e with approximating
sequence!. in r, then [from Section VI.3(n)]
(4.1)
so the sequence L~(f.) is convergent. Since two approximating sequences for

I can be combined into one, the limit of L~(!.) is independent of the approx-
imating sequence and is L~U) when Ie r. Define L~U) = limn.... oo L~(/,,)
to get a linear functional on r. The functional L~ is positive because if I in
r is positive and if!. = u. - v. is an approximating sequence in r for f,
with infD(un - Vn) = -en' it follows that Un + en ~ Vn and therefore that
~un~A + en ~ ~vn~A; so
(4.2)
Apply Section VI.3(n) again to obtain, for I in r with approximating

sequence!. = u. - v.,
IL.U)I = n-+oo
lim jL.(/")1 = lim l~un~A -
n-+oo
~vn~A I ~ lim sup 1/,,1
"-+00 D
= sup
D
III; (4.3)
that is, the linear functional L{ has bound I. Thus (Riesz representation
theorem) there is a measure bDA(e,,) on D with <>DA(e, D) ~ I for which
L~U) = bDA (e,f) whenever I is continuous on D and has compact support.
Since this equation shows that bDA(',f) is Borel measurable, bDA is a kernel.
Now suppose that U = GDJl is the potential of a measure Jl 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 15n c Dn + 1 • According to
Theorem IV. to, there is an increasing sequence u. of continuous potentials
with limit U for which Un = U on D - Do, and there is an increasing sequence
Un. of continuous potentials with limit "Dnu for which Unk = "DnU = U on
D - Dn+ 1. Then Un - Unn is in r; so
(4.4)
Moreover U is a potential; so (from Section VIII.ll) lim n.... oo "DnU = 0, and

therefore
(4.5)
Hence (4.4) yields
(4.6)
160 l.X. The Sweeping Operation
In particular, when u = GD ( ~, .), we find with the help of sweeping symmetry

that bDA satisfies the defining equation for b~; so b~ = bDA and is a kernel.
5. Swept Measures and Functions

Theorem. Let D be a Greenian subset of ~N, and let A be a subset of D. Let
u = GDJL be a superharmonic potential, and let v be a positive superharmonic
jUnction on D with associated Riesz measure v. Then
(5.1)
(5,1')
~JL~A = Iv <5~«(, ·)JL(d(), (5.2)
Iv ~v~AdJL = Iv vd~JL~A. (5.3)
In particular, ifv is a superharmonic potential, (5.3) can be continued:
In the course of proving Lemma 4 we proved (4.6); that is, the first and
fourth terms of(5.1) are equal if JL has compact support. Since every positive
superharmonic function is the limit of an increasing sequence of potentials
of measures with compact supports (Section IV.lO), 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 ~JL~A. The third term is equal to the fourth
because
and the iterated integral becomes G~JL 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 ~ ~V~A~A = ~V~A.
Generalization of ~JL~A
It is convenient to define ~JL~A by (5.2) when JL is a measure on D even when

GDJL is not superharmonic. Under this extended definition, (5.3) remains
true.
6. Some Properties of o~ 161
Application to the Representation ofa Reduction. Let D be a Greenian sub-

set of IR N , and let A be a subset of D. Then if v is a positive superharmonic
function on D and if VA is the Riesz measure associated with ~V~A (reduction
relative to D),
The first equation in (5.4), with the stated identification of h, is simply

the Riesz decomposition of ~V~A. Since the smoothed reduction operation
is idempotent, (5.4) leads to
(5.5)
where A. is a measure on D and
A comparison between (5.4) and (5.5) shows that h' = h and A. = ~VA~A = VA'
so that the second and third equation in (5.4) are true.
EXAMPLES. If A is relatively compact in D, then [V]A is a potential; so h == O.

If A is sufficiently large, say A = D, then ~V~A = v, and (5.4) becomes the
Riesz decomposition of v.
6. Some Properties of <5~

(a) Subadditivity of c5~. This set function is subadditive in the sense that
(6.1)
for all subsets A and B of D. In fact [Section VI.3(i)]
whenever v is positive and superharmonic on D; so if f is the difference

between two finite-valued positive superharmonic functions on D, with
f~ 0, it follows that
(6.3)
and this inequality implies (6.1) in view of the approximation application

in Section VII.9.
(b) For each point ~ of D and each subset A of D the measure c5t(~,·)
vanishes on polar sets not containing ~. In fact, if B is a polar subset of D
162 I.X. The Sweeping Operation
not containing e, there is (by Theorem V.2) a positive superharmonic

e
function on D, finite at but identically + 00 on B, and the inequality
implies that bt(e,B) = o.

e
(c) A zero-one law. Let be a point of D, let A be a subset of D, let B
e,
be a neighborhood of and let v be a positive superharmonic function on
D. Then either the equalities bt"B(e, {en = 1 and ~v~A"B(e) = v(e) are true
for all B and all v or bt"B(e, {en = 0 for all B, in which case whenever
v(e) < + 00, the function ~V~A"B tends to 0 on D when B shrinks to The e.
property that bt(e, {e}) = 1 will be given a topological interpretation in
Section XU, where incidentally it will also be shown that this property is
e.
independent of the choice of D containing Thus this property is a local
e.
property of A near To prove (c), we first observe that, using the notation
e,
of (c), bt"B( {e}) decreases when B increases because when B1 and B2 are
e
neighborhoods of with B1 C B2 subadditivity of 15; implies
and the second term on the right is 0 because the measure b~2-Bo(e,·) is
supported by the closure of B2 - B1 • Next observe that since ~V~A B =
~ ~V~A ~A"B, it follows that
bt"B(e, {en = So bt(tI, {e})bJ"B(e,dtl), (6.4)
and since the measure bJ(tI,,) vanishes on polar sets not containing tI,
equation (6.4) reduces to
(6.5)
When B = D, we conclude that bt(e, {en must be either 0 or 1. In the first

case (6.5) implies that bJ"B(e, {e}) = 0 for all B. On the other hand, if
bt(~, {e}) = I, then monotoneity of bt"B(~, {~n as B varies implies that
bt"B( ~, {e}) = I for all B.
If bt"B(~, {en = I, then ~V~A"B(~) = bt"B(~, v) = v(~). If bt(~, {e}) = 0,
let B. be a sequence of balls of center ~, relatively compact in D, with radii
tending monotonely to O. The sequence ~V~A"B. is a decreasing sequence of
potentials on D with limit a positive function vo, harmonic on D - {e}.
The restriction of V o to D - {~} has a positive superharmonic extension v I
to D, necessarily of the form const. GD(e, '), and the constant is 0 if as we
suppose from now on v(~) < + 00, because VI (e) < v(~). Hence V o = 0 on
D - {e}; so
7. Poles of a Positive Harmonic Function 163
lim ~v~AnBn(,,) = lim ~ ~v~AnBn~A(,,) = (ji1('1, vo) = (ji1(", {e} )vo(e).

n-a) n-oo
e
The last term on the right is 0 by hypothesis when" = and vanishes at all
other points" because according to (b) above, the measure (jt('1,') vanishes
on polar sets not containing".
7. Poles of a Positive Harmonic Function

Let D be a connected Greenian subset of IR N , coupled with a boundary
provided by a metric compactification, and let A be a boundary subset. If
h is a positive harmonic function on D, if R: = ch (as is true, for example,
if h is minimal), and if h =1= 0, then c is either 0 or 1 because the smoothed
reduction operation is idempotent [Section VI.3(h)]. The boundary point
, is said to be a pole of h if R1'} = h. The set of poles of h is obviously closed.
If' is a pole of h, then' is also a pole of every positive harmonic minorant
of h. In fact, if hI is such a minorant, the equality
implies that the reduction operations performed on the left have not de-
creased hI or h - hI, so hI = ~hl~{'l.
Poles of a Minimal Harmonic Function
If h is minimal, if , is a pole of h, and if A is a boundary subset containing

C then
so R: = h. On the other hand, if' is not a pole of h, there is a positive super-

harmonic function v on D majorizing h near' and strictly less than h at
some point of D. It follows that R: :::;; v < h at some point of D; so R: == 0
if A is a sufficiently small boundary neighborhood of ,. Furthermore, if B
is a boundary subset containing no poles of h, then R: == 0 because B can
be covered by a countable collection A. of boundary neighborhoods of
nonpoles, with R:j == 0; so R: : :; r.jR:j == O. This result implies that there
is at least one pole of a minimal harmonic function h because R~D = 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' is this pole, the singleton {,} has h-harmonic
measure 1. If h 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
8. Relative Harmonic Measure on a Polar Set

Let D be a connected Greenian subset of IR N , let A be a compact polar
subset of D, and let h = GD Vh be the potential ofa not identically zero measure
supported by A. Define Do = D - A and oDo as the boundary of Do relative
to the one-point compactification of D. Since A is nowhere dense, oDo
consists of A and the Alexandrov boundary point tX of D. Let ho be the
restriction of h to Do. Recall (from Section VII.l) that GDo is the restriction
of GD to Do x Do. We now prove that oDo is an h-resolutive boundary for
e
Do, that J.lt~(·, {tX}) == 0, and that for,., in A and in Do
(8.1)
Reductions below not otherwise described are relative to Do. If Fis an open
relatively compact subset of D containing A, the set Do - F is a deleted
neighborhood of tX relative to Do v oDo, ~hO~Do-F is a minorant of ho and is
harmonic and bounded on F, and ~hO~Do-F/ho is in the upper PWBho class
on Do for the boundary function l{aJ' Moreover (by Theorem V.S) the
function ~hO~Do-F has an extension to D, harmonic on F and majorized by
h. When F increases, tending to D, this extension decreases, tending to a
harmonic minorant of the potential h, that is, tending to the zero function.
Thus {tX} is an ho-harmonic measure null set. Next we prove that the
evaluation
implies that if C is a compact subset of A, then
(8.2)
If Do is the trace on Do of a neighborhood D of C,
~hO~BO(e) = <5~~(e, ho) = i <5~~(e, GD(·, ",))vh(drO
= t ~GDo(·' ,.,)~ Bo(e)Vh(d,.,).

(8.3)
If smoothed reductions relative to D are denoted by ~ ~D' an easy argument

involving the superharmonic function extension theorem (Theorem V.5)
shows that for,., in D
8. Relative Harmonic Measure on a Polar Set 165
on B. Then for ein Bo

(8.4)
Now [by Theorem VII.3(b)] when '1 is in C, the integrand is equal to GD(e, ,,),
and on the other hand [Section VI.3(m)], when '1 is in A-C and B shrinks
to C, the integrand tends to ~GD(·,'1)~e(e), which vanishes because Cis
polar. Thus (8.2) is true, and since ~ho~e/ho is the upper PWBho solution on
Do for the boundary function Ie, we have proved that this upper solution
is an additive function of C. Since we can ignore the ho-harmonic measure
null singleton {l:l}, it follows from Theorem VIII.9 that Do is ho resolutive.
Finally (8.1) is now equivalent to (8.2).
Chapter XI
The Fine Topology
1. Definitions and Basic Properties

The topology of a topological space is the class of open subsets of the space.
If T1 and T2 are topologies on a space, T 1 is said to be finer than T2 (and
then T2 is said to be coarser than T1 ) if T2 C T1 • For any family of extended
real-valued functions on a space there is a coarsest topology making every
member of the family continuous, namely, the intersection of all the
topologies doing this. The fine topology of classical potential theory is
defined as the coarsest topology on IRN making continuous every super-
harmonic function on IRN . It is easy to verify that the fine and Euclidean
topologies coincide when N = 1 (see Chapter XIV for classical potential
theory on IR), and we suppose from now on in this chapter that N > I.
Concepts relative to the fine topology will be distinguished by an "f," for
example, flim sup, alA. From now on any otherwise unqualified topological
concept will refer to the Euclidean topology. Since the fine topology is
defined intrinsically in terms of superharmonic functions, it is not surprising
that this topology plays a fundamental role in classical potential theory.
If u is a superharmonic function, the function u 1\ c is also, for every
constant c, and it follows that the fine topology is the coarsest topology
making continuous every upper-bounded superharmonic function on IRN .
Since G(e,·) is fine continuous and since {G(e,·) > c} is a ball with center e
and an arbitrary radius depending on c, balls are fine open, and therefore
the fine topology is at least as fine as the Euclidean"lopology. Since there are
discontinuous superharmonic functions, the fine topology is strictly finer
than the Euclidean topology.
Let D be a nonempty open subset of IRN • Then the restriction to D of the
fine topology is the coarsest topology making continuous every super-
harmonic function with domain D. To prove this, it is sufficient to prove that
if u is superharmonic on D, then u is fine continuous, and it is even sufficient
to prove that u is fine continuous on every open relatively compact subset
Do of D. Now if p. is the measure associated with the restriction to Do of u,
the potential Gp. is superharmonic on IRN , differs from u on Do by a contin-
uous (harmonic) function, and is fine continuous on IR N . Hence u is fine
continuous on Do, as was to be proved.
I. Definitions and Basic Properties 167
It will sometimes be useful to extend the fine topology to ~N U { oo} by

defining a set to be a deleted fine neighborhood of 00 if after inversion in a
sphere the image of the set is a deleted fine neighborhood of the sphere
center (see Section 5). This criterion will be seen to be unaffected by the
choice of inversion sphere, and in fact it will be seen that under an inversion
the fine topology is invariant.
The fine derived set of a set A, that is, the (fine-closed) set of fine limit
points of A, will be denoted by AI. It will be shown (in Theorem 6) that
AI = (A 1)1 ; that is, AI is fine perfect.
It is immediate that one base for the class of fine neighborhoods of a
finite point ~ is the class of sets of the form
n" {'1 EB : ui'1) <

I
Cj }, (l.l)
where B is a ball containing ~, Uj is an upper-bounded superharmonic

e,
function on B, vanishing at and each constant cj is strictly positive. The
neighborhood (l.l) is fine open. It follows that another base for the class
e
of fine neighborhoods of is the somewhat more convenient class of sets
of the form
n" {'1 Eii:

I
ui'1) ~ C}, (1.2)
e,
where B is a ball containing Uj is a bounded superharmonic function on
a neighborhood of ii, vanishing at ~, and C is a strictly positive constant.
The neighborhood (1.2) is fine closed and is Euclidean topology compact. It
e e
follows that a point is a fine limit point of a set A if and only if is a fine
limit point of every open superset of A.
A point ~ of ~N is a fine limit point of a set A if and only if eis a Euclidean
limit point of A and if each superharmonic function U defined on an open
e
neighborhood D of ~ has u(e) as a cluster value at along A. For example,
according to 11(6.1), the complement of an IN null set is fine everywhere
dense.
e
A subset A of ~N is said to be thin at a finite point if ~ is not a fine
limit point of A, that is, if ~ is not in AI. According to the above remarks
e,
on fine neighborhoods, if A is thin at there is an open superset of A which
e.
is also thin at The corresponding remarks for ~ = 00 are left to the reader.
The Baire Property of the Fine Topology
The intersection of a sequence of fine-open fine dense sets is fine dense. To

prove this assertion, observe that the fine topology has a basis of Euclidean
compact sets so that if B. is a sequence of fine-open fine dense sets and if B
168 l.XI. The Fine Topology
B:
is a nonempty fine-open set there is a sequence of compact sets with non-
empty fine interiors such that EO c Bo n B and that B~+l is a subset of the
fine interior of B~ n Bn for all n. Then
ao ao
o =1= nB~ c nBnnB
o 0
so n~ Bn is fine dense.
2. A Thinness Criterion
Theorem. If a set A has finite limit point ~, then A is thin at ~ if and only if
there is a superharmonic function u defined on an open neighborhood of ~
such that
liminfu(,,) > u(~). (2.1)

A a~"'~
If A is thin at ~ and if D is a Greenian set containing ~, there is a potential

u = GD v satisfying (2.1) for which v has compact support and the left side of
(2.1) is + 00.
If ~ is a fine limit point of A and if u is superharmonic on an open neighbor-

hood of ~, u has fine limit u(~) at ~ and is lower semicontinuous; so (2.1) is
impossible. Conversely, if ~ is a limit point of A and if A is thin at ~, some
fine neighborhood (1.2) of ~ does not meet A except possibly at ~. The
functions u = 1:~ Uj and minj;'n uj are superharmonic on B with minj$n Uj(~)
= 0, and
U > c + (n - I) min Uj
j$n
on (A - g}) n B; so
liminfu(,,) ~ c> u(~) = O.

Aa~"'~
To prove the second assertion of the theorem, let u satisfy (2.1), and suppose
first that jj 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 Br be the ball ofcenter ~ and radius r < I~ - aDI
and let J.lr be the projection on Br of the measure associated with u. Then
GDJ.lr(~) ;:5; u(~) < + 00 and u differs from GDJ.lr by a function harmonic on
Br ; so if b (;:5; + (0) is the strictly positive difference between the left and
right sides of (2.1),
3. Conditions That ~E AI 169
Choose r = rn so small that GDJl.'n(e) < r n. The superharmonic potential

GD(I:~ Jl., e e
) has value ~ 2 at and has limit + <X) at along A as desired,
and the ;ssociated measure has compact support in D. If i5 is not bounded
e,
and is in the domain of u, choose a ball B containing with jj in the domain
of u. Then the potential GBv of some measure v with compact support in B
e e
is finite at and has limit + <X) at along A. The potential GDv has the same
property because GDv differs from GBv by a function harmonic on B.
Observation. If N > 2, the set D can be chosen to be ~N in the theorem.
If N = 2, the proof yields a superharmonic potential u = Gv on ~N for which
the left side of (2.1) is + <x).
Application to Polar Sets and Reductions
A polar set A o has no fine limit points because according to Theorem V.2,
e
if A o is polar and if E Af>, there is a superharmonic function defined on an
e, e,
open neighborhood of finite at and identically + <X) on the part of A o
in a deleted neighborhood of e;
so (2.1) is satisfied, contradicting the
e
hypothesis that E At;. (In the fine topology of ~N u { <X)} as defined in
Section 5 a polar set cannot have <X) as a fine limit point; this assertion is
reduced by an inversion in a sphere to the one just treated.) The converse
result that A& = 0 implies that A o 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) ~V~A = von AI n D.
In fact this equality is true quasi everywhere on A, that is, everywhere on
A - A o for some polar set A o ; so the fine continuity of superharmonic
functions implies that v = ~V~A on (A - A£) = AI.
3. Conditions That eeAf

e
Let D be a Greenian subset of ~N, 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 limB.j.~ to mean the limit as B, a neighbor-
hood of e,shrinks to e,that is, as its diameter tends to O. Define Vo =
limB.j.~ ~V~A{")B, that is, Vo is the infimum of the indicated class of smoothed
reductions. The positive function Vo is harmonic on D - {e}; so (by Theorem
V.5) the restriction of V o to D - {e} has a superharmonic extension to D,
and (by the Riesz decomposition) this extension must have the form
cGD(e,·) + h, where c ~ 0 and h is a positive hantlOnic function on D. Since
this superharmonic function is majorized by a potential ~V~B for B relatively
compact in D, the function h must vanish identically. The inequality V o ~ v
170 I.XI. The Fine Topology
implies that c = 0 if v(~) < + 00 and more generally c = 0 if ~ v ~ AnB(~) < + 00

for some B. According to the following theorem, if v is the Riesz measure
associated with v, then either c = v( {~}) or c = O.
Theorem. If ~ e Af, then

(a) MAnB(~) = v(~)for every neighborhood B of~.
(b) <5~(e, {en = 1.
(c) Gt(e,·) = GD(e, ').
If e~ Af, then
(a') limB.j.~ ~v~AnB = 0 on D - {e} and the limit is 0 at eifv(e) < + 00.
(b') <5~(e, {O) = O.
(c') Gt(e,'):1= GD(e,·) on {GD(e,·) > OJ, the open connected component
of D containing ~.
e,
Observation ( 1). The fact that when B is a neighborhood of the relations
eeAf and ee(A II B)f are equivalent implies that properties (c) and (c') are
true under the stated conditions if A is replaced by A II B, and B need not
appear in (a). Property (a) was phrased using B to contrast with (a'), in
which B is essential.
Observation (2). We have already noted in Section X.6 the fact that the
only possible values of <5~(~, {en are 0 and 1. We now see that the value is
o if and only if A is thin at ~.
Proof (a)-(c) Suppose that eeAf. Then ee(A II B)~ and as pointed out
in Section 2, it follows that ~v~AnB(O = v(~); so (a) is true, and in particular,
Gt(·, e) = GD(',~) on D; that is (sweeping symmetry), (c) is true. Finally,
(c) <=>(b) by definition of <5~.
e e
(a')-(c') Suppose that e D - AI. We can suppose that is a (Euclidean
topology) limit point of A, adjoining a countable set with limit point to e
A if necessary to achieve this. The adjunction does not change smoothed
reductions on A and does not change <5~. Then (by Theorem 2) there is a
e
positive superharmonic function u on D, finite at but with limit + 00 at e
alongA. If t: > 0 and if B is so small that u > lit: on A II (B - {e}), it follows
that
Hence limB.j.~ <5~nB(e, {e}) = 0, and it follows from Section X.6(c) that
<5~(e, {e}) = 0, as asserted in Theorem 3(b'). Theorem 3(a') now also follows
from Section X.6(c), and Theorem 3(c') follows from the definition of <5~.
o
4. An Internal Limit Theorem 171
Application. Let A be a Borel subset of IR N , and let e be a point at which

A is thin. Then if A r = A 11 oB(e, r),
r IN-l (A r ) 0 (3.2)
r~llJ ,N-l = .
In fact, in the first place according to Theorem 3 with reductions relative to

D = B(e, 1),
lim ~ 1 ~Ar(e) ~ lim ~ 1 ~A('\B(O.2r)(e) = O.

r~O r-O
In the second place the rth smoothed reduction on the left obviously major-
izes the smoothed reduction at e relative to B(e, r) of the function 1 onto
the boundary set A r ; the value of the latter smoothed reduction is IN-l (A r )/
'TtN,N-l according to 111(4.3).
This application of Theorem 3 implies that a solid cone of revolution in
IRN 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 eeA f and ifv(e) < +00, then
(a")
To see this, observe that this limit is limB.j.~bt(e, M~, that according to the
remarks at the beginning of this section, limB.j.~ ~V~B = 0 on D - {e}, and
that according to (b'), bt(e, {en = o.
4. An Internal Limit Theorem

If D is an open subset of IRN , if v is a positive superharmonic function on
D, and if h is a strictly positive superharmonic function on D, then u = v/h
is defined in the obvious way on the set of points at which at least one of the
functions v, h is finite valued. As so defined, the function u is fine continuous.
The following theorem provides information on the character of u near a
point of the set of common infinities of v and h. Let Vv and Vh be, respectively,
the Riesz measures associated with v and h. Recall our convention that
dvv/dvh is the Radon-Nikodym derivative of the absolutely continuous
component of Vv with respect to Vh • The singular component of Vv with respect
to Vh will be denoted by v~.
Theorem. (a) The function u has a fine limit u*(O at quasi every and Vv + Vh
a/most every point ( of D. Moreover u* < + 00 quasi everywhere and Vh
a/most everywhere on D, and u* = + 00 v~ almost everywhere on {e: v(e) =
+oo}.
(b) At Vh almost ever.y point ( of the set {e: h(e) = + oo}, equivalently, at
Vh almost every point ( ofan arbitrary polar subset of D,
u*(O = ~:(O. (4.1)
(c) In particular, if(eD,
(4.2)
(d) Let ( be a point of D, and let F be a subset of D with (Euclidean

topology) limit point (. If F is thin at (, there is a superharmonic potential v
on D for which
(4.3)
Conversely, if there is a positive superharmonic function v on D - {n satisfy-

ing (4.3), then F is thin at (.
Observation. In the first term of (4.2) and in (4.3) GD can be replaced by

G without altering the validity of these equations because lim,,-c GD ('1, 0/
G('1, 0 = 1.
Since the theorem is local, we can suppose in the proof that D is connected.
Proof of (c). The special result (4.2), in which h = GD(·,O and so Vh is the
unit measure supported by {(}, 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 - vv ( {(} )GDh 0 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 = {"I: v('1) > bGD ('1, O} i~ not
thin at (. Apply Theorem 3(c) to find that
contrary to the hypothesis that v/GD (·, 0 has infimum O. Hence (4.2) is true.
D
4. An Internal Limit Theorem 173
Proof of (d). If v is a positive superhannonic function on D - {O and if

(4.3) is true, then since v has a positive superharmonic extension to D
(Theorem V.5), the set Fmust be thin at (, in view of(4.2). Thus the converse
half of (d) is true. In the other direction, if F is thin at (, choose ,.,( '" 0 in
D. Then [by Theorem 3(a')] there is a decreasing sequence B. of neighbor-
hoods of (, shrinking to (, with
There is therefore a positive superhannonic function v" on D, majorizing

GD(o, 0 on F n B" with v"(,.,) < 2-". After replacing v" by v" /\ GD(·,O if
necessary, we can suppose that v" is a potential on D. The potential v = I:~ v"
is at least (n + I) GD(·,O on F n B" and therefore satisfies (4.3). 0
Proof of (a). If 0 s;·o < b, define
A = g: v(~) s; oh(~)}, B= g: v(~) ~ bhR)}. (4.4)
According to Section VI.3(0),
V /\ bh
hAB + hABAB + ... S; -b--. (4.5)
-0
Now
and bt(~, {~}) = I when ~EAf n D; so ifvhA is the projection ofvh on Af n D,

it follows that hA ~ GDVhA. Similarly
so if VhC is the projection of Vh on C = Af n Bf n D, that is, if VhC is the projec-

tion of VhA on Bf n D, it follows that hAB ~ GDVhC • Similarly all the other
=
summands in (4.5) majorize GDVhC ' and we conclude that VhC O. Since every
point of D at which u· does not exist is in C for some rational pair a and b,
we conclude that u· exists Vh almost everywhere. Apply this result to h/v to
show that u· exists Vv almost everywhere. As noted at the beginning of this
section, the function u is fine continuous at every point at which it is defined;
that is, u· exists and is equal to u quasi everywhere on D. Moreover u· < + 00
quasi everywhere on D because u· = u = + 00 can be true only on the polar
infinity set of v. The rest of the last sentence of (a) will be proved in the
course of proving (b). 0
Proof of (b). We show first that if F is a Borel polar subset of D and if

vv(F) = 0, then u* = 0 Vh almost everywhere on F. It is sufficient to prove
this for F compact. Under this hypothesis on F, we can assume that v and
h are potentials because if v and h are replaced by their reductions on some
open neighborhood of F, relatively compact in D, then v, h, vv ' and Vh are
unchanged on this neighborhood, and v and h become potentials. Define B
by (4.4). Then (reductions relative to D)
e
Since bg(e, {e}) = I when eBI, we can continue this inequality to find that
if v~ is the projection of Vh on Bf (I F, then v ;=:: bGD v~. Now GD - F is the
restriction to (D - F) x (D - F) of GD, and the restriction to D - F of
bGD v~ is harmonic and is majorized by a potential, the restriction to D - F
ofv. HenceGDv~ == OonD - F; SOGDV~ == OonD,and thereforevh(BI (I F) =
e
0; that is, flim sup,,_, u('1) :s; b for Vh almost every point of F for allb>O.
Hence u* = 0 Vh almost everywhere on F, as asserted. If this result is applied
to h/v with F the trace of a Vh null support for v~ on the set of infinities of v,
we find that u* = + 00 ~ almost everywhere on F, as asserted in (a).
There remains the proof of (4.1). Let 4J be the Radon-Nikodym deriva-
tive in (4.1). It is sufficient to show that if F is a v~ null Borel polar subset
of D, then u* = 4J Vh almost everywhere on F. By what we have just proved,
if Vh is the projection of Vh on F,
at Vh almost every point' of F; so in discussing u* on F we can assume that

F supports Vh and that h = GD Vh • Define
va(e) = i
Fa
GD(e, '1)4J('1)vh(d'1).
Then Va:s; a.h; so flim,,_, va('1)/h('1) :s; lX at Vh almost every point , of F.

Moreover, by what we have proved above, flim,,_, [v('1) - va('1)]/h('1) = 0
at Vh almost every point' of Fa (I F. Hence u* :s; lX Vh almost everywhere on
Fa, that is, u* :s; lX Vh almost everywhere on F where 4J :s; lX, and therefore
u* :s; 4J Vh almost everywhere on F. A similar argument gives the reverse
inequality; so u· = 4J Vh almost everywhere on F, as was to be proved.
Incidentally it now follows that u* < + 00 Vh almost everywhere on D, as
asserted in (a), because u· = u < + 00 quasi everywhere on D, and we have
just proved that on the remaining polar set, u· = dvvfdvh , which is finite Vh
almost everywhere. 0
5. Extension of the Fine Topology to IR N u {<Xl} 175
5. Extension of the Fine Topology to IR N u {(X)}

Theorem. Let A be a subset of[RN, and let </J be an inversion of[RN in a sphere.
(a) Either (al) </J(A) is thin at </J(oo) for every inversion </J, or (a2) </J(A)
is thin at </J( (0) for no inversion </J.
(b) An unbounded set A is under case (a 1) if and only if there is a positive
superharmonic function u on some deleted neighborhood of the point
00 with the property that
lim u(r,) = + 00 (N = 2), (5.1)

A '~""<Xl log I'll
lim u('1) =
A,,,-+etJ
+ 00 (N) 2). (5.2)
Moreover, under case (al) with N > 2, there is a positive superharmon-

ic function on [RN satisfying (5.2).
(c) If ( and </J(O are finite, </J(A) is thin at </J(O if and only if A is thin
at (.
Proof of (a) and (b). (For N> 2). To avoid trivialities we assume that A is
unbounded. Let </J be an inversion in oB«(, 15). Then </J(A) has limit point (,
and we prove first that if </J(A) is thin at (, there is a positive superharmonic
function u on [RN satisfying (5.2). In fact by Theorem 4(b) there is a positive
superharmonic function v on D = [RN such that (4.1) is true, and therefore
the function
has limit + 00 at the point 00 along A. The function on the right is a positive
superharmonic function on [RN - {n
and in fact is a multiple of the Kelvin
transform of v. This function has a positive superharmonic extension u to
[RN (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 00 satisfying (5.2) and if </J is an inversion in oB«(,c5), we prove
that </J(A) is thin at (. The Kelvin transform v of u is a multiple of u(</J)G«(, '),
defined positive and superharmonic on a deleted open neighborhood B of (,
and v/G«(,') has limit + 00 at ( along </J(A); so [by Theorem 4(b)] the set
A is thin at (, as was to be proved. Thus (a) and (b) of the theorem are true
for N > 2. 0
Proof of (c). (For N ~ 2). Under the hypothesis of (c), the set A is thin at
( if and only if (Theorem 2) there is a superharmonic function u defined on
a neighborhood of ( such that (2.1) is true. The Kelvin transform of u under

an inversion </> is a positive superharmonic function defined on a neighbor-
hood of </>(0 and satisfies the version of condition (2.1) at </>(0 if and only
ifu satisfies (2.1). Hence (c) is true. 0
The proof of Theorem 5(a) and (b) for N = 2 follows the proof for N > 2
and is left to the reader.
Extension ofthe Fine Topology to IR N u { 00 }. We make the definition that
a subset A 1 of IR N u {oo} does not have fine limit point 00, and we describe
Al as thin at 00 if A = Al n IR N is subsumed under case (al) of Theorem 5.
The fine topology is thereby extended to IR N u { 00 }, and according to
Theorem 5, an inversion is a fine topology homeomorphism of IR N u { 00 }
onto itself.
The Limit Relation (4.1) at the Point 00. Let v be a positive superharmonic
function defined on a deleted neighborhood of a finite point (. Then (by
Theorem V.5) if v(O is defined as lim inf"...{v(,,), the extended function v is
positive and superharmonic on a neighborhood of (, and v satisfies the fine
limit relation (4.1). Trivially, v also satisfies the fine continuity relation
flimv(,,) = liminfv(,,).
"...{ "...{
If u is a positive superharmonic function defined on a deleted neighborhood
of the point 00, then inversion of IR N in a sphere yields a context to which
(4.1) and (5.3) can be applied to yield the following.
If u is a positive superharmonic function on IR N - ii(O, <5), then
flim u(,,) = lim infu(,,) (::; + 00) if N = 2,

"-00 "-00 (5.4)
flimu(")I,,I N - 2 = liminfu(")I,,I N - 2
if N > 2,
'1-(1) "-00
flim~= inf~ ifN=2

,,"'00 log <51" I 1,,1> 6 log <51" I ' (5.5)
flimu(,,) = inf u(,,)[1 - (<5I"I)2--
""'00 1,,1>6
N
J- I
if N > 2.
In fact, if IR N is inverted in B(O, I), the Kelvin transform of u has domain

ofdefinition B(O, 1/<5) - {O} and is given there by" t-+ v(,,) = u("I"I- 2 )1,,1 2 - N •
The relation (5.3) with (= 0 yields (5.4), and (4.1) with ( = 0 and D =
B(O, 1/<5) yields (5.5). The Green function GD is evaluated in Section 11.1.
If the domain of definition of u is an arbitrary Greenian set that is a deleted
neighborhood of the point 00, 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
6. The Fine Topology Derived Set of a Subset of ~N

Theorem. A polar subset of IR N has no fine limit point. Conversely, a subset
of IR N with no fine limit point is polar. If A is an arbitrary subset of IR N , the
set AI is a fine perfect G6 set including quasi every point of A.
The converse is true whether or not a point 00 is adjoined to IR N •

It was pointed out in Section 2 that a polar set has no fine limit point.
Since Theorem 6 is a local theorem, it can be assumed in proving the last
assertion that A is a subset of some Greenian set D. (We can take D = IR N
if N > 2.) Reductions below are relative to D. Let B. be an enumeration of
the balls with closures in D and with rational centers and rational radii.
According to Theorem 3, the Euclidean F" set
U geB
00
j : ~ I~A"Bj(e) $; t}
j=O
is D - AI. Since each set in this union meets A in a polar set, the set D - AI
is an F;, set meeting A in a polar set. In particular, A is polar if AI = 0.
e
The set AI is trivially fine closed, and is fine perfect because if were a fine
isolated point of AI, that is, if some deleted fine neighborhood B of e
contained no point of AI, then the set B n A would contain none of its
e
fine limit points and thus would be polar, and could not be in AI, contrary
to hypothesis.
The Fine Boundary
If A is fine perfect in IR N , that is, if A = AI n IR N , its fine boundary ;)1 A =

AI n (IR N _ A)I is a Euclidean G6 set, and therefore its fine interior A - l Aa
is a Borel set, the difference between two G6 sets. If A is analytic, its fine
closure in IR N is analytic, and its fine interior A - (IR N - A)f 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.
7. Application to the Fundamental Convergence Theorem and

to Reductions
In the Fundamental Convergence Theorem the lower envelope u of the
specified family of superharmonic functions is equal quasi everywhere
to its lower semicontinuous superharmonic smoothing ':!-, and ':!-(e) =
liminf".... ~u(1]). Hence u has a fine limit at every point,
u(e) = liminfu(1]) = flimu(1]).

+ ".... ~ " .... ~
If D is a Greenian subset of IR N , if A is a subset of D, and if v is a positive

superharmonic function on D,
(7.1)
In fact the first two terms are equal because, on the one hand, A c A U
(AI n D) and, on the other hand, a superharmonic function on D majorizing
von A necessarily majorizes v on AI n D. The first term is equal to the third
because A differs from A n AI by a polar set. The fourth term is equal to
the others because A n AI c AI c A u AI.
8. Fine Topology Limits and Euclidean Topology Limits
A function defined on a deleted Euclidean topology neighborhood of a

point and with a fine topology limit at the point need not have a Euclidean
topology limit there. For example, the indicator function of a countable
dense subset of IR N has fine limit 0 at every point but has no Euclidean
topology limit at any point. Nevertheless the following lemma makes trivial
the proof of Theorem 9, which establishes a surprisingly close relation be-
tween the two kinds of limit.
Lemma. Let ~ be a point oflR N u {oo}, and let A. be a decreasing sequence of

subsets of IRN not containing ~. Suppose that each set A k is a deleted fine
neighborhood of ~ [hasfine limit point~]. Then there is a set A with the property
that for each k the part of A in a sufficiently small neighborhood of ~ is in A k
and that A is a deleted fine neighborhood of ~ [has fine limit point~].
It can be assumed that ~ is finite. Define D(D) = D(~, D). Suppose that
each set A k is a deleted fine neighborhood of ~, and define Fk = D(I)-
(A k u g}). The set Fk is thin at ~, and to show one part of the lemma, it
is sufficient to show that there is a set F, thin at ~, with the property that
for each k the part of Fk in a sufficiently small neighborhood of ~ is a subset
of F. If for all but a finite number of values of k the point ~ is not a limit
point of Fk, we can take F as the union of those sets Fk for which ~ is a limit
point of Fk. Otherwise, it is no restriction to assume that ~ is a limit point
of Fk for all k, and we can apply Theorem 2 to find a positive superharmonic
r
function Uk on D(l) with Uk(~) < k and with limit + 00 at ~ along Fk. The
function u = Lg'Uk is positive and superharmonic on D(l) with u(~) < 2 and
with limit + 00 at ~ along each set Fk. Choose rk so that I = ro > r 1 > ... ,
limk _ oo rk = 0, and so that u ~ k on Fk n D(rk ). If F = Ug'(Fk n D(rk )), the
function u has limit + 00 at ~ along F; so F is thin at ~, and Fk n D(rk) c F
as desired. To prove the second assertion of the lemma, observe that if each
set A k has ~ as fine limit point, then
9. Fine Topology Limits and Euclidean Topology Limits (Continued) 179
~ 1~AknB(S)(~) = 1 = lim ~ 1~Akn(B(.)-B('))(~)

,-0
for s > 0, according to Theorem 3 and Section VI.3(e). Hence it is possible
to choose ro = 1 > r 1 > ... successively in such a way that limn_ex> rn = 0
and that the smoothed reduction on the right with s = rk and r = rHI is at
least!. Define
»
so that A k n (B(rk ) - B(rHI c: A. Then ~ I ~AnB('k)(~) ~!. If follows (by
Theorem 3) that A is not thin at ~, and since An B(rk ) c: A k , the proof is
complete.
9. Fine Topology Limits and Euclidean Topology Limits

(Continued)
If u is a function from a deleted Euclidean topology neighborhood of a
point ~ of IR N into a topological space S, the fine cluster set of u at ~ is defined
n
as u(B)-, where B ranges through the class of deleted fine neighborhoods
of ~. In particular, if S is metric (X is a fine cluster value of u at ~ if and only
if flim inf,,_~ dist (u(,,), (X) = O.
Theorem. A function u from a deleted Euclidean neighborhood of ~ into a

metric space has fine limit [fine cluster value] (X at ~ if and only if u has limit
N
(X at ~ along a subset oflR that is a deleted fine neighborhood of nthat is not
thin at ~].
These conditions are trivially sufficient. Conversely, if u has fine limit (X
at ~,that is, if for n > 0 the set of points
is a deleted fine neighborhood of ~, the set A of Lemma 8 is a set along which

u has limit (X at ~. The cluster value assertion is treated similarly.
If the domain of u merely has ~ as a fine limit point, the cluster value
definition and Theorem 9 have obvious rephrasings.
Continuity of a Superharmonic Function
If v is a function defined and superharmonic on an open neighborhood of

a point ~ and if v has associated measure v, the function v is lower semi-
180 I. XI. The Fine Topology
continuous by definition. In addition the following properties have now been

proved or are now trivial.
(a) The function v is fine continuous at~, and therefore (by Theorem 9)
there is a fine neighborhood A of ~ such that VIA has (Euclidean topology)
limit v(~) at ~.
(b) If v(~) = + 00, then by lower semicontinuity v is continuous at ~,
but v cannot become infinite too fast. More precisely (Theorem 4), there is a
fine neighborhood A of ~ with the property that [v/G(~, ·nAhas a (Euclidean
topology) finite limit v( {~}) at ~. If D is a Greenian set containing ~, G here
can be replaced by GD •
10. Identification of AI in Terms of a Special Function u'"

Lemma. If D is a Greenian subset of~N, there is a bounded continuous potential
u'" = GDJ1. with the property that,/or every subset A ofD,
(reduction relative to D).
Let B. be a sequence of balls with closures in D, forming a basis for the

topology of D, and define
00
u'" = L2-n~I~Bn.
o
The summands are continuous potentials because ~ I ~Bn = J1.D-B n(., oBn) on
D - Bn according to Section VULlO, and the points of oBn are regular
boundary points of D - Bn • The function u'" is therefore a bounded contin-
uous potential on D and if A c D
(10.2)
If ~ EAI ( l D, the left side of (10.2) is trivially u"'(~)(Section 3). If ~ E D - AI

and if ~ EBn , then ~ qBn(~) = I, but ~ ~ I ~Bn ~A(~) is arbitrarily small for small
Bn [Section 3(a")]. Hence the right side of (10.2) is strictly less than u"'(~),
11. Quasi-Lindelof Property

An arbitrary union of open subsets of a second countable Hausdorff space
is equal to some countable subunion (Lindelof property). The fine topology
has a slightly weaker property (quasi-Lindelof property) as follows.
12. Regularity in Terms of the Fine Topology 181
Theorem. An arbitrary union offine-open subsets of IR N differs by a polar set

from some countable subunion.
We shall prove the corresponding complementary assertion: an arbitrary

intersection nllEIAIl = A of fine-closed subsets of IRN differs by a polar set
from some countable subintersection. It is sufficient to prove this assertion
for subsets of some Greenian set D. Reductions below are relative to D.
Let u iIJ be a superharmonic potential on D with the properties described in
Lemma 10. According to the Fundamental Convergence Theorem, the
family A. has a countable subfamily {All' IXEJ} such that
To prove the theorem, we define B = nllEJA Il and prove that Bi = Ai.

Observe that
~u iIJ~B :$ (inf ~u iIJ~AIl) = (inqu iIJ~AIl) :$ ~u iIJ~AIl :$ u iIJ (ILl)

IlEJ + IlEI +
for IX E I, and we conclude that Bi c A{ c All for IX E 1. Hence Bi c A, and

therefore (Bi)i = Bf c Ai. Since A c B, it follows that Bi = Ai; so B - A
is polar, as was to be proved.
Application to the Approximation of a Fine-Open Set by (Euclidean

Topology) Compact Subsets
If A is a fine-open subset of IRN to each point of A corresponds (Sectionl),

a Euclidean topology compact subset of A which is a fine neighborhood of
the point. The union of these compact sets covers A, and therefore (quasi-
Lindelof property) some countable subunion covers A up to a polar set.
12. Regularity in Terms of the Fine Topology

Theorem. A Fmite Euclidean boundary point ( of a Greenian subset D of IR N
(or the point 00 if N = 2 and D is unbounded) is regular if and only if
(E(IR N - D)i.
Recall that if N > 2, the point 00 is a regular boundary point of every

unbounded open set. Since the case of an infinite boundary. point when
N = 2 can be reduced to that of a finite boundary point by an inversion,
only finite boundary points will be considered in the following proof. Sup-
pose then that ( is a finite Euclidean boundary point of D, and let B be a
ball of center (, so small if N = 2 that BuD is still Greenian. According
to Section VIII. 10, the restriction to D of ~ 1~B-D (reduction relative to BuD)
is f1.D(·, B n iJD). If , is a regular boundary point of D, it follows that

this smoothed reduction has limit 1 at , on approach along D. Moreover
~ 1~B-D = 1 quasi everywhere on B - D; so ~ 1~B-D has limit 1 on approach
to' excluding a polar set. Hence (fine continuity of the smoothed reduction)
~ 1~B-D(O = 1. This smoothed reduction is majorized by the smoothed reduc-
tion on B - D relative to a Greenian superset D 1 of BuD; so the latter
smoothed reduction is also 1 at ,. Since this is true for arbitrarily small B,
it follows (from Theorem 3) that' E (~N - D)f. Conversely, if' E (~N - D)f,
then ~ 1~B-D(O = 1 (reduction relative to BuD) by fine continuity; so the
lower sernicontinuity of superharmonic functions implies that this smoothed
reduction is continuous at ,. Hence f1.D(·, B n iJD) has limit 1 at' for every
B, and this condition implies regularity of' (Section VIII.8).
Observation (a). Regularity of a finite Euclidean boundary point , re-
quires only that' be in (~N - D)f, but quasi every finite point of iJD is not
only regular and therefore in (~N - D)fbut is even in (iJD)f (Section 6).
Observation (b). Theorem 12 shows that every condition that a point
be a fine limit point of a set is a condition for Euclidean boundary point
regularity. For example (Theorem 3), a finite Euclidean boundary point'
of D is regular if and only if whenever D' is a Greenian superset of D contain-
ing " it follows that Gg:-p(,,·) = GD,(C .). In fact, since regularity is a local
property, D' need not be a superset of D (but of course must contain O.
It is natural as a counterpart of Theorem 12 to investigate the set of
points of iJD in Df. The basic result is the following.
13. The Euclidean Boundary Set of Thinness of a Greenian

Set
Theorem. A Greenian subset D of ~N is thin at f1.D almost no finite Euclidean
If N > 2 define D 1 = ~N; if N = 2 define D 1 = DuB, where B is a ball

with center a finite boundary point of D and is so small that DuB is
Greenian. It is sufficient to prove that D is thin at f1.D almost no Euclidean
boundary point of Din D 1 • Let u# be the positive superharmonic function
described in Lemma 10 but associated with D 1 rather than D, and define
u = ~U#~D (reduction relative to D 1). Also define u = u# = 0 on iJDniJD 1 •
To prove the theorem, it is sufficient to prove that u = u# at f1.D almost every
pointofD l niJD,equivalently,sinceu:s u#,toprovethatf1.D(·'u) = f1.D(o,U#)
on D. Now (by Theorem V.Il) the Riesz measures associated with u and
u# vanish on poiar sets because u and u# are bounded; so [by Theorem
VIII.I8(c)] f1.D(·'U) = GMDu and f1.D(·'U#) = GMDu# on D. These harmonic
minorants are equal because u = u# on D; so the harmonic averages are
also equal, as was to be proved.
15. Characterization of ~ tl ~ A 183
14. The Support of a Swept Measure

Theorem. Let D be a Greenian subset of IR N , let A be a subset of D, and let
~ be a point of D.
(a) If ~ E AI, then <5~(~, g}) = 1.

(b) If fJ. is a measure on D, then the measure ~fJ.~A [in particular, the
measure <5~(~, .)] is supported by AI n D.
(c) If A is a Borel set, if A is fine dense in itself, and if fJ. is a measure
supported by A, then fJ. = ~fJ.~A.
(d) If v is a positive superharmonic function on D, the Riesz measure
associated with ~V~A is supported by AI n D.
Observation. We shall sharpen (b) in Section 18 by proving that <5~(~,.) is

supported by the fine boundary of A relative to D whenever ~ E D - AI.
Proof (a) If ~EAI, then <5~(~, g}) = I according to Theorem 3(b).

(b) If u'" is a positive superharmonic function on D, then
so if u'" has the properties described in Lemma 10, the set
is <5M~,·) null for every ~; that is, <5~(~,.) is supported by AI n D. The

evaluation of ~fJ.~A in X(5.2) shows that this swept measure is supported by
AI nD.
(c) The evaluation of ~fJ.~A in X(5.2) yields (b).
(d) If VA is the Riesz measure associated with ~V~A, then VA = ~VA~A
according to Section X.5; so (d) follows from (b). 0
15. Characterization 0 q J.l ~A

Theorem. Let D be a Greenian subset of IR N , let A be a subset of D, and let
fJ. be a measure on D with superharmonic potential GDfJ.. Then the swept
measure ~ fJ.~ A is characterized uniquely by the following properties:
(a) ~fJ.~A is supported by AI n D.
(b) GD~fJ.~A = GDfJ. on AI n D.
We have already proved that ~fJ.~A has these two properties. Conversely,
if a measure V on D has these properties, then V = ~V~A by Theorem 14;
so since <5t(~,·) is supported by AI n D,
and it follows that v = ~fl~A.

Observation. This theorem extends and makes more precise the charac-
terization of ~ fl ~ A for A closed in D made in Section X.I. In comparing the
two characterizations when A is closed in D, observe that in Theorem 15(b)
the equation holds everywhere on AI n D if it is known to hold quasi every-
where on this set because AI is fine perfect.
16. A Special Reduction

The following lemma is the first step in a delicate analysis of the support
of a swept measure.
Lemma. Let D be a Greenian subset offRN, let h be a strictly positive harmonic

function on D, and let u = GDflih be an h-superharmonic h-potential on D.
Then for every positive constant c (~ + 00 )
(16.1)
Observe that if v = GDv, a rephrasing of(16.1) is
~V~{v,;ch} = ~V~{v<Ch} = V 1\ (ch), (16.1')
valid for every superharmonic potential v. To avoid trivialities, it will be

assumed in the proof of (16.1) that 0 < c < + 00. It is sufficient to prove
equality of the first and third terms in (16.1) because this equality with
c(l - lin) instead of c yields equality of the second and third terms when
n - +00. Now
(16.2)
Furthermore there is equality in (16.2) quasi everywhere on the closed in D

set {u ~ c}, which is a support of the measures associated with the finite-
valued h-potentials in (16.2). Hence (by the domination principle) there is
equality in (16.2); so the lemma is true.
17. The Fine Interior of a Set of Constancy of a

Superharmonic Function
Corollary. Let D be an open subset of fRN, let v be a superharmonic function
on D with associated Riesz measure v, and let c be a constant. Then the fine
interior of the set {v = c} is v null.
18. The Support of a Swept Measure (Continuation of Section 14) 185
This corollary is a strengthening of the result that the Euclidean interior

of the set {v = c} is v null because v is harmonic on this interior, and the
corollary suggests that Euclidean open sets and fine-open sets play similar
roles relative to superharmonic functions. This idea will be discussed further
in Section 19.
Since the corollary is local, it is no restriction in its proof to assume
that D is a ball on which v is lower bounded. Without loss of generality we
can then assume that v is a potential, v = GDv, because we can first add a
constant to v to make v positive and then replace v by its smoothed reduction
on a strictly smaller ball than D, concentric with D. The resulting function
v is a potential on the ball D and on the smaller ball differs by a constant
from the original function. To prove the corollary in this context, let A be
the fine interior of the set {v = c}. Lemma 16 applied to the function v 1\ c
yields ~v 1\ c~{v<c} = V 1\ c. Since (by Theorem 14) the Riesz measure Vc
associated with this smoothed reduction is supported by D n {v < c}f, which
contains no point of A, it follows that vc(A) = O. Next apply Lemma 16
to derive
~v~{V"c} = V 1\ c, (17.1)
so that
0= vc(A) = L<5~"C}(e, A)v(de). (17.2)
Now A c {v::s; c}f, and therefore [by Theorem 3(b)] the integrand in (17.2)
e
is 1 when E A; so u(A) = 0, as was to be proved.
Pseudogeneralization of the Corollary to h-Harmonic Functions
If h is a strictly positive harmonic function on D, the function u = v/h is

h-superharmonic, and the fine interior of the set {u = c} = {v - ch = O} is
v null according to the corollary because the superharmonic function v - ch
has the same associated measure as v. Thus the corollary is not effectively
more general when stated for h-superharmonic functions.
18. The Support of a Swept Measure (Continuation of

Section 14)
If A is a subset of IR N , we denote the set of fine limit points of A, the fine
interior of A, the fine boundary of A, and the Euclidean boundary of A by
Af, Afi , OfA, and oA, respectively, we leave to the reader the proof that
OfAf c Of(A u Af) c OfA. Recall from Section 6 that Af, Afi , and OfAf are
Borel sets.
According to Theorem 14, the measure bt(e, -) is supported by AI n D

e
for all in D, and if v is a positive superharmonic function on D, the Riesz
measure associated with the smoothed reduction M A = bt(-, v) is also
supported by AI n D. The following theorem sharpens the more elementary
result (given in Section X.l) that bt( e, -)
is supported by D n aA when
~ e D - A by putting the latter result into the context of the fine topology
and thereby also sharpens Theorem 14.
Theorem_ Let D be a Greenian subset offRN, and let A be a subset of D.

(a) If eeDn AI, then bt(e, g}) = 1. If eeD - AI, the measure bt(e,-)
is supported by D n al AI.
(b) If v is a positive superharmonic function on D, the Riesz measure VA
associated with~v~A is supported by D n AI. In particular, if v is
harmonic on a Euclidean open superset ofA, the measure VA is supported
by DnaiAI.
Proof of (a). The first assertion of (a) is Theorem 3(b). To prove the second
e
assertion, let be a point of D - AI, and observe that the restriction v to
D - g} of the function Gt(e, -) - GD(e, -) is superharmonic with associated
Riesz measure the restriction of bt(e, -) to the class of bt(e, -) measurable sub-
sets of D - {e}. The set {v = O} is a Borel superset of the set AI n (D - {e}),
and it follows from Corollary 17 that the fine interior of this superset is
bt(e, -) null. Since it is already known (Theorem 14) that bt(e, -) is supported
by D n AI, it follows that this measure is supported by D n al AI, as was
to be proved. 0
Proof of (b). The first assertion of (b) is included in Theorem 14(c). To

prove the second assertion, observe that if v is harmonic on the open superset
B of A, then the set {~V~A = v} n B is the set on which the function ~V~A - v,
superharmonic on B, vanishes. The fine interior of this set includes Ali and
is null for the Riesz measure associated with ~V~A - v on B. Hence VA is
supported by D n alAI. 0
Extension of CoroUary 17_ If U 1 and U2 are superharmonic functions on an

open subset of fRN, if J-li is the Riesz measure associated with ui , and if A =
{u 1 = U2}, then J-li = J-l2 on the Borel subsets of the fine interior ofA.
Since this extension of Corollary 17 (like the corollary) is local, it is no

restriction in the proof to assume that U 1 and U2 are defined on a ball D on
which U 1 and U2 are lower bounded and even (after addition of a sufficiently
large constant) positive. Thus we shall suppose that U i is a positive super-
harmonic function on a ball D. Now ~Ui~D-A(e) = bg-A(e, u;) = Ui(e) for
e
quasi every point of D - A and therefore (fine continuity of superharmonic
functions) also for e in D and a fine boundary point of D - A, that is,
20. A Generalized Reduction 187
a fine boundary point of A. For ~ a fine interior point of A the measure

bg-A(~,.) is supported by the trace in D of the fine boundary of A, on which
U 1 = U2; so ~Ul~D-A + U 2 = U 1 + ~U2~D-A. Since (by Theorem 18) the mea-
sure associated with a reduction on D - A vanishes on Borel subsets of the
fine interior of A, we conclude that J.l.l = J.l.2 on these subsets.
19. Superharmonic Functions on Fine-Open Sets

Let D be a Greenian subset of ~N and let B be an open relatively compact
subset of D. If ~ EB, Theorem 13 implies that themeasureJ.l.B(~'·)is supported
by OIB. If v is a superharmonic function on D then
(19.1)
and there is equality if v is harmonic. Suppose now that B more generally

is a fine-open relatively compact subset of D and that ~ EB. Then J.l.B(~'·)
is no longer defined, but (by Theorem X.5) if v is a positive superharmonic
function on D,
(19.2)
It follows easily that
(19.3)
whenever v is a superharmonic function on D. In particular, there is equality

in (19.3) when v is harmonic because (19.3) in then true for both v and -v.
Observe that the measure bg-B(~,.) is supported by D n iJf(D - B) = (JIB,
according to Theorem 18.
Thus the superharmonic function inequality and the harmonic function
equality can be generalized to be valid on fine-open sets, and this suggests
that much of classical potential theory can be extended by replacing Euclid-
ean open sets by fine-open sets. The next step is to develop a fine potential
theory based on generalizations of superharmonic and harmonic functions
to fine superharmonic and harmonic functions, defined on fine-open sets.
We omit further discussion in this direction.
20. A Generalized Reduction

If D is a Greenian subset of ~N, if A is a subset of D, and if v is a positive
superharmonic function on D, we have defined the reduction R: relative to
D as the infimum of the class of positive superharmonic functions on D
majorizing V on A, equivalently, as the infimum of the class of superharmonic

functions on D majorizing ViA on D. In this section we replace ViA by a
function on D that is arbitrary except for boundedness and smoothness
conditions.
Let D be a Greenian subset ~N, let/be a locally lower bounded function
from D into iR majorized by some superharmonic function on D, and let
1J1 be the smoothed infimum of the class of superharmonic functions on
D majorizing f According to the Fundamental Convergence Theorem, 1Jf
is superharmonic and R ~ I quasi everywhere on D; so R is the infimum
+f +f
of the class of superharmonic functions on D majorizinglquasi everywhere
on D. Let Ilf be the Riesz measure associated with 1Jf. Recall that when C
is a subset of ~N, the notation Cf refers to the set of fine limit points of C.
Theorem. In the above context,

(a) For e > ° the measure Ilf is supported by the set
{1Jf = + 00 } u n {f
,>0
5; 1Jf 5; I + e < + 00 }'.
(b) IfI is fine upper semicontinuous, the measure Ilf is supported by the
set {1Jf = IV.
This theorem generalizes Theorem 18(b). In fact, suppose that A is a
subset of D, nonpolar in each open connected component of D to avoid
trivialities, and suppose that v is a strictly positive superharmonic function
on D. Define I = IA v; so R+f = R+vA , and suppose first that A is fine closed in
D. Then/is fine upper semicontinuous, and according to the present theorem,
Ilf is supported by the set {1Jf = IV and so is supported by {1Jf = I} because
this set is fine closed in D and so is supported by Af because 1Jf > I = on °
D - A. If A is not fine closed in D, we can replace A here by the set AI n D,
fine closed in D, because by fine continuity of superharmonic functions any
superharmonic function majorizing v on A majorizes v on Af n D; so R
+f
and R+vA are not changed by this set change. The result for fine-closed sets
shows that Ilf is supported by Af n D as stated in Theorem 18(b).
Prool(a) To prove Theorem 20, suppose first that/~ 0, define
for e > 0, f> > 0, and observe that the function
_1_R +~~R ~A'b

l+ef>+f l+ef> +f
20. A Generalized Reduction 189
is superharmonic on D, is majorized by R+1 , is equal to R+1 quasi everywhere

on A"j, and majorizes f quasi everywhere on D - At<! because the first
summand does. Hence this superharmonic function coincides with R ; so
+1
R+ = ~R/~A.tl.
+
According to Theorem 18, it follows that R
+1
is supported by
1
A{tl for all strictly positive e and b. Now
up to a polar set; so
{f~~r C{!!/~~rc{!!/~~}'
and when b -+ 0, the set on the right decreases to {l}1 = + 00 }. Thus Theorem
20(a) has now been proved for f~ O.
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 l}1 to Do is the smoothed infimum
of the class of superharmonic functions majorizing R on Do - Band
+1
majorizing f on B. Without loss of generality in the discussion of J1.1 we
can suppose, adding a constant to f if necessary, that the restriction to Do
of f is positive. It now follows from what we have already proved that for
every B the projection of J1.1 on B is supported by A~ (') Do for all strictly
positive e and b; so J1.1 is supported by A~tl for all strictly positive e and b,
and the rest of (a) follows as in the positive case.
(b) Iff is fine upper semicontinuous, the set
differs from A•• by a polar set and is fine closed in D; so
A~{ = A{. C A~.,
and part (a) of the theorem implies, when e -+ 0, that the measure J1.1 is
supported by the union of {!!1 = f} and the polar set {!!/ < j}. Since (by
Theorem V.H) !!I = +00 at J1.1 almost every point of a polar set, the set
{!!1 < f} must be J1.1 null; so part (b) of the theorem is true. 0
Special Positivity Case
Suppose in the theorem thatfis positive (and as in the theorem is majorized

on D by some superharmonic function), and define A = {f> O}. Then R
+/
is a positive superharmonic function, and it is easy to check that R = ~R ~A.

+J +J
We conclude from Theorem 14 that the measure associated with R is
+J
supported by ()fAJ n D.
21. Limits of Superharmonic Functions at Irregular Boundary

Points of Their Domains
If u is a lower-bounded superharmonic function defined on a deleted open

neighborhood of a point (of ~N, then (by Theorem V.S) u can be extended
to be superharmonic on the neighborhood; so U has a fine topology limit
(:s; + (0) at (. The following theorem shows that in this result the neighbor-
hood of ( need be merely a fine neighborhood. Recall (from Theorem 12)
that a Euclidean boundary point of an open set is irregular if and only if
the set is a deleted fine neighborhood of the point.
Theorem. Let U be a lower-bounded superharmonic function on an open

subset D of ~N, and let ( be an irregular Euclidean boundary point of D.
Then flim~ ....{u(~) (denoted below by J u(O) exists (:s; + (0).
Proof If N > 2, the point ( must be finite because (by Theorem VIllA)
00 is a regular boundary point of every unbounded open set. If N = 2 and
if ( = 00, an inversion of the plane in a finite boundary point reduces the
theorem to one with (finite. Thus we can assume that ( is finite and therefore
also that D is bounded. If (is an isolated boundary point of D, u has a super-
harmonic extension to D u {(} and so has a fine limit at (, the value at (
of the extension, namely, liminf~ ....{u(~). If ( is not an isolated boundary
point of D, the fact that ( is irregular implies that ~N - D is thin at ( and
therefore (by Theorem 2) that there is a positive superharmonic function v
on an open neighborhood of 15, finite at (, with limit + 00 at ( along ~N - D.
Define c = lim inf~ ....{(u + VID)(~)' If c = + 00, then u has fine limit + 00 at
(because v has the finite fine limit v(O at (along D. If c < + 00, the function
U 1 = (u + VID) 1\ (c + l) is superharmonic on D, is majorized by c + I, and
has limit c + I at every boundary point of D in some open neighborhood
B of ( except at ( itself. Extend u 1 to D u (B - {(}) by setting u 1 = C + I
on B - (D u {(}). Then U 1 is superharmonic and lower bounded on a deleted
neighborhood of (, and as noted above, such a function has a fine limit at"
necessarily the inferior limit of the function at (. Thus
f1imu 1(O
~ ....{
= liminfu1(O
~....{
= c.
Hence U + VID has fine limit c at (; so u has fine limit c - v(O at (. 0
Observation. The preceding proof shows that if the fine limit of u in

Theorem 21 is finite and if v is a superharmonic function on an open neigh-
22. The Limit Harmonic Measure f llD 191
borhood of " finite at " with limit + 00 at , along IR N - D, then u + v has

a superharmonic extension to the union of D and an open neighborhood
of(.
Application to Harmonic Measure
Let D be a Greenian subset of IR N with an irregular Euclidean boundary

point ,. Iffis a finite-valued continuous function on the Euclidean boundary
of D, then J1.D(-,f) = Hf is a bounded harmonic function on D and thus has
a finite fine limit at , . Iff. is a sequence of such continuous functions on D,
dense in C(aD), then an application of Theorem 21 combined with Lemma
8 shows that there is a subset A of D, a deleted fine neighborhood of "
such that every function J1.D(·,!n) has a limit at , along A. It follows that
limA3~"'" J1.D(e,,) exists in the sense of vague convergence of measures on
aD. Denote this limit by fJ1.D(" .). In the next section we shall show that
this limiting harmonic measure has many of the properties of ordinary
harmonic measure.
Modifications of Theorem 21
If in Theorem 21 it is supposed only that u is lower bounded on a deleted

fine neighborhood in D of " say u > a. on such a set, the theorem can be
applied as originally stated to u on {u > a.} to verify that the original conclu-
sion remains valid. Moreover a variation of the argument of the theorem
shows that if u/G(',') is lower bounded on D or even merely lower bounded
on a deleted fine neighborhood in D of " then this ratio has a finite fine
limit at ,. The special case in which , is an isolated boundary point of D
and u is positive on D is covered by Theorem 4(c).
22. The Limit Harmonic Measure f/l D

In this section boundaries of subsets of IR N are relative to the Euclidean
topology. Let D be a Greenian subset of IR N , and let' be an irregular bound-
ary point of D; that is, let D be a deleted fine neighborhood of'. Then (from
Section 21) lim~ ....,J1.D(e,·) exists in the sense of vague convergence of mea-
e
sures on aD when tends to , along some subset of D that is a deleted fine
neighborhood of ,. In the following r is the class of open subsets of D that
are deleted fine neighborhoods of ,.
(a) If A is a Borel subset of aD and if BEr, then
fJ1.D(', A) = fJ1.B(" A ( l aB) + i

Df"\oB
J1.D(rt, A)fJ1.B(" dr/). (22.1)
According to VIII(8.3), this equation is true when ( is a point of D.

Equation VIII(8.3) is equivalent to
J1D(~,f) = J1B(~,fB) + iD()oB

J1D(rt,f)J1B(~' drt) (22.2)
for all finite-valued positive continuous functions f on aD, with fB = f on

aD n aD andfB = 0 elsewhere on aD. The function J1B(·,fB) is harmonic on
D and so (by Theorem 21) has a fine limit at (. The function equal to J1D(·,f)
on D n aD and equal to 0 elsewhere on aD is lower semicontinuous. Hence
if we take fine limits in (22.2) when ~ -+ (, we find
and if this inequality is combined with the corresponding inequality for

- f + maxDf, we find that there is equality in (22.3). Since fB is upper semi-
continuous on aD, it follows that
f J1D ((,f) ~ fJ1B ((,fB) + iD()oB

J1D(rt,f)JPB((, dr,). (22.4)
Finally, this inequality combined with the corresponding inequality for

- f + maxDf yields equality in (22.4); that is,
f J1D((,f) = f J1B ((,fB) + r

JD()oB
J1D(rt,f)fJ1B(C dr,). (22.5)
Since this equality is true for positive continuous f on aD, it is true for
arbitrary one-side-bounded Borel measurable f on aD, and therefore (22.1)
is true.
(b) If A is a harmonic measure null subset of aD, then f J1D ((, A) = O.
We prove this in two steps, first proving it when ( is not in A by proving
it for A compact and not containing" This result is implied by (22.1) if D
is so small that A n aD = 0. Second, we prove that f J1D ((, {(}) = O. To
prove this, we use the fact that IR N - D is thin at ( to find a positive super-
harmonic function von the union of D with an open neighborhood of (,
with v(O < + 00 and with v having limit + 00 at ( along IR N - D. Define the
lower semicontinuous function v' on aD be setting v'(rt) = liminfD3~"""v(~),
and define v" as v' on aD - {(} but v"(O = + 00. Then v" is also lower
semicontinuous. If e > 0,
22. The Limit Harmonic Measure f/l D 193
Here we have used the fact that v" = v' off the harmonic measure null set
{n and that v is in the upper PWB class on D for the boundary function ev'.
Inequality (22.6) implies that fJ.l.D«(' {n) = 0, as asserted.
From now on when u is a function in D, and BE r, the averages J.l.B(e, u)
and fJ.l.B«(, u) will be used under the convention that in these averages u(r,)
is to be taken as liminfB3~_"u(e) when "1EoBnoD. Ifu is superharmonic,
this convention means that the function to be integrated on oB is lower
semicontinuous.
(c) If u is a lower-bounded superharmonic function on D and if Bl and
B2 are in r with Bl C B2 , then
(22.7)
and fum = sup {J.l.B«('U): BEr}.

Recall the convention just made for u on OBi noD, and observe that
(from Section VIII.8) u ~ J.l.B,(·' u) on Bl . (Here are below the convention
on the values of u assigned at boundary points of the sets involved may
not be the same as those in referenced inequalities, but the differences are
in favorable directions.) On approach to ( along a suitable deleted fine
neighborhood of( this inequality yields the first inequality in (22.7). Similarly
u ~ J.l.D(·' u) on D; so (22.5) withfreplaced by u yields the inequality fJ.l.D«(' u)
:5 fJ.l.B«(' u) and thereby yields the second inequality in (22.7) if the pair B,
D is replaced by the pair Bl , B 2 . Finally, if B = g ED: u(e) > (X} with
(X < fum, then fJ.l.B«(' u) ~ (X; so the last assertion of (c) is true. It is trivial
that the supremum in this assertion is not decreased by the additional

condition on B that oB n oD = {n.
(d) The function ul-+fum is lower semicontinuous on the space ofposi-
tive superharmonic functions on D in the topology of pointwise convergence.
In fact, if u. is a convergent sequence in this space, with limit u, and if
(X < fum, choose Bin r in such a way that oB n oD = {n and that fJ.l.B«(' u)
> (x. Then apply Fatou's lemma to obtain
This inequality implies the stated lower semicontinuity.

(e) By definition of regularity, if '1 is a regular boundary point of D,
then lim~_"J.l.D(e,·) in the sense of vague convergence is the unit measure
supported by {'1}, whereas if '1 is an irregular boundary point of D, then
flim~_"J.l.D(e,·) = fJ.l.D("1, .). That is, in terms of Dirichlet solutions if f is a
finite-valued continuous function on oD, then lim~_" Hf(e) = f("1) if", is a
regular boundary point, but flim~_"Hf(e) = fJ.l.D("',f) if", is an irregular
boundary point.
(f) If ( as above is an irregular boundary point of D and if", ED, then
according to Theorem 21, the function GD (·, ",) has a fine limit at (; we
denote this fine limit by fG D «(, ",). In view of the extension G~ of GD defined
in Section VilA, not only does this fine limit exist, but
(22.8)
and VIII(l8.2) implies that fGD «(,') is harmonic on D, as is also easily proved
directly. When D is connected, the superior limit in (22.8) must be strictly
positive; that is, fGD «(,') must be strictly positive, in view of the criterion
[Section VIII.l4, Application (c)] in terms of GD that a boundary point of
D be irregular.
23. Extension of the Domination Principle

Recall (from Section 4) that if h and v are strictly positive superharmonic
functions on a Greenian subset D of IIl N with respective associated measures
Vh and vv ' if u = vjh wherever either h or v is finite valued, and if u*(O is
defined as the fine limit of u at , wherever this fine limit exists, then u* is
defined quasi everywhere and Vh + Vv almost everywhere on D. The following
extension of the domination principle (Theorem V.I 0), unlike Theorem V.I 0,
does not suppose that polar sets are Vh null.
Theorem. Let h = GDVh be a potential on a Greenian subset D of IIl N , and let

v be a positive superharmonic function on D. Then h ~ v if (fine limit function
notation) (vjh)* ~ I Vh almost everywhere.
To prove this theorem, which obviously includes Theorem V.IO, let B be

a Borel support of Vh on which (vjh)* is defined and ~ 1. If 0 < c < I, the
set A = {v ~ ch} is a deleted fine neighborhood of every point of B; so
Be Af, and therefore c5~(e, g}) = I when e E B. Hence
v ~ ~V~A ~ C~h~A = cGD(vhc5~) = ch;
so v ~ h.
Chapter XII
The Martin Boundary
1. Motivation
Let D be an open subset of IRN . 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, ,,<:> K(",,) (see Section
11.16), and every positive harmonic function u on D is representable as an
integral JaDK(", ·)Mu(d,,) with M u 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 GD(~") has limit 0 at
every boundary point. Moreover (up to a multiplicative constant) the normal
derivative of GD(~") at the boundary is the density relative to IN-l 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 Ll(Jl~_) on the ball, a boundary function. In particular, the
Fatou boundary function of a PWBh solution H; is equal M h almost every-
where to!
The Martin boundary of a Greenian subset D of IRN 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 I. XII. 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(O, r)
and if ~ E D, then GD(~,") '" const. (r -1,,1) when 1,,1 ~ r so that if v is a
measure on D with compact support, GDv(,,) '" const. (r -1,,1) near the
boundary. This fact suggests that the normal derivative of GD(~' 0) at the
boundary point' should be replaced by
when' 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 IRN and its subsets, if no
topology is specified, the topology of IRN 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.
2. The Martin Functions

Let D be a connected Greenian subset of IR N , let v be a not identically 0
measure on D with compact support (T. c D, and define
(2.1)
for" and ~ in D except that K.(~,~) is left undefined when GDV(~) = + 00.
The function K. will be called the Martin function based on v, and K will
sometimes be written for K. when the choice of v is irrelevant. If v is the
probability measure supported by a singleton go}, so that K.(",~) =
GD(", ~)IGD('" ~o), the Martin function will be said to be based on ~o'
For" a point of finiteness of GD v the function K.(", 0) is a strictly positive
harmonicfunction on D - {,,}, and for ~ in D the function K.h~) is con-
tinuous on D - (T•• In view of the properties of GD listed in Section VII.3,
if A is a compact subset of D and if A t is a neighborhood of A U (TV' the
functions K. and 11K. are bounded on (D - At) x A. Moreover
3. The Martin Space 197
(2.2)
3. The Martin Space

Theorem. Let D be a connected Greenian subset oj IR N . There is a unique up
to homeomorphisms metrizable compactification D M oj D with the Jollowing
properties.
(a) Each MartinJunction K v on (D - O'v) x D has a continuous extension
(also denoted by KJ to (D M - O'v) X D.
(b) K v('1l") = K v('12") if and only if'll = '12'
The boundary OMD = D M - D obtained in this way will be called the
Martin boundary, and any metric Jor D M compatible with its topology will
be called a Martin metric. The Junction K v is now defined on its original
domain augmented by OM D x D.
Observation. According to the theorem, if '1. is a sequence of points of

D with limit 'I in OM D and if K v is a Martin function, then limn~CX) K v ('1n,') =
K v ('1,') is a strictly positive harmonic function satisfying (2.2) because in
any open relatively compact subset of D the above limit is the limit of a
uniformly bounded sequence of positive harmonic functions satisfying
(2.2). Moreover, because of (b) and the convergence remarks in Section 2,
a sequence 'I. in D with no limit point in D converges to a boundary point
if and only if limn~CX) K v ('1n,') exists; the limit function is then K v ('1,') with
'I = limn~CX) 'In' Thus the existence assertion of the theorem implies that
each point 'I of D M - O'v is associated with a function K v ('1, '), harmonic
on D if '1EOMD, harmonic except for an infinity at 'I otherwise, and the
class of associated functions under the topology of pointwise convergence
is homeomorphic with D M - O'v' This homeomorphism implies the unique-
ness of a compactification satisfying (a) and (b) above. Roughly, the Martin
space D M is the compactified space of the set of Green functions {GD ('1,'),
'1 ED} normalized to be conditionally compact under pointwise convergence.
Observe that if Kv and K" are Martin functions, then
(3.1)
Hence for 'I in D - (0'" U O'J the function Ki'1,') associated with the point
'I and the Martin function K" is a constant multiple of the function Kv ('1,')
198 I.XII. The Martin Boundary
associated with '1 and Kv • The choice of reference measure for a Martin
function is a matter of convenience, although the most common choice
is one with (Tv a singleton, that is, with Kv based on a reference point.
Proof of theorem. Let Kv be a Martin function, and suppose that v has been
chosen to make GDv finite valued and continuous. Letfbe a strictly positive
continuous function on D, IN integrable over D, and define
The function dv is a metric for D, endowing D with the Euclidean topology:

so if'1. is a Cauchy sequence for dv and if some subsequence '1a. has Euclidean
topology limit 11 in D, then Iimn~<Xl dv (11, '1a') = O. It follows that 11. is con-
vergent to '1 in the dv metric and therefore also in the Euclidean metric.
If '1. is a sequence of points in D and if no subsequence of 11. has a Euclidean
topology limit in D, then according to Section 2, if B is an open relatively
compact subset of D, the sequence nI-+Kv ('1n,') on B is a uniformly bounded
sequence of harmonic functions if finitely many values of n are omitted.
It follows from the convergence properties of harmonic function sequences
(Section 11.3) that the sequence n 1-+ Kv (11n, .) has a subsequence jl-+ Kv('1a.,·)
converging locally uniformly on D to a harmonic function h. This su6se-
quence is a Cauchy sequence for d v ' In particular, if 11. is a Cauchy sequence
for dv and if the pair (e, '1) in (3.2) is replaced by (11/f1, '1a .), we fmd whenj -+ 00
that the integral J
tends to 0 when m -+ 00. We conclude that every convergent subsequence

of the sequence n 1-+ Kv('1n,') has limit h, so that Iimn~<Xl Kv('1n,') = h locally
uniformly on D. 0
This discussion shows that if D is completed in the dv metric, the resulting

space D M is a compact metric space and that each point Cadjoined to D
in the completion can be identified with a positive harmonic function, which
we denote by K.<C, '), identified by the fact that '1-+ Cin the DM metric if
and only if Kv ('1, .) -+ Kv «('·) locally uniformly on D. Moreover, integrating
to the limit shows that (2.2) is satisfied when '1 = C. The conditions (a)
and (b) of Theorem 3 are satisfied by Kv and therefore also satisfied by an
arbitrary Martin function K/l in view of (3.1).
EXAMPLE (Balls and Half-Spaces). Let D = B(O, <», and let v be a unit mea-
sure supported by the origin. Then Kv (11, 0) = I for 11 #: 0 and
4. Preliminary Representations of Positive Harmonic Functions and Their Reductions 199
if N= 2
if N> 2
so that when,., tends to , on the Euclidean boundary, the value K.(,.,,~)

tends to a multiple [b- t if N = 2, (N - 2)b 1 - N if N > 2J of the inner normal
derivative of GD(·'~) at " and the Martin function K. becomes the Poisson
kernel density denoted by K in Section 11.1. Thus the Martin boundary of
a ball is the Euclidean boundary. Similarly, if D is a half-space, the Martin
function based on a suitably chosen reference point becomes the Poisson
kernel density denoted by Kin Section VIII.9, and again the Martin boundary
is the Euclidean boundary. Alternatively the Martin boundary of a half-
space can be derived from that of a ball since a ball can be mapped onto
a half-space by an inversion. The same reasoning, based on the Riemann
mapping theorem, shows that the Martin boundary of any plane Jordan
domain is its Euclidean boundary and that more generally the Martin
boundary of an arbitrary simply connected plane Greenian open set other
than ~2 is the Caratheodory prime end boundary.
4. Preliminary Representations of Positive Harmonic

Functions and Their Reductions
Lemma. Let D be a Greenian subset of~N with Martinfunction K•. Ifu is a
positive harmonic function on D and if A is a subset of D with (aA) n 0'. = 0,
there is a measure AUA on D M , supported by the boundary of A relative to D M ,
for which (reduction relative to D)
(4.1)
In particular, there is a measure Au ( = AuD) supported by aM D for which
(4.2)
A measure Au on aM D satisfying (4.2) must also satisfy
(4.3)
for every Borel subset F of aM D.

Observation. In general the measure Au is not uniquely determined by

u in (4.2), but it will be seen in Section 9 that Au can be chosen to be supported
by the set of minimal Martin boundary points (to be defined in Section 5)
and that if so chosen, Au is uniquely determined.
If A is relatively compact in D, the function ~U~A is a potential, say GDA.',
A.' is supported by oA, and (4.1) is true with A(dO = GDv(OA.' (dO· If A is
not relatively compact in D, let B. be an increasing sequence of open subsets
of D, relatively compact in D and with union D, so large that (j. c Bo .
According to what has just been proved, the potential ~u~Bn(")A can be repre-
sented in the form
(4.4)
where An is a measure supported by o(Bn n A) and
(4.5)
The sequence A. is a bounded sequence of measures on the compact space

D M . If Au is the limit of a vaguely convergent subsequence, it is trivial that
Au is supported by the boundary of A relative to D M and that (4.4) yields
(4.1).
We shall only need (4.3) when Fis compact, but this equation has general
interest and so we prove it as stated. In view of the properties of the reduction
operation the class of sets F satisfying (4.3) includes limits of monotone
sequences of its members; so it is sufficient to prove (4.3) for compact
boundary subsets F. If F is such a set, let F: be a decreasing sequence of
compact neighborhoods of Fin D M with intersection F, and set Fn = D n F~.
Then [from Section III.5(a)] limn_ oo ~u~Fn = ~U~F. Now
(4.6)
and (4.6) yields (4.3) when n -+ 00.
5. Minimal Harmonic Functions and Their Poles

Let D be a Greenian subset of ~N with Martin function K ( = K.). A Martin
boundary point ( is called minimal if its associated function K«(,') is a
minimal harmonic function for one and therefore for every choice of the
Martin function K. The set of minimal boundary points is called the minimal
Martin boundary and is denoted by ot'D. In the following theorem K is an
arbitrary Martin function for D. Recall from Section X. 7 that a Martin
boundary point ( is said to be a pole of a positive harmonic function u if
6. Extension of Lemma 4 201
~u~{~} = u and that then ( is also a pole of every positive harmonic minorant
ofu.
Theorem. (a) Every (;;= 0) minimal harmonic function on D has a unique

pole on OM D. If a Martin boundary point ( is the pole of a positive (;;= 0)
harmonic function u, then ( is the only pole of u, u = const. K«(, .), and (
is a minimal boundary point. In particular, if'1 is a minimal Martin boundary
point, the function K('1,·) has pole '1.
(b) If ( is a minimal Martin boundary point and if A is a set of minimal
Martin boundary points, then ~K«(,·) ~A is either K«(,·) or 0 according as
(eA or (¢ A.
Proof of (a). According to Section X.7, whatever the boundary assigned

to D by a metric compactification, a minimal harmonic function on D has
at least one pole. Now let u be a strictly positive harmonic function on D
with pole (. We can assume in proving (a) that K = Kv and that u has been
normalized so that JD U dv = I. Apply Lemma 4 with A the trace on D of
a neighborhood of ( to derive
(5.1)
The measure AUA is supported by the boundary of A relative to D M ; so

when A shrinks to (, the measure AUA tends (vague convergence) to the
probability measure supported by the singleton {(}, and therefore (5.1)
becomes u = K«(, .). Thus ( is uniquely determined by u. Moreover, as
already recalled at the beginning of this section, if v is a positive harmonic
minorant of u, then v also has pole (. Hence v = const. K«(, .), and therefore
u is a minimal function; that is, ( is a minimal boundary point. Finally,
if '1 is a minimal Martin boundary point, then according to what we have
just proved, K('1,·) has a pole ( and K('1,·) = const. K«(, .). The constant
must be I; so '1 = (. 0
Proof of (b). If ( is a minimal Martin boundary point, the function K«(,·)

has pole (according to (a); so surely ~K«(,·) ~A = K«(, .) if (e A. Furthermore
the set B = OM D - {(} is open in OM D and contains no pole of K«(,·); so
(from Section X.7) ~K«(, .)~B == 0, and therefore ~K«(, .)~A == 0 if A c B. 0
6. Extension of Lemma 4
Lemma. (Context of Lemma 4). If F is a compact subset of OM D, there is a
measure AuF supported by F such that
202 1. XII. The Martin Boundary
Let F: be a decreasing sequence of compact neighborhoods of F in D M

with intersection F, and set Fn = D n F~. Then [Section III.5(a)] limn-+<X> ~u~Fn
= ~U~F, and according to Lemma 4, there is a measure fJ.n supported by the
boundary of Fn relative to D M such that
If A.uF is the vague limit of a convergent subsequence of fJ.., the measure

A.uF is supported by F, and the first equation in (6.1) is true. Next apply the
operator (j£n to the first equality to obtain
i
~ ~U~F ~Fn = (j~n(., ~U~F) = (j~n(., K.«(, ·»A.uF(dO
= i ~K.«(,·) ~FnA.uF(dO,
which yields the second equation in (6.1) when n -+ 00 in view of the idem-
potency of the smoothed reduction operation.
Application. A Martin boundary point ( is nonminimal if and only if
~K.(C·) ~{{}== O. In fact, according to Lemma 6 with u = K.(C·) and F = g},
~K.(C·) ~{{} = cK.«(, .), -

c-
,
II.K.(C. 'lIC)
(I{ll
,
and c is either 1 or 0 because the smoothed reduction operation is idem-

potent. Since (by Theorem 5) the condition c = 1 characterizes minimality,
the condition c = 0 must characterize nonminimality.
The following theorem strengthens this result.
7. The Set of Nonminimal Martin Boundary Points

Theorem. The set of nonminimal Martin boundary points of a connected
Greenian subset D of IR N is an Fa set that is h-harmonic measure nullfor every
strictly positive harmonic function h on D.
Let h be a strictly positive harmonic function on D, let ~o be a point of D,

and let K be a Martin function for D. If B is an open subset of D M , define
Since a smoothed reduction on B is obtained by applying the operator (j~,",D,

an application of Fatou's lemma shows that B' is compact. Moreover, if A
8. Reductions on the Set of Minimal Martin Boundary Points 203
is a compact subset of the F;, set B' rl B,
«( eA). (7.1)
An application of the representation (6.1) to ~h~A,
~h~A(~O) = L K«(, ~o)A.hA(dO = I ~K«(,·) ~A(~o)A.hA(dO

(7.2)
< ~h~A(~O)
- 2 '
shows that ~h~A == 0; that is, A is h-harmonic measure null. The application
in Section 6 implies that the points of B' rl B are not minimal and that when
B runs through the open sets of a countable topological base of D M , the
class of F" h-harmonic measure null sets B' rl B covers the set of nonminimal
Martin boundary points. The theorem follows.
8. Reductions on the Set of Minimal Martin Boundary Points

Lemma. If h is a strictly positive harmonic function on the connected Greenian
subset D of IR N , then
M
h = ~h~cJl D = sup {~h~A: A c of D, A compact}. (8.1)
It is sufficient to show that the first and third terms in (8.1) are equal
because the second term lies between them. There is [from Section VIII.5(b)]
a positive h-superharmonic function u on D that has limit + 00 at every point
of the h-harmonic measure null set of nonminimal Martin boundary points.
Define
The set An is a compact set of minimal boundary points, and since [from
Section VI.3(e)] limn...", ~h~An = ~h~A', it will suffice to prove that ~h~A' = h.
Since u has limit + 00 at every point of the set B = OM D - A', the set B is
h-harmonic measure null [Section VIII.5(b)]; so ~h~B = 0, and by sub-
additivity of the set function ~hr,
so ~h~A' = h, as was to be proved.

9. The Martin Representation

Let D be a connected Greenian subset of IR N . It will be convenient to expand
the vector lattice notation in Chapter IX by introducing into the notation
the relativizing strictly positive harmonic function: S, Sm, ... will be written
hS, hSm, ... when h is the relativizing function. For example, hSmqb is the
class of quasi-bounded h-harmonic functions on D.
If K v is a Martin function for D and if Au is a signed measure on aM D, the
function u defined by (4.2) is harmonic on D because u is continuous and has
the harmonic function average property. In view of the Jordan decomposi-
tion of Au the function u is in the class ISm' Conversely, according to Lemma
4, a positive harmonic function on D, and therefore also a harmonic function
in ISm' has a representation (4.2) in terms of a not necessarily uniquely
defined signed measure on aM D. The following Martin Representation
Theorem details among other things the relation between harmonic func-
tions in ISm and their unique Martin representing signed measures on at'D.
Theorem. Let D be a connected Greenian subset oflR N , let K be a Martinfunc-

tionfor D, and let h be a strictly positive harmonic function on D.
(a) To each function v in ISm corresponds a unique finite-valued signed
measure M v on aM D, supported by the minimal Martin boundary
at'D, positive if v is, and satisfying
v= [ K«(, ·)Mv(do. (9.1)

JaMD
(b) For given K the correspondence v/h +-+ M v is an isomorphism between

the vector lattice ~m and the vector lattice ofsigned measures on aM D
supported by at'D.
(c) A function v/h in hSm is in hSmqb[~ms] if and only if M v is absolutely
continuous [singular] relative to M h. In the quasi-bounded case
v=
ioMD
dM
K«(,·) dMV(OMh(dO.
h
(9.2)
See Section IO for the relation between Martin representing signed mea-
sures and harmonic measures.
Uniqueness proof Suppose that v is a positive harmonic function on D and

that there is a measure Mv supported by at'D for which (9.1) is satisfied.
Then according to Lemma 4 and Theorem 5(b), if A is a Borel boundary
subset,
9. The Martin Representation 205
Hence JD ~V~A dv = MiA); so the measure M v is uniquely determined by v.

If VE 1Smand if v has two representing signed measures, M v and M~, then the
function 0 has the representing signed measure M v - M~. The two positive
measures whose difference is M v - M~ (Jordan decomposition) are therefore
representing measures for the same positive harmonic function on D and so
must be identical according to what we have just proved; that is, M v = M~. 0
Proofof (a). Let v be a positive harmonic function on D, and let A be a com-

pact subset of the minimal boundary, so that according to Lemma 6, there is
a measure AVA supported by A and satisfying
(9.4)
The measure AVA was just shown to be uniquely determined. If B is a compact

subset of A, the equality ~ ~V~A ~B = ~V~B implies by Lemma 4 and Theorem
5(b) that
Hence A VB = AVA on the Borel subsets of B. Let A. be an increasing sequence

of compact subsets of the minimal Martin boundary, chosen so that (Lemma
8) limn_co ~v~An = v at some point of D, which implies (by the Harnack con-
vergence theorem) that this limit relation is true locally uniformly on D.
According to what we have just proved, AvAn = AvA"+1 on the Borel subsets
of An. The increasing sequence AvA. of measures has limit M v ' a measure
(Appendix IV.4) of Borel sets supported by the minimal Martin boundary.
If A in (9.4) runs through the sequence A., this equation becomes (9.1) in the
limit. 0
Proofof (b). The uniqueness property has already been proved. The relation
v/h +-+ Mv is obviously linear and is specific order preserving because v ~ 0 if
and only if M v ~ O. The vector lattices in question are therefore isomorphic.
o
Proofof (c). The assertions of(c) follow from the vector lattice isomorphism
just derived. On the one hand, hSmqb is the subband of~m generated by the
function I, and hS ms is the orthogonal complement of hSmqb in ~m; that is,
hS ms is the subband of hSm orthogonal to the function I. Equivalently, hSmqb
is the subband of hSm consisting of the class of functions v/h with v in the
subband of ISm generated by h, and ~ms is the subband of ~m consisting of
the class of functions v/h with v in the subband of ISm 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 p is in the band generated by M h of signed
or
measures (charges) on OM D supported by D, that is, if and only if Mp is
absolutely continuous relative to Mh . Furthermore v/h is a singular h-har-
monic function if and only if M p 1. M h , that is, if and only if M p is singular
relative to M h • 0
The Martin Representation of a Minimal Harmonic Function
If u is a not identically 0 minimal harmonic function on D, then u = cK('1,')

for some uniquely determined minimal Martin boundary point '1. In fact,
more generally we now show that if u is a not identically vanishing minimal
harmonic function on D and if
for some measure Au on OMD, then Au must be supported by a uniquely deter-

mined singleton {'1}. To prove this, observe that if A is a Borel subset of
OM D, then SA K«(, ')Au(dO is a positive harmonic function majorized by u
e
and therefore proportional to u. If now is in the compact support of Au and
if A is the trace on OMD of an open Martin topology neighborhood of and e
e,
shrinks to it follows that
1 = c(e) Ludv.
Hence c(') is a constant function on the support of Au, K(e,,) is the same
e
function for all in this support, and therefore Au is supported by a singleton
{'1}. The point '1 is minimal and therefore (Theorem 9) uniquely determined
by u. In particular, if u = K('1''') for some minimal boundary point '1',
it follows that the point '1 must bert'.
The Notation Mp
Let v be a positive superharmonic function on a Greenian subset D of

~N, and let VI be the harmonic component of the Riesz decomposition
of v. For a given Martin function K the function VI determines a unique
or
measure M p1 on D, and we define M p = Mp, • A glance at (3.1) as extended
to the Martin boundary shows that Mp and any other measure on the minimal
Martin boundary induced by a different choice of K are mutually absolutely
10. Resolutivity of the Martin Boundary 207
continuous. Slightly more generally, if VE IS, we define M v as the Martin

representing signed measure on or
D of the ISm component of v.
10. Resolutivity of the Martin Boundary

Theorem. The Martin boundary is universally internally resolutive and uni-
versally resolutive. If K is a Martin function and h is strictly positive and
harmonic on D, Jl~(~,dO = K(',~)Mh(dOJh(~). An h-harmonicfunction u =
vJh is a PWBh solution if and only if it is quasi bounded, equivalently, if and
only if M v is absolutely continuous relative to M h, and then
(10.1)
Let h be a strictly positive harmonic function on D, and let A be a closed

subset of OM D. Apply (4.3) and Theorem 5 to derive
The function A 1-+ jj~ is therefore additive and (Section VIII.9) h-resolutivity
A
of OM D follows, and also the evaluation Jl~(-, dO = K(', ·)Mh(dO/h. Ac-
cording to Section IX.9, every PWBh solution is quasi bounded. Conversely,
if u = vJh is a quasi-bounded h-harmonic function, equivalently (Theorem
9), if M v is absolutely continuous relative to M h, and iff= dMvJdMh,
(10.3)
so that u is the PWBh 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 ofh-Harmonic Measure. Ifu = vJh is h-harmonic on D,
if
o~ u ~ I, u A (1 - u) = GMMu 1\ (1 - u)] = 0, (10.4)
that is, if for f = dMvfdMh ,
o ~f~ I, f 1\ (1 - f) = 0 M h almost everywhere (10.4')
then f coincides Mh almost everywhere on OM D with the indicator function

of a Borel set A, and u = Jl~(., A). Conversely, if u is the h-harmonic measure
of a Borel boundary subset A, the reverse argument shows that (lOA) is

satisfied.
Relations between Martin Representing Measures and Harmonic

Measures
According to Theorem 10, the measures Jli<~,') and M h are mutually

absolutely continuous for all ~ in D; that is, a boundary subset is Jl~ null
if and only if it is M h null. In fact the equality Jl~(e, dO = K«(, e)Mh(dO/h(~)
implies more: a boundary function is M h measurable and integrable if and
only if it is Jl~(~,') measurable and integrable for every (equivalently a
single) point ~ of D.
Special Case: h Is Minimal. If(eo:'Dand ifh = K«(, '), thenJl~(e,·) = M h
for every point e of D, and this measure is the unit measure supported by {(}.
11. Minimal Thinness at a Martin Boundary Point

Theorem. Let D be a Greenian subset offRN, let K be a Martin function for D,
let A be a subset of D, and let ( be a minimal Martin boundary point of D.
(a) The following conditions are equivalent:
(al) R~(V) = K«(, .).
(a2) R~~~) = K«(, ·)for every Martin topology neighborhood B of(.
(b) The following conditions are equivalent:
(bl) R~«,.)#:K«(,·).
AnB
(b2) inf {R+K(~,·) : B is a Martin topology neighborhood of (} = O.
A
(b3) R+K(~,·) is a potential.
(c) If B is a Martin topology neighborhood of(, then
(cl) R:«..) = K«(, '),
(c2) Rfi{.~) #: K«(, .).
Each condition (al), (a2), (bl), (cl), (c2) is satisfied if and only if it is
satisfied using the corresponding smoothed reduction.
The set A is said to be minimal thin at ( 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 ( is a
nonminimal Martin boundary point, condition (b2) is satisfied because
. d'Icated'10fiImum IS
the 10 . R{~)
K(~,.)'
The proof of the theorem will be carried through in several steps, num-
bered for convenience in reference.
A
Proof Step 1. Proof that R+K«,·)
is either K«(,') or a potential. Since K«(,·)
is minimal, the Riesz decomposition of R+ KA«..) must have the form
11. Minimal Thinness at a Martin Boundary Point 209
R A
+K(V)
= V + cK(Y,>, .) , (11.1)
where v is a potential and c is a positive constant. If we use the fact that

the smoothed reduction operation is idempotent, we find that
(11.2)
and since a function majorizes its smoothed reduction, it follows that the
terms on the right in (ll.l) and (11.2) are pairwise equal. Hence either
c = 0 and 1J:({,.) is a potential or c > 0 and 1J:({,) = K((, '), in which case
c = 1 and v = O.
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 ii. According to Lemma 4, there is a measure A on D M , sup-
ported by oeD - B) (boundary relative to D M), 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((,') is possible only if A is supported by {n, contrary to the definition
of B. Hence there cannot be equality in (c2).
Step 3. Proof that (aI) <:> (a2). The implication (a2) = (aI) is trivial. To
prove the reverse implication observe that if (al) is true and (a2) is false,
AnB
then R+K({,") is a potential for sufficiently small B by Step 1, and R+KA({,.)
-
B
is a
potential according to Step 2, because this smoothed reduction is a positive
superharmonic function majorized by the potential 1J%(~,~). Hence by set
A
subadditivity of reductions R+K({,') is a potential, contrary to hypothesis.
Step 4. Proof of (el). Assertion (el) 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 Sea)] (is a pole of K((, .).
Step 5. Proof_that (bI) = (b2). The function R~~~) is harmonic and
positive on D - B. Let B shrink to (, say along a sequence of balls of center
( 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
A
infimum and is a positive harmonic function, majorized by R+K({,') • Since
this smoothed reduction is a potential by Step I, the harmonic function

vanishes identically, as was to be proved.
= =
Step 6. Proof that (b2) (b3) (bI). These implications follow trivially
from Step 1 and the equivalence of (al) and (a2). 0
210 l.XII. The Martin Boundary
The proof of the theorem is now complete, and we turn to the definition
of the minimal-fine topology of D M .
12. The Minimal-Fine Topology

Let D be a connected Greenian subset of ~N, let K be a Martin function
for D, and let' be a minimal Martin boundary point. The class MT(O of
subsets of D minimal thin at , has the following properties.
(PI) Every subset ofa set in MT(O is itself in MT(O (trivial).
(P2) A finite union of sets in MT(O is in MT(O, because the set function
A 1--+ Rt(c..) is subadditive.
(P3) If A E MT(O, then the union A' of A and its set of fine limit points
in D, as defined in Section XU, is in MT(O, because according
to Section XI. 7,
(P4) Every set in MT(O has an open superset in MT(O, because ac-
cording to Section III.5(e),
The Minimal-Fine Topology
We define the minimal-fine topology of D M by the following conventions:

A point' of D is a minimal-fine limit point of a set A if AnD is not
thin at ,.
A point' of at'D is a minimal-fine limit point of a set A if AnD is
not minimal thin at ,.
Each nonminimal Martin boundary point is a minimal-fine isolated
point of D M .
The minimal-fine topology of D M has as relative topology on D the
fine topology already defined on D in Section XLI. According to Theorem
11 (c), if B is a Martin topology neighborhood of the minimal Martin
boundary point " then B n D is a deleted minimal-fine neighborhood of
" and D - B does not have' as a minimal-fine limit point. Thus the minimal-
fine topology of D M is a (Hausdorff) topology finer than the Martin topology
ofD M .
For some choices of D, for example, when D is a ball (Section 3), the
Martin space D M can be identified with the Euclidean closure of D. Observe
that for such a choice of D if , is a boundary point and if A is a subset of
12. The Minimal-Fine Topology 211
D, then thinness of A at' in the fine topology of IR N need not be equivalent

to minimal thinness of A at ,. For example, if D = B(O, b), then every
boundary point is a minimal Martin boundary point, and if B is a ball
internally tangent to oD at " then D - B is minimal thin at , but is not
thin at ,. In fact, in this case K(,,·) is a constant multiple of the function
(Section 11.16), and D - B is the locus of the inequality K(,,·) ~ c for some
strictly positive constant c. Since we shall prove [equation (12.3)] that the
minimal-fine limit of K(,,·) at , is + 00, the set D - B is minimal thin at ,.
The set D - B is not thin at , because it contains the trace on a neighborhood
of' ofan open cone with vertex' (see Section XI. 3). We shall use the notation
"mf lim" for minimal-fine limits.
EXAMPLE (a). Let D be a Greenian subset of IR N , let' be a point of D, and

define Do = D - {'}. Then (from Section VII.1) GDo is the restriction of
GD to Do x Do, and (from Section VII.lO) the restriction of GD(C·) to Do
is a minimal harmonic function on Do. We conclude that the point' can
be identified with a minimal Martin boundary point of Do, the pole of the
restriction of GD(C·) to Do. The Martin topology of D~ coincides on D
with the Euclidean and Martin topologies of D. Thus the Martin space
D~ can be identified with D M . Finally, the minimal-thin topology of D~
on a Martin neighborhood of , is identical with the fine topology of D M
and of IR N on that set. Hence minimal-fine limit concepts on Do at , coincide
with fine limit concepts on D at ,. More generally, a trivial refinement of
this reasoning shows that if A is a closed relative to D polar subset of D
and if Do = D - A, the Martin space D~ can be identified with D M by
ott
identifying each point' of A with a point of Do, the pole of the restriction
to Do of GD (', .); minimal-fine limits on Do at , coincide with fine limits
on D at ,. Finally, suppose that v is a positive superharmonic function on
D whose Riesz measure v is supported by A. The function v is harmonic
on Do and thus has a Martin representation there in terms of a measure
M ov on ottDo = A u attD. Choose a Martin function KO for Do based on a
point ~o in Do. Then it is clear that for' in A,
so that Mov(dO = GD(~O' Ov(dO for' in A. It is important that M ov and v

are mutually absolutely continuous on A.
Minimal-Fine Limits at an Isolated Boundary Point. Example (a) implies
that to each theorem on minimal-fine limits at a minimal Martin boundary
point of a Greenian set D corresponds a theorem on fine limits at a point

of D. For example, the fact that (Section XU) a set thin at a point of D
has an open superset thin at the point corresponds to the fact (P4) that a
set minimal thin at a minimal Martin boundary point of D has an open
superset minimal thin at the point. The fact that [Theorem XI.4(a)] if v is
a positive superharmonic function on D and if ( is in D, then v/GD «(,')
has fine limit the value infD_{~} v/GD«(,·) at ( corresponds to the fact that
if ( is a minimal Martin boundary point of D and if K is a Martin function
for D, then v/K«(,·) has fine limit the value infDv/K«(,·) at (. The latter
result is proved in Section 13, and a dual result is proved in Section 14.
EXAMPLE (b). Denote by d~ the Nth coordinate of the point ~ of ~N, and
define D = {~: d~ > O}. Then (from Section 3) D M is the closure of D in
the one-point compactification of ~N; so the Martin boundary is the
Euclidean boundary. If u is a positive superharmonic function on D, if
e > 0, if Uc = u( ~/e), if A is a subset of D, and if eA has the obvious meaning,
then RA(~)
+u
= RCA(e~).
+u c
In particular, ifu(~) = I~I-Nd" that is, ifu is a minimal
~
harmonic function on D with pole the origin, then Uc = eN-lu and
A
If A is relatively compact in D and not polar, then R +u
is a nonzero potential,
and the evaluation of GD in Section VIII.9 shows that RA(e~) +u
'" eN-l4J(~)
when e -+ 0, with 4J a strictly positive finite-valued function. It follows that
if e. is an arbitrary sequence of strictly positive numbers with limit 0 and if
B is the intersection of U~ (ellA) = A' with a Euclidean neighborhood of
the origin, then
for sufficiently large n. Hence A' is not minimal thin at the origin.
A trivial example of the application of Example (b) shows that if N = 2,

no initial segment ofa ray from the origin into D is minimal thin at the origin.
r
An analogous argument shows that if is a boundary point of a disk D',
r
then no initial segment of a ray from into D' is minimal thin at r.
In view of Example (b) if a function from the upper half-space of ~N
into a Hausdorff space has both a minimal-fine and a nontangential limit
at a boundary point, the two limits must be the same. An analogous argument
leads to the same conclusion if D is a ball.
14. Second Martin Boundary Counterpart of Theorem XI.4(c) 213
13. First Martin Boundary Counterpart of Theorem XI.4(c)

and (d)
Theorem. Let D be a connected Greenian subset of IR N , let K be a Martin

function for D, and let ( be a minimal Martin boundary point of D.
(a) If v is a positive superharmonic function on D, then
v
mflim ~ = i n f -- = Mi{(}). (13.1 )
~-~ K«(, r,) D K«(,·)
(b) Let A be a subset of D with Martin topology limit point (. If A is

minimal thin at (, there is a positive superharmonic function v on D
for which
lim ~= +00. (13.2)

A 3~-~ K«(, r,)
Conversely, if there is a positive superharmonic function v on D

satisfying (13.2), then A is minimal thin at (.
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 «(,·) in that proof by K«(,·) 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 O. If v I in (a), we find that
mflimK(Cr,) = supK(J1.,·). (13.3)

~-~ D
14. Second Martin Boundary Counterpart of Theorem XI.4(c)

Theorem. If D is a connected Greenian subset of IR N , if v is a strictly positive
superharmonic function on D, if (EOt' D, and if ~ E D, then
' v(r,) 1" f v(r,)

O < mfl 1m
~-~
G (J: ) = 1m 10 G (J: ) ~
D ,:>, r, ~-~ D ,:>, r,
+ 00. (14.1)
Observe that (14.1) is trivial if the indicated inferior limit is + 00. We can
therefore ignore this case and prove the equality in (14.1) by showing that
214 1. XII. The Martin Boundary
whenever c is a finite number strictly larger than the inferior limit in (14.1),
it follows that the set A = {'7: v('7) ~ CGD(~''7)} is minimal thin at ,. Let K
be a Martin function for D based on the point ~. By definition ofthe smoothed
reduction on A the inequality v ~ C~GD(~' .)~A is valid on D; so in view of
sweeping symmetry, if'7ED - g},
and therefore since ~K('7,·) ~A(~) = b~(~, K('7, .», Fatou's lemma is appli-
cable when '7 - , in (14.2) and yields
Hence ~K(" .)~A(~) < 1 = K(',~); so (from Section 11) the set A is minimal
thin at " as was to be shown in proving the equality in (14.1). To show that
the minimal-fine limit in (14.1) is strictly positive, it can be assumed that v
is a strictly positive potential GD v, after replacing v if necessary by its re-
duction on a ball relatively compact in D. Under this hypothesis,
Special case: v == 1. If GD(e,·) has minimal-fine limit 0 at " as we shall
prove (Section 18) is true at J1.D almost every minimal Martin boundary
point" it follows from Theorem 14 that GD(e,·) has limit 0 at' on approach
to , in the Martin topology. [Incidentally, this application of Theorem 14
to the function l/GD (e,·) exhibits the fact that the minimal-fine limit + 00
cannot be excluded in (14.1).] This vanishing of the Green function GD(e,·) 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.
Relation between Theorems 13, 14, and XI.4
The fact that the Laplacian is a self-adjoint differential operator leads to

the symmetry of the Green function GD , absent in the potential theory
generated by a non-self-adjoint differential operator. In such a theory the
counterpart of Theorem XI.4 splits into two theorems. See Section XVIII. 14
for the versions of Theorem XI.4 in the potential theory corresponding
to the heat equation and its adjoint. The self-dual character of classical
15. Limits at a Minimal Martin Boundary Point 215
potential theory is lost at the Martin boundary of a Greenian domain,

however, and in fact Theorems 13 and 14 are dual to each other. This is
suggested by the fact that the proof of Theorem 14, unlike the proof of
Theorem 13, uses the sweeping symmetry of classical potential theory.
In the probabilistic versions of these theorems (Theorem 3.111.5) Theorem
13 states that the function v/K(', -) has the indicated limit at , along almost
every Brownian path conditioned to go from a point of D to (, whereas
Theorem 14 states that v/GD(e, -) has the indicated limit at , along almost
every Brownian path conditioned to go from' to a point of D. If the two
points of D here are taken to be the same, these conditional Brownian paths
to , can be identified with those from' ; so the same limit concept is involved,
corresponding to minimal-fine limits at ,. In particular, in classical potential
theory if' is a point of a Greenian set D, then' can be identified with a
minimal Martin boundary point of D - {O [Section 12, Example (a)], the
corresponding minimal harmonic function is a multiple of GD (', -), and
Theorems 13 and 14 coalesce to Theorem XI.4(c).
15. Minimal-Fine Topology Limits and Martin Topology

Limits at a Minimal Martin Boundary Point
Let D be a connected Greenian subset of IRN , letK be a Martin function for
D, and let' be a minimal Martin boundary point. The following lemma is
the analog of Lemma XI.8 in the present context.
Lemma_ Let A_ be a decreasing sequence ofsubsets ofD, and suppose that each
set A k is a deleted minimal-fine neighborhood of' [has minimal-fine limit point
,]. Then there is a subset A of D with the property that for each k the part of
A in a sufficiently small Martin topology neighborhood of' is in A k and that A
is a deleted minimal-fine neighborhood of' [has minimal-fine limit point n.
The proof is similar to that of Lemma XI. 8 ; so only the unbracketed
assertion will be proved. Suppose that each set A k is a deleted minimal-fine
neighborhood of (, and define Fie = D - A k . The set Fie is minimal thin at (,
and it is sufficient to show that there is a set F, minimal thin at (, with the
property that for each k the part of Fie in a sufficiently small neighborhood of
, is a subset of F. If for all but a finite number of values of k the point'
is not a limit point of Fie, we can take F as the union of those sets Fie for
which' is not a limit point of Fie. Otherwise, it is no restriction to assume that
, is a limit point of Fie for all k. Let Br be the intersection with D of a ball
(in terms of some metric on D M ) of center' and radius r. Let eo be a point
of D, and applying Theorem 13, let Uk = vk/K«(, -) for kEZ+ be a positive
K«(, -)-superharmonic function on D with u(e r
o) <
k
and with limit + 00
at , on approach along Fie. The function u = 1:~ Uk is positive and K(', -)-
superharmonic on D with limit + 00 at ( on approach along each set Fk.

Choose rk so that limk _", r k = 0 and that u ~ k on Fk n B'k' If
the function u has limit + 00 at ( along F; so [by Theorem 13(b)] F is

minimal thin at " and Fk n B'k c F, as desired.
16. Minimal-Fine Topology Limits and Martin Topology

Limits at a Minimal Martin Boundary Point (Continued)
Theorem. Let D be a connected Greenian subset oflR N , and let ( be a minimal
Martin boundary point of D. A function u from the trace on D of a Martin
topology neighborhood of( into a metric space has minimal-fine limit [minimal-
fine cluster value] rx. at ( if and only if u has limit rx. at ( on approach along
some subset of D that is a deleted minimal-fine neighborhood of ( [is not
minimal thin at (].
The proof is that of Theorem XI.9 with trivial changes corresponding to

the change of context. Observe that if the range space of u is iR, then
mflim sup~_, u( e) is a minimal-fine topology cluster value of u at (, and
therefore u has this value as a limit on approach to ( along some subset of D
that is not minimal thin at (; that is, this subset has ( as a minimal-fine
topology limit point.
17. Minimal-Fine Martin Boundary Limit Functions

Let D be a connected Greenian subset of IR N . If A is a subset of D, denote by
Am! the set of minimal-fine limit points of A in D M . Recall (Section 12) that
D m! noMD = ottD.
Lemma. (a) If A is a subset of D, the set Am! is a Martin topology Go subset

ofD M.
(b) If u is a function from D into iR, the function (1-+ mflim sup~_, u( e)
on the minimal Martin boundary ot'D is Borel measurable (Martin topology
ofD M).
(c) If u is a function from D into a compact metric space, the set of
Martin boundary points at which u has a minimal-fine limit is a Borel set,
and the limit function on this set is Borel measurable (Martin topology of
D M ).
17. Minimal-Fine Martin Boundary Limit Functions 217
Proof of (a). According to Theorem XI.6, the set AmI n D is a Euclidean G"
set, and this set is therefore a G" set in the Martin topology. To prove that
AmI noMD is a G" set, let K be a Martin function for D, and let eo be a point
of D. If B is a subset of D, let B' be the class of Martin boundary points'
satisfying the inequality ~K(', 'HB(eo) ~ K«(, ~o)/2. Since the smoothed re-
duction on the left is b~(~o, K«(, '»,
Fatou's lemma implies that the set B' is
compact. Let B. be the sequence of traces on D of the sets of a countable
topological base for D M . If A is a subset of D, the set U~ (A n Bn )' is an Fa
set, the set of Martin boundary points that are not minimal-fine limit points
of A. 0
Proof of (b). Assertion (b) follows from (a) because
{, Eo~D: mflim
~-c
sup u(O ~ c} = n
n=1
{eED: u(e) ~ c + !}mf noMD.
n
(17.1)
o
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 4J. is a sequence of functions
dense in C(S) in the metric of uniform convergence, then the map e f-+
{4Jn(e)/sups l4Jnl, n E 71+} is a one-to-one bicontinuous map of S onto a com-
pact subset of the compact metric space [0,1] l + ; so an application of (a) and
(b) to each function 4Jn(u) yields (c). 0
EXAMPLE. If h is a strictly positive harmonic function on the connected

Greenian subset D oflR N and if A is a subset of D, then
Observe that the first equality is trivial and that the second equality asserts
that the function hJ.lt(·, AmI n OMD) is the harmonic component of RA (Riesz
+h
decomposition). To prove this assertion, apply the kernel operator bt to the
Martin representation of h to find
(17.3)
218 1.XII. The Martin Boundary
The first integral after the second equality sign is equal to hfJ.~(·, AmI noMD)
A
according to Section 10. According to Theorem 11, the function R+K(k> is
a potential whenever' is not minimal or is not in AmI, so the last integral
is a potential. Thus (17.3) displays the Riesz decomposition of R+hA and
thereby yields the second equality in (17.2).
Observe that according to this example, the function ~h~A is a potential

if and only if AmI noMD is fJ.~ null.
Application. If D is a connected Greenian subset of IR N , if h is a strictly
positive harmonic function on D, if u is a positive h-superharmonic function
on D, and if
then u ~ cfJ.~(·,Bc)' We can suppose in the proof that c > O. If A" = {eeD:
u( e) ~ ex}, then according to the preceding example and the relation (Section
VIII.2) between reductions and h-harmonic measure, if 0 < ex < c,
Let ex tend to c to obtain the desired inequality.
18. The Fine Boundary Function of a Potential

Theorem. If D is a connected Greenian subset of IR N a superharmonic h-
potential, u = GDfJ./h has minimal-fine limit 0 at fJ.t almost every (equivalently
M h almost every) point of OMD.
Define A. = {(eorD: mflimsup,,_, ~ e}. Then according to Section 17

(Application), u ~ efJ.t(·, A.), and this is impossible unless A. is fJ.t null,
because GM~u = O. Hence the theorem is true.
Application. According to Theorem 18, the function GD(e, ·)/h has
minimal-fine limit 0 at fJ.t almost every point of OMD, and it then follows
from Theorem 14 that
(fJ.t a.e. ( in orD). (18.1)
In particular, if (e orD and if K is a Martin function for D,
(18.1 ')
19. The Fatou Boundary Limit Theorem for the Martin Space 219
19. The Fatou Boundary Limit Theorem for the Martin Space
Let D be a connected Greenian subset of !RN • 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 h is a strictly positive harmonic
function on D, we denote by hS+ 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 v between lSm and the vector lattice of signed
measures on aM D supported by the minimal Martin boundary attD. When
v E lS, it will be convenient to denote by M v the Martin representing signed
measure of the component of v in lSm ; when v E lS+, this signed measure
M v is the Martin representing measure of the harmonic component of v
in its Riesz decomposition. Recall that dMv/dMh under our conventions is
the Radon-Nikodym derivative of the absolutely continuous component
of M v relative to M h and that (Section 10) "Mh almost everywhere" for h
in lS'; is equivalent to "J.I.~ almost everywhere"; both M h and J.I.~ are sup-
ported by attD.
Theorem. If u = v/h is in ~, then
(Mha.e. , on aMD). (19.1)
In particular:
(a) This boundary limitfunction vanishes M h almost surely ifuE~p"
(b) If UEhSm , this boundary limit function vanishes M h almost surely
if and only if u E hS m ••
(c) If u is a PWBh solution, that is, if u = J.I.~(.,f) for some h-resolutive
boundary function f, then f = dMv/dMh M h almost everywhere on
aM D; so f is the minimal-fine boundary limit function of u up to an
M h null set.
According to Section 10, the Martin boundary is universally resolutive

and universally internally resolutive, and the class of PWBh solutions is
~mqb. In view of this fact and of the decomposition hS = ~p + ~ms + ~mqb
together with the vector lattice isomorphism between ~m and the vector
lattice of signed measures on attD derived in Section 9 by means of the
°
Martin representation theorem, it will be sufficient to prove that if UE
~p U hS m., then u has minimal-fine limit Mh almost everywhere on aM D
and that if u = J.I.~(.,f), then u has minimal-fine limitf(O at M h almost every
point' of aMD. Theorem 18 implies that a function in hS p has minimal-fine
°
limit Mh almost everywhere on aM D and therefore that the same is true
for u in hSm• because according to Section IX.l 0, if u EhS';', then U 1\ 1 E~; .
220 l.XII. The Martin Boundary
Finally, if U = hHr = Itt(o,f), let Ut and U 2 be in the lower and upper PWB h
classes, respectively, on D for f Then (by the application in Section 17) when
e> 0,
U2 - Ut ~ eltt(.{,: mfl~~suP[U2('7) - Ut(17)] ~ e})
~ !eltt (.{': mfl~~suPu(17) - 1(0 ~ e}), (19.2)
eltt(.{':/(O - mf~~infu(17) ~ e})-

Since the left side of this inequality can be made arbitrarily small at any
D,
point of it follows that mflim"....< u(17)
= 1(0 for Itt almost every boundary
point " equivalently, M h almost every boundary point " as was to be proved.
Special cases. If h = K(', 0) is minimal, Theorem 19 states that v/K(',o)
has minimal-fine limit Mv({O) at " as already proved in Section 13. If A
is a Borel boundary subset, the function Itt(o, A) is the PWB h solution for
the boundary function lA and therefore has minimal-fine boundary limit
function M h almost everywhere equal to lAo
Application to the Internal Fine Limit Theorem of Section XI.4
Let v and h be positive superharrnonic functions on D with respective Riesz

measures Vv and Vh , and define U = v/h at the points of D that are not in the
polar set of infinities common to v and h. By definition of the fine topology
the function U is fine continuous at every point at which it is defined. Ac-
cording to Theorem XI.4,
(19.3)
at V;, almost every point' 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 dvv/dvh at Vh 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
20. Boundary Limit Theorems for Relative Superharmonic Functions on a Ball 221
at vi. almost every point' of F. Since the second Radon-Nikodym derivative

vanishes at vi. almost every point of F, equivalently, at Vh almost every point
of F, the first Radon-Nikodym derivative is equal to dvv/dvh at Vh almost
every point of F, equation (19.3) follows when h is a potential; the general
case then follows easily.
20. Classical versus Minimal-Fine Topology Boundary Limit

Theorems for Relative Superharmonic Functions on a
Ball in IR N
Recall that the Martin boundary of a ball is the Euclidean boundary. We
have proved two boundary limit theorems for a positive h-harmonic function
u on a ball D. According to Theorem ILlS and Theorem 19, at J..l~ almost
every point of aDthe function u has a finite limit both in the nontangential
and minimal-fine topologies, necessarily the same limit (Section 12). The
limit function is a certain Radon-Nikodym derivative. Observe, however,
that Theorem 19 is more general in that Theorem ILlS is for h-harmonic
functions whereas Theorem 19 is applicable to h-superharmonic functions.
Furthermore Theorem 19 is applicable to functions on an arbitrary con-
nected Greenian set D, but in this section we shall always assume that D is
a ball.
Classical-type approach to a ball boundary is not always applicable in
the general context of Theorem 19. In fact the following example shows that
Theorem 19 is false for D a ball under nontangential rather than minimal-
fine approach to the boundary.
EXAMPLE (a). Let v = GDJ..l be a superharmonic potential with J..l supported

by a countable dense subset of the ball D, so that the h-superharmonic func-
tion u = v/h has nontangentiallimit superior + 00 at every boundary point
of D. Furthermore it is easy to choose J.l. in this example in such a way,
depending on h, that u has nontangential (even radial) limit inferior 0 at
every boundary point of D.
The following discussion shows that radial approach to a ball boundary

allows a wider class of functions u in Fatou-type boundary limit theorems
than nontangential approach but does not allow as wide a class as minimal-
fine boundary approach. Let v = GDJ..l be a superharmonic potential on the
ball D. According to Theorem 19, the function v has minimal-fine limit 0 at
J..lD almost every (equivalently, IN-l almost every) boundary point. For N = 2
Littlewood showed that v has limit 0 along the radius to IN-l almost every
ball boundary point, and his result was later extended to N > 2. In view of
the Riesz decomposition theorem it follows that for h == 1 and D a ball
Theorem 19 is true for radial as well as minimal-fine approach to the bound-

ary. The following example shows that this assertion is false for general h.
EXAMPLE (b). Let h be a strictly positive minimal harmonic function on a

ball D, corresponding to a boundary point (. Then (from Section VIII.9) J.l~
is supported by the singleton {n, and Theorem 19 states that a positive
h-superharmonic function u = v/h has a finite minimal-fine limit at (. This
limit is infDu according to Theorem 13 and is 0 (by Theorem 19) if v = GDv
is a potential. Since [Section 12, Example (b)] the radius to (is not minimal
thin at (, the function u has radial limit inferior 0 at '" However, if v is
supported by a countable dense subset of this radius, the function u has
radial limit superior + 00 at (.
Thus the fine topology is better adapted to Fatou-type boundary limit

theorems for a ball than nontangential and radial approach topologies. The
difference is that the latter approach topologies are adapted to the ball rather
than to the properties of the functions involved. To show the relation
between Theorem 19 for a ball and the corresponding results for nontangen-
tial and radial approach to a ball boundary, it will be shown in the next
sections that a positive h-harmonic function has a nontangential limit p at
any ball boundary point at which there is a minimal-fine limit Pand that a
superharmonic potential has radial limit 0 at IN-l almost every boundary
point at which there is minimal-fine limit O. Thus Theorem 19 for a ball
implies the truth of the corresponding partial results described above for
nontangential and radial boundary approach. The converse is false. More
exactly, it will be convenient to prove the stated implications for a half-space
rather than a ball. Since half-spaces and balls can be mapped onto each
other by inversions, the assertions on nontangential convergence to bound-
aries correspond exactly in the two contexts. The assertion on radial conver-
gence to a ball boundary corresponds very nearly to the corresponding
assertion on convergence to a half-space boundary along normal lines.
21. Nontangential and Minimal-Fine Limits at a Half-space

Boundary
Let dt; be the last coordinate of the point ~ of IR N , and let D be the half-space
{dt; > O}.
Theorem. If u = v/h is a strictly positive h-harmonic function on the half-space

D and if u has minimal-fine limit Pat the boundary point (, then u has non-
tangential limit Pat (.
The converse theorem can be shown to be false. Theorem 21 implies

Theorem 11.15, that u has nontangentiallimit dMvldMh at M h almost every
22. Normal Boundary Limits for a Half-space 223
boundary point, in view of the minimal-fine topology Fatou theorem

(Theorem 19) and the correspondence between ball and half-space given by
an inversion.
We can assume in the followipg proof that the specified boundary point
, of D: {d~ > O} is the origin. Let ~. be a sequence in D with nontangential
limit the origin, and suppose that limn_ex> u(~n) = {3'. To prove Theorem 21,
it will be shown that {3' = {3. Assume from now on that 0 < {3 < + 00. The
modifications to be made in the argument if {3 is 0 or + 00 will be obvious.
It can be assumed that the ray from the origin through ~n tends to a limit
ray L as n -+ 00. Let ~~ be the point of L at minimum distance from ~n, let
A be a ball, closure in D, center ~~, let A o be a smaller concentric ball, and
define Cn = I~~I/I~~I. The ball cnA has center ~~, and ~nEcnA~ for sufficiently
large n. Finally (by the Harnack inequality), there is a strictly positive
constant y depending only on the ratio of the radii of A and A o such that
l/Y ~ u(rf)lu(~) ~ Yfor both ~ and YI in cnA o· Since Uo (cnA O) is not minimal-
thin at the origin [Section 12, Example (b)], there is a sequence YI. along
which u has limit {3, with YIn E cnA O ' Hence l/y ~ {31{3' ~ y. Since the Harnack
constant y can be made arbitrarily near 1 by choosing A o sufficiently small,
it follows that {3 = {3', as was to be proved.
22. Normal Boundary Limits for a Half-space

Define the half-space D as in Section 21. A boundary point' will be called
a normal limit point of a subset A of D if , is a limit point of the part of A
on the normal to aD through (. A function on D will be said to have a
normal limit at , if it has a limit at ( along the normal.
Lemma. If A is an (open) subset of the half-space D, IN-l almost every normal

boundary limit point of A is a minimal-fine limit point of A.
Warning: "Open" was enclosed in parentheses in this stateqlent because

(Section 23) the lemma is true for an arbitrary subset A of D.
It is sufficient to prove the lemma for a bounded open set A. A careful
application of the Vitali covering theorem shows that there is a subset A k of
A with the following properties: A k is a countable union of closed (N - 1)-
dimensional intervals, each on a hyperplane g: d~ = const < 11k}, each
with edges parallel to the coordinate axes; these intervals have disjoint
projections on aD; the projection on aD of A k covers IN-l almost every point
of the projection of A n {~: d~ < 1Ik}. Define the potential Vk by
(22.1)
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 1 depending only on N
such that Vk :::;; C 1 for all k and choices of A k • To see this, let ~ be a point of
D, and define
The evaluation (see Section VIII.9)
GD(~' ,,) _ S-(N-2) - (S2 + 4di;d~)-(N-2)/2

d~ - d~
shows that the left side decreases when d~ increases, from which it follows
that
(22.2)
so that t/t(.) is monotone decreasing. Thus
Integration by parts, together with the fact that ¢(s):::;; 'TtN_l?-l/(N - I),
yields the majorant 'TtN- 1 SO t/t(S)?-2 ds of the right side of (22.3), and in
view of(22.2) the integral SO t/t(S)?-2 ds is convergent with value Cl indepen-
dent of ~, A, k, A k • If v~ is defined using only finitely many of the intervals
in A k , V~/Cl is the potential of a measure supported by A k and V~/Cl :::;; 1.
Hence (domination principle) v~:::;; CIP~A, and therefore Vk:::;; CIP~A. To
bound Vk from below, observe that when k -+ 00, the integrand in (22.1)
tends to the normal derivative ofGD(~") at the boundary, that is [VIII(9.4)],
to 'Tt~IlD(~' d,,)/IN-l (d,,), uniformly for ~ in any bounded set, so that (22.1)
yields, if An is the set of normal limit points of A on oD,
liminfvk ~ 'Tt~IlD(', An).

k.... oo
Thus IlD(', An):::;; c2~I~A for some constant C2. Denote by A' the set of
minimal-fine limit points of A on oD. According to Section 17, GMD~ I ~A =
IlD(', A'), so that IlD(', An) :::;; C2IlD(', A'). Since the harmonic measure of a
Borel measurable boundary set B has minimal-fine boundary limit function
IB up to an IN-l null set, it follows that An c A' up to an IN-l null set, as
was to be proved.
23. Boundary Limit Function of a Potential on a Half-space 225
23. Boundary Limit Function (Minimal-Fine and Normal) of

a Potential on a Half-space
Theorem. Let D be a half-space of IR N .
(a) A superharmonic potential on D has normal limit 0 at IN-i almost
every point of aD.
(b) If A is a subset of D, IN-i almost every normal boundary limit point
of A is a minimal-fine boundary limit point of A.
Proofof (a). To prove (a), it is sufficient to show that for u a superharmonic

potential on D and e > 0 the open set A, = {u > e} has IN-i almost no normal
boundary limit point, and in view of Lemma 22 this follows from the fact
(Theorem 18) that u has minimal-fine limit 0 at )iD (equivalently, IN-i)
almost every boundary point, so that IN-i almost no boundary point is a
minimal-fine limit point of A,. 0
Observation. We have now proved that a positive superharmonic function

on a half-space of IR N has a limit at IN-i almost every boundary point on
both minimal-fine and normal approach to the boundary point and that the
boundary limit functions in the two approaches are equal up to IN-i null
sets. In fact (Riesz decomposition) it was sufficient to prove the theorem
separately for u harmonic and u a potential. The harmonic case was covered
in Section 19, in which case nontangential boundary approach was admis-
sible; the potential case, in which the limit vanishes IN-i almost everywhere
on aD, is covered in (a) of the present theorem.
Proof of (b). Let An [A'] be the set of normal [minimal-fine] boundary

limit points of A. The function p ~A is a positive superharmonic function
on D, equal to 1 quasi everywhere on A. Let A o be the polar subset of A
on which ~ 1~A < 1, and let V o be a superharmonic potential on D, identically
+ 00 on A o . According to (a), the function V o has normal limit 0 at IN-i
almost every point of aD; so IN-i almost no point of aD is a normal limit
point of A o, and we shall therefore assume from now on that A o is empty.
In view of the Riesz decomposition theorem and (17.2),
(23.1)
where v is a potential on D. The smoothed reduction on the left side of (23.1)

has normal boundary cluster value 1 at every point of An and therefore by
(a) and the above observation has normal and minimal-fine limit 1 at IN-i
almost every point of An. The function on the right side of(23.1) has minimal-
fine boundary limit function 1A • up to an IN-i null set; so An c:: A' up to an
IN-i null set, as was to be proved. 0
Chapter XIII
Classical Energy and Capacity
1. Physical Context
Consider a distribution ofpositive and negative electric charges on 1R 3 and the
electrostatic potential induced by this charge. By definition of a conductor,
if A is a connected conducting body in 1R 3 , 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 1R 3 is a constant
function.
Let D be an open subset of 1R 3 with a conducting smooth boundary, and
suppose that the boundary is grounded. The significance of grounding is that
if a positive charge J1. is imposed on D, an induced negative charge - J1.*
appears on aD, and the potential G(J1. - J1.*) is identically 0 on aD. Thus, if
J1. is a unit positive charge at ~ in D, the restriction to D of the potential
G(J1. - J1.*) is identified with the Green function GD(~'·)' and J1.* is identified
with the sweeping of J1. onto aD (relative to 1R 3 ); that is, J1.* is identified with
the harmonic measure J1.D(~")' It follows that for any J1. the measure J1.* is
identified with the sweeping of J1. onto aD and that G(J1. - J1.*) = GDJ1. 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 J1.. This charge necessarily distributes itself in such a
way that G(J1. - J1.*) = GDJ1. is constant on A. Such a charge J1., that is, such
a measure, is called an equilibrium charge (or measure, or distribution), and
the corresponding potential GDJ1. 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, aD) is a condenser in the physical context, and
the capacity of this condenser is defined as
2. Measures and Their Energies 227
Total charge of an equilibrium distribution on A

Value on A of the corresponding potential (l.l)
= total charge of the capacitary distribution on A.
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 GD(e,·) has been shown to have limit 0
at every regular boundary point of D. If J1. is a measure on D, the function
GDJ1. is the mathematical version of the electrostatic potential generated by
a distribution J1. ofelectric charge. More generally J1. 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 (l.l) when A is analytic.
2. Measures and Their Energies
If D is a Greenian subset of ~N, the mutual energy [J1., v] ofa pair of measures
on D is defined by
[J1., v] =1 GDJ1.dv =L1 GD(e, 1])J1.(de)v(d1]), '(2.1)
and the energy 11J1.11 2 of a measure J1. on D is defined as [J1., J1.]. The form [.,.]
is symmetric,
[J1., v] = [v,J1.], (2.2)

and this symmetry is sometimes dignified by the name reciprocity law. The
symmetry of the Green function GD is a special case.
The Space G+
The space of measures on D of finite energy will be denoted by 8 +. It is

trivial that a positive constant multiple of an element of 8+ is in 8+, but it
is a much deeper fact that (Theorem 7) the sum of two elements in 8 + is in
tff + , equivalently, that the mutual energy of two measures in 8 + is finite.
EXAMPLE (a). If J1. is a measure on D and if A is a polar subset of D that is

not J1. null, then II J1.11 = + 00 because (Theorem V.11) GDJ1. = + 00 J1. almost
everywhere on A.
Thus a measure of finite energy vanishes on polar sets. Conversely, if A is
an analytic subset of a Greenian set D and is null for every measure on D
228 I. XIII. Classical Energy and Capacity
of finite energy supported by A, then A is polar in view of Corollary V.9

and the fact (Theorem V1.2) that an analytic nonpolar set has a compact
nonpolar subset. It will be shown in Section 3.1.9 that a superharmonic
potential GD /1 is quasi bounded if and only if /1 vanishes on polar sets. It
was noted in Section V.1O that the domination principle as applied to
potentials of measures /1 vanishing on polar sets has a simple form: if GD /1
is majorized /1 almost everywhere on D by a positive superharmonic function
v, then GD /1 :::;; v on D.
EXAMPLE (b). e
Let bea point of D, choose (X> 0, and define B = {GD(e,,) >
(X}, A
° = D n oB (Euclidean boundary), and /1 = ot(e, .). Since GD(e,,) has
limit at quasi every point of oD, oB - A is polar and thus is a /1B(e,,) null
set; that is, /1B(e,A) = l. (This fact is a special case of the application in
Section VIII.l8.) The measure /1 is supported by A, and GD(e,,) = (X on A;
so
11/111 2 = (Xo~(e, A) = (X/1B(e, A) = (x. (2.4)
In particular, if D = B(e, 0) and if B = B(e, fJ) with fJ < 0, then
ifN=2,
(2.5)
if N > 2;
so the energy of the uniform distribution on oB of total value 1 is 10g(0/fJ)

if N = 2 and is fJ 2 - N - 02-N if N > 2. The latter energy decreases to fJ 2 - N ,
the energy of /1 relative to IR N , when 0 ~ 00.
EXAMPLE (c). The general case of the preceding example is the following.
Let D be a Greenian subset of IR N , let B be an open subset of D, let be a e
point of B, and define A = D n oB (Euclidean boundary) and /1 = ot(e, .).
Then
3. Charges and Their Energies
A charge (Radon measure) /1 on the open subset D of IR N is (see Appendix

IV.3) a pair (/11' /12) of measures on D under the identification (/11' /12) =
(VI' v2 ) when /11 + v2 = /12 + VI and the operations
(3.1)
4. Inequalities between Potentials, and the Corresponding Energy Inequalities 229
A charge has a minimal representation whose component measures have

disjoint supports. A charge is called positive if its minimal representing pair
has the form (JL1' 0) and is then identified with the measure JLl'
Let N be the space of pairs (/1 J2) of positive extended real-valued
functions under the equivalence relation (/1 J2) = (g l' g2) when fl + g 2 =
f2 + gland the operations (3.1) interpreted in the present context. The
potential GDJL of a charge JL is defined as the point (GDJL1' GDJL2) of Nand
is informally identified with the function GDJLl - GDJL2 where this difference
is defined. The only charges of interest are those charges JL the components
of whose minimal representing pair (JL1' JL2) have superharmonic potentials,
in which case GDJLl - GDJL2 is defined quasi everywhere on D. The potential
GDJL of a positive charge (JL1' 0) is identified with the function GDJL1'
The space of charges that have representations with both components in
Iff+ will be denoted by Iff, and for elements of Iff only representations with
components in Iff+ will be used. If JL: (JL1,JL2) and v: (v l , v2) are charges in
Iff, their mutual energy is defined following the definition in the positive
case,
and the energy of JL is defined as [JL, JL]. To justify this definition, it must be
proved that the mutual energy of a pair of elements in Iff+ 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 Iff is positive, and the energy will then be written 11-11 2 . This
notation will be used before positivity is proved whenever positivity is
obvious from the context.
4. Inequalities between Potentials, and the Corresponding

Energy Inequalities
Lemma. (a) The inequalities GDJL' ::s; GDv' and GDJL" ::s; GDv" for potentials
ofmeasures imply that [JL', JL"] ::s; [v', v"].
(b) The inequality GDJL ::s; GDv for potentials of measures implies that
IIJLI1 2::s; IIvll2 and that JL = v if these energies are finite and equal.
(c) Let GDJL. and GDv. be increasing [decreasing] sequences ofpotentials
ofmeasures, with respective [smoothed] limits GDJL and GDv. Then
in the increasing case and, if [JLo , vo] isfinite, also in the decreasing case.
Proofof (a). Apply the symmetry of GD to obtain
[Jl, Jl"] L
= GDJl' dJl" ~ LGDv' dJl" = L
GDJl" dv'
~L
(4.1)
GDv" dv' = [v', v"]. 0
Proof of (b). If Jl' = Jl" = Jl and v' = v" = v in (a), then IIJlII ~ IIvll, and with
this specialization if the energies, that is, the integrals in (4.1), are finite,
equality in (4.1) implies that GDJl = GDv both Jl almost everywhere and v
almost everywhere, so that GDJl = GDv by the domination principle for
potentials of measures of finite energy (Section 2), and therefore Jl = v. 0
Proof of (c). In the increasing case in view of (a) the sequence [Jl., v,] is an
increasing sequence with limit at most [Jl, v]. The limit is [Jl, v] because for
every m,
lim [Jln, vn] ~ lim inf r GDJlm dvn = lim inf r GD ndJlm
V
n-oo n-oo JD n-oo JD
L L
(4.2)
= GDvdJlm = GDJlm dv ,
and the last integral can be made arbitrarily near [Jl, 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. 0
5. The Function D..-GDJ..l

(a) Let D. be an increasing sequence of open subsets of IRN with union a
Greenian set D. Since GDn ~ GDn + t on Dn x Dn, it follows that if Jl and v are
measures on D and if Jln is the projection of Jl on Dn, then
(5.1)
that is, mutual energy relative to Dn increases to mutual energy relative to

D. Observe that we have not supposed that the integrals in (5.1) are finite
valued but that once we have proved (Section 7) that when the measures Jl
and v are in tf + for D, their mutual energy for D is finite valued, it will follow
trivially that (5.1) is valid for Jl and v in tf for D, although the sequence GD.Jl.
need then not be monotone.
(b) Let D 2 be a Greenian subset of IRN , let D t be a relatively compact
6. Classical Evaluation of Energy; Hilbert Space Methods 231
open subset of D z , and let J.l. be a measure on D z with compact support in

D I . Energies, reductions, etc., relative to D i will be distinguished by the
subscript i: [', '1, H;, Sb .... According to Section VII.5,
(5.2)
on D I , where J.l.I = ~J.l.~D2-DI is supported by oDI' Equation (5.2) is obviously

also valid for a charge J.l. supported by a compact subset of D I , with J.l.I a
charge supported by oDI' Since GD 2 J.l.I is bounded on the compact support
of J.l.I , equation (5.2) implies that J.l. E S z if and only if J.l. E S I • (Weare abusing
language slightly here in considering J.l. both as a measure on D I and as a
measure on D z .) If we assume that all the following mutual energies are well
defined, we can combine (5.2) with X(5.3') as applied to the measure compo-
nents of the charges to find that if J.l. and v are in Sz with compact supports
in D I , then
(5.3)
where VI is defined in terms of v in the way J.l.I was defined in terms of J.l..
Thus, if all the mutual energies involved are well defined (and according to
Theorem 7, this is true if J.l. and v are in Sz), the map J.l.~ J.l. - J.l.I is a linear
mutual-energy-preserving map from a subset of SI into Sz.
6. Classical Evaluation of Energy; Hilbert Space Methods
If D is an open subset of IRN and if u and v are functions from D to the extended
reals, define
~(u, v) = 1 <grad u, grad v)dIN , ~(u) = ~(u, u) (6.1)
whenever the integrals are meaningful. The value ~(u) is the Dirichlet
integral of u. If u = GDJ.l. and v = GDv are the potentials of charges in S, on
the Greenian set D, and are in class iC(2)(D), then 1t Ndv = -!1vdIN (Section
I. 7), so that
(6.2)
If D is bounded and smooth enough for the application of Green's

identity and associated theorems and if the potentials u and v when defined
as 0 on aD are in class iC(Z)(1)), (6.2) yields
_ ~(u,v)
[ J.l.,V ] - , , (6.3)
1t N
232 1. XIII. Classical Energy and Capacity
If D = ~N with N 2: 3 and if u = GJ.l and v = Gv are potentials in class

C(2)(~N)of charges with compact support, then if B is a ball containing the
compact support of v,
(6.4)
where Dnv is the directional derivative in the direction of the exterior

normal. For large distances r from the origin, 1 grad ul and Igrad vi are
majorized by const r1 - N , and lui is majorized by const r2 - N • Hence the
integral defining ~(u, v) converges absolutely, and when B increases to ~N,
the last integral in (6.4) drops out; so (6.4) becomes (6.3). If D = ~2, the
preceding analysis is valid through (6.4) but must be modified thereafter. If
A is a charge on ~2 with compact support A,
lim
1~1""<Xl
[GA(~) + A(A) log I~I] = 1~1""<Xl
lim f
A
I~I '1
109-I)'IA(dr{)
'" -
=0
and
for large 1~ I. It follows that if J.l and v satisfy the additional condition J.l(~2) =
V(~2) = 0, then the integral defining ~(u, v) converges absolutely, and (6.4)
becomes (6.3) when B increases to ~2.
Returning to the hypotheses of the first paragraph, if u = GDJ.l as described
there but if v is harmonic and has an extension to D in class C(2)(D), then
Green's identity [Section 1(1.2)] becomes
(6.5)
and integration by parts on oD yields ~(u, v) = O.

This discussion suggests that Hilbert space methods are appropriate to
the study of charges on D using the inner product [J.l, v] and to functions
on D using the inner product ~(u, v). The following discussion sketches a
basis for such a study. We suppose that D is connected.
(a) Charges. It will be shown in Section 7 that l! is a linear space, that the
energy of a charge in l! is positive, and that this energy vanishes if and only
if the charge is the zero charge (0,0). Thus l! is a space which, coupled with
7. The Energy Functional (Relative to an Arbitrary Greenian Subset D of IR N ) 233
the bilinear form [-, 'J, is a pre-Hilbert space, that is, a space in which all
the Hilbert space axioms except that ofcompleteness are satisfied. It is known
that the space G of charges is not complete but that its subset G + of measures
of finite energy is complete.
(b) Functions. Let u. be a sequence of infinitely differentiable functions on
D for which ~(un) < + 00 and limm n-oo ~(un - um) = O. It is known that
there is then a function u from D into 'IR with the following properties: grad u
exists IN almost everywhere on D, with ~(u) < + 00; limn _ oo ~(u - un) = 0;
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 HBLD"
function (Beppo-Levi-Deny). The space ofBLD 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 $, 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 ~(',.)
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 15, then
~(u,v) = O.
In view of (6.3) as suitably generalized to the BLD context, the pre-
Hilbert space $ of charges can be immersed in the Hilbert space of BLD
functions by identifying a charge J1. in $ with the function (1t~)-1/2GDJ1.. 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 $ is positive. This fact will be
proved in the next section.
7. The Energy Functional (Relative to an Arbitrary Greenian

Subset D of ~N)
Theorem. (a) The energy ofa charge in G is positive and finite.
(b) If J1. and v are in $, their mutual energy exists and
234 I. XlII. Classical Energy and Capacity
(7.1)
(c) A charge in tf is the zero charge if and only if its energy vanishes.
(d) There is equality in (7.1) if and only if J.l and v are proportional.
Observation. Theorem 7 implies that tf is a linear space, a pre-Hilbert space

when coupled with the inner product [','J. (See the discussion in Section 6.)
Assertion (b) for J.l and v in tf+ will be denoted by (b+), and we write
(a) (sm), (b) (sm), and so on to refer to the smooth context in which the
charges involved have component measures which have compact supports
in D and have infinitely differentiable potentials. If J.l and v are in tf+ (sm)
their mutual energy obviously exists and is finite. In the following proof of
Theorem 7 all the assertions are relative to a specified Greenian set D unless
otherwise qualified.
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 J.l: (J.ll,J.l2) and v be in &. Under (b+)
so (b+) = (a). Under (a) the equality in (7.2) implies that [J.ll , J.l2] < +00,
which implies in tum that tf is a linear space and that for CE~,
(7.3)
IfI/vil I I
= 0, inequality (7.3) is impossible unless [J.l, v] = 0; if v > 0, in-
equality (7.3) with c = - [J.l, v] Ilvll- 2 yields (7.1). Hence (a) = (b).
=
Step 2. Proof that (b+)(sm) (a) n (b). According to Section IV.lO a
superharrnonic potential of a measure on D is the limit of an increasing
sequence of infinitely differentiable potentials of measures with compact
supports in D. Thus, if J.l and v are measures in 8+, there are sequences J.l.
and v. of measures in tf+ (sm) for which GDJ.l. and GDv. are increasing se-
quences with respective limits GDJ.l and GDv. Moreover, if(b+) (sm) is true,
and inequality (7.1) now follows from Lemma 4. Hence (b+) is true and
therefore (a) and (b) are true by Step l.
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
J.l is in tf(sm) relative to a ball D, the expression H(l.l) for GD shows that
GDJ.l, when defined as 0 on iJD, is infinitely differentiable on D. The context
is therefore that of Section 6, and the evaluation (6.3) of [J.l, v] shows that
the inequality (b+)(sm) follows from Schwarz's inequality.
8. Alternative Proofs of Theorem 7(b+) 235
Step 4. Proof of (a) and (b) when D is bounded. According to Steps 1

and 2, it is sufficient to prove that (a)(sm) is true when D is bounded. Let
D z be a ball containing D. If J1. is a charge in G(sm) relative to D, then J1.
is also in G(sm) relative to D z , and according to Section 5(b), the energy
[J1., J1.] relative to D is the energy relative to Dz of a certain charge supported
by oD, and (by Step 3) this energy is positive.
Step 5. Proof of (a) and (b). According to Step 1, it is sufficient to prove
(b+). Let D. be an increasing sequence of nonempty open bounded subs~ts
of D with union D. If J1. and v are in G + relative to D and if J1.n and Vn are the
projections of these measures on Dn, then (by Step 4) [J1.n, vn] :::; IIJ1.nIIIIVnll
(energies relative to Dn ), and (from Section 5) when n ~ 00, this inequality
yields (7.1).
Step 6. Proof of (c) and (d). Suppose that J1.: (J1.l,J1.Z)eG and that 11J1.11 = o.
It follows from (7.1) that [J1., v] = 0 whenever v is in G, in particular, when
v is a uniform distribution on the boundary of a ball with closure in D.
With this choice of v the vanishing of [J1., v] implies the equality of spherical
averages of GD J1.l and GD J1.z; that is,
when B(e, (5) c D. When <5 ~ 0, it follows that GD J1.l = GD J1.z; so J1.l = J1.z,
and J1. must be the zero charge. If the charges in (7.1) are proportional, there
is obviously equality in (7.1). Conversely, if there is equality in (7.1), the
charges are trivially proportional if either has zero energy, that is, if either
is the zero charge; otherwise, equality in (7.1) implies that
So J1. = [J1., v] Ilvll-zv, and the proof is complete. 0
8. Alternative Proofs of Theorem 7(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, e,,,)
~ bD(t, e, to
from ]0, + 00 [ x D x D into IR+ with the property that bD(t,',') is symme-
tric, that
and that bD is related to the Green function GD by

(8.2)
for some positive constant c. If p. is a measure on D, denote JDbD(t,~, Yf)p.(drf)

by bD(t,~, p.). Then
[p.,v]=c I7J 1 (dt) LIN(d~)bD(~'~'J!) bDG,~,V),

1 (8.3)
and Schwarz's inequality yields (7.1 +).

Every Greenian subset D of ~N has a function bD with the stated proper-
ties. In fact we shall see that if D = D x ~ and if G is the heat equation
Green function of D, then bD defined by
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 Yf in time t). See Chapter XVII for a discussion of GD , 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, + 00 [ x ~ by
_1~12
b(t,~) = (21tl)-N/2exp~.
Then if N ~ 3, the function b~ defined by bRN(t,~, Yf) = b(t, ~ - Yf) has the
desired properties for D = ~N. Hence (7.1 +) is true for D = !R N , and with
the help of Section 5 it follows that (7.1 +) is true for an arbitrary open
subset of !R N • If N ~ I and D is a half-space, denote by Yf' the reflection in
aD of a point Yf in D. Then the function bDdefined by bD(t,~, Yf) = b(t, ~ - Yf)
- b(t, ~ - Yf') has the desired properties, and with the help of Section 5 it
follows that (7.1 +) is true first for an arbitrary nonempty open subset of a
half-space and then for an arbitrary Greenian subset of !R N •
(b) Proof of (7.1 +) when N ~ 3 by a splitting method. This method
uses the fact that there is a constant CN for which
(8.4)
To verify (8.5), observe that the integral defines a function ofl~ - Yfl. Denote
this function by cjJ, change the integration variable to " = 'I~ - YfI- 1 , and
thereby find that cjJ(l~ - Yfl) = I~ - Yf!-N+2cjJ(I). Hence (8.4) is true with
VN = l/cjJ(I). Apply (8.4) to derive
and apply Schwarz's inequality to obtain (7.1 +) for D = !R N • Proceed as in (a).
9. Sharpening of Lemma 4
The following theorem is needed in Section 10.
Theorem. If GDJI.. is an increasing sequence of potentials of measures and if

sUPn lIJ1.n II < + 00, then limn_ oo GDJl.n is the potential ofa measure JI. in 8+, and
(9.1)
(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,
(9.2)
In particular, let ~ be a point of D, let B be an open relatively compact

subset of D containing ~, and choose v = Jl.B(~' .). Then [from Section 2,
Example (c)] (9.2) becomes
(9.3)
and the right side has limit 0 when B increases to D. Hence (Section VIII. I I )
u is a potential, say u = GDJI., and (9.1) follows from Lemma 4.
10. The Classical Capacity Function
Let D be a Greenian subset of !R N , let r p be the class of those subsets A of

D for which ~ I ~A (reduction relative to D) is a potential, and for A in r p
let AA be the measure associated with ~ I ~A; that is, ~ I ~A = GDAA- The measure
AA is called the capacitary measure of A, and GDA A is called the capacitary
potential of A. If c > 0, the measure cA.A [potential CGDA A] is called an
equilibrium measure [equilibrium potential] of A. These concepts are relative
to D. According to Section XII.l7, A E r p if and only if when D is provided
with its Martin boundary, the set AmI 11 ill. Dis Jl.D null. It is unnecessary to
use this characterization of r p to prove the elementary facts that a subset
of a set in rp is in rp , that every polar subset B of D is in rp , with AB = 0,

and that relatively compact subsets of D are in rp- Since GDA A =:; I, polar
sets are AA null (Theorem V.II). If A and B are in rp and if A differs from
B by a polar set, then AA = AB' Finally, we show that if A is in rp , some
open superset of A is also in rp- In fact, if B1 = {P ~A > !}, an open set
which covers quasi every point of A, let u be a superharmonic potential on
D, identically + 00 on the polar set A - B1 , and define B = B1 U {u > I}.
Then B is an open superset of A and is in rp because ~ I ~B is majorized by
the potential 2~ 1~A + u.
For A in r p the measure AA is supported by D (\ oA (Euclidean boundary)
and even (Corollary XI.l8) by D (\ ofAf. Recall (Section XI.6) that for an
arbitrary subset A of IR N the sets Af and ofAf are Borel sets. Since ~ 1~ A = 1
on D (\ ofAf, we conclude that
IIAA/l2= r
JDr.afAf
~1~AdAA=AA(D) (10.1)
If A is a subset of D not in rp , we do not define AA' but it is convenient

to define IIAAI12 = + 00 to obtain a set function IIA.II 2defined on every subset
ofD.
Theorem. (a) The set function 11..1..11 2 is a countably strongly subadditive

Choquet capacity on D relative to the paving of compact sets, and for A in rp
IIAAI12 = inf {IIABII2: A c B, B open} = inf {A.B(D): A c B, B open}. (10.2)
(b) If A is /IA.112 capacitable, then

IIAAI1 2= sup {A(F): Fe A, F compact, A supported by F, GDA =:; 1 on D}.
(10.3)
(c) A subset A of D is polar if and only ifilAAI12 = O.
Observation. Assertions (a) and (c) together are equivalent to the asser-
tion that the restriction of IIA.II 2 to the class of compact subsets of D is a
topological precapacity and that 11..1..11 2 is the Choquet capacity generated
(Appendix 11.8) by this topological precapacity.
Proof of (a). The set function 11..1..11 2 is obviously an increasing set func-
tion, and if A. is an increasing sequence of sets with union A (c D), then
limn.... oo IIAAnll2= IIAAI1 2 because this limit equation is trivial if the limit is
+ 00 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, GDA A = 1 quasi everywhere on A, GDAB = I
on AI, and [Section VI.3(b)] GDA A = Rt on D - A and so surely on the

compact support of AB' Since polar sets are AA null, it follows that
Since (Theorem VI.5) the set function R~ (~) is a topological precapacity on

the class ofcompact subsets of D, it follows that if A. is a monotone sequence
of compact subsets of B with limit the compact subset A of B, then
limn_co IIAAnl1 2= IIAAI12. The proof that IIA.11 2 is a Choquet capacity relative
to the paving of compact sets is now complete.
To prove (10.2), observe first that the second equality follows from (10.1)
and that the first equality is trivial when IIAAI12 = + 00. If IIAAI12 < + 00, the
set A must be in r p , and we have already noted that then r p contains open
supersets of A. Furthermore, according to Section VI.3(m),
(10.5)
and therefore according to the Fundamental Convergence Theorem, there

is a decreasing sequence B. of open supersets of A such that
(10.6)
The first equality in (10.2) now follows from Lemma 4(c). What we have
proved implies that the restriction of the capacity IIA.II 2 to the class of
compact subsets of D is a topological precapacity generating IIA.II 2 ; so this
capacity is countably strongly subadditive. 0
Proofof (b). If Fis a compact subset of D, if A is a measure supported by F,

and if GDA ::;; I on D, then we can apply (10.1) and Lemma 4 to obtain
A(F)::;; L GDA FdA ::;; IIAFII2 = AF(F)· (10.7)
Moreover, if A is IIA.112 capacitable, then by definition of capacitability

IIAAII2 = sup {IIAFII2: Fe A, Fcompact}
(10.8)
= sup {AF(F): Fe A, F compact}.
The combination of (10.7) and (10.8) yields (b). 0
Proof of (c). It is sufficient to prove (c) for relatively compact subsets A

of an arbitrary relatively compact open subset B of D, and we apply (lOA).
°
If A is polar, then Rt = quasi everywhere on D (Theorem V.4); so (l0.4)
implies that 11..1...(11 2 = 0. Conversely, if 11..1...(11 2 = 0, then equality of the first
and third terms in (10.4) implies that ..1...((D) = 0; so R..( +1
vanishes identically,
and therefore (by Theorem V.4) A is polar.
Unique Characterization of . 1. .(
If A E r p , then a measure A. on D is ..1...( if and only if A. is supported by A I

and GD..1. ~ I with equality quasi everywhere onA. In fact, in view ofTheorem
XI.l4 the measure . 1. .( satisfies these conditions. Conversely, if A. satisfies
these conditions and if A.' is the projection of A. on a compact subset of A ~
then (domination principle) GDA.' ~ GD..1...(; so GD..1. ~ GD..1...(. Interchanging A.
and . 1. .( yields the reverse inequality; so A. = ..1...(. Observe that this argument
also shows that if A is closed relative to D in the Euclidean topology and
if A is in r p , then A. = . 1. .( if and only if A. is supported by A and GD..1. ~ I
with equality quasi everywhere on A.
11. Inner and Outer Capacities (Notation of Section 10)

Let A be a subset of D, and define
Recall that with this definition C·(A) < + 00 implies that A E r p ; so R..(
+1
is
a potential, GD..1...(, that . 1. .( is supported by alAI and that
On the other hand, there are sets A in r p with ..1...((D) = C·(A) = + 00.
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..1..11 2 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 A; of A and a compact subset A~ of A such that
C.(A) < C(A~) + e, C(A;) < C·(A) + e,

and there exist a G6 superset A" of A and an Fa subset A' of A such that
C(A') = C.(A) ~ C·(A) = C(A").

12. Extremal Property Characterizations of Equilibrium Potentials 241
12. Extremal Property Characterizations of Equilibrium

Potentials (Notation of Section 10)
The canonical equilibrium measure ,11. We have used the capacitary measure
AA as a canonical equilibrium measure. A second choice, which is sometimes
convenient when A is known to be capacitable with 0 < qA) < + 00, is ,11,
defined by ,11 = AA/qA). Then
1* < I with equality quasi

A1(D) = I, G
DII.A - qA) everywhere on A.
A Special Class of Subsets of D
In discussing capacitary measures AA relative to D it will be convenient to

restrict A somewhat. Observe (Theorem XI.6) that for an arbitrary subset
A of D the set A - AI is polar and so has capacity 0 and is null for every
measure that has finite energy or (Theorem V.Il) whose potential is finite
valued. Furthermore (Theorem XI.6) the set AI is a Borel set and so is
capacitable. Thus, if we restriQt A to be in r p so that AA is defined and further
restrict A to be fine closed in D, that is, D n AI c A, then the representation
A = (A - A I) u (D n A I) shows that A is capacitable and is measurable for
every measure A on A of finite energy or with a finite-valued potential. This
restriction on A does not restrict the class of capacitary measures because
(Section XI. 7) ~ I ~ A = ~ I ~ DnA~ Furthermore the capacitary measure AA under
this restriction on A is supported by A and in fact (by Theorem XI.l8) is
even supported by D n olA~ and qA) = AA(A) according to (10.1). In
particular, qA) < + 00 if A is also relatively compact (Euclidean topology)
in D. We shall use the fact that if A is a measure on D, vanishing on polar
sets and supported by the fine closed in D set A, then
[A, AA] = 1 GDAAdA = A(A). (12.1)
In (a)-(c) below we characterize AA and ,11 by maximal and minimal

properties of measures A on D satisfying the stated side conditions under
the hypothesis
DnAI c A, 0< qA) < +00.
(a) Side condition: GDA $ I; A is supported by A. Under this side

condition
(al) 11,111 2 $ qA).
(a2) A(A) $ qA).
Equality in either inequality implies that A = AA'
242 l.XIII. Classical Energy and Capacity
In fact (special domination principle in Section 2), GDA ~ GD~; so

(by Lemma 4) (al) is true, and an application of Schwarz's inequality in
(12.1) shows that
(12.2)
so (a2) is true. Equality in (a2) implies equality in (al) according to (12.2),

and [by Lemma 4(b)] equality in (al) implies that A = AA'
(b) Side condition: A(A) = I; A is supported by A. Under this side
condition,
(bl) SUP~EDGDA(~) ~ IjC(A).

(b2) IIAI12 ~ IjC(A).
Equality in one of these inequalities implies that A= A1.

Define A' = C(A)A. The measure A' is supported by A, and X(A) = C(A).
If(bl) is false, then GDA' < I and X = AA according to (a), a contradiction.
If there is equality in (b I), this reasoning shows that A= A1. Inequality (b2)
follows from Schwarz's inequality applied to (12.1), and (by Theorem 7)
there is equality in this application of Schwarz's inequality if and only if
A= const AA' that is, A= A~.
(c) Side condition: GDA ~ I quasi everywhere on A. Under this side
condition, IIAII 2 ~ C(A), and equality implies that A= AA-
According to the domination principle, GDA ~ GDAA, and therefore
(by Lemma 4) IIAII2 ~ IIAAI12 = C(A), and equality implies that A= A(A).
Observation. Under the additional condition that Ais supported by A, the

side condition (c) implies that A(A) ~ C(A) because
(d) Side condition: IIAII < + 00; Ais supported by A. Under this side
condition,
(12.4)
and equality implies that A = AA' In fact (12.1) implies that A(A) < + 00
and that
13. Expressions for qA) 243
13. Expressions for C(A)
A slight variation of the discussion in Section 12 yields the following theorem.
Theorem. Let D be a Greenian subset ofRN , and let A be an analytic subset

of D offmite capacity. Then
C(A) = sup {I GD )" d)..: ).. supported by A, GD )" ~ I}

= sup {)"(A): ).. supported by A, GD )" ~ I}
1
- inf {sup GD)..(~): ).. supported by A, )"(A) = 1}
~ED (13.1)
{I
1
= inf GD )" d)..: ).. supported by A, )"(A) = I}
= inf {In GD)..d)..: GD)" ~ 1 quasi everywhere on A}
= inf {)"(A): ).. supported by A, GDI.. ~ 1 quasi everywhere on A}
These expressions for C(A) are so easily obtained that we shall prove
only the first. If ).. is supported by A and if GD )" ~ 1, then (domination
principle) GD )" ~ GD )... . ; so (by Lemma 4) 11)..11 2 ~ 11)... . 11 2 = 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
).. =)..F 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 = IR N, and if A is a ball of radius (j, a uniform distribution

on aA of total value 1 has potential identically (j-N+2 on A according to
Section IV.2. Hence any uniform distribution on aA is an equilibrium distri-
bution for aA and for A. Both have capacity (jN-2. Moreover, since C(A)
is the supremum of the capacities of the compact subsets of A, C(A) = (jN-2
also, and any uniform distribution on aA is an equilibrium measure for A.
If N ~ 2, if D is a ball of radius {3, and if A is a concentric ball of radius
rx < {3, a uniform distribution on aA is an equilibrium distribution for A, A,
and aA, and
C(A) = C(A) = C(aA) = !( lOgfi)-1

rx
(rx 2 - N - {32-N)-1
if N = 2,
if N > 2.
(13.2)
14. The Gauss Minimum Problems and Their Relation to

Reductions
Let D be a connected Greenian subset of D. Energies and reductions below
are relative to D, and charges are on D. Let A be a nonpolar Borel subset
of D, and letfbe a Borel measurable function from A into IR, not vanishing
quasi everywhere, with If I majorized quasi everywhere on A by the restric-
tion to A of the potential GDA of some measure A of finite energy supported
by A. Observe that if A is fine closed in D, the words "supported by A"
are no restriction onfbecause if A is a measure on D of finite energy and if
If I ~ GDA quasi everywhere on A, then If I ~ ~GDA~A = GD~A~A = GDA quasi
everywhere on A, the measure ~A~A is supported by A (Theorem XI.l4), and
II~A~AII ~ IIAII < + 00 (Lemma 4).
Let r A be the linear class of charges v supported by A, of finite energy,
t
with Ifl dlvl < + 00. This class contains A. We consider two modifications
of a problem studied in 1840 by Gauss (see-Historical Notes to this chapter)
under hypotheses suited to his era.
(GI) Minimize i GDvdv = II vl1 2 for verA with i fdV = l.
(G2) Minimize i (GDv - 2f)dv = 11vII2 - 2 ifdV for verA'
Let rl be the class of positive charges, that is, of measures, in r A, and let
problems (G I +) and (G2+) be, respectively, (G 1) and (G2) with r Areplaced
by rl. We shall treat problems (G 1+) and (G2+) only whenf~ O. 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 fJ. solves problem (G2) ifand only if
[fJ., v] = i
fdV (14.1)
for every v in r A , equivalently, ifand only ifGDfJ. = f quasi everywhere on A. If

so,
andfor v in rA ,
(14.3)
so fJ. is the only charge solving (G2). Furthermore fJ./tfdfJ. solves problem (G I).
In fact fJ. solves (G2) if and only if whenever c e IR and ve r A' the integral in
14. The Gauss Minimum Problems and Their Relation to Reductions 245
(G2) with V replaced by Jl + cv has its minimum value for fixed v when c = o.
A condition necessary and sufficient for this is (14.1). Equation (14.1)
implies that IIJlll z= LfdJl 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 GDJl in terms of f to be made next. Equation (14.1) with v
replaced by its projection on an arbitrary Borel subset of A yields the in-
equality GDJl = f valmost everywhere on A for every v, and therefore (Section
2) GDJl = f quasi everywhere on A. Conversely, the latter condition implies
(14.1) because (from Section 2) polar sets are Ivi null for charges vof finite
energy. Finally, if VErA and if Lfdv = I, equation (14.1) implies that
IIJlIIII vII :2: 1; so
1HZ :2: IIJlII- z = _Jl_ z,
IfdJl
and therefore JlILfdJl solves problem (G 1).

(b) A charge Jl solves problem (G 1) if and only if IIJlII > 0 and JlIIJlII- z
solves problem (G2), equivalently, if and only if IIJlII > 0 and GDJl = IIJlllzf
quasi everywhere on A. There can be only one such charge. In fact, if Jl solves
problem (GI), then the side condition implies that IIJlII > 0, and the min-
imizing property of Jl implies that for v in r A ,
1 (GDv - 2f)dV:2: (lfdvy IIJlll z - 2l f dV
= -IIJlIl-
z
+ ("JlllfdV -II Jl Il- 1 Y
with equality when v= JlIIJlII- z. Thus the latter charge solves problem (G2),
and the rest of (b) is now trivial.
(a+) Iff:2: 0, a measure Jl solves problem (G2+) if and only if
for every v in r;, equivalently, if and only if GDJl :2:f quasi everywhere on A
with equality Jl almost everywhere on A. If so, (14.2) is true, and for v in r;
ihe identity
shows that Jl is the only measure solving (G2+). Furthermore JlISAfdJl solves
problem (G 1+). In fact, if Jl solves problem (G2+) and if CE IR+, the integral
in (G2+) with v replaced by CJ1. has its minimum value when c = I, and the
integral in (G2+) with v replaced by J1. + cv with c in IR+ and v in r; has its
minimum value for fixed v when c = O. These two conditions are satisfied
if and only if(14.1 +) is true. Conversely (14.1 +) implies that J1. solves problem
(G2+) and is thereby uniquely determined because under (14.1 +) in the
identity (14.3+) the right-hand side ~ -11J1.lI z with equality only when v = J1..
Equation (14.1 +) with v replaced by its projection on an arbitrary Borel
subset of A implies that GDJ1. ~f v almost everywhere on A; so GDJ1. ~f
quasi everywhere on A. There is equality J1. almost everywhere on A in
view of the equality in (14.1 +). Conversely, these two conditions on J1. imply
that (14.1 +) is true. Finally, if J1. solves (G2+), then J1./JAf dJ1. solves (G 1+) by
the same proof as that of the corresponding implication in (a).
(b+) Iff~ O,ameasureJ1.solvesproblem(GI+)ifandonlYifllJ1.11 > oand
J1.11J1.II- z solves problem (G2+), equivalently, ifand only ifllJ1.11 > 0 and GD J1. ~
11J1.ll zf quasi everywhere on A with equality J1. almost everywhere on A. There
can be only one such measure. The proof is left to the reader.
(c) Suppose that f~ 0, and define f as 0 on D - A. Then if J1. solves
problem (G2+), GD J1. = R +f . (See Section XI.20 for the reduction involved
here.) Conversely, ifA is fine closed in D, then R +f is the potential ofa measure
J1. solving problem (G2+). In fact, if J1. solves problem (G2+), then GD J1. = f <
+ 00 J1. 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 GDJ1. :5 v. Since one choice of v is GDJ1., it follows that GDJ1. = R +f .
Conversely, R+f ~f quasi everywhere on A, and R+f :5 GDA.; so R+f is the
potential of a measure J1. of finite energy (Lemma 4). To prove that J1. solves
problem (G2+), we need only verify that A supports J1., and according to
Section XI.20 (special positivity case), J1. is supported by afAf - 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 thatfis equal quasi everywhere on A to the restriction to A of the
potential GD J1.' of some measure J1.' of finite energy not necessarily supported
by A. We have seen at the beginning of this section that thenfsatisfies the
conditions imposed throughout. In the present context, problem (G I)
becomes the problem of minimizing 1Hz for all charges v of finite energy
supported by A with [J1.', v] = 1, and problem (G2) becomes the problem of
minimizing 1Hz - 2 [J1.' , v] for all charges v of finite energy supported by A.
The measure ~J1.'~A solves (G2) because
quasi everywhere on A and (by Theorem X1.l4) the measure ~J1.'~A is sup-
ported by A.
The linearity properties of (G2) solutions noted in (a) imply that iff is
15. Dependence of C* on D 247
equal quasi everywhere on the fine closed in D set A to the restriction to A

of the potential of a charge /l' of finite energy, then problem (G2) has a
solution: in fact, if /l' = /l'+ - /l'- (Hahn decomposition), then ~ /l'+ ~A -
~/l'- ~A solves (G2).
In particular, if A is a fine-closed Borel relatively compact subset of D
=
and if/ 1 on A, / is the restriction to A of the potential of a measure of
finite energy; for example, / is the restriction to A of the reduction of the
function 1, reduced onto an open superset of A relatively compact in D. In
this special case problem (G 1) is the problem of minimizing IIvl12 for charges
v of finite energy supported by A with v(A) = 1, and problem (G2) is the
problem of minimizing 11vII 2 - 2v(A) for all charges of finite energy sup-
ported by A. The capacitary measure of A solves problem (G2) in this
context.
The Frostman approach (see Historical Notes). If A is compact and if/is
positive « + (0) and continuous, it is easy to see that problems (G 1+) and
(G2+) have solutions. In fact, if /l. is a minimizing sequence of measures for
(G I+), then /l.(A) is a bounded sequence, and any measure that is the vague
limit of a subsequence of /l. solves (G1+).
15. Dependence of C· on D
If D1 and D2 are Greenian subsets of IR N with D1 C D2 , we have noted in
Section VII.l that GD, ~ GD2 . If outer capacity relative to D j is denoted by
Cj*, it will now be shown that Ci ~ Ci on subsets of D1 and that to a
compact subset Bof D 1 corresponds a constant IX = IX(B) such that Ci ~ IXCi
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 Cj* reduces to the
capacity function Cj . If A is a compact subset of D 1 with capacitary measure
AiA relative to Dj , then 1 ~ GD ,A.2A ~ GD ,A 2A on D1 ; so by (13.1)
C1(A) = sup {A(A): A supported by A, GD,A ~ I} ~ A2A (A) = C2 (A), (15.1)
as asserted. To prove the second assertion, observe that if B is a compact

subset of D1 and IX = SUPB x B GD 2 /GD , (the ratio is defined as I on the diagonal)
and if A is a compact subset of B, then GD2 A2A ~ IXGD , A2A on D 1 ; so GD,(IXA 2A )
~ I quasi everywhere on A. Therefore by (13.1)
C1(A) = inf{A.(A): A supported by A, GD,A ~ I quasi everywhere on A}

~ IXA 2A (A) = IXC2 (A), (15.2)
16. Energy Relative to 1R 2
In this section we consider potentials GJ.l when N = 2. The Green function

G is bounded below on compact subsets of 1R 2 x 1R 2, and we have seen in
Section IV.l that GJ.l is superharmonic on 1R 2 whenever J.l is a measure on
1R 2 with compact support. Hence, if J.l and v are measures on 1R 2 with compact
J J
support, the integrals R 2 GJ.l dv and R2 Gv dJ.l are meaningful and equal.
Their value, the mutual energy of the pair of measures, will be denoted by
[J.l, v].
Let <1 in the present context be the class of charges J.l: (J.ll' J.l2) with the
following properties (in which we suppose that J.ll and J.l2 are minimal
components) :
E1. J.ll and J.l2 have compact support.

E2. r GJ.li dJ.li<+00,i=1,2.
1,2
E3. 2
J.l(1R ) = o.
Then the following two assertions are true.
(a) If J.l and v are measures in <1, then [J.l, v] < +00.
This assertion follows from the fact that if D is a ball containing the
compact supports of J.l and v the potentials GJ.l [Gv] and GDJ.l [GDv] differ
on D by harmonic functions; so (a) can be reduced to the corresponding
assertion for potentials relative to D, covered by Theorem 7.
In view of (a), if J.l and v are charges in tff, their mutual energy [J.l, v]
defined formally by (3.2) in terms of their minimal components is meaningful
and finite valued. The evaluation (3.2) is independent of the choice of
components of the charges as long as all the mutual energy integrals are
finite valued. The class tff is now seen to be a linear class.
We have not yet used the condition E3 in this discussion, but this condi-
tion is essential in the following. In view of the evaluation (6.3) of mutual
energy in terms of the Dirichlet integral when the charges involved are in tff
and have C<2l(1R 2) potentials, we can expect charges in <1 to have positive
energy, and in fact we now prove the following statement.
(b) Theorem 7 is true for D = 1R 2 and charges in S.
To prove that [J.l,J.l] ~ 0 for J.l in S, let A be a compact support for J.l, of
diameter IX, and let B be a ball containing A, with center in A, of radius
{J > IX. Define
(16.1)
for ~ and rr in B, so that G - u = GB on B x Band
-log({J + IX):S; u:s; -log({J - IX). (16.2)

17. The Wiener Thinness Criterion 249
In view of the positivity of energy relative to B (Theorem 7), if Jl. is a charge

in Iff (for 1R 2 ) with minimal representation (Jl.1' Jl.2),
Since the last term has limit 0 when f3 ..... 00, it follows that the energy [Jl., Jl.]
of Jl. relative to 1R 2 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 [Jl., v] = 0 whenever v is in Iff implies that Jl. is the zero charge, we cannot
choose v as a uniform distribution on a sphere since this distribution is not
in Iff. Instead choose (\ > fJ > 0, and for ~ in 1R 2 let v be the charge supported
by oB(~, fJ) u oB(~, (5 1), 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 = GDJl.. The equality [Jl., v] = 0 implies that
L(u,~, fJ) = L(u, ~, fJ 1 ), and the condition E3 implies that lime! 1 -+CXJ L(u,~, fJ 1 )
= O. It follows that L(u,~, fJ) = 0 and therefore (<5 ..... 0) that u == O. Hence Jl.
is the zero charge, as was to be proved.
17. The Wiener Thinness Criterion

Let D be a Greenian subset of IR N (N ~ 2), let A be a subset of D, and let ~
be a point of D. Let C· be the outer capacity ~Section 11) defined on subsets
of D, relative to D. Let IXE] 1, + 00[, nE Z+, and define
(17.1)
n
Let k be an integer so large that Uk'

B n c D and, if N = 2, so large that this
union has diameter less than 1. In the following k is fixed, and it is to be
understood that An and An are considered only for n ~ k. Nothing in the
following theorem or its proof would have to be changed if one of the
inequalities in (17.1) is changed to be a strict inequality. Observe that there
is a constant c so large that
(17.2)
Theorem. The set A is thin at ~ if and only if the following equivalent conditions
(With reductions relative to D) are satisfied:
CXJ
(a) ~>nC·(An) < + 00.

o
00
(b) LR1n(~) < +00.

o
Observe that since R1 n is harmonic on a neighborhood of ~, it follows
that 1J~n(~) = R1 n(0- Since An is a relatively compact subset of D, the
smoothed reduction 1J~n is a potential GDAAn , and [by (10.1)] C*(A n) =
AAn (D). Since AAn is supported by .4",
(17.3)
Hence conditions (a) and (b) are equivalent. In view of Theorem Xl.3 these
conditions imply that A is thin at ~ because under (b)
00
lim R1"(O :::; lim LRtm(~) = 0, (17.4)

n-co n-oo n
where we have used the countable subadditivity of R~ (~) [Theorem VI.3(j)],

Conversely, if A is thin at ~, we shall show that the sum in (b) is finite when
the index n is even; the proof for n odd is the same. Define A' = Uk'A 2m , a
subset of A and therefore thin at ~. If the part of A' in some neighborhood
of ~ is polar, it is trivial that the series in (b) with n even converges. If A'
meets every neighborhood of ~ in a nonpolar set, we use the fact that accord-
ing to Theorem XI.2, there is a positive superharmonic function U o on D,
finite at ~, with limit + 00 at ~ along A'. The function R A
+u o
' is a positive super-
harmonic function on D, finite at ~, with limit + 00 at ~ along A' less a polar

set, and R A ' is a potential GDJl because A' is relatively compact in D. The
+"0 _
measure Jl is supported by A', and Jl( {n) = 0 because u(~) < + 00. Let Jl2n
and Jl;n be the projections of Jl on A 2n and D - A 2n , respectively. An elemen-
tary calculation shows that there is a constant e' such that for all n ~ k,
(17.5)
It follows from the definition of GD and the discussion in Section VII.3 that
liml{_"I_O [GD «(, r,)/GG, r,)] = 1 when ( and r, are restricted to be in a com-
pact subset of D. Hence for ( and r, in a compact subset B of D there is
a constant e" = e"(B) such that GD :::; e"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),
Hence for n ~ k,
18. The Robin Constant and Equilibrium Measures Relative to 1R 2 (N = 2) 251
on A 2n , and the constant does not depend on n. It follows that GDJ.l2n ~ 1

quasi everywhere on A 2n for sufficiently large n; so R+tA 2n :::;; GDJ.l2n quasi
everywhere on A 2n 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,
L R12n(e) = L 1J:2n(e):::;; L GDJ.l2n(e) :::;; GDJ.l(e) < + 00.

n~m n~m n~m
(17.6)
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 Gin (17.1) is replaced by GD .
18. The Robin Constant and Equilibrium Measures Relative

to 1R 2 (N = 2)
Since we shall not use the results of this section, detailed proofs will be
omitted. The material is presented as an interesting and important appli-
cation not readily available elsewhere.
Superharmonic and Harmonic Functions on Neighborhoods of 00
A function defined on an open neighborhood of the point 00 of ~2 (that is,

on an open set including this point) is said to be superharmonic [harmonic]
there if the function is superharmonic [harmonic] on the deleted neigh-
borhood and if the Kelvin transform of the function under an inversion is
superharmonic [harmonic] on an open neighborhood of the image of 00.
We shall use obvious consequences of theorems on superharmonic and
harmonic functions defined on open subsets of ~2 even when 00 is allowed
in the domains of the functions. For example, if u is a positive superharmonic
function defined on an open deleted neighborhood of 00, then u has a
superharmonic extension to the full neighborhood.
The Green Function of an Open Neighborhood of 00 and the Robin

Constant of Its Complement
Let A be a compact nonpolar subset of ~2, and define D = ~2 - A. The

Green function GD has a continuous extension to (D u {oo}) x (D u {oo}),
and we shall denote by GD ( 00,') the restriction to D of this extension with
first argument fixed at 00. The function GD ( 00,') is called the Greenfunction
of D with pole 00. This function is positive and harmonic on D, is bounded
252 1. XIII. Classical Energy and Capacity
outside each neighborhood of 00, and has limit 0 at quasi every finite
(Euclidean) boundary point of D, and the difference GD(oo,·) -logl·1 has
a finite limit r(A) at 00. [If this difference is defined as r(A) at 00, the dif-
ference becomes harmonic on a neighborhood of 00.] The value r(A) is
called the Robin constant of A. Obviously r(A) is invariant under rotation
and translation of ~2. The value e-,(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,b), then GD(oo,·) = 10g(I·I/b), r(A) = -10gb, and the

logarithmic capacity of A is therefore b.
If ~o EA, then [all functions in (18.1) are defined on D]
GD(oo,·) = inf{u ~ 0: u = logl~o -·1 + h, h superharmonic}

= inf{u ~ 0: u = log I~o - ·1 + h, h harmonic}
(18.1)
= inf {u ~ 0: u superharmonic,
u ~ log 1·1 on a deleted neighborhood of 00 }.
If D is not connected the function GD ( 00,·) vanishes identically on every

open connected component of D except the component Doo containing a
deleted neighborhood of 00.
Canonical Equilibrium Potential of a Compact Set
The function GD ( 00,·) can be extended to a positive subharmonic function

G; ( 00, .) on ~2, vanishing quasi everywhere on A. The measure A.A on ~2
associated with the superharmonic function -G=(oo,·) is supported by A,
in fact by the Euclidean boundary of Doo ' and even by ofD~. We can write
G;(oo,·) = -GA.A + h, where h is a harmonic function on ~2. In view of the
form of GD near 00, it follows that A.A(A) = I and [see IV(9.2)] that h has
limit r(A) at 00. An application of the harmonic function maximum-
minimum theorem to h shows that this function is identically r(A); so
G;(oo,·) = -G~ + r(A). (18.2)
Conversely, suppose that IX is a constant, that A. is a measure supported by

A, that A.(A) = I, and that GA. .:::; IX with equality quasi everywhere on A.
Then we now show that IX = r(A) and A. = A.A' Observe first that A. and A.A
vanish on polar sets (Section V.11), and we can therefore ignore the subsets
of A on which GA. # IX or GA.A # r(A) in the following evaluations:
IX = i GA.dA.A = 1GA.AdA. = r(A).

The domination principle now implies that GA. = GA.A ; so A. = A.A' The mea-
sure A.A is a canonical equilibrium measure for A in the present context.
Right and Left Continuity of the Function - r(')
The function - r(') is an increasing function on the class of nonpolar compact

subsets of 1R 2 • Now let A. be a monotone sequence of compact nonpolar
sets, with limit A. In view of Theorem VII.6, if A. is an increasing sequence
and if A is compact, then limn....'" r(A n ) = r(A); if A. is a decreasing sequence,
then limn....'" r(A n) = r(A) if A is nonpolar and limn....'" r(A n ) = + 00 if A is
polar. If A is compact and polar, we therefore define its Robin constant
r(A) to be + 00 and its logarithmic capacity to be O.
Strong Subadditivity of -r(')
Let B be a nonpolar compact subset of 1R 2 , and define D = 1R 2 - B. If A

is an arbitrary compact subset of D, let VA be the reduction relative to D
of GD ( 00, .) on A. This reduction is harmonic and bounded on a deleted
open neighborhood of the point 00; so (Section V.5) VA has an extension
harmonic on the full neighborhood and therefore has a finite limit VA( 00)
at 00. The restriction of the function GD( 00,') - VA to D - A is GD - A( 00, .).
Observe that the set function A 1-+ VA is strongly subadditive [S~tion
VI.3(j)]. It follows that the set function AI-+VA(oo) = -r(AuB) + r(B)
and so also the set function A 1-+ - r(A u B) are strongly subadditive on
the class of compact subsets of 1R 2 - B. When B shrinks to a point, we find
that - r(') is strongly subadditive on the class of compact (including polar
compact) subsets of 1R 2 • Unfortunately the logarithmic capacity function
is not strongly subadditive, in fact, not even subadditive.
Application of Section VIII .19
According to Section VIII. 19, if D is a deleted open neighborhood of 00,
(18.3)
where <PD is a positive harmonic function on D, bounded on bounded subsets

of D, with boundary limit 0 at quasi every Euclidean boundary point of D.
Since the term on the left in (18.3) and the second term on the right both,
for flXed '1, define functions of ~ bounded near 00, the function <PD must have
the form <PD = log "1 + h, where h is harmonic on D and bounded on a
deleted neighborhood of 00; equivalently, <PD = GD( 00,') + h', where h'
is harmonic on D, h' is bounded on a deleted neighborhood of 00, and h'
has limit 0 at quasi every Euclidean boundary point of D. Moreover h' is
bounded on bounded subsets of D because GD ( 00,·) is, and it follows that

h' is bounded; so (Section V. 7) h' vanishes identically. Thus <PD = GD( 00, .)
and
(18.4)
or in view of the definition of GD ,
(18.5)
for every point '1 of D.
Extension of r(·) to the Class of Analytic Subsets of 1R 2
The set function -r(·) very nearly satisfies the conditions defining a topo-
logical precapacity but is not positive. Let A o be a compact nonpolar subset
of 1R 2 , and consider the set function -r(·) + r(A o) defined on the class of
compact supersets of A o . 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(A o), and therefore -r(·),
to the class of analytic supersets of Ao. The value - r(A) obtained in this
way does not depend on the choice of the compact nonpolar subset A o of A.
Define -r(A) = - 00 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 ofanalytic subsets oflR 2 . The set function -r(·) is now an increasing
set function and is regular in the sense that
- r(A) = sup {- r(B): B c A, B compact}

(18.6)
= inf {-r(B): A c B, B open}.
The logarithmic capacity set function e- r (') is then also regular in this sense
but as already noted is not strongly subadditive, in fact, not even sub-
additive.
Equilibrium Measures of Analytic Subsets of 1R 2
Let A be an analytic nonpolar subset of 1R 2 , and let A' be a compact nonpolar

subset of A. Define D' = 1R 2 - A' and D = 1R 2 - A. The positive function
(smoothed reduction relative to D') is subharmonic on D and can be ex-

tended to be a positive subharmonic function on 1R 2 , 0 at quasi every point
of A. Denote this extension by G; (00, .). Suppose first that A is bounded.
Then G;;( 00,') is harmonic on a deleted open neighborhood of 00, and if

A.A is the Riesz measure associated with - G;; (00, '), this measure has compact
support, A.(1R 2 ) = 1, and there is a harmonic function h on 1R 2 such that
G;;(oo,') = -GA.A + h. It can be shown that h is identically r(A). Thus
(18.2) is true, and GDA.A ::::;; r(A) with equality quasi everywhere on A. If
A is not bounded, this reasoning must be expanded. In the first place, since
GD,(oo,') is a minimal harmonic function on D' (Section VII.10), we must
suppose (by Theorem XU) that A is thin at 00 to ensure that ~GD'( 00, .)~A-A'
is not identically GD .( 00, .). This condition on A can be shown to be necessary
and sufficient for A to have finite logarithmic capacity, and then if A.A is
the Riesz measure associated with -G;;( 00, '), it can be shown that A.A(1R 2) =
1, that (18.2) is true, and that therefore again GA.A ::::;; r(A) with equality
quasi everywhere on A.
Chapter XIV
One-Dimensional Potential Theory
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
e e,
ball in IR with center is an open interval with midpoint and the averages
e, e,
L(u, (5), A(u, (5), and Aau can play the same role when N = 1 as when
N> 1, but more direct methods are sometimes clearer.
Since an open subset of IR is a countable union of disjoint intervals, it is
usually possible to consider functions defined on intervals.
2. Harmonic, Superharmonic, and Subharmonic Functions

A function u defined on a nonempty open subset D of IR will be called
harmonic (superharmonic, subharmonic) if on each component interval of D
the function u is finite valued and linear (concave, convex, respectively).
Such a function is necessarily continuous.
Every nonempty open subset of IR except IR itself supports a positive
not identically constant superharmonic function. In the terminology of
the multidimensional case IR is the only non-Greenian open subset of IR
aside from the empty set. In agreement with the definition of a polar set
when N > 1, only the empty set is defined as polar when N = 1. That is,
the only negligible set in one-dimensional classical potential theory is the
empty set.
3. Convergence Theorems
It is trivial that the supremum of an upper directed family of harmonic

[superharmonic] functions on an open subset D of IR 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
If U is superharmonic or subharmonic on D and if B is an open subinterval

of D, relatively compact in D, the function tBU is defined as the function
equal to U on D - B and linear on ii. If U is superharmonic, the function
tB is also superharmonic and is majorized by u.
If u is superharmonic on D and has a subharmonic minorant, the function
GMDu exists as in the case N> I and is harmonic. The proof for N> I
is applicable to the case N = 1. A superharmonic function u on a finite
interval D has a subharmonic minorant if and only if the limit of u at each
endpoint of D is finite, and in that case GMDu is the restriction to D of the
linear function equal at each endpoint of D to the limit of u at that endpoint.
A superharmonic function u on the infinite interval ]a, + oo[ with a finite
has a subharmonic minorant if and only if the limit of u at a is finite and the
limit tX of u; at + 00 is not - 00. In that case GMDu is the restriction to D
of the linear function with value at a the limit of u there and with slope tx.
4. Smoothness Properties of Superharmonic and Subharmonic

Functions
We omit the elementary proofs of the following properties of a convex
(that is, subharmonic) function u defined on an open interval D.
(a) u is continuous, is absolutely continuous on each compact subinter-
val of D, and has finite or infinite limits at the endpoints of D.
(b) u has a right [left] derivate u; [u;] at each point of D.
(c) The function u; [u;] is monotone increasing and right [left] con-
tinuous.
(d) u; =:; u;, and there is equality except at a countable subset of D. At
a point of equality the derivative u' (= u; = u;) exists.
In one dimension the Laplacian of a function u is the second derivate
UN. A function u in 1[(2 l(D) is subharmonic if and only if /).u ~ o.
5. The Dirichlet Problem (Euclidean Boundary)

If D is a finite interval ]a, b[ and if/is a boundary function, it is trivial
that the PWB method in the present context yields a solution if and only
if/is finite valued and that for finite-valued/,
b-~ ~-a
J-tD(~' {a}) = -b- , J-tD(~' {b}) = b _ a' (5.1)
-a
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
function f is finite valued, say p, at the finite endpoint b of D. The PWB

solution HI is then identically p, that is, the harmonic measure of {b} is
identically I. If D is not connected but is a proper subset of IR, the PWB
method is applied separately to each interval component of D, or equiva-
lently, to D itself, but the Dirichlet problem is not treated for D = IR because
IR is not Greenian.
The Dirichlet problem for conditionally harmonic functions is left to
the reader.
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 GD(e,·) is harmonic on D - g}
and superharmonic on D, with limit 0 at each endpoint of D. These con-
ditions determine GD(e,·) up to a multiplicative positive constant. Let d 1
e.
[d z] be the derivative ofGD(e,·) to the left [right] of If now uECP)(.D),
integration by parts yields
To simplify this formula, we specify GD completely by prescribing d 1 - dz =

I, so that
(b - eH" - a)
b-a
GD(e,,,) = (6.2)
!
(b - ,O(e -
b-a
a)
and then (6.1) becomes
(6.3)
The representation (6.3) should be compared with the corresponding repre-

sentation 1(8.6). Thus if U E C(2)(.D) and if U is superharmonic and positive,
U is the sum ofG MDu and the potential of the measure -!1u d/ 1 . This example
ofthe Riesz decomposition will be extended to the general case in Section 9.
If D is the interval ]a, + 00 [ with a finite, we let b tend to + 00 in (6.2)
and thereby are led to the definition
(6.4)
If D = ] - 00, b[ with b finite, we define GD correspondingly. If D is a union

of two or more disjoint nonempty open intervals, GD(e,,,) is defined as
8. Identification of the Measure Defining a Potential 259
GDO(e, '7) for e,

'7 in the same component interval Do of D and defined as 0
e,
for '7 in different component intervals. Thus GD is now defined for every
Greenian set D.
7. Potentials of Measures
If Dis Greenian and if J.l is a measure of Borel subsets of D, then the potential
GDJ.l is superharmonic, that is, concave, on each component interval of D
on which the potential is finite valued, because GD (', '7) is concave for each
'7. We now show that GMDu = 0 when u = GDJ.l 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, bE. Let B.
be an increasing sequence of subintervals of D with compact closures in D
and union D. Then 'rB.GDJ.l is a decreasing sequence of superharmonic
functions. Moreover, if eEBn, then
'rBn(GDJ.lHe) = r J.lBn(e, GD(', '7»J.l(d'7).

JOB n
(7.1)
Here nl-+J.lBn(e,GD(-, '7» is a decreasing sequence, for n so large that eEBn,

with limit O. Hence limn_ex> 'rBnGDJ.l = O. It follows that u = GDJ.l has limit 0
at each finite endpoint of D and that if D has an infinite endpoint, the limit
of right and left derivatives u; and u; at that endpoint is O. Hence (see Section
4) GMDu = O. Alternatively [see the N-dimensional context in Section III.I,
Observation (a)], the sequence 'rB.U can be proved directly to have limit
GMDu.
8. Identification of the Measure Defining a Potential

Theorem. If u = GDJ.l is a superharmonic potential, then dJ.l = du; in the sense
that
u;(f3) - u;(a) = - J.l(]a, f3]) for ]a, f3] cD. (8.1)
In proving the theorem we can suppose that D is an interval ]a, b[ with

at least one finite endpoint. If both endpoints are finite, define functions
r
<Po and <Pb by
e< b,
r
<po(e) = ('7 - a)J.l(d'7), a<
(8.2)
<Pb(e) =- (b - '7)J.l(d'7), a< e< b.
260 I. XIV. One-Dimensional Potential Theory
Here J~ means the integral over ]oe, fJJ. The functions <Pa and <Pb are finite
valued, monotone increasing, and right continuous and satisfy
a < oe < fJ < b, (8.3)
and
u(~) = (b - ~)<Pa(~) - (~ - a)<pb(~). (8.4)
b-a
Apply (8.3) and (8.4) to find
(8.5)
r(" - r
first when JI({~}) = 0 and then (right continuity) for all ~. Then for a <
oe<fJ<b
a)JI(dtI) + (b - tI)JI(dtI}
u;(fJ) - u;(oe) =- a b
-a
a = - JI(]oe, fJ]),
(8.6)
as was to be proved. If one endpoint, say b, is not finite, define <Pa as in
r(", -
(8.2), but define <Pb(~) = - JI(]~, + 00 D. Then (8.3), (8.4), (8.5) are replaced
by
<Pa(fJ) - <Pa(oe) = a) d<Pb("'), (8.3')
u(~) = <Pa(~) - (~ - a)<pb(~)' (8.4')
u;(~) = -<Pb(~); (8.5')
so in this case also (8.1) is true.
9. Riesz Decomposition
Theorem. If u is a positive superharmonic function on an open proper subset
D offR, then
(9.1)
where dJI = du; in the sense of Theorem 8.

10. The Martin Boundary 261
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
(X! a and Pi b, we find that <Pa and <Pb 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 = GDf.J. + v, where v is linear. Since the GM D operation is linear, just as
in the multidimensional case, and since this operation on a superharmo~ic
potential yields 0, it follows that v = GMDu, and the proof of the theorem is
complete.
10. The Martin Boundary
Martin boundary theory in one dimension is rather trivial. For example,

if D = ]0, + 00 [ and if ~o E D, we define the Martin function with reference
point ~o in the obvious way.
~ 1\ '1
K('1,~) = -J:- .
<'0 1\ '1
°
We then find ('1 -+ 0, + (0) that the Martin space can be identified with
jR+ ; the Martin boundary point is associated with the minimal harmonic
function K(O, 0) == 1; the Martin boundary point + 00 is associated with
the minimal harmonic function ~ 1-+ K( + oo,~) = ~go.
Chapter XV
Parabolic Potential Theory: Basic Facts
1. Conventions
The potential theory based on the Laplace operator, developed in the

preceding chapters, will be called classical potential theory below. The
potential theory based on the heat operator 11 and its adjoint !i., '" called
parabolic potential theory, will be developed in Chapters XV to XIX. Con-
cepts that are parabolic counterparts of classical concepts will be distin-
guished by dots or asterisks, depending on whether the concepts are related
'" Just as the domains of classical potential theory are subsets
to 11 or to !i..
N
of IR , the domains of parabolic potential theory are subsets of "space time"
IR N +1, which we denote in this context by iR N . Here N ~ I, and the case
e
N = I is not exceptional. A point = (~, s) of iRN has space coordinate ~
e
in IR N and time coordinate s = ord (the ordinate of h a point of R The
point ~:("" t) will be said to be [strictly] below (~,s) if t:::; s [t < s].
e
If is a point of an open subset D of ~N, the set of points of D [strictly]
e
below relative to D is the set of points of Dthat are endpoints of continuous
[strictly] downward-directed arcs from e. That is, ~ is [strictly] below e
relative to D if and only if there is a continuous function f from [0, I] into
D for whichf(O) = e'/(l) =~, and ordfis a [strictly] decreasing function.
e e
The upper [lower] half-space of ~N is the set {ord > O} [{ord < o}] and
e
the abscissa hyperplane is the set {ord = o}. The boundary of a subset of ~N
relative to the one-point compactification of ~N will be called the Euclidean
boundary, and boundary will mean this boundary unless a different one is
specified.
Let D be an interval in ~N, D = ]a 1 ,b 1 [ x ... x ]aN,bN[ x ]S1,S2[.
The set of boundary points with ordinate value S2 will be called the upper
boundary, the set of boundary points with ordinate value S1 will be called
the lower boundary, and the closure of the rest of the boundary will be
called the lateral boundary.
2. The Parabolic and Coparabolic Operators 263
2. The Parabolic and Coparabolic Operators

In the following discussion the Laplace operator !:i acting on a function
~ = (e, s) 1-+ u(~) defined on an open subset of iR N is to act only on the space
e.
variable Choose a strictly positive number (f (fixed throughout the discus-
.
sion). Define the parabolic operator !:i and the coparabolic operator !:i,
*
operating on sufficiently smooth functions defined on open subsets of iR N , by
Au(e,s) = (f2 !:iu(e,s) _ ou~e,s),

2 uS
(2.1)
Au(e,s) = (f2 !:iu(e,s) + ou~e,s).
2 uS
Parabolic potential theory is based on the pair A, !:i* and is similar in many
respects to classical potential theory, but the fact that both !:i. and !:i* are
involved means that two theories dual to each other must be considered
simultaneously.
A function u from an open subset of ~N into ~, in class C(I) there and
also in class C(2) relative to the space variable, and satisfying the heat equation
Au = 0 will be called parabolic; a solution (satisfying the same smoothness
conditions) of the adjoint equation !:iu * = 0 will be called coparabolic. A
function u is coparabolic if and only if the function (e,S) 1-+ u(e, -s) is
parabolic. If u is a function on an open subset D of ~N, if D = D x ~,
and ifu(~) = u(e) for ~ = (e, s) in D, the function uis parabolic (equivalently,
coparabolic) on D if and only if u is harmonic on D.
EXAMPLE (a). If y is an N-dimensional vector, the function
is a positive parabolic function on iR N • Recall that in contrast with this

example there is no nonconstant positive harmonic function on ~N.
Minimal Parabolic Functions
A positive parabolic function u on an open subset D of iR N will be called

minimal ifevery positive parabolic function on Dmajorized by uis a constant
multiple ofu. If b is iR N or is the lower half-space;it will be shown in Section
XVI.8 that the restrictions to D of the functions in Example (a) are minimal
and in fact are the only parabolic minimal functions up to constant multiples.
264 1. xv. Parabolic Potential Theory: Basic Facts
u
EXAMPLE (b). If is parabolic on IR N and is of the form (~,s)l--+f(I~I)g(s),
r
the functions f and 9 satisfy the equations (r) + [(N - I )jr]f'(r) = cf(r)
for r ~ 0 and g' = ca 2 gj2 on IR, and we thereby find the parabolic function
u defined on IR N by
where c is an arbitrary constant, Jk is the Bessel function of the first kind,

and I k is the modified Bessel function. The parabolic function ujr(Nj2) can
also be obtained by taking the parabolic function in Example (a) and
averaging it over the values ofy with lyl2 = c. This representation ofujr(Nj2)
is an example of the fact that every positive parabolic function on IR N is an
integral over the set of minimal parabolic functions.
3. Coparabolic Polynomials
Define the Hermite polynomial Hm , .. 'mN on IR N by
so that if y is a vector in IR N , the Taylor expansion
(3.2)
yields
(3.3)
According to (3.1),
(3.4)
m; = m i - ~ij if mj > 0,
and this partial derivative vanishes if m j = 0; so (3.4) is valid in all cases

when interpreted reasonably. Repeated integration by parts leads to
3. Coparabolic Polynomials 265
r
JIRN
e-I~12 Hm, .. 'm/1'/)Hn, .. .nN(1'/) IN (d1'/)
= {m 1 ! ... mN !2 m,+'" +mN1t NI2 if m. = n.,
o otherwise.
Thus the sequence of Hennite polynomials is an orthogonal sequence rela-

tive to the measure exp (-11'/12)IN(d1'/), and (3.3) is the corresponding Fourier
series of the left side.
« >
The function (1'/, t) t--+ exp y, 1'/ -ly120-2 t/2) is coparabolic. Define the
space-time Hennite polynomial Jim,. "mN' homogeneous of degree m 1 + ...
+ mN in the variables 1'/(1), ... ,1'/(N), t 1/2 , by the Taylor expansion
The polynomial Jim, ... mN is coparabolic because it is obtained by repeated

differentiation of the coparabolic function on the left side of (3.6). If y and
1'/ in (3.3) are replaced by (0- 2t/2) 1/2y and -(20- 2t)-1 /21'/, respectively, the left
sides of (3.3) and (3.6) become identical; so
Jim,,,.mN(1'/,t) = (0-;tr2Hm, ...mN(-(20-2t)-1/21'/) (n = ~mj)

2
= (-0-2 t )n exp J!!L 0" exp -11'/1 (3.7)
2
20- t 01'/(1)m, ... 01'/(N)m N 20- 2t
= 1'/(I)m, ... 1'/'(N)mN + ....
The tenn written on the last line is the only tenn not involving t. The relation
(3.4) becomes
m.I - bOoIJ if mj > 0,

I
m·= {0 (3.8)
I
ifmj = 0,
and (3.5) becomes
i IRN
e
-1~12/2a2t' ) •
= {(0-2t)"+NI2(21t)NI2ml! ... mN!

()/ d )
Hm,...mN(1'/, t Hn''''nN ", t N "
if m. = n., (3.9)
o otherwise.
For each value of t the sequence of space-time Hennite polynomials is an

orthgononal sequence in the space variables, and (3.6) is the corresponding
Fourier expansion of the left side.
A coparabolic polynomial 1 ( =1= 0) must contain a term not involving 1

because
1(,/,1)= L'" t'j!j(,/),

j=l
where!j is a not identically 0 polynomial in the components of ,/, and 1

cannot satisfy the heat equation dual unless n 1 = O. In view of (3.7) some
linear combination iI of space-time Hermite polynomials can be chosen
with the same terms not involving 1 as f, and therefore 1 - iI vanishes
identically. Thus every coparabolic polynomial is a linear combination of
the space-time Hermite polynomials.
EXAMPLE. If N = I, the successive Hermite and space-time Hermite poly-

nomials are
4. The Parabolic Green Function of IRN
Define the function t on ~N by
if 1> 0,
(4.1)
if 1 ~ O.
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 G of ~N is defined on ~N x ~N (N ~ I) by
(4.2)
In more detail,
(a) The function G(o, ~) is the Green function with pole ~ for the heat
equation. This function is positive, parabolic on ~N - {~}, and
vanishes below ~ and in the limit at the point co.
(a*) The function G(~, 0) is the Green function with pole ~ for the adjoint
equation. This function is positive, coparabolic on ~N - {e}, and
vanishes above ~ and in the limit at the point co.
5. Maximum-Minimum Parabolic Function Theorem 267
Observe that when N > 2, there is an intimate connection between the

parabolic Green function of ~N and the classical Green function of ~N :
f:oo O«e, s), (rp)) 11 (dt) = Loo 6(s, e- ,,)/ (ds)

1
(4.3)
= aNle - ,,12-N = aNG(e,,,)
with
This relation between G and 0 will be generalized to Greenian subsets of

~N in Section XVII. 18.
The following inequality will be used below. Let D(k) be a (possibly mixed)
partial derivation operator of order k on space variables, and let P be a
positive number. Then if ~ = (e, s) and ~ = (", t),
This inequality will be proved for k = I. The proof in the general case
involves more notation but no additional ideas. For k = I and s > t
(4.5)
and the right side is majorized by the right side of (4.4) when k = l.
If it is a measure on ~N, the functions Oit and itO defined by
(4.6)
will be called respectively the potential and copotential of it on ~N. These

definitions will be generalized to potentials and copotentials of measures
on an open subset fJ of ~N with parabolic Green function Of>.
5. Maximum-Minimum Parabolic Function Theorem

This theorem will follow from the superparabolic function minimum theorem
(Section 13), but the following direct proof is instructive. Since the function
O("~) is parabolic on fJ = ~N - {~} and takes on its minimum value at
268 l.XV. Parabolic Potential Theory: Basic Facts
every point of D below ~, the maximum-minimum parabolic function

theorem is necessarily weaker than its harmonic function counterpart.
Theorem. Let ( be a point of an open subset D ofiR N , and let D«() be the set
ofpoints ofD below' relative to D./fu is a parabolicfunction on D and if u«()
is the supremum or infimum of the restriction of u to D«(), then u = u«() on
D«().
Observation. This theorem when applied to the part of D strictly below

an arbitrary horizontal hyperplane implies that if m is the supremum of u,
there is a sequence ~. of boundary points of D with ordinate values strictly
less than supD ord tj such that
lim lim sup u(~) = m.

n-oo D3~-irn
Thus if Dis an interval, there is a sequence in Dconverging to a point of the

u
union of lower and lateral boundaries of D such that tends to m along this
u
sequence. If is paraboli~ on a neighborhood of the closure of the interval
u
D, the restriction of to D attains its maximum and minimum on the union
of lower and lateral boundaries.
In proving the theorem we need consider only suprema, and it is sufficient
to prove the following result. Let S be a closed line segment in D, not ortho-
gonal to the ordinate axis, and let m be the supremum of uon the set of points
u
of D below the highest point of S. We prove that < m on S if this inequality
is true at the lowest point of S. Let (~,s) be the upper endpoint of S,
and to simplify the notation, let the origin be the lower endpoint of S.
If u(O) < m, choose r so that 0 < r < 1, so that the set
has closure in D, and so that m 1 = sUPI"I<r u('1, 0) < m. Define fJ = fJ('1, t)

= r 2 -1'1 - ~t/SI2 and define t.i on iRN by
(5.1)
where ex is a positive constant to be chosen below. Then if ~ and '1 havejth

coordinates ~(j) and '1(j), respectively,
At.i('1,t) = (m - m1)e-<zr {-exfJ 2 + 2fJ[U 2(N + 2)

(5.2)
+2 Jl ('1(j) - ~~)t)e~)J - 4O'2 r 2}.

6. Application of Green's Theorem 269
As a function of (y the quantity in braces has maximum value
Ch~ose (X so that this maximum value is strictly negative on a neighborhood
of Do, on which therefore A(v - u) < O. On the lower boundary of Do, that
is, on its lower face, v- u ~ m - (m - m l ) - m l = 0, and on the lateral
boundary of Do w~ fine that v- u ~ m - m = O. Now if the minimum
value of v- uon Do is attained at a point (t/, t) either in the interior of Do
or in the interior of the upper face of Do, then o(v - u)/ot:$; 0 at the point;
so ~(v - u) < 0 (Laplacian applied to the space coordinates) there. Since
(v - u)(', t) has a local minimum at t/, the lager inequality is impossible,
and it follows that the restriction of v- u to Do attains its minimum value
at a point of the union of the lateral boundary and lower face; so v- u ~ O.
In particular, this inequality on the segment S becomes
uef, t) :$;
4
m - (m - m l )r e-
ar
<m (0 :$; t :$; s), (5.4)
and the proof is complete.
6, Application of Green's Theorem

Let D be an open subset of ~N. Suppose that for t in the interval [t', t"]
the set D(t) = {t/: (t/, t)eD} is a nonempty connected subset of ~N smooth
enough for the application of Green's theorem in N dimensions. Denote by
oD(t) the boundary of D(t) relative to the hyperplane {ord ~ = t}, and denote
by On the directional derivative operator at a point of oD(t) in the direction
of the outward normal to oD(t). Define D(t I' t 2) = D n (IR N x ] t l' t 2 D for
t' :$; t I < t 2 :$; t". Denote by On the directional derivative operator at a point
of oD(t I' t 2) in the direction of the outward normal. The angle between
this normal and the upward-directed ordinate axis will be denoted by y.
In the integrals below the differential element will always refer to Lebesgue
measure of the indicated dimensionality on the indicated set. Thus d1N + 1 L, -
means integration over D with respect to (N + I)-dimensional measure and
JOD - diN means integration over oD with respect to N-dimensional "surface"
measure.
If N > 1 and if the functions uand vare defined on the closure of D and
are C(2) in the space variables and C(1) in space time on D,
r.
JD(S)
(u~v - v~u)dIN = i.
oD(s)
(uDnv - vDnu)dIN_1 · (6.1)
Equivalently,
Integrating with respect to s yields, if D is sufficiently smooth,
IfDnis replaced by On in the last integral, sin y should be replaced by sin 2 y.

In particular, if ti == I, this equation reduces to
The right side of (6.4) can be described as the heat flow of uout of D(t l' t 2 ).
This flow vanishes if uis parabolic.
Equation (6.4) is valid when N = I, in which case dl 1 on the right is the
differential of arc length.
If ~o is a point of D, the heat flow of G(o, ~o) out of D(t1' t 2 ), with t 1 and
t 2 chosen so that ~o is in this set, is the same as that out ofan interval contain-
ing ~o and relatively compact in D(t l ' t 2)' The heat flow of G(o, ~o) out of an
interval containing ~o is I by direct computation.
7. The Parabolic Green Function of a Smooth Domain; The

Riesz Decomposition and Parabolic Measure
(Formal Treatment)
Continuing the discussion in Section 6, choose a> 0, = e (e,s) in D, and

apply (6.3) with t 2 = sand ti = G«e, s + a), 0) to obtain
i. eD(t"s)
uG«e,s + a), 0) cos YdiN = -1. D(tl's)
G«e,s+a),0)AudIN+ 1
- u; r. JoD(t"S)
[uOnG«e,s+ a), 0) - G«e,s+ a), o)OnU] sin 2 ydiN' (7.1)
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 D(s) has
7. The Parabolic Green Function of a Smooth Domain 271
limit u( e); so (7.1) yields
u(~) = - r.
JD(t ,s)
G(~,·)AudIN+I - r.
J.JD(r.,s)
uG(~")cosydIN
I
(7.2)
- (121
2 .
[uDnG(~,·) - G(~, ·)Dnu] sin 2 ydlN •
cD(t.,s)
In particular, if u is parabolic, the first integral on the right vanishes, and

the representation (7.2) then shows that a parabolic function (and therefore
also a coparabolic function) is infinitely differentiable and is analytic in its
space variables for each fixed ordinate value. In view of the corresponding
development in classical potential theory it will be natural (see Section 12)
to define superparabolic functions in such a way that a sufficiently smooth
function uis superparabolic if and only if Au ~ O. Under such a definition,
if u is smooth and superparabolic, the representation of u in (7.2) exhibits
u as the sum of the potential of the positive measure with density - Au
and a parabolic function.
Following the reasoning in the classical context, we next observe (cf.
Section 1.8) that the work leading to (7.2) can be carried through when G
is replaced by a function Gv defined on D x D and enjoying the following
properties, stated for D = D(t 1, t 2)'
(a) e
For in D the function </J(e,,) = G(e,,) - Gv(e,,) is coparabolic on
D; for ~ in D the function </J(',~) is parabolic on D.
(b) Gv(~,') has limit 0 at every point of aD with ordinate strictly between
t 1 and ord ~ and has value 0 at all points of D above e. _
(c) The functi.2n </J(~,.) can be extended to be of class C(I)(D) and of
class C(2)(D) in the space variables.
If the argument leading to (7.2) is carried through with Gv instead of G,
(7.2) becomes
u(e) = - r. Gv(e, ·)AudIN+1 + r. uGv(e, ')dIN

JD(tl,s) JD(rt) (7.3)
- (122
1 .
ilD(t"s)
uDnGv(e,,) sin 2 ydiN'
The function GJj is unique if it exists because if t/J defined on D(t I ' t 2 ) is the
difference between two functions with the properties (a)-(c), for fixed ~ the
function t/J is coparabolic on D( t l' t 2) with boundary function 0 except
possibly at the points of D(t I)' The maximum-minimum theorem for para-
bolic functions as dualized for coparabolic functions and applied to t/J
implies that t/J vanishes identically.
The restriction of Gv(e,,) to the set of points of D strictly below ~ is
coparabolic, and by the maximum-minimum theorem it follows that
272 1.XV. Parabolic Potential Theory: Basic Facts
GD(~") 2: 0, so that i>nGD(~") :::; 0 in (7.3). When Ii == I in (7.3), the equa-

tion reduces to
Thus, if Ii is parabolic, (7.3) exhibits Ii on D(t l ' t 2 ) as a weighted average of

its values on the boundary. This weighting is the analog in the parabolic
context of harmonic measure and will therefore be called parabolic measure.
Observe that the parabolic measure relative to ~ assigns value 0 to the part
of the boundary above ~. This property will be proved in the general case
(Section XVIII.2) when parabolic measure is defined on the boundary of an
arbitrary open subset D of IR N •
8. The Green Function of an Interval

Suppose that N = I and that B is the infinite strip ]a, b[ x ~, and define
c = b - a. The Green function of B in the present context, like the classical
Green function of a ball, is found by the use of reflections in the boundary,
the method of images. Consider the series
L e+ '1), e= (e,s),
00
t(s - t,2nc - ~ = ('1, t). (8.1)

n= -00
If Ie - '11 < 2kc, if Inl > k, and if s > t,
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 '1, e,
s, t converge uniformly on bounded subsets of IR x IR. For fixed ~ [~] in
e
B each term of the series (8.1) except t(s - t, - + '1), the term with n = 0,
defines a parabolic [coparabolic] function of ~ [~] on B. Similarly, after
dropping a finite number of summands, the series
L e- '1)
00
t(s - t,2nc + 2a - (8.3)

n= -00
and each derived series converge uniformly on bounded subsets of IR x IR.

The sum for fixed ~ [~] in B defines a parabolic [coparabolic] function of
~ [~] on B. The function of(~,~) on B x Bdefined by
9. Parabolic Measure for an Interval 273
L
• 00
<jJ(a, bHe,~) = [6(s - 1,2nc - e + '1) - 6(s - 1,2nc + 2a - e - '1)]
n= -00
(8.4)
is, for e fixed in B, a function on B which differs from the function

,,~6(S-1,e-'1) by a function coparabolic on B, and <jJ(a,bHe,·) has
limit 0 at every finite point of the boundary and vanishes when 1 ~ s. It is
natural to accept <jJ(a, b) as Gli, the Green function of B. Now choose 11 < 12
and define D = ]a, b[ x ] 11 ,1 2 [, Let <jJ(a, b, /1' ( 2 ) be the restriction of <jJ(a, b)
e
to D x D. For in D the function <jJ(a, b, 11 , 12 He,·)
differs from the function
~ ~ 6(s - 1, '1 - e) by a function coparabolic on D, has limit 0 at every
lateral boundary point of D, and vanishes when / ~ s. Hence we accept
<jJ(a, b, 11 , ( 2 ) as the Green function GD of D. These definitions of Gli and GD
are in agreement with the definition of the Green function of an arbitrary
open subset of iR N to be given in Section XYliA.
If N ~ I, if D = ]a 1 ,b 1 [ x ... x ]aN,b N[ x ]/1' /2[, and if cj = bj - aj'
the Green function GD is defined by
GD(~'~) = nL
N 00
j=ln=-oo
[6(s - 1,2ncj - elJ) + '1()))
- 6(s - 1, 2ncj + 2aj - e(j) - '1lJ)] (8.5)
i _ (J:(1) , ... ,."J : ( N

lor."-.,,
t'
,S,'1- '1, ... ,'1 (N» ,1, and -00:::;/1</2:::;+00.
» ' _ ( (1)
Observe that the Green function GD is the restriction to D x D of the Green

function of ]a 1 , b 1 [ X ... x JaN' bN[ x ]/;,1;[ for - 00 :::; 1; :::; 11 and
12 :::; 1; :::; + 00. An application of the coparabolic function minimum theo-
rem to GD(~,·) on D - {~} shows that GD(~'~) is strictly positive when
ord" < ord ~ and vanishes otherwise.
9. Parabolic Measure for an Interval

The Green function of an interval D is given by (8.5). Suppose for the rest
of this section that the interval is finite, that is, that - 00 < 11 < 12 < + 00.
Since Section 7 is applicable to a finite interval, the parabolic measure iJ.D
can be written explicitly. In fact, for ~ in D the measure iJ.D(~,·) is supported
by the part of aD strictly below ~, and this measure is absolutely continuous
relative to IN with finite continuous density GD(~,·) on the lower boundary
and finite continuous density
. (12 a . '.
'1 ~ -2 a'1(j) GD(e, '1)
for" on the part of the lateral boundary with jth coordinate bj and with
density the negative of this derivative for" on the part of the lateral boundary
274 1. XV. Parabolic Potential Theory: Basic Facts
with jth coordinate aj . This statement is to be understood to mean that on

the IN null set of points common to the lateral and lower boundaries where
the statement gives more than one possible value for the density, either value
c:an be used. For example, if N = I and if D = ]a,b[ x ]t l ' t 2 [, c = b - a,
~ = (~,s), and ~ = ("l,t), the density is given by
According to Section 7, if u is a parabolic function on a neighborhood

of D, then u = !iik, u) on D. Furthermore, if f is an IN measurable and
integrable function on the union of the lateral and lower boundaries of D,
the function !iik,f) is parabolic on D, by direct differentiation. The function
!iv(',f) will sometimes be called the parabolic Poisson integral off and will
accordingly sometimes be denoted by PI(D,f). If D1 is an interval obtained
from D by raising the upper boundary, that is, by increasing t 2' and if f
is extended to the lateral and lower boundaries of D 1 by defining f as 0
at the added lateral boundary points, then PI(D,j) = PI(D1,j) on D; so
PI(D, f) has a parabolic extension to D1 . It follows that PI(D, f) has a
limit at every inner point of the upper boundary of D. For fixed ~ on the
lateral or lower boundary of D the parabolic measure density has limit 0
e
when tends to a point of the lateral or lower boundary of D other than
~. Apply Theorem I of Appendix VII to see that if ~ is a lateral or lower
boundary point of D, then
lill) sup !iv(e, f) ::; li~ ~up f(e)

~-~ D3~-~
and thereby to see that if f is finite valued and continuous, the function
!iv(', f) has boundary limit f(~) at every point ~ of the lateral or lower
boundary. The inner points of the upper boundary of D 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 tH' If u is a Borel measurable function on an open subset
D of iR N , if B is an interval with closure in D, and if the restriction of u to
the lower and lateral boundaries of B is IN integrable, define
'.' _{PI(B,U) onB

'BU- . .
u on D - B
10. Parabolic Averages 275
except that if ~ is an inner point of the upper boundary of D, define
lim PI(D, u)(e).

~-~
orde <ord~
u
If is upper or lower semicontinuous, the above remarks imply that 'tBU
has the same property except possibly at the inner points of the upper
boundary of D and that 'tBU is parabolic on B with a finite limit from below
at each inner point of the upper boundary of B.
10. Parabolic Averages

Let ( e, s) be a point of ~N, and when b > 0, let B(e, b) be the interval
]e(l) - b, e(l) + b[ x ... x ]e(N) - b, e(N) + b[ x]s - b2 ,s[
in ~N. The interval B(e, b) will play the same role in the study of parabolic
potential theory as the ball B(e, b) in the classical theory. In the following
we take N = I. The added complications in .the general case are merely
notational, and the results will be valid, and applied, for all N. Define the
function!) on the one-dimensional interval [ -I, I] by
L [t(l,4n + e) -
00
!1(e) = t(I,4n - 2 - e)], (10.1)

-00
and define!2 on [ - 1,0] by
I
!2(S) = --
S
L (4n+
00
-00
I)t(-s,4n+ I). (10.2)
According to (9.1), the functions el-+ !1(e/b)/b and SI-+ !2(s/b 2)/b 2 are
respectively the densities relative to II of itB(O 6)(0,') on the lower and lateral
boundaries of B(O, b). If U is a Borel meas~rable function on oB(~, b) for
which the following integrals exist, we define L(u, ~, b) by
. 5:) =J1.B(O.6)'7,U
L'('U,'7,U . ( . .) r6
= J_6 U.('7+ ...J' ,t-u5:2)!(e)/
1 b -b-
1(d ) e
(10.3)
+ r o
Jr-6 2
[u('7 - b,s) + u('7 + b,S)]!2 (:2) 11~~S) [~= ('7,t)].
In order to treat the parabolic analogs of the volume averages in Section
1.2, let 4> be a positive Borel measurable function on ~+ vanishing on
] I, + 00 [, and consider the integral
276 l.XV, Parabolic Potential Theory: Basic Facts
roo 4>(r)L(it,0,rb)/1 (dr) = ~

Jo
r,
JB(0.6)
it(~)f(~)/2(d~), (10.4)
where
When 4> = I on [0, I], we denote the value in (10.4) by A(it, 0, b) and define
A(it,r;,b) = A(it(r; + '),0, b). When 4>(r) = cexp[r- 2 (1- r2)-I] forO < r <
°
I and 4>(0) = 4>(1) = and c is chosen so that n4>(r)/1 (dr) = I, we denote
the value in (10.4) by Aiit, 0) and define Aiit, r;) = Aiit(r; + ,),0). If it is a
Borel measurable function defined on an open subset b of ~, the values
A(it, r;, b) and A 6(it, r;) are defined whenever B(r;, b) c b, that is, whenever
b2 + b4 < Ir; - 0.01 2 , if it is locally 12 integrable on D. Under the latter
condition, A(it,', b) is continuous, and Aiit,') is infinitely differentiable.
Application. It is trivial from the definition that if it is parabolic on .0, then
it(r;) = L(it, r;, 0) = A(it, r;, b) = A 6 (it, r;) (10.5)
for b so small that B(r;, b) cD. Conversely, if it is Borel measurable and

locally 12 integrable and if it(r;) is equal to the third (or fourth) term in (10.5)
whenever B(r;, b) c b, then it is parabolic. In fact then it is finite valued and
continuous, and if D is an interval with closure in .0, the difference Ii =
it - PI(D, it) has the same average property as it in D, and a trivial argument
° °
shows that therefore Ii satisfies the maximum-minimum parabolic function
Theorem 5. Hence Ii = since Ii has limit at every lateral or lower boundary
point of D. Finally, if it is supposed Borel measurable on .0, locally II inte-
grable on lines parallel to a coordinate axis, and either bounded on one side
or locally 12 integrable and also if it(r;) = L(it, r;, b) whenever B(r;, b) c .0,
then it is parabolic because the hypotheses imply that it(r;) is equal to the
third and fourth terms in (10.5) as well as the first. These criteria for para-
bolicity will be weakened to be local in Section 14.
11. Harnack's Theorems in the Parabolic Context

(a) Convergence Theorem. If u. is an upward-directedfamity ofparabolicfunc-
tions on .0 and ifthe limit function it is finite at a point r;, then it is parabolic on
the open set Do ofpoints of.0 strictly below r; relative to .0, and the convergence
is locally uniform on Do.
12. Superparabolic Functions 277
In fact we can suppose that u.

is an increasing sequence (Theorem 2 of
Appendix VIII). If B(~, b) c D, integration to the limit yields the equality
u(~) = A(u,~, b); so taking ~ = ~, we find that u is IN+l integrable on B(~, b).
A covering argument shows that uis locally IN+l integrable on Do, and there-
fore according to the application in Section 10, the function uis parabolic on
Do. Dini's theorem implies that the convergence is locally uniform on Do.
(b) Inequality Theorem. Let D be an open subset of~N, and let i be a measure
on D with minimal closed in D support S. Let A be a compact subset of Dfor
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
uis a positive parabolic function on D,
m~xu~cJ
A s
Udi. (ll.l)
In fact, if there is no such number c, then for some choice of D, S, A, i

there corresponds to each positive integer n a positive parabolic function
Is
Un on D such that max A un ~ I but Un di ~ 2-n. The series ~o Un converges
i almost everywhere on S, and the set of points of convergence is therefore
dense in S. It follows from the above convergence theorem that ~o Un con-
u.
verges uniformly on A; so the sequence converges uniformly to 0 on A,
contrary to hypothesis.
Special Case. If i is supported by a singleton {~}, Harnack's inequality
states that to each compact subset A of D, all of whose points are strictly
below ~ relative to D, corresponds a constant c, depending only on D, A, e,
such that if uis a positive parabolic function on D, then
m~xu ~ cU(~). (11.2)

A
12. Superparabolic Functions

A function ufrom an open subset D of ~N into] - 00, + 00] is called super-
parabolic if
(a) uis lower semicontinuous.
(b) uis finite on a dense subset of D.
(c) u(e) ~ L(u, e, b) if B(e, b) c D.
u
Just as in the classical context (Section 11.4), is locally bounded below
e,
and u(e) ~ A(u, b) when B(e, b) c D, and it follows that a superparabolic
function is locally IN+t integrable and therefore is finite IN+1 almost every-
where on its domain. If Ul and U 2 are superparabolic functions and if C 1 and
c 2 are positive constants, then C 1 U 1 + C2U2 is superparabolic.
278 I. xv. Parabolic Potential Theory: Basic Facts
A subparabolic function is defined as the negative of a superparabolic

function, and it follows that a function is parabolic if and only if it is both
superparabolic and subparabolic. A cosuperparabolic function is defined as
a function on an open set D for which the function (e, s) I--+u(e, -s) is super-
parabolic on the reflection of D in the abscissa hyperplane, and a cosub-
parabolic function is defined as the negative of a cosuperparabolic function.
Smooth Superparabolic Functions
If uis a C(1) function on an open subset of iR N and is C(2) in the space variables,
then u is superparabolic if and only if ~u ::s; 0, in view of (7.3) with D an
interval.
Application of Jensen's Inequality
The application of Jensen's inequality in the classical context (Section 11.9)

is carried through in exactly the same way in the present context. For
example, a convex function of a parabolic function is subparabolic.
EXAMPLE (a). The function u: (e,s)I--+CleI 2 + sis superparabolic on iRN if

c::S; I (q N), subparabolic if c ~ 1/(q 2 N), and parabolic if c = 1/(q2 N), be-
2
cause ~u = q2 cN - l.
EXAMPLE (b). Iffis a monotone increasing left continuous function on IR and

if u('1, t) = f(t) for ('1, t) in iR N , the function u is superparabolic on iRN • If in
addition limr_cx,/(t) = IX > - 00, then the function u is the sum of the con-
stant parabolic function IX and of a superparabolic potential on iRN , the
potential Git of the product measure it = IN X v, with dv = df
Convergence of Families of Superparabolic and Parabolic Functions
In view of the parabolic Poisson integral for an interval it is clear that if D

is an open subset of iRN , if k E 7.+, and if U. is a locally uniformly bounded
family of parabolic functions on D, the family of partial derivatives of these
functions of order :s; k is also a locally uniformly bounded family of para-
bolic functions. It follows that U. is locally uniformly equicontinuous.
Furthermore, if a sequence of parabolic functions on D converges locally
uniformly, the corresponding sequence of partial derivatives of any pre-.
scribed order also converges locally uniformly to the corresponding partial
derivative of the limit function. Thus the limit function is also parabolic. An
application of Ascoli's theorem shows that a locally uniformly bounded
sequence of parabolic functions has a locally uniformly convergent sub-
sequence.
13. Superparabolic Function Minimum Theorem 279
Let u. be an upward-directed family of superparabolic functions on D

with limit u. Since u. is an upward-directed family of lower sernicontinuous
functions, there is (by Theorem 2 of Appendix VIII) an increasing sequence
in the family with limit u. The function u has the superparabolic average
property and is therefore superparabolic if it is finite on a dense subset of
D; the latter condition is satisfied if every point of D is below, relative to D,
a point of finiteness of u.
Positive Integral Operations on Superparabolic Functions. Such operations
yield superparabolic functions and yield parabolic functions if the given
functions are parabolic. (See Section 11.4 for the argument in the classical
context.) For example, if uis superparabolic on an open set D, the functions
L(u,·, (5), A(u,·, (5), and Aou are superparabolic on their domains ofdefinition.
13. Superparabolic Function Minimum Theorem

Theorem. Let ube a superparabolicfunction on an open subset D of~N.
(a) If uattains its infimum at a point ~ of D, then uis identically that in-
fimum on the set ofpoints below ~ relative to D.
(b) The infimum ofuis the limit ofualong some sequence ofpoints tending
toaD.
(c) Any lower semicontinuous extension of uto D attains its infimum on
the boundary.
Assertion (a) is an easy consequence of the fact that u is lower semicon-

tinuous and that u(~) ~ A(u,~, (5) whenever B(~, (5) c D. Assertions (b) and
(c) follow from (a). The dual version of this theorem for subparabolic func-
tions will be called the subparabolic maximum theorem. Observe that Theorem
13 includes Theorem 5.
Application to Functions on Slabs
A nonempty open subset of ~N that is either a half-space bounded by a

horizontal hyperplane or is the intersection of two such half-spaces will be
called a slab. If a slab D has a lower hyperplane boundary and if uis a super-
parabolic function on D, then the infimum of uis the limit of ualong some
sequence tending either to the point 00 or to a point of the lower hyperplane
boundary. To show this we show that if D(~) is the part of D strictly below
~ and if m(~) is the infimum of uon D(~), then there is a sequence~. in D(~)
tending to the. point 00 or to a point of the lower boundary of Dalong which
utends to m(~). According to the superparabolic minimum theorem, there is
a sequence ~. in D(~) tending to a point ~ of oD(~) along which u tends to
m(~). Unless ~ is on the upper boundary of D(~), we are done. If ~ is on the
upper boundary, then (by the lower semicontinuity of u) u(~) :s; m(~), and a
trivial variation of the proof of the superparabolic minimum theorem shows
that u is identically m(~) on D(h Hence there is a sequence iT. with the
desired properties.
14. The Operation i]j and the Defining Average Properties of

Superparabolic Functions
We follow the reasoning of Section 11.6 to derive the corresponding results

in the present context.
(a) If uis superparabolic on D and if B is an interval with closure in D,
then u is locally IN integrable on the intersection with D of any hyperplane
parallel to a coordinate hyperplane, taU is parabolic on B, and tau :s; U. In
fact, by lower semicontinuity and local lower boundedness of u there is an
increasing sequence I. of finite continuous functions of aD with limit uthere.
Then PI(B, f.) is an increasing sequence of parabolic functions on B with
limit PI(B, u), and an application of the superparabolic minimum theorem
to u-PI(B, f,.) on B shows that this difference is positive on B. Hence (from
Section II) taU is parabolic on B and tau :s; U. Let ~ be a point of B. The
foregoing proof shows that ~ is IN integrable on any Borel subset of oB on
which the derivative of ita( e, .) with respect to IN has a strictly positive in-
fimum. Trivial adjustments of ~ and B now show that uis IN integrable on
oB; in fact it is locally IN integrable on the intersection with Dof any hyper-
plane parallel to a coordinate hyperplane. Since rotations around a vertical
axis preserve parabolicity, uis locally IN integrable on the intersection with
D of any hyperplane parallel to the ordinate axis.
(b) In (a) if tBU = uat a point ~ of B, then there is equality at the points of
B below ~ because u - tau is a positive superparabolic function on B.
(c) In the definition of superparabolic function in Section 12, condition
(c) can be replaced by
(c')
or
(c")
[in both cases for b so small that B(e, b) cD].

In fact it is trivial that superparabolic functions satisfy (c') and (c"), and
the proof of the converse follows the corresponding proof in the classical
context [Section 1I.6(c)].
We can now proceed precisely as in Section 11.6 (so proofs will be omitted)
to obtain the following results.
15. Superparabolic and Parabolic Functions on a Cylinder 281
(d) In the definition of superparabolic functions in Section 12, condition

(c) [or (c') or (c
N
need only be supposed true locally, that is, for sufficiently
)]
small D, depending on ~.
(e) In (a) the function iiJu is superparabolic on D.
(f) Ifu is superparabolic on D and if ~ED, the functions Dt-+L(u,~, D),
(jt-+A(u, ~, (j), (jt-+A(ju(~) are monotone decreasing, with limit u(~) when
D~ O.
It follows that the relation u ~ Dor u= D, if satisfied IN+l almost every-
where on their domain of definition D by superparabolic functions u and
D, is satisfied everywhere on D. Moreover, if uis superparabolic, then
u(~) = limipfu(~) = limipfu(~),

~-+~ ~-+~
~oj
where iJ is an arbitrary IN+l null set.

(g) If u is a lower semicontinuous function from an open subset D of
~N into] - 00, + 00], finite on a dense subset of D, then uis superparabolic
if and only if whenever Do is an open rel<!!ively compact subset of D and D
is parabolic on an open neighborhood of Do, with u- D> 0 on oDo, then
u- D ~ 0 on Do.
Approximation of a Superparabolic Function by Infinitely Differentiable
Superparabolic Functions
According to (f), if u is superparabolic on an open set D, this function is

the limit on each open relatively compact subset of D of an increasing
sequence {A l/nU, n 2 I} of infinitely differentiable superparabolic functions.
See the strengthening of this result in Section XVII.7(e).
EXAMPLE (The Green Function G of ~N). For fixed Ij in ~N the function

G("~) is parabolic on ~N - {~} and therefore satisfies the parabolic function
average equality there. Since G(', ~) is lower semicontinuous on ~N and
satisfies the superparabolic function average inequality at ~, this function
is superparabolic on ~N. Dually, for fixed ~ in ~N the function G(~, .) is
coparabolic on ~N - {~} and cosuperparabolic on ~N.
15. Superparabolic and Parabolic Functions on a Cylinder

Let D be an open nonempty subset of IRN(N ~ I), and define D = D x IR.
The following results (a) and (b) are rather trivial but key results in the
relations between [super] harmonic and [super] parabolic functions.
(a) Let u be a function on D, and define u on D by setting u(~,s) = u(~).
Then u is [super] parabolic if and only if u is [super] harmonic. If u is of
class (;(2), the assertion is trivial because Ait = du. In the general case we
need only discuss superharmonic functions u and superparabolic functions
it. If u is superharmonic, u is (Section IV.10) the limit of an increasing se-
quence of infinitely differentiable superharmonic functions; so it is the limit
of an increasing sequence of superparabolic functions and therefore is super-
parabolic. Conversely, if it is superparabolic, let Do be an open relatively
compact subset of D. For sufficiently small b the function Aoit is defined
on Do x IR, is infinitely differentiable and superparabolic, and depends only
on the space coordinate, Aoit(~,s) = uO<~). Hence Uo is superharmonic on
Do, and u = limo_ o Uo is also superharmonic on Do and therefore is super-
harmonic on D.
(b) Suppose that D is connected, let v 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 v:
+OO f+oo
v(~) =f -00 v(~, t)/l(dt) = -00 v(~, s + t)/l(dt). (15.1)
The function v is lower semicontinuous (Fatou's lemma); so considered as

a function on D, v is superparabolic if finite at points with arbitrarily large
ordinate values, as is true unless v == + 00. According to (a) above it follows
that v is either identically + 00 or is superharmonic on D. In particular, if
v is parabolic, the function v is either identically + 00 or harmonic on D.
For example, we shall show that the Green function GiJ of D (parabolic
context) has the form GiJ«~,s),(",t» = 6D (s - t,~,,,), where for fixed" in
D the function (~,S)1--+6D(S,~,,,) is a positive parabolic function on D-
{(", O)}, vanishing if and only if s ~ 0, and is superparabolic on D; according
to XVII(l8.2), integration of 6D yields GD , the Green function of D in the
classical context,
Here aN is a positive constant.
16. The Appell Transformation
If a is a nonzero constant, the map
a2
~: (", t) T~ = (at",
1--+ -t )
takes the upper [lower] half-space of ~N in a one-to-one way onto the lower
[upper] half-space, and rl~ = ( - a"lt, - a2 It). Define
17. Extensions of a Parabolic Function Defined on a Cylinder 283
for ~ in ~N less the abscissa hyperplane. If u is a function with domain a

subset E of ~N not meeting the abscissa hyperplane, define Tu on TE by
Tu(~) = bo(~)u(rl~), so that formally
on TE. We conclude that if u is parabolic on E, then Tu is parabolic on TE,

and if u is superparabolic on E and in class C(2)(E), then Tu is superparabolic
on TE. A trivial approximation argument then shows that the C(2)(E)
hypothesis is unnecessary. The transformation T is known as the Appell
transformation.
EXAMPLE. Ify E IRN and a. = - 1/(12, the Appell transformation of the restric-
tion of the function ~ ~ t(t,,,, - y) to the upper half-space of ~N is the
function
on the lower half-space. This parabolic function [without the factor (2n)-N]
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 t(·,· - y) plays in the upper half-space.
17. Extensions of a Parabolic Function Defined on a Cylinder

Lemma. Let D be an open nonempty subset oflR N (N ~ 1), let D = D x ]a, b[
with - 00 ::;; a < b ::;; + 00, and let ti be a positive parabolic function on D.
Then if a < b' < b and if ti' is a positive parabolicfunction on D' = D x ]a, b'[,
majorized there by ti, the function ti' has a positive parabolic extension ti" to
D, majorized there by ti.
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 ofIi on Dwhich are majorized
on D' by Ii' and define ti" = sup {u: u E r}. If a < b" < b' and if u is defined
on D by
. {Ii' on D x ]a, b"],

u=
o on D x ]b", b[,
then uer. Hence v" is an extension of v'. The class r contains u 1 v U2 if

it contains uland U2, and r contains the majorant i liV of v if ve r and if
B is an interval relatively compact in D. Thus v"lli is the limit of an upward-
directed set of parabolic minorants of vlli; so v" is parabolic and is the
desired extension of v'.
Application to Minimal Parabolic Functions
Let D and D' be as in the lemma, and let vbe a minimal parabolic function
on D. Then viD' is minimal on D'. In fact, if v' is a positive parabolic minorant
of Vllh the extension of i/ to D provided by the lemma must be proportional
to v; so v' is proportional to VID"
Special Case: Extension ofa Bounded Parabolic Function. Let D 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 v has on D'. In proving this we can assume that v' has infimum O.
Let y = sUPDv'. Then the function v == yon D is a parabolic majorant of
v' on D'; so v' has a positive parabolic extension to D, majorized there by y.
If D is a finite interval in IR N , the preceding result follows easily from our
discussion of the parabolic context Poisson integral.
Chapter XVI
Subparabolic, Superparabolic, and Parabolic

Functions on a Slab
1. The Parabolic Poisson Integral for a Slab

°
If D is the slab IR N x ]0, 15[, with < 15 :s; + 00, the restriction to D x D of
C satisfies the rather vague description of the Green function CD given in
Section XV.7 for smooth regions. It is therefore to be expected from XV(7.3)
that the upper boundary of D if 15 < + 00 is a parabolic measure null set
and that parabolic measure on the lower boundary is given by
so that if u is parabolic on D with boundary function f in some suitable

sense on the lower boundary and if uis appropriately restricted, then
u(e) = r 6(s, e- rf)f(Yf)IN(drf)

JIR N
[e = (e, s)]. (1.1)
Such representations will be derived below. Moreover we shall see that if

Ji is a suitably restricted charge on IR N , the Poisson integral
PI(D, JiHe) = i
IRN
t(s, e- Yf)Ji(dYf) [e = (e, s)]
defines a parabolic function on b. The integral in (1.1) will be denoted by
PI(D,f) (e), and the Poisson integral will be modified in the obvious way
when the lower boundary of D is not the abscissa hyperplane.
Theorem. If f is a Lebesgue measurable fWlction on IR N and if for some b in

]0, +00]
(1.2)
whenever 15' < b, then the function u defined on D = IR N X ]0, b[ by (1.1) is

parabolic. Moreover,
(1.3)
286 I. XVI. Subparabolic, Superparabolic, and Parabolic Functions on a Slab
and
li.m.supu(e)s lim~up f(,,). (1.4)

D3~- 00 ~EIRN, I~I-+oo
On combining (1.3) with the corresponding inequality for inferior limits

we find that uhas limitf(O at «(, 0) iffis continuous at (, and the correspond-
ing specialization of (1.4) is valid. The fact that uis defined and parabolic on
D is trivial. Inequality (1.3) is a special case of Theorem I of Appendix VII
because if 0 < b' < band e = (~,s),
· t(s, ~ - ,,)
I1m
H{,o) t(b',,,)
=0
uniformly for" outside an arbitrary open neighborhood A of ( in ~N ; so if

e
e> 0 and if is sufficiently near «(,0),
LN_A t(s, ~- ,,)If(,,)ilN(d,,) s I

eLNt(b" ,,) I!(,,) IN(d,,). (1.5)
Thus the left side of (1.5) tends to 0 when e -+ «(,0), and the same limit
relation holds whenfis replaced by the constant function I, 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
(t > 0,('.( > 0);
so if A is an open neighborhood of the point 00 of ~N,
LN_A t(s, ~- ,,)If(,,)ilN(d,,) S LN_ S-N/2 [(

A
~r/21~ -"j-N] If(,,)11N(d,,).
(1.6)
Hence the integral on the left and the same integral with f replaced by the
constant function I tend to 0 when e-+ 00 in D, as required for the applica-
tion of Theorem I of Appendix VII.
Extension. Accordin~ to the theorem as applied to - f, if liml~l_oo f(,,) =
+ 00, then limlh~_oo u(~) = + 00 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' 0,
2. A Generalized Superparabolic Function Inequality 287
.lim u(~)exp(-etl~12)= +00.

D,3~""CX)
Note that p:::; (2u 2b)-1 because of (1.2). To prove this extension of
Theorem I, observe that by hypothesis there is a constant c > 0 such that
f(rf} ~ cexp(PIl'/1 2) for sufficiently large 11'/1, say for 11'/1 ~ r. Then
\im.infu(~)exp(_etl~12) ~
D, 3~""CX)
l,im.inf c r 6(s, ~ -
D, 3~""CX) JIRIN
I'/)exp(PII'/1 2 - etl~12)IN(dl'/)
(1.7)
because the part of the integral over {I 1'/1 :::; r} has limit 0 when I~ 1-+ + 00.
The value of this integral is
2
2 )-N/2 1~12(P - et + 2etpu s)
(I - 2PU s exp I _ 2pu2S '
which tends to + 00 when I~ 1-+ + 00 with ~ in D1 . The proof of the extension

is complete.
2. A Generalized Superparabolic Function Inequality

Lemma. Let u be a positive superparabolic function on the slab D = ~N X
]0,15[, and definef(O = liminfs .... o u(Cs)for' in ~N. Then u ~ PI(D,f).
Let Dk be the slab ~N x ] Ilk, b[ for k so large that k > lib. Let/,.. be an
increasing sequence of positive functions on ~N, finite valued and continuous
with compact support and with limit the lower semicontinuous function
u(', Ilk). According toTheorem I, the function PI(Db An) is a positive para-
bolic function on Dk with limit AnG) at each point (C Ilk) of the lower
boundary of Dk and limit 0 at the point 00; so u-
PI(Dk, fkn) ~ 0 on Dk by
the minimum theorem for superparabolic functions on a slab (Section
XV. B). The lemma follows when n -+ 00 and then k -+ 00.
Application (a). It follows trivially from Lemma 2 that
0< s < Sf < 15, (2.1)
and therefore if Sf < t < 15,
Thus the parabolic average relative to (1'/, t) of the positive superparabolic

function u on the hyperplane of constant ordinate value Sf ( < t) defines an
288 l.XVI. Subparabolic, Superparabolic, and Parabolic Functions on a Slab
increasing function of s' on ]0, t[. This is an example of the fact that roughly
(see Section VIII.lO for the classical counterpart) the parabolic average of a
superparabolic function over a set boundary decreases as the set increases.
u
According toTheorem 5 below, when in Lemma 2 is parabolic and positive,
the parabolic average on the left side of (2.2) is constant, equal to u('1, t), as
s'varies.
Application (b). If uis bounded and parabolic on the above slab D and if
u has normal limit f(O = lims _ o u(', s) at IN almost every lower boundary
point (C 0), then an application of Lemma 2 to the function u+ SUPDU and
- u + SUPD u shows that u = PI(D, f). According to Section 5, the bounded-
ness of ucan be replaced here by positivity if f(O = Iim~_(~. 0) u( for all , ine)
~N. Theorem 6(b) gives necessary and sufficient conditions that a parabolic
function on a slab be representable as the Poisson integral of a function.
3. A Criterion of a Subparabolic Function Supremum

Lemma. If 0 < (j ~ + 00, if rx > 0, if u is subparabolic on the slab D = ~N X
]0, (j[, and if
lim sup u(~) ~ 0 [e=(e,s)] (3.1)

~-(~.o)
for all ein D and' in ~N, then u~ 0 on D.

In fact, if D1 = ~N x ]0, (8rx0'2)-1[, if f(rf) = exp[2rx(I'11 2 + 1)], and if
v= PI(D1 , f), apply the extension in Section 1 with P= 2rx and (j1 =
(8rx0'2)-1 to find that
.liJ:ll v(e)exp[ -rx(leI 2 + 1)] = +00.

DJ 3 ~-oo
If e > 0, it now follows from the subparabolic maximum theorem applied to

u- ev in D n D1 = ~N X ]0, (j 1\ (j1 [ that u ~ ev on D n D1 . Hence u( ~ 0 e)
e
when ord < (j 1\ (j1' If (j ~ (jl' there is nothing more to prove. If (j > (j1,
e)
iteration of the preceding reasoning shows that u( ~ 0 when ord < (j 1\ e
(2(j1)' ... ; so U ~ 0 on D.
4. A Boundary Limit Criterion for the Identically Vanishing

of a Positive Parabolic Function
Lemma. Let u be a posi~ive parabolic function on the slab ~N x ]0, (j[, and
suppose that Iim~_«,O)u(e) = Ofor every' in ~N. Then u == O.
It can be assumed that (a) u(e,s) = u(Re,s) whenever R is a rotation of

~N about the origin and that (b) the function u(e,·) is an increasing function.
4. Criterion for the Identically Vanishing of a Positive Parabolic Function 289
To see that (a) can be assumed, observe that for any choice of rotation R the
function (~,s)l--+u(R~,s) is parabolic; so ifu(~,s) is replaced by the average
of u(',s) over the sphere in IR N 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
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 udoes. If IX> 0,
define Va by
0< IX < S < b.
Then Av..(~,s) = -U(~,IX); so V is the locally uniform limit of the increasing

sequence {VI/n,n~ I}, with limn.... 00 AV I/n =0 locally uniformly. It follows
that v is parabolic [for example, apply XV(7.2) to vl / n and go to the limit,
n~oo].
Thus we now have u(~,s) = f(I~I,s) withf(r,') monotone increasing for
every value of r ~ O. In view of this monotoneity and of the parabolic func-
tion maximum-minimum theorem the maximum of on the cylinder {O O. According to Lemma 2,
1
00 2
[21tcr 2(s-t)]-N/2 1tN 0 rN-If(r,t)exP2cr2(;_t/l(dr)5,f(0,s), (4.1)
0< t < s < b,
and therefore if r > 1,
(4.2)
so that if s is fixed,
2
r
u(~,t) =f(r,t) 5, const (l + r)exp-2-'
cr es
r = I~I, t 5, (1 - e)s. (4.3)
It now follows from Lemma 3 that u5, 0 on the slab IR N x ]0, (1 - e)s[; so
u= 0 on this slab and so on IR N x ]0, b[.
290 I.XVI. Subparabolic, Superparabolic, and Parabolic Functions on a Slab
5. A Condition that a Positive Parabolic Function Be

Representable by a Poisson Integral
Theorem. If 0 < b :s; + 00, if u is a positive parabolic function on D = IR N X
] 0, b[, and if lim~_(~, 0) u(~) = f( 0 < + 00 exists for all , in IR N , then u =
PI(D,f)·
The boundary limit function f is necessarily continuous since there is a

limit at every point of the abscissa hyperplane. Furthermore u- PI(D, f) ~ 0
by Lemma 2, and the difference has limit 0 at every point of the abscissa
hyperplane according to Theorem 1. Hence (Lemma 4) the difference
vanishes identically.
6. The L 1 (JiB_) and D(JiB-) Classes of Parabolic Functions on

a Slab
Theorem 11.14 for harmonic functions on a ball has the following analog for
parabolic functions on a slab. Recall that if Ji is a charge with minimal Jordan
decomposition Ji+ - Ji-, we denote the absolute variation measure Ji+ + Ji-
by IJiI. In the following theorem if 0 < b :s; + 00, we denote by E(O, b) the
slab IRN x ]0, b[.
Theorem. Let u be a parabolic function on the slab E = E(O, b).
(a) Ll(~Ii_) parabolic functions. The following conditions on u are
equivalent:
(al) u = PI(E, N,.)for some charge flu on IRN for which
0< s < b. (6.1)
(a2) u is the difference between two positive parabolic functions.

(a3) lui has a parabolic majorant.
(a4) SUPO<I<S f~: t(s - t, ~ - Pl)lu(Pl, t) IIN (dPl) < + 00 for every
point (~,s) of E.
The map U1--+ Nu is a one-to-one linear order-preserving map from the
class ofparabolic functions satisfying these conditions onto the vector lattice
ofcharges on IRN satisfying (6.1).
(b) D(JiIi-) parabolic functions. The following more restrictive conditions
on u are equivalent:
(b1) u = PI (E, fu) for some IN measurablefunction fu on IR N satisfying
o < s < b. (6.2)

6. The L 1 (tlli_) and D(tlli-) Classes of Parabolic Functions on a Slab 291
(b2) IfO < s < f>, there is a uniform integrability test function 4>.for
which the restriction to B(O, s) of 4>.(lul) has a parabolic
majorant.
(b3) For every point (e,s) in B the family
{t 1--+ [u('1, t), 6(s - t, e- '1) IN(d'1)] , °< t < s}

ofpairedfunctions and measures on IR N is uniformly integrable.
(b4) If u > 0, u is the limit of an increasing sequence of bounded
positive parabolic functions.
The map U1--+ fu is a one-to-one linear order-preserving map from the
class of parabolic functions satisfying these conditions onto the vector
lattice L 1 (IR N, IN), and dNu = fudl N.
As will be noted in Section XVIII .19, the notation introduced in Chapter

IX for various classes of functions in classical potential theory is readily
adapted to the context of parabolic potential theory. These classes together
with their martingale theory counterparts are discussed in Chapter I of Part
3. In this spirit the parabolic functions in Theorem 6(a) are the V(Jili-)
parabolic functions, those in Theorem 6(b) are the D(Jili-) parabolic func-
tions, and Theorem 6(b4) asserts that the positive D(Jili-) parabolic functions
are quasi bounded. A uniform notation will be used in Chapter I of Part 3
both for classes of functions in the classical and parabolic potential tl).eory
contexts and for classes of stochastic processes in the martingale theory con-
text. The assertion of Theorem 6(b4) in all three contexts is covered by
Theorem 3.1.5.
To prove Theorem 6, define PI(B(s, t), f) on B(s, t) = IR N X ]s, t[ by
PI(B(s, t),fHC s') = r 6(s' -

JiliN
t, e' - '1)f('1)IN (d'1).
Observe that lui in (a3) and 4>.clul) in (b2) are positive subparabolic functions
°
with parabolic majorants. It follows that for fixed s > and fixed (e',s') in
B(O, s) the parabolic averages
PI(B(s, t), lu(o, t)!HCs'), PI(B(s, t), 4>.[u(o, t) ]He', s')
define decreasing functions of t on the interval ]0, s'[. To see this, for
example, for the first parabolic average, note that if vis a parabolic majorant
of lui on B, then (by Theorem 5) PI(B(s,t), v(o,t)) = v on B(s,t); so (from
Section 2) the function
tI--+PI(B(s,t),v(o,t) -!u(o,t)IHe',s') = v(Cs') - PI(B(s,t),lu(o,t)IHe',s')
is an increasing function on ]0, s'[. With the help of this monotoneity result
the proof ofTheorem 6 becomes so close to that ofTheorem 11.14 in its ideas
that the details will be omitted. Choose 1>' with 0 < 1>' < 1>, and for 0 < r < 1>'
define charges Jir and Ji; on IR N by
It is convenient to consider Ji; as a measure on the space IR N compactified by

a point at infinity, with the infinite singleton Ji; null. Instead of showing
directly that Jir tends to a limit measure Nu when r --+ 0, it is easier to show
that under (a3) the total variation of Ji; is bounded independently of r, that
(vague)limr .... o Ji; = Ji' exists, and that (al) is true with
Finally observe that the supremum in (a4) defines a parabolic majorant of

lui on D. Further details of the proof of Theorem 6 are left to the reader.
7. The Parabolic Boundary Limit Theorem

A function f on a slab IR N x ]0,1>[ is said to have normal limit q at the
boundary point': «(,0) if lims of«(, s) = q. The function is said to have
parabolic limit q at «(,0) if lim~ , f(~) = q whenever ~: (e, s) --+, in a para-
boloid of revolution with vertex' and opening upward, that is, whenever
e e-
--+, with lim inf~ ...., sl (1- 2 > O. In more sophisticated language, if a
subset A of the upper half-space is called a deleted coparabolic neighborhood
of , whenever for some a > 0 the set A contains the intersection of the
paraboloid {s> ale - (1 2 } with some Euclidean neighborhood of " thenf
has parabolic limit q at' iffhas limit q along the filter of deleted coparabolic
neighborhoods.
Theorem. Let D = IR N X ]0,1>[ be a slab in ~N, let ube a parabolic function

in L 1 (Jili_), and let h be a strictly positive parabolic function on D. Then if
( is a point oflR N at which the convex variational derivates dIN/dN;, and dN,;/dN;,
both exist, the function u/h has parabolic limit (dN,;/dNiI)(O at «(,0).
Observe that the stated conditions are satisfied at Nil almost every point
( of IR N • In the more common version of this theorem h == I; so Nir = IN'
In particular, ifueD(Jili_) so that u= PI (D,f) for some functionfon IR N , the
theorem states that uhas parabolic limitf(O at IN almost every slab boundary
point «(,0).
Theorem 3 of Appendix VII can be applied to prove a modified version
of Theorem 7, namely, that under the hypothesis that dllf/dNiI and dN,;/dNiI
8. Minimal Parabolic Functions on a Slab 293
both exist as symmetric derivates at " the function ujh has normal limit
(dNu/dN;,HO at (C 0). The proof of this modification follows the proof of
the corresponding result (Theorem 11.15) 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
_r 2
K(s,r) = ex p - 2 ' b(s) = const SI/2,
2(1 S
we obtain Theorem 7.
Application. We have proved in Section 2 that if uis a bounded parabolic
function on the slab B and if uhas normal limit 1(0 at IN almost every point
(',0), then u= PI(B,f). According to Theorems 6 and 7, the weaker hy-
pothesis that the parabolic function u on B is in D(Jili-) implies that the
parabolic limit, say 1(0, exists at IN almost every boundary point (',0) and
that u= PI(B,f).
8. Minimal Parabolic Functions on a Slab

(a) D = IR N X ]0, b[, 0 < b S; + 00. In view of the Riesz-Herglotz-type
representation (Theorem 6) of a positive parabolic function on D, such a
function is minimal if and only if it is a positive multiple of the function
(~,s)l-+t(s, ~ - 0 on D for some point' of IR N .
(b) D = IR N X ] - 00, 0[, the lower half-space. In view of the Appell
transformation which takes the upper half-space of iR N into the lower
half-space, a parabolic function u on the lower half-space is minimal if
and only if it is the Appell transform of a minimal parabolic function for
the upper half-space, that is (Section XV.16), if and only if u is a positive
multiple of the function
(8.1)
on the lower half-space, for some point y of IR 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 oniR N , 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 uon the lower half-space:
(8.2)
where Iilu is a measure on ~N for which
(8.3)
for all IX > O. We conclude that every positive parabolic function on the
lower half-space is either strictly positive or identically 0 and is monotone
increasing in the ordinate variable. We leave to the reader the full formula-
tions of Theorems 6 and 7 in the lower half-space context.
(c) b = IR N . It follows easily from (b) that the minimal positive para-
bolic functions on IR N are the positive multiples of the functions (8.1), now
considered on IR N , and that every positive parabolic function Ii on IR N has
a representation of the form (8.2) with (8.3) true for all real IX. Every positive
parabolic function on IR N is either strictly positive or identically 0 and is
monotone increasing in the ordinate variable.
Chapter XVII
Parabolic Potential Theory (Continued)
1. Greatest Minorants and Least Majorants

If D is a nonempty open subset of ~N and if r is a class of functions on D,
the greatest subparabolic minorant [least superparabolic majorant] of r,
if there is one, is denoted by GMDr [LMDr]. For example, if r is a class
of superparabolic functions and if r has a subparabolic minorant then
GMDr exists and is parabolic. The proof is a translation of that of Theorem
11I.2. The corresponding notation in the coparabolic context is GMDr and
LMvr.
EXAMPLE. Let D be either ~N (N;?: I) or an interval in ~N. Then GMVGD(·,~)
= GMDGD(~'·) = 0 for every point ~ in D. In fact, say for GMVGD(·'~)
when D is an interval, the parabolic minorant in question is positive, is
majorized by GD(·, ~), and so has limit 0 at every lateral and lower boundary
point of D. This minorant therefore vanishes identically, according to the
parabolic function maximum-minimum theorem. More generally it will
follow from the Riesz decomposition of a positive superparabolic function
on a nonempty open subset D of ~N that the parabolic potential of a measure
on D if finite on a dense subset of Dis superparabolic on D and has greatest
subparabolic minorant O.
2. The Parabolic Fundamental Convergence Theorem

(Preliminary Version) and the Reduction Operation
The proofof the following counterpart ofthe first version of the Fundamental
Convergence Theorem (Theorem 111.3) in the classical context follows the
proof of Theorem 111.3 and is therefore omitted.
Theorem. Let r: {ua , ct E I} be a family of superparabolic functions on an

open subset of ~N, locally uniformly bounded below, and define u(~) =
infa~l ua(~)' Then ~ :s; u, .
(2.1)
296 I. XVII. Parabolic Potential Theory (Continued)
and
(a) Uis superparabolic.
+
(b) u
~ = Uon each open set on which is superparabolic.
(c) ~ = u IN+I almost everywhere.
(d) There is a countable subfamily ofr whose infimum has smoothing U.
+
Application: The Natural Order Decomposition Theorem
As application of this simple version of the Fundamental Convergence

Theorem in the parabolic context we remark that the classical context
Natural Order Decomposition Theorem (Theorem III.7) translates directly
into the parabolic context: If U, uI , u2 are positive superparabolic functions
on D with U :s; ul + u2 , then there are positive superparabolic functions
u~, Uz on D for which u~ :s; UI ' Uz :s; U2' U= U~ + uz. The classical context
proof requires only trivial changes. Observe that this decomposition and
its proof are also valid for relative superharmonic and superparabolic
functions. Alternatively the decomposition theorem for superharmonic and
superparabolic functions implies trivially the decomposition theorem in
the relative contexts.
3. The Parabolic Context Reduction Operations

If D is a nonempty open subset of ~N coupled with a boundary oD provided
by a metric compactification, if A c D U oD, and if v is a positive super-
parabolic [cosuperparabolic] function on D, the superparabolic [cosuper-
parabolic] reduction of v on A, denoted by Rt [At], is the infimum of the
class of positive superparabolic [cosuperparabolic] functions on D which
majorize v on A (\ D and near A (\ oD, in the sense that each function in
the class is to majorize v both on A (\ D and on the trace on D of some
neighborhood of A (\ oD. The smoothed reduction ~:[~:] is superparabolic
[cosuperparabolic] according to Theorem 2 and will sometimes be denoted
by ~v~A [~v~A]. As in the classical context, it is trivial that Rt is the infimum
of the class of positive superparabolic functions on D which are equal to
von A (\ D and near A(\ oD. Thus Rj = von A(\ D, and obviously R~ :s;
•A . • +v
R" :s; von D.
Let' be a point of D, let D~ be the set of points of D strictly below'
relative to D, let v be a positive superparabolic function on D) and let v,
be the restriction ofv to D,. Then if A c D, we now prove that R~ (reduction
v,
relative to b) is equal on D, to the reduction relative to D, of on A(\ D,.
(This fact implies the truth of the corresponding statement for smoothed
reductions.) The point is that roughly the reduction of v below a point
depends only on v below that point and on the part of the target set below
that point. To prove the assertion, we need only remark that on the one
3. The Parabolic Context Reduction Operations 297
hand if u is a positive superparabolic function on D which majorizes v on

A, then the restriction of Ii to D{ majorizes v{ on A n D{ and on the other
hand if u' is a positive superparabolic function on D{ which majorizes v{
on AnD, and if uis a positive superparabolic function on D which majorizes
v on A, then the function u" equal to u on D - D{ and to U 1\ u' on D, is a
positive superparabolic function on D majorizing v on A with U" ~ u on
D and U" ~ U' on D,.
The fact that a smoothed reduction R+vA in the classical context is equal
quasi everywhere on AnD to v and that this smoothed reduction is un-
changed when AnD is changed by a polar set is considerably weakened
in the parabolic context. In fact it will be shown that a smoothed reduction
R+v
v
A is in general equal to on A only up to a parabolic-semipolar set (to be
•
defined in Section 10) and may be changed if A is changed by a parabolic-
semipolar set. This weakening entails that some of the proofs of properties
in the classical context cannot be used to prove the corresponding properties
in the parabolic context and that it is necessary to change the order of the
derivation of the properties common to the two contexts.
Just as in the classical context (Section 11I.4), Rt and R~
+v
increase when
A or v increases, the reduction and smoothed reduction operations are
subadditive,
.
the
.
function Rt is parabolic on D - 1 and equal to R~ +v
there,
and Rt = ~: when A is open. Furthermore (see Section 111.5)
R1 = inf {R1 uB : A noD c h, h open in D u aD}

(3.1)
= inf {1~~AUB)f'\D: AnoD c h, h open in D u aD}
and
~1 = i~f {~:uB: AnoD c h, h open in D u aD}

(3.lsm)
= inf{R(AUB)f'\D:
+ +6
A noD c h' hopen in DuaD}.
The counterparts of the other properties listed in Section ilLS will be listed
below in Section 16.
EXAMPLE (a). Let A be the open upper half-space of iR N , let Ao be an arbitrary

subset of the abscissa hyperplane, and let v be a positive superparabolic
function on iR N . The parabolic reduction (relative to iR N ) and smoothed
reduction of v on A u Ao 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 v on the upper half-space and 0 otherwise. The
reduction is 0 on iRN - (A u Ao) because according to Section 16(f) the
reduction and smoothed reduction are identical off the reduction set.
EXAMPLE (b). If A is a horizontal plane in iR N , any positive superparabolic

functionu on iRN with u 2: I on A satisfies the same inequality above A
298 l.XVII. Parabolic Potential Theory (Continued)
(Lemma XVI.2), and it follows that, for reductions relative to iRN, ~ I ~A is

°
equal to 1 strictly above A and equal to elsewhere. Thus ~ ~ 1 ~A ~A = 0, and
so, unlike the situation in the classical context as given in Section VI.3(h),
the smoothed parabolic reduction operation is not always idempotent.
[However, according to Section 16(i) this operation is idempotent if AnD
is parabolic-fine open.]
4. The Parabolic Green Function

Let D be a nonempty open subset of iRN(N ~ 1), and let~, ~ be points of D.
The parabolic [coparabolic] Green function with pole ~ [~] is defined on
D by
[O»(~,·) = G(~,·) - GMDG(~,·n

(4.1)
It will be shown in this section that, corresponding to the symmetry of the

Green function in the classical context, GD = OD. Thus the notation OD is
unnecessary and will not be used in later sections. The function G» will be
called the parabolic Green function.
As defined by (4.1), the function GD("~) is positive and superparabolic
on D, is parabolic on D - {~}, and differs from G("~) by a continuous
function, and GM»G D("~) = 0. Conversely, these conditions uniquely deter-
mine G»(', ~). The corresponding dual remarks for OD(~") are omitted. The
definition of the parabolic Green function GD is the counterpart of the
definition of the classical Green function GD , but no side condition on the
domain, depending on the dimensionality, is necessary in the present context
because G is positive for N ~ 1. Note that (Section 1) the present definition
of GD agrees with that given in Sections XVA, XV.8, and XVI.I when D is
iR N, an interval or a slab. In particular, G» = G when D = iR N. The properties
assinged to GD(~") in the smooth region context discussed in Section XV.?
make GD(~") there the coparabolic Green function with pole ~, by an easy
application of the coparabolic maximum theorem to </J(~,.) (notation of
Section XV.?). This is as it should be because, as we shall now show, GD =
0».
ProofthatGD = GD.Defineti(·,~) = GMDG(·,~),andletB. be a sequence
of intervals with closures in D and with the property that each point of D
has a neighborhood which lies in B" for infinitely many values of n. Define
to obtain a decreasing sequence ti.(·,~) of superparabolic functions on D

with limit ti(·,~) (cf. the corresponding discussion for the classical context
in Section VIlA). Let ~o be a point of D. The sequence B. can be chosen in
4. The Parabolic Green Function 299
such a way that ~o E Do and that there is a neighborhood of ~o which is either

a subset of Dn or of D - Dn for each n. For ~ in D - {~o} the function G(~,·)
is coparabolic on a neighborhood of ~o, so the functions uo(~, .), ... are also.
In fact each of these functions after the first is an integral average of its
predecessor, averaged over values of the first argument. Thus u(~,·) is
coparabolic on D and therefore u(~,·) 5: GMbG(~, .). Define u(~,·) as the
right side of this inequality so that U 5: u. If we had begun with 14 instead of
u and carried through the dual argument, we would have obtained the
reverse inequality, and it follows that u= 14; that is,
(4.2)
The counterpart of the proof in Section VIlA that u is continuous on

D x D proves that u is continuous on D x D. We shall use the fact (cf.
Theorem VII.3) that Gb(~,') and G("~) are bounded outside neighborhoods
of their poles.
We leave to the reader the easy translation of the extremal properties of
Green functions in the classical context (Theorem VII.2) into the parabolic
context.
Relativization of the Green Function
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.!) to
use an arbitrary nonempty open subset of IRN as a reference set instead of
IRN • That is, if D and Dare nonempty open subsets of IRN with Dc D, then
on D and
(4.2')
EXAMPLE. Suppose that D is a half-space of ~N, define D = D x ~, and if

~ E D, denote by ~' the reflection of ~ in
aD. Then
(4.3)
because an application of the superparabolic minimum theorem shows that

G(·, ~') = GMbG("~) on D. More generally, if} = I, ... , N successively and
if for each} the set Dj is either ~ or a half-space of ~, define
Then the function
i ') _
( ,>," - «):(l)
'> , ••• , '>):(N» , S,,,
( (1)
,.,.,,,( N,t) ) t-+ G'D,(i,>,"')
is the product of the Green functions for N = I of Dt , ... , DN written in the

respective variables «~(l), s), (,,(1), t», ...
,«~(N), s), (,,(N), t».
Strict Positivity Set of GiJ
GiJ(e,~) > 0 if and only if ~ is in the set D~ of points of D strictly below e

relative to D. To see this, observe first that the inequality 0 ~ GiJ ~ G implies
e.
that GiJ(e,~) = 0 if ord ~ ~ ord Next observe that (coparabolic maximum-
minimum theorem) if GiJ(e,~) = 0 and if ~' is strictly above ~ relative to D,
then GiJ(e,~/) = O. Since GiJ(e,·) > 0 at points arbitrarily close to and e
e,
s~rictly below it fo~lo~s that GiJ(e,~~ > 0 whenever ~ED~. If now we. fix
~ and define u(~) = GiJ(~,~) when ~ED~ and define u(~) = 0 when ~ED
D~, then uis cosuperparabolic on D and GiJ(e,·) - uis a positive coparabolic
function on D. It follows that this difference vanishes identically; so D~ is
the strict positivity set of GiJ(e, .), as asserted.
Extensions and Contractions of Green Functions
If eis a point of D, then GiJ, is the restriction of GiJ to D, x D( In fact this

restriction has the required properties except perhaps the property that
GMiJ,GiJ(~,·) == 0 when ~ E D, (or the equivalent dual property). Now if;" is
. . .
~
a positive coparabolic function on D,
and is a rninorant of GiJ(~, .), then
h = 0 at the points of D, with ordinate values ~ ord ~; so if h is extended
to D by defining h = 0 on D- D" the extended function is a positive copara-
bolic minorant of GiJ(~,·) on D and so vanishes identically, Hence h == 0 on
D; so GMiJ,GiJ(~,·) == 0, as required. A similar dual argument shows that the
Green function of the set Do of points of D with ordinate values strictly
greater than ord eis the restriction of GiJ to Do x Do.
An observation in the reverse direction will be useful. Suppose that ~ is a
finite Euclidean boundary point of D, that every point of D is strictly below
~, and that the part Of some open neighborhood iJ of ~ strictly below ~ is in
D. Then for ~ in D the function GiJ(o,~) has the extension GiJvli(·, ~), parabolic
on D u iJ - {~}.
5. Potentials
If D is a nonempty open subset of ~N and if it is a measure on D, the functions
5. Potentials 301
are, respectively, the (Green) potential and copotential of Ji. Since the
properties of copotentials follow trivially from those of potentials, we shall
consider only the latter unless the interplay between the two is involved. The
potential GJjJi is lower semicontinuous (Fatou's lemma) and has the super-
parabolic function average property (Fubini's theorem) so GJjJi is super-
parabolic on D if to each point ~ of D corresponds a point of finiteness of
GJjJi above ~ relative to D. If superparabolic, the potential GJjJi is parabolic
off the closed support of Ji. If Ji(D) < + 00, the counterpart of an argument
in Section IV.l shows that GJjJi is superparabolic on D. In particular suppose
that Ji has compact support A in D, and let B be a neighborhood of A. Since
GJj is bounded on the set (D - B) x A it follows that the superparabolic
potential GJjJi is bounded on D- B and has limit 0 at every boundary point
'of D for which lim~_{GJj(e,~) = 0 when ~EA.
If GMt is a superparabolic potential then GMJjGJjJi == 0 by the counter-
part of the proof of the corresponding classical context result (Section IV.3).
EXAMPLE (a). Let Ii be the indicator function of the upper half-space A of

IRN • Then Ii is a superparabolic function on D = IRN and is the potential of
the measure IN on the abscissa hyperplane. This potential is discontinuous
and vanishes on the support of its measure. Thus the domination principle
(Theorem V.lO) is false in the parabolic context. A trivial variation of this
example in which the measure has compact support shows that the Evans-
Vasilesco theorem (Section V.8) is also false in the parabolic context.
Versions of the domination principle adapted to the parabolic context will
be proved in Section XVIII. 16.
EXAMPLE (b). Define D = IIlN X ]0, b[ and D' = IIl N X ] - 00, b[ with 0 < b
: :; + 00. Recall (Section 4) that GD [G D.] is the restriction of G to D x D
[D ' X D']. Let v be a positive superparabolic function on D with associated
Riesz measure Vand extend vto v' on D' by setting v' = 0 on D' - D. Then v'
is superparabolic and vis the projection on D of the Riesz measure v' associ-
ated with v'. For example, if f> = + 00 and v== 1, the function v'is the potential
Ii on IRN discussed in Example (a). Now suppose that v is a potential, v=
GDv = Gn.v on D. Since GD.v = 0 on D' - D, it follows that v' = Gn,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 NrJ on the abscissa
hyperplane such that v' = GJj,NrJ • Thus in this case N" is the projection of v'
on the abscissa hyperplane. We have now proved that whatever the choice
of von 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 D is given by
a Poisson-Stieltjes integral is to state that every such function when extended
by 0 to D' 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.
EXAMPLE (C). Consider the following potential Gji in iR N, for which ji is

supported by the surface {('7, t): t = -1'71 4 ,1'71 < I},
(5.1)
if s > -1,
o
ifs~-l.
Obviously v(e,s) = +00 when s > 0; so v is not superparabolic. On the

other hand, if P is any constant the function P 1\ V is superparabolic. The
evaluation
v.(:&.", 0) = f (
{/~I<I}
exp
2
-lel20'+2 2<e,'7»)
11
'7
4
I'7 I-N +112 1N (d'7) (5.2)
shows that V(',O) is a finite-valued function of lei. We now show that

lim~_o v(e, 0) = + 00, for which it is sufficient to show that V(',O) has limit
e
+ 00 along a ray in IRN to the origin. Let be on this ray from now on, and
e
let be the angle between the rays from the origin to and '7. Then for e
lei <t,
v(e, 0) ~ J{/~I<I~I<2IW (exp (Xler) 1'7 I-N +1/2 IN (d'7),
1'71
(X = 31/ 2
20'
- I
2. (5.3)
{/81<,,/61
Since the integrand for fixed lei is a function of 1'71, there is a constant c
such that
r21~r (Xlel 2 (X
v(e,O) ~ c JI~I r-
12
/ ex p ----;;:-ll(dr) ~ c2- 1/ 2 IeI 1/ 2 exp 161el 2 (5.4)
and therefore v(·, 0) has limit + 00 at the origin, as stated.
Thinness
Recall that a superparabolic function has limit inferior at a point equal to

its value at that point. In Example (a) the value U(O) is strictly less than the
limit of uat 0 along the upper half-space. In this sense the upper half-space
of iRN is thin at the origin. The abscissa hyperplane is thin at the origin in
this same sense because in Example (c) the superparabolic function P 1\ v
with P> V(O,O) is strictly less at the origin than its limit along the abscissa
6. The Smoothness of Potentials 303
hyperplane. This concept of thinness, the counterpart of the classical concept,

will be given a topological interpretation (the parabolic-fine topology) in
Section 9.
Dependence of CDiL on D
(Cf. Sections IV.l and VII.5.) If D1 c D2 , the difference CD 2 - CD I on

D1 X D1 is a positive function, parabolic in the first argument and copara-
bolic in the second. If iL is a measure on D1 whose potential CD 2 iL is super-
Parabolic, then the difference CD 2 iL - G D1 iL if defined suitably at the common
infinities of the two potentials is positive and parabolic on D1 •
6. The Smoothness of Potentials

The following theorem is the parabolic context analog of Theorem 1.7. In
view of the dependence of CDiL on D described at the end of Section 5 the
smoothness conclusions of the theorem are applicable in their obvious
adaptations to potentials GDiL as well as GiL.
Theorem. Suppose that diL = jdIN+1 , where j is IN+l measurable and is sup-
ported by a slab IR N x [a, + oo[ with a> - 00.
(a) u
If j is bounded, the potential = GiL is finite and continuous on iR N
and has continuous first partial derivatives with respect to the space
variables, given by formal derivation of the integral de.fming u.
(b) If in (a) j is continuous and satisfies a uniform Lipschitz condition of
exponent p, 0 < p ~ 1, in the space variables,
(6.1)
then u has continuous second partial derivatives in the space variables and a
continuous first partial derivative in the ordinate variable, given by
02U(~) r 02C(~,~)· .
o~(i)o~(j) = JIRN o~(i)o~(j) [f(1], t) - f(~, t) ]IN+l (d1])
.
~ = (~,s) = (~(1l, ,~(N),S) (6.2)

~ = (1], t) = (1](1), ,1](N), t)
ou(~)
-~- =
uS
i o· ' . ' . .+'
-;-G(~, 1]) [f(1] , t) - f(~, t)]IN+l (d1])
IRN uS
.
f(O- (6.3)
Hence Au =-f
Proofof (a). Since JIRN G(~, (rt, t»/N(drf) :$ 1, the potential uis bounded under
the hypotheses of (a). To prove continuity, observe that if U,) is defined by
(6.4)
the function U,) is continuous (dominated convergence theorem), and
lu - u,)l:$ supl/l r
s
dt = bsupl/l; (6.5)
J.-,)
so lim,)_o U,) = uuniformly on IR N
, and uis continuous. Formal differentiation
of uyields
The last integral in (6.6) converges absolutely because if t < s,
The last integral in (6.6) defines a continuous function of ~ because if the

slab IR N x [s - b,s[ is excluded from the domain of integration, continuity
becomes trivial, and the error in excluding this slab is [by (6.7)] at most
u2b 1/ 2 sup III. Hence (6.6) is true. 0
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 '1t-+
oG(~, ~)/O~(i) is odd about ~, the first equality in (6.6) can be written in the
form
If the integral on the right in (6.2) is integrated in ~(j) over an interval but
evaluated by first integrating in '1, then ~(j), then t, the result is the difference
between the values of ou(~)/O~(i) 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
corresponding assertions for the other integrals were proved. Moreover
U(e) = r.
JR N
G(e,~)[j('1,t) - j(~,t)]IN+l(d~) + JS f(~,t)dt,
-00
(6.9)
and differentiation in (6.9) yields (6.3). 0
7. Riesz Decomposition Theorem

Theorem. If D is an arbitrary nonempty open subset of ~N and if Uis a super-
parabolic function on D, there is a unique measure Ji on D with the following
properties.
(a) If iJ is an open nonempty relatively compact subset of D and if jiB is
the projection of Ji on iJ, there is a superparabolic function hB on D,
parabolic on iJ, with U = GJiB + hB.
(b) If in addition u has a subparabolic minorant, then u has the representa-
tion u = GJiJi + GMJiu.
The proof is a translation into the present context of the corresponding
classical Riesz theorem for superharmonic functions (Theorems IV.? and
IV.8) and will therefore be omitted.
The Riesz decomposition leads at once to the following facts for a positive
superparabolic function u on D (cf. their counterparts for the classical
context in Sections IV.8 and IV. 10).
(a) The function u is a potential GJiJi if and only if GMJiu = O.
(b) If u is majorized by a superparabolic potential, then u is itself a
potential.
(c) Special case of (b). If u is a. superparabolic potential, RA is also, for
+u
every A; in particular, R~D
+u .
EO for every choice of oD.
(d) The smoothed reduction ~: is a potential if A is a relatively compact
subset of D.
(e) The function u is the limit of an increasing sequence of bounded
infinitely differentiable potentials of measures with compact
supports.
The formulation of the full counterpart of Theorem IV.10 is left to the
reader; this counterpart is a slight extension of (e).
8. Parabolic-Polar Sets
A parabolic-polar subset of ~N (N ~ 1) is defined as a subset A satisfying the
following equivalent conditions:
(a) To each point of A corresponds an open neighborhood of the point

which carries a superparabolic function identically + 00 on the part
of A in that neighborhood.
(b) If D is an open superset of A, there is a function superparabolic on
D and identically + 00 on A. This function can be chosen to be the
potential GiJJ1 of a finite measure.
Observe that in the discussion of parabolic-polar sets the case N = I is
not exceptional. The equivalence of (a) and (b) is proved just as in the
classical context (Sections V.l and V.2). As in the classical context, a polar
set is a subset of a Gd polar set. A set all of whose compact subsets are
parabolic polar will be called inner parabolic-polar.
Counterparts of Theorems V.3 to V.S.
A countable union of parabolic-polar sets is parabolic polar. If A is parabolic

polar, the smoothed reduction of a positive superparabolic function on A
vanishes identically; conversely, if the smoothed reduction of some strictly
positive superparabolic function on a set A vanishes identically, then A is
parabolic polar. The qualification "strictly positive" is necessary in this
converse because, for example, if A is the abscissa hyperplane and v(~) =
I{ord'>o}(~), then (reduction relative to iRN ) ~v~A = 0 even though A is not
parabolic polar. If A is parabolic polar and ~ is a point not in A, there is a
positive superparabolic function finite at ~ but identically + 00 on A. This
result implies, as in the classical context [Section VI.4(c)], that if v is a
positive superparabolic function on an open subset D of iRN and if Aland
A2 are subsets of D differing by a parabolic-polar set, then the reductions
of v on A1 and A2 coincide off the symmetric difference of these sets, and
the smoothed reductions of v on A1 and A2 coincide on D. The classical
context extension Theorem V.S translates directly into the parabolic context
along with its applications. For example, if uis subparabolic on D and if A
is a closed in D parabolic-polar set, null for the measure associated with u,
then LM urelative to D and LM urelative to D - A are equal on D - A. It
follows that GiJ = GiJ-A on (D - A) x (D - A). The extended superharmon-
ic function minimum theorem (Theorem V.?) becomes (for all N): Ifu is a
lower-bounded superparabolic function on an open subset D of iRN and
if at parabolic quasi every finite point' of aD and also at , = 00 if D is
unbounded, lim inf~_, u(~) ~ C, then u ~ C on D.
In the classical context it was proved in Section VII.1O as an application of

an extension theorem that the restriction of GD «(, .)
to D - {() is minimal
harmonic, and it then followed easily that for v positive and superharmonic
8. Parabolic-Polar Sets 307
on D, with associated Riesz measure v,
inf G (Vy ) = v(g}). (8.1)

D-\C} D ':.,.
The corresponding argument in the present context shows that the restriction
of (; D(·, () to D - {(} is minimal parabolic and that if v is positive and
superparabolic on D, with associated Riesz measure V,
(8.2)
Similarly the restriction of (;D«(,·) to D - {(} is minimal coparabolic, and

the dual of (8.2) has the obvious formulation.
EXAMPLE (a) (Classical-polar versus parabolic-polar sets). Let A be a subset

of ~N with projection A on the abscissa hyperplane. If A is classical polar,
then A is parabolic polar, and in fact A x IR is parabolic polar because a
superharmonic function on IRN identically + 00 on A can be considered as a
superparabolic function on ~N (Section XV.IS) and as such is identically
+ 00 on A x R In particular, when N > 1 a line in ~N parallel to the ordinate
axis is parabolic polar. Conversely, it will be proved in Section XVIII.ll
that A is classical polar whenever A x IR is parabolic polar.
EXAMPLE (b). If N ~ 1, a singleton is parabolic polar. In fact, if N > 1, this

follows from Example (a). To prove the assertion for N ~ 1, suppose that
the singleton is {O}, and let it be the measure supported by the set of points
{(O, - 2- k), k ~ l} with it{ (0, - 2-~} = k- 2 • The superparabolic potential
Git is + 00 at the origin; so {O} is parabolic polar. It follows that countable
subsets of ~N are parabolic polar.
EXAMPLE (c). Let A be an IN measurable subset of IRN , with IN(A) > O. The
set A x {O} is not parabolic polar in ~N because a positive superparabolic
function on ~N, identically + 00 on A x {O}, would be identically + 00 on
the upper half-space (Lemma XVI.2).
Coparabolic-Polar Sets
A coparabolic-polar subset of ~N is defined as a set satisfying conditions (a)

and (b) at the beginning of this section with "superparabolic" replaced by
"cosuperparabolic." That is, a set A is coparabolic polar if and only if its
reflection in the abscissa hyperplane is parabolic polar. The application of
this section to coparabolic-polar sets is obvious. It will be proved in Section
XVIII. 11 that a set is parabolic polar if and only if it is coparabolic polar.
9. The Parabolic-Fine Topology

It will be convenient to introduce the fine topology in the parabolic context at
a much earlier stage than in the classical context. In the following discussion
otherwise unspecified topological concepts refer to the Euclidean topology.
In the present context there are two fine topologies, the parabolic and the
coparabolic. All concepts relative to the parabolic-fine topology are trivially
translatable into the corresponding concepts relative to the coparabolic-fine
topology by a reflection of ItRN in the abscissa hyperplane; so no separate
discussion of the coparabolic-fine topology is given.
The parabolic-fine topology of ItRN (N ~ 1) is defined as the coarsest
topology of ItRN making every superparabolic function (equivalently, every
upper-bounded superparabolic function) on ItRN continuous. Since linear
functions of the space coordinate functions are parabolic and since the
ordinate function is superparabolic, it follows that every Euclidean open
interval in ItRN is parabolic-fine open. Hence the parabolic-fine topology is
at least as fine as the Euclidean topology, and in fact it is finer because there
are superparabolic functions discontinuous in the Euclidean topology; for
example, the indicator function of the (open) upper half-space is superpar-
abolic and thus is parabolic-fine continuous. The parabolic-fine continuity
ofthis function implies that no point of the abscissa hyperplane is a parabolic-
fine limit point of the upper half-space; that is, the closure of the lower
half-space is a parabolic-fine neighborhood of each point of the abscissa
hyperplane. This result can be strengthened as follows. Let vbe the potential
on ItRN defined in Section 5, Example (c), for which v = + 00 on the upper
half-space but v < + 00 otherwise and v has limit + 00 at the origin along
the abscissa hyperplane. If P> V(O), the function v/\ Pis superparabolic and
at the origin is strictly less than its limit there along the closure of the upper
half-space. Since v/\ Pis parabolic-fine continuous, it follows that the origin
is not a parabolic-fine limit point of the closure of the upper half-space;
that is, the lower half-space is a deleted parabolic-fine neighborhood of the
origin and so also of every point of the abscissa hyperplane. This fact implies
that the abscissa hyperplane, in fact each hyperplane parallel to it, has no
parabolic-fine limit point even though the hyperplane is not parabolic-polar.
Recall however that according to Theorem XI.6, every nonpolar set in the
classical context has a fine limit point. A more elegant example showing
that the lower half-space is a deleted parabolic-fine neighborhood of each
point of the abscissa hyperplane is furnished by the Green function G.
According to the dual of Theorem XVIII.l4(f) (whose proof depends on
an analysis of reductions not available at this stage), for fixed ~ in ItRN,
Thus the set {~: G(~, ~) > c} is a parabolic-fine deleted neighborhood of

efor every constant c.
10. Semipolar Sets 309
A set will be said to be "parabolic thin" at a point if the point is not a

parabolic-fine limit point of the set. Limit concepts relative to the parabolic-
fine topology will be distinguished by the prefix pf, for example, pflim sup.
The set of parabolic-fine limit points of a set A will be denoted by ApI. An
asterisk will be added for the corresponding coparabolic concept: p*flim sup,
Ap·I.
The following properties of the parabolic-fine topology are derived in
essentially the same way as the corresponding properties of the classical
fine topology and the proofs are therefore omitted.
(a) The restriction of the parabolic-fine topology to an open subset b
of iRN is the coarsest topology making continuous every superpar-
abolic function with domain b.
(b) The parabolic-fine topology has a basis of (Euclidean) compact sets.
(c) The parabolic-fine topology has the Baire property that the intersec-
tion of a sequence of parabolic-fine open parabolic-fine dense sets is
parabolic-fine dense.
(d) If A has limit point ~ then A is parabolic thin at ~ if and only if
there is a superparabolic function udefined on a neighborhood of
~ such that
l~mi~fu(~) > u(~). (9.1)

A3~-~
A point ~ is a parabolic-fine limit point of a set A ifand only if ~ is a Euclidean

limit point of A and if each superparabolic function udefined on an open
neighborhood of ~ has u(~) as a cluster value at ~ along A. For example,
according to XV(14.1) and the example in this section, if A is the complement
of an IN+l null set, the part of A strictly below a point of iR N has that point
as parabolic-fine limit point. Hence the space iR N has no parabolic-fine
isolated point, and it follows that a nonempty parabolic-fine open subset
A of iRN is parabolic-fine dense in itself, A c: ApI. If A is a set parabolic thin
at ~ and if b is an arbitrary open neighborhood of ~, there is a potential
u = GoiJ. satisfying (9.1) for which iJ. has compact support in b and the left
side of (9.1) is + 00. Thus a parabolic-polar set has no parabolic-fine limit
point. As already noted, the converse is false.
10. Semipolar Sets
It was proved in Section XI.6 that in the classical context a set is polar if
and only if it has no fine limit point, but it was pointed out in Section 9
that although a parabolic-polar set has no parabolic-fine limit point, the
abscissa hyperplane of iRN is not parabolic-polar even though it has no
parabolic-fine limit point. The following definition is therefore natural. A
subset A of iR N will be called parabolic-semipolar [coparabolic-semipolar] if
310 I.XVII. Parabolic Potential Theory (Continued)
A is a countable union of sets each of which has no parabolic-[coparabolic-]

fine limit point. If "parabolic" ["coparabolic"] is omitted here, that is, if
the definition is applied in the classical context, a semipolar set is polar so
the terminology "semipolar" is not used in the classical context. It will be
shown in Section XVIII.l2 that a parabolic-semipolar set is necessarily
coparabolic semipolar, and conversely, and that such a set is 'N+l null.
Trivially a countable union of parabolic-semipolar sets is parabolic semi-
polar. Thus a countable union of horizontal hyperplanes is parabolic semi-
polar. Such a union may have parabolic-fine limit points however.
A parabolic-semipolar set A is the union of countably many parabolic-
fine nowhere dense parabolic-fine closed sets; that is, the complement ofA
is the intersection of a sequence of parabolic-fine open parabolic-fine dense
sets, and (Baire property) the complement of A is therefore parabolic-fine
everywhere dense. It follows that if u and v are superparabolic functions
on some open set D and if u = v (or u ~ v) up to a parabolic-semipolar set,
then the relation is true everywhere on D.
11. Preliminary List of Reduction Properties

Let D be an open subset of IR N , coupled with a boundary aD provided by a
metric compactification of D, and let A be a subset of D u aD. In this section
we prove certain basic reduction properties, some under restrictions to be
removed or weakened later (see Section 16). We shall use repeatedly the
fact that in view of the preliminary version of the Fundamental Convergence
Theorem in Section 2 an equality or inequality between unsmoothed reduc-
tions relative to D is true 'N+l almost everywhere on D for the smoothed
reductions and is therefore true everywhere on D for the latter.
(a) If v is a positive superparabolic function on D, finite valued and
continuous at each point of AnD, then
R1 = inf {R~: A c D, D open in D u aD}. (ll.l)
See the proof of the corresponding fact in the classical context in Section
111.5(e).
(b) If A and iJ are open subsets of D with A c D and if v is a positive
superparabolic function on D, then
(11.2)
Just as in the classical context (Section VIA), in view of the fact that the
smoothed successive reductions of v on A and D in either order lie between
~~v~A~A and ~v~A, it is sufficient to prove that (11.2) is true when A =D.
To prove this, we need only observe that since ~v~A = v on A a parabolic
function uon D majorizes v on A if and only if Ii majorizes ~v~A on A.
II. Preliminary List of Reduction Properties 311
(c) If Ii and v are positive superparabolic functions on D and if A is an

open subset of D, then
(11.3)
See the proof of the corresponding fact in the classical context in Section
VIA. Property (c) will be extended in Section 16(g) to cover countable sums
of positive superparabolic functions and arbitrary subsets A of D U oD.
(d) If vis a finite-valued continuous positive superparabolic function on
f-+
D, the set functions A Rt and A f-+~: are strongly subadditive on the
class of subsets of D U oD.
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 B of D, set v' = R~+v
1\ R~, and prove
+v
(11.4)
The classical context proof of this reduction equality in Section VIA needs
no change except simplification: "quasi everywhere" is to be replaced by
"everywhere." Moreover, when A and B are open, Rf,vB = von An B, so
Rt,vB ~ Rt niJ . Thus (11.4) implies the validity of the strong subadditivity
inequality
R1v vB + R1v niJ -< R1v + R~v (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 oD, and the corresponding inequality for smoothed
reductions, true 'N+l 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 D with finite-valued continuous limit v, then
(11.6)
and the corresponding equation (11.6sm) for smoothed reductions is also

true. [See Section 16(e) for a stronger property.]
It is sufficient to prove (11.6). This limit relation is trivial on any open
connected component of b on which v vanishes identically; so we suppose
from now on that v is strictly positive. First suppose that each set An
is open. Then (11.6) coincides with (11.6sm) and the limit function v' =
lim n_ oo Rtnn is superparabolic on b, equal to v on A. It follows that v' ~ Rt.
The reverse inequality is trivial so (11.6) is true for open sets. In the general
case choose ~ in D, f: > 0, IX > I, define A~ = An n {v < IXV n} and apply (a) to
obtain an open superset Bj of Aj satisfying
312 1. XVII. Parabolic Potential Theory (Continued)
The sequence A: is an increasing sequence of sets with union A, and we

define D = U;f Dj =:> A. Apply the strong subadditivity property of reductions
to deduce
n n
R,Y3Bj(~):::;; Rt~(~) + LR~j(~) - LRtj(~):::;; Rt~(~) + 2e. (11.7)
o 0
Since (11.6) is true when the sets involved are open, (II. 7) yields (n -+ (0)
Hence
(11.8)
and the reverse inequality is trivial.

(f) Rt = v on Apf n D; if v is finite valued and continuous, then Rt =
R A on D - A and RA = RA = von Apf n D.
+v v +v
If it is a positive superparabolic function on D, majorizing v on AnD
and near A n aD, then (by the parabolic-fine continuity of it and v) it also
majorizes von APf; so Rt = von Apf n D. If ~ E D - A, let D. be a decreasing
sequence of open neighborhoods of ~ with intersection {~}, and define
An = D - Dn. Then Rt nis parabolic on Dn; so Rtn(~) = R~n(~),
+v
and (n -+ (0)
property (e) yields, under the stated conditions on v,
(11.9)
There remains the proof that (11.9) is true when ~ E Apf n A. To see this,
observe that for such a point ~ we have now proved at least that Rt-{~}(~) =
R~-(~}(~). Moreover the reduction value on the left is equal to v(~) because
+v
~ E (A - {e} )pI, and the value on the right is equal to ~:(~) 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 e.
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
12. A Criterion of Parabolic Thinness

The following lemma will be needed in the proof (Section 13) of the Fun-
damental Convergence Theorem in the parabolic context.
Lemma. Let D be a nonempty open subset of~N, let vbe a positive continuous
finite-valued superparabolic function on D, let ~ be a point of b, and let A be
a subset of D that is parabolic thin at Then e.
I~~ ~v~Ar;B(~) = 0 (B a neighborhood of ~). (12.1)
BH
Recall from Section ll(f) that the reduction in (12.1) is v(~) for every
choice of B if A is not parabolic thin at ~.
e
We can assume in the proof of the lemma that ¢A. In fact, if A contains
~, then replacing A by A - {e} does not affect the hypothesis that A is
parabolic thin at ~ 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 v(e) = 0; so we assume strict positivity below.
Since A is parabolic thin at ~, there is (from Section 9) a positive super-
parabolic function u on D, majorized by v at ~ and with limit + 00 at ~
along A. If B is so small that v < 2v(~) on B, then
MAr;B(~)
+ 00 > u(e) ~ ~u~Ar;B(~) ~ inf u
Ar;B sup V
Ar;B
from which inequality the lemma follows.

Just as in the classical context [Section XI.3(a")], we shall need a slight
variation of(12.1): if A is parabolic thin at~, then
li~ ~~v~B~A(e) = o. (12.1 /)

BH
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 ul be a positive superparabolic function on D with ul(e) = +00,
and let Bo be a neighborhood of~. Then
~ ~v~B~A(e) ::;; ~v~Ar;Bo(e) + ~ MB~A-Bo(~)

(12.2)
::;; ~v~Ar;BO(e) + ~Ul.~A-~O(~) s~pv.
mfBu l B
314 I.xVII. Parabolic Potential Theory (Continued)
Apply (12.1) to find 130 so small that the first term in the second inequality
is at most e/2, and with this choice of 130 observe that the second term is
at most e/2 if 13 is sufficiently small, since ut is continuous at ~.
Parabolic-Fine Limits and Cluster Values
A function U from a deleted neighborhood of a point ~ of rR N into a metric

space has parabolic-fine limit [parabolic-fine cluster value] IX at ~ if and
only if U has limit IX at ~ along a subset of rR N which is a deleted parabolic-
fine neighborhood of ~ [is not parabolic thin at ~]. The proof is a translation
into the parabolic context of that of Theorem X1.9, using the obvious
parabolic context version of Lemma X1.8.
13. The Parabolic Fundamental Convergence Theorem

Theorem. Let r: {u a , IXeI} be afamily ofsuperparabolic functions on an open
subset D of IR N , locally uniformly bounded below, and define U = infae1ua.
Then u.:s; li,
+
U(~) = liminfu(~) = pflimu(~), (13.1)

+ ~~~ ~~~
and
(a) u+ is superparabolic,
(b) u
+
= u on each open set on which u is superparabolic,
(c) u+ = uexcept on a parabolic-semipolar set,
(d) there is a countable subfamily ofr whose infimum has smoothing U.
+
Conversely, if A is a parabolic-semipolar subset of D, there is a decreasing
sequence V. of positive superparabolic functions on D with limit v such that
v> +von A.
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 U. 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 '2 with '\ < '2' define
choose ( in D, and show that the set A = Ar I r 2 is parabolic thin at (. If ( is

not a limit point of A, the assertion is trivial. If (is a limit point of A, then on
a sufficiently small neighborhood iJ of' we have u +
> u«()
+
- ('2 - ,\)/2 by
13. The Parabolic Fundamental Convergence Theorem 315
lower semicontinuity of ~; so
(13.2)
on A (\ B. Hence (reduction relative. to D) Un ~ cR1"jj and U

. . +
~ cRA"jj.
+1
Since
u(t)
+
< c, we conclude that
•
1 > RA"B(O,
+1
and therefore in
•
view
•
of Section
11 (f) we conclude that A is parabolic thin at every point' of D. Since each
function Un is parabolic-fine continuous, the function U is parabolic-fine
upper semicontinuous; so
If there were a point t in D at which the setond and fourth terms in (13.3)
were unequal, there would be two numbers, '1 and '2' strictly between the
t,
values of these terms at with'1 < '2' Since ~ is parabolic-fine continuous,
the set Ar , r 2 would• not be parabolic thin at t, and consequently there can
be no such point C. Thus (13.1) is true. Finally (c) is true because
{U>~}= UA
r 1 .r 2
r ,r2 (13.4)
Conversely, suppose that A is a parabolic-semipolar subset of D. To prove

the converse half of the theorem, write A = Ug> Ak with A:f(\ D = 0, and
let B. be a sequence of open subsets of D forming a basis for the Euclidean
topology of D. Define
so that (Lemma 12)
Apply (d) to find a decreasing sequence Vkm. of positive superparabolic

functions, each at most I and equal to I on Akm , with limit vkmoo for which
v+kmoo = RAkm.
+1
The sequence v• defined by
Vn = L Vkmn2 -k-m
k,m
has the properties described in the converse half of Theorem 14. In fact
v. is a monotone decreasing sequence of positive superparabolic functions
with
Ii = lim Ii =
n-C() n
L Ii 2 -k-m .
k. m +kmco '
so Ii = Lk m Ii
+ ' • +kmoo
2- k- m up to a• parabolic-semipolar set and therefore every-
where on D. Hence Ii> Ii on A.
+
14. Applications of the Fundamental Convergence Theorem

to Reductions and to Green Functions
Application to Reductions
According to the parabolic Fundamental Convergence Theorem, a parabolic

.f!1
reduction 1<t satisfies the relation 1<t = v up to a parabolic semipolar set.
In view of the parabolic-fine continuity of superparabolic functions,
•.
= Ii Rt
on (A u ApI) (") D, and this inequality combined with (13.1) implies that
.f!1= 1<t = Ii on ApI (") D; the latter fact was proved under stronger hypoth-
eses on Ii in Section 11 (f).
EXAMPLE. If D = ~N and if A = {( ord ¢ ~ O}, then
'.4 {ti
on A, 1<.4 = {ti on the upper half-space,
R" = 0 elsewhere, +v 0 elsewhere.
Thus in this example if Ii is strictly positive, the set {1<t > 1<~}
+v
is the abscissa
hyperplane, which is parabolic semipolar but is not parabolic polar.
Application to Green Functions
The counterpart of the argument in Section VilA showing by way of

the classical context Fundamental Convergence Theorem that the classical
context Green function with a given pole has limit 0 at quasi every finite
Euclidean boundary point shows in the parabolic context that Gj)(', ~)
[GD(e, .)] has limit 0 at every finite Euclidean boundary point except possibly
for those boundary points in some parabolic-s~mipolar [coparabolic-
semipolar] set. (It will be shown in Section XVIII. 12 that a subset of ~N is
parabolic semipolar if and only if it is coparabolic semipolar.) This boundary
limit result may be vacuous, however. For example, if D is the upper half-
space, the finite part of the Euclidean boundary is the abscissa hyperplane
which is both parabolic-semipolar and coparabolic-semipolar. Actually in
e
this case since Gj)(~, ,,) = 0 when ord :s; ord~, it is trivial that G6(', ~) has
limit 0 at every point of the bounding hyperplane.
16. Parabolic-Reduction Properties 317
15. Applications of the Fundamental Convergence Theorem

to the Parabolic-Fine Topology
Application to the Smoothness of a Parabolic-Semipolar Set
A parabolic-semipolar set is a subset of a Borel semipolar set which is a

countable union of Borel sets each of which has no parabolic-fine limit point.
In fact on the one hand according to Theorem 13 (converse assertion), a
parabolic-semipolar set is a subset of the exceptional set {u > ~} in some
application of the theorem, and on the other hand according to the proof
of Theorem 13, the exceptional set {u > ~} in each application is a subset
of a countable union (13.4) of Borel sets each of which has no parabolic-
fine limit point.
Character of A pI
The counterpart of the argument (Section XI.6) that in the classical context
the set AI is a Euclidean G6 set and that A - AI is polar yields in the par-
abolic context that ApI is a Euclidean G6 set and that A - ApI is parabolic
semipolar. Although the set AI is fine perfect, the set ApI need not be par-
abolic-fine perfect. For example, if A = Ur {ord e= -lin}, the set ApI is
the abscissa hyperplane, which has no parabolic-fine limit point.
Borel Measurability of the Parabolic-Fine L~~it Superior Function
If u is a function from an open subset of iRN into ~, the function ~'I--+

pflim sup",_~ u(~) is Borel measurable (and therefore the corresponding
inferior limit function is also Borel measurable) because if IX E IR, the set
{e: pfl~m.supu(~) >

~-~
IX} = 0 {e: u(~) ~ + !}PI
n=1 n
IX
is a countable union of G6 sets.
16. Parabolic-Reduction Properties

The list of reduction properties in this section includes for completeness
some already discussed. The reductions are relative to an open subset D
of iRN , provided with a boundary oD by a metric compactification. The
sets on which positive superparabolic functions are reduced are subsets of
D U oD, and no further hypotheses not stated explicitly are imposed on
either functions or sets. Proofs are given in Section 17 and consist merely
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 v/ = v- Rt"iJD, then
(16.1)
and the corresponding equation (16.lsm) for smoothed reductions is also

true.
(b) R~
+v
~ Rt ~ v on b,
Rt = von (A u ApI) n b,
Rt = .ij: = von ApI n b, in particular on the parabolic-fine interior
of A n b.
p
Rt = .ij: on b when An is parabolic-fine open.
Rt is parabolic on b - A and equal to .ij,; there.
.ij:(e) = limint;;_~Rt(~) = pfliIll,j_~Rt(~).
(c) [See also (3.1) and (3.lsm).] If v is finite valued on An b, then
1'<..t = inf {R:: A c: B, B n b is parabolic-fine open,
(16.2)
B contains a neighborhood of A n ab}.
If in addition v is continuous at each point of A n b, the set B in (16.2)

can be restricted to be open in b u ab.
(d) IfAl andA 2 differ byaparabolic-polar subsetBof b, thenRt, = Rt 2
on b - Band R A, = RA2 on b.
+6 +6
(e) If A. is an increasing sequence of subsets of b with union A and if
v. is an increasing sequence of positive superparabolic functions on b with
superparabolic limit v, then
lim R1nn =
n-+co V
R1v' (16.3)

true. If vn = vfor all n, then (16.3) and (16.3sm) are true for A. an increasing
sequence of subsets of b u ab.
(f) R~ +v
~ Rt on b with equality on b - A, and also equality on An b
up to a parabolic-semipolar set.
(g) If v = ~(f vn is a superparabolic sum of positive superparabolic
functions on b, then
16. Parabolic-Reduction Properties 319
•A
R-v ="L.o R·A
00.
Vn '
(16.4)
and the corresponding equation (16.4sm) for unsmoothed reductions is also

true.
(h) If A e aD and if V. is a decreasing sequence of positive superparabolic
functions on D with limit v, then limn _ oo Mn = Rt.
(i) If A e iJ e D u aD and if A ( l D is parabolic-fine open, then
~ MA ~ B = ~dA. If in addition the set iJ ( l b is parabolic-fine open, then
~MB~A = HA.
(j) If A ( l D and iJ D are parabolic-fine open and if v' = Rt
(l 1\ R~,
then
RA.vB
v + R1v vB = RA.v + R~v· (16.5)
(k) The set functions R~ and R: +v

are countably strongly subadditive on
the class of subsets of D u aD.
(I) (Strengthening of the assertion in (f) that ~; = Rt on b - A.)
If e > 0 and if C is a compact subset of D - A, there is a positive super-
parabolic function Ii on D, equal to von A ( l D and near A ( l aD and satisfying
the inequality Ii :::; RA
+v
+ e on C. .
.
(m) If A is a relatively compact subset of D, then GMDR~ +v
= 0; that is,
R+.
A
is a potential. . .. . ..
(n) If v is a potential on D, then Rt = Rt nD and ~ = ~nD.
+v +v
e.
(0) If v is finite valued and continuous, then for every point of D the
•
set function R~(~) is a Choquet capacity on D u aD relative to the class of

compact subsets of D u aD.
Observation. In the classical context (Section VI.5) the set function R~(e)
was shown to be a Choquet capacity on D u aD relative to the class of
compact subsets of D u aD when v is finite valued. In the present context
finite valuedness of v is not sufficient for the validity of (0) according to
the following example. Let A be the closure of a ball in ~N, and let An be
the subset A x [0, lin] of ~N. Then A. is a decreasing sequence of compact
subsets of ~N with intersection A = A x {O}. Let vbe the indicator function
of the upper half-space. Then (reductions relative to D = ~N) the reduction
Rt Rt
vanishes identically, but limn_ oo n > 0 on the upper half-space because
according to Lemma XVI.2, the smoothed reduction Rtn is at least equal
to the parabolic Poisson integral on the upper half-space with boundary
function the indicator function of A.
(p) If A is an analytic subset of D u aD, then
Rt = sup {R!: Fe A, Fcompact}, (16.6)


true.
(q) If uand vare bounded, then
sup IRj - Rtl :$ sup lu - vi, (16.7)

iJ iJ
and the corresponding inequality (16.7sm) for smoothed reductions is also
true.
(r) There is a bounded continuous superparabolic potential ull' on b
for which, for each subset A of iJ,
(16.8)
(s) Parabolic context counterpart of Section VI.3(o). To avoid repeti-

tion of complicated inequalities, we refrain from writing this property
explicitly. It is the set of reduction inequalities obtained by translating
Section VI.3(o) into the parabolic context; that is, "superharmonic" is
replaced by "superparabolic," and dots are inserted over set and reduction
symbols as required by the parabolic context.
17. Proofs of the Reduction Properties in Section 16

Proof of (a). See the proof of the corresponding property in the classical
context in Section III.5(c). 0
Proof of (b). The properties listed under (b) have already been proved
except for the identification of Rj with R~ when An b is parabolic-fine
+v
open. If A is a parabolic-fine open subset of b, the function Jl:
.
is a positive
superparabolic function equal to v on A according to the third line of (b);
so Jl: ~ Rj, and the reverse inequality is listed on the first line of (b). For
general A with An b parabolic-fine open, combine property (a) with the
fifth assertion in (b) and the special case just considered to obtain the stated
identification. 0
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. 0
Proof of (d). See Section 8. 0
Proofof (e). If equation (16.3) is true, then (16.3sm) is true up to a parabolic

semipolar subset of b and therefore is true everywhere on b because both
17. Proofs of the Reduction Properties in Section 16 321
sides of(16.3sm) are superparabolic functions. In the following we therefore

consider only (16.3). The first assertion of (e) was proved in Section ll(e) for
vn and v finite valued and continuous, using Section ll(a), that is, using the
second assertion of (c) of the present section. This proof is applicable as long
as vis finite valued on A if we use the first assertion of (c) and replace the open
sets in the Section ll(e) proof by parabolic-fine open sets. For arbitrary
vn, v, An, A with A eDit follows that
(17.1)
and therefore (16.3) is true, in view of (d), except possibly on the parabolic-
polar set A n {v = + oo}, on which, however, (16.3) is trivial. To prove the
second assertion of (e) suppose first that An c aD. Let ~. be a sequence
dense in D, and choose a positive superparabolic function Un on D, majorizing
vnear An n aD and satisfying
j '5;, n.
The function
is positive and is superparabolic on D because the indicated limit is parabolic

on D, and the sum is a sum of positive superparabolic functions and is finite
at each point ~j' The function limn -+ CXl Rt n majorizes Rt n for all n, so Uk ~ U"
for n.~ k. It follows that Uk ~ Rt, and when k -+ 00, we find that limn -+ CXl Rt n
~ Rt up to a parabolic-semipolar subset of D and therefore everywhere on
D since both sides of this equation are parabolic functions on D. Since the
reverse inequality is trivial, (16.3) is true when A c oD and vn = v for all n.
According to the first assertion of (e), equation (16.3) is true when A c D
with no restriction on v.. Now apply (a) to find
Hence
Since the reverse inequality is trivial, (16.3) is true, as was to be proved. 0
Proof of (f). We have already applied the Fundamental Convergence

Theorem to find that Rt = R1
+v
up to a parabolic-semipolar subset of D.
Equality on D - A was proved in Section ll(f) for v finite valued and

continuous but it was pointed out there (in an observation following the
proof) that the present property (e) implies equality on D - A without this
restriction. 0
Proofof (g). To prove (g) for two summands, that is, to prove
(17.2)
and the corresponding equation for smoothed reductions, observe that (17.2)
appears as (11.3) in Section ll(c) for A an open subset of D 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 A a parabolic-fine open subset
of D, with no restriction on vl , v2 • In view of the evaluation in (3.1) of a
reduction in terms of reductions on subsets of D, (17.2) is true whenever
A ("\ D is parabolic-fine open. It then follows from (c) that (17.2) is true
with no restriction on A if vl and V2 are finite valued on A("\ D. Hence
with no restriction on vl and v2 and with Ao = A ("\ {v l + v2 < + oo},
According to (d), these reductions are equal to the corresponding reductions

on A, that is, to the reductions in (17.2), except possibly on the parabolic-
polar set A - Ao on which in fact (17.2) is trivial. Hence (17.2) is true; that is,
(16.4) is true for two summands and therefore for finitely many summands.
Hence for finitely many summands (16.4sm) is true up to a parabolic-
semipolar subset of D and is therefore true everywhere on D because each
side of (16.4) is a superparabolic function. The extension to infinitely many
summands is effected as in the classical context [Section VI.4(f)]. 0
Proof of (h). The proof follows that of the corresponding classical property
in Section VI.4(g). 0
Proof of (i). The proof follows that of the corresponding classical property
in Section VI.4(h) but observe that in the argument there for (h l ) no extra
hypothesis on the smoothness of A was used, whereas the hypothesis that
A("\ D is parabolic-fine open plays an essential role in proving the parabolic
counterpart of (hI)' 0
Proof of (j). This property was proved under added restrictions (or rather
referred back to its classical counterpart) in Section ll(d). The method of
proof referred to is applicable in the present context whenever the sets
A("\ D and iJ ("\ D are parabolic-fine open. 0
Proof of (k). Equation (16.5) implies the strong subadditivity of the set
function A 1-+ Rt on the class of sets A with AnD parabolic-fine open
[the argument in Section 11 (d) for AnD open is applicable when AnD is
merely fine open]. An application of (c) then shows that the strong sub-
additivity inequality (11.5) is true whenever Ii is finite valued on (A v D) n D;
so (11.5) is true with no restriction if A and Dare replaced by A n {Ii < + 00 }
and Dn {Ii < +oo}, respectively. Hence by (d) the inequality (11.5) is true
as written except possibly on the set (A v D) n {Ii = + oo}, and (11.5) is
therefore true on D because the inequality is trivially true on (A v D) n D.
The strong subadditivity inequality for smoothed reductions is true on D
because the inequality is true up to a parabolic-semipolar subset of D 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. 0
Proofof(1). Denote by Ak the set of points of DnA n {Ii < + oo} at distance
~ 11k from C. The function R1
kU {AnaD) is continuous, in fact parabolic, on
the neighborhood {~ED: I~ - CI

< 11k} of C.
The downward-directed
family
{R:: Ak v (A n aD) c D, Dn D parabolic-fine open,

(17.3)
D a neighborhood of AnD} IC
of continuous functions on C, with limit R1
kU {AnaD) according to (c), is
uniformly convergent (Dini's theorem). Thus if t; > 0 and k ~ 1, there is

a choice Dk of Din (17.3) so small that
on C. For k ~ 1 let Uk be a positive superparabolic function on D, identically

+00 on the set {( I~ - CI ~ 11k, Ii(e) = +oo} and at most 2- k - 1 t; on C.
(For example, if u~ is a positive superparabolic function on D, identically
+ 00 on the set {Ii = + oo}, let u; be the reduction ofu~ on the set {Ie - CI >
11k}. Then u~ is continuous on the compact set C, and we define Uk=
2- k - 1 t;u;/supcu;.) By countable strong subadditivity (k)
on C. The function
is superparabolic on D, equal to ti on AnD and near A n aD, and is at

most Rt + e on C, as desired. 0
Proofs of(m) and (n). The proofs follow those of the corresponding classical
properties in Sections 111.6 and III.5, respectively. Note however that the
counterpart u 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. 0
Proofof(o). In view of (e) all that remains to be proved is that Iimn .... ro Rtn =
Rt whenever ti is finite valued and continuous and A. is a decreasing
sequence of compact subsets of Du aD with intersection A: If A c: iJ a~d
if iJ is open, then An c: iJ for sufficiently large n so that R: ~ limn .... ro Rtn,
and therefore in view of(c) Rt ~ limn .... ro Rtn. The latter inequality is actually
an equality because the reverse inequality is obviously true. 0
Proof of (p). Suppose first that ti is a finite-valued continuous positive

superparabolic function on D. In this case (16.6) is true because according
to (0) for each point ~ of D the set function R~(e) is a Choquet capacity
relative to the paving of compact subsets of Du aD. For this choice of ti
the R~( e) capacitability of the analytic set A implies (16.6). Equation (16.6sm)
follows on D - A because by (f) the equations (16.1) and (l6.6sm) are
identical on D- A; equation (l6.6sm) on A is deduced by the following
argument. According to (d), when ~EA the left side of(l6.6sm) is unchanged
when A is replaced by A - {~}; the right side is also unchanged in view of
(d) and (e) [if eEFin (l6.6sm), rt:place Fin (l6.6sm) by Fless each member
of a sequence of balls of center' and radii tending to 0]. Thus (l6.6sm) is
reduced to (16.6), and we have proved (p) when ti is finite valued and con-
tinuous, in particular, when ti is parabolic. Next we prove (p) when ti is a
potential. Let ti. be an increasing sequence of finite-v~lued continupus
potentials on D with limit ti. According to (n) Rt = Rt"D and R~ +v
=R~"D;
+v
so we can apply (e) and the fact that (p) has been shown to be true for tin
to deduce
Rt = Rt"D = sup {Rtn"D: nE Z+}

= sup{R!n : nEZ+,Fc: AnD,Fcompact}
= sup {R!: F c: An D,tcompact}.
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 ti is a potential. We
have now proved (p) when Ii 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. 0
Proof of (q). The proof follows that of the corresponding classical property
in Section VI.4(n). 0
Proof of (r). The proof must be more than a translation of the proof of
Lemma XI.lO into the parabolic context because the parabolic Dirichlet
problem has not yet been treated. The basic method of the proof of Lemma
XI.lO will be used however. Let D be a nonempty open subset of ~N, let i
be an interval with closure in D, and let a [b] be the ordinate value on the
lower [upper] face 00. Define u(~) = u(~,s) on D by .
I
I if s > b,
u(~,s)= ~=: ifa~s~b,

o if s < a.
Then U is superparabolic, and we now show that (reduction relative to D)

the function R~ is continuous. The function is equal to the smoothed reduc-
tion according to the fourth property in (b). The function is lower semicon-
tinuous, and R~ ~ u; so R~ is continuous at a point if this inequality is
actually an equality at that point. Since R~ is parabolic and therefore contin-
uous on D - ai, we need only prove that R~ = u on ai. On the lower face
of i, 0 ~ ~ ~ u= 0 so there is equality on this face. If ~ is a boundary
point of i not on this face, it will be proved in the next paragraph that i
is not parabolic thin at ~ ; so since R~ is parabolic-fine continuous and equal
to uon i, there is equality at ~. (Or, apply the second assertion of (b).) Thus
R~ is continuous. Let i. be a sequence of intervals with closure in D forming
a basic for the topology of D, let uj be defined for ~ as U was for i, and set
(17.4)
The function uff. satisfies the conditions demanded in (r) by a translation

into the present context of the corresponding proof in the classical case in
Section XI.lO.
There remains the proof that each point ~ not on the lower face of i
is in i pf• Since (from Section 9) each point of the abscissa hyperplane is a
parabolic-fine limit point of the lower half-space, it follows that i pf contains
the interior points of the upper face. Finally suppose that eis a point of a
lateral face, not on the lower face. If N = 1, let it be the reflection of i in
the bounding side of i containing ~. A trivial symmetry argument shows
that it is parabolic thin at eif and only if i is. If both are parabolic thin at
~, their union is also. However, the set i u it contains all but an /2 null set
of the part of some Euclidean neighborhood of ~ strictly below and so e,
e.
[Section 9(d)] i u it cannot be parabolic thin at Hence ~ E i pf• The similar
treatment of the case N > 1 is left to the reader. 0
Proof of (s). The proof follows that of the corresponding inequalities in the
classical context in Section VI.4(0). 0
18. The Classical Context Green Function in Terms of the

Parabolic Context Green Function (N > I)
Let D be a nonempty open subset of !R N , and define iJ = D x !R. The para-
bolic context Green function Go is then invariant under translations of the
ordinate axis,
Go«e, s), (", t» = Go«e, 0), (", t - s».
e
It follows that for fixed and t the function (", s) 1--+ Go«e, s), ('7, t» is super-
parabolic on iJ and is parabolic on iJ - {(e, t)} with the canonical isolated
singularity at (e,t); so Go«e,s),(",t» ~ Go «'7,s),(e,t». Repeat this inter-
change of space variables to derive equality here, that is, to find that the
function (e,,,) 1--+ Go«e, s), (", t» is symmetric. Define the function ~D on
!R x D x D by
(18.1)
If D = !R N or more generally if D is !R N less a closed classical context polar

set, then (from Section 8, Example (a)] iJ is iR N less a closed parabolic-polar
set; so (from Section 8) Go = G on iJ and ~D(t, e,,,) = ~(t, e-
'7). Whatever
the choice of D, the function ~D(t,',') is symmetric on D x D, and the func-
tion ~D("" '7) is superparabolic on iJ, parabolic on iJ - {(",O)}. Moreover
e-
~D(t, e,,,) :S ~(t, '7). The function ~D will be identified in Section 2.IX.17
with the transition density function of Brownian motion in D.
Theorem, If Dis 0 Greenion subset of!R N,
t: Go«e, s),('7, t»lt (dt) = {<Xl ~D(t, e, rOl t (dt) = 0NGD(e, '7);
(18.2)
f(N12 - I) . I 2
°N= 2 NI2 2 IfN>2, O2 = - 22' 0 1 =2.
n U M U
We first verify (18.2) in three special cases. If N > 2 and D = !R N , then

iJ = iR N , Go = G, 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 e"# ". If N = 2 and if D = D+ is a half-plane, let '7* be the reflection
of" in fJD+. Then (from Section VIII.9)
(18.3)
18. Classical Green Function vs Parabolic Green Function 327
On the other hand, according to (4.3), the function IJ D + is given by
((21t0"2 1)-1 (exp -le~,,12 -exp -le~"*12) ifl>O

IJ D + (I ,.".,
): n) = J] 20" 1 20" 1 (18.4)
o if 1 ::; O.
Integration yields (18.2) in this case also. If N = 1, let D = D+ be the half-

line ]0, + 00[. In this case GD(e,,,) = e/\ "
according to Section XIV.6, and
according to (4.3), the function IJD is given by (18A) except that the first
factor on the right has exponent - t instead of - 1. In this case" =
Again (18.2) can be verified by direct integration.
-,,*.
To prove (18.2) in the general case for N > 2, denote by gD(e,,,) the value
of the equal integrals on the left. For fixed" the function (e,s)l--+gD(e,,,)
is superparabolic on iJ because the superparabolic function inequality is
satisfied; so gD(',,,) is superharmonic on D. The corresponding argument
shows that 9D(', ,,) is harmonic on D - {,,}. Furthermore the first integral
in (18.2) is the value at (e, s) of the superparabolic potential of the measure
/1 on the line parallel to the ordinate axis through (",0). Hence the function
gD(',,,) has no positive harmonic minorant other than O. That is, gD(',,,) is
the superharmonic potential of a measure supported by {,,}, and it follows
that gD(',,,) = cGD(',,,) for some positive constant c. Now
Gv(~, ti) = G(~, ti) - li( ~, ti), (18.5)
with li(·, ti) a positive parabolic function on iJ, and integrating this equality
with respect to /1 over the line through (",0) parallel to the ordinate axis
yields
The integral on the right defines a harmonic function of e on D, and it

follows that c = aN, as was to be proved.
If N = 2, it is enough to prove (18.2) for a bounded set D because when
D. is an increasing sequence of bounded open subsets of D with union D,
it follows that limn.... '" GD n = GD and limn....'" Gvn = Gv according to Theorem
VII.6 and its parabolic counterpart. Let D+ be a half-plane containing D,
and define iJ+ = D+ X IR. Although (18.5) is valid when N = 2, we cannot
integrate as in the case N > 2 because
when N < 3. We therefore replace (18.5) by a relative equation (see Section

XVII A)
(18.7)
where v(o,~) is a positive parabolic function. The proof continues as in the

case N> 2, using the truth of the theorem when D = D+. When N = I,
there remains only the proof of (18.2) for D a finite interval, and this is
carried through just as in the case of bounded open sets when N = 2.
Observation. According to Theorem 18, if D is Greenian, if J.l. is a measure
on D, and if Ii is the product measure J.l. x Ii on D = D x IR, then GDIi(~, s) =
aNGDJ.l.(~)·
19. The Quasi-Lindelof Property
Theorem. An arbitrary union ofparabolic-fme open sets differs by a parabolic-

semipolar set from some countable subunion.
The proof follows that of the corresponding property in the classical

context (Theorem XU I).
Chapter XVIII
The Parabolic Dirichlet Problem, Sweeping,

and Exceptional Sets
I. Relativization of the Parabolic Context; The PWB Method

in this Context
Let D be a nonempty open subset of IRN , and let h be a strictly positive
parabolic function on D. A function vlh on D will be called h-parabolic,
h-superparabolic, or h-subparabolic if v is parabolic, superparabolic, or sub-
parabolic, respectively. The notation will be parallel to that in the classical
. '. . _ • ir ir·.4 ·ir 'ir
context, wIth h omItted when h = 1. Thus GM D, ~,;, 'Ii' H f , ... need no
furt~er identification. In the dual context in which h is coparabolic we write
• h ir·.4 .h • ir
GM 1), R,;, 'Ii, H f , ....
The PWB method for solving the first boundary value (Dirichlet) problem
for relative harmonic functions translates directly into the parabolic context.
As in the classical context, the boundary is that obtained by a metric com-
pactification of the given open subset D of IR N ; the boundary of D relative
to the one-point Alexandrov compactification of IR~ will be called the
Euclidean boundary. Upper and lower PWBir solutions iI; and 8;are defined
on Dcorresponding to a specified boundary function/. and if these solutions
are equal and parabolic, the function f is parabolic h-resolutive with PWBh
solution iI; 8;..
= The definitions of h-resolutive boundaries, h-regular
boundary points, h-parabolic measure boundary subsets, and so on are
translations of the corresponding definitions in the classical context. The
properties of h-harmonic measure null sets and of PWBh solutions derived
in Sections VIII.S to VIII. 7 go over into the parabolic context with trivial
changes in the derivations. The relations between PWBh solutions and
reductions (Section VIII.2) are preserved in the present context:
when A is a boundary subset.
EXAMPLE (a) (Euclidean boundary). If ~ED and if A = {~EiJD: ord~ ~

ord~}, then Ht/~) = O. In fact, if ~ = (e, s), if ~n = (e, s - lin), and if Un is
330 l.XVIII. The Parabolic Dirichlet Problem, Sweeping, and Exceptional Sets
the indicator func~ion of the set {~E D: ord ~ > s - 1In}, the fu~.tion Un is
p
in the upper PWBh clas~ on for the ~,?u~dary function 1... ; so en) = 0 Ht.<
when n is so large that ¢nED. Hence H~i¢) = O.
EXAMPLE (b). Let D be a Greenian subset of ~N coupled with a boundary aD

provided by a metric compactification of D, define D = D x ~, and define
aD as the boundary of D provided by the compactification (D u aD) x iR,
where iR is the two-point compactification of ~. A trivial adaptation of
Example (a) shows that the upper boundary (D u aD) x {+ oo} is an
h-parabolic measure zero subset of aD for every choice of strictly positive
parabolic function h on D. Alternatively this follows from the fact that the
function U: (¢,s)l-+e s is a positive h-superparabolic function on D for every
positive superparabolic function h on D and U has limit + 00 at the upper
boundary of D. The role of the lower boundary of D is more delicate. We
show that the lower boundary is parabolic measure null if D is on one side
of a hyperplane of ~N. It is sufficient to exhibit a sequence U. of positive
parabolic functions on D with limit 0 and with un(~) = 0 when ord ~ ~ - n,
and it is therefore sufficient to exhibit such a sequence when D is the half-
space on one side of a hyperplane of ~N; we can even assume that the
hyperplane is a coordinate hyperplane and that D is the set on which the
corresponding coordinate function is strictly positive. Finally we need only
consider the case N = I because a sequence U. in this case induces one in
the general case. The sequence U. on D = {(¢, s): ¢ > O} (N = I) defined by
(2In) t/2 1
00
-rx 2 .
j
I- ( 1/2 exp 2( /1 (drx) If s > -n
un(¢,S) = s+n) ~ s+n
I if s ~ -n
has the stated properties. (We have simplified the notation by taking (J = I.)
It is not difficult to show, although not necessary for present purposes, that
u n (¢, s) is the parabolic measure of {(O, t): t ~ -n}, the Euclidean boundary
subset relative to (¢, s).
EXAMPLE (c) (Euclidean boundary, h == I). Let D be an interval in [RN.

According to Example (a), the upper boundary of D is a parabolic measure
null set. We show that aD is parabolic resolutive by showing that every
finite-valued continuous boundary function I is parabolic resolutive with
Hf = PI(D,f). Deline 11. on aD as I except that 11 == infDI on the upper
boundary..Th~n Hf = Hfl because [= 11 up to a parabolic measure null
set. Since PI(D,f) is in the upper PWB class on D for 11, it follows that
PI(D,f) ~ iif I = iif and similarly PI(D,f) ~ Hf ; so PI(D,f) = Hf , as
asserted.
EXAMPLE (d) (Euclidean boundary, h == I). Let D be a slab ~N x ]0, <:5 [

with 0 < <:5 ~ + 00. According to Example (a), the finite part of the upper
1. Relativization of the Parabolic Context; The PWB Method in This Context 331
slab boundary is a parabolic measure null set. We show that the boundary
is parabolic resolutive with iIf = PI(D,fo) whenfis a finite-valued contin-
uous boundary function and fo(e) = f«e, 0». To prove these assertions,
observe fi~st that the function fo has limit f( 00) at 00 and (from Section
XVI.l) if' is either 00 or a point of the lower slab boundary the function
PI(D,fo) has limitf«() at (. When b = + 00, the function PI(D,fo) is in both
the lower and upper PWB classes on D for f and so can be identified with
iIf ; when b < + 00, the method used in Example (b) shows that iIt =
PI (D,fo).
EXAMPLE (e) (Euclidean boundary). (Cf. Section VIII.3.) Let u be h-super-

parabolic on D, and suppose that u has a finite or infinite limit at every
boundary point, thereby defining a boundary function f Suppose also that
u is lower bounded and that GM~u is upper bounded. Then f is parabolic
h-resolutive with #j = GMtu because uis in the upper and GMtu is in the
lower PWBh class on D for f Moreover if h == 1, if u has a superparabolic
extension to a neighborhood of iR N ( l 15, and if this extension has a finite
limit at every point of aD, then lim,.,....{iIf(~) = f«() whenever the boundary
point ( is not in some at most parabolic-semipolar set. In fact GM6U can
be obtained as the restriction to D of the limit of a decreasing sequence of
locally lower bounded superparabolic functions on a neighborhood of
iR N - 15, each equal to uoutside a compact subset of D, depending on the
function. [See the corresponding argument in Section XVIIA as applied to
analyze GM6G(-, ~), or see the general discussion of GM D in the classical
context in Section 111.1.] According to the parabolic Fundamental Conver-
gence Theorem, the limit function u' majorizes its smoothing, which is
parabolic on D, and the two functions are equal up to a parabolic-semipolar
set. At a nonexceptional boundary point' of D the function GM6U has
limitf«() = u'«()
+
on approach from within D because U' +
is lower semicon-
tinuous, f ~ U, and uhas this limit.
Application to the Parabolic Resolutivity of the Euclidean Boundary
The Euclidean boundary of an open subset of iR N is parabolic resolutive,

and the set of its finite parabolic irregular boundary points is parabolic-
semipolar. In fact this assertion follows from a trivial modification of the
proof for N > 2 of Theorem VIllA, the counterpart in the classical context
of this assertion. Observe that the set of finite parabolic irregular boundary
points is parabolic-semipolar rather than parabolic-polar.
Application to a Representation of Parabolic Green Functions (Euclidean

Boundary, h == 1)
If ~ is a point of D, the restriction to aD of G(-,~) (defined as 0 at 00) can

be taken as f in Example (e), and it follows that G6(-,~) = G(-,~) - iIf'
332 I.XVIII. The Parabolic Dirichlet Problem, Sweeping, and Exceptional Sets
More generally, if B is an open subset of D, if ~E B, and if/is the restriction

to oB of GD("~) (defined as 0 on oB noD), then Glk,~) is Gb("~) less the
PWB solution for B with the boundary function!
2. h-Parabolic Measure
Let D be a nonempty open subset of IR N 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 oD
with an h-parabolic-resolutive indicator function, we define Ji~(-' A) = lit,
call A a Ji~ measurable set, and call Ji~(e, A) the h-parabolic measure 01 A
relative toe. The set function Ji~(e,·) is a probability measure, and the
completion of the restriction of this measure to t~e class of Ji~ measurable
Borel sets is an extension of this measure. The h-parabolic measure null
sets defined above are the sets A for which Ji~(" A) vanishes identically. A
boundary function measurable with respect to the (J algebra of Ji~ measurable
sets will be called Ji~ measurable, and LP(Ji~) is defined as the class of Ji~
measurable functions from oD into ~, with two functions identified when
they are equal Ji~ almost everywhere (that is, up to an h-parabolic measure
e
null set) for which I/lp is Ji~(e,·) integrablefor every point of D. A function
I from oD into ~ is h-parabolic resolutive if and only if I is in L 1 (Ji~), and
if so, then liJ = Ji~(',f).
The work in Sections VIII.8 to VIII.lO 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 1 class for Ji~(e,·) depends on e; the class of Ji~ measurable sets and
the class L 1 (Ji~) were defined taking this fact into account. .
In the present context the notation ri of Section VIII. I I becomes i~.
Thus if v is an h-superparabolic functi~n on D and if B is an open relatively
compact subset of D, the function i~v is h-superparabolic on D and is
h-parabolic on B, and i~v :::; v, with equality on D- B up to a parabolic-
semipolar subset of oD (Euclidean boundary). In particular, if v ~ 0, then
.~ . hR'D- iJ
rBv = +Ii .
EXAMPLE (a). If D is an interval, we have seen in Section I that the Euclidean

boundary is parabolic resolutive, that the upper boundary is a parabolic
measure null set, and that JiJi(',f) = PI(D,f) so that parabolic measure is
given by the densities evaluated in Section XV.9. The inner points of the
upper boundary are parabolic irregular, but all other boundary points are
parabolic regular according to Section XV.9.
EXAMPLE (b). If D = ~N X ]0, b[ is a slab we have seen in Section I that

the Euclidean boundary is parabolic resolutive, that the abscissa hyperplane
3. Parabolic Barriers 333
part of the boundary has parabolic measure I, and that
[~= (e,s)]
for (/7,0) on the abscissa hyperplane. The points of the abscissa hyperplane
and the point 00 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 I for every choice
of h, and if (Riesz-Herglotz type representation, Theorem XVI.6), h =
PI (1), Nir), then
for (/7,0) on the abscissa hyperplane.
The Support of /J.iJ (Euclidean Boundary)
If ~E1>, define 1>~ = {~E1>: ord~ < ord~}. We have seen in Section I,
Example (a), that JiiJ(e,,) is supported by the part of 01> strictly below (
e,
Moreover, if A is a Borel subset of 01> strictly below then the function
/J.iJ~(·, A) .is the restricti?n to 1>~ of /J.iJ(·, A) because if Ii [u) is in the upper
[lower] PWB class on D for the boundary function I A on aD, the restrictions
of these functions to 1>~ are in the corresponding PWB classes on 1>~ for the
restriction of I A to 01>( This fact has the following useful implication, in
which the roles of 1>~ and 1> are reversed. Let now 1> be an open subset of
~N, and let ~ be a boundary point of 1>. Suppose that every point of 1> is
strictly below ~ and that the part of some open neighborhood iJ of strictly e
e
below lies in 1>. Then if A is a Borel subset of a1>, the function /J.iJ(·, A)
is defined and parabolic on b and has the parabolic extension /J.DuS(·, A) to
1> u E.
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' of an open subset 1> of ~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
at ( is a local property it is sufficient to show that there is a parabolic barrier

on the trace on D of an open neighborhood of (; so D can be supposed
bounded. Suppose then that D has diameter ~ < + OCJ and that U is a weak
parabolic barrier for D at (. For notational simplicity assume that ( is the
origin. Define ~: ~ = ('1, t) f-+CI'11 2 + t 2 on D, choosing c so large that ~ is
subparabolic. The function ~ is in the lower PWB class on D for the boundary
functionj: ~ = ('1, t) f-+CI'112 + t 2 on D. Hence iIf ~ ~, and it will be shown
that iIf is a parabolic barrier for D at the origin by showing that iIf has
limit 0 there. Let iJ be an interval containin~ the origin, of diameter r, let
A be a compact subset of D II aiJ, and let t/J be the indicator function of
(aiJ - A) II D on aiJ, so that JiJj(-,~) is parabolic on iJ with limit I at every
point of aiJ - A not on the upper boundary. Since the upper boundary of iJ
has parabolic measure 0, there is a positive superparabolic function 13 on iJ
with 13(0) < + OCJ and with limit + OCJ at every point of the upper boundary.
If Uo is in the lower PWB class on D for f, apply the maximum theorem for
subparabolic functions to find that Uo on iJ II D is at most (c + l)r 2 if aiJ
does not meet D and is at most
+ l)r 2 + (c + 1)~2 [. fU . + JiJj(-' ~)l + rt3 (3.1)

(c
In AU J
if aiJ does meet D. Thus in both cases iIf is majorized on iJ II i> by the
sum (3.1). This sum has limit
(c + l)r 2 + (c + 1)~2 JiJj(O,~) + rt3(O)

at the origin, and this limit is at most 2(c + l)r 2 + rt3(O) if A is sufficiently
large. Since r can be made arbitrarily small, the function iIf has limit 0 at
the origin, as was to be proved.
Theorems VIII.l3 and VIII.l4 on the relations between regularity and
barriers translate directly into the parabolic context.
4. Relations between the Classical Dirichlet Problem and the

Parabolic Context Dirichlet Problem
Let D be a Greenian subset of IR N coupled with a boundary aD by a metric
compactification of D. Define D = D x IR, and define aD as the boundary
provided by the compactification (D u aD) x iR, where iR is the two-point
compactification of IR. Let h be a strictly positive harmonic function on D,
and define the parabolic function it on D by setting it(~,s) = h(n We now
consider the Dirichlet problem for h-harmonic functions on D and for it-
parabolic functions on D. Recall [Section I, Example (b)] that the upper
boundary (D u aD) x {+ OCJ} of D is an it-parabolic measure null set. We
suppose that the lower boundary of D is also it-parabolic measure null. This
5. Classical Reductions in the Parabolic Context 335
is true if D is not too large, for example [Section 1, Example (b)], if Dis
=
on one side ofa hyperplane in IR N and h 1. Letfbe an extended real-valued
function on aD, and define j on aD by settingJ<~, s) = f(~), except that no
restriction is imposed on j on the upper and lower boundaries of D. This
looseness is convenient, and the actual definition of jon the upper and lower
boundaries does not affect the PWBh solutions for j If u is an h-superhar-
monic function in the upper PWBh class on D for f, the function u: (~, s) t-+
u(~) is in the upper PWB h class on i!.- for j if j is defined as - 00 on the upper
and lower boundaries of D.l:len~eiIJ(~, s) ~ fj;(~), and sim,ilarlY!:fJ(~, s) ~
lJ;(~). We conclude that f is h-parabolic resolutive on D whenever f is
h-harmonic resolutive on D, and then iI'j(~,s) ~ H;(O. In pa~ticular, if A
is a J.l~ measurable subset of aD, the product set A = A x IR is Iii measurable
and Ii~«~, s),A) = J.l~(~, A). Conversely, ifj is Borel measurable and PWBh
resolutive and if aD is h-resolutive, thenfis Borel measurable, and we show
it is PWBh resolutive. In fact there is nothing to prove if j is bounded, and
in the general case
J.l~(-, If I) = lim J.l~(., Ifl/\ n) = lim Ii~(·, Ijl/\ n) = Ii~(·, If I) < + 00.
n-oo n-+<X)
Suppose in this paragraph that aD is PWBh resolutive and that aD is

=
PWBh resolutive. This hypothesis is satisfied if h I and aD is the Euclidean
boundary. (Note that aDis not then the Euclidean boundary, but the PWB
resolutivity of aD follows from that of the Euclidean boundary of D and
the fact that the upper and lower boundaries of iJ are parabolic measure
null.) If (~, s) is a finite h-regular point of aD, the point ~ is an h-regular
point of aD. In fact a bounded h-resolutive function f on aD, continuous
=
at ~, defines a bounded functionjon aD as above (settingj 0 on the upper
and lower boundaries). The functionjis h-resolutive, bounded, and contin-
uous at (~,s), so iIJ has limitf(~) at (~,s); that is, H;
has limitf(~) at~.
=
If h I and if ~ is a finite regular point of aD, then each finite point (~,s)
of aD is regular because a weak barrier for D at ~ when considered as a
function on D is a weak barrier for D at (~,s).
5. Classical Reductions in the Parabolic Context
Let D be a Greenian subset of IR N , coupled with a boundary provided by a

metric compactification, define D x IR, and compactify D as in Section 4 to
obtain aD. Suppose that the lower boundary of D is parabolic measure null;
we have seen in Section I that this condition is satisfied if D is on one side
of a hyperplane of IR N . Let v be a positive superharmonic function on D,
and define the superharmonic function Ii on D by setting v(~, s) = v(~). Let
A be a subset of D, and define A = A x R We now show that if A is analytic,
then
(5.1)
(5.1sm)
If A is a compact subset of D, then (from Section VIILlO) R: on D - A

is the PWB solution for the set D - A with boundary function equal to 0
on oD II o(D - A) and equal to v on A II o(D - A). Similarly i<t on D - A
is the PWB solution for the set D - A with boundary function equal to 0
on oD II o(D - A) and equal to v on A II o(D - A). In view of the relation
(Section 4) between the Dirichlet problems for harmonic and for parabolic
functions it follows that (5.1) is true for ~ in D - A ; this equation is trivial
for ~ in A. If A is an analytic subset of D, then A is an analytic subset of D;
so [from Section XVII.16(p)] th~ value i<t(~,s) can be approximated arbi-
trarily closely from below by i<% (~, s) with F a compact subset of A; if F
is the projection of F on the abscissa hyperplane, the approximation is
improved if F is replaced by F x IR. Since F is a compact subset of D and
since [from Section VI.3(l)] R:(~) can be approximated arbitrarily closely
by R~(~) with B a compact subset of A, it follows that (5.1) is true. Equations
(5.1) and (5.1sm) are identical when ~ED - A and the left [right] sides of
these equations are equal up to a parabolic-semipolar subset of D [parabolic-
polar subset of DJ. Since a classical-polar subset of D is the projection of a
parabolic-polar subset of D (because a positive superharmonic function on
D identically + 00 on a set B can be identified with a positive superparabolic
function on D identically + 00 on B x IR), equation (5.1sm) is true up to a
parabolic-semipolar subset of D and therefore is true on D.
Observation. There are three possible approaches to the properties of

reductions in the classical context.
(I) These properties can be proved using the specific classical context.
Such proofs were used in the preceding chapters. Unfortunately some of the
most natural proofs cannot be applied in the parabolic context because of
the weaker version of the Fundamental Convergence Theorem in the para-
bolic context and (a related fact) because the domination principle is false
in the parabolic context.
(2) The reduction properties in the parabolic context can be proved,
and then either it can be noted that these proofs are valid in the classical
context or
(3) It can be noted that in view of (5.1) and (5.1sm) the properties of
reductions in the classical context can usually be read off from those in the
parabolic context, or at least be deduced from them.
The choice (1) adopted in this book is inefficient and repetitious but was
made because the proofs in the classical context are thereby clearer and more
natural than the more generally usable proofs in choices (2) and (3).
6. Parabolic Regularity of Boundary Points 337
6. Parabolic Regularity of Boundary Points

In the following examples D is a nonempty open subset of iR N provided with
its Euclidean boundary. In this section barrier means "parabolic context
barrier." Since the existence of a weak barrier for D at a boundary point
~o is a property of D in a neighborhood of ~o, one can prove that a barrier
for D at ~o exists and thereby prove that ~o is parabolic regular by exhibiting
a weak barrier for the part of D in some neighborhood of ~o.
EXAMPLE (a). If every point of D in some neighborhood of the finite bound-

ary point ~o is either above the horizontal hyperplane through ~o or on one
side of some other hyperplane through ~o, then ~o is a parabolic-regular
boundary point. In fact, to construct a local weak barrier for D at ~, define
ci> by
~ = (~,s)f-+ci>(~,s) = as + ¢(~),
where ci> = 0 is the equation of a hyperplane through ~o. If the hyperplane

is not parallel to the ordinate axis, it can be supposed that a = l. Under this
hypothesis the half-space strictly above the hyperplane is the set {ci> > O},
and the restriction of ci> to the part of D in an open neighborhood of ~o is a
local weak barrier at ~o if every point of D in that neighborhood is above
the hyperplane. If every point of D in some neighborhood of ~o is below the
hyperplane and if IX is a strictly positive number, the function u= 1 - exp 1Xci>
is strictly positive strictly below the hyperplane and for sufficiently large IX
is superparabolic there; so the restriction of uto the part of D in some open
neighborhood of ~o is a local barrier at ~o. Finally, if the hyperplane is
parallel to the ordinate axis, then a = O. If the part of D in some open
neighborhood of ~o is on one side of this hyperplane, then the restriction
of either ¢ or - ci> to this part of 1> is a local barrier at ~o.
Observe that if the complement of 1> includes the part in a neighborhood
of ~o of some not horizontal hyperplane through ~o, then if Dcontains points
arbitrarily near ~o on both sides of this hyperplane there is a local weak
barrier for the part of 1> on each side of the hyperplane and therefore a local
barrier for 1> itself at ~o. Such combinations will not be mentioned further.
Example (a) implies that the lower and lateral boundary points of an
interval are parabolic regular. Conversely, our discussion of the parabolic
Poisson integral for an interval can be used to derive the conclusions of
Example (a) involving hyperplanes parallel or perpendicular to the ordinate
aXIS.
EXAMPLE (b). If ~o: (~o, so) is a boundary point of D with the property that
the boundary in some neighborhood of ~o consists of points with ordinate
values ~ So and if D contains points arbitrarily near ~o with ordinate values
<so, then ~o is a parabolic-irregular boundary point of D. In fact (Section 1)
338 I. XVIII. The Parabolic Dirichlet Problem, Sweeping, and Exceptional Sets
some boundary neighborhood of ~o has parabolic measure relative to

points of iJ near but below ~o; therefore the boundary function values
°
assigned near ~o are irrelevant to the Dirichlet solution at points of iJ near
but below ~o. For example, if N = I and if iJ is the interior of the simple
polygon with vertices ( - 1,0), (l, 0), (l, I), (0, t), and ( - I, I), the boundary
point (0, t) is parabolic irregular. Observe that for this choice of iJ there is
no increasing sequence of open sets with parabolic-regular boundaries and
with union D, but this lack of parabolic-regular approximation is only a
minor inconvenience. Theorem VIII. I? on the approximation of harmonic
measure by harmonic measures of boundaries of subsets translates directly
into the parabolic context.
EXAMPLE (c). [This example strengthens (a) except when the boundary
hyperplane in (a) is horizontal.] Suppose that ~o: (~o,so) is a boundary
point of D, and suppose that th~e is a ball of center ( (~, s) with ~ #- ~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 b be the ball radius,
and define uon D by
.(.) ~-P -,.,-

u,.,=u ,. ..il-P, (6.1)
where p is a strictly positive number to be chosen below. Then u > 0, u has

°
Iim~t at ~o, uhas a strictly positive lower bound outside each neighborhood
of ~o, and if ~ = (,." t),
Au(~) = pl~ _ ~1_P_4{N;21~ _ ~12

(6.2)
_(1; (p + 2)1,., _ ~12 -I~ _ ~12(t - S)}.
Then Au < °sufficiently near ~o ifp is large so there is a local barrier at ~o.
EXAMPLE (d) (Iterated logarithm criterion for parabolic regularity). [This
example strengthens (a) when the boundary hyperplane in (a) is horizontal.]
Let D be the set below the abscissa hyperplane defined by the inequalities
-I < s < 0. (6.3)
We show that the origin is a parabolic-regular boundary point of D by

showing that the function vdefined by D by
v(~,s) = Iloglsll-1[1 _lsl(N+2)/2U(~,S)],

(6.4)
u(~,s) = 2 -21~12,
Isl- N / exp
S (1
6. Parabolic Regularity of Boundary Points 339
is a barrier for b at the origin. The inequality (6.3) can be written in the form
which makes it clear that v > 0 on b and that v has limit 0 at the origin.
u
Furthermore, using the fact that is parabolic, we find that
so v is a barrier.
Application. This example shows that the top point of a ball in iR N is
parabolic regular. The other boundary points of a ball are parabolic regular
according to Example (a).
EXAMPLE (e). (Iterated logarithm criterion for parabolic regularity, con-

tinued). Let b c be the set defined by the inequalities
0> s > s', (6.6)
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 = I,
that the origin is a parabolic-irregular boundary point of b c when c > I.
Define the function v on iRN x ]s', O[ by
where 0 < k > O. Then
I
v(~, s) > log IslI-I-' - (log! log Isil )-1 > 0
if s' is sufficiently near O. Furthermore
..
Av(~,s) = - s
I I-Illog Is11- 1 -, eXP -kl~12- {Nk
--2 -\ I + I> I
2(1 21 s 1 log lsi
(6.8)
+
(k_k
2
*1 2
+
Iloglsll' _kl~12}
exp.
2(12 lsi (log Ilog lsi 1)2 2(12 lsi
Choose s' so near 0 that (I + 1»llog!s'II-1 < Nk/2. The function v is then
superparabolic if
(k - k2)1~12 Iloglsll' _kl~12

Nk
< 20' 2/ s I + (log Ilog lsi I)2 exp 20' 21 s I
(6.9)
This inequality will be satisfied if
(6.10)
On the other hand, if (6.10) is not satisfied at (~,s), the second term on the
right in (6.9) is at least
Iloglsll' -Nk
exp--,
(log Ilog lsi/ )2 I - k
which is at least Nk on Dc if s/ is sufficiently near 0, depending on e and k.

Thus for any choice of e and k the function Ii is superparabolic and positive
on Dc when s/ is sufficiently small. Now choose c = (l + e)/k, and define
the continuous function I on oDc as I at the origin and as Ii at the other
boundary points. The PWB solution HJ on Dc for I is the same as the PWB
solution for a boundary function differing from I only at a single point;
therefore HJ = HJ1 whenl = 11. .
except at the origin, where 11 is defined• as 0.
Since Ii is in the upper PWB class on Dc for 11' we conclude that HJ S Ii
and therefore
lim H/O, s) slim 1i(0, s) = 0.

s-o s-o
Since I is continuous with value 1 at the origin, the origin is a parabolic-
irregular boundary point for Dc. Moreover c can be made arbitrarily near I
°
by choosing e near and k near I. It follows that for any choice of c > I and
any choice of s/ the origin is a parabolic-irregular boundary point of Dc.
Parabolic Balls
A parabolic ball in rRN of radius J and center (~o, so) is defined as the set
(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 (~o, So - J). 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 Dc of that example is, for an arbitrary value of
c > 1 and an arbitrary [) > 0, included in the parabolic ball of center the
origin and radius [) when s' is sufficiently near O.
7. Parabolic Regularity in Terms of the Fine Topology

Theorem. A finite Euclidean boundary point , of an open subset D of iRN is
parabolic regular if and only if' E (iRN - Dy!.
This theorem is the parabolic context version of Theorem X1.1 2, 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. "
EXAMPLE. If D is a parabolic ball (Section 6), the center is a parabolic-

irregular boundary point; so D is a deleted parabolic-fine neighborhood of
the center. Similarly the other examples of parabolic-regular and parabolic-
irregular boundary points in Section 6 have simple interpretations in the
parabolic-fine topology.
8. Sweeping in the Parabolic Context

The sweeping operation defined in the classical context in Section X.l
becomes a pair of linked operations in the present context. If D is a non-
empty open subset of iRN , A c D, and if G6iJ. [iJ.G6] is a superparabolic
[cosuperparabolic] potential, the smoothed reduction ~G6iJ.~A [~iJ.G6~A]
is also a potential, namely that of a "swept measure" ~Ji~A [~Ji~A], .
(8.1)
The swept measures are supported by AnD, and it will be shown in Section
13 that if A is a Borel set, then ~Ji~A [~Ji~A] is supported by the in ~enera!
smaller parabolic-fine [coparabolic-fine] closure of A in D. Since ~G6Ji~A
is unaffected when A is changed by a parabolic-polar set, ~Ji~A is also un-
affected by such a change in A. Dually ~Ji~A is unaffected when A is changed
by a coparabolic-polar set. It will be shown in Section 11 that a set is parabolic
polar if and only if it is coparabolic polar.
The notation of Section X.l is adapted to the present context by writing
~~(¢,.) ~or the probability measure on D supported by {¢} and by defining
[)1 and [)1 by
D D
(8.2)
These swept measures are determined uniquely by
~nd the reasoning in the classical case (Section X.I) shows that Jg : :; I and
b~ :::;; I.
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 B is an open subset of D and if ~
is in B, then
(8.4)
on the Borel subsets of DnoB. 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 Gg(~, ~). It is then shown that
J~ and J~ are kernels and that if Ii [v] is a positive superparabolic [cosuper-
parabolic] function,
(8.7)
In particular, if Ii is a measure on D,
(8.8)
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 ~1i~A and ~1i~A are defined by (8.9) for measures Ii 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 Gli of Go and the Parabolic Average Jio(~,G;("~» when iJ c B 343
first for a measure v and a parabolic potential Gt>Ji and then by a limit
procedure for v and an arbitrary positive superparabolic function u with
associated Riesz measure Ji. The formulation of the dual of (8.10) is left to
the reader.
Subadditivity of Af-+ bJ
This subadditivity, and the dual subadditivity, are shown by a slight refine-
ment of the proof in the classical context (SectionX.6).
9. The Extension G; of GtJ and the Parabolic Average

,utJ(~, GJj=(.,~)) when 1> c B
Boundaries in this section are Euclidean. Let D be a nonempty open subset

of ~N, and let ~ be a point of D. We extend Gt>("~) to ~N to obtain a function
Gb with the following properties:
(a) Gb("~) is a positive su.!?parabolic function on ~N - {~}.
(b) Gb("~) = 0 on ~N - D, and G~("~) = 0 at a finite point of aD if
the point is parabolic regular.
Observe that such an extension must be unique because two such extensions
would be parabolic-fine continuous and equal up to a parabolic-fine nowhere
dense set and therefore would be identical. To define Gb("~)' recall (from
Section XVIIA) that the function GMt> G("~) is the restriction to D of the
limit u(',~) of a decreasing sequence n f-+ tB ... tB G(.,~) of superparabolic
functions on ~N; each set Bk is an interval with ~losure in D. Then u(', 1'1)
= G("~) on ~N - D, u(',~)
+
= u(',~) up to a parabolic-semipolar set, u(',~)
+
is superparabolic on ~N, and we define G;("~) on ~N as G("~) - u(·,~). +
According to the parabolic context Fundamental Convergence Theorem,
the function Gv("~) has the stated properties (a) and (b) except possibly the
vanishing at the set of parabolic-regular boundary points of D. If , is a
parabolic-regular boundary point of D, the function Gv("~) has limit 0 at (
on approach along D in view of the evaluation of a Green function in terms
of a Dirichlet solution. The function Gt(·,~) has limit 0 at (on approach
along ~N - D if a parabolic-semipolar set is excluded. Thus the parabolic-
fine continuous function Gt (.,~) has limit 0 at ( on approach along a
parabolic-fine dense set, so Gt «(,~) = O. Dually, for ~ in D there
is an extension Gt (~,.) of Gv(~, '), positive and cosubparabolic on
~N _ {~}, vanishing on ~N - fj and vanishing at a finite boundary
point of D if the point is coparabolic regular. Thus we have extended
Gv to (D X ~N) U (~N x D).
344 IXVIII. The Parabolic Dirichlet Problem, Sweeping, and Exceptional Sets
We can now state the parabolic context version of Theorem VIII.l8.

Observe that there is no exceptional value of N in this context because GiJ is
positive for all values of N.
Theorem_ Let D and E be nonempty open subsets of iR N with DeE.

(a) For ~EE [eEE] the function G;(-'~)liJiJ [G;(e'-)liJiJ], defined as 0
on aE 11 aD, is a [co] parabolic-resolutive boundary function.
(b) The function GiS has the representations
G6(e,~) = GB(e,~) - JiiJ(e,G;;(-,~)) [(e,~)ED x E], (9.1)
G6(e,~) = GB(e,~) - AiJ(~,G;;(e,-)) [(e,~)EE x D]. (9.1 *)
(c) Ifv = GBv is a superparabolic potential on E and ijvi is the projection

of von the set ofparabolic-irregular boundary points of D in E, then
(9.2)
If D is relatively compact in E, then (9.2) is true whenever v is a

superparabolic function on E and vis its associated Riesz measure.
We leave to the reader the dual statement of (c), for cosuperparabolic

functions.
e
Observation (l). If and ~ are points of D, Theorem 9(b) yields the
important symmetry relation
(9.3)
in which we can take E = iR N if desired.

Observation (2). If the write JiiJ(e'-)IB and AiJ(~'-)IB for the respective
restrictions of the indicated measures to the class of Borel subsets of E,
then
JiiJ(e,G;(-,~)) = [JiiJ(e'-)IBGB](~) < +00 [(~,~)ED x E], (9.4)
AiJ(~, G; (~, -)) = [GBAiJ(~, -)IB] (~) < + 00 [(~,~)EE x D]; (9.4*)
so the respective cosuperparabolic and superparabolic potentials on the

right are finite valued. According to Theorem 9(b), the measure on iR - {~}
[iR - {~}] associated with the cosuperparabolic [superparabolic] function
-G;(~,-) [-GiS(-,~)] on this set is the restric~ion of.the.Borel measure
JiiJ(e, -) [AiJ('1, -)] to the class of Borel subsets of ~N _ g} [~N - {~}].
Proof of (a). Since Euclidean boundaries are parabolic resolutive, the para-
bolic resolutivity of the boundary function};" defined as G; (-,~) on Ell aD
10. Conditions that ~ E Apf 345
and as 0 elsewhere on aD, reduces to the fib integrability of this boundary

function. If ~ E 8 - aD, the function/;, is bounded and so is fib integrable. If
~ E 8 n aD, then Gli(', Ij)jb is in the upper PWB class on D for /;,; so again
«see Section VIII.IO) for the justification in the classical context) /;, is fib
integrable. The coparabolic resolutivity of the other boundary function in
(a) is derived by a dual argument. 0
Proof of (b). Let ~ be in D. If Ij is also in D, equation (9.1) reduces to tile

evaluation of GiJ in terms of Gli already derived in Section 1. If ~ E 8 - D,
the left side of (9.1) vanishes, and /;, is a bounded fUIlction on aD with PWB
solution Gli(·,Ij)lb. Hence (9.1) is true for Ij in B - b and therefore for Ij in
8 - abo Next suppose that ~ is a coparabolic-regular boundary point of D
in 8, so that (9.1) reduces to
(9.5)
or equivalently (see Section VIII. 10 for the expression of a Dirichlet solution

in terms of a smoothed reduction in the classical context; no change is needed
in the present context) in terms of reductions relative to B,
(9.6)
Furthermore GJ-iJ(~,.) = Gli(~,') on E - D up to a coparabolic-semipolar

set. Since GJ-iJ(~,.) is coparabolic-fine continuous and since a coparabolic-
semipolar set is coparabolic-fine nowhere dense, we conclude that (9.6) is
true if Ij is a coparabolic-fine limit point of E - D, as ~ is because ~ is co-
parabolic regular. We have now proved that for fixed ~ equation (9.1) is true
except possibly when Ij is in the coparabolic-fine nowhere dense set of
coparabolic-irregular boundary points of D in E. Since both sides of this
equation define coparabolic-fine continuous functions of ~, equation (9.1)
is true for alllj. Equation (9.1 *) can be proved by the dual argument or can
be reduced to (9.1) by a reflection of iR N in the abscissa hyperplane. 0
Proof of (c). See the proof of Theorem VIII.18(c). 0
The application of Theorem VIII.18 to the vanishing of h-potentials at

the boundaries of their domains, as detailed in Section VIII.l8, goes over
into the present context with no change.
10. Conditions that eEAp!

The following is the parabolic context counterpart of Theorem XU. Let D
be a nonempty open subset of iR N , let ~ be a point of D, and let vbe a positive
superparabolic function on D. All reductions will be relative to D. We shall
write limli.j,~ to mean the limit as E, a neighborhood of~, shrinks to (
Theorem. If e API, then

E
(a) HAVB(e) = v(e) for every neighborhood iJ of e,

(b) J~(e, {en = I,
(c) Gt(e,·) = G6(e, .).
e
If ¢ API, then
(a') limB,j.~ ~V~At>B = 0 on b - {e}, and the limit is 0 at eifv(~) < + 00,
(b') J~(e, {~n = 0,

(c') Gt(e,·) ¥ G6(e,·) on the set {G6(e,·) > O}.
Theorem lO(a) is already known (Section XVII.16(b» and implies the

truth of Theorem lO(b) and (c). In proving assertions (a') and (c') we can
[Section XVII.9(b)] enlarge A to be open but still parabolic-thin at so it e;
is sufficient to prove these assertions for A open. Under this condition on
A the proof of Theorem XI.3(a')-(c'), the classical counterpart of Theorem
lO(a')-(c'), gives the latter when translated into the parabolic context. Thus
there remains only the proof of Theorem lO(b') without the hypothesis that
A is open. If we take v == I and apply Theorem lO(a'), we find
0= IjIl1: ~ I ~At>B(e) = IjIl1: Jit>B(e,.b) ~ IjIl1: bit>B(e, {e}). (10.1)
B.~ B.~ B.~
Now in the classical context we have proved [Section X.6(a)] that the set
function b6 is subadditive on the class of subsets of D, and this led to a proof
that b~t>B(e, {en increases when the neighborhood B of e decreases. This
reasoning will now be refined to the parabolic context. In the first place
recall that [Section XVII.l6(j)] if A and iJ are open subsets of b and if Vi
is a finite-valued continuous superparabolic function on b, then
In view of approximation of smoothed reductions on sets by reductions on

open supersets (10.3) must be valid for arbitrary subsets A and iJ of b,
equivalently,
Finally the counterpart of the classical context reasoning in Section

X.6(a) shows that this inequality implies the subadditivity inequality
J~vB :$ J~ + J~. If the pair A, iJ is replaced here by the pair An iJ,
II. Parabolic- and Coparabolic-Polar Sets 347
A - B and if B is a neighborhood of e, we find that
-)
where we ha.ve u~ed the f~ct ~h~t t.he measure ~i-B(e, is supported by the
e,
~l~s~re. of A-B. Thus ot,",B( {en in (10.1) increases as B decreases; so
0t(e, {en = 0, and the proof of Theorem lO(b') is now complete.
11. Parabolic- and CoparaboIic-PoIar Sets

Theorem_ The following six conditions on a subset A of a nonempty open
subset b of ~N are equivalent:
(a) A is parabolic polar. (a*) A is coparabolic polar.
(b) ~~ vanishes identically. (b*) b~ vanishes identically.
(c) [(c*)] (If A is Borel) the only measure v on b supported by A and
with G[)v [vG6] bounded is the null measure.
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 ~ is a point of IR N , the superparabolic
potential G(-,~) is the finite-valued potential on IR N of a nonnull measure
supported by the polar singleton {~}. Hence "bounded" in (c) and (c*)
cannot be replaced by "finite-valued."
Proof (a)<:>(a*) If A is parabolic polar, then (from Section XVII.8)

Gt(-,~) == 0 for every point ~ in b; so Gj(e,-) == 0 for every point ein b,
and therefore A is coparabolic polar. The dual argument yields the reverse
implication. .
(a), (a*) <:>(b), (b*) The evaluation (8.3) of ~tG6 and JtG6 shows that
(b) and (b*) are equivalent to each other and to the pair (a), (a*).
(a), (a*) <:> (c), (c*) If A is a parabolic-polar and so also a coparabolic-
polar Borel set, if v is a measure on b supported by A, if G6V is a bounded
potential, and if iG6 is the cosuperparabolic potential of a finite measure
and is identically + 00 on A, then
+ 00 > L L
G6 vdi = iG6dv = +00
unless v= O. Hence (a) => (c). On the other hand, if A is not parabolic polar,
the superparabolic function ~ qA does not vanish identically; so [from
Section XVII.16(p)] the set A has a compact subset B for which the function
~ I ~B does not vanish identically. This function is a bounded superparabolic

potential with associated Riesz measure supported by D. Since (c) implies
that this potential vanishes identically, (c) = (a). Thus (a) <::> (c); so dually
(a*) <::>(c*), and since (a) <::>(a*), the proof of Theorem 11 is complete. 0
Application to the Projection of a Parabolic-Polar Set
According to Section XVII.8, Example (a), if A is a classical-polar subset

of IR N, then A x IR is a parabolic-polar subset of [RN. Conversely, we now
prove that if A = A x IR is a parabolic-polar subset of [RN, then A is a
classical-polar subset of IR N • It is sufficient to prove this assertion for A
bounded and A a G6 set, in which case A is also a G6 set. Hence (from the
application in Section VI.2) if A is not polar and if D is a Greenian superset
of A, there is a measure Jl on D supported by A and making GDJl strictly
positive bounded and continuous. However (from Section XVII.18), GDJl
considered as a function on b = D x IR is a bounded superparabolic poten-
tial, GDJl = GiJil with il = (Jl x 11)/aN supported by A. Hence A is not
parabolic polar, contrary to hypothesis.
12. Parabolic- and Coparabolic-Semipolar Sets

Theorem. The following four conditions on a subset A of a nonempty open
subset b of[RN are equivalent:
(a) A is parabolic semipolar. (a*) A is coparabolic semipolar.
(b) [(b*)] (If A is Borel) the only measure v on b supported by A and
with GDv[vGiJ] finite valued and continuous is the null measure.
Observation (a). In connection with (b) and (b*) recall (from Section
XVII. IS) 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+l null
because if A is a bounded Borel IN+l nonnull subset of [RN and if v is the
projection of IN+l on A, then (by Theorem XVII.6) the potential GiJV is
bounded and continuous.
Proof (a) =(b*) Let vbea measure on bsupported byacompact parabolic-

semipolar subset A of b, and suppose that vGD is finite valued and contin-
12. Parabolic- and Coparabolic-Semipolar Sets 349
uous. Recall that a set is exceptional for the parabolic context Fundamental
Convergence Theorem in the sense of the converse statement of Theorem
XVII.13 if and only if the set is parabolic semipolar. Now the proof of the
classical Fundamental Convergence Theorem (Theorem VI.l) when trans-
lated into the present context shows that a measure vsupported 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) vGD is
finite valued and continuous. Hence v is null in the present context. More
generally suppose that v is a measure supported by a Borel parabolic-
semipolar subset A of D, with vGD finite valued and continuous, and let Ao
be a compact subset of A. If Vo is the projection of von Ao , then voGD and
(v - vo)GD are finite valued and lower semicontinuous with a continuous
sum; so voGD is finite valued and continuous, and we have just proved that
therefore Vo is null. Since this is true for all Ao , we conclude that v is null, as
was to be proved.
(b*) ==> (a*) It is sufficient to prove that a Borel subset A of D is co-
parabolic semipolar if every finite-valued continuous potential vGD of a
measure v supported by A vanishes identically. Actually we shall only use
this implication when vGD is bounded and continuous. Let I; U = I; flG D be
a bounded continuous cosuperparabolic potential satisfying the dual prop-
erty of that satis~ed by Ul; in Section XVII.I6(r). The cosuperparabolic
potential ~ I;U~A = ~ I;fl~AGD is lower semicontinuous, ~ I;U, and continuous
at every point where there is equality, in particular, at every point of Ap'f 11 D.
If fll is the projection of ~I; fl~A on a compact subset AI of Ap'f Il ..{ the
potentials fll GD and (~I; fl~A - fll)G D are lower semicontinuous with con-
tinuous sum at each point of AI' and so both are continuous at such a
point. Since fll GDis coparabolic and therefore continuous on D- AI' it
follows that fll GD is bounded and continuous on D; so (b*) implies that
fll = O. Thus ~I; fl~A vanishes on compact subsets of Ap'f 11 A and therefore
vanishes on this set; that is,
Thus the positive superparabolic function b~(" Ap'f 11 A) vanishes I;fl almost
everywhere on D, certainly on a dense subset of D, and therefore vanishes
identically on D. It follows (by Theorem 11) that the set Ap'f 11 A is parabolic
polar and so coparabolic polar, and therefore the union A of the coparabolic-
polar set Ap'f 11 A and the coparabolic-semipolar set A - Ap'f is coparabolic
semipolar, as was to be proved.
(a*) ==> (b) ==> (a) These implications are dual to the already proved
implications (a) ==> (b*) ==> (a*) and are therefore true. The set of these
implications implies the truth of Theorem 12. 0
13. The Support of a Swept Measure

Let D = ~N, and let A be the abscissa hyperplane. Then Apf = Ap'f = 0,
and the measures e5i(e,·) and Ji(e,') are supported by A. The situation in
the classical context (Section XI.l4 and XI.l8) is quite different in that the
sweeping operation is self-dual and that bg(e,,) is supported by Apf. Further-
more, although Apf and Ap'f are Borel sets, the sets Au Apf and Au AP*f,
which are involved in Theorem 13 below and its dual, are not necessarily
Borel sets. For example, if A is an arbitrary subset of the abscissa hyperplane
of~N, then A u Apf = Au AP'f = A. Forthis reason in the following counter-
part of Theorem XI.l4 the set A is supposed Borel. Recall that if u= GDit,
the measure associated with e5i(',u) = ~U~A is not ~it~A but ~it~A.
Theorem. Let D be a nonempty open subset of ~N, let A be a Borel subset

e
of D, and let be a point of D.
(a) If~EApI,thene5i(e,{e})= I.
(b) If it is a measure on D, then the measure ~it~A [in particular, the
measure e5t(e, .)] is supported by (A u ApI) 11 D.
(c) If A is parabolic-fine dense in itself and if it is supported by A, then
it = ~it~A.
Proof (a) If eEApf, then e5t(e, {e}) = I according to Theorem lO(b).

(b) Suppose that v and v' are positive superparabolic functions on D
and that v' ::; v, with equality on A. Then
(13.1)
so for every point e in D the measure e5t(e,') is supported by the set {v = v'}.
Now let V. be a decreasing sequence of positive superparabolic functions
on D chosen (Choquet topological lemma) so that lim n_ oo vn = Voo has
smoothing ~V~A. After replacing vn by vn /\ v if necessary! ~e can suppose
that vn ::; vwith equality on A. It follows that the measure b~(e,·) is supported
by {v n = v} for all n aJ?d therefore is supported by the intersection {v oo = v}
of these sets. Thus e5~ is supported by the set Au [{ Voo = v} 11 (D - An
Suppose that C is a compact subset of D - A. According to Section
XVII.l6(1), the sequence V. can be chosen in such a way that Voo = ~V~A on
C. Hence, if e is fixed, the projection on D - A of the measure e5i(e,') is
supported by the set {~V~A = v} 11 (D - A). Finally, if v is chosen as the
function U" defined in Section XVII.16(r), it follows that e52(e,') is supported
by (A u Apf) 11 D. The evaluation of ~it~A in (8.9) shows that this swept
measure is also supported by (A u Apf) 11 D.
(c) Follows trivially from Theorem 13(b). 0
14. Internal Limit Theorem; Smoothness of Superparabolic Functions 351
14. An Internal Limit Theorem; The Coparabolic-Fine

Topology Smoothness of Superparabolic Functions
According to Sections 11 and 12 a subset of iR N is, respectively, coparabolic
polar or coparabolic semipolar if and only if it is parabolic polar or parabolic
semipolar; we shall write "parabolic" in both cases from now on. This
self-duality is less deep than the relations between parabolic and coparabolic
concepts displayed in the following parabolic context counterpart of
Theorem XI.4. If D is an open subset of iRN and if vand h are positive super-
parabolic functions on D, the function u = v/h is defined in the obvious way
when the ratio is neither % nor + 00 / + 00. The function uis thereby defined
parabolic quasi everywhere on the strict positivity set of h and is also defined
on the vstrict positivity subset of the h zero set. We shall see that it is import-
ant to allow h to vani~h. Let Vv and Vi. be respectively the Riesz measures
associated with v and h. The singular component of Vv relative to Vi. will be
denoted by vZ; in particular, vZ = Vv if his parabolic. If 4> is a function defined
on a subset of D and if (E D, define 4>*«() = p*flim~ ....<4>(~) if this limit
exists.
The Zero Set of h

If ( is in the zero set Z of h, then every point of D below ( relative to D is
also in Z, and in particular, if 1t is the horizontal hyperplane containing (,
the set Z contains the open in 1t connected component of 1t n D containing
(. It follows that the trace in D of the Euclidean boundary of Z consists of
countably many such components and that if ( is a point of such a boundary
component, h > 0 ~n the part strictly above ( ofa sufficiently small Euclidean
neighborhood of (.
Theorem. (a) The function u* is defined

(al) Vv + Vi. almost everywhere on band
(a2) Parabolic quasi everywhere on the strict positivity set ofv + h.
(b) u* < + 00 Vi. almost everywhere on D and also parabolic quasi every-
where on the strict positivity set of h.
(c) Let Vvi and Vi.i be the respective projections of Vv and Vi. on the zero
set Z of h. Then at Vi. almost every point of Z,
.* dv dVvi
u = -v = - . (14.1)
dvi. dVi.i:
(d) Let F be a parabolic-polar subset of D. Then

(dl) (14.1) is true Vi. almost everywhere on F.
(d2) h* = + 00 Vi. almost everywhere on F.
(d3) u* = + 00 v~ almost everywhere on F.
352 IXVIII. The Parabolic Dirichlet Problem, Sweeping, and Exceptional Sets
(e) The function Ii* is coparabolic-fine continuous, and the set where
Ii* ¥= Ii is parabolic semipolar.
(f) In particular, if' E D,
p*f1im . v(~). = vli({O) = . in~ . v(~). (14.2)

;,-{ GJj('1,O (;':GJj(;'.{»Oj GJj('1, 0
(g) Let' be a point of D, let F be a subset of D with Euclidean topology

limit point " and suppose that ord ~ > ord' when ~ E F. Then ifF is copara-
bolic thin at " there is a superparabolic potential v on D, strictly positive on
a Euclidean neighborhood of',for which
lim . v(~). = +00. (14.3)

i.;,-{GJj(~,O
Conversely, if there is a positive superparabolic function v on D, satisfying

(14.3), the set F is coparabolic thin at "
Observation. Since v and h are positive superparabolic functions but are

otherwise unrestricted, (d2) implies that v* = + 00 Vii almost everywhere on
F. Other obvious implications of Theorem 14 can be obtained by trivial
manipulations. For example, (b) implies, after an interchange of v and h,
that Ii* > 0 Vii almost everywhere on D. Note that (d2) is the parabolic
context counterpart of Theorem V.II.
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 proofillustrates the adaptation ofthe 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 - vli ( {O )GJj(', 0, that vli ( {O) = O. Under
this condition, unless (14.2) is true, there is a strictly positive number b
such that the set iJ = {~: v(~) > bGJj(~, ,)} is not coparabolic thin at "
Apply the dual version of Theorem 10 to obtain
contrary to the hypothesis that v/GJj(o, ,) has infimum O. 0
Proof of (g). The proof is the counterpart of that of Theorem XI.4(d) and
is omitted. 0
Proof of (a1). If 0 ~ a < b, define
iJ = {v ~ biz}, c = Ap'f n iJp'f n D, (14.4)

and denote by viac the projection of Via on C. Following the proof of Theorem
XI.4(a), we find that in the reduction notation of Section XVII.16(s) as
translated from the classical context [see Section VI. 3(0)] the smoothed
reductions hAli , hAliAli , ... all majorize CDViac. According to the parabolic
context version of VI(3.12), the sum of these smoothed reductions is at most
[v /\ (bh)]/(b - a); so Viac == 0, that is, Via(C) = O. Now according to the
analysis of the zero set Z of h given at the beginning of this section, a point
of D must be either a Euclidean interior point of Z or a coparabolic-fine
interior point of D - Z. The Euclidean interior of Z is Via null and every
coparabolic-fine interior point of D - Z at which Ii* does not exist is in C
for some rational pair a, b. It follows that Ii* exists Via almost everywhere
on D. Apply this result to h/V to find that Ii* also exists Vii almost everywhere
on D. 0
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 Ii* 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 p. Let ho = CD via o be a potential majorized by p, with mea-
sure Via o supported by the set C defined in (14.4). Then
.. .. V /\ (bh)
hoAli + hoAliAli + ... + h AliAli +
:5: hAli ... :5: b '
-a
and the reasoning showing that each summand of the second series majorizes
CD V~c can be applied to ho and shows that each summand of the first series
majorizes CDVia o c, where Vi, 0 c is the projection of Via 0 on C. Hence Via 0 (C) = 0;
that is, the zero measure is the only measure supported by C whose potential
is bounded. It follows (by Theorem 11) that the set C 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/v to com-
plete the proof of (a2). 0
Proof of (b). Write Bb for B defined by (14.4) and observe that the infinity
set
•
of Ii* is included in Boo = nb'=o Bri . If Viali00 is the projection of Via on
Boo, then
(14.5)
because J~b(~,g})= 1 when ~EBri. Hence Via (Boo) =0; so Ii* < +00 Via
almost everywhere on D. To show that u* < + 00 parabolic quasi everywhere
on the strict positivity set of h, we can suppose, localizing the context, that
h has a strictly positive lower bound p on D. Let ho = CDViao be a potential
on D majorized by p with Via o supported by Boo. Then (14.5) with h replaced
by ho shows that
•
Vir 0 (Boo) = 0; so the zero measure is the • only measure
supported by Boo whose potential is bounded, and therefore Boo is parabolic
polar. Thus u* < + 00 parabolic quasi everywhere on the strict positivity
set of h. 0
Proofof (c). Since the Euclidean interior of t is Vir null, we need only consider
the Euclidean boundary of t 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 Vir almost everywhere on an arbitrary compact
subset £ o~ this boundary lying on a horizontal hyperplane. We can suppose
that Ii and h are potentials, after replacing these functions by their reductions
on an open neighborhood of £, relatively compact in D. We first prove that
ifV,;(£) = 0, then u* = 0 Vir almost everywhere on £. Define B by (14.4). Then
where v~ is the projection of Vir on BP'f n £. Consider the subset Do of D

strictly above the hyperplane of £. The Green function GiJo is the restriction
to Do x Do of Gn (Section XVIIA); therefore the restriction of Ii to Do is a
potential, and this potential majorizes the restriction to Do of bGiJv~. This
restriction is a parabolic function and so Vk == 0, that is, Vir (BP'f n F) = O.
So p*flim sup~_{ u(~) :s:: b for Vir almost every point , of £, and therefore
u* = 0 Vir almost everywhere on £, as asserted. It follows from this result
that (h - Gnvirz)/h has coparabolic-fine limit 0 Vir almost everywhere on £
and a corresponding result holds for Ii. Only the projections of the measures
on t are relevant. The proof of the first equality in (14.1) now follows that
of XI(4.l) and is therefore omitted. 0
Proof of (d). Following the proof of Theorem XI.4(b), it is proved first that
if £ is a Borel parabolic-polar subset of D and if vv(£) = 0, then u* = 0 Vir
almost everywhere on £. Since the proof follows closely that of Theorem
XI.4(b), it is omitted. APl?ly this result to l/h to fmd that (d2) is true, and
apply the same result to Ii/h on the trace of a Vir null support of the projection
of vZ on £to find that (d3) is true. The proof of (dl) follows that of Theorem
XI.4(b) and so is omitted. 0
Proofof (e). It is trivial from the definition of u* that this function is copara-
bolic-fine continuous. To prove that u* = u up to a parabolic-semipolar set,
it is sufficient to prove that if l: > 0, the set
£ = {~: Ii* is defined at~, larctan Ii(~) - arctan 1i*(~)1 > l:}
is parabolic sernipolar. Since (from Section XVII. 15) £ - £p'f is parabolic

semipolar, it is sufficient to show that £P'I is parabolic-semipolar. Actually,
if Ii* is defined at " then
p*flimlarctan u(~) - arctan u*(~)1 = 0

~-{
so , cannot be in FP·I. Hence FP"I is even parabolic polar so F is parabolic

semipolar. 0
Application to the Fundamental Convergence Theorem, Reductions, and

the Fine Topologies
(a) Application to the Fundamental Convergence Theorem. In that theorem

(Section XVI!.13) a locally lower bounded family r of superparabolic func-
tions on an open subset D of [RN is given, with pointwise infimum u. Accord-
ing to that theorem, uhas a parabolic-fine limit at every point of D,
u(~) = limi!1fu(~) = pfli~u(~), (14.6)

+ ~-~ ~-~
and ~ = uup to a parabolic-semipolar set. We shall now add to this conclu-

sion by proving that, in the notation of this section, u* is defined and equal
to u*
+
parabolic quasi everywhere on D and that u +
= u* = uup to a parabolic-
semipolar set. Suppose first that r is a decreasing sequence u.. According
to Theorem 14 there is a parabolic-semipolar set A such that the coparabolic
limit function u:
exists and is equal to Un for all n at every point of D.- A.
The function u is therefore coparabolic-fine upper semicontinuous at each
point of D - A, so for ~ in D less some parabolic-semipolar set
u(~):S; p*fli~infu(~):s; p*flimsupu(~):s; u(~) = u(~).

+ ~~ ~~ +
Thus up to a coparabolic-semipolar subset of D the function u* exists and

is equal to U.
+
To prove that u* exists parabolic quasi everywhere on D,
choose a, a', and b with 0 :s; a < a' < b, and define
A = {u :s; a}, B={u~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.l6(s) to find
Un A b
1A'11 B + 1A'n BA'n B + ... B + 1A' B A' B +
:s; 1A'nn nnnn
... :s; - -.
b-a' (14.7)
Now A: is an increasing sequence of sets with union a superset A" of A.

It follows from repeated application of the reduction property in Section
XVII.16(e) that (14.7) yields (n --+ 00)
(14.8)
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* up to a
parabolic-semipolar set, the functions +u* and u*, 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 r 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 Uoo such that ~oo = ~. We can suppose that U. is a decreasing
sequence, after replacing Un by Uo /\ ... /\ Un if necessary. Apply the result
for r a decreasing sequence to U. to find that the inequality ~ ~ u~ Uoo
implies
e
for parabolic quasi every point of D; so u* is defined and equal to ~*
parabolic quasi everywhere on D. Hence ~ = u* = u up to a parabolic-
semipolar set, and the proof of the application of Theorem 14 to the Funda-
mental Convergence Theorem is complete.
(b) Application to Reductions. Apply the preceding result to find that if
Ii is a positive superparabolic function on D and A is an arbitrary subset of
D, then R~(~)
+v .
= p*flim~_~ R1(~) if ~ is not. in some parabolic-semipolar
set. Since Rt = v on A, we conclude that R~ +v
= Ii* on AP*J less a parabolic-
semipolar set, and since v* = vup to a parabolic-semipolar set, we find that
iJ: = v on Ap*J less a parabolic-semipolar set. In contrast. recall [from
Section XVII. 16(b)] that this equality is true everywhere on APJ.
(c) Application to the Fine Topologies. In particular, in application (b)

if D = [RN and if v is the function u# with the properties listed in Section
XVII.l6(r), we conclude that AP*J c ApJ up to a parabolic-semipolar set,
and since the dual result reverses the inclusion, it follows that AP*J = ApI
up to a parabolic-semipolar set. Equivalently, the parabolic-fine and copara-
bolic-fine closures of A differ by a parabolic-semipolar set.
(d) Application to Parabolic-Fine Lower Semicontinuous Functions. Letf

be an arbitrary parabolic-fine lower semicontinuous funtion from an open
subset D of [RN into ~, and letfo be the coparabolic-fine lower semicontinuous
smoothing of f, fo(~) = f(~) /\ p*fliminf~_~f(~)· We show that the set
15. Application to Fatou Boundary Limit Theorem on a Slab 357
{f> fo} is parabolic semipolar. It is sufficient to show that for arbitrary IX in

IR the set {fo < IX <f} is parabolic semipolar. By definition offo each point
of {fo < IX} is in the complement of the coparabolic-fine interior D of the
parabolic-fine open set {f> IX}. Hence {fo < IX <I} c {f> IX} - D. The set
difference is parabolic semipolar according to application (c). In particular,
if f is a parabolic-fine continuous function, apply the preceding result to
both f and - f to show that the set of coparabolic-fine discontinuities of a
parabolic-fine continuous function is parabolic semipolar.
15. Application to a Version of the Parabolic Context Fatou

Boundary Limit Theorem on a Slab
Suppose that D = IR N X ]0, b[ with 0 < b :::;; + 00, and recall that Gj) is the
restriction of G to D x D. Let 13 and h be positive superparabolic functions
on D with respective Riesz measures V,; and V;,. Ifwe extend 13 and h to func-
tions 13' and h', respectively, by defining 13' = h' = 0 on the closed lower
half-space of ~N, the extended functions are positive superparabolic func-
tions of D' = IR N X ] - 00, b[. The measure v,; [v;,] is the projection on D
of the Rieszmeasure V';, [v;,.] associated with 13' [Ii']. We have seen (Section
XVII.5 Example (b» that 13' and h' are potentials on D' and that if v [h]
is a potential on D, then the abscissa hyperplane is V,;, [v;,.] null. Denote
by N,; [Nit] the projection of v,;. [v;,.] on the abscissa hyperplane so that the
parabolic component of v [h] in its Riesz decomposition is the restriction
of GN,; [GN;,] to D.
Theorem. With the preceding definitions
p *fl'~m-.
13(';)
-. - _ dN,;(f)
-... (15.1)
rj-~ h(rJ) dN;,
at N;, almost every point' of the abscissa hyperplane.
Observation. If h is a potential, we have already remarked that N;, is the
zero measure so the theorem is vacuous in this case. If v is a potential,
N,; is the zero measure so the limit in (15.1) is 0 at N;, almost every point of
the abscissa hyperplane, as would be expected. If both vand h are parabolic,
Theorem XVI.7 states that (15.1) is true for approach in the parabolic sense
as defined in Section XVI.7. S~ch a restatement of (15.1) in terms of a geo-
metrically simple approach to ( is not possible in the general case, however.
=
For example, if N = I and h I, a potential v can be defined for which
vlh does not have a limit at any point' of the abscissa axis on approach
along the line normal to the axis.
To prove the theorem we need only apply Theorem 14(c) to the ratio
v'liz' onD'.
16. The Parabolic Context Domination Principle

As noted in Section XVII.5, the classical context domination principle is
not valid in the parabolic context. The following theorem, stated in the fine
limit notation of Theorem 14, is the parabolic version of Theorem XI.23,
the extended classical domination principle.
Theorem. Let h = GiJV;, be a potential on an open subset D of iR N , and let v

be a positive superparabolic function on D. Then h ~ v on D if (vlh)* ~ I
v;, almost everywhere.
For the convenience of the reader we also state a weaker result, the
parabolic context version ofTheorem V.IO, the classical context domination
principle: h :s; v under each of the following three conditions.
(a) h* < + 00 v;, almost everywhere, and h* :s; v* parabolic quasi every-
where on some Borel support of v;,.
(b) The inequalities h* < + 00 and h* :s; ~* are true v;, almost everywhere.
(c) Parabolic-polar sets are v;, null, and h* :s; v* v;, almost everywhere.
Observation. Each of these three conditions implies the validity of the
condition ofTheorem 16, namely, that (v Ih)* ~ I v;, almost everywhere. Since
[by Theorem 14(d2)] h* = + 00 v;, almost everywhere on each parabolic-
polar subset of D, 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 v;, null, and h :s; v v;, almost everywhere.
This condition is stronger than (c) because u = u* and v = v* up to parabolic-
semipolar sets.
The proof ofTheorem 16 is merely a translation into the parabolic context
of the proof ofTheorem XI.23. That is, if iJ is a Borel support of v;, on which
(vlh)* is defined and ~ I, and if 0 < c < I, the set A = {v ~ ch} is a deleted
coparabolic-fine neighborhood of every point of iJ; so iJ c A".f, and there-
for J~(~, {~}) = I when ~EiJ. Hence
v~ HA ~ dh~A = cGiJ(v;,J~) = ch;

so V ~ h.
17. Limits of Superparabolic Functions at Parabolic-Irregular

Boundary Points of Their Domains
We sketch here the parabolic context versions of the classical context results
in Sections XI.21 and XI.22. The boundaries of subsets of iRN are relative
to the Euclidean topology. The proofs are direct translations of the classical
context proofs and so are omitted.
17. Limits of Superparabolic Functions at Parabolic-Irregular Boundary Points 359
Let D be an open subset of iR N , let ( be a finite parabolic-irregular bound-

ary point of D, that is, D is a parabolic-fine deleted neighborhood of (,
and let t be the class of open subsets of D which are parabolic-fine deleted
neighborhoods of (. The class t is ordered by inclusion. The basic result
for present purposes is that each lower-bounded superparabolic function u
on D has a parabolic-fine limit (:$ + (0) at (. This limit will be denoted by
Pfu«(). It then follows that jiJj(e, 0) has a li':llit meas~re PfjiJj«(,o) in the sense
of vague convergence of measures on aD when ~ tends to , along some
deleted parabolic-fine neighborhood of (. The relation XI(22.1) between
f llD and fllB for Bin r translates directly into the parabolic context. Further-
more, if A is a parabolic measure null subset of aD, then A is also PfjiJj«(,o)
null. If u is a lower-bounded superparabolic function on D, the function
iJ f-+Pfjijj«(, u) from t into IR+ is monotone decreasing with supremum pfu«().
Here the obvious convention corresponding to that in the classical context
(Section XI.22) is made for the values assigned to uon oiJ n aD. The function
Uf-+ Pfu(O is lower semicontinuous on the space of positive superparabolic
functions on D in the topology of pointwise convergence.
In particular, if ~ E D, the positive superparabolic function GJj(o,~) has a
parabolic-fine limit at (; we denote this parabolic-fine limit by pfGJj«(, ~).
Then
pfGJj«(,~) = li~s).lpGJj(e,~);
~-{
the function pfGJj«(, 0) is coparabolic on D.
Martin Point Set Pairs
It will be useful to formulate a strengthened connectedness hypothesis

adapted to the present context. In view of the application to be made to
parabolic context Martin boundaries we shall call a pair «(, D) consisting
of a point ( of iRN and an open subset D of iRN a Martin point set pair if the
following two conditions are satisfied:
MPS(l) The point (is a parabolic-irregular boundary point of D.
MPS(2) If ~ E D, there is a deleted parabolic-fine neighborhood of (
whose points are all strictly above ~ relative to D.
Observe that MPS(2) implies that D is connected and that every point of
D is strictly below (. We now show under MPS(l) that MPS(2) is equivalent
to
MPS(2') PfGJj«(,o) > 0 on D.
In fact under MPS(2) if ~ED the set iJ i of strict positivity of GJj(o,~) is a
deleted parabolic fine neighborhood of (. If pf GJj«(,~) = 0 there is a smaller
deleted parabolic fine neighborhood iJ of ( along which GJj(o,~) has limit 0,
and iJ can be chosen to be open because GJj(0, ~) is continuous. Then ( is a
parabolic regular boundary point of iJ because GJj(o, ~)Ijj is a weak parabolic
360 LXVIII. The Parabolic Dirichlet Problem, Sweeping, and Exceptional Sets
barrier for B at '- In view of the parabolic fine topology characterization

of parabolic regularity it follows that (E (~N - By! and therefore that
(E(~N - Dy!. Hence (is a parabolic regular boundary point of D, contrary
to hypothesis. Thus MPS(2) => MPS(2'). Conversely MPS(2') implies that
when ~ E D the function G.6(·, ~) is strictly positive on a deleted parabolic fine
neighborhood of ( and therefore (by the discussion in Section XVIIA of the
strict positivity set of G.6) implies MPS(2).
Application to the Zero Set of a Positive Superparabolic Function

[Martin Point Set Pair «(, b)]
If U is a positive superparabolic function on D and if P!u(C) = 0, then u == O.

In fact the zero set A of u is closed in D, and eE A implies by the super-
parabolic minimum theorem that D~ c A. Furthermore, if v is defined on
D as 1.6-:-", the function v is superparabolic. Hence v has a parabolic-fine
limit at ,. Since
0= P!JiIi(C, u) = P!JiIi(C, v) for B in t,
it follows that P!v(C) = 0, and therefore A is a deleted parabolic-fine neighbor-

hood of C; so by MPS(2) A = D, as was to be proved. This result is a gener-
alization of the superparabolic minimum theorem.
Application to the Harnack Inequality [Martin Point Set Pair (C, b)]
To each compact subset A of D corresponds a constant c depending only

on C, D, A such that if uis a positive parabolic function on D, then
ml;lx u :s; cP!u(O. (17.1)

A
In fact, if there is no such constant c, then there corresponds to each positive

integer n a positive parabolic function Un on D such that max,. Un ~ 1,
although p!un(C):s; 2- n. Define u= I:~ Un' Then if 0: > 0, the function
u A 0: = limn-+<Xl (I:~ um) A 0: is superparabolic on D with
p! (u A 0:) = p(li~ (u
~-+{
A 0:)( e) :s; 1;
e)
so pflim~-+e u( exists and is at most 1. The finiteness set ~f uis therefore a
set including a deleted parabolic-fine neighborhood of " and (Harnack
inequality applied to each function un) if u(e) < + 00, then u < + <X) on D(
Hence the condition MPS(2) implies that u is finite valued on D and so is
parabolic there. The convergence is locally uniform (Dini's theorem) so the
sequence u. converges uniformly to 0 on A, contrary to hypothesis. The
proof of this generalization of Harnack's inequality is now complete.
19. Lattices and Related Classes of Functions in the Parabolic Context 361
18. Martin Flat Point Set Pairs
Let D be a nonempty open subset of IRN , and let t be a point of IR

N
linked
to D by the following conditions:
MFPS(l) The part strictly below t of some neighborhood of t is in D.
e
MFPS(2) If E D, there is a continuous function tjJ from the interval
[0, I] into D u {e} such that or~ tjJ is a stric~ly monotone
decreasing function with tjJ(O) = 'and tjJ(l) = ~.
According to MFPS(2), every point of D is strictly below '- Let E be an
t
interval containing so small that every point of E strictly below is in D, t
and define D I = DuE. According to Section XVII.9, every point of E with
the same ordinate value as t is a parabolic-irregular boundary point of D.
It is now clear that (t, b) is a Martin point set pair; we shall characterize
the pair as flat in view of the geometry of D near '- The following analysis
shows that the flatness trivializes the study of PfCD(t, -) and Pf/LD(t, -).
Define E and D I as in the preceding paragraph. According to Section
XV. I?, a bounded parabolic function defined on E(\ D has a parabolic
extension to E. Thus, if~ED, the superparabolic function CD(-'~)' which is
bounded and parabolic on D outside an arbitrary neighborhood of~, has
e,
a limit in the Euclidean topology at a limit already denoted by pfCD(t, ~).
In the present context even this identification of the parabolic-fine limit
PfCD(t,~) as a Euclidean topology limit can be simplified and made more
concrete because (from Section XVIIA) CD is the restriction to D x D of
CD, ; so CD, (-,~) is an extension ofCLi(-,~) to D I . Moreover (Section XVII.4),
e
when ED I , the function CD (e, -) is strictly positive at the points of D I
e
strictly below relative to D: ; so• pfCD(t, -) = CD 1 (t, -) > 0 on D. Iff is a
bounded continuous function on aD, the bounded parabolic function /LD(-,f)
on D has a parabolic extension to D I according to Section XV. I? ; so the
measure /LD(e, -) tends to a limit measure pf/L Li «(, -) in the sense of vague
e
convergence when --+ t in the Euclidean topology. More specifically,
according to Section 2, if .4 is a Borel subset of aD, the function /LD(-,.4)
is the restriction to D of /LD , (-,.4); so Pf/LD(t,.4) = /LD I (t,.4).
19. Lattices and Related Classes of Functions in the Parabolic

Context
The classes of functions defined in the classical context in Chapter IX have

parabolic potential theory counterparts. In the latter context we fix an
arbitrary nonempty open subset D of IRN (N ~ I) and an arbitrary strictly
positive parabolic function h on D and go on very nearly as in Chapter IX,
replacing "h-harmonic measure" by "h-parabolic measure" and so on. The
change involves a slight complication left to the reader to take into account
362 1. XVIII. The Parabolic Dirichlet Problem, Sweeping, and Exceptional Sets
as needed, due to the fact that h-parabolic measure relative to a point of D

vanishes on sets above the point.
The change needed to apply these concepts to the coparabolic context
will always be obvious.
The class LP(jit) is the class of extended real-valued Borel mea-

e
EXAMPLE.
surable functions on D for which, if is in D and if B. is an increasing sequence
of open relatively compact subsets of D with union D then sup"",oji~ (e,IIW)
< + 00. This is the exact counterpart of the classical context defi~ition in
Section IX.4, but observe that, in contrast to that context, even if D is
connected and IlijP is h-subparabolic, the fact that this condition is satisfied
e
for one point of D does not imply that the condition is satisfied for every
e
point of D.
Chapter XIX
The Martin Boundary in the Parabolic Context
1. Introduction
In discussing the parabolic context Martin boundary of an open subset D of
~N for N ~ 1 we first make the obvious remark that there are necessarily two
boundaries, one adapted to the operator A and superparabolic potentials,
the other adapted to the operator Aand 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 ~N 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 D be a nonempty open subset of ~N. Throughout this chapter D~ will
denote the set of points of D strictly below ~ relative to D. Suppose that a
Martin function [( based on a point ( of D is defined in the natural way,
Since (Section XYlIA) 06«(, Ii) > 0 if and only if Ii e D~ the function [( has
domain D x J?( For Ii in D~ the fu~ction [«Ii,') is superparabolic on D,
parabolic on D - {Ii}, with value 1at'. The classical Martin boundary treat-
ment suggests that the Martin boundary points to be introduced should
correspond to limit functions of the family {[«Ii, .), lie D~} when Ii in D~ tends
to the Euclidean boundary aD of D. This procedure will only yield Martin
boundary points of D below (; more precisely this procedure will yield a
boundary for D~. A second new complication is the one-sided natu!e of
Harnack's parabolic context inequality, which is relied on to bound K(Ii,')
as Ii tends to aD. In fact this inequality, based on the normalization [«Ii, () =
1, only bounds [«Ii,') strictly below (. Thus a limit function of [«Ii,') as
Ii -+ aD cannot be defined at ( so the normalization of such a function at (
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 l.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. I? ; the other way is based on a Martin
measure set pair, to be defined in the next section.
2. The Martin Functions of Martin Point Set and Measure Set

Pairs
The Martin Function of a Martin Point Set Pair
The Martin function K of a Martin point set pair (C, D) is defined on D x D

by
(2.1)
For fixed ~ the function K(~,·) is su{>erparabolic on D, parabolic on D - {~},

and has the normalization pfK(~,O = I, that is, K(~,·) has parabolic-fine
limit I at " This normalization displays a limitation of the approach to
Martin boundaries by way of Martin point set pairs: every positive super-
parabolic function uto be considered on D will have to satisfy the condition
Pfu(C) < + 00. In particular, the minimal parabolic functions on D and the
positive parabolic functions on D represented by the parabolic context
Martin representation will have to satisfy this condition.
If iy is an arbitrary nonempty open subset of IRN and if ~ E D', the pair
(¢, DD is a flat Martin point set pair to which Martin boundary theory based
on Martin point set pairs can be applied. In some cases we shall see that we
can then vary ~ to obtain a Martin-type boundary for D itself and a Martin-
type representation of an arbitrary positive parabolic function on D'.
Martin Measure Set Pairs and Their Martin Functions
Let D be a nonempty open subset of IRN , and let vbe a measure on D. Then
the pair (v, b) will be called a Martin measure set pair if the following two
conditions are satisfied:
MMS(l) The copotential vO" is finite valued and continuous on the
complement of a compact subset U,; of D.
e e' e
MMS(2) If E b, there is a point strictly above relative to b such
that no neighborhood of ¢' is vnull; that is, ¢' is in the minimal
closed in D support of v.
Observe that condition MMS(2) implies that vcannot have compact sup-
port in D. It is trivial that to every nonempty open subset D of IR N corresponds
a measure vsuch that (it, D) is a Martin measure set pair, and in fact measures
2. The Martin Functions of Martin Point Set and Measure Set Pairs 365
can be chosen for which vGb is finite valued and continuous on D (so cT. = 0)
and D is itself the smallest closed in D support of v. Since Gb(~' 0) > 0 on
D~, condition MMS(2) implies that vGb > 0 on D. The Martin function K
for the pair (v, D) is defined on D x D by
(2.2)
(= 0 at the infinities of vGb)' For fixed ~ with vGb(~) < + <X) the function
K(~, 0) is superparabolic on D, parabolic on D - {~}, and has the normaliza-
J
tion b K(~, 0) dv = 1. This normalization displays a limitation of the approach
to Martin boundaries by way of measure set pairs: every positive super-
parabolic function uto be considered on D will have to satisfy the condition
Jbudv < + 00. In particular, the minimal parabolic functions on D and the
positive parabolic functions on D represented by the parabolic context
Martin representation will have to satisfy this condition. Every positive
parabolic function on D satisfies this condition, however, for a suitable
choice of v, depending on the specified function. Observe that for a Martin
measure set pair (v, D) the function Ul--+ Jbudv from the space of positive
superparabolic functions on D, with the topology of pointwise convergence,
into IR+ is lower semicontinuous (Fatou's lemma), as is (Section XVIII. 17)
the function ul--+Pfu(t) for (t, D) a Martin point set pair. The fact that there
is lower semicontinuity here rather than continuity as in the corresponding
classical context is a complicating feature of the parabolic context Martin
boundary constructions.
Although the approaches to the parabolic context Martin boundary by
way either of Martin point pairs or set pairs involve restrictions on the classes
of positive parabolic functions representable by the Martin representation,
in certain cases (for example, if the domain D involved is a slab), we shall see
that the Martin representation leads to a representation of every positive
parabolic function on D.
Generalization of Martin Point and Measure Set Pairs
D is an arbitrary nonempty open subset of IRN and if we

It is clear that if
assign a measure v on the union of D with the set of parabolic-irregular
boundary points of D, and if we suppose that vhas suitable properties, we
can combine the Martin boundary developments based on Martin point set
and measure set pairs. We shall not need this refinement, however.
Admissible Superparabolic Functions
If (t, D) [(v, iJ)] is a Martin point [measure] set .,air we shall call a positive
superparabolic function u on D admissible if pfu( 0 < + <X) [f b udv < + <X) ] .
366 I XIX. The Martin Boundary in the Parabolic Context
If h is an admissible strictly positive parabolic function on D, a function

vlh on D will be called admissible if vis the difference between two admissible
positive superparabolic functions on D.
3. The Martin Space b M

Theorem_ If«(, D) [(v, D)] is a Martin Point [measure] set pair there is a
unique up to homeomorphisms metrizable compactification D M of D with the
following properties:
(a) The Martin function K has an extension (also denoted by K) to
D M x D[(D M - ay) x D]for which, when ~ED, thefunction K(·,~)
isfinite valued and continuous on D M - {~} [D - a,J
(b) K(~l' -) = K(~2' -) if and only if~l = ~2'
The set aM D = DM- D will be called the Martin boundary of «(', b) or

(v, b) as the case may be. This theorem implies (see the discussion in the
corresponding classical context of Theorem XII.3) that K(~, -) is a positive
parabolic function on D when ~ is a Martin boundary point. The proof
follows that of Theorem XII.3, but observe that DM is defined in terms of a
specified pair «(, b) or (v, D) so K is uniquely determined. Thus D itself has
not been assigned a Martin boundary. Letfbe a strictly positive continuous
function on D, IN+l integrable over D, and for ~1 and ~2 in D define
to obtain a metric on D compatible with the Euclidean topology of D. The

proof of the theorem then follows that of Theorem XII.3 [with a minor
variation for (v, D) when ali =1= 0] and will be omitted. The appropriate
versions of the Harnack inequality have been proved for «(', b) in Section
XVIII.l7 and for (v, D) in Section XV.lI, and in view of these versions
(E aM D implies that lirn;,_~ K(~, -) = K«(, -) locally uniformly on D and that
a sequence ~ _of points of D converges to a Martin boundary point ( if and
only if limn_a) K(~n, -) = K«(, -) locally uniformly on D. The lower semi-
continuity property of our normalizations (Section 2) implies that for ( in
aMD
«(,b): P!K«(, h :5, I;
(v,D): In K(', -)dv :5, l.

(3.1)
We shall need more general inequalities. Suppose that i is a finite mea-

sure on D M , supported by D M - ay in the (v, D) case. Then the function
4. Preparatory Material for the Parabolic Context Martin Representation Theorem 367
JDM K(e, ·)i(de) is superparabolic on D, parabolic if i is supported by

aMD, and we now show that
(e',D): Pf(LM K(e,.)i(de»)(,,) = LMPfK(e,hi(d() $; i(D M)
(iI,iJ): LiI(d~) LM K«(,~)i(d() $; i(DM),

(3.2)
. .
with equality if and only if A. is supported by the set of points ( for which
there is equality in the corresponding inequality under (3.1). Inequality (3.2)
for (ii, D), with equality under the stated condition, follows trivially from
(3.1) for (ii, D). To analyze (3.2) for «(',iJ) observe (see Section XVIII.l7,
but note that' there is replaced here by h that if iJ is a Euclidean open sub-
set of D with every Euclidean boundarx point except" in D and if iJ is a
parabolic-fine deleted neighborhood of (', then
If we order the class of sets iJ by inclusion, then (from Section XVIII.17)

when iJ shrinks to " the first term of (3.3) increases to the first term of (3.2)
for «(', iJ) and the integrand in the second term of(3.3) increases to PfK(" h.
Thus (3.2) for «(',iJ) is true if integration of the second term of(3.3) to the
limit when iJ shrinks to , can be justified; on the latter point it need only be
pointed out that (Fatou's lemma) the function (I-+PfiLIi«(',K«(,'» is lower
semicontinuous. Finally, it is trivial that there is equality in (3.2) for «(', D)
if i is supported by the set of points' for which there is equality in (3.1) for
«(', D). .
The Zero Set of K(', .)
Since (from Section XVIIA) GD(~'~) > 0 if and only if ~ is strictly below ~
relative to D, it follows that if~. is a sequence of points in D with limit a
Martin boundary point , and if the numerical sequence ord ~. has limit IX,
then K(e,~) = 0 when ord ~ $; IX.
4. Preparatory Material for the Parabolic Context Martin

Representation Theorem
In this section we shall derive the parabolic context counterpart of Lemma
XI1.4. The latter lemma was the key lemma in the derivation of the Martin
representation theorem, and it will be clear from the following proof that the
reasoning in the derivation of that theorem can be translated without diffi-
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.
Lemma (Parabolic Counterpart of Lemma XII.4). Let (t',1» [(v,1»] be a

Martin point [measure] set pair with Martin function K. If is a positive u
admissible parabolicfunction on D and if A is a subset ofD [with Uv (\ aA = 0]
there is a measure AyA on DM , supported by the boundary of A relative to DM ,
for which (reduction relative to D)
(4.1)
and
AyA(D M ) = Pf~u~ A(t');
(v,1»: AyA(D M
) = L~U~A dv.
(4.2)
In particular, there is a measure Ay( = Ayb) supported by aMDfor which
(4.3)
and
AU<OM D) = u«(');
t
pf
(4.4)
(v,D): Au<a D) =
M
udv.
A measure Au on aM D satisfying (4.3) must also satisfy
(4.5)
for every Borel subset F of aM D.
We treat first the «(', D) case. If A is relatively compact in D, then ~U~A is

the potential ObA' of a measure A' supported by aA; so
~U~A = Ob A' = i.
<JA
K(t, ·)A(dt),
5. Minimal Parabolic Functions and Their Poles 369
and by (3.2)
PJ~U~A(,,) = f.aA
PJK(" ·)i(d') = i(oA).
If A is not relatively compact in D, let An be the intersection of A with the nth

member of an increasing sequence of relatively compact open subsets of
D with union D. According to what has just been proved, the potential
~u~An can be represented in the form
(4.7)
where in is a measure supported by oAnand
(4.8)
1.'he sequence i. is a bounded sequence of measures on the c,?mpact space

D M . If A. is the limit of a vaguely convergent subsequence, then A. is supported
by the boundary of A relative to DM , and (4.7) yields (4.1); equality (4.2) for
(",D) follows from (4.8) and the lower semicontinuity of the operator
V1-+ pJv«(), operating in this case on an increasing sequence of positive super-
parabolic functions. The proofthat (4.3) implies (4.4) is carried through by a
direct translation of the corresponding implication proof in Theorem XII.4.
In the (v,D) case i(d') in (4.6) is vGJj(,)i'(d'), and we go on as in the
«(, D) case.
5. Minimal Parabolic Functions and Their Poles

Poles of Parabolic Functions
If D is a nonempty open subset of IRN provided with a boundary by a metric

compactification, a boundary point' is said to be a pole of a positive para-
bolic function h on D if (reduction relative to D) ~h~{e} = h. If h is minimal
parabolic on D and is not identically 0, either' is a pole of h or ~h~{e} 0 =
because the parabolic reduction operation on a boundary subset is idem-
potent. The elementary properties of poles in the classical context (Section
X.7) are valid in the present context with no change in derivation.
Minimal Martin Boundary Points
A Martin boundary point' of (",D) [(v,D)] will be called minimal if its

associated parabolic function K(',·) is minimal with
3?0 I.XIX. The Martin Boundary in the Parabolic Context
(5.1)
and the set of minimal boundary points will be denoted by a~ 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 (0' 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 K«(,') for some uniquely determined
minimal Martin boundary point (. The proof of this theorem follows that of
Theorem XII.5 and is omitted.
Theorem (Parabolic Counterpart of Theorem XII.5). Let «(', D) [(v, D)] be

a Martin point [measure] set pair with Martinfunction K determining a Martin
boundary OM D.
(a) Every minimal parabolic function on D has a pole on iJM D. If a Martin
boundary point ( is the pole of a positive =F 0 admissible parabolic
function Ii, then ( is the only pole of Ii, Ii = const K«(, '), and ( is a
minimal Martin boundary point. In particular, if ~ is a minimal Martin
boundary point, the function K(~,·) has pole~.
(b) If ( is a minimal Martin boundary point and if A is a set of minimal
Martin boundary points, then ~K«(, .)~A is either K«(,') or 0 according
as ( E A or ( If A.
6. The Set of Nonminimal Martin Boundary Points

We leave to the reader the easy formulation and proof of the parabolic
counterpart of Lemma XII.6. In the parabolic context Theorem XII.?
becomes the following.
Theorem. If D is a nonempty open subset of [RN, then in the context of either

Martin point or Martin measure set pairs for D the set A of nonminimal
Martin boundary points is an ~ set, andfor every positive admissible parabolic
function h on D (reduction relative to D), ~h~A == O. In particular, ifh is strictly
positive the set A is h-parabolic measure null.
The proof follows that of Theorem XII.?

We also leave to the reader the application of Theorem 6 to prove the
parabolic context counterpart of Lemma XII.8. The embarrassing possibility
in this context that h may not be strictly positive can be treated by proving
the desired result first for h + e with e > 0 and then letting e tend to O.
8. Martin Boundary of a Slab b = IR N X ]0. i5[ with 0 < i5 :5: + 00 371
7. The Martin Representation in the Parabolic Context
Let D be a nonempty open subset of ~N. We shall use the notation corres-
ponding to that of the classical context Martin representation theorem
(Theorem XII.9). Thus hSm refers to the class of differences v/h = (VI - v2 )/h,
where Vi is a positive parabolic function on D and h is a strictly positive
parabolic function on D, omitted from the notation if h == 1. The following
is a parabolic version of the classical Martin representation theorem.
Theorem. Let «(', D) [(v, D)] be a Martin point [measure] set pair determining
a Martin function K and Martin bOWldary if! D.
(a) To each admissible function V in Sm corresponds a unique finite-valued
signed measure M v on OM D, supported by the minimal Martin boundary
o'tD, positive if V is, and satisfying
(7.1)
(b) If h is a strictly positive admissible parabolic function on D, the

correspondence v/h +-+ Mv is an isomorphism between the vector lattice
of admissible functions in /iSm and the vector lattice of finite signed
measures on if! D supported by fit D.
(c) An admissible function v/h in /iSm is quasi bounded or singular if and
only if Mv is, respectively, absolutely continuous or singular relative
to M/i. In the quasi-bounded case
(7.2)
The proof follows that of Theorem XII.9 with slight variations.
8. Martin Boundary of a Slab iJ = IR N X ]0, b[ with

O<b~+oo
Boundary for a Martin Point Set Pair
Suppose first that b < + 00. Let ~' be a point of IRN , and define (' = (~', b).
Then «(', D) is a Martin point set pair, and if K is the Martin function for
the pair,
Go(e,~) = 6(s - t, ~ - fI), =

K(~, e) = :(~ ::~,~~)'
(8.1)
~ = (~,s), ~ = (fI, t).
The limit functions of K are as follows:

(a) If' = «(,0) is a point of the abscissa hyperplane,
(b) If ~ = (". t)eD and t ~ 1J with no restriction on the varying of

" or if 1,,1 ~ + 00 with no restriction on the varying of t, then
lim.;~ K(~,·) == O.
The Martin space of (", D) is therefore D compactified by adjunction of the
abscissahyperplaneandasinglepointO:K«(,O),e) = 6(s,~ - (/6(1J,~' - 0,
K(O,·) == 0; ~ in D tends to «(,0) in the Martin topology if and only if
~ ~ «(,0) in the Euclidean topology; ~ in D 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 u is a positive parabolic function on D with pfu (e',1J) < +00, then
there is a unique finite measure M,;, on the abscissa hyperplane such that
(8.2)
and
(8.3)
that is [define N;,(dO = M,;,(dO/6(1J,e' - 0], there is a unique measure N,;,

on IR N such that
(8.4)
and
(8.5)
Conversely, the Martin representation theorem states that if M,;, is a finite

measure on IRN [if N,;, is a measure on IRN making the integral in (8.5) finite],
then (8.2) [(8.4)] defines a positive parabolic function on D with pfu(~', 1J)
given by (8.3) [(8.5)].
Observe that for udetermined in this way if ~' is replaced by another point
8. Martin Boundary of a Slab iJ = IR N X ]0, J[ with 0 < J :s; + 00 373
~", with pfu(~",b) < +00, then K is changed but the representing measure
Nu in (8.4) is unchanged. Observe also that if Nu is an arbitrary measure on
IR N making u as defined by (8.4) finite at points of D with ordinate values
arbitrarily near b, then u 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 < b ~ + 00 and if u is an arbitrary positive
parabolic function on D = IR N X ]0, b[, then there is a unique measure Nu
on IRN for which (8.4) is true, and (8.5) is true for every point ~' of IR N when
b < + 00, and that conversely, if Nu is a measure on IR N for which uas defined
by (8.4) is finite valued on D, then uis a positive parabolic function on D and,
if b < + 00, (8.5) is true for every point ~' of IR N • All that remains to be
proved is the existence and uniqueness of Nu satisfying (8.4) when u is
specified. To prove this, choose b' < b and apply the preceding work to the
Martin point set pair «~', b'), IR x ]0, b'[) with arbitrary ~'. The restriction
of u to IR N X ]0, b'[ determines a unique measure Nu for which (8.4) is true
for s < b', and the uniqueness of Nu shows that this measure depends neit~r
on ~' nor on b'. Hence (8.4) is valid for s < b 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 < + 00. As already
remarked in Section XVI.8, the representation (8.4) shows that a positive
parabolic function on D = IR N X ]0, b[ is minimal if and only if the function
is a positive multiple of the function (~, s) 1-+ t(s, ~ - 0 on D for some point
Cof IR N •
Boundary for a Martin Measure Set Pair
°
If < b ~ + 00 and if D = IR N X ]0, b[, choose a measure v for a Martin
measure set pair (v, D) with vsupported by a set whose intersection with each
slab IR N x ]0, b'[ with b' is the restriction to D of vG', the function
vG'L> has the strictly positive limit vG'(t) at every point t = (C,O) of the abscissa
hyperplane. Hence the Martin function K for (v, b) has a limit at t:
. '.' t(s,~ - 0 ~ = (~,s).
~~K(",~) = vG'(O '
°
Furthermore the function K(~,·) tends to when ~ tends to any Euclidean
boundary point of D not on the abscissa hyperplane. Thus the Martin bound-
ary for (v, D) 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 Dudv < + 00. J
Just as in the Martin point set pair case, this form of the Martin representa-
tion can be applied to derive a representation of an arbitrary positive para-

bolic function on D.
9. Martin Boundaries for the Lower Half-space of ~N and for

~N
Martin Boundaries for the Lower Half-space of IRN
e'
Let D be this lower half-space, and let = (c 0) be a point of the abscissa
hyperplane. Then (e', b) is a Martin point set pair. According to Section
XVII A, the Green function GD is the restriction of Gto D x D. The possible
limit functions of [(~,.) when ~ -+ iJD are the following [with = (~, s), e
~ = ('1, t)]:
(a) If t -+ - 00 and '1lt -+ _(12 y, then
1~~K(~,e) = cexp (y,O + (12I y I2 i} c=exp(-y,f). (9.1)
(b) If 1'11(1 - t)-l -+ + 00, then [(~,.) -+ O.

The Martin boundary therefore consists of a point 1 corresponding to each
e)
point y of IR N , with [(1, given by the right side of (9.1), and a point 0 with
[(0,') == O. Since the context here reduces to that in Section 8 under an
Appell transformation taking the lower into the upper half-plane, we go no
further except to remark that D has many parabolic irregular boundary
points but that the upper half-space has a quite different configuration,
which suggests the interest of a more careful analysis than we have given of
regularity at 00 in the parabolic context.
Martin Boundaries for IR N

Martin point set pairs cannot assign a boundary to IR N , but if a measure vis
chosen on IR N to make (v, IR N ) a Martin measure set pair (for example, if vis
chosen in such a way that vG is cosuperparabolic on IR N , that vis supported
by a set whose intersection with the slab IR N x ] - 00, ex[ is bounded for each
ex, and that the smallest closed support of vhas points with arbitrarily large
ordinate values), then we obtain a Martin boundary for (v, IR N ). This bound-
ary consists of a point 0 corresponding to the identically vanishing parabolic
function and of points 1 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 IR N is minimal if and only if it is a positive multiple of
a function (~,s)l-+exp«y,O + (121}'12s12) and that a positive parabolic
10. The Martin Boundary of D = ]0, + 00 [ x ] - 00, b[ 375
function on iRN can be represented in a unique way as an integral XVI(8.2)

over the class of minimal parabolic functions. The reader is invited to derive
these results as applications of the Martin boundary theory developed in this
section.
10. The Martin Boundary of D = ]0, + 00 [ x ]- 00, b[
This Martin boundary has features not present in those discussed in Sections
8 and 9. To simplify the notation, we have taken N = 1, and we leave to
the reader the formulations for N > 1. Suppose first that tJ < + 00. Let e'
be a strictly positive number, and define" = (f, tJ). Then (", D) is a Martin
point set pair, and if K is the Martin function for this pair,
GD(~' 'i) = 6(s - e- 'l) - 6(s - f, e+ 'l)

f,
'i = ('l, f).
KC ~) = 6(s - f, e- 'l) - 6(s - f, e+ 'l) (10.1)
'l, 6(tJ - f, e' - 'l) - 6(tJ - f, e' + 'l)
Corresponding to each point r of IR we introduce the symbol r' and for ~ in

the right half-plane ]0, + 00 [ x IR define
if s > r
(10.2)
if s $ r.
<;:orresponding to each point y of -IR+ we introduce the symbol y" and for
ein the right half-plane define
(10.3)
The functions K(r',·) and K(y",') are positive and parabolic on the right
half-plane. The limit functions of K are the following:
(a) When ~ --+ i = (0, r) with r < tJ,
limK(' .) = ~(r', :) on D.
~-+i 'l, K( r', n (10.4)
(b) When f --+ - 00 and 'llf --+ (j2 y $ 0,
limK(' .) = ~(y"<) on b.
~-+ 'l, K(y", n (10.5)
Observe that
(c) If ~ = ('I, t)e 1> and either (c1) 'I ~ + 00 and '1/(1 + Itl) ~ + 00 or
(c2) t ~ b with no restriction on the varying of 'I, then limK(~, 0) == O.
The Martin space of «(',1» is therefore 1> compactified by adjunction of

the set {O} x]-oo,b[ identified with the set {-r':-oo<-r<b}, the set
{y" : y e - IR + }, and a single point 0: K( -r', 0) and K(y", 0) are defined respec-
tively by the right sides of (10.4) and (10.5); K(O,o) == 0; ~ in 1> tends to -r' or
y" or 0 in the Martin topology if and only if the respective conditions (a) or
(b) or (c) are satisfied. Next we show that every Martin boundary point -r' is
minimal. According to Theorem 5, it is sufficient to show that each function
K( -r', 0) has pole -r'. Let A be the set of all Martin boundary points except the
point -r'. If l: > 0, the function identically equal to l: on 1> is positive and
superparabolic and majorizes K(-r', 0) on a deleted Martin neighborhood of
each point of A. Hence (reductions relative to the Martin space) ~K(-r', °H A
== 0; so
K(-r', o) = ~K(-r', 0) ~oMD ~ ~K(-r', 0) ~{t'} + ~K(-r', 0) ~A

= ~K(-r', 0) ~{t'} ~ K(-r', 0),
and therefore there is equality here; so K(-r', 0) has pole -r'. Thus -r' is minimal,
and similarly every boundary point y" 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 u is a positive parabolic function on 1> with PJu(~',b) < +00, then
there is a unique measure N~ on ] - 00, b[ and a unique measure N~' on -IR+
such that
u(~) = roo K(-r', ~)N~(d-r) + J:oo K(y", ~)N~'(dy) (10.6)
and [recall that (' = (Cb)]
PJu(h = roo K(-r', (')N~(dt) + roo K(y", (')N~'(dy). (10.7)
Conversely, measures N~ and N~' making the integrals on the right in (10.7)
finite define a parabolic function u by (10.6), and (10.7) is then true. For
12. The Minimal-Fine Topology in the Parabolic Context 377
example, if IV~ = lion] - 00, b[ and IV:' == 0, then Ii == 1. More generally, if

measures IV: and IV:' define a finite-valued function u by way of (10.6), then
Ii is positive and parabolic, and (10.7) is true, but the two sides may be + 00.
Finally, if 0 < 15 :s; + 00 and if Ii is a positive parabolic function on D =
]0, + 00 [ x ] - 00,15[, then (see the corresponding discussion in Section 8)
there is a unique measure IV~ on] - 00, b[ and a unique measure IV:' on -IR+
such that (10.6) is true and (10.7) is true when 15 < + 00. A positive parabolic
function on D is minimal if and only if it is a positive multiple of a function
K(r',·) or K(y",·).
The discussion of Martin boundaries for the sets in this section in the
context of Martin measure set pairs is left to the reader.
11. PWBh Solutions on jjM
Let «(', iJ) [(v, iJ)] be a Martin point [measure] set pair determining a
Martin function K and Martin boundary OM D. In this context we define
universal resolutivity to mean that OM D 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 ofa Martin point or Martin measure set pair
is universally internally resolutive and universally resolutive, with
(11.1 )
(for h strictly positive and admissible). An admissible h-parabolic function

Ii = vjh is a PWBh solution if and only if it is quasi bounded, equivalently, if
and only if M" is absolutely continuous relative to M,;, and then
f=d~". (11.2)
dM,;
12. The Minimal-Fine Topology in the Parabolic Context
Let «(', D) [(v, D)] be a Martin point [measure] set pair defining a Martin
function K and Martin boundary OM D.
Parabolic Minimal Thinness
Theorem XII.lI, which led to the definition of minimal thinness in the

classical context, is true when translated into the parabolic context, and the
proof of Theorem XII. I I goes over without change except for the proof of
Step I which involves idempotency of the smoothed reduction operator, a
property not valid in general in the parabolic context. We therefore now
prove the parabolic counterpart of this step; that is, we prove that if is a e
minimal Martin boundary point and if A is a subset of D, then ~K(".) ~A is
either K(e,,) or a potential. If A is open, the parabolic reduction operation
on A is idempotent; so the proof of step I in Section XII. II is applicable. In
the general case we need only prove that if there is a point ~ of D such that
~.K(',·) ~A(~) < K(', ~), then ~K(',·) ~A is a potential. If there is such a point
~, apply Section XVII. I I(a) on parabolic reductions to find a decreasing
sequence D. of open subsets of D for which
Since the assertion to be proved is true when A is open, the smoothed reduc-
tion ~K(',·) ~B" must be a potential for sufficiently large n. Hence ~K(',.) ~A
is majorized by a potential and so is itself a potential, as was to be proved.
The subset A of D is said to be coparabolic minimal thin at the minimal
Martin boundary point' 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:
R1(~,.) "# K(,,') on the set {K(',·) > O}.

inf {R1,:B
+K({,')
: Dis a Martin topology neighborhood of'} = O.
R A . is a potential.
+K({,')
The first condition is satisfied ifand only ifit is satisfied using the correspond-
ing smoothed reduction. In particular [cf. Section XII.l2, Example (a)], if
D is a deleted Euclidean neighborhood of a finite point " the point' can be
identified with a minimal Martin boundary point of D- {(}, with associated
parabolic function a multiple of Gv(" 0, and according to the dual of
Theorem XVIII. to, a subset A of D - {(} is coparabolic minimal thin at e
if and only if A is coparabolic thin at "
Coparabolic Minimal-Fine Limits at a Minimal Martin Boundary Point
We shall not need and it may be confusing to define a coparabolic minimal-

fine topology on a Martin space, but the coparabolic minimal-thinness
definition makes it possible to define limit concepts at a minimal Martin
13. Boundary Counterpart of Theorem XVIII. 14(f) 379
boundary point. In fact it follows easily from the above criteria that the
union of two subsets of iJ 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 iJ a deleted coparabolic minimal-fine neighborhood of the
point when iJ - 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 iJ which is a deleted
coparabolic minimal-fine neighborhood of a minimal Martin boundary
point has a closed-in-iJ subset with the same property. Lemma XII.IS goes
over into the present context and thereby leads to the parabolic context
counterpart of Theorem XII.I6. Thus, if ( is a minimal Martin boundary
point, a function ufrom the trace on iJ of a Martin topology neighborhood
of ( into a metric space has coparabolic minimal-fine limit [coparabolic
minimal-fine cluster value] (X at ( if and only if uhas limit (X at ( on approach
along some subset of iJ which is a deleted coparabolic minimal-fine neighbor-
hood of ( [is not coparabolic minimal thin at (].
Coparabolic Minimal Thinness at Martin Boundary Points of a Slab

iJ = IRN x ]O,b[ with 0< b < +00
e'
According to Section 8, if E IR N, the Martin boundary for the point set pair
e',
« b), iJ) includes the abscissa hyperplane. If K is the Martin function and
if ( = (',0) is a point of the abscissa hyperplane, the function K«(,·) is a
multiple of the function (e,s)I--+t1(s,
° e-0 = G«e,s), (',0». It follows from
the criteria of Theorem XVIII. I for parabolic-fine limit points of a set, as
dualized for the coparabolic-fine topology, that a subset of iJ is coparabolic
thiJ.l at ( if and only if the subset is coparabolic minimal thin relative to iJ
aH.
Coparabolic Minimal Thinness at Martin Boundary Points of

iJ = ]0, + oo[ x ] - 00, b[ with b < + 00
According to Section 10, if e'

is a strictly positive number, the Martin
«
boundary for the point set pair f, b), iJ) includes the left boundary
{O} x ]-oo,b[. If Kis the Martin function and iff = (0, or) with or < b, the
corresponding Martin boundary point is denoted by or', and K(or',·) is a
multiple of the function K(or',·) defined by (10.2). It is trivial that the set
]0, + 00 [ x ] - 00, T] is coparabolic minimal thin relative to iJ at T'.
13. Boundary Counterpart of Theorem XVIII.l4(f)

Theorem. Let «(, iJ) [(v, iJ)] be a Martin point [measure] set pair determining
a Martinfunction K and Martin boundary OM iJ, and let' be a minimal Martin
boundary point.
(a) If ti is a positive superparabolic function on D, then
P .mflim.ti(~)
.;_~ K(Y')
= inf .ti(~) = M.({r}).
Ii K(Y') v ':>
(13.1)
. .
K(~.';»O
,:>, '1 K(T '»0
,."
,:>, '1
(b) If ti
is a positive cosuperparabolic function on D and if E D with e
e)
K(C, > 0, then GIi«,·) > 0 on a deleted Martin topology neigh-
borhood of Cand
Theorem 13(a) is the parabolic counterpart of Theorem XII.13 and is

the boundary counterpart of Theorem XVIII.14(f). The prooffollows that
of Theorem XVIII.14(f) and so will be omitted. Theorem 13(b) is the para-
bolic counterpart of Theorem XII. 14. It is stated for a cosuperparabolic
function because the dual theorem for a superparabolic function involves
the Martin entrance boundary, that is, the Martin boundary dual to the
one we have studied. The proof of Theorem 13(b) is slightly more com-
plicated than that of Theorem XII. 14 and so will be given. We can assume
that the inferior limit in (13.2) is finite, and we prove that if c is a finite
number strictly larger than this inferior limit, then the set
i~ coparabolic minimal thin at (. Under the hypotheses of (~) the function

GIi(e,·) > 0 on a deleted Martin topology neighborhood of (, and
cb2(e, K(~,·» = dK(~, .)~A(e) = dGIi(-,J~~~:~~K(~, e)

= dGIi(e, :)~~(~)K(~, e) ~ ti(~)K~~, e).
GIi(~,~) GIi(~,~)
When~ -+ C, an applicationofFatou's lemma yieldsdK(C, .)~A(e) < cK(C, e),

and therefore A is coparabolic minimal thin at (. Thus the coparabolic
minimal-thin limit in (13.2) exists and has the indicated value.
Observation. The limit in (13.2) can be 0 even when ti does not vanish iden-
tically, but if ti is strictly positive, this limit is not 0, by the counterpart of
the argument in the proof of Theorem XII.14 making the corresponding
limit strictly positive.
IS. The Parabolic Context Fatou Boundary Limit Theorem on Martin Spaces 381
14. The Vanishing of Potentials on aMiJ

Using the notation of the preceding sections, Lemma XII.I7 on the character
of the set of (classical context) minimal-fine limit points of a subset of D and
the set of minimal-fine limit values of a function on D goes over into the
parabolic context without difficulty.
Theorem (Counterpart ofTheorem XII. 18). If h is a strictly positive parabolic

function on b, then each superparabolic it-potential u= GDJi/h has coparabolic
minimal-fine limit 0 at Ji~ almost every (equivalently, M;. almost every) point
of8M b.
The proof follows that of Theorem XII.I8.
15. The Parabolic Context Fatou Boundary Limit Theorem on

Martin Spaces
(We use the notation of Section 7.) The following theorem is stated for ease
of reference, but the proof is omitted because it follows that in the classical
context (Theorem XII.19.)
Theorem. If it is a strictly positive admissible parabolic function on b and if

u = v/h is in i.S and is admissible, then
(15.1)
for M;. almost every point t of ()Mb. In particular,

(a) This l!mitfunction vanishes M;. almost surely ifue;'Sp;
(b) IfuehS m, the boundary function vanishes M;. almost surely ifand only
ifue;'Sms;
(c) If u is a PWB;' solution, that is, if u = Ji~(',f)for some M;. integrable
boundary function f, then f = dMvfdM;. M;. almost everywhere on
()M b; therefore f is the coparabolic minimal-fine boundary limit func-
tion of u up to an M;. null set.
Extension to Nonstrictly Positive h
If h is not strictly positive, apply Theorem 15 to the ratio I/(h + 1) to find

that this ratio has a finite coparabolic minimal-fine limit M;. + Mt almost
everywhere on the Martin boundary and so certainly M;. almost everywhere
there. Hence it has a strictly positive (~ + 00) coparabolic minimal-fine limit
382 I.XIX. The Martin Boundary in the Parabolic Context
Mil almost everywhere on the Martin boundary. If Theorem 15 is applied to

v/(h + 1) and to h/(h + 1), it follows that v/h has a finitecoparabolic minimal-
fine limit Mil almost everywhere on the Martin boundary, in fact the limit
dM,;/dMiI. The key point in understanding the situation is a rephrasing of
part of one fact just derived: the zero set of h is coparabolic minimal thin
at Mil almost every Martin boundary point. Thus we can ignore this zero
set in the present discussion. The necessary rephrasing ofTheorem IS(a)-(c)
when h may vanish is left to the reader.
Application to Functions on a Slab IR N x ]O,b[ with 0 < 15 $ + 00

Let h be a strictly positive parabolic function on the slab determined using
(8.4) by a measure N;, on IR N • Let vbe a positive superparabolic function on
the slab with parabolic component determined by the measure N". Let
e' = (f,s') be a point of finiteness of v, and set D = IRN x ]O,s'[. Then
(e',D) is a Martin point set pair to which Theorem 15 can be applied. In
view ofthe relation (Section 12) between coparabolic thinness and coparabol-
ic minimal thinness at a point ((,0) and in view of the relation between the
measures N;" N" and the corresponding measures in the Martin representa-
tions of h and the parabolic component of v, we conclude from Theorem 15
that Ii = v/h has coparabolic-fine limit dN,,/dN;, IV;, almost everywhere on the
abscissa hyperplane. Thus we have derived Theorem XVIII. 15 as a special
case of the Fatou boundary limit theorem in the parabolic Martin boundary
context. Observe that if vis parabolic, we have proved (using Theorem XVI. 7)
that v/h has parabolic limit dN,,/dN;, N;, almost everywhere on the abscissa
hyperplane. On considering the corresponding situation in the classical
context (Section XII.20) it is natural to conjecture that if vis a superparabolic
potential on the slab, then v/h has limit 0 N;, almost everywhere on the
abscissa hyperplane on approach along normal lines. This conjecture is false
(see Historical Notes) even when h == 1, in which case IV;, reduces to IN' Thus
coparabolic minimal-fine boundary approach is the most appropriate bound-
ary approach in treating Fatou boundary limit theorems,just as the minimal
fine topology approach was the most appropriate in the classical context.
Application to Functions on the Set ]0, + oo[ x ]- 00, b[ with 15 $ + 00

Let h be a strictly positive parabolic function on this set, determined using
(lO.6) by a measure N~ on ] - 00, b[ and a measure Nf on -IR+. Let v be a
positive superparabolic function on this set with positive parabolic compo-
nent in the Riesz decomposition determined by measures N~ and N~'. Let
e' = (e', s') be a point of finiteness of v and set D = ]0, + 00 [ x ] - 00, s'[.
Then (f, D) is a Martin point set pair to which Theorem IS can be applied.
The measures Nf and N~' do not depend on the choice of f, and if s' is
increased to s" < 15, the measures N~ and N~ do not change on ] - 00, s'[.
15. The Parabolic Context Fatou Boundary Limit Theorem on Martin Spaces 383
Theorem 15 in this context, applied only to the left boundary {O} x ] - 00, 15(,
asserts that vlh has coparabolic minimal-fine limit dN~/dN~ at N~ 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,.) is signif-
icant only for approach by way of points with ordinate values strictly greater
than. because (from Section 12) the set ]0, + oo[ x ] - 00, .] is coparabolic
.0
e, °
minimal thin at (0, .). If h is not strictly positive, there is a number such
that h( s) > if and only if • > .0' The boundary set {.': • :::; .o} is then
N~ null, and the discussion needs only trivial changes.
Part 2
Probabilistic Counterpart of Part 1
Chapter I
Fundamental Concepts of Probability
1. Adapted Families of Functions on Measurable Spaces

(a) Filtrations ofa Measurable Space. Let (Q, $') be a measurable space,
and let (I, :s;) be a linearly ordered set. Afiltration of(Q, $') is a map t 1-+ $'(t)
from I into the class of sub (J algebras of $', increasing in the sense that
s:S; t implies that $'(s) c $'(t). The triple (Q, $', $'(0» is called a filtered
measurable space.
If (Q, $', $'(0» is a filtered measurable space and if the index set I is an
interval in IR ordered by :S;, define $'+(t) = ns>t$'(s) for t in I to get a
filtration $'+(0) with $'(t) c $'+(t) for t in I. The filtration $'(0) is said to
be right continuous if $'(0) = $'+(0). In particular, $'+(0) is necessarily
right continuous.
(b) Families of Functions. Let {x(t), tEl} be a family, indexed by a pa-
rameter set I, of functions from a space Q into a "state space" Q'. The value
ofthe function x(t) at the point w ofQ will be denoted by x(t, w); the function
x(t) will also be denoted by x(t, 0). The function x(o, w): tl-+x(t, w) is called
the sample function determined by w. The family x(o) of functions on Q is
described as continuous, or right continuous, or ... if the sample functions
are all continuous, or right continuous, or ... , for a state space and pa-
rameter set structured to make the description meaningful.
(c) Aoopted Families ofFunctions. If {x(t), tE I} is a family of measurable
functions from a filtered measure space (Q, $', $'(0» into a measurable
space (Q', $") the family is said to be aoopted to $'(0) if for each t in the
parameter set I the function x(t) is measurable from the measurable space
(Q,$'(t» into the measurable space (Q', $"). The notation {x(o),$'(o)}
will always imply adaptedness unless the contrary is stated. If {x(t), t E I}
is a family of measurable functions from a measurable space (Q, $') into
a measurable space (Q', $"), and if I is linearly ordered, define $'o(t) =
$'{x(s),s:s; t} for t in I (see Appendix IV.l for the notation used here)
to obtain a filtration $'0(0) making {x(o), $'o(o)} an adapted family. The
filtration $'0(0) is minimal for adaptedness in the sense that if {$'(t),tEI}
is a filtration with respect to which {x(o), $'(o)} is adapted, then $'o(t) c
$'(t) for t in I.
388 2.1. Fundamental Concepts of Probability
Filtered measurable spaces and their adapted families of functions pro-

vide a mathematical formalism modeling certain physical ideas. A measur-
able space (n,!F) is a mathematical model of the set of possible events in
some physical context, together with a distinguished class of compound
events. If I is a subset of IR, a filtration {!F(t), tEI} of (n,!F) is a mathe-
matical model for the flow of events in time. Each pair (t, w) represents a
possible outcome of an experiment at time t, and !F(t) represents the class
of compound events observable before or at time t. The value x(t,w) of a
function x(t,·) at w models the value of some observable at the outcome
(t, w), and the function x(t,·) itself is therefore incorporated in !F(t) in the
sense that this function is supposed !F(t) measurable; that is, {x(·),!F(·)}
is an adapted process.
The Measurable Sets of a Topological Measurable Space
If a measurable space is given as a topological space, the (J algebra of measur-

able sets will always be the (J algebra of Borel subsets of the space unless
some other (J algebra is specified. In particular, the state space IR means
the measurable space (IR, .?l(IR».
2. Progressive Measurability
If I is a subinterval or singleton of IR, we denote by .?l(I) the class of Borel
subsets of I. If I is a singleton, .?l(I) consists of that singleton and the empty
set. A family {x(t), t E I} of functions from a measurable space (n,!F)
into a measurable space (n', !F') is called measurable ifthe function (t, w)1-+
x(t,w) is measurable from the measurable space (I x n,.?l(I) x !F) into
the measurable space (n',!F'). This definition will frequently not be strong
enough, however, when we deal with an adapted family {x(t), !F(t), tE IR+}.
In fact in dealing with an adapted family one frequently wishes to deal with
a subfamily of the form {x(t),!F(t), t:$ 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!F = YrelR+ !F(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), !F(t), tE IR+} is an adapted family offunctions. A
subset A of IR+ x n will be called progressively measurable if A n ([0, c] x 0)
E .?l([0, c]) x !F(c) when c ~ 0. The class of progressively measurable sets
is a (J algebra. The adapted family is called progressively measurable if
the function x(·,·) is measurable from the space IR+ x 0 coupled with the
2. Progressive Measurability 389
°
(1 algebra of progressively measurable sets into (0', 1P), equivalently, if
for c ~ the restriction of the function x(·,·) to [0, c] x 0 is measurable

from ([O,c] x O,84([O,c]) x §(c» into (O',§'). (In this phraseology the
condition that a set A be progressively measurable is equivalent to the
condition that the adapted family {I A (t,·),§(t),tEIR+} with state space
(IR+, 84(IR+» be progressively measurable. Observe that even without the
prior hypothesis of adaptedness the progressive measurability condition
°
implies adaptedness. We leave to the reader the easy proof that if {x(t),
§ (t), t E IR+} is progressively measurable, then for b > the family {x(b + t),
§(b + t), tE IR+} is also progressively measurable. It is immediate that if
{x(·), §(.)} is progressively measurable and if f is a measurable function
from the state space (O',§') into the measurable space (O",§"), then
{f[x(·)],§(·)} is also progressively measurable, with state space (O",§").
Alternative Characterization of Progressive Measurability
In the preceding context define a new filtration by setting §-(O) = §(O)

and § - (t) = Y.<t § (s) for t > 0, and consider the following conditions
on the family {x(t), tE IR+} offunctions from (0, §) into (0', §'):
(a) The family is adapted to §(.).
°
(a') §(.) is right continuous.
(b) For c > the restriction of the family x(·) to the set [0, c[ is
84([0, cD x §- (c) measurable.
Observe that the pair (a'), (b) implies (a). We now show that {x(·), §(.)}
is progressively measurable if and only if (a) and (b) are satisfied. To prove
that (a) and (b) together imply progressive measurability, we need only
observe that the subsets [0, c[ x 0 and {c} x 0 of [0, c] x 0 have the
latter set as union and are in 84([0, c]) x §(c) and that under (a) and (b)
the function x(·,·) is measurable on both subsets and so also on their union,
relative to 84([0, c]) x §(c). Conversely, progressive measurability implies
(a), and another piecing together of measurable functions shows that pro-
gressive measurability also implies (b).
EXAMPLE. Let {x(t), §(t), tE IR+} be an adapted family whose state spac~
is Polish. Then the family is progressively measurable ifthe sample functions
are all right continuous or all left continuous. For example, in the right
continuous case define
j
xn(t,w) = xf; ,w) if(j - 1)£ < t 5, c, I 5,j 5, n,
n n
(2.1)
xn(O,w) = x(O,w)
when c > O. Then the restriction of x n (·,·) to [0, c] x 0 is ~([O, c]) x ~(c)
measurable and Iimn _ oo xi·,·) = x(·, .), so the progressive measurability
condition is satisfied when c > O. The condition when c = 0 is satisfied
because the family is adapted. The left continuous case is treated similarly.
Observe that if whenever e > 0 the restriction of the family x(·) to the
set [O,c] is ~[O,c] x ~(c+e) measurable, then (b) is satisfied. In fact
this condition implies that for 0 < lJ < c the restriction of this family to
[0, c - lJ] is
~([O,c - lJ]) x ~ (c -~) c ~([O,cD x ~-(c)
measurable, and this yields (b). In other words the adapted process {x(·),
~(.)} is progressively measurable if the process {x(t),~(t + e),tEIR+} is
progressively measurable for every e > O.
3. Random Variables
A probability space is a triple (O,~, P) consisting of a measurable space

(O,~) and a measure P on ? with prO} = 1. It will frequently be un-
necessary to specify 0 or ~, but it will always be supposed even though
not mentioned that P is complete, that is, that subsets of P null sets in ~
are also in ~.
A random variable is a measurable function from a probability space
into a measurable "state" space. If the state space is topological, its measur-
able sets unless otherwise specified will be the Borel sets. The distribution
of a random variable x is defined as the measure Jl on the class of measurable
sets of the state space induced by x: Jl(A) = P{xEA}. The integral of a
real-valued random variable x will be denoted by E{x}, and the integral of
x over a set A will sometimes be denoted by E {x; A}.
Sometimes the context is expanded to allow measures P other than
probability measures, even to allow prO} = + 00, but if so, the expansion
is mentioned explicitly.
We follow the common abuse of notation in measure theory, in which
the same notation is used for equivalence classes of measurable functions
under the equivalence relation of almost everywhere (a.e.) equality, or
"almost sure" (a.s.) equality in the slang of probability, as for their members.
The proper interpretation will be clear from the context. Thus the essential
infimum ess infa Za of a family of random variables (Appendix IV.9) is
determined only up to a null set and properly speaking is an equivalence
class, but the language and the notation will refer either to the equivalence
class or to one of its members, as indicated by the context. The members of
such an equivalence class will sometimes be called versions of the class.
4. Conditional Expectations 391
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:F is a (J algebra of measurable
sets, the conditional expectation E{xl:F} is the uniquely determined up
to null sets random variable which is :F measurable and satisfies
E{E{xl:F};A} = E{x;A} for AE:F. (4.1)
The notation E{xl:F} always refers to anyone 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{yl:F} = y a.s. if y is:F measurable, in particular, if y is a constant
function.
(b) If y is bounded and:F measurable, E{xyl:F} = yE{xl:F} a.s.
(c) E{x + yl:F} = E{xl:F} + E{yl:F} a.s.
(d) x:s; y a.s. implies that E{xl:F} :s; E{yl:F} a.s.and almost sure
equality in the first inequality implies almost sure equality in the second.
These properties imply that the map xI--+E{xl:F} is a positive linear
idempotent transformation from L l into L l , of norm l.
(el) If AE:F and if x = y a.s. on A, then E{xl:F} = E{yl:F} a.s. on A.
(e2) If AE :F II '§ and if the (J algebras :F and '§ have the same trace
on A (that is, if a subset of A is in :F if and only if the subset is in '§), then
E{xl:F} = E{xl'§} a.s. on A.
(f) If:F c '§, then
E{E{xl:F}I'§} = E{E{xl'§}I:F} = E{xl:F} a.s. (4.2)
The next properties are less immediate, and their proofs will be sketched.
(g) If x is independent of :F (that is, if x is independent of every :F
measurable random variable), E{xl:F} = E{x} a.s.
In fact, if y is the indicator function of a set A in :F, the random variables
x, yare independent and
E{x;A} = E{xy} = E{x}E{y} = E{E{x};A} a.s. (4.3)
(h) Jensen's inequality for conditional expectations. If f is a convex

function and if x andf(x) are integrable, then
f[E{xl:F}] :s; E{f(x)I:F} ·a.s. (4.4)
In fact, iff(~) ;;::: a~ + b for all ~,

EU(x)I~} ~ aE{xl~} +b a.s., (4.5)
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 ~ contains only the space
and the empty set, (4.4) reduces to Jensen's inequality.
According to (h), if p ~ 1, the transformation xl-+E{xl~} takes U
into itself. In particular, let IDl be the space of square integrable ~ measur-
able random variables. The transformation maps L 2 onto IDl, and it is
easy to verify that x - E{xl~} is orthogonal to IDl, so that the trans-
formation acting on L 2 is the orthogonal projection onto IDl.
(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 Ixl),
and then if we write x, for E {x I~} and if c is a strictly positive constant,
E{x,; x, > c} = E{x; x, > c}, P{x, > c} :s; E{x,} = E{x}.
c c
(4.6)
The second relation ensures that, for sufficiently large c, P{x, > c} is
uniformly small as ~ varies and the left side of the first relation must then
also be uniformly small for large c as ~ 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 (J) (Appendix V) for
which E {(J)(lxl)} < + 00. Apply Jensen's inequality (h) above for conditional
expectations to obtain
E{(J)(E{lxll~})}:s;E{E{(J)(lxl)I~} = E{(J)(lxl)}·
Since the left side is uniformly bounded as ~ varies, the family ofconditional
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), tEI} is a family of integrable random variables and is
directed upward neglecting null sets, then (whether or not essSUptelX(t) is
integrable)
5. Conditional Expectation Continuity Theorem 393
esssupE{x(t)lff} = E {ess sup X(t)lff} a.s. (4.7)

tel tel
This fact for integrals, that is, in the present context for expectations,
is proved in Appendix IV.9. Since the family {E{x(t)lff}, tE I} is directed
upward neglecting null sets, the result for integrals yields, when A E ff,
E{esssuPE{X(t)lff};A} = supE{x(t);A} = E{essSUPX(t);A},

tel tel tel
(4.8)
and this equation is equivalent to (4.7) if we choose the essential supremum

on the left, as we can, to be ff measurable.
The corresponding result for downward-directed families is deduced
by replacing x(t) by - x(t).
Specialization. If x is an integrable random variable and if x(·) is a family
of random variables, E{xlx(.)} is defined as E{xlff {x(·)}}. In particular,
if x(·) is a finite set of random variables, say x(l), ... , x(n), it follows
(Appendix IV.3) that there is a Borel measurable function 4J on IR n such that
E{xlx(I), ... ,x(n)} = 4J[x(l), ... ,x(n)] a.s. (4.9)
5. Conditional Expectation Continuity Theorem

Theorem. Let {ff(n),nEZ+} [{ff(n),nE -Z+}] be a filtration of a proba-
bility space (Q,ff,P), and define ff(+oo)=Y~ff(n) [ff(-oo)=
n~oo ff(n)]. Then if x is an integrable random variable on Q, it follows that
in both the almost everywhere and L 1 senses
lim E{xlff(n)} = E{xlff( + oo)} (5.1)

n.... oo
in the forward case and
lim E{xlff(n)} = E{x!ff(-oo)} (5.2)

n.... -oo
in the backward case.
This theorem has applications in surprisingly many apparently unrelated

contexts. It is a martingale convergence theorem and as such will be derived
again (Sections III.l4 and 111.17), but an independent proof will be given
here to avert suspicion of circular reasoning. To simplify the notation,
define x(n) = E{xlff(n)} for n in Z+ or in -Z+ according to the context.
To prove (5.1), choose integers j < k < I < m and real numbers a < b,
and define
v = inf {n ~ I: x(n) ~ b},
[j,k,l; r] = {min x(n)

jS;nS;k
~ a; v = r} E9"(r),
(5.3)
[j,k;l,m] = {min
js;ns;k
x(n) ~ a; max x(n) ~ b} =
/S;nS;m r=/
[j,k,l;r], 0
[a;b] = {liminfX(n)
n-co
~ a,limsupx(n)
"-CO
~ b}.
Then x(r) ~ b on [j, k, I; r] ;so
L'k;"mJ xdP = ~/ L'k,,;rJ x(r)dP ~ ~/ L'k,,;rJ bdP

(5.4)
= bP{[j,k;l,m]}.
Observe that if "~ a" had been "< a" or "~ b" had been "> b" in the
above definitions, the change would carryover 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 -+ + 00, 1-+ + 00, k -+ + 00,
j-++oo,
r xdP ~ bP{[a;b]}. (5.5)

Jla;bJ
If the triple x, a, b is replaced by -x, -b, -a in (5.5), this inequality becomes
r
J1a;bl
xdP ~ aP{[a;b]}, (5.6)
and we conclude that P{[a; b]} = O. The equality
{x(·) diverges} = U [a;b]

a<b
a,b rational
implies that there is almost everywhere convergence, say limn.... oo x(n) =

x'( + 00), and since according to Section 4(i) the sequence x(·) is uniformly
integrable, the limit function x' ( + 00) is integrable and there is L 1 conver-
gence (Appendix V). Finally, x'( + 00) can be chosen 9"( + 00) measurable,
5. Conditional Expectation Continuity Theorem 395
and if A is in the algebra Ug'

.?F(n) which generates.?F( + 00), then SA x dP =
SA x(n)dP for sufficiently large n so in view of the L 1 convergence of x(-)
IXdP= LX'(+oo)dP.
The equality must also be true for A in .?F( + 00), so x' ( + 00) = x( + 00)
almost surely, as was to be proved.
The proof of (5.2) is similar to that of (5.1) but is easier. If a < band
m < n, the same argument as that in the preceding proof shows that if v is
defined as in (5.3), if
[I,m] = {xC - 00):::;; a, max x(n) ~ b},

I,;;n,;;m
and if [a; b] is defined as in (5.3) except that n ~ - 00, then
i[I,m)
xdP ~ bP{[/,m]}, (5.4')
so that if successively I ~ - 00, m ~ - 00,
i[a;b)
xdP ~ bP{[a;b]}. (5.5')
Replacing x, a, b by -x, -b, -a as in the preceding proof, we find that

P{[a;b]} = 0, which implies that the uniformly integrable sequence x(-) is
almost surely and L 1 convergent to some random variable x' ( - 00). This
random variable can be chosen.?F( - 00) measurable. Finally, if Ae.?F( - 00)
Ix(-oo)dP= IXdP= LX(n)dP
for all finite n and when n ~ - 00, the L 1 convergence of x(-) implies that
these three integrals are also equal to Sx'( - 00) dP; so x'( - 00) = x( - 00)
almost surely, as was to be proved.
Generalization of Theorem 5 to Linearly Ordered Index Sets
Let (I, :::;;) be a linearly ordered set and let {<;§(t), t e I} be a monotone family
of (1 algebras of measurable subsets of a probability space. Suppose that I
does not have a last element and denote by <;§( 00) either YreI <;§(t) or nteI <;§(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. I. Fundamental Concepts of Probability
limE{xl<§(t)} = E{xl<§(co)} (5.7)

It
both as an almost everywhere essential limit and an L 1 limit. We shall use

the notation x(t) = E{xl<§(t)} for tE/U {co}.
Case (a): / is countable. In this case there is according to Appendix
Theorem IV. 10 an increasing sequence t. in / for· which the essential limits
inferior and superior of x(·) along / are, respectively, the same as along t•.
The generalization of Theorem 5 for countable / thus follows from Theorem
5. Moreover the limit in (5.7) can be taken as an ordinary almost everywhere
pointwise limit because / is countable.
Case (b): General case. If / has a countable cofinal subset, there is even
(Appendix I1I.B) a countable cofinal subset J of / such that x(·) has the
same essential limits inferior and superior, respectively, along J as along I.
According to case (a), there is almost everywhere convergence along J, and
it follows that there is essential order convergence along /. The identification
of the limit and the L 1 convergence are left to the reader. If / has no countable
cofinal subset, we prove a stronger result than (5.7): there is a point to of /
such that for t > to
P{x(t) = x(to)} = I. (5.8)
To see this when G(·) is increasing, observe that (Appendix IV.2) there is a
countable subset J of / such that x( co) is Y, e J G(t) measurable, and we leave
to the reader the proof that (5.8) is true with to any upper order bound of J.
The following argument is more instructive and shows that to exists satisfying
(5.8) whether G(·) is increasing or decreasing. An order-preserving map 4J
will be exhibited in Section IlIA, involving only elementary inequalities,
taking / into a subset r of IR, with the property that 4J(s) = 4J(t) if and only
if P{x(s) = x(t)} = I. The set r must have a last element t' because r has a
cofinal sequence s:, and if s. is a sequence in / with 4J(sJ = s: and if t is an
order upper bound of s., then 4J(t) = t' is the last element of r. Each element
to of 4J-l(t') satisfies (5.8).
6. Fatou's Lemma for Conditional Expectations
Lemma. Define /, <§(.) as in the generalization of Theorem 5, and let {x(t),

t E /} be a family ofpositive extended real-valued random variables. Then
ess lim inf E{x(t)I<§(t)} ~ E{ess lim inf x(t)I<§( co)} a.s. (6.1)
It It
/n particular, if 1= 7!..+,
7. Dominated Convergence Theorem for Conditional Expectations 397
liminfE{x(n)I~(n)} ~ E{liminfx(n)I~(oo)} a.s. (6.1')

n-oo "-00
For every kin 7L+ and s in [the left side of(6.1) is almost surely at least
essliminfE{k /\ essinfx(r)I~(t)} = E{k /\ essinfx(r)I~(oo)} a.s. (6.2)

rt r~s r~s
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{ess lim infrt x(t)I~(oo)}
according to (4.7).
7. Dominated Convergence Theorem for Conditional

Expectations
Theorem. Let {~(n),nE7L+} be a monotone sequence ofa algebras of mea-
surable subsets of a probability space, and denote by ~(oo) either z+ ~(n) Yr..
or nneZ+ ~(n) according as ~(.) is monotone increasing or decreasing. Let
{x(n), n E 7L +} be a sequence of random variables on the space, with almost
sure limit x( 00) and E{ SUPneZ+ Ix(n)!} < + 00. Then
limE{x(n)I~(n)} = E{x(oo)I~(oo)} a.s. (7.1)

n-co
To prove this theorem, apply Fatou's lemma for conditional expectations

to the sequences
{ sup Ix(m)1 - x(n), n E 7L+}.

meZ+
Application. Let fi' be a a algebra of measurable sets of a probability

space. Let x and y be random variables on the space with x independent of
fi', y measurable with respect to fi'. Letfbe a bounded Borel measurable
function on [R2, and definefl on [R by fl(Yf) = E{f(x,Yf)}. Thenfl is Borel
measurable, and E{ f(x, y)Ifi'} = fl (y) almost surely. To prove this asser-
tion, let r be the class of bounded Borel measurable functions f for which
this assertion is true. The class r includes the functions of the form (e, Yf) f-+
g(Oh(Yf) with g and h bounded Borel measurable functions on [R because in
this casefl (Yf) = E{g(x) }h(Yf), and by Section 4(b) and (g)
E{g(x)h(y)Ifi'} = E{g(x)Ifi'}h(y) = fl (y) a.e. (7.2)
The class r is linear and is closed under bounded pointwise convergence in

view of the dominated convergence theorem for conditional expectations.
Hence r is the class of bounded Borel measurable functions on [R2, as was
to be proved.
8. Stochastic Processes, "Evanescent," "Indistinguishable,"

"Standard Modification," "Nearly"
Let (0, $', P) be a probability space, and let I be an arbitrary set (to be used
as the parameter set of a family of random variables). A subset A of I x 0
is called evanescent if there is a set A in $' for which P {A} = 0 and A c I x A.
A subset of an evanescent set is evanescent, and a countable union of evanes-
cent sets is evanescent. For many purposes evanescent subsets of I x 0 are
counterparts of the polar subsets of the state space in classical potential
theory, and we shall accordingly describe a relation true on I x 0 up to an
evanescent set as true quasi everywhere.
A stochastic process on (0, $', P,I) is a family of random variables
{x(t), tEI} with a common state space, defined on (0, $', P), with parameter
set I. The random variable x(t) of this process has the value x(t, w) at the
point w of 0, and the process thus defines a function from I x 0 into the
state space of the process, that is, the state space of the random variables.
with the property that each function x(t) = x(t, 0) is measurable. Two
processes x(o) and y(o) with common probability space, parameter set, and
state space are called indistinguishable if x( 0, 0) = y( 0, 0) quasi everywhere on
I x 0, that is, if
P{w: x(t,w) = y(t,w) for all t} = l. (8.1)
Two subsets of I x 0 are called indistinguishable if their indicator functions

determine indistinguishable processes, that is, if the sets differ by an evanes-
cent set. Two processes x(o) and y(o) with common probability space,
parameter set, and state space are said to be standard modifications of each
other if
P{w: x(t,w) = y(t,w)} = I (8.2)
for all t. The adjective "standard" is sometimes omitted.

Sums of processes, functions of a process, and so on are defined in the
obvious way in terms of the random variables of the processes.
The concept of an adapted family {x(t), $' (t), t E I} of functions on a
measurable space was defined in Section I. If the measurable space is a
probability space, the family becomes an adapted stochastic process,
and the above notation always implies adaptedness unless the contrary
is stated.
A stochastic process indistinguishable from one having a specified char-
acter will sometimes be said to have nearly that character, and the corre-
sponding description will be used for subsets of I x O. Thus a nearly pro-
gressively measurable process is a process indistinguishable from a progres-
sively measurable process.
8. "Evanescent," "Indistinguishable," "Standard Modification," "Nearly" 399
Normalizing Hypotheses on Filtrations
Let {.fF(t), t E I} be a filtration of a measure space, and suppose that I has a

first point, denoted by O. If the given measure is complete, as is our conven-
tion for probability measure spaces, the hypothesis that .fF(0) contains the
null sets implies that the restriction of the given measure to each (J algebra
.fF(t) is complete, but the converse is false. In practically every investigation
involving a filtration the parameter set has a first element, and it is possible
without loss of generality to suppose that the first (J algebra contains the
null sets, at the cost of enlarging each (J algebra .fF(t) to the (J algebra gener-
ated by .fF(t) and the null sets. If the parameter set is IR+, it is usually also
possible without loss of generality to replace .fF(.) by the right continuous
filtration .fF+ (').
Progressively Measurable Stochastic Processes
If {x(t), .fF(t), t E IR+} is a progressively measurable stochastic process every

sample function x(' , ill) is necessarily Borel measurable. If this process is only
nearly progressively measurable, it need not be progressively measurable, but
almost every sample function is Borel measurable. For example, define a real-
valued process with x(' , ill) arbitrary for ill in some null set of a probability
space, define x(· , ill) = 0 otherwise, and define .fF (t) for all t as the (J algebra
consisting of the null sets and their complements. The process {x('), .fF(.)} is
then indistinguishable from the identically 0 progressively measurable pro-
cess but is progressively measurable only in trivial cases. It is nevertheless
true that most theorems involving progressively measurable processes are
valid with unimportant modifications for nearly progressively measurable
processes.
Almost Surely [Right] [[Left]] Continuous Processes and Progressive

Measurability
If {x( t), t E IR +} is a stochastic process with a topological state space the

process will be called [almost surely] continuous or right continuous or left
continuous if [almost every] sample function has the stated property. If
{x(t), .fF(t), t E IR+} is almost surely [right] [[left]] continuous and adapted
and if .fF(0) contains the null sets the sample function x(· , ill) can be redefined,
say by setting x(t, ill) = x(O, ill) for all t when ill is in the exceptional null set,
to obtain a [right] [[left]] continuous process adapted to .fF(.) and indis-
tinguishable from the given process. If in addition the state space is Polish,
this modified process is progressively measurable according to Section 2.
It would be consistent with our conventions to call an almost surely right
or left continuous process nearly right or left continuous, but the almost
surely terminology is the customary one.
Stochastic Processes in the Essential Order
The class of extended real-valued processes with a common probability

space and parameter set is ordered by the essential order in which y(.) is a
majorant of x('), denoted by x(·) ::s; y(.) or y(.) ~ x('), if P{x(t) ::s; y(t)} = I
for all t. This order is thus an ordering of equivalence classes in which two
processes are identified if each is a standard modification of the other. The
usual inexact language in which a "process" may actually be an equivalence
class will be used when there is no danger of confusion.
Essential Order Infima and Suprema
If r: {Xa('),iXEJ} is a family of stochastic processes with a common

probability space, common parameter set, and extended real-valued
random variables, the essential order infimum of the family, denoted by
essinfaeJxa(') or essinfr, is the process whose tth random variable is
essinfaeJxa(t) [chosen to be §"(t) measurable if r is specified as a family
of processes adapted to a common filtration §"(.)]. The process ess sup r is
defined and denoted dually. These processes are uniquely determined up to
standard modifications and therefore are unique in the essential order.
LP Bounded and Uniformly Integrable Processes
A stochastic process is said to be LP bounded if the family of its random

variables is LP bounded and is said to be uniformly integrable if the family of
its random variables is uniformly integrable.
Sample Function Integrals
If {x(t), ~(t), t E IR+} is a progressively measurable stochastic process with

state space the extended reals, the process sample functions are Borel mea-
surable. If the process random variables are positive, the sample function
integrals are well defined, that is, meaningful, and if y(t) = f~ x(s)/ 1 (ds), that
is, if for each point w of the probability space on which the process x(·) is
defined y(t, w) = f~ x(s, w)/ 1 (tis), then the process {y('), ~(.)} is progres-
sively measurable (Fubini's theorem). This integral process is also well
defined and progressively measurable ifinstead ofsupposing that the random
variables are positive, it is supposed that the x(·) process sample functions
are II absolutely integrable over finite intervals. If the process {x(·), ~ (.)} is
not supposed progressively measurable but merely indistinguishable from a
progressively measurable process, the above remarks are modified in the
obvious way.
9. The Hitting of Sets and Progressive Measurability 401
9. The Hitting of Sets and Progressive Measurability

Theorem. Let (Q,~, P; ~(t), tE ~+) be a filtered probability space, suppose
that the restriction of P to ~(t) is complete for all t, and let c be a strictly
positive constant.
(a) If A" is a subset of ~+ x Q, analytic over the class of progressively
measurable sets, then the projection of A" rl ([0, c] x Q) on Q is in
~(c).
Let {x(·), ~ (.)} be a progressively measurable stochastic process
on (Q, P, ~), with an arbitrary state space (X, ~).
(b) If A' is a subset of~+ x X analytic over gj(~+) x ~, then
{w: (t, x(t, w»EA' for some t ~ c} E ~(c). (9.1)
(c) If A is a subset ofX analytic over ~, then
{W; x(t, w)EAfor some t ~ c} E~(C). (9.2)
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,w) t-+ (t,x(t, w» from the measurable space ~+ x Qcoupled with
the class of progressively measurable sets into the measurable space (~+ x X,
gj(~+) x ~) is measurable because the inverse image of any product set
[0, b] x Xo with Xo in ~ is a progressively measurable set. Hence (Appendix
Theorem 1.8) the inverse image of any set A' analytic over gj(~+) x ?l' is a
set A" analytic over the class of progressively measurable sets. Finally the
projection of A" rl ([0, c] x Q) 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
Q is analytic over ~(c) and therefore is in ~(c) by Lusin's theorem (Theorem
4 of Appendix II because the restriction of P to ~(c) is a complete measure.
Variant of the Theorem
In (a) the projection of A" rl ([0, c[ x Q) on Q and in (b) and (c) the sets in
(9.1) and (9.2) with "t ~ c" replaced by "t < c" are all in ~-(c) = Yr<c~(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 - I In, n ~ I.
Generalization
If in (b) and (c) the process is supposed merely indistinguishable from a

progressively measurable process, the conclusion remains valid if ~(O) con-
tains the P null sets. This added condition implies the validity of the condi-
402 2. I. Fundamental Concepts of Probability
tion already imposed, that the restriction of P to ~(t) be complete, because

P as always is itself supposed complete.
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.
10. Canonical Processes and Finite-Dimensional Distributions

Let (X, f{) be a measurable space, let I be a space and let n be a subset of the
space Xl of functions 01 from I into X. Denote O1(t) by x(t,01), and define
# = ~ {x( t), t e I}; that is, # is the (1 algebra generated by the algebra
U~{X(t1)"" ,x(t")}, where the union is over all finite subsets t. of I. If
P is a probability measure on #, extended by completion to a complete
probability measure on #*::> #, {x(t),teI} is a stochastic process on
(n, #*, p). A process defined in this way, by means of a measure on a subset
of the function space XI, will be called canonical.
If {x(t),teI} is a stochastic process with state space (X,f{) on a prob-
ability space (n,~, P), a finite-dimensional distribution of the process is the
distribution of a finite set of the process random variables,
(A ef{"). (10.1)
An associated canonical process with the same parameter set, state space,
and finite-dimensional distributions can be defined as follows. Set n = XI.
The map ¢: wl---.x(·,w) is measurable from (n,~) into (n,#) because
(A ef{").
(10.2)
Define Pon # as the measure induced by P; that is, P{A} = P {¢-1 (A)}. If
as usual P is supposed complete, it follows that ¢-1(#*) c~; so ¢ is a
measurable map from (n,~) into (n, #*). Note that ~ may be strictly
larger than ¢-1(#*) so that there may be sample function properties defin-
ing measurable subsets ofn but not ofn. Sample function properties involv-
ing uncountably many parameter values are obvious candidates.
If I is a topological space and if (X, f{) is a topological space with f{ the
(1 algebra generated by the open subsets of X, suppose that x(·) in the pre-
ceding paragraph is a continuous process. Then we can choose an associated

continuous canonical process by setting n = nn the space of continuous
functions from I into X, a subset of XI. The map ¢ above is now from n into
nn and P induces a measure on this function space. The family x(') of
10. Canonical Processes and Finite-Dimensional Distributions 403
coordinate variables on Oe is the canonical continuous process associated

with x(·). If x(') is an almost surely continuous process, that is, if there is a
measurable subset Oe of 0 with P{Oe} = I whose corresponding sample
functions are continuous, the preceding procedure applied to Oe instead of
o yields a canonical continuous process associated with x(·). If I is ordered,
with a first point iX, and if the distribution of X(iX) is supported by some
measurable set A, it is sometimes convenient to restrict the associated canoni-
cal process further by defining Oe as the class of continuous functions from
I into X with initial value in A. If I is an interval of ~ and if x(·) is an almost
surely right continuous process, the preceding discussion for continuous
processes has the obvious modification in which Oe is replaced by the space
of right continuous functions from I into X.
The class of finite-dimensional distributions of a stochastic process x(·)
satisfies two consistency conditions: (a) if A E fl'"
(10.3)
and (b) if t~, ... , t~ is a permutation of t t, ... , t", the measure p(t t, ... , t" ; .)
becomes the measure p(t~, ... , t~;·) when the coordinates of X" undergo
the same permutation.
Kolmogorov's Construction of Canonical Processes (see the Historical

Notes to this Section)
Let (X, fl') be a Polish space coupled with its (1 algebra of Borel sets. Then
(X", fl'") is for n ~ I also a Polish space coupled with its (1 algebra of Borel
sets, and therefore (Appendix IV.11) every measure on fl'" is inner regular.
Kolmogorov showed that for an arbitrary parameter set I, state space
(X, fl'), and arbitrary finite-dimensional distributions for this choice of
parameter set and statt: space, satisfying (a) and (b) above, there is a canonical
stochastic process with 0 = Xl and the given finite-dimensional distri-
butions. (Kolmogorov had X = ~, but the above inner regularity property
was all his proof needed.) His method of proof was to define P on the
algebra Ug; {.i(t 1), ... , x(t")} by
(A E f£") (10.4)
and then to show that P was countably additive. The extension of P to :I

followed by completion makes P the measure on function space inducing
the desired process x(·).
Specification of a Stochastic Process and Analysis of Its Sample Functions
A stochastic process is usually specified (i) by its state space, parameter

set, and finite-dimensional distributions, and sometimes in addition (ii) by
such further properties as continuity, progressive measurability, and so on.

In discussing process sample functions all probabilities should be derived
from these specifications, and if there is a choice of probability measure
space, process sample function probabilities should not depend on the
choice. In analyzing the meaning of this admonition suppose first that there
are no specifications under (ii) above. Let (0, $', P) be a probability space,
and let {x(t), t E I} be a process on this space with arbitrary state space
(X,,q£) and specified finite-dimensional distributions p(.; .). If t 1, . . . , t"
are parameter values, if AE,q£", and if A = {[X(t1)"" ,x(t,,)]EA}, then
P{A} is determined by the finite-dimensional distributions; so these dis-
tributions determine P on the algebra of all such sets A and so determine
P on the (J algebra $" = $' {x(t), tEI} generated by this algebra. Finally
the finite-dimensional distributions determine P on the class of $' sets
obtained by completing the restriction of P to $". That is to say in the
n
notation of the beginning of this section with = XI, the finite-dimensional
distributions determine P on 4>-1(.#*). A set A not in 4>-1(.#*) but defined
~ conditions on x(·) sample functions, that is, A = 4>-1(A) with A not in
:#' *, may be measurable for some choices of (0, $', P) and x('), with the
specified finite-dimensional distributions, but if so, P{A} may depend on
the choice. (See Section II for an example of this possibility.)
This discussion is modified in the obvious way if there are specifications
prescribed under (ii) above. For example, suppose that I is an interval of
IR, that (X,,q£) = (IR, .sf(IR», and that the process x(·) is almost surely con-
tinuous. Define the associated continuous canonical process, setting = n
nco The (J algebra .#* is now a (J algebra of subsets of nc,
and new sample
function properties can be analyzed. For example, it is now true that if
I' is a countable dense subset of I and if
A = {sup
Ie
x(t) :::;; I} , then A = {sup x(t) :::;; I} E.# and, up to a null set,
IeI'
4>-1 (A) = {suPX(t):::;; I} = {suPx(t):::;; I} E4>-1(.#);

leI leI'
SO p{4>-1(A)} is defined and equal to p{A} no matter what the choice of

(0, $', P) and the process x(·) as long as the process has the given finite-
dimensional distributions and is almost surely continuous.
11. Choice of the Basic Probability Space

In each example x(·) is a stochastic process with parameter set I and state
space (X,,q£) on the probability space (0, $', P).
EXAMPLE (a). Let 1= 1L.+, (X,,q£) = (IR, .sf(IR», and let x(O), x(l), be 0 ••
mutually independent random variables. The theorem that the probability

12. The Hitting of Sets by a Right Continuous Process 405
of convergence of I:O' x(n) is either 0 or 1 does not depend for its validity
on the choice of probability space, and the value of this probability, 0 or
1 as the case may be, depends only on the distributions of the random
variables, that is, on the finite-dimensional distributions of the process x(·).
EXAMPLE (b). Let 1= n = X = ~+, let X = .?I(~+), let ff be the (1 algebra

of subsets of n measurable for the completion P of a probability measure
on .?I(~+), and suppose that all singletons are P null. Define ff(t) = ff
for t E ~+ , and define .
I if t = w,
x(t,w) = { 0
if t i= w,
The processes {x('),ff(')} and {x 1 ('),ff(')} are progressively measurable.

Moreover these two processes have the same finite-dimensional distributions,
and in fact x 1 (·) is a standard modification of x(·). Since no x(·) process
sample function is continuous and every Xl (.) process sample function is
continuous, an assertion involving the value of the probability of a sample
function continuity property for a progressively measurable process must
involve specification of the process beyond its finite-dimensional distri-
butions. The hypotheses of Theorem 9(b) and (c) are satisfied by both
{x('),ff(')} and {x 1 ('),ff(')}; so for each process that theorem, whose
conclusion is trivial for these processes, asserts that if A is an analytic subset
of X = ~+, the probability that a sample function ever takes on a value in
A, that is, the probability that a sample path hits A, is well defined. If A
is the set ~ - {O}, this hitting probability is 1 for the x(·) process and 0 for
the Xl (.) process. Thus in Theorem 9(b) and (c) if the finite-dimensional
distributions of x(·) are specified, the probability of hitting A depends on
which progressively measurable process with those finite-dimensional dis-
tributions is chosen.
12. The Hitting of Sets by a Right Continuous Process

EXAMPLE (a). If {x(t), t E ~+} is a right continuous process with a topological
state space and if c > 0, the probability that an x(·) path hits an open set B
at some time :::;; c is the probability of the set
U {x(t)EB} = U {x(rc)EB}. (12.1)

t~c O~r~l
r rational
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
does not depend on the choice of almost surely right continuous process
with the given finite-dimensional distributions.
EXAMPLE (b) (The hitting of an Fa set by a continuous process). If {x(t),

t e IR+} is a continuous process with a metric state space, if A is a closed
subset of the state space, and if B n for n ~ 1 is the open set of points at dis-
tance < lin from A, the probability of hitting A by time e is the probability
of hitting every Bn by time e, and this probability is that of the set
U {x(t)eA} =
r,;;c
n
00
n:l
U
0,;;,,;;1
{x(re)eBn }. (12.2)
r rational
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 e if and
only ifsome summand is. Thus for a continuous (or almost surely continuous)
process with a metric state space the probability of hitting an Fa set by time
e does not depend on the choice of almost surely continuous process with the
given finite-dimensional distributions.
These examples should be compared with the Section 11 examples which

show that two progressively measurable processes with state space the line
and identical finite-dimensional distributions may have quite different prob-
abilities for hitting an open set. The following discussion shows that the
hypothesis of right continuity of a process prevents such a circumstance
for the hitting of analytic subsets of a Polish state space.
Let (X,~) be a Polish space together with its Borel subsets, let {x(t),
3i"(t), te IR+} be a right continuous adapted process with (X,~) as state
process, on the probability measure space (Q, 3i", P), and let x(o) be the
associated right continuous canonical process with the same state space and
finite-dimensional distributions, on the probability measure space (n,;I, h.
As usual it is supposed that all process measures are complete. Suppose
that each (J algebra has been enlarged if necessary to make 3i"(0) contain
the null sets. Define ;I(t) as the (J algebra generated by 3i"{x(s),s ~ t} and
the P null sets. The processes {x(o), 3i"(o)} and {x(o), ;I(o)} are progressively
measurable according to Section 2; thus (by Theorem 9) if A' is a subset
of IR+ x X analytic over .?4(IR+) x ~, if e > 0, if
A = {w: (t,x(t,w»eA' for some t ~ e}, (12.3)
and if A is defined similarly for x(o), then Ae3i"(e) and Ae#(e). Moreover
since A = fj}-I(A) (notation of Section 10), it follows that P{A} = p{A}.
Thus P{A} depends on the finite-dimensional distributions and the right
continuity hypothesis but not otherwise on the choice of (Q, 3i", P) and x(o).
In particular, if A is an analytic subset of X and A' = [0, e] x A, it follows
that the probability of the set
13. Measurability versus Progressive Measurablity of Stochastic Processes 407
{W: x(t,w)EA for some t:5; c} (12.4)
depends only on the finite-dimensional distributions and the right continuity

hypothesis.
If the process x(·) is supposed only almost surely right continuous, we
can omit the P null subset of 0 corresponding to non-right continuous
sample functions to get the same results as in the right continuous case.
If in (12.3) and (12.4) the restriction on t is t < c instead of t :s; c, all of
the above results remain valid, in fact can be slightly sharpened since the
sets in (12.3) and (12.4) are then in ff-(c).
13. Measurability versus Progressive Measurablity of

Stochastic Processes
Let (0, ff, P) be a probability space. We shall need a definition of con-

vergence in measure for random variables from this space into ~ when the
random variables may have the values ± 00 with strictly positive probability.
In this context we shall say that a sequence x. of random variables converges
in measure to x if the sequence arctan x. converges in measure to x in the
usual sense, equivalently, if
lim E{larctanx - arctanxnl} = O.

n-co
The metric
d(x,Y) = E{larctanx - arctanyl} (13.1)
on the space S of extended real-valued random variables has the property

that a sequence converges in the metric if and only if the sequence converges
in measure in the above sense. This metric, together with the identification
of two random variables whenever they are equal almost everywhere, makes
S a complete metric space. Observe that if a sequence in S converges in
the metric (13.1), then some subsequence of the corresponding random
variables converges almost everywhere, in the topology of ~. There is
therefore a sequence E. of strictly positive numbers such that if d(x, x n) :5; En,
then limn_co X n = x almost everywhere. We use here the standard abuse of
language, leaving it to the reader to decide when a symbol represents a
function on 0 and when it represents a point of S, that is, an equivalence
class of functions. Observe that if we wished to treat only random variables
bounded in modulus by 1, the L 1 metric could be used instead of the metric
(13.1). In fact one way to carry out the work of this section is to replace
each random variable x by (2In) arctan x and thereby make all random
variables bounded in modulus by I.
In the present context a process {x(t), t E IR+} with state space ~ defines
a function PX('): t t-+ x(t) from IR+ 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.
Theoremo Let (0., F, P) be a probability space, and let {x(t), tE IR+} be a

process on the space, with state space ~.
(a) The process has a measurable standard modification if and only if
the function Px(.) is Borel measurable.
Suppose that the probability space is provided with a right con-
tinuousfiltration {F(t), tE IR+} for which F(O) contains the null sets.
(b) If the process {x(o),F(o)} is adapted and measurable, it has a pro-
gressively measurable standard modification.
(c) If x(o, 0) is measurable on IR+ x 0. relative to the completion of the
measure 11 x P, there is a progressively measurable process x'(o) such
that
P{x(t) = x'(t)} = 1 for 11 almost every t. (13.2)
Proof of (a). (i) If x(o) is a measurable process, then PX(.) is Borel measurable.
Since each measurable process x(o) is determined by a function (t,w)t-+
x(t,w) and since pointwise convergence of a sequence {xio,o),nEZ+}
implies pointwise convergence of the corresponding sequence {Pxno, n E Z+},
it is sufficient to show that if x(o, 0) has the form
with A 1 , •.• , An disjoint Borel subsets of IR+ and AjE F, then PX(.) is Borel
measurable. This Borel measurability is trivial.
(ii) If PX(.) is Borel measurable, then x(o) has a measurable standard modi-
fication. To show this, if is sufficient to show that the class of functions
from IR+ into S corresponding to processes which have measurable standard
modifications includes the continuous functions and is closed under con-
vergence. Suppose first that PX(.) is continuous. Define
Since PX(.) is uniformly continuous on compact intervals, there are posi-

tive integers k 1 < k 2 < . .. such that (see the beginning of this section)
d[x(s), x(t)] < en if Is - tl ::s; 2- kn and s v t ::s; n; so for each fixed tin IR+
lim X[4>k (t)] = x(t) a.s. (13.3)

n-C(l n
13. Measurability versus Progressive Measurability of Stochastic Processes 409
If we define x'(t) = limsuPn_a:> X[<f>kn(t)] the process x'(o) is a measurable

standard modification of x(o). Next suppose that {xn(o),neZ+} is a sequence
of processes on (n, f7, P) with the property that each function (Jx n(') is Borel
measurable, that xn(o) has a measurable standard modification, and that
limn_a:> (3x nl'l = (JX(') exists in the S metric on IR+ ; that is, limn_a:> xn(t) = x(t)
exists in measure for all t. We can suppose that xn(o) has been chosen to be
measurable. Define mit) by
The set Ani = {t: mn(t) = j} is a Borel subset of IR+, and for each t
so
lim Xm (l)(t)
n-oo n
= x(t) a.s. (13.4)
and limn_a:> {Jxnl'l = (JX(')' The process defined by

(t,w)f-+X mn(1)(t,W)lA ~.(t) = xj.(t,w)IA .(t)
~
is measurable because it is the product of two measurable processes, so

summing over j we find that the process xmnd o) is measurable. The process
lim SUPn_a:> xmnd o) is therefore a measurable standard modification of x(o),
and the proof of (a) is complete. 0
Proof of (b). There is no loss of generality in proving (b) if we suppose,

after replacing x(o) by (2/n)arctanx(o), that Ix(o)l:$ I, and we shall assume
that all processes are bounded in this way throughout the proof of (b).
To each process x(o) then corresponds a process XO(o) defined by
Recall our convention that XO(t) is a version of the indicated conditional

expectation and that XO(o) is therefore determined only up to a standard
modification. The process XO(o) is adapted and is a standard modification
of x(o) if the latter process is adapted. To prove (b), it is sufficient to show
that whenever x(o) is measurable, in particular, whenever (3X(') is a Borel
measurable function, the process XO(o) has a progressively measurable
standard modification. It is therefore sufficient to show (i) that such a
modification exists for XO(o) if it exists when (3X(') is continuous and (ii) that
such a modification exists for XO(o) ifit exists for each process of the sequence
{x~(o), n e Z+} and limn_a:> (3x n(') = (3X(')'
Proof of (b)(i). If PX(') is continuous, the conditional expectation con-

tinuity theorem can be applied to (13.3) to obtain, in view of the right
continuity of ~ (0),
lim E{X[<Pk n (t)]I~ [<Pk n (t)]}

n-+oo
= E{x(t)I~(t)} = XO(t). a.s. (13.5)
When 2- kn < e, the nth term on the left defines a process adapted to and
progressively measurable relative to the filtration ~(o + e). Hence if the
limit in (13.5) is replaced by the limit superior, the resulting process is
progressively measurable relative to ~(o + e) for all strictly positive e and
so (Section 1.2) is progressively measurable relative to ~(o), and this process
is a standard modification of XO(o).
Proof of (b)(ii). Apply the conditional expectation continuity theorem
to (13.4) to obtain
(13.6)
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 XO(o). The proof of (b) is now complete.
Proof of(c). If X(o, 0) is It x P (completed) measurable, there is a function

(t,w).-xt(t,w) on R+ x Q which is measurable relative to ~(R+) x~,
that is, for which Xt (0) is a measurable process, such that x(o,o) = X t (0,0)
It x P almost everywhere. Hence (Fubini)
P{x(t) = xt(t)} = I (for It a.e. t).
According to (b), the process xt(o) has a progressively measurable standard

modification x'(o), and this is the process demanded by (c).
14. Predictable Families of Functions
Let (Q,~;~(t),tEI} be a filtered measurable space. The concept of a

predictable function family strengthens that of an adapted family in a way
suggested by the name.
Discrete Parameter Case, I = 7J.+
A sequence {x(n);~(n),nE2+} of functions from Q into a measurable

space is called predictable (relative to ~(o» if x(O) is ~(O) measurable and
if x(n) is ~(n - I) measurable for n > O.
14. Predictable Families of Functions 411
Continuous Parameter Case, 1= IR+
Consider the class of adapted families {x(t); g-(t), te IR+} of functions from
n into IR for which every sample function x(o,w) is left continuous, that is,
for which the family x(o) is left continuous. (Left continuity at 0 is vacuously
satisfied by every function on IR+.) The smallest (J algebra of subsets of
IR+ x n making the function (t,w)l-+x(t,w) measurable for every such
left continuous family x(o) is called the predictable (J algebra, and the sets
in this (J algebra are called predictable. A family {y(t), t e IR+} of functions
from n into an arbitrary measurable space is called predictable if the function
(t,w)l-+y(t,w) on the space IR+ x n coupled with its predictable (J algebra
is measurable. A predictable family is necessarily adapted to the given
filtration. Since left continuity ofa function family with state space (IR, &I(IR»
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 x(o) is predictable,
if rx > 0, and if xit) = x«t - rx) v 0), then the family x<x(o) is also predictable.
EXAMPLE (Continuous parameter case). By definition of predictability a left

continuous adapted family with state space (IR, &I(IR» is predictable. More
generally a left continuous adapted family with state space a metric space
coupled with its Borel sets is predictable. In fact, whenever f is a continuous
function from the state space into IR, the family {f[x(o)], g-(o)} is predictable,
and therefore the set {(t,w): x(t,w)eA} is a predictable set whenever A
is a Borel subset of the state space; so {x(o),/~'(o)} is predictable.
Generators of the Predictable (J Algebra
If 0::; a < b::; +00 and if Aeg-(a), the subset ]a,b] x A of IR+ x n if
b< + 00 or ]a, + 00 [ x A if b = + 00 is a predictable set, as is the product
set {O} x Ao when Aoeg-(O). The class of finite unions of sets in the class
r of product sets of these two types is an algebra, and we now show that
the (J algebra '§ generated by r is the predictable (J algebra. To see this,
observe first that if x(t) = l(oj(t)</> with </> an g-(O) measurable function
from n into IR, or if 0 ::; a with </> an g-(a) measur-
able function from n into IR, then the family x(o) is '§ measurable. Second,
observe that if {y(o), g-(o)} is a left continuous adapted family of functions
with state space (IR, &I(IR» and if
4n
Yn(t) = y(O)I{oj(t) + L y«(j - l)r n)I)U_1)2-n,ir n)(t),
j=l
then the family Yn(o) is t§ measurable because it has just been shown that
each summand family is. Finally y(o) = limn_tO Yn("); so y(o) is '§ measurable,
and therefore f§ is the predictable (1 algebra, as asserted. The class of sets

analytic over the paving r therefore (Theorem 4 of Appendix I) includes
the predictable (1 algebra (so is the same as the class of analytic sets over
the predictable (1 algebra).
For some purposes it is convenient to replace the generating family r
by a generating family r/ involving compact parameter intervals. Define
r/ as the class of product sets [a,b] x A with 0 ~ a < b, AE~(O) if a = 0
and AE U<a~(t) if a> O. The (1 algebra generated by r/ includes the
predictable (1 algebra because
]a,b]XA=nQ[a+~,bJxA [a<b,AE~(a)],
(14.1)
{O} x A = Dl [o,~J x A [AE~(O)].
Here the sets on the left are in r and those on the right are in the (1 algebra
generated by r'. Conversely, just as trivial a representation of r' sets in
terms of predictable sets shows that the (1 algebra of predictable sets includes
r/. Thus the (1 algebra generated by r' is the predictable (1 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 ~ a O. 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 (1 algebra is the smallest (1 algebra making the function
(t,w)~x(t,w) measurable whenever {x(')'~(')} is an adapted continuous
family with state space (/R, .94(/R». To prove this, we need show only that if
G" is a (1 algebra of subsets of /R+ x n making every such family measurable,
then G" contains r/. This inclusion follows from the fact that the indicator
function of a compact interval of /R+ is the limit of a decreasing sequence
of continuous functions on /R+ vanishing outside an arbitrarily small neigh-
borhood of the interval.
Chapter II
Optional Times and Associated Concepts
I. The Context of Optional Times

Let (n,..?i';..?i'(t), tel) be a filtered measurable space. If I does not have a
last element, extend I to I u { + 00 }, where + 00 is a new element ordered
after every element of I, and define ..?i'( + 00) as any sub (1 algebra of ..?i'
containing Vt< +oo..?i'(t). The choice of ..?i'( + 00) within these limits is usually
irrelevant. If I has a last element, that element will be denoted by + 00 in
this section. The most common choices of I are the set l + (discrete parameter
case) and the set IR+ (continuous parameter case). The index set I is thought
of as representing a set of time points, and ..?i'(t) then represents the class
of events up to time t. The problems of defining what is meant by a random
time T corresponding to the arrival time of an event whose arrival is deter-
mined by preceding events and of defining the class ..?i' (T) of preceding events
are solved by the following definitions.
Def'mition. An optional time (also called a stopping time or a Markov time)

T is a function from n into I u { + oo} satisfying
(1.1)
for c < + 00. This relation is trivially true for c = + 00.

Dermition. If T is optional, denote by ..?i'(T) the (1 algebra of subsets A of
n for which
An{T:5 c}e..?i'(c) (1.2)
for c :5 + 00. Equivalently, ..?i'(T) is the (1 algebra of sets A in ..?i'( + 00) for
which (1.2) is true when c < + 00.
A function T from n into a countable subset of I u { + oo} is an optional

time if and only if
{T= c}e..?i'(c) (1.1 d)
for c in the range of T, and if T is optional, A e..?i' (T) if and only if

414 2.1/. Optional Times and Associated Concepts
An{T=c}E~(C) (l.2d)
for c in the range of T. In particular, an identically constant function T == t

on Q with value in I v { + oo} is an optional time and in this case !F(T), as
defined above, reduces to the specified (J algebra ~(t).
!F(T) in the Continuous Parameter Case
If 1= IR+, the conditions
{T < c} E!F(C) (l.l')
An{T<c}E~(C) (1.2')
for all finite c are equivalent to {T ~ c} E~(C+) and A n {T ~ c} E!F(C+),

respectively, for all finite c. That is, (1.1') is the condition that Tis optional
for the family ~+(.), and (1.2') together with AE!F( + (0) is the condition
that A E ~ +(T). If T is optional, then T + e is optional for positive e and
!F(T) c !F(T + e). Define ~(T+) = nt>o!F(T + e). Then AE~(T+) if
and only if A n {T ~ c} E!F+(C). It follows that ~(T+) = ~+(T).
Stochastic Intervals (Parameter Set IR +)
If Sand T are optional with S ~ T, the stochastic interval [S, T], a subset of
IR+ x Q, is defined by
[S, T] = {(t,w): S(w) ~ t ~ T(W),tEIR+}.
In particular, we write [T] for the interval [T, T], the graph of T (but
observe that this graph is a subset of IR+ x Q; if T == + 00, this graph is the
empty set). The open stochastic interval ]S, T[ and the half-open ones are
defined in the obvious way.
A stochastic interval of the form ]S, T] is a predictable set because each
function 1]5, T](', w) is left continuous. The classes rand r' of generators of
the predictable (J algebra, as defined in Section 1.14, can be described in
terms of stochastic intervals. For example, r consists of the graphs [S] with
S = 0 on an ~ (0) set and S = + 00 elsewhere and of the stochastic intervals
]S, T] with S = a on an !F(a) set A and S = + 00 elsewhere, T = b on A
and T = + 00 elsewhere.
Optional Times on a Filtered Probability Space
Suppose that the given measurable space is a probability space, and that
each (J algebra !F(t) of the filtrations contains the null sets. Then if Tis
optional, !F(T) also contains the null sets, and if T1 and T2 are functions
2. Optional Time Properties (Continuous Parameter Context) 415
from 0 into I u { + 00 } which differ only on a null set, T1 is optional if and

only if T2 is. Moreover if both are optional, then §(T1) = §(T2 ). Thus
under this hypothesis on §(o) we can ignore null sets in discussing simple
relations between optional times and the (1 algebras they determine.
2. Optional Time Properties (Continuous Parameter Context)

In this section the commonly used properties of optional times and their
associated (1 algebras on a filtered measurable space (0, §; §(t), tE IR+) are
listed, and proofs of those properties not immediate consequences of the
definitions are given. The corresponding properties in the discrete parameter
context of the parameter set Z+ will be obvious.
(a) If S is optional, Sis §(S) measurable.
(b) If S is optional and if T is a random variable for which T ~ Sand
Tis § (S) measurable, then T is optional.
EXAMPLE (bl). If S is optional and (l( is a positive constant, then S + (l( is

optional.
EXAMPLE (b2). If S is optional define [S]n by

n n n
[S]n = {jr when (j - l)r ::s; S <j2- ,
+00 whenS= +00.
Then [S]n ~ S, with strict inequality where S is finite valued, and the
sequence [SJ. is a monotone decreasing sequence of optional times with
limit S.
(c) If S and Tare optional, then S y Tand S /\ Tare optional.

(d) If Sand T are optional and S::s; T, then §(S) c §(T); if S < T,
then §(S+) c §(T).
In fact, if AE§(S) and S::s; T, then
An {T::s; c}= [An{S::s;c}]n{T::s;c}E§(C); (2.1)
so AE§(T). Thus the first assertion of (d) is true. To prove the second
assertion, replace {S::S; c} by {S < c} in (2.1).
(e) If Sand T are optional §(S) n §(T) = §(S /\ T). In particular,
{S::S; c} E§(S /\ c).
(f) If Sand T are optional, the sets {S < T}, {S::s; T}, {S = T} are in
§(S /\ T).
In fact, since
{S<T}n{S/\T::S;c}= U {S::s;rc}n{T>rc} (2.2)
O<rsl
r rational
416 2.1l. Optional Times and Associated Concepts
and {T>rc} =0- {T~rc}E.fi'(c), it follows that {S< T}E.fi'(S 1\ T).

Interchanging Sand T, we conclude that the set {T < S} and therefore also
the complementary set {S ~ T} are in .fi'(S 1\ T). Finally
{S= T} = {S ~ T}n {T~ S}E.fi'(S 1\ T).
(g) If Sand T are optional and if A E.fi'(S), then
An {S ~ T}E.fi'(S 1\ T)'
In fact An {S ~ T} n {S 1\ T ~ c} E.fi'(C) because this intersection is the

same as A n {S ~ T} n {S ~ c} in which expression both A and {S ~ T}
are in .fi'(S). Property (g) generalizes the defining relation of .fi'(S). The
same proofshows that {S ~ T} in (g) can be replaced by {S < T} or {S = T}.
(h) Let S be optional and finite valued, and let T be a positive (~ + (0)
random variable. Then optionality of S + T implies optionality of T relative
to .fi'(S + .). Conversely, optionality of T relative to .fi'(S +.) implies
optionality of S + Tfor ~(.) if .fi'(') is right continuous.
In fact, if S + Tis optional for ~(.),
{T ~ c} = {S + T ~ S + c} E~(S + c) (2.3)
by (f); therefore T is optional for ~(S + .). Conversely, if T is optional

for ~(S + .),
{S + T < c} = U {S < a, T < b}. (2.4)

a+b<c
a.b rational
F or each pair (a, b) the brace set on the right is in ~ (c) because by hypothesis
{T < b} E~(S + b}, that is,
{T < b} n {S + b < a + b}E~(a + b) c ~(c). (2.5)
Hence S + T is optional for ~(.) if this family is right continuous.

According to property (h) if ~(.) is right continuous and S is finite valued
and optional and §S(t) is defined as ~(S + t), then optionality of T for
~s(·) implies that S + Tis optional for ~(.) and ~(S + T) = ~s(T).
(i) Let {Tn' n EZ +} be a sequence of optional times.
(i I) supz+ T. is optional.
(i2) infz+ T. is optional for ~+ (').
(i3) liminfn_ oo Tn and limsuPn_oo Tn are optional for ~+(.).
(i4) Iflim n_ oo Tn = T= infz+ T., then ~+(T) = nlf
~+(Tn)'
(is) If Tn i T [Tn! T] and Tn = T for sufficiently large n = n(w), then
Tis optional and ~(T) = Yo .fi'(Tn) [~(T) = ~(Tn)].nlf
3. Process Functions at Optional Times 417
noOnly (i4) and (i5) need comment. In (i4) we need only prove that
and this inclusion follows from the fact that if
AE no
fF+(Tn) c: fF+(T),
then
fF+(Tn),
00
An {T< c} = UAn {Tn < c}EfF(c).

o
To prove (i5), observe that if Tn i T, then Yo fF(Tn) c: fF(D trivially,

and the inclusion is true in the other direction because if A E fF (T), then
An {T = Tn} E fF(Tn) by (g) and summing over n yields A E Yo fF(Tn). In
(i5) if Tn! T, the limit is optional because {T ~ c} = Uo {Tn ~ c} E fF(c).
Moreover in this case no
fF(Tn) => fF(T), and the inclusion is true in the
other direction because if AE no
fF(Tn), then
00
An {T ~ c} = U [A n {Tn ~ c}]EfF(c)
o
so that AEfF(D.
(j) Suppose that {fFo(t), t E IR+} is a filtration of a probability space
(0., fF, P), that fFo( + (0) is a (J algebra satisfying 'Y;eR+ fFo(t) c: fF( + (0)
c: fF, that fF(t) is the (J algebra generated by fFo(t) and the null sets, that Tis
fF(·) optional, and that AEfF(D. Then there are an fF;(·) optional time
To and a set Ao E fF; (To) such that T = To almost surely and that A differs
from Ao by a null set.
For j = 0, 1, ... , + 00 define M nj as an fFour n) set differing from the
fFU2- n) set {[T]n = j2- n} by a null set, and define Sn = j r n on M nj -
Uk<jMnk . Then Sn is an fFo(·) optional time, S. is a decreasing sequence,
and the limit To is an fF;(·) optional time equal almost surely to T. If
A E fF(D and if T = + 00 everywhere on A, let Ao be a set in fFo( + (0)
differing from A by a null set. The set {To = + 00 } n Ao is then in fF; (To)
and differs from A by a null set. If A E fF (D and if T < + 00 everywhere on
A, define the fF(·) optional time T' by setting T' = T on A and T' = + 00
elsewhere. We have shown above that there is an fF;(·) optional time To
equal almost surely to T'. The set {To = To < + 00 } is in fF; (To) and differs
from A by a null set. If A is an arbitrary member of fF(D, apply the two
results just obtained to the sets An {T = + oo} and An {T < + oo} to
complete the proof of (j).
3. Process Functions at Optional Times
If {x( t), t E I} is a family indexed by I of functions on a space 0. and if T

is a function from 0. into a set including I, we write x(T) for the function
wf-+x(T(w),w), defined on the set {w: T(W)EI}.
418 2.11. Optional Times and Associated Concepts
Theorem. If {x(t), ~(t), t e IR+} is a progressively measurable family offunc-

tions and if T is optional, then x(T) is ~(T) measurable.
According to our conventions, the function x(T) is defined on the set

{T < + oo} which [Section 2(a)] is ~(T) measurable. To prove the theorem,
let (Q',~') be the state space of the family x('), and suppose that A' elF'.
The theorem asserts that {T < + 00, x(T) e A'} e ~(T), that is, for c ~ 0,
{T::;; c,x(T)eA'} e~(c). (3.1)
Let fFc be the class of intersections with {T::;; c} of ~(c) sets, and consider
the three measurable spaces
({T::;; c}, fFc), ([O,c] x Q,~([O,c]) x ~(c», (Q', IF').
The condition (3.1) is that the restriction to {T::;; c} of x(T) be measurable

as a function from the first to the third space. This restriction is the composi-
tion of the two functions wH(T(w),w) and (t,W)HX(t,W), respectively,
from the first space to the second and the second space to the third. The
first function is measurable because by optionality of T the inverse image of
a product set [a,b] x Aisin~(c)whena < b::;; candAe~(c). The second
function is measurable by definition of progressive measurability. Hence
the composed function is measurable.
Special Case. If {x(t), t e IR +} is a measurable family offunctions on the
measurable space (Q, ~) and if T is a measurable function from Q into iR + ,
then Theorem 3 with ~(t) = ~ for all t implies that x(T) is measurable.
Observation. If the process {x(t), ~(t), t e IR+} on a probability space is
nearly progressively measurable and if IF(O) contains the null sets, then
Theorem 3 implies that x(T) is measurable whenever T is an optional time.
Predictability of a Family of Functions at a Predicted Time (Continuous

Parameter Context, Arbitrary State Space)
If {x(·),~(·)} is a predictable function family and if S. is an increasing

sequence of optional times with limit S, then x(S)lls< +co} is a Yo ~(Sn)
measurable function. To prove this assertion, Let 1 be a compact interval
of IR, and suppose first that the state space is (I, ~(I». The assertion is
trivially true for this state space if x(·) is a left continuous family. Since the
property to be proved is invariant under convergence of function families,
the assertion is true in general for this state space. The assertion is therefore
true for an arbitrary state space because whenever ljJ is a measurable function
from the state space into (I, ~(/», the function ljJ[ x(S)] !{s< +co} is Yo ~(Sn)
measurable, and so x(S)lls< +co} is.
4. Hitting and Entry Times 419
4. Hitting and Entry Times

Let (Q,!F; !F(t), te].) be a filtered measurable space, with I either 7l..+ or IR+.
If A" is a subset of I x Q, the hitting time of A" (by {(t, w), t e I} ) is defined as
inf {t > 0: (t, w)eA"} (t e I). (4.1)
Here and below the infimum of the empty set is defined as + 00. If
{x(t), t e I} is a family of functions on Q with arbitrary state space (X,,q[)
and if A' is a subset of I x X, the hitting time of A' (by {[t,x(t)],teI}) is
defined as
inf{t > 0: [t,x(t)]eA'} (tel). (4.2)
Finally, if A is a subset of X, the hitting time of A (by {x(t), t e I} ) is defined as
inf{t > 0: x(t,w)eA} (t e I). (4.3)
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,w): [t,x(t,w)]eA'}, the hitting and entry times of A"
reduce to those of A'.
The analysis of measurability of hitting and entry times is trivial when
1= 7l..+. For example, if A e,q[, it is clear that the entry and hitting times of
A by x(o) are measurable and in fact are optional for !F(o). From now on
we shall therefore assume that 1= IR+. Observe that if T' [T"] is the entry
[hitting] time of A" and if c > 0, then
{T' < c} = {w: (t,w)eA" for some t < c},

(4.4)
{T" < c} = nQ {w: (t,w)eA" for some te[*, cJ},
and the corresponding observation is valid for the entry and hitting times
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.
Theoremo Let (Q,!F,P;!F(t),telR+) be a filtered probability space, and

suppose that for each t the restriction of P to !F(t) is a complete measure.
(a) If A" is a subset of IR+ x Q, analytic over the class of progressively
measurable sets, the entry and hitting times of A" are optional for
!F+(o).
(b) Let {x('), ff(')} be a progressively measurable process on the proba-

bility space, with an arbitrary state space (X, :!t), let A' be a subset
of IR+ x X, analytic over .s11(IR+) x :!t, and let A be a subset of X
analytic over :!t. Then the entry and hitting times of A' and A by
{[t,x(t)],telR+} and {x(t),telR+}, respectively, are optional for
ff+(·). In particular, if the state space is Polish and if the process is
right continuous, then the distributions of these times depend on A',
A, and the finite-dimensional distributions of x(·) together with the
assumption of right continuity but do not depend on the choice of the
probability space.
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 ff(c);
so the entry and hitting times are optional for ff+(·). 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 :s; + 00 let Tn be the nth entry time of A"; that is,
Tn(w) = inf {t z 0: (t, w)eA" for at least n values of t}.
Then T1 is the entry time of A" and under the hypotheses of (a) is optional
for ff+ (.). If n < + 00 and if Tn is optional, the stochastic interval] T,., + 00 [
is progressively measurable. Hence Tn + 1 is the entry time of the progressively
measurable set A Tn, + 00 [ and so is optional. It follows that T1 , T2 , •••
II ( \ ]
and therefore also Too = limn.... oo Tn are optional. The corresponding assertion
is true for A' and A. Further, if ff(O) 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 {x('), ff(')} is indistinguishable from a progressively measurable
process.
Last Hitting Times
We use the notation introduced at the beginning of this section. The last
hitting time of A" by {(t, w), t e I} is defined as
5" = sup {t > 0: (t,w)eA"} (4.5)
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
5. 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),tEIR+}. 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.
5. Application to Continuity Properties of Sample Functions

Let {x(t), jO(t), t E IR+} be a process on (0., jO, P) with a Polish state space.
Let d(·,·) be a metric for the state space, define the strict right oscillation
O:(1,w) of the sample function x(',w) at t by
O:(1,w) = lim sup d[x(r1,w),x(rz,w)],

0"'0 l<r"r 2< 1+0
and define the right oscillation by
O:*(t,w) = lim sup d[x(t,w),x(r,w)].

O"'OI<r<I+O
If x(') is extended real valued, define
Xr(t,w) = lim sup x(r,w),

rJ.,
and define ~r(t, w) as the corresponding limit inferior. (Recall that according
to our conventions r > t in these superior and inferior limits.) We shall not
need an analysis of the left limit properties of sample functions.
Theorem. Let {x(t), jO(t), t E IR+} be a progressively measurable process with

a Polish state space. Suppose that jO(o) is right continuous and that the restric-
tion of P to each (1 algebra jO(t) is complete.
(a) The processes {O:(o), jO(o)} and {O:*(o), jO(o)} are progressively
measurable.
(b) If the state space is (IR, 8IJ(IR», the processes {xr(o), jO(o)} and {~r(o),
jO(o)} are progressively measurable.
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 jO(c -) = Yb<c jO(b), ~ = 8IJ([0, x cD
jO(c -), T(t, w) = inf{sE [t, c[: O:(s, w) ;;:: a}, for t E [0, c[. Then
{(s,w): O:(s,w);;:: a,O ~ s < c} = {(s,w): T(s,w) = s}. (5.1)
To prove that {O:(o), jO(o)} is progressively measurable it is sufficient to

prove that the function T(o,o) is ~ measurable, because then the set in (5.1)
is in ~. Define
422 Z.lI. Optional Times and Associated Concepts
A(oc,m) = {(s,r t ,r2 ,w): d[x(r l ,w),x(r 2 ,w)] ~ oc,

o ~ s < r l ,r 2 < (s + 11m) 1\ c}.
Then A(oc, m)eaJ([O, cD 3 x !F(c -). According to Theorem 5 of Appendix
I, the projection N(oc, m) of A(oc, m) on (s, w) space is analytic over l§, as is
therefore also the set nk=1 n:=1 N(oc - Ilk,m), which is the set in (5.1).
Project the latter set onto w space to see that for each value of s the function
T(s,') is !F(c - ) measurable. The desired measurability ofT(·,·) follows from
the fact that T(', w) is monotone increasing and left continuous, so that
n
T(t,w) = lim
"-IX)
L T«(j -
j=l
l)cln,w)I[(j_I)c/n.jc/n[(t),
and each sum on the right is l§ measurable.

Observation. One can derive from Theorem 5 the measurability of the n
subsets corresponding to the sets of sample functions which have right limits
on an interval, or are right continuous there, or have oscillation at most some
special value there, etc. Observe, however, that in this discussion there has
been no assurance that another progressively measurable process with the
same finite-dimensional distributions will assign the same probabilities as
the given process to the subsets of its probability space discussed above.
For example, there has been no assurance that the finite-dimensional distri-
butions of the process xr (,) are independent of the choice of (n,!F, P) with
the given finite-dimensional x(·) distributions. In fact examples in Section
1.11 show that such an assurance would be false. If however, x(') is given as
a right continuous process and if either the family !F(.) is already assigned
and has the desired properties or !F(t) is defined as the (J algebra generated
by the null sets and !F{x(s),s ~t}, then all the work in this section is appli-
cable in this stricter context, and (Section 1.12) the probabilities mentioned
above will be the same for any other choice of x(') with the given finite-
dimensional distributions as long as the process is right continuous, or even
almost surely right continuous.
Theorem. Let {x(t),!F(t), t e IR+} be a progressively measurable process on

(n,!F, P) with a Polish state space. Suppose that !F(') is right continuous and
that the restriction of P to each (J algebra !F(t) is complete.
(a) If whenever T is a bounded optional time almost every x(') sample
function has a right limit at T, then almost every x(') sample function
has a right limit at every parameter value.
7. Predictable Optional Times 423
(b) If whenever T is a bounded optional time almost every x(·) sample

function is right continuous at T, then the process x(·) is almost surely
right continuous.
We use the notation of Theorem 5. If e > 0, let 1'. be the entry time of the
set
{t,w): O:(t,w) ~ e}.
Then 1'. is optional and (1'.(w), w) is in this set when 1'.(w) < + 00; so the
hypothesis of (a) implies that T. /\ n = n almost surely for every n > 0, and
(a) follows. The proof of (b) is similar.
7. Predictable Optional Times

If (0, ff; ff(t), te IR+) is a filtered measurable space, an optional time Twill
be called predictable if there is an increasing sequence T. of optional times
such that
T" < T on {T > O}, lim T" = T. (7.1)

n-oo
The sequence T. is said to announce T. If there is a complete probability

measure P on ff and if ff(O) contains the P null sets then if each condition in
(7.1) is true merely P almost surely, it follows that Tis predictable according
to the following argument. Let A be the null set where at least one of the
°
conditions in (7.1) fails to hold. Then A e ff(O), and if we redefine T" on A
as (T - Tn) V or T /\ n, according as T is finite or not, the modified op-
tional times are still optional, and (7.1) is now satisfied. Thus under the
stated hypotheses on P and ff(O), an optional time equal almost surely to a
predictable time is itself predictable.
We leave to the reader the proof that the maximum and minimum of a
finite number of predictable times is predictable. The following properties
are slightly deeper. Let T. be a sequence of predictable times, and let T". be
a sequence announcing T".
(a) The optional time sUPnel Tn is predictable because it is announced
by the sequence
If.lax 1jn, nez+}.

{ J$n
(b) The optional time T = infnel T" is predictable if UO'

{T" = T} = 0
up to a null set because if et>n(w) = inf {k: 1icn(w) < T(w)}, the
sequence S. defined by
00
Sn = L Tmn l{4>n=ml
m=O
announces T up to a null set.
The (f Algebra §(T- )
If T is a predictable optional time and if S. and T. are sequences of optional

times announcing T, then
U {Sn 1\ Tm = Tm } = 0;
00
lim Sn 1\ Tm = Tm ,
n-oo n=O
so
Y §(Sn) ::> Y §(Sn 1\ Tm ) =

00 00
§(Tm )
n=O n=O
by Section 2(i5). Hence Y':=o §(Sn) ::> Y:=o §(Tm), and there must be
equality because S. and T. can be interchanged. Thus Y':=o §(T,,) does not
depend on the choice of the announcing sequence T., and we denote this (f
algebra by §(T-). According to Section 3, if S is a predictable optional
time and if x(o) is a predictable process, then Slls< +oo} is §(S -) measurable.
Predictable Filtrations
A filtration {§(t), t E IR+} of a probability space will be said to be predictable

if whenever T is a predictable time, §(T) = §(T-). Observe that this
condition implies that §( + (0) must have been defined as v'e 111+ §(t).
EXAMPLE: A predictable process defined by a predictable optional time. If

Tis an optional time, the process A T(.) defined by setting AT(t) = I(T.+oo(t)
(= 0 when T = + (0) is a right continuous adapted process. In particular,
if T is predictable and if To is an increasing sequence of optional times
announcing T, the process ATn(o_) = I)Tn.+oo(·) is adapted and left con-
tinuous, therefore predictable, and limn_ooATn(t)=AT(t); so A T(.) is
predictable.
8. Section Theorems
Let (0, §, P) be a probability space, and let A be a subset of IR+ x O.
A section theorem is a theorem stating that under certain conditions on A
there is a function T with useful properties, from 0 into ~+, such that a
8. Section Theorems 425
significant part of the graph of T lies in A. In applications to probability

it is desirable that Tbe optional relative to a given filtration of the probability
space.
The following context will be useful. Define an outer measure p* on n by
P*{A} = infP{M: M::> A,Me~}.

Let # be the class of finite unions of subsets of IR+ x n of the form C x A
with C a compact subset of IR+ and A in ~. If A C IR+ x n, let n(A) be the
projection of A on n, and define I(A) = P*{n(A)}. According to Appendix
11.5, the set function I is a Choquet capacity on IR+ x n relative to #, and
.91(#)::> &tJ(IR+) x ~, n(d(#» =~;

(8.1)
I(A) = P{n(A)} if Aed(#').
Theorem. Let {n,~, P; ~(t), te IR+} be a filtered probability space. Suppose

that ~O is right continuous and that ~(O) contains the null sets.
(a) If Ae&tJ(IR+) x ~,there is an ~ measurable function T from n into
jR+ for which
[T] c A, P{T< +oo} = P{n(A)}. (8.2)
(b) If A is predictable and if e > 0, there is a predictable time T for which
[T] c A, P{T< +oo} +e~P{n(A)}. (8.3)
Proof of (a). According to the Choquet capacity theorem, the set A is I

capacitable;so there is an ~ set hI (that is, hI is a countable intersection
of # sets) for which hI c A and I(hl ) > I(A) - r l ; equivalently, P{n(h l )}
> P{n(A)} - 2- 1 . Similarly since the set A2 = A - (IR+ x n(hl is in »
&tJ(IR+) x~, there is an ~ and h 2 for which h 2 cA 2 and P{n(h2 )} >
P{n(A)} - 2- 2 . Continuing in this way we find sequences Al = A, A 2 , ••.
and hI' h2 , ••• of subsets of A, in &tJ(IR+) x ~ such that for n ~ 1,
The set h = U~ h n is a subset of A, is in &tJ(IR+) x ~,P{n(h)} = P{n(A)},

and by definition of # the set {t: (t, w) e h} is compact for every w. The
entry time T of h is measurable because
{T ~ c} = n{A (\ ([0, c] x n)} ed(~),
and T obviously satisfies the other conditions prescribed in (a). 0

Observation. If A is supposed merely in .91(#), only the first step in the

above proof remains valid, but since the number T l in the first step can be
replaced by an arbitrary strictly positive e, there is an J7 measurable function
Ton Q, the entry time of bl , for which (8.3) is true.
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 e = O. Second, suppose that A E r;',
that is, A = nO' An is a countable intersection of r'" sets. Then the entry
time of A is predictable because it is the supremum of the sequence of entry
times of Al , Az , ... , and again (8.3) is satisfied with e = O. The general case
is reduced to this special case as follows. According to (a), if A is predictable,
there is an J7 measurable function S from Q into jR+ for which [S] c A and
P{S < + oo} = P{n(A)}. Define
A(b) = P{w: (S(w),w)Eb} (8.4)
for bE r"'. The set function A is a measure on the algebra r'" and therefore
(Hahn-Kolmogorov theorem) has a unique measure extension to the (J
algebra generated by r"', that is, to the predictable (J algebra, and (8.4)
is valid for the extension. The extended measure A is supported by A, with
A(A) = P{n(A)}. According to the full statement of the Hahn-Kolmogorov
theorem, there is a set bE in r;' such that bE c A and A(ba) ~ P{ n(A)} - e.
Let T be the entry time of bE' According to the result in the special case of
(b) already treated, [T] c bE and P{T < + oo} = P{n(bE)}; so P{T < + oo}
~ A(bJ ~ P{n(A)} - e, and Ttherefore satisfies (8.3). 0
9. The Graph of a Predictable Time and the Entry Time of a

Predictable Set
Theorem. Let (Q, J7, P; J7(t), tE IR+) be aftltered probability space, Suppose
that J7(.) is right continuous and that J7(O) 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 (a). If T is an optional time announced by T., then

10. Semipolar Subsets of ~+ x n 427
The sets ] Tn, + 00 [ and ] T, + 00 [ are predictable because their indicator

functions define adapted left continuous processes. Hence [T] is a pre-
dictable set. Conversely, suppose that T is an optional time whose graph
is a predictable set. Then [Theorem 8(b)] for n ~ I there is a predictable
time Tn such that P {Tn -# T} < I In and that Tn = + 00 where Tn -# T. Hence
Uf {Tn = T} = Q up to a null set so [from Section 7, property (b)] it
follows that T is predictable. 0
Proof of (b). If a set A is predictable and if T is its entry time, the stochastic
interval ] T, + 00 [ is predictable because its indicator function defines an
adapted left continuous process. Hence the set A - ] T, + 00 [ = A n [T]
is predictable.
Generalization
Let Q,:F, P, :F(.) be as in Theorem 9. Let A" be a nearly predictable subset

of ~+ x Q, and let Tn be the nth entry time of A",
Tn(w) = inf {t E ~+ : (t, w) E A" for at least n values of t},
and suppose that the graph of Tn is up to an evanescent set included in A".

Then we show that T1 , T2 , ••• , TrY;) = limn_rY;) Tn are predictable optional
times. We can suppose that A" is predictable and therefore progressively
measurable and apply Section 4 (Generalization) to find that these functions
are optional times. We need only show in addition that each time Tn with
finite n is predictable. According to Theorem 9 the optional time T1 is
predictable. For n > I the stochastic interval] Tn - 1 , + 00 [ is predictable
because its indicator function defines a left continuous adapted process;
so Tn is the entry time of the predictable set A" n ] Tn- 1 , + 00 [, and the
hypotheses of Theorem 9 are satisfied so Tn is predictable.
10. Semipolar Subsets of IR+ x n

Let (Q,:F, P; :F(t), t E ~+) be a filtered probability space. Suppose that
:F(.) is right continuous and that :F(O) contains the null sets.
In discussing potential theory on ~+ x Q we shall need appropriate
definitions of small sets, the counterparts of the polar and semipolar sets
of classical and parabolic potential theory. The counterpart of a polar set
that we adopt in the present context is an evanescent set, and we have
already (Section 1.8) defined "quasi everywhere on ~+ x Q" accordingly.
The following remark suggests the definition to be given of a sernipolar
subset of ~+ x Q.
It is trivial that if T is optional and if [T] is evanescent, then P{T < + 00 }
= O. Conversely, consider the class of subsets A of ~+ x Q with the property
that P { T < + oo} = 0 whenever T is optional and [T] cA. If A satisfies

this restriction and is sufficiently smooth, for example (by Theorem 9),
if A is predictable, then A is evanescent. The negation of this property of
A leads to the following definition.
A subset A of IR+ x 0 will be called semipolar if there is a sequence T.
of optional times such that A c U~ [Tn] up to an evanescent set. Subsets of
semipolar sets are semipolar, and countable unions of semipolar sets are
semipolar. If A is semipolar, then the set of values of t with (t, w) in A is
countable for almost every w. Conversely, if A is sufficiently smooth, for
example if A is predictable, it has been shown that A is semipolar when this
countability condition is satisfied, but we shall not need this result.
11. The Classes D and LP of Stochastic Processes
In this section the concepts are relative to a specified filtered probability

space (0, ff', P; ff'(t), tel); I is an arbitrary linearly ordered parameter set.
The processes involved are defined on this space, adapted, and have state
space IR.
The Class D
This class of processes is the class of processes x(·) for which the family
{x( T): T optional, countably valued with values in I} (11.1)
of random variables is uniformly integrable. A class D process is uniformly

integrable but a uniformly integrable process need not be in the class D.
The family (11.1) is uniformly integrable if and only if there is a uniform
integrability test function (1) and a constant c such that
E{(1)[lx(T)I]} ~ c (11.2)
for all Tin (11.1). Observe that if a point + 00 and a (1 algebra ff'( + (0)
are introduced as in Section I and if x( + (0) is an arbitrary ff'( + (0) 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( + (0) is uniformly integrable so there is a uniform integrability
test function (1) and a constant c such that (11.2) is true for T as in (11.1)
and also so that E{(1)[lx(+oo)IJ} ~ c. The augmented process, in which T
is allowed to have the value + 00, then satisfies (11.2) with c replaced by 2c.
12. Accessible and Totally Inaccessible Optional Times 429
In particular, if 1= IR+, if x(') is an almost surely right continuous class

D process, and if ~(O) contains the null sets, then the family (ll.l) is uni-
formly integrable even if T is allowed to be an arbitrary finite-valued optional
time S. To see this observe that if (11.2) is true for Tas in (11.1), then (11.2)
is true for [S]n [see Section 2, Example (b2), for the definition of this dis-
cretized optional time]. When n ~ 00, Fatou's lemma implies that (11.2)
is true for T = S. Finally, if x( + (0) is an ~( + (0) measurable and integrable
random variable, we find as above that the augmented process is in D if the
original process was, and if so, the augmented family (ll.l) with T now an
arbitrary optional time is uniformly integrable.
The Class LP (p ;::: I)
This class of processes is the class of processes x(·) for which
sup {E{Ix( T) IP} : T optional, countably valued with values in I} < + 00

(11.3)
Observe that LP c D when p > I. Adjoin a pair {x( + (0), ~(+ oo)} to each
process x(·) as in the discussion of the class D, but under the additional
condition of finiteness of E {Ix( + 00 W}. 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 (:::;; + (0) optional time.
12. Decomposition of Optional Times; Accessible and Totally

Inaccessible Optional Times
In this section the reference space (Q,~,P;~(t),tEIR+) is a probability
space provided with a right continuous filtration for which ~(O) contains
the null sets.
Totally Inaccessible Optional Times
(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 < + oo} = 0 whenever S is a predictable
optional time. In particular, the distribution function of Ton IR+ is con-
tinuous; that is, P{T = c} = 0 for every finite constant c. Observe that this
definition only involves the properties of T on {T < + 00 }; 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 = + 00 almost surely. Observe also that predictability of
an optional time is defined relative to a measurable space provided with a

filtration, but total inaccessibility involves a measure space.
A Characterization of Total Inaccessibility
An optional time T is totally inaccessible if and only if T > 0 almost surely

and if whenever S. is an increasing sequence of optional times with limit S,
the increasing sequence {S. ~ T, T < + oo} of sets has union {S ~ T, T <
+ 00 }. In fact for an arbitrary optional time the latter set includes the union,
and the difference between the two is the ~(S) set
A = {Sn < S = T < + 00 for all n}.

If S~ = Sn on the ~(Sn) set {Sn < S < + oo} and S~ = + 00 elsewhere on
n, then the sequence n 1-+ S~ 1\ 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 < + 00 } = 0 whenever S is a predict-
able optional time not almost surely 0; so T (by hypothesis almost surely
strictly positive) is totally inaccessible.
Decomposition of an Optional Time'
Let T be an optional time, and choose a sequence S. of predictable optional

times maximizing P {U~ {T = Sn < + 00 }} for all such sequences. Let (X
be the maximum probability.
Special Case: (X = O. In this case and only in this case T is totally in-
accessible.
Special Case: (X = I. In this case T is called accessible and necessarily
up to an evanescent set. Here the union can be replaced by a union

U~ [S:] of disjoint graphs of predictable optional times by the usual
procedure: define
n {Sn#Sdn{Sn< +oo}
n-l
Ao={So< +oo},A n = ifn>O,
k=l
S' = {Sn
n +00
12. Accessible and Totally Inaccessible Optional Times 431
Thus to an accessible optional time T corresponds a sequence of predict- S:

able optional times and a sequence 1\.0 of disjoint subsets of n such that for
all n
T= S: < + 00 on I\.n,
Special Case: 0 < IX < 1. In this case define the accessible optional time
T and the totally inaccessible optional time Til by
T(w) = {T(W)
if T(w) = Siw) < + 00,
+00 otherwise;
Til = {T(W) if T(w) = + 00,

+00 otherwise.
These optional times are uniquely determined up to null sets, and there is
a subset I\. of n such that T = T on I\. and T" = Ton n - 1\.. Thus [T] =
[T] u [Til] up to an evanescent set. The optional times T and T" are
called, respectively, the accessible and totally inaccessible components of T.
EXAMPLE (Predictable process defined by an accessible optional time). It

was pointed out in Section 7 that if T is a predictable optional time, the right
continuous process AT(o) = I[T.+CXl[(o) is predictable. In view of the de-
composition of an accessible optional time noted above, AT(o) is nearly
predictable if T is accessible. In fact, if up to an evanescent set [T] =
U~ [Tn] (disjoint union) with Tn predictable, then AT(o) is indistinguishable
from I:~ ATn(o).
Chapter III
Elements of Martingale Theory
1. Definitions
Let (D.,:F, P;:F(t), tel} be a filtered probability space, and let {x(·),:F(·)}
be a process on this space, with state space (~, ~(~». The process is called a
supermartingale if the process random variables are integrable and if the
supermartingale inequality
x(s) ~ E{x(t)I:F(s)} a.s. if s < t (1.1)
is satisfied. The exceptional null set may depend on sand t. If I is a set of

consecutive integers, inequality (1.1) for t = s + I implies (1.1) for all pairs
s, t with s < t. If the inequality is reversed the process is called a submartingale,
and if there is equality in (1.1) the process is called a martingale. The martin-
gale definition is sometimes also applied to complex-valued or vector-
valued random variables, but in this book the state space will always be
(~, ~(~» unless some other state space is specified. Martingale theory
refers to the mathematics of supermartingales and submartingales as well
as martingales.
A supermartingale is a mathematical model for the fortune of a player
of a game in which the player has fortune x(s) at time s and given the past
up to and including s the player expects his fortune at the later time t to be
at most x(s). Thus a supermartingale represents an unfavorable game; in
this context a martingale represents a fair game, and a submartingale
represents a favorable game.
The negative of a supermartingale is a submartingale, and an adapted
process is a martingale if and only if it is both a supermartingale and a
submartingale. In anyone of the three cases the process is said to be left
[right] closed if I has a first [last] element and is said to be left [right]
closable if a first [last] element can be adjoined to I, together with an ap-
propriate (J algebra, to get an enlarged process which is left [right] closed
and of the same type as the given one. If a process is right closed, say with
last parameter element 00, the (J algebra :F(oo) is not involved in the
appropriate version of (1.1) and is restricted only by the condition that
the process is adapted. A martingale is always left closable by the pair
2. Examples 433
[c, (0, Q)], where c is the common expected value of the process random
variables.
EXAMPLE. Let 1=71. in increasing order, let ~(n) consist, for each n, of
the empty set and the whole probability space, and consider the process
all of whose sample functions are identically 1. This process is a martingale
and becomes a right closed martingale if the constant function 1 is adjoined
at the end or a right closed supermartingale if the constant function 0 is
adjoined at the end.
Choice of Filtration
Let {x('), ~(.)} be a supermartingale. The following remarks are made for
the supermartingale case but are valid with the obvious changes in the
other two cases. Define ~o(t) = ~{x(s),s s; t}. Then ~o(t) c ~(t) and
{x('),~o(')} is a supermartingale because if s < t,
x(s) = E{x(s)l~o(s)} ~ E{E{x(t)I~(s)}I~o(s)} = E{x(t)I~o(s)} a.s.

(1.2)
Thus ~o(') is the minimal filtration ~(.) for which {x(')'~(')} is a super-
martingale. The larger the (j algebras of the filtration, the more one knows
about the process, more precisely, the more (1.1) implies. It is sometimes
convenient to suppose that each (j algebra ~(t) contains all the null sets.
If this inclusion is not already true, ~(t) can be replaced by ~l (t), the
smallest (j algebra containing ~(t) and the null sets, to obtain a filtration
~l(') for which {X(')'~l(')} is a supermartingale and ~l(') contains the
null sets.
Omission of the Filtration in Martingale Theory Notation
If a process x(·) is described as a supermartingale, martingale, or sub-

martingale without specification of the reference filtration, it is to be under-
stood that the reference filtration is ~o(') or ~l (.) as defined in the preceding
paragraph.
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{xl~(t)}, then the process {x(·), ~(.)} 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 I. Then we shall show that
434 2.111. Elements of Martingale Theory
x(T) = E{xl~(T)} a.s., (2.1)
and if S is a second such optional time, we shall show that
E{x(S)I~(T)} = E{x(T)I~(S)} = x(S 1\ T) a.s. (2.2)
In the most common application of these results the parameter set I

is 0, I, ... , + 00 in the indicated order, and then optional times are neces-
sarily countably valued. A continuous parameter version of (2.1) and (2.2)
will be derived in Section IV.2.
Since it is sufficient to prove (2.1) for x v 0 and (- x) v 0, we can assume
in proving (2.1) that x is positive. If AE~(T) and if Ar=An{T=r},
then ArE~(r); so x(T) is ~(T) measurable, and
J f
Ar
xdP =
Ar
x(r)dP = f
Ar
x(T)dP. (2.3)
Sum in (2.3) over the countably many values of r taken on by T to find that
x(T) is integrable. The equality (2.3) for all r is an integrated version of
(2.1). In the proof of (2.2) we shall use freely the properties in Section 11.2
of optional times and the (j algebras they determine. The translation of
these properties into the present context of countably valued optional
times is trivial. If S ~ T [S ~ T], then ~(T) c ~(S) [~(S) c ~(T)];
so (2.2) reduces to the special case 1(4.2). We now reduce the general case
to this special one. Observe that the set {S ~ T} and its complement are
in ~(S 1\ T) and that x(S 1\ T) is ~(S 1\ T) (c ~(T» measurable; so
E{x(S)I~(T)} = E{IIS5Tlx(S 1\ T)I~(T)} + E{I{s>TIX(S V T)I~(T)}

= I{ S5TI X(S 1\ T) + I(S>TIE{E{xl~(S v T)}I~(T)}
= I{S$TIX(S 1\ T) + l(s>nx(T) = x(S 1\ T) a.s.
Interchange Sand T to complete the proof of (2.2).
EXAMPLE (b). Let y( I), y(2), ... be mutually independent integrable random
variables, and let x(n) = I:~y(j), g;(n) = ~{y(j),j ~ n}. Then {x(o),g;(o)}
is a submartingale if E{y(j)} ~ 0 for j > I and is a martingale if these
expectations vanish.
EXAMPLE (c) [Continuous parameter version of Example (b)]. Let {x(t),

t E ~+} be a stochastic process with state space ~ and independent incre-
ments; that is, 0 ~ t 1 < ... < t k implies that the increments x(t 2 ) - x(t 1 ),
'" ,x(tk ) - x(tk_l)aremutuallyindependent.Define~(t) = ~{x(s) - x(O),
s ~ t}. Then if every increment x(t) - x(s) with t > s is integrable and has a
positive expectation, the process {x(o) - x(O),g;(o)} is a submartingale.
3. Elementary Properties (Arbitrary Simply Ordered Parameter Set) 435
If these expectations all vanish, the process is a martingale. We shall see

that Brownian motion is a special case of this example. To clarify the ideas
involved here and in Example (b), we prove the submartingale assertion.
Using the fact that x(t) - x(s) is independent of §"(s) when t > s, we find
E{x(t) - x(O)I30(s)} = E{x(s) - x(O)I30(s)} + E{x(t) - x(s)I§"(s)}

= x(s) - x(O) + E{x(t) - x(s)} ~ x(s) - x(O) a.s.,
EXAMPLE (d). Let n be the interval [0, I], let!F be the class of Borel subsets
of n, and let P be Lebesgue measure on !F. Define a stochastic process
{x(o), 3O(0)} by
x(n) ={ °
2n on [0,2- n],
on ]2- n , I],
3O(n) = 3O{x(l), ... ,x(n)}, n > 0.
The process {x(o), §"(o)} is a martingale and
E{x(n)} = I, lim x(n) =

n-co
° a.s.
This process cannot be uniformly integrable because the sequence x(o) is
not L 1 convergent to 0, although it is almost surely convergent to 0. The
process is a right closable supermartingale, right closable by the constant
random variable 0, for example. The process is not a right closable sub-
martingale and hence not a right closable martingale because if x right
closes this submartingale, then E{xlff(n)} ~ x(n) almost surely, and this
inequality implies uniform integrability of x(o) because [Section I.4(i)]
the family of conditional expectations of an integrable random variable is
uniformly integrable.
3. Elementary Properties (Arbitrary Simply Ordered

Parameter Set)
Proofs are omitted if trivial.

(a) If {x(o),30(o)} is a supermartingale, the function tt-+E{x(t)} IS
decreasing, and if s ~ t 1 ~ t 2 ,
(3.1)
The proof of the second assertion is simply a manipulation of conditional

expectations:
436 2.III. Elements of Martingale Theory
E{X(t2)1~(s)} = E{E{x(t2)1~(tl)}I~(s)} ~ E{X(tl)I~(s)} a.s.

(3.2)
(b) If for each nE7L.+ the process {xn(o),~(o)} is a positive super-

martingale and if s < t, then
(3.3)
so that the process {liminfn-o oo xn(o),.~(o)} is a supermartingale if its random

variables are integrable.
(c) If {x(o), ~(o)} is a submartingale and if f is an increasing convex
function with E{lf[x(t)]I} < +00 for all t, the process {j[x(o)],~(o)}
is a submartingale. If the first process is a martingale,fneed not be increasing
for the conclusion to hold. The analogs of these properties in classical
potential theory are in Section 1.11.9. To prove the first one, for example,
apply Jensen's inequality for conditional expectations to deduce, when
s < t,
f[x(s)] ~f[E{x(t)I~(s)}]~ E{j[x(t)]I~(s)} a.e., (3.4)
and this is the desired submartingale inequality.

(d) If {x(t),~(t);tEI} is a supermartingale, define c = SUPterE{x(t)}.
If the supermartingale is left closed with smallest parameter value iX, then
E{X(iX)} = c; so left c10sability of the supermartingale implies finiteness
of c. Conversely, if c is finite, the pair [c,(0,ll)] left closes the super-
martingale.
(e) If {x(o), ~(o)} is a right closed positive submartingale with largest
parameter value P, then this process is uniformly integrable [Section I.4(i)]
because each random variable of the process is majorized by a conditional
expectation of x(P). Positivity is a necessary hypothesis here. In particular,
a right closed martingale {y(o), ~(o)} is uniformly integrable because {ly(o)l,
~(o)} is a positive right closed submartingale. In the other direction, if
{x(t), ~(t); tE I} is a uniformly integrable submartingale, it is right closable
according to the following argument. IfA E ~(s), the function tl-+E{x(t); A}
is an increasing function for t ~ s. Define 4>(A) as the supremum (limit as
t increases) of this function. The set function 4> as so defined on the set
algebra User ~(s) is additive, and in view of the uniform integrability
hypothesis
lim 4>(A) = O. (3.5)
PIA}-oO
Hence 4> is countably additive and thus has a countably additive extension
to the (J algebra Yse r ~(s), and this extension is absolutely continuous
5. Convergence of Supermartingale Families 437
relative to 4J. If x = d4J/dP, the pair [x, 'Y.eI§'(S)] 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 {y(o), §,(o)} is a supermartingale
which majorizes the uniformly integrable submartingale {x(o),§'(o)}, we
use the notation of (e) and show that the pair just obtained which closes
x(o) also closes y(o). For A E §'(s) and t ~ s,
E{y(s);A} ~ E{y(t);A} ~ E{x(t);A} .... 4J(A) (tf),
and the inequality here between first and last terms is the integrated form
of the desired almost sure supermartingale inequality y(s) ~ E{xl§'(s)}.
40 The Parameter Set in Martingale Theory

If {x(t),§'(t),tEI} is a submartingale and b is a constant, the process
[x(o) - b] v 0 = Yb(o) is a submartingale [Section 3(c)]; so s < t implies
that E {Yb(t)} ~ E {Yb(S) }. If there is equality here for some triple s, t, b,
then the pair [Yb(S), §'(s)], [Yb(t), §'(t)] is a martingale; so
[X(t)-b]VOdP=f [x(s)-b]vOdP=O, (4.1)

f {x(s):>bj {x(s):>bj
and therefore x(t) ~ b almost everywhere where x(s) ~ b. If bois a sequence

dense in IR and if E{Yb.(t)} = E{Yb'(S)} for all j, it follows that x(t) ~ x(s)
almost surely, and ther~fore there i~ almost sure equality because E{x(t)} ~
E{x(s)}. Choose Cj > 0 so small that I:O'cil + Ibjl) < +00. The process
y(o) = I:O' CjYb'(o) is a submartingale with the property that tI-+E{Y(t)} is
an increasing function and that the equality E{y(s)} = E{y(t)} 'implies
that x(s) = x(t) almost surely. If the parameter set I is mapped into IR by
4J: tl-+E{y(t)}, then 4J is monotone increasing and 4J(s) = 4J(t) if and only
if x(s) = x(t) almost surely. Thus it is not an essential restriction to suppose
that the ordered parameter set in martingale theory is a subset of IR ordered
by inequality.
5. Convergence of Supermartingale Families
If r is a family of supermartingales adapted to §'(o), then essinfr (defined

in Section 1.8) is also a supermartingale if its random variables have finite
expectations because if sand t are parameter values with s < t,
E{(essinfr)(t)I§'(s)} ~ x(s) a.s. (5.1)

438 2.m. Elements of Martingale Theory
for each process x(o) 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 {xn(o), n E Z+} in r with the property that ess sup r = sUPnel1+ xn(o)
up to a standard modification. To see this, it can be supposed (Section 4)
that the parameter set of the process x'(o) = ess sup r is a subset of IR ordered
by inequality. The monotone decreasing function tl-+E{x'(t)} is the su-
premum of the upward-directed family of decreasing functions tl-+E{x(t)}
for x(o) in r. Hence there is a sequence {xn(o), n E Z+}, increasing in the
essential order, for which
lim E{xn(t)} = E{x'(t)}

n-""
for every parameter value t, and it follows that, for every parameter value
t, SUPnel1+ xn(t) = 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(o) /\ k: x(o) E r} 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 1 of r for which ess inf r
= inf r 1 up to a standard modification. See the Fundamental Convergence
Theorem for supermartingales (Theorem IV.S) for a more complete study
of the essential infimum of a family of right continuous supermartingales.
6. Optional Sampling Theorem (Bounded Optional Times)

The idea that if a game is unfavorable to a player, it looks unfavorable to
him at random times chosen without foreknowledge suggests the following
integral parameter theorem.
Theoremo Let {x(n), Y'(n),nEZ+} be a supermartingale. If T is a bounded

optional time, then x(T) is integrable. If Sand T are bounded optional times
with S :s; T, then
x(S) ~ E{x(T)IY'(S)} a.s., (6.1)

6. Optional Sampling Theorem (Bounded Optional Times) 439
and there is almost sure equality if the process is a martingale.
If T is bounded by k, then
k
E{lx(T)I} ~ LE{lx(j)I} < + 00.
o
If S ~ T, if AeS;;(S), and if Aj = An {S = j}, then AjeS;;(j); if Aj; =

Ajn {T> i}, then AjieS;;(i) when i ~j. Hence the supermartingale in-
equality yields
r
l[x(T)-x(S)]dP= j~O
k r
l. ~ [x(i+ 1)-x(i)]dP
T-l
=
k
j~O i~
k J J
A.. [x(i + I) - x(i)]dP ~ 0,
(6.2)
JI
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,), S;;(T,)} is a supermartingale,
or a martingale if the original process is a martingale.
Application to Right Closable Submartingales and the Class D
Let {x(t),S;;(t),teI} be a positive right closable, equivalently, uniformly

integrable according to Section 3(e), submartingale, right closable by a
positive random variable x. In view of Theorem 6 as applied to -x('), -x,
x(T) ~ E{ xlS;;(T)} a.s. (6.6)
if T is optional, taking on finitely many values, and therefore (6.6) is true

if T is optional and countably valued. Hence x(·) is a class D process be-
cause [Section I.4(i)] the family ofconditional expectations of x is uniformly
integrable. Thus there is a uniform integrability test function and a
constant c such that
E{[x(T)]} ~ c (6.7)
whenever T is a countably valued optional time. In particular, if 1= IR+,

if x(·) is almost surely right continuous, and if S is an arbitrary optional
time, (6.7) can be applied to [S]n as defined in Section II, Example (b2),
and (n -+ (0) (6.7) is therefore true for T = S. Thus this submartingale is
440 2.1II. Elements of Martingale Theory
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),~(t),tEI} is a class D process [set x(t) =
ly(t)IJ; if 1= IR+ and if the martingale is almost surely right continuous,
the family {y(T): T optional} is uniformly integrable.
7. Optional Sampling Theorem for Right Closed Processes

If the process in Theorem 6 is right closed, the optional times need not be
bounded according to the following theorem.
Theorem. If {x(n),~(n),nEZ+} } is a supermartingale and if T (:5 +00)

is optional, then x(T) is integrable. If S (:5 + 00) is also optional with S:5 T,
then (6.1) is true, and there is equality if the process is a martingale.
If the process is a martingale, x(T) is integrable and x(T) =

E{x( + 00 )I~(T)} according to Section 2; so (6.1) with equality reduces to
x(S) = E{E{x( + 00)1~(T) }I~(S)} a.s. (7.1)
which is true because ~(S) c ~(T). If the process is a supermartingale,
x(n) = [x(n) - E{x(+oo)I~(n)}] + E{x(+oo)I~(n)} a.s. (7.2)
so that x(·) is the sfim of a positive supermartingale with last element 0 and a
martingale, both relative to ~(.). Thus it is sufficient to prove the theorem
for a positive supermartingale with last element O. Under this hypothesis
define Tn = T /\ n, Sn = S /\ n, and observe that according to Theorem 6
E{x(O)}~E{x(Tn)}' It follows (n~oo) that E{x(O)}~E{x(T)}. Thus
x(T) is integrable. Again according to Theorem 6, if m :5 n,
(7.3)
and when n ...... 00 this inequality becomes
(7.4)
by Fatou's lemma for conditional expectations. Now AE~(S) implies that

Am = An {S:5 m} E~(Sm); so (7.4) implies that
JAm
x(S)dP ~ J
Am
x(T)dP. (7.5)
This inequality when m ~ 00 yields the integrated version of (6.1).

7. Optional Sampling Theorem for Right Closed Processes 441
EXAMPLE. If {x(n), §(n), n E;r} is a positive supermartingale, the theorem

is applicable because the process can be closed on the right by defining
x( + 00) = O. This is the most used example. More generally the theorem
is applicable according to Section 3(f) to a supermartingale {x(n), §(n),
n E 7L+} which majorizes a uniformly integrable submartingale.
Generalization. Let {x(t), §(t), t E I} be a supermartingale with an arbi-

trary linearly ordered parameter set I for which there is a first and last
element. If T is a countably valued optional time (with values in I), then we
shall now prove that x(T) is integrable. Moreover, if S is also a countably
valued optional time with S ~ T, then we shall prove that (6.1) is true and
that there is almost sure equality if the process is a martingale. The proof
follows that of Theorem 7. Denote by 0 the first element of I and by 00
the last element of I. Then just as in the proof of Theorem 7 the martingale
case is covered by Section 2, and only the case of a positive supermartingale
with last random variable 0 needs further examination. Let r. be the sequence
of parameter values taken on by Sand T, define
n
on U {T= r
j;O
j },
+00
on U
j;n+l
{T= rJ,
and define Sn similarly in terms of S. Then Sn and Tn are optional, take
on only finitely many values, and Sn ~ Tn. Theorem 6 is applicable to Sn
and Tn because only the parameter values ro, ... , rn, 00 are involved. An
application of Theorem 6 to the pair (0, Tn) of optional times shows that
E{x(Tn )} ~ E{x(O)}; so when n ~ + 00, we find that x(T) is integrable. An
application of Theorem 6 to the pair (Sn, Tn) shows that
L;,j} x(Tn)dP = Ln;,j} x(Tn)dP ~ Ln;,j} x(Sn)dP = L;,j} x(S)dP

(j ~ n);
so (n -+ + 00)
L;,j} x(T)dP ~ L;,j} x(S)dP,

and this inequality is an integrated version of (6.1).
8. Optional Stopping
Let {~(t), t E I} be a filtration of a probability space, with I either 7L+ or IR+,
and let Tbe an optional time. If {x(')'~(')} is a stochastic process on the
probability space, the process {x(T /\ t), t E I} is described as the process
stopped at T.
Suppose that 1= 7L+ and that {x('), ~(.)} is a supermartingale [martin-
gale]. According to Theorem 6, the stopped process {x(T /\ n),~(T /\ n),
n E 7L +} is also a supermartingale [martingale]. It is sometimes important
that even the process {x(T /\ n),~(n),nE7L+} is a supermartingale [mar-
tingale]. To prove this result, suppose that AE~(n). Then
E{x(T /\ n); An {T:5 n}} = E{x(T /\ (n + I»; An {T:5 n}} (8.1)
because the integrands are the same on the integration domain, and
E{x(T /\ n); An {T > n}} ~ E{x(T /\ (n + I»; An {T > n}}, (8.2)
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(O), ... , x(n) is a submartingale and IX is an arbitrary real
number,
IXP{maxx(j) ~ IX} :5 E{x(n); maxx(j) ~ IX} :5 E{x(n) v O}, (9.1)

js" jS"
IXP{minx(j):5 IX} ~ E{x(O)} - E{x(n); minx(j) > IX}

jS" jS"
~ E{x(O)} - E{x(n) v O}.
(b) If x(O), ... , x(n) is a positive supermartingale and IX> 0,
IXP{maxx(j) ~ IX} :5 E{x(O)}. (9.2)

jS"
To prove the first inequality in (9.1), define T = n /\ min {j: x(j) ~ IX}
Then T is optional for the submartingale; so (Theorem 6) the ordered pair
[x(T),x(n)] is a submartingale. The submartingale inequality E{x(T)}:5
E{x(n)} yields
9. Maximal Inequalities 443
E{x(n)} ~ (XP{maxx(j) ~ (X} + E{x(n); maxx(j) < (X}, (9.3)

j~ j9
which implies the first inequality in (9.1). To prove the second inequality,
define S = n /\ min {j: x(j) :s; (X}. Then S is optional; so the ordered pair
[x(O), x(S)] is a submartingale, and the submartingale inequality E{x(O)} :s;
E{x(S)} yields
E{x(O)} :s; (XP{minx(j) :s; (X} + E{x(n); minx(j) > (X}, (9.4)
j~ j:5.n
which implies the second line in (9.1). To prove (9.2), apply (9.4) to -x(o).
Observe that in (9.1) and (9.2) if "~(X" and ":S;(X" 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 1. is a
finite ordered subset of A. It follows that
(XP{supx(t) ~ (X} :s; supE{x(t) v O}

lEA lEA
[ x( 0) a submartingale]
(XP { inf x(t) :s; (X} ~ inf E {x(t)} - sup E {x(t) v O}
lEA tEA tEA
(9.1')
(XP{supx(t) ~ (X} :s; supE{x(t)} [x(o) a positive supermartingale].

tEA lEA
(9.2')
If the process is left closed, by x(a),
inf E{x(t)} = E{x(a)} [x(o) a submartingale]

tEA
supE{x(t)} = E{x(a)} [x(o) a supermartingale].

lEA
If the process is right closed, by x(b),
supE{x(t) v O} = E{x(b) v O} [x(o) a submartingale].

lEA
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); SUPIEAX(t) ~ (X}.
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
by Hess sup" and "ess inf" 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.
10. Conditional Maximal Inequalities
The inequalities in Section 9 can be made more precise by conversion to

conditional inequalities. For example, let {xU), 3"U), 0 ~ j ~ n} be a sub-
martingale, and suppose that A E 3"(0). An application of the first inequality
in (9.1) to the submartingale {l,\ xU), 3"U), 0 ~ j ~ n} leads to the integrated
version of
ccP{maxxU) ~ ccl3"(O)} ~ E{x(n)zl3"(O)} ~ E{x(n) v 013"(0)} a.s.,

j:Sn
(10.1)
where z is the indicator function of the set {maxj:snxU) ~ cc}. The other
inequalities in Section 9 can be extended similarly. Such extensions to con-
ditional inequalities will be omitted from now on.
11. An LP Inequality for Submartingale Suprema

Theorem. If {x(t), tEI} is a positive right closed submartingale, closed by the
random variable x, if A is a countable subset ofI, ifP > I, and if I /p + l/q = 1,
then
E{supx(t)P} ~ qPE{x P}. (11.1)

tEA
According to Section 9,
ccP{supx(t) ~ cc} ~ E{x; supx(t) ~ cc}, (11.2)

tEA tEA
and it is therefore sufficient to drop the martingale theory context and to

show that if x and yare positive random variables satisfying
ccP{y ~ cc} ~ E{x;y ~ cc}, (11.3)
then
12. Crossings 445
(11.4)
Now
r
E{yP}=PJodPJo
ry(W)
rxP-'drx=p
J+oo
P{y~rx}rxP-'drx
1
0
~p
1
o
+
00
rx p - 2 drx
{Y~IXI
xdP=p i0
xdP JY(W) rx p - 2 drx (11.5)
0
If E {yP} < + 00, this inequality yields (11.4). Otherwise, replace y by y /\ k,

for which (11.3) is still true, thereby deduce (11.4) for y /\ k, and let k ~ + 00.
A common application is to processes with parameter set 0, 1, ... , + 00
ordered as indicated. In this case one chooses A = I. If / is uncountable,
(11.1) is true with A replaced by / and "sup" replaced by "ess sup" because
there is a countable subset /0 of / with the property that ess SUPI eI x(t) =
SUP1e1ox(t) almost everywhere. If / is a right closed interval of ~ and if the
given process is supposed almost surely right continuous, then (11.1) is true
with A = / because if A is a dense subset of / including the right-hand
endpoint, then SUP1eIX(t) = SUP1eAX(t) almost everywhere.
Modification of Theorem 11 if the Submartingale Is Not Right Closed'
Observe that in Theorem 11 the process {x(,y,~(·)} is a submartingale

if x(ty is integrable for all t; so the function tI---+E{x(t)P} is monotone in-
creasing. If SUP1eIE{x(tY} = lim1tE{x(t)P} < + 00, the process x(·) is
uniformly integrable because the pth power is a uniform integrability test
function whenp > 1. Hence [Section 3(e)] the submartingale {x(·),~(·)} is
right closable. The closability argument in Section 3(e) can be interpreted to
imply that x(t) has a weak limit x in L 1(0, ~eI ~(t), P) when t increases and
that x closes the submartingale x(·). We shall see in Theorem 15 that if
/ = Z +, it is even true that limn_ oo x(n) = x exists almost surely and in L 1.
Then by Fatou's lemma E {x P } < + 00; so by (11.1) the submartingale
{x(·y, ~(.)} is also uniformly integrable and therefore is right closed by
x P; moreover (dominated convergence theorem) limn_ oo x(n) = x in the LP
sense. We leave to the reader the easy extension of these results to other
parameter sets.
12. Crossings
Let/, g, h be functions from a linearly ordered set / into jij, with g ~ h. The
number Dn[f;g,h] of downcrossings of [g,h] by fis defined as the su-
premum of the values of the positive integer k for which there exist t I < ...
< t 2k in I satisfyingf(t) ~ h(t) whenj is odd andf(tj ) ::s; g(t) whenj is even.
Upcrossings are defined in the obvious dual way. Observe that limi _ oo fi = f
implies that
Dn[f;g,h]::S; in( liminfDn[fi;g + 2- m , h - 2- m] (12.1)

,"ell 1-00
when g and h are finite valued.
Theorem. Let n E Z+, and let x('), x/(·), x"(·) be adapted processes on aftltered
probability space (n,~,p;~(j),O::S;j::S; n). Suppose that x/(·) ~ 0 and that
x('), x,,(·) and x"(·) - x/(·) are positive supermartingales relative to ~(.). Then
E{[x"(n) - x'(n)]Dn[x('); x/(·),x"(·)]} ::s; E{x(O) 1\ x"(O)}. (12.2)
In particular, ifx(') and y(.) are positive supermartingales relative to ~(.) and
if a, b are numbers with 0 ::s; a < b,
E{y(n)Dn[x('); ay('), by(')]} ::s; E{X(O)bI\_[;Y(O)]} (12.3)
and in fact with the convention that 00 = I
E{y(n); Dn[x(·); aY('),by(')] ~ k} ::s; (~Y-l E{x(O) I\b [by(O)]} (k ~ I).
(12.4)
If x(·) is a (not necessarily positive) supermartingale and if

-oo<a<b<+oo,
E{Dn[x(');a,b]}::s; E{x(O) 1\ bi =:{x(n) 1\ b}. (12.5)
Observation. The inequalities in Section 1.VI.3(o) limiting the oscillation

of a superharmonic function by means of iterated reductions correspond to
supermartingale downcrossing inequalities. In fact it will be shown in Section
23 that the exact counterpart of the reduction procedure in Section l. VI.3(0)
leads to (12.2) and (12.3). Observe also that if y(.) > 0, the left side of (12.3)
is E{y(n) Dn[x(')jy(');a,b]}; the corresponding remark is of course ap-
plicable to (12.4). Finally observe that the right sides of (12.2-5) are ma-
jorized, respectively, by E{x"(O)}, bE{y(O) }j(b - a), (ajb)k-l E{y(O)},
bj(b - a), which do not involve x(·).
To prove the theorem, define S. and T. by setting So = To = 0 and
SI = min {j ~ 0: x(j) ~ x"(j)},

12. Crossings 447
min {j > Tk - 1 : x(j) 2: x" (j)} (k odd, 2: 3),

Sk = { (12.6)
min {j > Tk - 1 : x(j) ~ x'(j)} (k even, 2:2),
As usual the minimum of the empty set of numbers is defined as + OCJ. The
sequence To is an increasing sequence of optional times for ff(o).
Proofof(12.2). In this proof we abbreviate Dn[x(o); x'(o), x"(o)] to Dn. In

the first place if} is odd,
(12.7)
2: E{x"(Tj +1 ) - X(1]+l); T j < n}
2: E{ X"(1]+l); Dn 2:} ~ I}- E{ x'(Tj +1 ); Dn 2:} ~ I}

- E { x(n); T j
.+
< n,Dn <~ I}
{
2: E x"(n) - x'(n);Dn 2 : T '+I}
{
- E x(n);Dn i-i}
= -2- .
In the second place (supermartingale inequality) E{x(Tk) - X(Tk+l)} 2: 0

for all k. Hence we can drop the summands with even} in the first sum below
to obtain
n
E{x(O)} = L: E{x(1]) - x(Tj +1 )} + E{x(n)}
j=O
n
2: L: E{x"(n) - x'(n);Dn 2: k} (12.8)
k=l
n
2: L: E{k[x"(n) - x'(n)];Dn = k} = E{[x"(n) - x'(n)]Dn}.
k=l
If x(o) is replaced in this inequality by x(o) /\ x"(o), the number of down-

crossings is unchanged, and (12.8) yields (12.2).
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
So and To by (12.6) with x"(o) = by(o) and x'(o) = ay(o). Observe that for
k 2: I,
E{y(S2k+2);S2k+2 ~ n} ~ E{y(T2k+2);S2k+l ~ n}
<E{y(S )·S <n}<E{X(S2k+l);S2k+l~n}

- 2k+l , 2k+l - - b
(12.9)
E{x(12k+l);S2k ~ n} E{X(S2k);S2k ~ n}
~ b ~ b
and so for k ~ 1, under the convention 0° = 1, needed when a = 0,
Furthermore for k ~ 1,
E{y(n);Dn[x(o);ay(o),by(o)] ~ k} = E{y(n);S2k ~ n}
a)k-l E{x(O)}
~ E{y(SZk); S2k ~ n} ~ ( b b'
(12.11)
If x(o) is replaced by x(o) A [by(o)], the number of downcrossings is un-

changed and (12.11) becomes (12.4).
Proofof(12.5). To prove (12.5), define So and To by (12.6) with x" (0) == band
x'(o) == a. Since Tn == n,
n
x(O) - x(n) = L [x(1j) - X(1]+I)], (12.12)
j=O
and (supermartingale inequality) each bracket has a positive expectation. We

shall minorizeeach bracket with oddj. On the set Ak = {Dn[x(o);a,b] = k}
each of the first k brackets in (12.12) with odd} is ~ b - a, and of the later
brackets with odd} only [x(T2k+l) - x(T2k+2)] can be nonzero, and ifso,
X(T2k +1) ~ b, T2k+2 = n, x(n) > a.

12. Crossings 449
Thus on A k ,
(12.13)
and therefore
E{x(O) - x(n)} ~ (b - a)E{Dn[x(o);a,b]} + E{[b - x(n)] 1\ 0]. (12.14)
If x(o) is replaced by x(o) 1\ b, the number of downcrossings is unchanged

and (12.14) yields (12.5).
Strict Downcrossings
If downcrossings had been defined using strict inequalities,f> h andf < g,

the resulting apparently weaker versions of the inequalities of Theorem 12
would imply the present versions by a trivial continuity argument.
Adaptation to Infinite Parameter Sets
If the parameter set of the theorem is replaced by a countably infinite linearly

ordered set I, the inequalities obtained have obvious extensions. For example,
(12.5) becomes
supE{x(t) 1\ b} - inf E{x(t) 1\ b}

E{Dn[x(o);a,b]} ::; leI b _ ~eI , (12.15)
and (12.15) is also valid if the parameter set I is an interval of ~ 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
x(o) is left closed, by a random variable x(a), the supremum in (12.15) is
E{x(a) 1\ b}. If this supermartingale is right closed, by a random variable
x(P), the infimum in (12.15) is E{x(P) 1\ b}.
The Role of Downcrossing Inequalities
The importance of the downcrossing concept lies in the following three

facts. Let f be either (i) a sequence of numbers, or (ii) a function from an
interval I into ~, or (iii) a function from a dense subset of an interval I
into R Then the number of downcrossings Dn[f; a, b] by f of an interval
[a, b] is finite for every interval if and only if, respectively, (i)fis convergent
to a (possibly infinite) limit; (ii) fhas right and left (possibly infinite) limits
450 2.11I. Elements of Martingale Theory
at every point of I and at the endpoints of I not in I; (iii) fhas an extension

to I which has the property stated in (ii). Moreover in all three contexts
it is sufficient if Dn[f; a, b] < + 00 for all intervals [a, b] with endpoints
in a countable dense subset of R The relative downcrossing function
Dn[x(·);ay(·),by(·)] = Dn[x(·)Jy(·);a,b] of a pair of positive super-
martingales has not yet proved useful in probability theory, but its potential
theory counterpart was useful in Part I of this book. In fact we shall see
in Section 23 that Theorem 12 can be obtained by a reduction method, and
it will then be clear that Theorem 12 is the exact counterpart of a set of
inequalities [Sections l.VI.3(o) and l.XVII.16(s)] for iterated reductions.
The latter inequalities were essential in proving Theorems lXI.4 and
1XVIII. 14 on the fine topology limit properties of the ratio of two positive
superharmonic, respectively, superparabolic functions.
13. Forward Convergence in the L 1 Bounded Case

The fundamental martingale theory convergence theorems are the following
forward one for the parameter set 0, 1, ... and backward one (Theorem 17)
for the parameter set ... , -1, 0.
Theorem. Let {x(n),ff(n),nEZ+} be an L 1 bounded supermartingale mar-

tingale or submartingale. Then limn_a:> x(n) exists (finite) almost surely.
It is sufficient to consider the supermartingale case. In that case if r 1 < r 2'

Theorem 12 implies that E {On [x('); r l' r 2]} < + 00 so that almost no
sample sequence has infinitely many downcrossings over the interval [r l ' r2]'
Thus the summands on the right in the relation
limsup x(n) > liminfX(n)}

{ n-oo n-oo
(13.1)
c U {lim sup x(n) > r 2 > r 1 > IiminfX(n)}
n-oo n-oo
'i '. <r 2
rational
are null sets so limn_a:> x(n) exists almost surely, and the limit is almost
surely finite because
The hypotheses of the theorem are satisfied if the process is a positive

supermartingale (the most natural case for potential theory) or more
generally if the process is a right closable supermartingale because if x( + 00 )
right closes the supermartingale
14. Convergence of a Uniformly Integrable Martingale 451
E{lx(n)1} = E{x(n)} - 2E{x(n) /\ O}::;; E{x(O)} - 2E{x(+00) /\ O}.

(13.3)
This inequality shows that x(o) is L 1 bounded ifand only ifinfn~o E{x(n) /\ O}
> - 00. See Section IS for further discussion of the convergence of a right
closable supermartingale.
Generalization to Arbitrary Parameter Sets
Let {x(t), tE I} be an L 1 bounded supermartingale martingale or sub-

martingale with an arbitrary linearly ordered parameter set I except that
I has no last element. If I is countable, the method of proof of Theorem 13
is applicable to yield the fact that limrt x(t) exists and is integrable. If I
is not countable, ess limtt x(t) exists and is integrable because we can assume
(Section 4) that I is a subset of IR ordered by ::;;, in which case I has a cofinal
sequence and (Appendix Theorem IV. 10) the stated result follows from the
convergence result for countable I.
Continuous Parameter Case
Suppose that the process x(o) is a supermartingale martingale or submar-

tingale with parameter set a subinterval I of IR whose right-hand endpoint
(J( (::;; + 00) is not in I. If the process is L
1
bounded, we have just seen that
limrta x(t) exists almost surely when t tends to (J( along the rationals, and
this fact implies, if the process is known to be almost surely right continuous,
that this limit exists almost surely when t tends to (J( unrestrictedly. This is
the typical application of the L 1 bounded martingale theory convergence
theorem in the continuous parameter case, and it will be shown in Chapter
IV that the hypothesis of almost sure right continuity is not very restrictive.
14. Convergence of a Uniformly Integrable Martingale

Let (0., ff, P; ff(n), n E Z+) be a filtered probability space, and define
ff( + 00) = yO' ff(n). Recall from Section 3 that a martingale is uniformly
integrable if and only if it is right closable, so that the most general uniformly
integrable martingale relative to the above unextended filtration is a sequence
{x(n),ff(n),nEZ+} with x(n) = E{xlff(n)}, where x closes the martingale.
In this context define x(+oo)=E{xlff(+oo)}. If p~ 1, then (submar-
tingale inequality if the expectations are finite) E{lx(O}JP} ::;; E{lx(l}JP} ::;;
... ::;; E{lxl p }, so that the martingale is L 1 bounded (as is implied by the
given uniform integrability without invoking martingale theory), and in
general if the last expectation is finite, the martingale is LP bounded. The
following martingale theorem, in which p ~ 1 and the preceding notation
is used, contains the forward conditional expectation continuity theorem

proved directly in Section 1.5.
Theorem. If {x(n),~(n),nEZ+} is a uniformly integrable martingale right

closable by x, then Iim,,-+oo x(n) = x( + 00) almost surely, and also in the LP
metric whenever XELP [equivalently,jor p > 1 whenever sUP"eZ+ E{lx(n)iP}
< + 00]. The process
[x(O),~(O)], ... , [x(+oo),~(+oo)], [x,~] (14.1)
is a martingale.
Since x(·) is L 1 bounded, Theorem 13 is applicable, and under the given

uniform integrability hypothesis the almost everywhere convergence assured
by Theorem 13 implies L 1 convergence. Furthermore, if AE~(n), then
(martingale equality)
E{x(m);A} = E{x(n);A} = E{x;A} ifm ~ n, (14.2)
and when m -+ 00, this equation yields, in view of the L 1 convergence of x(·),
m-+oo X(m);A} = E{x;A}.

E{lim (14.3)
This equality holds for A in the algebra UO" ~(n) and therefore holds in
the generated u algebra ~( + 00); so this limit random variable is x( + 00).
It is trivial that the process (14.1) is a martingale. If p> 1 and if
sUPnez+E{lx(n)iP} < +00, then (Fatou's lemma) E{lx(+oo)iP} < +00. If
p> 1 and if E{!x(+oo)iP} < +00, then (Theorem 11 applied to JX(')I)
E{suP"eZ+ Ix(n)iP} < +00. So E{suP"eZ+ Ix(n) - x(+oo)iP} < +00, and
therefore (dominated convergence) the sequence x(·) converges to x( + 00)
in the LP metric.
Extension to Other Parameter Sets
Suppose that x(·) is a uniformly integrable martingale, right closable by

x, for which the parameter set I is either (a) a countable dense subset of
an open interval ]0, a[ or (b) the interval ]0, a[. Theorem 14 (and its proof
with trivial modifications) remains valid in both these contexts when suitably
rephrased. More specifically, in (a) limttax(t) exists almost surely and in
L 1 ; in (b) ess limtta x(t) exists, and the limit also exists in L 1. Moreover
in (b) if the process is almost surely right continuous, the essential limit is
also an almost sure limit. In both cases the limit is almost surely
E{xIYtEI ~(t)}. The extension when XELP is obvious.
15. Forward Convergence of a Right Closable Supermartingale 453
Application to Approximation Theory
Let {x( t), t E I} be an arbitrary infinite collection of random variables on

some probability space, and if JeI, define ff(J)=ff{x(t),teJ}. Then
if x is an ff(I) measurable and integrable random variable, we shall now
show that there is an increasing sequence J. of finite subsets of I such that
Since (Section 1.4) E{xlff(Jn)} is equal almost surely to a Borel measurable

function of the finitely many random variables with indices in I n , equation
(14.4) exhibits a canonical way to approximate x by functions of finitely
many of the random variables. In fact let x be as stated, and (Appendix
IV.2) choose J countable and so large that x is ff(J) measurable. If I n in
(14.4) is chosen to be the set of first n members of J in some enumeration,
(14.4) reduces to a special case of the conditional expectation continuity
theorem, that is, a special case ofTheorem 14. Observe that if x is an arbitrary
integrable random variable on the given probability space, (14.4) should
be replaced by
15. Forward Convergence of a Right Closable

Supermartingale
Theorem. If {x(n),ff(n),ner} is a right closable supermartingale,
limn_oo x(n) = x( + (0) exists (finite) almost surely, and if x right closes the
supermartingale the process, (14.1) is a supermartingale.
It was pointed out in Section 13 that Theorem 13 is applicable to right

closable supermartingales. Hence only the second assertion of the theorem
requires proof. Since the process x(·) is the sum of a positive supermartingale
and a right closable martingale according to
x(n) = [x(n) - E{xlff(n)}] + E{xlff(n)}, (15.1)
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
E{x(+oo)lff(n)} ~ liminfE{x(m)lff(n)} ~ x(n) a.s., (15.2)

m-oo
which shows that x( + (0) coupled with ~(+ (0) = y;, ~(n) right closes the
given supermartingale. Finally
E{xl~(+oo)} = limE{xl~(n)} ~ limx(n) = x(+oo) a.s., (15.3)

n-oo n-CX)
and therefore (14.1) is a supermartingale in the present context.

As the negative of Example (d) in Section 2 shows, an L 1 bounded
supermartingale need not be right closable.
Extension to Other Parameter Sets
The rephrasing of Theorem 15 for a process with a parameter set which is

either an interval ]0, cx[ or a countable dense subset of this interval is similar
to the corresponding rephrasing in Sections 13 and 14.
16. Backward Convergence of a Martingale
The fact that the parameter set 7l.-: ... , - I, 0 has a last element makes
backward martingale theory convergence theorems stronger than forward
ones. It will be convenient to treat the martingale case first.
Theorem (Backward Half of the Conditional Expectation Continuity Theo-

rem Already Proved Directly in Section 1.5). Suppose that {x(n), ~(n),
n E 7l.-} isa martingale, that is, x(n) = E{x(O)I~(n)} a.s. Then limn .... _ oo x(n) =
E{x(O)ln~oo ~(n)} a.s. and in L 1 norm.
The process is uniformly integrable because it consists of conditional

expectations of a random variable x(O) [Section I.4(i)]. Just as in the proof
of Theorem 13 the downcrossing inequality, easier here because the process
is right closed, together with Fatou's lemma implies that there is an almost
sure limit which is integrable. To identify this limit, which we denote by
x(-oo), choose A in ~(-oo) = n~oo~(n). The martingale property and
the uniform integrability of the process yield
I x( - oo)dP = n~~oo 1 x(n)dP = I x(O)dP, (16.1)
and this equality identifies x( - (0) as the stated conditional expectation.

The convergence is L 1 convergence because the process is uniformly in-
tegrable.
The rephrasing of Theorem 16 for other parameter sets follows that
of the forward convergence theorems and is left to the reader.
18. The T Operator 455
17. Backward Convergence of a Supermartingale
Theorem. Suppose that {x(n), .?F(n), n E 7l..-} is a supermartingale. Then

(a) E{x(O)} ~ E{x( -I)} ~ ... -+ I ~ +00.
(b) limn__ oox(n)=x(-oo) exists almost surely; x(-oo)/\O is in-
tegrable; - 00 < x( - (0) ~ + 00 almost surely.
(c) If 1< + 00, then x( - (0) is almost surely finite and left closes the
supermartingale, the supermartingale is uniformly integrable, and
the convergence in (b) is in L I as well as almost sure.
The example x(n) == -n shows that the limit in (b) may be identically + 00.
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( - (0). Apply Fatou's lemma and the supermartingale inequality
to obtain
E{x(-oo) /\ O} ~ lim E{x(n) /\ O} ~E{x(O) /\ A}, (17.1)

n-+-oo
which implies that x( - (0) /\ 0 is integrable. In view of Theorem 16 and

the fact that the process can be written as the su01 of a positive supermar-
tingale and a uniformly integrable martingale according to
x(n) = [x(n) - E{x(O)I.?F(n)}] + E{x(O)I.?F(n)}, (17.2)
it is sufficient to prove the present theorem for a positive supermartingale,

and positivity will be assumed from now on. If I < + 00, the process is L 1
bounded; so x( - (0) is integrable. Finally, according to Fatou's lemma,
E{x( - oo)} ~ I, whereas for every c the process x(·) /\ c is a bounded
supermartingale; so for all n,
E{x( - (0) /\ c} = m-+-oo

lim E{x(m) /\ c} ~ E{x(n) /\ c}. (17.3)
This inequality yields E{x(-oo)} ~E{x(n)} and thereby E{x(-oo)} = I.

Thus there is equality in Fatou's lemma which implies uniform integrability
of the process.
The rephrasing of Theorem 17 for other parameter sets is left to the
reader (see Section 14).
18. The 'r Operator
This probabilistic operator is the counterpart of the t operator in classical

potential theory. Let {x(·),.?F(·)} be a stochastic process with state space
(~, &$t(~)) and with an arbitrary linearly ordered parameter set I. It is
456 2.1II. Elements of Martingale Theory
supposed that the process random variables are integrable. Let Sand T
be countably valued optional times with values in I and with S ~ T. Suppose
that x(1) is integrable, and define the process .STX(·), writing .STX(t)
instead of .STX(·)(t), by
X(t) on {S > t} u {T < t},

• x(t)- (18.1)
ST - { E{x(1)I§"(t)} on {S ~ t ~ T}.
Observe that
.STX(t) = E{x(T v t)I§"(t)} a.s. on {S ~ t}. (18.2)
The process .STX(·) is adapted to §"(.) and .STX(1) = x(1) almost surely
by Section 2, Example (a). Furthermore the process .STX(·) is a martingale
between times Sand T in the sense that the process
{.STX«S v t) /\ 1), ~«S V t) /\ T), t E!}
is a martingale; in fact
.STX«S v t) /\ T) = E{x(1)I§"«S v t) /\ T)} a.s.
In the most important applications {x('), §"(.)} is a supermartingale or

submartingale. Suppose, for example, that this process is a supermartingale.
If Tis order bounded above and below, it follows from the supermartingale
optional sampling theorem that x(T) is integrable and that P{.STX(t) ~
x(t)} = I for all t, that is, .STX(·) ~ x(·) in the essential order. Furthermore
the process {.sTx(·),F(·)} is then also a supermartingale (and a martingale
between times Sand T in the above sense). In fact, if s < t, then
E{.STX(t)I§"(s)} ~ E{x(t)I§"(s)} ~ x(s) = .STX(S) a.e. on {S > s}
and, almost everywhere on {S ~ s},
E{.STX(t)I§"(s)} = E{I{sss}.sTx(t)I§"(s)}
= E{I{sss)E{x(T v t)I§"(t)}I§"(s)}
= E{x(T v t)I§"(s)}
= E{E{x(T v t)I§"(T v s)}I§"(s)} ~ E{x(T v s)I§"(s)}
= ·STX(S).
Define.T by (18.1) with all references to S deleted. If Tis order bounded

above and below, and if {x('),§"(·)} is a supermartingale [submartingale],
then .TX(·) is also one, is an essential order minorant [majorant] of x('),
19. The Natural Order Decomposition Theorem for Supermartingales 457
and is a martingale up to time T in the sense that the process
{"tTx(T /\ t),~(T /\ t),tEI}
is a martingale. Observe that "tTX(') = "taTX(') if I has a first element a.

The operation x(·) 1-+ "tSTX(') on processes is the martingale theory coun-
terpart of the classical potential theory operation u 1-+ "t BU on functions,
as defined in Section l.II.l for B a ball and in Section l. VIII. II for B an
open set (in both cases relatively compact in the domain of u). In most
probabilistic applications I = IR+, the processes involved are almost surely
right continuous, and the optional times Sand T need not be countably
valued. The adaptation to this context will be given in Section IV.l4.
19. The Natural Order Decomposition Theorem for

Supermartingales
In the following theorem and its proof all the supermartingales have the
same (arbitrary) parameter set and filtration.
Theorem. Let x('), XI (.), X2(') be positive supermartingales, and suppose that
(essential order) X(');5;; x l (·) + x 2('), that is, for each parameter value the
indicated inequality is true almost surely. Then there are positive super-
martingales X/I (.), x;(·) for which (essential order) x;(·) ;5;; x;(·) and x(·) =
X/I (.) + x;(·).
The proof is a translation of that of Theorem 1.111.7, a particularly easy

example of the translation of potential theoretic reasoning into the corre-
sponding probabilistic context. Choose X/I (.) as the essential order infimum
of the class of positive supermartingales y(.) for which x(·) ;5;; y(.) + x 2 ('),
and then choose x;(.) as the essential order infimum of the class of positive
supermartingalesy(') for which x(·) ;5;; x~ (.) + y(·). Then x(·) ;5;; x~ (.) + x;(·),
x(·) ~ x;(·), and for any parameter value t,
x(·) = "ttx(') + [x(·) - "ttx(·)J;5;; x~(·) + ["ttX;(') + x(·) - "ttx(.)],
It is easy to check that the bracketed process is the same as x;(·) for parameter
values ~ t and is a positive supermartingale. Hence this process majorizes
x;(·), and it follows that
x(·) - x;(·) ~ "tt[x(') - x;(·)].
If this inequality is evaluated at a parameter value s < t, we find that x(·) -

x;(·) is a positive supermartingale, majorized (essential order) by x~ (.);
impossible unless there is equality. The proof is complete.
See Section V.5 for Theorem 19 as modified for right continuous pro-
cesses in the continuous parameter case.
20. The Operators LM and GM

Let r: {x..(o), ff(o) , lXEi} be a class of stochastic processes with a common
linearly ordered parameter set, on a common probability space, and adapted
to a common filtration ff(o). If in the essential order of processes adapted
to ff(o) there is a least supermartingale majorant [greatest submartingale
minorant] ofr, this majorant [minorant] will be denoted by LMr [GMrl
Strictly speaking LMr, for example, is an equivalence class, and we shall
sometimes describe its members as its versions. The notation LMr can
refer either to the equivalence class or to one of its versions, but the intended
meaning will always be clear from the context.
Theoremo If r is a class of supermartingales and has an essential order sub-

martingale minorant, then GMr exists and is a martingale.
The proof of this theorem is formally identical with that of its classical
counterpart Theorem 1.111.2. The class roof submartingale essential order
minorants of r contains x 1 (o) v x 2 (o) with x 1 (o), x 2 (o) and is therefore
directed upward in the essential order with essential order supremum (limit),
say {x'(o),ff(o)}, an essential order minorant of r. We prove the theorem
by showing that {x'(o),ff(o)} is a martingale. For every parameter value t,
every x(o) in r, every y(o) in r o,
in the essential order. Thus 'try(o)Ero, and the essential order supremum
of r o is the same as that of {'trY(o): y(o)Ero}. For every t the latter class
on the parameter set ~ t is an upward-directed set of martingales; so
{x'(o), ff(o)} is a martingale.
Special Case (Counterpart of Theorem l.IlI.1). If {x(o),ff(o)} is a super-
martingale with a submartingale essential order minorant, then the greatest
submartingale minorant of x(o) will be denoted by GMx(o), the tth random
variable of this process will be denoted by GMx(t), and GMx(o) can be
obtained as follows. For each parameter value t the process 'trx(o) is a
supermartingale essential order minorant of x(o) and is a martingale up
to the parameter value t. As t increases, the supermartingale decreases, and
the essential order infimum and limit of this decreasing family is GMx(o).
The proof is formally identical with that of Theorem 1.111.1 and is left to
the reader. According to Section 5, there is an increasing sequence to of
parameter values such that lim"-+oo't, x(o) = GMx(o) up to a standard
modification. . "
22. Potential Theory Reductions in a Discrete Parameter Probability Context 459
21. Supermartingale Potentials and the Riesz Decomposition

The special case in the preceding section yields the following result. If
{x(o), ~(o)} is a supermartingale (arbitrary linearly ordered parameter set I)
and if this process has an essential order submartingale minorant, then
{GMx(o),~(o)} is a martingale and GMx(t) = essinfse1tsx(t). Moreover
x(o) = GM x(o) + y(o), (21.1)
where {y( 0), ~ (o)} is a positive supermartingale with the following properties:
(a) GMy(t) = 0 almost surely,for each t.
(b) infteIE{y(t)} = O.
(c) ess limst tsy(t) = 0 almost surely,for each t.
Since the function t 1-+ E {y( t)} is monotone decreasing, the infimum in (b)
is actually the limit as t increases. Each of these three properties of a positive
supermartingale implies the other two, and a positive supermartingale with
these properties will be called a supermartingale potential. Observe that in
the present context if the parameter set has a last element P, a positive super-
martingale {x(o), ~(o)} is a potential if and only if x(P) = 0 almost surely.
Recall that in classical potential theory a positive superharmonic func-
tion u on a connected Greenian set D is a potential if and only if G MDu = 0,
e
equivalently (for a point of D), if and only if infB,uB(e,u) = 0 when B
ranges through the open relatively compact subsets of D containing e,
equivalently, ifand only iflimBtDtBu = limBtD,uB(o,u) = 0 when B increases
through the open relatively compact subsets of D. These three classical con-
text conditions are respective counterparts of conditions (a)-(c) above. The
decomposition (21.1) is the counterpart of the Riesz decomposition in
classical potential theory and will accordingly also be called the Riesz
decomposition.
220 Potential Theory Reductions in a Discrete Parameter

Probability Context
(See Section 2.IV.17 for the corresponding continuous parameter theory.)
Let (n,~, P; ~(j),jE7r) be a filtered probability space. Let {z(o), ~(o)}
be a positive process, and denote by r the class of supermartingales {z'(o),
~(o)} majorizing z(o) in the essential order. It is supposed that r is not
empty. The minimum of two supermartingales in r is in r; so r is directed
downward. Denote the positive supermartingale ess inf r by R:(.)(o), and
define R:(.)( + 00) = z( + 00) = O. In reduction theory we are dealing with
equivalence classes of adapted stochastic processes under standard modifica-
tion; so R:(.)(o) is to mean either the appropriate equivalence class or one of
its members, as indicated by the context.
Theorem. Under the stated conditions
Rz(.)(j) = ess sup {E{z(T)I.?(j)}: T optional, ~j}. (22.1)
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 Sand
T are optional and ~j, define U = Tor U = S according as the inequality
E{z(T)I.?(j)} ~ E{z(S)I9'(j)} (22.2)
is true or false. Then U is optional and E{z( U)I.?(j)} is almost surely the
maximum of the conditional expectations in (22.2). Next observe that
{y(,),.?(.)} is a supermartingale; so y(·)er. In fact, if j > 0 and if the
optional time sequence S. is chosen with Sk ~ j for all k and is also chosen to
make the sequence E{z(S.>I.?(j)} monotone increasing with limit y(j), then
E{y(j)I.?(j - I)} = lim E{E{z(Sk)I.?(j)}I.?(j - l)}

k-oo
= lim E{Z(Sk)I.?(j - I)} ~ y(j - I) a.s.

k-oo
Finally, if z'(')e r and if T is optional and ~j, then
z'(j) ~ E{z'(T)I.?(j)} ~ E{z(T)I.?(j)} a.s.;
so z'(j) ~ y(j) almost surely; that is, y(.) = essinfr, as asserted.

We shall not pursue the general case far enough to obtain a probability
counterpart to Theorem IXI.20 but proceed at once to the probability
counterpart of classical potential theory reductions.
Application to Reductions
n
Let A be a subset of 71.+ x for which the process j ~ IA(j, .) is adapted to
.?('), and let {z('), .?(.)} be a positive supermartingale. Define R~.), also to
be denoted by ~z(·) ~A, as RZ(o)lA(o). Then according to Theorem 22, if we
define IA(+oo)=O,
R~.)(j) = esssup{E{z(T)I A(T)I9'(j)}, Toptional, ~j}, a.s. (22.3)
and we show further that if 1j is the entry time ~j of A, that is,
1j(w) = min {k ~j: (k, w)eA},

23. Application to the Crossing Inequalities 461
then
(22.4)
To prove (22.4), observe that if T is optional and ~j, then
and observe that lA(T 1\ Tj) = 0 when T < Tj; so
E{z(T)IA(T)lff(j)}.:s; E{E{z(T)lff(T 1\ Tj)}lA(T 1\ Tj)lff(j)} (22.5)

.:s; E{z(T 1\ Tj)IA(T 1\ Tj)lff(j)} .:s; E{z(Tj)lff(j)} a.s.
Thus the supremum in (22.4) is attained when T = Tj, as asserted.
Specialization to the Parameter Set Z:

If the parameter set is Z: instead of Z + , the corresponding analysis is easily
carried through, or we can define ff(j) = ~(n) and z(j) = z(n) for j > n to
reduce the context to that of the parameter set Z + . Equations (22.1), (22.4),
and (22.5) remain true under the convention that all processes are extended
to vanish at the parameter value + 00.
23. Application to the Crossing Inequalities

We suppose that we are in the context of the preceding section with parameter
set Z: , and we shall use the notation zc' t (.), zc 1C2 (.), ... , respectively, for
~z(') ~CI, ~ ~z(') ~CI ~ c2 , • • • • Let x('), x'('), x"(') be adapted processes on the
given filtered probability space. Suppose that x'(·) ~ 0 and that x('), x"('),
and x"(') - x'(') = y,(.) are positive supermartingales; that is, we are in the
context of Theorem 12. In Section 12 we defined Dn[ x('); x'('), x"(')] as the
number of times an x(') sample sequence proceeds from above x"(·) to below
x'(')' Define
A= {(j,W):jEZ: ,x(j,w).:s; x'(j,w)},

iJ = {(j,W):jEZ: , x(j, w) ~ x"(j,w)}.
It is easy to check using (22.1) that (almost surely)
YAB(O) ~ E{y'(n); Dn[x(·); x'(·),x"(·)] ~ I1ff(O)};

(23.1)
YABAB(O) ~ E{y'(n); Dn[x(·); x'(·),x"(·)] ~ 2Iff(O)};
462 2.111. Elements of Martingale Theory
etc., with equality if y'(o) is a martingale. Now the iterated reduction in-
equalities in Section l.VI.3(0) were proved in the context of classical poten-
tial theory using elementary reduction properties valid in the present context.
Hence (almost surely)
(23.2)
and
YAli(o) + YAliAli(o) + ... :S xlj(o) :S x(o) A x"(o). (23.3)
In view of (23.1) inequality (23.3) implies
E{y'(n) Dn[x(o);x'(o),x"(o)]I.F(O)}:s x(O) A x"(O) a.s., (23.4)
which yields (12.2) on integration. (See the remarks in Section 10 on con-

ditional inequalities.) In particular let a and b be positive constants with
a < b, let {y(o),.F(o)} be a positive supermartingale, and set x'(o) = ay(o),
x"(o) = by(o), in (23.3) to obtain the almost sure inequality
x(o) A by(o)
YAli(o) + YAliAli(o) + .. ':S b
-a
. (23.5)
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(3.1l) is the sequence
. '(0) < x(o) A by(o) (23.6)

YAB - b '
of almost sure inequalities. On integration these yield (12.4). The point is

that the classical context iterated reduction inequalities in l.VI.6(0) remain
valid when translated into the martingale theory context, and that the
translated inequalities yield, on integration, the crossing inequalities proved
directly in Section 12.
Chapter IV
Basic Properties of Continuous Parameter

Supermartingales
1_ Continuity Properties
The continuity properties ofcontinuous 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 (T algebra contains the null sets. Let {x(t), $'(t), tE IR+} be an
almost surely right continuous supermartingale, and define $'1 (t) as the
(T algebra generated by $'(t) and the null sets. Then {x(-), $'1 (-)} is a super-
martingale. Moreover the filtration $'/(-) is right continuous, $'/(0) con-

tains the null sets, and {x('),$'/(')} is a supermartingale because if s/ < t,
E{x(t)l$'l(S/)} ::s; x(s/) a.s.,
and when s/ ! s sequentially, we obtain the supermartingale inequality for

the process {x(-), $'/(-)} in view of the conditional expectation continuity
theorem.
In the following theorem convergence in measure has the usual definition,
not the special definition for iR valued random variables needed in Section
1.13.
Theorem_ Let {x(t), $'(t), t E IR+} be a supermartingale, and suppose that

$'(0) contains the null sets. Let B [B+] be the set ofvalues oftin IR+ for which
it isfalse that lim s _ t x(s) = x(t) [limsJ.t x(s) = x(t)] in the sense ofconvergence
in measure, and let A be a countable dense subset oflR+.
464 2.1V. Basic Properties of Continuous Parameter Supermartingales
(a) The set B is countable.

(b) The restriction to A of almost every x(o) sample function is bounded
on the trace on A of every compact interval, has left and right limits
at every point of ~+ , andfor t in ~+ - B+ ,
P 5 lim x(s) = X(t)} = 1.

LA •• .1./
(c) IfteB+, define y(t) = x(t); ifte ~+ - B+, defmey(t) = limA •• J"x(s)
where this limit exists, and define y(t) arbitrarily where this limit does
not exist. For all t define i(t) = limA .. .1./ x(s) where this limit exists,
and define x(t) arbitrarily where this limit does not exist. Then
+
(cl) The processes {y( 0), 9"'(0) }, {i( 0), §'" +(o)} are supermartingales,
martingales if {x(o), §'"(o)} is a martingale.
(c2) Almost every y(o) sample function and almost every x(o) sample
+
function are bounded on compact intervals of~+.
(c3) Almost every y(o) sample function has right and left limits at
every point of ~+ and is right continuous at every point of
~+ - B+. Almost every x( 0) sample function is right continuous
+
and has a left limit at every point of ~+. The processes y(o),
y(o _), y(o +), x(o),
+
x(o
+
- ) are L 1 bounded on compact intervals
of~+·
(c4) The process y(o) is a standard modification of x(o), indistin-
guishable from x(o) +
if and only if B+ is empty, as is true if
{x(o), §'"(o)} is a martingale and §'"(o) = §'"+ (0).
Proof of (a) and (b). If to > 0, the restriction to An [0, to] of almost every
x(o) process sample function is bounded, according to the inequalities
11I(9.1 ') applied to - x(o). If such a restriction does not have a left and right
limit at every point of [0, t o [, there must be a pair of rational numbers
r 1, r2 with r 1 < r 2 such that the sample function restriction to A n [0, to [
has infinitely many downcrossings of [r l' r2]. Since the downcrossing in-
equality 111(12.5) yields
E{D n [ x (0)'
IA,r 1,r 2
]}
~
E{x(O) /\ r2 - x(to) /\ r2 } , (1.1)
r2 - r1
the number of downcrossings is almost surely finite simultaneously for

all rational pairs r l' r 2 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
E{lx(t)l} = E{x(t)} - 2E{x(t) /\ O} ~ E{x(O)} - 2E{x(to) /\ O} (t ~ to),

(1.2)
1. Continuity Properties 465
an application of Fatou's lemma shows that these one-sided limits are

integrable and that the processes x( 0), x( 0+), x( 0-) are L I bounded on
compact intervals of IR+. Now consider the space of almost surely finite-
valued random variables, identifying two random variables if they are equal
almost surely, and define the distance between the random variables x and y
as E {I x - y 1/\ I}. Convergence of a sequence in this metric is equivalent
to convergence in measure of the corresponding sequence of random
variables. Let ¢(t) be the point of this metric space corresponding to the
random variable x(t). Observe that if Al is a second countable dense subset
of IR+ , the results proved above for A when applied to A u Al show that the
left- and right-hand sample function limits are almost surely the same for
A as for AI' Among other things, this fact implies that when s tends sequen-
tially and strictly monotonely to t, the random variable x(s) tends almost
surely to x(t-) or x(t+) depending on the direction of approach; so the
function ¢ on IR+ has left and right limits at all points. If e > 0, the set of
points t at which the oscillation of ¢ is at least e is closed and can have no
finite limit point; so this set is finite in each compact interval, and it follows
that the set of discontinuities of ¢, which is the set B of the theorem, is
countable. Moreover the definitions of Band B+ can now be strengthened:
te IR+ - B [te IR+ - B+] if and only if whenever A is a countable subset
of IR+ with [left] limit point t, it follows that
lim x(s) = x(t) [ lim x(s) = x(t)] a.s. 0

A3S..../ A3S.I./
Proof of(cl)-(c4). If {x(o), ~(o)} is a martingale, if ~(o) is right continuous,

and if 0 ~ s' < s < t, the almost sure equality x(s') = E{x(t)I~(s')} com-
bined with the conditional expectation continuity theorem yields x(s+) =
E{x(t)I~(s)} = x(s) almost surely when s' tends sequentially and mono-
tonely to s. Thus in this case B+ is empty. To prove the rest of (cl)-(c4),
observe that the process y(o) is a standard modification of x(o), and is
adapted to ~(o) because ~(O) contains the null sets. Hence {y(o), ~(o)} is a
supermartingale, a martingale if {x(o), ~(o)} is a martingale. If we choose
A to be a superset of B, an application of (a) and (b) shows that (cl)-(c4) are
true for y(o) and that L}(o), ~+ (o)} is an almost surely right continuous
adapted process with left limits. If B+ is empty, i(o) is adapted to ~(o).
Furthermore P{i(t) = x(t)} = I if and only if t e IR+ - B+. To prove that
{i(o), ~+ (o)} is a supermartingale, which implies that this process is a mar-
tingale if {x(o),~(o)} is [apply the first result to -x(o)], suppose that
o ~ s < s' < t < t' < to, and observe that
E{x(t') - E{x(to)I~(t')}I~(s')} + E{x(to)I~(s')} ~ x(s') a.s. (1.3)
When t' ! t sequentially and s' ! 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
E{f(t) - E{x(to)IY+(t)}/Y+(s)} + E{x(to)IY+(s)};S; f(s) a.s.
Hence E{f(t)IY+ (s)} ;S; f(s) almost surely; so the process {f(')' y+ (.)} is a
supermartingale, and the proof of (cl )-(c4) for x(')
+
is now complete. 0
The Right Continuous Case
In most applications the process {x('), Y (.)} in Theorem 1 is given as an

almost surely right continuous supermartingale. In this context Theorem 1
implies that the process almost surely has finite left limits, that the processes
x(') and x('-) are L 1 bounded on compact intervals of~+, and that there is
an at most countable subset B of ~+ such that P{x(t) = x(t-)} = I if and
only if t E ~+ - B. We stress that even if B is empty, the process is not neces-
sarily almost surely continuous.
Semipolar Sets and Supermartingale Smoothing
Recall that in the Fundamental Convergence Theorem (Theorem I.VI.I) of

classical potential theory a basic operation was the lower semicontinuous
smoothing of the infimum of a locally lower bounded family of super-
harmonic functions. This smoothing yielded a superharmonic function equal
quasi everywhere to the infimum function. The corresponding smoothing in
the parabolic context (Section l.XVII.13) yielded a superparabolic function
equal to the infimum function up to a semipolar set. In these contexts the
infimum function satisfies the average property of the function class con-
sidered, the class of superharmonic or superparabolic functions as the case
may be, but does not satisfy the lower semicontinuity property of the func-
tions in the class except in trivial cases. The lower semicontinuous smoothing
replaces the infimum function by a function in the class equal to the infimum
function off a small set. The analogous smoothing operation in the prob-
ability context is the smoothing of x(') into x(') in Theorem l. This will be
+
seen in the context of the probabilistic Fundamental Convergence Theorem
(Theorem 5 below). The following application ofTheorem I is an illustration
of this smoothing.
The Set of Discontinuities of a Supermartingale
Let (Q,Y,P;Y(t),tE~+) be a filtered probability space with y(.) right

continuous and Y(O) containing the null sets. Let {x('), y(.)} be a nearly
progressively measurable supermartingale on the space, and suppose that
almost no sample function has an oscillatory discontinuity; that is, the
I. Continuity Properties 467
process almost surely has right and left limits. Define X(I,W)
+
= X(I+,W)
[,!(I,W) = x(t-,w)] if this right [left] limit exists, and define i(l,w)
[,!(I,W)] arbitrarily otherwise. Then we show that i(o,o) = x(o,o) =,!(o,o)
up to a semipolar subset of IR+ x n. Since an evanescent set is semipolar, we
lose no generality if we adjust the process if necessary on a null set of n 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 = {(I,W): \X(I,W) - i(t,W)1 ~ t}·

The process {x(o),
+
g;;(o)} is progressively measurable because it is right con-
tinuous (Section 1.2); so the •process {lx(o)-x(o)I,g;;(o)}
+
is progressively
measurable, and therefore A k is a progressively measurable subset of
IR+ x n. Since the sample function x( 0, w) has no oscillatory discontinuity,
the set of values of I with (t, w)EA k has no finite limit point; if k and n are
strictly positive integers, let Tkn be the nth value of t in this set (with Tkn = + 00
if there is no nth value). Then (Section 11.4) Tkn is the nth entry time of the
progressively measurable set Ak ; so Tkn is optional. Furthermore
ao ao
{i(o,o) # x(o,o)} = UA = U [T
k kn ];
k=1 k,n=1
so the set on the left is semipolar as asserted, and similarly the set {,!(0, 0) #
x(o, o)} is semipolar.
Returning to the original hypotheses of this application of Theorem I,
observe that one choice of x( 0, 0), in fact the choice we shall always use below
+
whenever x(o) almost surely has right limits, is i(t) = lim infs.!.r x(s). This
choice makes {i(o), g;;(o)} progressively measurable if g;;(o) is right con-
tinuous even if {x(o), g;;(o)} is not progressively measurable.
Application of Theorem I to a Conditional Expectation Process

X(I) = E{zlg;;(I)}
Let (n,g;;,p;g;;(t),tEIR+) be a probability measure space with a right con-

tinuous filtration, let z be an integrable random variable on the space, and
define a martingale {x(o),g;;(o)} by setting x(t)=E{zl.F(t)}. Right con-
tinuity of the filtration implies that the set B+ ofTheorem I is empty. Accord-
ing to Theorem I, the process x(o) +
is a standard modification of x(o) and is
almost surely right continuous. In other words the conditional expectation
defining X(I) can be chosen to make x(o) an almost surely right continuous
process, or even right continuous if g;;(O) contains the null sets.
468 2.IV. Basic Properties of Continuous Parameter Supermmingales
Application to the Decomposition of a Right Closable Supermartingale
Let {x(t), .?F(t); t E IR+} be a right closable almost surely right continuous
supermartingale, and suppose that .?F(.) is right continuous. If x right closes
the supermartingale and if E {xl.?F(t)} is chosen properly, the equation
x(t) = [x(t) - E{xl.?F(t)}] + E{xl.?F(t)} (1.4)
exhibits x(·) as the sum of a positive almost surely right continuous super-
martingale and an almost surely right continuous uniformly integrable mar-
tingale. The discrete parameter version of this decomposition was used in
Section 111.15. Going farther, the representation
E{xl.?F(t)} = E{x v OI.?F(t)} - E{( -x) v OI.?F(t)}, (1.5)
with suitable choices of the conditional expectations, exhibits the martingale

component in (1.5) as the difference between two positive almost surely right
continuous uniformly integrable martingales.
2. Optional Sampling of Uniformly Integrable Continuous

Parameter Martingales
Recall [Section III.3(e)] that a martingale is uniformly integrable if and only
if it is right closable. The following theorem is a continuous parameter ver-
sion of the results obtained in Section 111.2, Example (a), and is proved using
those results.
Theorem. Let (O,.?F, P; .?F(t), tE IR+) be a filtered probability space. If

{x(·), .?F(.)} is an almost surely right continuous uniformly integrable martin-
gale, closable, say by {x( + (0),.?F( + oo)}, and ifS and Tareoptional(~ + (0),
then
x(T) = E{x(+oo)I.?F(T)} a.s. (2.1)
and
E{x(S)I.?F(T)} = E{x(T)I.?F(S)} = x(S 1\ T) a.s. (2.2)
Observe that we have not supposed that .?F(.) is right continuous. To

avoid trivia, enlarge the filtration if necessary to make .?F(O) contain the null
sets. Define [T]n, an optional time for .?F(.) and also for the discrete filtration
{.?F{jTn),j = 0, 1, ... , + oo}, as in Section 11.2, and define [S]n correspond-
ingly. According to Section 111.2, Example (a),
2. Optional Sampling of Uniformly Integrable Continuous Parameter Martingales 469
x([S]n) = E{x( + oo)I§([S]n)} a.s. (2.3)
and
The integrated version of (2.4) is
(2.5)
for Ae§([T]n)' Hence (2.5) is true for A in the smaller (] algebra §(n.
When n -+ 00, we can integrate to the limit on the left side of (2.5) because
the sequence ofintegrands, a sequence ofconditional expectations of x( + 00 )
according to (2.3), is uniformly integrable [Section I.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 /\ T) are integrable and that
i x(S)dP = 1 x(S /\ T)dP, Ae§(n· (2.6)
Furthermore x(S /\ n is §(S /\ n measurable (Section 11.3) and so §(n

measurable. Equation (2.6) is the integrated version of the almost everywhere
equality between the first and third terms of (2.2). Interchange Sand T to
derive the almost everywhere equality between the second and third terms.
Set S == + 00 in (2.2) to obtain (2.1).
Application of Theorem 2 to Totally Inaccessible Optional Times
Let T be a totally inaccessible optional time, and define
a(t) = IIT.+ool(t),
an(t)=E{a«k + 1)2- n)I§(t)} on Ink = [krn,(k+ l)r n [, keZ+.
Here we use the versions of the conditional expectations making an (') an

almost surely right continuous process. Observe that I ~ an(t) ~ an+1 (t) ~
a(t) almost surely, simultaneously for all t. We now show that almost surely
limn-o oo ait) = a(t) uniformly on IR+. To see this, choose e > 0, and define
Tn = inf{t: an(t) - a(t) > e}.
Then T. is an increasing sequence of optional times. Let Too = limn-o oo Tn.

Since an(t) = a(t) = I for sufficiently large t almost everywhere on
{T < + 00 }, and for t in Ink the evaluation
a,,(t) = P{T ~ (k + l)r"I.?'(t)}

implies that lim/_oo a,,(t) = limr_oo a(t) = 0 almost everywhere on {T = + oo}
(by the conditional expectation continuity theorem), it is sufficient to prove
that Too = + 00 almost surely. Now
E{a,,(T,,)l{T,,<+oo}} = ~ r E{a«k + l)r")I§'(T,,)}dP

k-O J{T"eI"k}
= ~ r a«k + l)r")dP
k-O J{T"eI"kl
(2.7)
~ ~ r a(T" + r")dP
1-0 J{Tnelnk}
= E{a(Tn +2- n)1{Tn<+oo}} = P{T ~ Tn + r n < + oo}

~P{T~ Too +2- n,T< +oo}.
Moreover by definition of a(·)
limE{a(Tn)I{T<+oo}}= limP{T~ Tn,T< +oo}, (2.8)

"-00 n n-oo
and by definition of Tn
E{[aiTn)-a(Tn)]I{Tn<+OO}} ~eP{Tn< +oo} ~eP{Too < +oo}. (2.9)
Thus (2.7)-(2.9) lead to
P {T ~ Too, T < + oo} - lim P {T ~ T", T < + oo} ~ eP{Too < + 00 }.

n-oo
(2.10)
Finally the total inaccessibility of T implies that the limit in (2.10) is

P{T ~ Too, T < + oo} and thereby implies that P{Too < + oo} = 0, as was
to be proved.
3. Optional Sampling and Convergence of Continuous

Parameter Supermartingales
Theorem. Let {x(t), .?'(t), t E IR+} be a right continuous right closable super-
martingale. Then
(a) lim/_oo x(t) = x( + (0) exists a.s. and right closes the supermartingale.
(b) If T( ~ + (0) is optional, it follows that x(T) is measurable and
integrable.
3. Optional Sampling and Convergence of Continuous Parameter Supermartingales 471
(c) If Sand T are optional with S ~ T ~ + 00, it follows that

E{x(T)I~(S)} ~ x(S) a.s. (3.1)
Observation (a). Almost sure right continuity of x(o), instead of right con-
tinuity, is sufficient for the proof of (a), but under this weakened hypothesis
x(T) may not be measurable, and so (b) and (c) may fail. If ~(O) contains the
null sets, however, the theorem is true with no change in proof even if x(o) is
only almost surely right continuous because (Section 1.8) x(o) is indistin-
guishable from a right continuous process adapted to ~(o). If the supermar-
tingale is almost surely right continuous and if ~(O) does not contain the
null sets, each (J algebra ~(t) can be replaced by the (J algebra generated by
~(t), and the null sets to get an enlarged family of (J algebras for which the
preceding argument becomes applicable.
Observation (b). If the process in the theorem is not right closable but if
Sand T are bounded, say T ~ 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 x(o) and -x(o) in the
martingale case, if {x(t), ~(t), t E IR+} is a right continuous supermartingale
[martingale] and if Tis optional, the process {x(T /\ t),~(T /\ t),tEIR+},
the process x( 0) stopped at T, is a supermartingale [martingale]. A slight
refinement of the proof below (see Section JII.8 for the discrete parameter
case) yields the stronger result that {x(T /\ t), ~(t), t E IR+} is a supermar-
tingale [martingale].
Since the given supermartingale is right closable, the almost sure limit
x( + (0) exists (Section 111.15), and the reasoning used in the discrete parame-
ter case in that section shows that x( + (0) right closes the supermartingale.
Since the process x(o) is right continuous and therefore progressively mea-
surable, the function x(T) is measurable. The process {x(jr n), ~(jTn),
j = 0, I, ... ,oo} is a supermartingale and [T]n as defined in Section 11.2 is
optional for the indicated discrete (J algebra family. Hence (Theorem III.7)
x([S]n) ~ E{x([T]n)I~([S]n)}
= E{x([T]n) - E{x( + oo)I~([T]n)}I~([S]n)} (3.2)
+ E{x( + oo)I~([S]n)} a.s.
In view of Fatou's lemma for conditional expectations this inequality yields

(n-+oo)
x(S) ~ E{x(T) - E{x(+oo)I~+(T)}I~+(S)} + E{x(+oo)I~+(S)} a.s.

(3.3)
If S vanishes identically (3.3) implies that x(T) is integrable. For general

S inequality (3.3) yields
x(S) ~ E{x(T)ljO+(S)} a.s.,
and the operation E{ -ljO(S)} performed on both sides of this inequality

yields (c).
Extension of Theorem 3 Involving Left Limits
Under the hypotheses of Theorem 3 we have seen that the process x(·) has
almost sure left limits. Suppose that Sand T are as described in that theorem
and that T. is an increasing sequence of optional times with limit T and with
Tn = Ton {S = T}. Define x-(T) = limn_ex> x(Tn). We shall now prove that
the ordered triple
[x(S),jO(S)], [x-(T), Y jO(Tn)]. [x(T),jO(T)]
is a supermartingale, In particular, if Tn = T for all n, this result is a re-

writing of part of Theorem 3. At the other extreme, if P {Tn = T> O} = 0
for all n, which implies that T is a predictable optional time announced by
T., the assertion is that the ordered triple
[x(S),jO(S)], [x(T-),jO(T-)], [x(T),jO(T)]
is a supermartingale. [See the definition of jO(T-) in Section 11.7.] More-

over if the given process is a right closable martingale, these triples are
martingales.
It must be proved that x-(T) is integrable and
(a) E{x-(T)ljO(S)} ~ x(S),
(b) E{X(T)IYjO(Tn)}~X-(T) a.s.

(3.4)
According to Theorem 3, E{x(T)ljO(Tn)} ~ x(Tn) almost surely, and when

n -+ 00 this inequality becomes (3.4b) by virtue of the conditional expectation
continuity theorem. In view of the decomposition (1.4) of x(·) into the sum
of a positive supermartingale and a uniformly integrable martingale it is
sufficient to prove that (3.4a) is true for a positive supermartingale and also
for a uniformly integrable martingale. If x(·) ~ 0 and if c is a positive con-
stant, the following supermartingale inequalities for x(·)
E{x(Tn)} ~ E{x(O)}, E{x(Tn v S)ljO(S)} ~ x(S) a.s.

4. Increasing Sequences of Supermartingales 473
yield when n - 00 the fact that x-(T) is integrable and (3.4a) is true. If
x(o) is a uniformly integrable martingale, it is a class D martingale (Section
III.6); so the martingale equality
LX(Tn v S)dP = {X(S)dP [AE~(S)]
from Theorem 3 yields the integrated form of (3.4a) when n - 00.
4. Increasing Sequences of Supermartingales
Theoremo Let {xo(t), ~(t), tE IR+} be an increasing sequence of almost surely

right continuous supermartingales, with limit process {x(o), ~(o)}.
(a) If E{x(O)} < + 00, the process {x(o), ~(o)} is a supermartingale.
(b) The x(o) process is almost surely right continuous with left limits,
and if T is the hitting time by (t, w) ofthe set {(t, w): x(t, w) < + oo},
then for t> T almost every x(o) sample function is finite valued and
has finite left limits.
Assertion (a) is trivial. In proving (b) it can be assumed (Section 1),

enlarging each (1 algebra ~(t) if necessary, that ~(o) is right continuous,
that ~(O) contains the null sets, and that each process xn(o) is right con-
tinuous. It is sufficient to prove the theorem for xn(o) right closable because
it is sufficient to derive the conclusions for each parameter interval [0, bE.
We can nevertheless continue to use the parameter intervallR+ . Furthermore
it can be assumed that each process xn(o) is positive because (Section 1)
xo(o) is the sum of a right continuous martingale Yo(o) and a positive right
continuous supermartingale, and we can replace xn(o) by xn(o) - Yo(o) to
get an increasing sequence of positive right continuous supermartingales.
The truth of (b) for this sequence implies its truth for the given sequence.
Proof of almost sure right continuity of x(o). It is sufficient to prove
almost sure right continuity for x(o) a bounded process since this result
can be applied to the sequence xo(o) /\ c. To prove almost sure right con-
tinuity in this case, under the simplifying assumptions developed above,
observe first that {x(o),~(o)} is progressively measurable since this process
is the limit of a sequence of progressively measurable processes. Hence
(Section 11.6) it is sufficient to prove that whenever T is a finite-valued
optional time, almost every x(o) sample function is right continuous at T.
In fact in the present context it is sufficient to prove that almost every
sample function is right continuous at 0 because this result can be applied
to the increasing sequence {xo(T + t), ~(T + t), tE IR+} of right continuous
supermartingales to get x(o) almost surely right continuous at T. To prove
almost sure right continuity at 0, observe that since xn(o) is right continuous,
the x(-) sample functions are right lower semicontinuous. Furthermore the
restriction of the supermartingale x(-) to the parameter set of strictly positive
rationals almost surely has a right limit y at the origin according to Section
111.17, and
x(O) ::; lim inf x(t) ::; y a.s. (4.1)

r-O
On the other hand, the supermartingale inequality E {x(O)} ~ E {x(t) }

implies
E{x(O)} ~ E{y}. (4.2)
It follows that
x(O) = lim inf x(t) = y a.s.

r-O
and the right lower semicontinuity of x(-) then implies that
lim sup x(t)

1-0
= limr-+Osup x(r) = y a.s. (r rational).
Thus x(-) is almost surely right continuous at 0, and hence as pointed out
above, x(-) is almost surely right continuous. Almost sure right continuity
implies (Section I) almost sure left limits at all points.
Proof of (b). To finish the proof of (b), it is sufficient to prove (b'): If
lX and P are strictly positive numbers, then for almost every OJ in the set
{X(lX) < P} the values x(t, OJ) and x(t+, OJ) are finite for t > lx. To reduce
this fact to what we have already proved, define zn(t) for t ~ 0 as Xn(lx + t)
on {X(lx)::; P} and as 0 elsewhere. Apply (a) to the increasing sequence
{z_(t),31'(lX + t),telR+} of supermartingales to find that limn_cozn(-) ac-
cording to what we have proved already is an almost surely right continuous
supermartingale and that therefore almost every sample function is bounded
on compact intervals. The remaining part of (b) follows.
Elementary Proof of Almost Sure Right Continuity of x(-)
The proof given above of almost sure right continuity of x(-) is natural,
but it is of interest to exhibit an elementary proof that does not involve
the relatively deep theorems on hitting probabilities. The following proof
does not even need the supermartingale convergence theorems. We can
assume as in the proof already given that 31'(-) is right continuous, that 31'(0)
contains the null sets, that each process x n (-) is positive and right continuous,
and that x(-) is bounded. Define x( + CX» = x n( + CX» = O. Observe first
4. Increasing Sequences ofSuperrnartingales 475
that if S. is a sequence of optional times and if A = {limn~<Xl Sn = O}, then

Aeff(O), and an application of the right lower semicontinuity of x(·)
sample functions and of the supermartingale inequality at optional times
[valid for x(·) because it is valid for x n (·)] yields
E{x(O);A}::s; E{li~~fX(Sn);A}::S;li~~nfE{x(Sn);A}::S; E{x(O);A}

from which it follows in view of sample function right lower semicontinuity
that
liminfx(Sn) = x(O) (4.3)

n~<Xl
almost everywhere on A. Next choose e > 0 and define
The time Tn is optional because up to a null set
e
{Tn ~ c} = suplxn(r) - x(O)I::s; -2
r<c
(r rational, c > 0)
and therefore T is also optional. Furthermore T is almost surely strictly

positive because otherwise, there is a set of strictly positive probability
on which limn~<Xl Tn = 0 and
(4.4)
for sufficiently large n. Now under (4.4) either x(Tn) - x(O) ~ xn(Tn) -
x(O) ~ el2 for sufficiently large n, which leads to lim infn~<Xl x(Tn) - x(O) ~
el2 and thereby contradicts (4.3) or under (4.4), for every k, xk(Tn) - x(O) ::s;
xn(Tn) - x(O) ::s; -e12 for infinitely many values of n, in which case Xk(O) -
x(O) ::s; -eI2, which is impossible for large k. Thus Tis almost surely strictly
positive. Furthermore Ixn(t) - x(O)1 ::s; el2 on [0, Tn[ and so almost surely
Ix(t) - x(O) I ::s; el2 on [0, T[, and if we set
r(t) = lim sup Ix(s) - x(t)l,

6~O 1<.<1+6
then almost surely r(t) ::s; e on [0, T[. The class r c of almost surely strictly
positive optional times T for which almost surely r(t) ::s; 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
closed under countable suprema; so r, contains its own essential supremum

T'. This is impossible unless T' = + 00 almost surely because the above
proof that r, is not empty when applied to the process x(T' A k +.) shows
that there is a member of r, almost surely strictly larger than T' A k for
every k. Thus for every f, the right oscillation of almost every x(·) sample
function is at most f, at all points, and the proof is complete.
Generalization to Upward-Directed Supermartingale Families
Observe that Theorem 4 can be applied to an upward-directed family of

supermartingales (essential order) since according to Section I1L5 the es-
sential order supremum of the family is a sequential supremum.
5. Probability Version of the Fundamental Convergence

Theorem of Potential Theory
The Right Continuous Smoothing of a Supermartingale
Let {x(t), F (t), t E IR +} be a supermartingale with almost sure right limits;

that is, we suppose that almost every x(·) sample function has a right limit
at every parameter value. According to Section I, the process also has
almost sure left limits. From now on in this context we define
x(t) = lim inf x(s), (5.1)

+ sJ.t
thus making the definition of x(·)

+
slightly more specific than that in Section
l. According to Section I, if F(O) contains the null sets and if F(') is right
continuous, the process {x('),
+
F(')} is an almost surely right continuous
supermartingale and x(',·) = x(',·) up to a semipolar subset of IR+ x n;
+
in particular, P{x(t) = i(t)} = I up to a countable set of values of t. The
(almost surely) right continuous smoothing i(') plays the same role for
x(·) 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.
Theorem. Let {x a ('), F(·), (lEi} be a family of positive almost surely right
continuous supermartingales on a filtered probability space
5. Probability Version of the Fundamental Convergence Theorem of Potential Theory 477
(Q, ff, P; ff(t), tE IR+).
It is supposed that ff(o) is right continuous and that ff(O) contains the null sets.
(a) There is then a process {x(o), ff(o)} determined up to indistinguish-
ability by the following conditions.
(al) {x(o), ff(o)} is nearly progressively measurable.
(a2) IfrxEJ, then x(o, 0) ~ XIJ(o, 0) quasi everywhere on IR+ x Q.
(a3) If {y(o), ff(o)} is a process satisfying (al) and (a2), then y(o, 0) ~
x(o, 0) quasi everywhere on IR+ x Q.
(b) The process {x(o), ff(o)} in (a) is a supermartingale with almost sure
right and left limits. If i(o) is the (almost surely) right continuous
smoothing of x( 0), then up to an evanescent subset of IR+ x Q
x(t)
+
= x(t+), x(t-)
+
= x(t-), x(t)
+
~ x(t), (5.2)
and there is equality in the inequality up to a semipolar subset of

IR+ x Q.
(c) For some countable subset Jo ofJ (Jo = J ifJ is countable) the process
x(o) = inflJeJ o XIJ(o)
•
satisfies the conditions in (a).
(d) Conversely, if A is a semipolar subset oflR+ x Q, there is a decreasing
sequence {xn(o), ff(o), nE;r} of right continuous positive supermar-
tingales such that ifx(o) = infnez + xn(o), then A c {i(o,o) < x(o, o)} up
to an evanescent set.
The notation ess* inflJeJxlJ(o). If {x(o), ff(o)} satisfies the conditions under
(a), then every process indistinguishable from x(o) also satisfies these con-
ditions. The equivalence class of these processes under indistinguishability
and in the usual notational abuse the individual members of this class will
be denoted by ess* inflJeJxio). The equivalence class of right continuous
smoothings i(o) and its individual members will be denoted by AlJeJxlJ(o)
when lattice concepts in martingale theory are discussed systematically in
Chapter V. A right continuous smoothing x(o) is up to indistinguishability
+
the maximum almost surely right continuous supermartingale majorized
in the essential order by every supermartingale {xi o), ff(o)}.
Theorem 5 as a Convergence Theorem
There is no loss of generality in supposing that the given supermartingale

family is directed downward (pointwise order) because if the given family
is enlarged to the family of minima of finite subsets, the enlarged family
is directed downward and this enlargement does not change the scope of the
theorem's statement. The process x(o) in the theorem is a version of the
essential order limit (and infimum) of the downward-directed family. In
particular, if J is countable, the enlarged supermartingale family is also
countable and without loss of generality can be replaced by a decreasing

sequence of its members. (If the given family has a smallest member, the
decreasing sequence has all but a finite number of its members this smallest
member of the original family.)
Deletion of "Almost Surely"
Without loss of generality we can suppose that every process x«(-) is right
continuous because xi-) can be made so by a change on a null set (depending
on a) and this change does not affect the theorem. We shall suppose through-
out the proof that this change has been made.
Proof of (a)-(c) for J countable. As observed above there is no loss of gener-

ality in this case if we suppose that the family of supermartingales is a
decreasing sequence {xn(-),§(-),nEZ+} of positive right continuous super-
martingales. The process x(-) = infn~o x n (-) is a supermartingale (Section
III.5), progressively measurable because each process {xn(o), §(-)} is right
continuous and therefore progressively measurable. The other conditions
under (a) are trivially satisfied. Observe that E{xn(O)} ~ E{xo(O)} and there-
by conclude that the expected number of downcrossings of an interval by
x(-) is bounded because this expected number for x n (-) is bounded by a
number independent of n. Hence x(-) has almost sure left and right limits.
To prove (5.2) observe that the first equation is the definition of i(t), that
the second equation follows from the first and that the inequality follows
from the right continuity of x n(-), which implies right upper semicontinuity
of x(-). Finally there is equality up to a semipolar set in this inequality
according to Section 1. 0
Proofof(a)-(c)for J uncountable. Choose any countable subset Jo of J, and

define x(o) = inf«eJo x«(-). According to the preceding discussion with count-
able J, the process {x(-), §(-)} is a progressively measurable supermartingale
and (b) is true. To prove (a)-(c), it suffices to show that Jo can be chosen
so large that (a2) is true. First choose Jo so large (Section III.5) that x(-)
is a version of essinf«eJx«(-); that is, for each t the random variable x(t)
is a version of essinf«eJx«(t). Then for a in J it follows that x(-) ~ x«(o)
almost surely on the set of positive rationals; so x(-) ~ x«(-) almost surely
+
on ~+ in view of sample function right continuity of x«(o). The exceptional
null set depends on a. With this preliminary choice of Jo define
At = {(t,w): x(o,w) and x(o,w) have left and right limits at t and
+
x(t+,w) = x(t,w)
+
= x(t+,w),
+
x(t-,w) = x(t-,w)},
+
Bc = At n {(t,w): x(-,w) is continuous at t},

5. Probability Version of the Fundamental Convergence Theorem of Potential Theory 479
Bd = M n {(t,w): x(',w) is discontinuous at t}.
The set (~+ x Q) - M is evanescent. When (t, w) eBe' the sample functions
x(', w) and i(', w) are continuous at t and equal there; so for each IX in J,
x(',·) = i(',') :s; X/l(',') quasi everywhere on Be. The problem is to enlarge
J o to ensure that also x(',·) :s; X/l(',') quasi everywhere on Bd. If J' is a
countable superset of Jo and if x'(·) = inf/lEJ,x/l('), then x'(·) = x(·) almost
surely on the positive rationals; so the almost surely right continuous
processes i(') and i'(') are indistinguishable. Moreover M, Be> and Bd are
changed by at most evanescent sets when J o is increased to J'. According
to the discussion of the discontinuities of a supermartingale at the end of
Section I, there is a sequence T. of optional times the union of whose graphs
covers Bd. Choose J' so large that inf/lEJ' x/l(Tn ) is a version ofess inf/lEJ x/l(Tn)
for all n. Then for each IX in J, x'(',·) :s; X/l(',') quasi everywhere on ~+ x Q;
the exceptional evanescent set depends on IX. The countable set J' is the final
choice of J o and has the properties described in (c). 0
Proof of (d). We can suppose that A c: Ut' [Sk] for some sequence of
optional times. For k and n in Z + define
L xkn(t).
00
xn(t) =
k=O
The process {x n ('), ff(')} is a positive right continuous supermartingale

because each summand process is. The sequence {xn('),ff('),neZ+} is a
decreasing sequence with limit process {x('), ff(')} for which
00
A c: U [Sk] c: {i(',') < x(',·)};

o
so (d) is true. 0
A Special Property of ess* inf/lE I X/l
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(·).
6. Quasi-Bounded Positive Supermartingales; Generation of

Supermartingale Potentials by Increasing Processes
Let I be a linearly ordered set, and let {$'(t), t E I} be a filtration of a prob-

ability space.
Quasi-Bounded Positive Supennartingales
A positive supennartingale {x(o),$'(o)} is called quasi-bounded if it is the

sum <:if a series of bounded (adapted to $'(0)) positive supennartingales.
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), tEI}, not necessarily adapted to
$'(0), with state space (~+, &lI(~+)), will be called an increasing process if
the following conditions are satisfied.
(a) A(O) = 0, P{A(s) ~ A(t)} = 1 when s ~ t;
(b) E{A(t)} < +00 for tEl.
Let "+ 00" denote a point not in I, and define A ( + (0) = ess SUPte I A (t).
If A (0) is L 1 bounded, that is, if E {A ( + oo)} < + 00, define (uniquely up
to a standard modification) a supennartingale {x(t), $'(t), t E I} by
x(t) = E{A( + (0) - A(t)I$'(t)}. (6.1)
This supennartingale is a supennartingale potential because
limE{x(t)} = limE{A( +(0) - A(t)} = 0,

tt It
and this supennartingale potential is said to be generated by A(o). Observe

that if T is a countably valued optional time with values in I, an application
of Section III.2, Example (a), shows that
x(T) ~ E{ A( + 00)I$'(T)} a.s;
so [Section I.4(i)] the family
{x(T): T optional, countably valued, with values in I}
is unifonnly integrable; that is, the process {x(o),$'(o)} is in the class D

defined in Section lUI. Moreover, if k is a positive integer, the process
Ak(o) defined by
6. Quasi-Bounded Positive Supermartingales and Increasing Processes 481
Ak(t) = A(t) 1\ (k + 1) - A(t) 1\ k, tel,
is also an L 1 bounded increasing process, generating a supermartingale

potential {Xk(o), ~(o)} which can be chosen to be bounded by 1, and x(o) =
I.:O' xk) up to a standard modification. Thus a supermartingale potential
generated by an L 1 bounded increasing process is quasi-bounded and in
the class D. Conversely, we shall prove in Section 10 that every class D or
quasi-bounded supermartingale potential can be generated by an L 1 bounded
increasing process. The corresponding results for the discrete and continuous
parameter cases are proved, respectively, in Sections 8 and 11.
Adapted Increasing Processes
If A(o) is adapted to ~(o), (6.1) can be written in the form
x(t) = E{A( + oo)I~(t)} - A(t) a.s. (6.1')
Observe that if A ( 0) and B( 0) are L 1 bounded increasing processes adapted

to ~(o), they generate the same supermartingale potential up to a standard
modification if and only if for each parameter value t,
E{A( + 00) - A(t)I~(t)} = E{B( + 00) - B(t)I~(t)} a.s.,
that is, ifand only if the difference process {A(o) - B(o), ~(o)} is a martingale.
In particular, suppose that lis either r or IR+ and that {A(o),~(o)} is an
adapted L 1 bounded increasing process generating a supermartingale x(o).
If 1= IR+, it is supposed that ~(o) is right continuous and that A(o) is almost
surely right continuous; so we can suppose that x(o) is also almost surely
right continuous. Under these hypotheses if x( + 00) is defined as 0, equality
(6.1') can be strengthened.
In fact, if T (~ + 00) is an arbitrary optional time,
x(T) = E{A( + 00 )I~(t)} - A(T) a.s. (6.1")
in view of Section 111.2, Example (a), when 1= Z+ and Theorem 2 when

1= IR+.
The Support of the Measure Defined by an Increasing Process
If {A(o), ~(o)} is an increasing adapted process with I either Z+ or IR+ and

under the hypotheses of the end of the preceding paragraph, define the
(closed if 1= IR+) support of the measure A(dt), more precisely the support
of the measure dtA(t, w), by
1= 7r: A= {(n,w): n > 0, A(n,w) - A(n - I,w) > O},
•
I=IR+:A= (100 {
"=1 (t,w):t~O;A(-n-'w t - I ) >0 } ,
t + I ) -A (-n-'w
where we set A(t) = 0 when t < O. In the continuous parameter case, the
nth set on the right is nearly progressively measurable relative to the filtration
:F(o + lin) so A is nearly progressively measurable relative to this filtration
for all n, and therefore (Section 1.2) A is nearly progressively measurable
relative to :F(o).
Natural Increasing Processes with 1= 7L+ or IR+
We now suppose that (n,:F, P; :F(t), tEl) is a filtered probability space

with I either 7L+ or IR+, that :F(O) contains the null sets, and if I = IR+, that
:F(o) is right continuous. Observe that if I = IR+ and if A(o) is an increasing
almost surely right continuous process, then almost all its sample functions
are monotone increasing. In this context if {fit), t E IR+} is a stochastic
process with state space ~ and if He IR+, the integral JH jet) dA(t) is defined
as the integral JH jet, w) d,A(t, w) at each point w for which A(o, w) is mono-
tone increasing and j( 0, w) is integrable in the usual sense over H with
respect to the measure A (dt, w). When I is either 7L+ or IR+, the problem of
finding a unique increasing process A(o) generating a specified supermar-
tingale potential leads to a condition on A(o) which we shall now formulate.
Let {yeo), :F(o)} be a bounded martingale, almost surely right continuous
if I = IR+, and define y( + 00) = lim,_oo y(t); this limit exists almost surely.
An adapted increasing L 1 bounded process {A(o), :F(o)}, almost surely right
continuous if I = IR+, is called natural if
1= 7L+ : EL~o [y(k + 1) - y(k)] [A(k + 1) - A (k)] } = 0

(6.2)
E {too [yet) - y(t-)] dA(t)} = 0
for every choice of yeo). It will be shown in Section 7 that this somewhat
awkward condition on A(o) is satisfied ifand only if A(o) is nearly predictable.
In the following examples 1= IR+, and A(o) is adapted, L 1 bounded,
almost surely right continuous.
EXAMPLE (a). The process A(o) is natural if almost surely continuous because
(6.2, I = IR+) is then trivial because almost every yeo) sample function in
this equation has at most countably many discontinuities.
EXAMPLE (b). If T is a predictable optional time and if AT(t) = I[T.+oo[(t),

then AT(o) is natural. In fact condition (6.2,/ = IR+) for AT(o) reduces to
7. Natural versus Predictable Increasing Processes (/ = l+ or IR+) 483
E{[y(T) - y(T-)] I{T<+oo}} = 0, (6.3)
°
and if T. is an increasing sequence of optional times announcing T, the
martingale equality E{y(T 1\ n) - y(Tn 1\ n)} = leads to (6.3) when n -+ 00.
7. Natural versus Predictable Increasing Processes (I = 7L+ or

~+)
In this section (O,.?F,P;.?F(t),tEl) is the reference space, a filtered prob-

ability space with I either 7l..+ or IR+, .?F(O) contains the null sets, and, if
1= IR+, .?F(.) is right continuous. In the following theorem it is supposed
without explicit mention that the martingales and increasing processes
involved are almost surely right continuous when 1= IR+. If A(·) is an
increasing process A( + 00) is defined as lim t _ oo A(t). If z is an integrable
random variable the martingale E{zl.?F(·)} can be chosen to be right con-
tinuous [by Section 1], and we define E{zl.?F(· -)} as the left limit process
of this martingale. This left limit process is an almost surely left continuous
martingale and is therefore nearly predictable.
Theorem. Let {A(·), .?F(.)} be an adapted L 1 -bounded increasing process.

(al) If {y(.),.?F(.)} is a bounded martingale and ify(+oo) is defined as
limt _ oo y(t), then
1= 7l..+: Et~o y(k + 1)[A(k + I) - A(k)]}
= E{y(+oo)A(+oo)}, (7.1)
oo
1= IR+ : E{t y(t)dA(t)} = E{y(+oo)A(+oo)}.
(a2) The process A(·) is natural if and only if whenever ex is a constant

in I and z is a bounded .?F(ex) measurable random variable
1= 7l..+: ELt E{zl.?F(k + 1)}[A(k + I) - A(k)]}
= E{zA(ex + I)}, (7.2)
E{ r E{zl.?F(t-)} dA(t)} = E{zA(ex)}.

J(O'GlI
(a3) The process A(·) is natural if and only if it is nearly predictable.

Let {A(·),.?F(·)} and {B(·),.?F(·)} be adapted L 1 bounded increasing pro-
cessesfor which {A(·) - B(·),.?F(·)} is a martingale.
(bI) If {y(o), ff(o)} is a bounded predictable process then
1= Z+: E t t y(k + I)[A(k + 1) - A (k)] }
= ELt y(k + I)[B(k + 1) - B(k)]} (7.3)
1= IR+ : E {too y(t) dA(t)} = E {too y(t) dB(t)}.

(b2) If A(o) and B(o) are predictable then these processes are indis-
tinguishable.
Proof of (a1) when 1= Z+. Since y(o) is a martingale in (aI),
E{[y(k + 1) - y(k)]A(k)} = E{A(k)E{y(k + 1) - y(k)lff(k)}} = 0;
so
E{Jo y(k + I)[A(k + 1) - A(k)]}
= ELt [y(k + I)A(k + 1) - y(k)A(k)]}
= E{y(+oo)A(+oo)}. o
Proofof (a2) when 1= Z+. See the exactly parallel proof below for the case
1= IR+. 0
Proof of (a3) when 1= Z+. If A(o) is predictable apply (7.1,1 = Z+) to both
A(o) and the increasing process {A(k + 1) - A(I);ff(k),keZ+} to derive
(6.2, 1= Z+). Conversely, suppose that {A(o),ff(o)} is an adapted L 1
bounded increasing process and that (6.2, I = Z+) is satisfied for every
choice of y(o). To show that then A(o) is nearly predictable, it is sufficient
to observe that A(O) is ff(O) measurable and to prove that A(I) is also ff(O)
measurable, because this result can then be applied to the increasing process
{A(k + I) - A(l),ff(k + 1),keZ+} which satisfies the counterpart of (6.2,
1= Z+) for the filtration {ff(k + l),keZ+} to show that A(2) is ff(l)
measurable, and so on. To prove that A(l) is ff(O) measurable, let y be a
bounded ff(l) measurable random variable and define y(o) as the martingale
E{Ylff(O)}, y, y, ... Then (6.2,1 = Z+) yields
E{[y - E{ylff(O)}]A(l)} = O. (7.4)
Hence
7. Natural versus Predictable Increasing Processes (/ = 7L+ or IR+) 485
E{yA(I)} = E{E{yl~(O)}A(l)} = E{E{E{yl~(O)}A(I)I~(O)}}

= E{yE{A(I)I~(O)}}.
Since y can be the indicator function of an arbitrary ~(l) set, it follows that
A(l) = E{A(l)I~(l)} = E{A(l)I~(O)} a.s.;
so A(l) is ~(O) measurable, as was to be proved.
Proof of (al) for / = IR+. If {y(t), tE IR+} is a bounded almost surely right
continuous martingale and if Yn(') is the process defined by
L
00
Yn(O) = y(O), Yn(t) = y«k + 1)2- n)llkr n .(k+l)2- nl(t) if t > 0,

k=O
then (7.1,/= .l+) as applied to the martingale {y(k2-n),~(k2-n),kE.l+}

and the increasing process {A(k2- n), kE .l+} yields
E {J/«k + I)T n)[A«k + 1)2-n) - n

A (k2- )]} = E {LOO Yn(t)dA(t)}
=E{y(+oo)A(+oo)}.
(7.5)
Since limn.... ooYn(t) = y(t) almost surely, simultaneously for all t, (7.5) yields
(7.1,1 = IR+) by the Lebesgue dominated convergence theorem. 0
Proof of (a2) for / = IR+. If A(') is natural apply both (6.2,1 = IR+) and
(7.1,1 = IR+) with y(t) = E{zl~(t)} to derive
E {LOO E{zl~(t-)} dA(t)} = E {LOO E{zl~(t)} dA(t)} = E{xA( + oo)}
and (7.2,1 = IR+) now follows from the fact that E{zl~(t-)} = z almost
surely when t > IX. Conversely, if(7.2, / = IR+) is true and if y(.) is a bounded
almost surely right continuous martingale, apply (7.2, / = IR+) with z = Y(IX)
and then let IX -+ + 00 to derive the condition (6.2, / = IR+) that A(') be
natural.
Proofof(a3)for / = IR+. According to Section 6, ifeither A(·) is almost surely

continuous or if there is a predictable optional time T such that A(t) =
cl[T. +OO[(t), then A(') is natural. Thus to show that A(·) is natural if nearly
predictable, it is sufficient to show that (dropping evanescent sets) if A(') is
predictable, right continuous with left limits, and if all its sample functions
are increasing, then A(o) can be written as a countable sum of processes of

these two types. Choose P > 0 and define To = 0 and
Tn+ t = inf {t > 1',,: A(t) - A(t -) ~ P}, n > O.
The process A(o -) is predictable by left continuity; so the process A(o)-

A(o - ) is predictable, and therefore the set {(t, w): A(t,w) - A(t -, w) ~ P}
is predictable. For n > I the nth entry time of this set is Tn. Hence (Section
11.9) Tn is predictable; so (Section 11.7) the process ATn(o) = I[Tn , + <Xl [(0) is
predictable. The process
P L ATn(o)
<Xl
A(o) -
n=O
is a predictable increasing process for which the sample function discon-

tinuities of magnitude ~ Pare decreased by p. First choose p = I, thereby
decreasing jumps ~ I by I, then apply the same procedure, but with p = !,
to the above difference process, then with p = t to the new difference process,
and so on, to obtain an evaluation of A(o) as a sum of the desired type.
Conversely, suppose that A(o) is natural. We show first that A(o) does not
charge any totally inaccessible optional time T, that is, A(T) = A(T-)
almost everywhere where T < + 00. To see this, define
I~k = ]k2- n, (k + l)r ], and observe that
n
i
E{A(T)-A(T-);T< +oo}
= lim f
n-co k-O
[A«k + l)r n) -
n
A (k2- )] dP;
- {Tel"k} (7.6)
so it is sufficient to show that the right side vanishes. The sum in (7.6) is
equal to
L E{l(T~(k+l)rn}[A«k + l)r
<Xl
n n
) - A(k2- )]
k=O
_ I }[A«k + l)r n) - A(k2- n)]},
{T~k2-n
which by (7.2, I = R+) is equal to
If we define the interval Ink and the processes 0(0) and on(0) as in Section 2, the
first sum in (7.7) can be written in the form E{J~ 0n(1- )dA(t)}, and this
7. Natural versus Predictable Increasing Processes (I = 7r or IR+) 487
expectation, by the uniform convergence of the sequence a.(·) proved in

Section 2, has limit (n --+ (0)
If now Tn is defined by
T = { (k + 1)2-n when TEI~k'

n +00 when T= +00,
then T. is a decreasing sequence of optional times with limit T and Tn > T

almost everywhere where T is finite valued and not equal to a dyadic rational
number. Since the distribution function on ~+ of a totally inaccessible
optional time is continuous, Tn > T almost surely where T is finite. The
second sum in (7.7) is equal to
which has limit (n --+ (0) the right side of (7.8); so A(·) does not charge T, as
asserted. 0
In the proof of (a3) it was shown that A(·) if nearly predictable can be
expressed as a countable sum of increasing processes of which one is almost
surely continuous and the others have the fonn cA T (.) with T and A T (.)
predictable. That reasoning in the present context, in which A(·) is to be
proved nearly predictable and in which we have just proved that A(·) charges
no totally inaccessible optional time, leads to the same expression for A(·)
except that as first defined each optional time T is accessible. In fact we need
only point out that the discussion in the proof of (a3) leads to optional times
T charged by A(·) and therefore without totally inaccessible components.
Since A T (.) is nearly predictable if T is accessible (Section 11.12), A(·) is
nearly predictable if natural.
Proof (bl) If x(·) = A(·) - B(·) and 1= 7l..+, then
E{y(k + l)[x(k + 1) - x(k)]} =
E{y(k + I)E{x(k + 1) - x(k)IF(k)}} = 0
because y(k + 1) is F(k) measurable and {x(·), F(·)} is a martingale. Hence

(bl) is true when 1= 7l..+. If I = ~+ and if {y(.), F(·)} is a bounded left
continuous process, define
L y(krn)llk2-n.(k+l)rnl(t)
00
Yn(O) = y(O), Yn(t) = if 1> 0,

k=O
so that the process {Yn(k2- n), ~(krn), k E Z +} is predictable and therefore

by what we have just proved
E {fooo Yn(t)dA(l)} = E {fooo Yn(t)dB(l)}. (7.9)
When n ~ 00 this equation yields (7.3, I = ~+). Thus the latter equation is
true if y(.) is bounded and left continuous, and since the class of bounded
predictable processes on ~+ is the smallest class of bounded processes closed
under bounded monotone convergence and containing the left continuous
adapted processes, (b I) is true.
(b2) We give the proof for I = ~+; the proof for 1= Z+ is similar but
less deep. Suppose first that A ( + 00) and B( + 00) are bounded, and combine
(7.1,1 = ~+) with (7.3,1 = ~+)to find thatE{y( + oo)[A( + 00) - B( + oo)J}
= 0 whenever {y(.), ~(.)} is a bounded almost surely right continuous pre-
dictable martingale. If now we choose y(.) = A(') - B(·), we find that
A( + 00) = B( + 00) 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 A(') and B(·) these processes must be indistinguishable.
In the general case we need only find an increasing sequence S. of optional
times for which limn.... ro Sn = + 00 almost surely and for which A(Sn) and
B(Sn) are almost surely bounded for each n. In fact, if the result for bounded
processes is applied to the pair A(Sn /\ .), B(Sn /\ .), it follows that these
processes are indistinguishable so A(') and B(') are. To find a sequence S.,
observe that for n > 0 the entry time Tn of the predictable set
{(t,w):A(t,w) + B(t,w) ~ n}
is predictable (Theorem 11.9), and if Tn. is a sequence of optional times
announcing Tn' then A (Tn) + B(Tn) < n; so we can choose
8. Generation of Supermartingale Potentials by Increasing

Processes in the Discrete Parameter Case
Theorem. Every supermartingale potential {x(n),~(n),nEZ+} is a quasi-
bounded class D supermartingale and is generated by a unique up to standard
modification, that is, unique up to indistinguishability, increasing predictable
L 1 bounded process.
9. An Inequality for Predictable Increasing Processes 489
In view of Section 6 it is necessary only to show that there is a unique

generating process as described. Given a supermartingale potential {x(n),
3"(n), n e ir+} define an increasing predictable process by
n-l
A(O) = 0, A(n) = L [x(m)-E{x(m+ 1)13"(m)}] ifn>O, (8.1)
m=O
and define A( + 00) = sUPn€Z+ A(n). Then E{A( + oo)} = E{x(O)} and
L E{[x(m) -
00
E{A(+oo) - A(n)I3"(n)} = E{x(m + 1)13"(m)}]I3"(n)}

m=n
= x(n) a.s.; (8.2)
so {x('),3"(')} is generated by A(·). Moreover, if {x('),3"(')} is any super-

martingale potential generated by an increasing predictable process {A(·),
3"(')}' it is immediate that
x(m) - E{x(m + 1)13"(m)} = A(m + 1) - A(m) a.s. (8.3)
from which (8.1) follows as an almost sure equality; so A(') is uniquely

determined up to a standard modification. [Uniqueness here also follows
from Theorem 7(b).]
Decomposition of a Submartingale
If {A (n), 3"(n), ne Z+} is a predictable increasing process and if {y(n), 3"(n),

neZ+} is a martingale, the process {y(.) + A(·),3"(·)} is a submartingale.
Conversely, if {x(n),3"(n),neZ+} is a submartingale and if A(n) is defined
by (8.1) with x(·) replaced by -x('), then {A('),3"(')} is a predictable in-
creasing process and x(·) = y(.) + A(·), where {y(.), 9'(.)} is a martingale.
It is left to the reader to check that x(·) is L 1 bounded if and only if y(.) and
A(') are. This decomposition of a submartingale makes it possible to deduce
the almost sure convergence of an L 1 bounded discrete parameter submar-
tingale from the almost sure convergence of an L [ bounded discrete parame-
ter martingale.
9. An Inequality for Predictable Increasing Processes

Lemma. Let {x(n),3"(n),neZ+} be a supermartingale potential generated by
the predictable increasing process A('), and define A(+oo) = sUPn€Z+ A(n).
Let c be a strictly positive constant, and define the optional time 1; by
+ 00 if A( + 00) :::; c
T= {
C inf {j: A (j + 1) > c} if A ( + 00) > c.
Then
J
r{.A.(+oo»e}
A(+00)dP~31
{.A.(+oo»e/2}
x(1'c/2)dP. (9.1)
By definition of Te , A(TC> ~ c and {A( + (0) > c} = {Te < + oo} e§,(Te)
so that
cP{A(+oo) > c} ~ 21 {.A.(+oo»e}

[A(+oo) - A(Tc/2)]dP
~ 21
(9.2)
x(Tc/2 ) dP,
{.A.(+oo»c/2}
and this inequality combines with the supermartingale inequality to yield
r
J
{.A.(+oo»e}
A( + oo)dP ~ 1
{.A.(+oo»e}
x(Tc)dP + cP{A( + (0) > c}
31
(9.3)
~ x(Te/2 ) dP,
{.A.(+oo»e/2}

Processes for Arbitrary Parameter Sets
Let (0., §', P; §'(t), tel) be a filtered probability space. It is supposed that
the linearly ordered parameter set I has a first but not a last point.
Theorem. The following conditions on a supermartingale potential {x(·), §'(0) }

are equivalent:
(a) The process is generated by an increasing L 1 bounded adapted process
{A(o), §,(o)} ;for each t in I,
x(t) = E{A(+oo) - A(t)I§'(t)}

(10.1)
= E{A(+oo)I§'(t)} - A(t) a.s.
(b) The process is in the class D.

(c) The process is quasi-bounded.
Observe that when 1= 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
predictability determines the increasing process in Theorem 8 up to a stan-

dard modification. Uniqueness cannot be asserted in the present theorem.
Moreover, according to Theorem 8, a supermartingale potential for the
parameter set 71.+ is necessarily quasi-bounded and in the class D, whereas
there is an example in Section IX.6 below for the parameter set ~+ of a
continuous supermartingale potential which has neither property.
In the following proof we denote YrE1fJi(t) by fJi( + 00).
= =
Proof (a) (b) and (a) (c) See Section 6 where these implications are
derived without the adaptedness hypothesis on A(o).
=
(b) (a) Assume first that 1 is a bounded subset of ~+ and includes 0.
The random variable x(t) can be identified with a point of L 1(0, fJi( + 00), P).
This function has a left [right] limit at each point of the closure lof 1 which
is a limit point of 1 from the left [right] according to the supermartingale
convergence theorems and the condition that the given process x(o) is in D,
so is uniformly integrable. According to an elementary theorem on functions
from a subset of ~ into a metric space, the set 10 of points t of I for which
two of the members x(t-), x(t), x(t+) of L 1(0, fJi( + 00), P) exist but are not
the same is countable. Let J be a countable subset of I, dense in I, including
0, 10 , and every point of 1 which is not a bilateral limit point of I, and let I n
be a finite subset of J, including 0, with J o c J 1 C ••. , Uo
I n = J. The
restriction of x(o) to I n 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 71.+ 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
{An(t), tEJn} for which An(O) = 0, An(o) is increasing and is predictable, and
if we define A n( + 00) as the value of An(o) at the maximum parameter value
in I n ,
Moreover for e > 0,
and according to Lemma 9, there is an optional time T (depending on n

and e) with values in I n , for which
r A n(+00)dP::S;3r x(T)dP. (l0.4)

J1Anl+OO»C} J 1Anl+OO»C/2}
In view of(10.3), limc _ oo P{A n ( + 00) > e12} = 0 uniformly as n varies; so by

the class D property of x(') the right side of (10.4) has limit 0 when c -+ 00,
uniformly as n varies, and it follows that the sequence A.( + 00) is uniformly
integrable. Hence some subsequence A", ( + 00) converges weakly in L 1 (n,
.F( + 00), P) to a limit random variable A( + 00), and consequently for each
parameter value t in I the sequence E{A", (+ oo)IF(t)} converges weakly in
L1(n,.F(t),P) to E{A(+oo)IF(t)}. From (10.2) if teJ, the sequence A",.(t)
also converges weakly in L1(n,F(t),P) to a positive F(t) measurable
random variable A(t), with A(O) = O. Furthermo"re (10.1) is true for t in J,
and A(·) is an increasing process on J. By definition of J each point t in
1- 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 1 limits or as sequential almost
sure limits. Hence for t in 1- J,
x(t) = E{A( + 00 )IF(t+)} - A(t+)

(10.5)
= E {A( + 00 )IX F(s) } - A(t-) a.s.
On taking expectations here it follows that A(t+) = A(t-) almost surely

when t is in 1- J; so if A(t) is defined when t is in 1- J as sup} 3 0<1 A (s),
the process {A(t), F(t), te I} is an adapted increasing process, and for t in I
x(t) = E{A(+oo)I.F(t+)} -A(t) a.s.
Taking conditional expectations with respect to .F(t) yields (10.1). Moreover,

when t tends to the supremum of I along J, we find that
0= E{A( + 00)1.F( + oo)} -limA(t) = A( + 00) - ess supA(t) a.s.

It leI
(b) = (a) (in the general case) According to Section I1I.4, there is an
order-preserving map t 1-+ cjJ(t) from I into IR such that cjJ(s) = cjJ(t) if and
only if x(s) = x(t) almost surely. We can choose cjJ to be bounded and
to take the initial point of I into O. Define i = cjJ(I). If i e i, define #(i) =
Yleq,-'(i) .F(t), and define x(i) asAx(t) for some t in cjJ-l(i); the choice of t
does not matter. If sand i are in I and if s < i, then when cjJ(t) = i,
E{x(i)I#(s)} = E{X(t)1 Y
oet/>-I(s)
F(S)} a.s.
Here s ~ t; so by the conditional expectation continuity theorem the right

hand side is almost surely at most x(s). Thus the process {x(i), #(i), i e i} is
a positive supermartingale. It follows from the special case of the assertion
(b) = (a) already proved that there is an increasing adapted process {AU),
# (i), i e i} for which, defining A(+ 00 ) as in Section 6,
x(i) = E{A( +oo)I#(i)} - A(i) a.s., iei.

II. Meyer Decomposition of a Supermartingale Potential 493
Define A( + 00) = A( + 00), A'(t) = A(i) for te et>-1(i). Then if te et>-l(i),

x(t) = E{A( + 00 )I#(i)} - A'(t) a.s.
Apply E{ -Iff(t)} to both sides to obtain
x(t) = E{A( + 00 )Iff(t)} - E{A'(t)lff(t)} a.s.
If A(t) = E{A'(t)lff(t)}, the increasing adapted process {A(t),ff(t),teI}

has the desired properties.
(c) ~ (a) Under (c), x(·) = I:O' Yk(') with {Yk('), ff(')} a positive super-
martingale which is bounded and therefore in the class D. Hence Yk(') is
generated by some increasing adapted process {Bk (·), ff(·)}; so :EO' Bk (')
generates x(·); that is, (a) is true.

Processes in the Continuous Parameter Case: The Meyer
Decomposition
Let (Q, ff, P; ff(t), t e ~+) be a filtered probability space for which ff(') is
right continuous and ff(O) contains the null sets.
Theorem. The following conditions on the almost surely right continuous

supermartingale potential {x('), ff(')} are equivalent:
(a) The process is generated by an increasi'}g adapted L 1 bounded process
{A('), ff(')} :for te ~+ and A( + 00) = sUPreR+ A(t),
x(t) = E{A(+oo)lff(t)} - A(t) a.s.
(b) The process is in the class D.

(c) The process is quasi-bounded.
If these conditions are satisfied the process {A(·), ff(')} can be chosen to be
almost surely right continuous and predictable, and is uniquely determined up
to indistinguishability by these conditions.
If A(') and B(') are increasing processes adapted to ff(') and generate the
same supermartingale, then the process {A(·) - B(·), ff(')} is a martingale
(Section 6). Thus in view of Sections 6 and 7 to prove the theorem, all we
need prove is that in the present context there is an almost surely right
continuous predictable Ir 1 bounded increasing process that generates x(·).
Define ff( + 00) = VleR+ ff(t), and define ff(t) = ff(O) for t < O. Let J be
the set of dyadic points of ~+, and let I n be the set {m2- n,meZ+}. Then
according to Theorem 8, there is a process {An(t), ff(t), t eJn} for which A n(')
is increasing, L 1 bounded, and predictable, and (10.2) is true with A"( + 00) =
SUPteJ"A"(t). It follows as in the proof of Theorem 10 that the sequence
A.( + 00) is uniformly integrable and that therefore some subsequence
A-x'< + 00) converges weakly in L 1(n, ff'( + 00), P) to a limit random variable
A( + 00). When tEJ, the sequence E{A-x'< + 00 )Iff'(t)} therefore converges
weakly in L l(n, ff'(t), P) to E{A( + 00 )Iff'(t)}, and so (10.2) implies that the
sequence A-x.(t) converges weakly in L 1 (n, ff'(t), P) to an ff'(t) measurable
random variable A(t). In particular, the sequence A-x (0) converges trivially
to A (0) = O. Equation (ILl) is true for tEJ, and (t f 00) +
I
0= E{A( + 00) ff'( + oo)} - supA(t) = A( + 00) - supA(t)
teJ teJ
a.s. (11.2)
Observe that in view of the right continuity of ff'(') and the conditional
expectation continuity theorem the process A(·) as we have defined it on J
is almost surely right continuous. If now we apply Theorem 2 to choose a
version of E{A(+oo)Iff'(t)} for each t to obtain an almost surely right
continuous process and define A(t) for tE IR+ - J by (11.1), the process A(')
is an almost surely right continuous increasing L 1 bounded process generat-
ing x(·). Finally we prove that {A(·),ff'(·)} is a natural increasing process.
According to Theorem 7, it will follow that {A(·), ff'(')} is nearly predict-
able; this process can be trivially adjusted to be predictable if desired. Let
{y(.), ff'(')} be a bounded almost surely right continuous martingale, and
define y(+oo) = limt_ooy(t). Then {A(·),ff'(·)} is a natural increasing
process because
E{t oo
y(S-)dA(S)}
L E{y(k2-") [A«k + 1)2-") -

00
= lim A(k2-")]}
n-oo k=O
00
= lim L E{y(k2-")E{A«k + 1)2-") -

n-oo k=O
A(kT")Iff'(k2-")}}
L E{y(kT")E{A"«k + 1)2-") -
00
= lim A"(k2-")Iff'(k2-")}}
"-00 k=O
L E{y(k2-")[A"«k + 1)2-") -
00
= lim A"(k2-")]}
"-00 k=O
= lim E{y( + oo)A"( + oo)} = E{y( +oo)A( + oo)},

"-00
where we have used the discrete parameter case of Theorem 7 to derive the
last line, and in the last line n -+ 00 along the sequence Ct•• Incidentally this
proof shows that there is convergence in (11.3) when n -+ 00 unrestrictedly.
12. Meyer Decomposition ofa Submartingale 495
It is easily deduced that the original sequence A.( + (0) converges weakly to
A( + (0), but we shall not need this fact.
Uniqueness Observation
If the supermartingale {x('), ~(.) } satisfies the conditions ofTheorem II and

if there are an almost surely right continuous martingale {x'(·), ~(.)} and
an almost surely right continuous predictable increasing L 1 bounded process
{A'(·), ~(.)} for which x(') = x'(·) - A'('), then A'(·) is the unique up to
indistinguishability generator A(') of x(·). In fact the process {A(·) - A'(·),
~ (.)} is a martingale; so (by Theorem 7) the processes A (.) and A' (.) are
indistinguishable.
Predictable Supermartingale Potentials
If the supermartingale {x('), ~(.)} in Theorem II is predictable then the

martingale component of the Meyer decomposition must also be predictable
because the increasing component {A('), ~(.)} is. We shall show (Section 23)
that an almost surely right continuous predictable martingale is almost surely
continuous, and it follows that the supermartingale sample function jumps
are balanced out by the increasing process sample function jumps; that is,
for P almost every w,
x(t-,W) - x(t,w) = A(t,w) - A(t-,w)
simultaneously for all t. Trivially more generally this assertion is true if

{x('), ~(.)} is indistinguishable from a predictable process. In particular if
the given supermartingale potential is almost surely continuous it follows
that the increasing process component A(') is also almost surely continuous.
Meyer Decomposition for an Arbitrary Parameter Interval [0, c[.
If c > 0, the adaptation of the Meyer decomposition theorem to the param-

eter interval [0, c[ is accomplished trivially by the map t' = (2c/n) arctan t
taking lR+ into [0, c[.
12. Meyer Decomposition of a Submartingale

Let (O,~, P; ~(t), t E lR+) be a filtered probability space for which ~(.) is
right continuous and ~(O) contains the null sets. Let {A(')'~(')} be an
almost surely right continuous adapted increasing process. The restriction
of this process to a parameter interval [0, c[ is in the class D because if T
is optional and if T < c, then A(T) is majorized by the integrable random
variable A(c). Let {Y('), ~(.)} be an almost surely right continuous mar-
tingale. The restriction of this process to [0, c[ is also in the class D according
to Section 111.6. The sum process {y(o) + A(o), §"(o)} 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
{z(o), §"(o)} whose restriction to each parameter interval [0, c[is in the class D
can be written as a sum {y(o) + A(o), §"(o)} with {y(o), §"(o)} an almost surely
right continuous martingale and {A(o), §"(o)} an almost surely right contin-
uous predictable increasing process; moreover both components are unique-
ly determined up to indistinguishability. Let zc(o) be the restriction of z(o) to
the parameter interval [0, cr. This submartingale is in the class D by hypoth-
esis, and the right closable martingale
{E{z(c)I§"(t)},§"(t), ° ~t< c}
is also in the class D (Section 111.6). The version of the conditional expecta-
tion in the process
{E{z(c)I§"(t)} - zc(t),§"(t),O ~ t < c}

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 1 bounded process {Ac(t),§"(t),O ~ t < c}. That is, we can
write z(o) = yc(o) + Aio) on the interval [0, c[, where {yc(o), §"(o)} is an
almost surely right continuous martingale on the parameter interval [0, cr.
In view of the uniqueness property of the Meyer decomposition we can
choose an almost surely right continuous predictable increasing process
{A(o), §"(o)} whose restriction to the parameter interval [0, c[ is indistin-
guishable from Ak), and therefore {z(o) - A(o), §"(o)} is a martingale on
the parameter intervallR+.
EXAMPLE. If {H(t), §"(t), tE IR+} is an almost surely right continuous adapted

increasing process, this process is a submartingale so there is an almost surely
right continuous predictable increasing process {H' (t), §"(t), t E IR +} such
that {H( 0) - H' (0), §"(o)} is a martingale; H' (0) is determined uniquely up to
indistinguishability.
130 Role of the Measure Associated with a Supermartingale;

The Supermartingale Domination Principle
Let (il,§",P;§"(t),tEIR+) be a filtered probability space for which §"(o) is
right continuous and §"(O) contains the null sets. Let {x(o), §"(o)} be a class
D positive almost surely right continuous supermartingale with associated
13. The Supermartingale Domination Principle 497
(Meyer decomposition) nearly predictable almost surely right continuous

£1 bounded increasing process A('), so that x(') is the sum of an almost
surely right continuous martingale and a class D almost surely right contin-
uous potential,
x(t) = E{x( + 00 - )I~(t)} + E{A( + oo)I~(t)} - A(t) a.s. (13.1)
In this context x(·) is the martingale theory counterpart of a positive super-

harmonic function on an open subset of IR N , and x(·) is also the martingale
theory counterpart of a positive superparabolic function on an open subset
of ~N. The counterpart of the Riesz measure associated with such a super-
harmonic or superparabolic function is the measure A (dt). As a trivial
illustration of this fact recall that a superharmonic [superparabolic] function
is harmonic [parabolic] off the closed support of the associated Riesz
measure. One probabilistic counterpart of this property is the following.
Let Sand T be finite optional times with S :::;; T, and suppose that A(T) =
A(S) almost surely. Then the process x(·) is a martingale between Sand T;
more precisely, the process
{x«S + t) /\ T); ~«S + t) /\ T),tEIR+}
is a martingale. In fact
x«S + t) /\ T) = E{x( + 00 - )I~«S + t) /\ T)}

+ E{A( + 00 )I~«S + t) /\ T)} - A(S) a.s.
Next consider the domination principle in classical and parabolic poten-

tial theory. First consider the following example. Let Q be a singleton {w},
let ~ be the (1 algebra consisting of Q and 0, let ~(t) = Y; for t E IR+ , define
P{Q} = I = 1 - P{0}, let y(', w) be the indicator function of the interval
[0, 1[, and defineyo(',w) == O. Theny(·)andyo(·) are class D right continuous
supermartingale potentials. One version of the predictable increasing process
B(') associated with y(.) is the indicator function of the interval [1, + 00[;
so y(.) = Yo(') on the support {(l,w)} of the measure B(dt), although the
processes y(.) and Yo(') are not indistinguishable. Thus the obvious counter-
part of the classical domination principle (Theorem l.V.to) is invalid. On
the other hand, the parabolic domination principle (Theorem l.XVIII.l6)
suggests that not y(t) and yo(1) but y(t-) and yo(t-) should be compared
on the support of B(dt), and in fact yo(t-) < y(t-) on this support. The
statement of the supermartingale domination principle suggested by this
example and by Theorem l.XVIII.16 is the following, in which we return
to the context and notation of the beginning of this section.
Theorem. Let {x('),Y;(·)} be a class D almost surely right continuous super-

martingale potential with associated measure A(dt) of closed support A. Let
{Y('), jO(.)} be a positive almost surely right continuous supermartingale.

Suppose that x(t-,w):5 y(t-,w) quasi everywhere on
{(t,w)EA: A(t,w) > A(t-,w)}
and that x(t,w) :5 y(t,w) quasi everywhere on
{(t,w)EA: A(t,w) = A(t-,w)}.
Then x(',·) :5 y(".) quasi everywhere on ~+ x Q; that is, x(·) :5 y(·).
(We have ignored the evanescent set on which one of the processes
involved is not right continuous with left limits.)
Set x( + (0) = 0, y( + (0) = y( + 00 -). For tE ~+ let T(t) be the first entry
time ~t of A by x(·). Since A is progressively measurable, T(t) is optional.
Choose t a point ofalmost sure continuity of A ('), that is, a point ofcontinuity
of the monotone function s 1-+ E{A (s)}. This choice of t excludes an at most
countable set, and in view of the almost sure right continuity of x(·) and
y(.) it is therefore sufficient to prove that x(t) :5 y(t) almost surely. Define,
for the chosen value t,
T' = {T(t) on {A(T(t» > A(T(t)-)},

+ 00 elsewhere,
Tn = {T(t) on {A(T(t» = A(T(t)-)},

+ 00 elsewhere.
Then T' and T" are optional, t < T' :5 + 00, t :5 Tn :5 + 00, and
{T' = T" = +oo} = {T(t) = +oo}.
(Null sets are ignored throughout.) The optional time T' can have no totally
inaccessible component because [see the proof of Theorem 7(a3)] A(') 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
y(t) ~ E{y(Sn /\ T")ljO(t)}
yields (n - (0)
y(t) ~ E{y(S- )1{s<+ooJ + y(T")I{T"<+ooJljO(t)}

(13.2)
~ E {x(T' - ) l{s< +oo} + x(T") I{T"< +oolljO(t)} a.s.
13. Role of the Measure Associated with a Supermartingale; The Supermartingale
Domination Principle 499
Now
E{x(T' -) l(s< + <X>}I§(t) }
= E{!~~ x(Sn) l{s<+<X>d§(t)}

(13.3)
= E {!~~ E{A( + 00) - A(Sn)I§(Sn)} l{s<+<X>}1 §(t)}
= E{[E{ A( +oowy §(Sn)} - A(T' -)J l{s<+<X>}I§(t)} a.s.
Each optional time Sk is yO'

§(Sn) measurable; so S is also, and therefore
the random variable l{s< +<X>} can be put inside the inner conditional expecta-
tion operation in the last line of (13.3). Hence
E{x(T' - )1{s<+<X>}I§(t)} = E{[A( +00) - A(T' - )]I{s<+<X>d?(t)} a.s.

(13.4)
Now A(T-) = A(t) when T' < + 00; so
E{x(T' -) l{s< + <x>}!§(t) } = E{[A( + 00) - A(t)] l{s< +<X>}I?(t)} a.s. (13.5)
A similar but easier argument shows that
E{x(T")I{T,"<+<X>}!?(t)} = E{[A(+oo) - A(t)] I(T'"<+<X>} I?(t)} a.s. (13.6)
Furthermore {S < + oo} c {T' < + 00 }, and S can be chosen to make the
probability of the difference arbitrarily small. Using this fact, we can replace
S by T' in (13.2) and (13.5) so (13.2) yields
y(t) 2:: E{[A( + 00) - A(t)] l wA T"<+<X>}I§(t)} a.s. (13.7)
Since A( + 00) = 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 A(·). The parabolic context
domination principle (Theorem I XVIII .16) is the exact translation of the
classical domination principle (Theorem l.V.lO) into the parabolic context
if the Riesz measure corresponding to the given superparabolic potential
vanishes on parabolic sernipolar sets; that is, under this condition coparabol-
ie-fine limits are not involved. Corresponding to this fact, in the present
Theorem 13 if A (dt) almost surely vanishes on semipolar subsets oflR+ x n,
that is. if
whenever iJ is semipolar, then A(o) is almost surely continuous [apply

Section 6 on the discontinuity set of a supermartingale to -A(o)]; so the
inequality hypothesis of Theorem 13 reduces to the inequality x(o) s; y(o)
quasi everywhere on A; that is, left limits are not involved.
140 The Operators r, LM, and GM in the Continuous

Parameter Context
Let (Q, JF, P; JF(t), tE IR+) be a filtered probability space for which JF(o) is
right continuous and JF(O) contains the null sets.
The Operator T. Let {x(o), JF(o)} be an almost surely right continuous
process, let 8 and T be optional, with 8 s; T < + 00, and suppose that x(T)
is integrable. For example, according to Section 3, if the process is a super-
martingale, then x(T) is integrable if T is bounded, or if T is not bounded
and x(o) is right closable. Following Section IIU8 in which, however, the
parameter set was an arbitrary linearly ordered set and the optional times
were countably valued, define
X(t) on {8 > t} u {T < t}, (14.1)

T x(t)-
ST - { E{x(T)IJF(t)} on {8 s; t S; T}.
Here the conditional expectations are to be chosen to make TSTX(o) almost

surely right continuous (Section 2). Obviously TSTX(T) = x(T) almost surely.
Suppose now that {x(o), JF(o)} is a supermartingale. It follows from Theorem
3 that x(T) is integrable and that TSTX(o) S; x(o) (essential order); so by almost
sure right continuity this inequality is true quasi everywhere on IR+ x Q.
The argument in Section IIU8 translated into the present context shows
that {TSTX(o),JF(o)} is a supermartingale, a martingale on [8, T], in the
sense that the process
{TSTX( (8 v t) /\ T), JF( (8 v t) /\ T), t E IR+}
is a martingale. The dual results for {x(o), JF(o)} a submartingale are clear.
Observe that if {x(o), JF(o)} is a positive supermartingale and if we define
x( + (0) = 0, then we need not restrict 8 and T to be finite valued in the
preceding discussion.
The Operators LM and GM
It will be sufficient to discuss GM. Suppose that {x(o), JF(o)} is an almost

surely right continuous supermartingale which has an essential order sub-
martingale minorant. Then (from Section 111.20) one version of the mar-
15. Potential Theory on IR+ x n 501
tingale GMx(') is limn-+ oo "tOnx(·). For each positive integer k the sequence
n ~ {"tonx(t), .?i'(t), t ::;; k} is, for n ~ k, a decreasing sequence of almost
surely right continuous martingales. An application of Theorem 4 shows
that one version of GMx(') is an almost surely right continuous martingale,
and in the present continuous parameter context we shall accept only such
versions. More generally, if r is a class of almost surely right continuous
supermartingales adapted to .?i'('), for which GMr exists, we now show that
GMr has an almost surely right continuous version. Such a version is the
only one we shall accept; it can be modified trivially to yield a right contin-
uous version, if desired. To prove the assertion, observe first that we can
assume that r is directed downward, at the price of adjoining to r the finite
minima of its members; the enlargement of r does not change GMr. The
class {GMx('): x(·) e r} is a downward-directed class of almost surely right
continuous martingales with essential order infimum and limit GMr, and
according to Section 111.5, there is a decreasing sequence of these mar-
tingales whose limit is a version of GMr. An application of Theorem 4
shows that this version is almost surely right continuous.
15. Potential Theory on IR+ x n

Let (n,.?i',p;.?i'(t),telR+) be a filtered probability space for which .?i'(') is
right continuous and .?i'(0) contains the null sets. Many of the results we
have obtained suggest that one can construct a theory on IR+ x n which is
formally parallel in many ways to parabolic potential theory and therefore
also to classical potential theory, in which almost surely right continuous
supermartingales play the role of superparabolic functions. The nomencla-
ture, for example, Fundamental Convergence Theorem, GM and "t opera-
tors, has been chosen with this in mind. In later chapters when we compose
superparabolic functions with space-time Brownian motion to get super-
martingales, it will become clear that the relation between a suitably con-
structed potential theory on IR + x n and parabolic potential theory' is more
than just a formal resemblance.
Probability theory and potential theory developed independently of each
other aside from interrelations between random walks and Brownian motion
with solutions of parabolic and elliptic differential equations, until on the
one hand axiomatics of generalized potential theory were devised and on the
other hand the theory of Markov stochastic processes led to a generalized
potential theory in which potential theoretic ideas were defined in terms of
probabilistic ones. In both theories generalized versions of superparabolic
functions lay at the base of the subject, and under suitable conditions it was
shown that the axiomatic potential theory could be generated by Markov
process theory. It then became possible to prove theorems in axiomatic
potential theory by probabilistic methods. We shall discuss in later chapters
the Brownian motion process which generates classical potential theory and
502 2.1 V. Basic Properties of Continuous Parameter Supermartingales
the space-time Brownian motion process which generates parabolic potential

theory.
Although probabilistic methods have frequently been used to derive
potential theoretic results, derivations in the reverse direction have been
rare. To illustrate the possibilities and to give insight into the whole subject,
we shall use the ideas and methods of potential theory to analyze reductions
in the context of potential theory on IR + x O. We shall need a few properties
of the fine topology on this space.
16. The Fine Topology of IR+ x Q
Let (0, oF, P; oF(t), t E IR +) be a filtered probability space for which oF(·) is
right continuous and oF(O) contains the null sets. The fine topology of
IR + x 0 is by definition the smallest topology on IR + x 0 making every
right continuous supermartingale {x('), oF(·)} into a (fine topology) contin-
uous process in the sense that the function (t, (I)) -+ x(t, (I)) is to be continuous
in the fine topology. The set of fine limit points of a set A will be denoted by
AI.
EXAMPLE (a). If A is a P null subset of0 and if x(',·) is the indicator function
of A = IR+ X A, the process {x(o),oF(o)} is a right continuous martingale;
so A is both fine open and fine closed.
EXAMPLE (b). Let T be optional and define x(o, 0) as the indicator function
of the stochastic interval [0, T[. Then {x(o), oF(o)} is a right continuous
supermartingale; so both stochastic intervals [0, T[ and [T, + oo[ are fine
open and fine closed. If Sand T are optional with S ~ T, we conclude that
the stochastic interval [S, T[ = [0, T[ n [S, + 00 [ is fine open and fine
closed. If we choose Tn = T + lin, we find that the stochastic interval
[S, T] = nr [S, Tn [ is fine closed. In particular, the graph [S] is fine closed.
If S is optional, if A E oF(S), and if SA = S on A but S = + 00 otherwise,
the stochastic interval [SA' T..t [ = (IR + x A) n [S, T[ is fine open and fine
closed. Observe that the intersection of this stochastic interval with another
one (IR+ x A') n [S', T'[ of the same type is
(IR+ x A n A') n [S v S', T 1\ T'[,
also of this type, and that S v S' is identically constant if Sand S' are.
A Base for the Fine Topology. The class of sets (stochastic intervals)
(IR+ x A) n [ex, T[ with ex a positive constant and A EoF(ex) is a base for the
fine topology because if {x(o), oF(o)} is a right continuous process, not
necessarily a supermartingale, and if T, is the entry time of the set
16. The Fine Topology of Ikl+ x n 503
{(s,w): s > t,X(S,W)::;; C},
then
{(t,w):x(t,w»c}= U+(IIl+ x {W:X(t,w»c})n[t,Tr[.

feR
If {wo} is a P null singleton and if toE III + , the set
is a fine neighborhood of (to, wo) for every B > 0, and the set of these fine
neighborhoods for all B > 0 is a base for the fine neighborhoods of (to, wo).
Hence a subset A of III + x n has (to, wo) as a fine limit point if and only
if A contains points (tn' wo) with tn > to, limn.... oo tn = to. Thus if all n single-
tons are P null the fine topology is the direct product of the discrete topology
on n and the one sided Euclidean topology on 1Il+ in which a base for the
topology is the class of left closed intervals.
Evanescent Sets and the Fine Topology
The fine closure of an evanescent set is evanescent because an evanescent

set is a subset of an evanescent set of the form 1Il+ x A with P{A} = 0 and
[from Example (a) above] this product set is fine closed.
Almost Thinness at an Optional Time
If Tis optional, call a subset A of 1Il+ x n almost thin at Tifthe set [T] n AI
is evanescent. Then an evanescent set A is almost thin at every optional time.
A progressively measurable set A almost thin at every optional time T is
semipolar if all n singletons are null, according to the following argument.
If T1 is the entry time of A, then [T1 ] c A up to an evanescent set, and the
hitting time T2 of A after T1 , that is, the second entry time of A, is almost
surely strictly larger than T1 on {T1 < + 00 }. Continuing in this way, we find
an increasing sequence T. of optional times such that Tn < Tn+ 1 almost
everywhere on {Tn < + oo}, and [Tn] C A up to an evanescent set. Going
on by transfinite induction, the next optional time is the first entry time
2: lim n.... oo Tn, .... If IX is a countable ordinal for which Ta has been defined,
either Ta + 1 = + 00 almost surely, in which case A is semipolar because
A c U.sa[Tn] up to an evanescent set, orP{Ta+1 > Ta} >o;so
E{arctan Ta + 1 } > E{arctan Ta }.
It follows that the second possibility can occur only countably many times,
that is, there is some countable ordinal a with Ta +1 = + 00 almost surely,

and we have just seen that then A must be semipolar.
170 Potential Theory Reductions in a Continuous Parameter

Probability Context
(See Section 111.22 for the corresponding discrete parameter theory.)
Let (n,.?F,p;.?F(t), telR+) be a filtered probability space for which .?F(o)
is right continuous and .?F(O) contains the null sets. All processes below are
adapted processes on this space. Let z(o) be a positive process, and denote
by r the class of almost surely right continuous supermartingale pointwise
majorants of z(o). It is supposed that r is not empty. The class r is directed
downward, and we define R z(.) = ess·infr (= either an equivalence class
under identification of indistinguishable processes or a member of the class,
as indicated by the context). Observe that the equivalence class Rz{o} is
unchanged if r is defined as the class of almost surely right continuous
supermartingales which are quasi everywhere majorants of z(o) or if "almost
surely" is omitted here. Define R z (.)( + 00) = z( + 00) = O. According to the
Fundamental Convergence Theorem (Theorem 5), almost every sample
function of the supermartingale R z(.) has right and left limits at all points,
and if R+z(') is defined as the right smoothing of R z(.), then R
+z(') ~ Rz(.) quasi
everywhere. For te IR+ define
y(t)=esssup{E{z(T)I.?F(t)}: Toptional, ~t}; (17.1)
this random variable is determined only up to a null set. The method of

proof ofTheorem 11I.22 shows that {y(o), .?F(o)} is a positive supermartingale
which in the essential order is both a majorant of z(o) and a minorant of r.
Thus no matter how y(t) is chosen, R z(.) ~ y(o) ~ z(o) in the essential order;
that is, P{Rz(.)(t) ~ y(t) ~ z(t)} = I for all t. According to Section 1 there is
a countable parameter set B such that y(t) can be chosen for each t in such
a way that almost every y(o) sample function has right and left limits at all
points, and is right continuous except possibly at points of B. Choose y(t)
in this way. With this choice Rz(.)(o) ~ R +z(')
(0) ~ y(o+) quasi everywhere. If
y +(t) is defined by the right side of (17.1) except that the optional time Tis
supposed strictly greater than t, then y + (0) is a supermartingale, y +(t) ~ y(t)
almost surely, and t' ! t sequentially implies that
y+(t') -+ y+(t) = y(t+) a.s.

We choosey+(t) = y(t+) and thereby havey+(o) = y(o+) ~ y(o) quasi every-
where. In particular, if z(o) is almost surely right lower semicontinuous,
y+(o) ~ z(o) quasi everywhere; so y+(o)er, and therefore Rz(.k) = y+(o)
quasi everywhere. We conclude that Rz(i o) and y(o) are indistinguishable
18. Reduction Properties 505
almost surely right continuous supermartingales. Unfortunately we shall

not be able to make this lower semicontinuity hypothesis in the following
application to reductions, in which the process corresponding to z(o) above
is the product z(o) lA (0), where z(o) is now an almost surely right continuous
supermartingale and A is a subset of IR+ x Q.
Application to Reductions (on the Above Filtered Probability Space)
Let Abe a subset of IR+ x n for which t --. lA (t) is a process adapted to ff(o),
and let z(o) be a positive almost surely right continuous supermartingale.
Define the reduction R~(.) as the supermartingale RZ(')lA(')' The right smooth-
ing of the reduction will be denoted by RA or by ~z(oHA. According to
Theorem 5, the process R~(.) is determined ~r;> to indistinguishability by the
following conditions:
The reduction is a progressively measurable process.
Whenever y(o) is in the class r of almost surely right continuous
positive supermartingales ~z(o) quasi everywhere on A, the inequality
y(o) ~ R~(.k) is true quasi everywhere on IR+ x Q.
If x( 0) is a process satisfying the preceding conditions, then x( 0) ~ R~(.k)
quasi everywhere on IR+ x Q.
Furthermore a reduced process R~(.k) is a supermartingale with almost sure
right and left limits, coinciding quasi everywhere with the respective right
and left limits of its right smoothing R+z(·) (0), and R+z(·) (0) ~ Rz(.)(o) quasi
everywhere, with equality up to a semipolar set. Finally, a suitably chosen
decreasing sequence of members of r has as limit a version of the reduction.
We shall see that many reduction properties in the present context are
close counterparts of reduction properties in the context of classical and
parabolic potential theory. In one respect the present context is simpler than
those earlier ones. The fact that superharmonic and parabolic functions can
have infinities complicates their theory, whereas almost every sample func-
tion of an almost surely right continuous supermartingale is finite valued
with finite left limits.
18. Reduction Properties

The context is that of Section 17. We consider reductions ofa positive almost
surely right continuous supermartingale {z(o), ff(o)} on subsets of IR+ x Q.
Reduction properties in this context are counterparts of reduction properties
in parabolic potential theory as listed in Sections l.XVII.ll and l.XVII.l6
except that for simplicity we have not introduced counterparts of reductions
on boundary sets. The following properties are listed as far as possible in
the order of their parabolic counterparts, and their counterparts are always
506 2.IV. Basic Properties of Continuous Parameter Superrnartingales
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 l.XVII.16(b).]
R A (t+) = R:(.)(t+), R A (t-) = R:('.)(t-) q.e.;

+~1 +~1
z(t) ~ R~it) ~ R~.)(t+) q.e.;
~~') = R~.) up to a semipolar set;
R:(.) = R:(.) q.e. if A differs from iJ by an evanescent set.
(b) [See Section l.XVII.16(b).]
R~.) = z(o) q.e. on AnAl;

A = z(o) q.e. on AI, in particular, q.e. on the fine interior of A;
R:(.) = R+%(.)
A A •.
R
+%(0)
= R%(.) q.e. when A IS fine open.
(c) [See Section l.XVII.16(b).] If Sand T are optional times with

S :5 T and if [S,. T[ n A is evanescent, then R~.) = R A quasi everywhere on
+%(0)
[S, T[, and R A
+%(0)
is an almost surely right continuous martingale on [S, T]
in the sense that the process
{R~i(S v t) 1\ T),$'«S v t) 1\ T),tEIR+} (18.1)
is an almost surely right continuous martingale.

(d) [See Sections l.XVII.11 (a) and l.XVII.16(c).]
B : A c iJ, iJ progressively measurable and fine open} q.e.;
R:(O.) = ess·inf {R+%(0)
(18.2)
one version of the right-hand side is the infimum when iJ 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 z(o) is almost surely continuous,
the set iJ in (18.2) can be further restricted to have open t cross sections for
fixed w.
(e) [See Sections l. XVII I I (b) and l.XVII.16(i).] If A c iJ and if A is
0
fine open, then the supermartingales ~~Z(o)~A ~B and ~Z(o)~A are indistinguish-
able. If iJ is also fine open, these supermartingales are indistinguishable from
~ ~z(o)~ BV
180 Reduction Properties 507
(f) [See Section 1.xVII.16(f)0] If A is indistinguishable from a progres-

A = R:(o) quasi everywhere on (IR+ x Q) - Ao
sively measurable set, then R+'(0)
(g) [See Sections l.XVII.lI (d) and l.XVII.l6(k).] The set functions
A are strongly subadditive in the sense that quasi
A 1-+ R:(o 0) and A 1-+ R+.(.)
everywhere on IR+ x Q both
AuB + RA(")B
R '(0) A
< R .(.)
'(0) _
+ R .(.)
B (18.3)
and the corresponding inequality (18.sm) for smoothed reductions are true.
The exceptional evanescent set depends on z(·), A, D. [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 IR+ x Q with union A and if {zn(·),ne;r} is an
increasing sequence of almost surely right continuous positive supermartin-
gales with limit z(·), then quasi everywhere on IR+ x Q both
lim R:~o) = R~o) (18.4)

"-00 n
and the corresponding equation (18.4sm) for smoothed reductions are true.
(i) [See Section 1.xVII.16(k).] The set functions A 1-+ R:('j and A 1-+ R
A
•• +.(.)
are countably strongly subadditive in the sense that if A. and B. are sequences
ofsubsetsoflR+ x Q with An c Dn, then quasi everywhere on IR+ x Qboth
(18.5)
and the corresponding inequality (18.5sm) for smoothed reductions are true.
(j) [See Section l.XVII.16(g).] If {zn('),ne;r} is a sequence of almost
surely right continuous positive supermartingales, if z(·) = I:~ zn(') (almost
surely right continuous by Theorem 4) is a supermartingale, that is, if
I:~ E{zn(O)} < + 00, then quasi everywhere on IR+ x Q both 0
(18.6)
and the corresponding equation (18.6sm) for smoothed reductions are true.
(k) [See Section l.XyII.l6(m).] If S is a finite optional time oand if
A = [0, S], then GM RA. +~
= 0 quasi everywhere (equivalently, RA. is a
+~
supermartingale potential) if either S is bounded or S is unrestricted and
z(·) is uniformly integrable.
(1) [See Section l.XVII.l6(0).] Suppose that (Q, iF, iF('), P) has the
property that every almost surely right continuous supermartingale is almost
surely lower semicontinuous, and suppose that {z('), iF(')} is an almost surely
continuous class D positive supermartingale. Then the set function A1-+ R:(.)
is a Choquet capacity on IR + x 0 relative to the class r c of progressively

measurable sets whose I cross sections for fixed ware compact, in the sense
that
(18.7')
(18.7")
(18.7"')
(m) [See Section l.XVII.16(p).] Suppose that (0, JF, JF(o), P) has the
property that every almost surely right continuous supermartingale is almost
surely lower semicontinuous, and suppose that z(o) is a positive almost
surely continuous supermartingale. Let r be the class of predictable product
sets defined in Section 1.14, and let r p be the class of finite unions of r' sets.
Then if A is analytic over the class of predictable sets, there is an increasing
sequence Fo of r P<J subsets of A for which quasi everywhere on IR + x 0 both
lim R~(.) = R:o (18.8)

n-oo
and the corresponding equation (18.8.sm) for smoothed reductions are true.
(n) [See Section l.XVII.16(q).] If y(o) and z(o) are bounded positive
almost surely right continuous supermartingales, then
sup' IR¢(.) - R~.)I ~ sup' Iy(o) - z(o)l, (18.9)
where sup' means the supremum up to evanescent sets, and the corresponding
inequality (I8.9sm) is true for smoothed reductions.
(0) [See Section l.XVII.16(s).] Let {x(o),JF(o)} and {y(o),JF(o)} be
almost surely right continuous positive supermartingales, let a and b be
positive numbers with 0 ~ a < b, and define
A= {(I,W): x(t,w) ~ ay(l,w)}, iJ = {(t, w): x(t, w) ~ by(t, w)}.
Denote ~y(o)~"', ~ ~y(o)~'" ~Ii, ... by y... (o),Y"'Ii(o), .... Then the iterated reduc-
tion and downcrossing inequalities 11I(23.2)-11I(23.6) are true in the present
context, as are also the other martingale theory translations of the classical
context reduction inequalities in Section l.VI.3(0). Moreover these in-
equalities are true for the parameter restricted to an interval. In particular
if Dnt[x(o),y(o);a, b] refers to downcrossings on the parameter interval
[0, I], then (almost surely) for IE IR+,
E{y(I)Dnt[x(o),y(o);a,b]IJF(O)} ~ x(O) ; ~b:(O)]. (18.10)

19. Proofs of the Reduction Properties in Section 18

(a) The properties listed in Section 18(a) were all derived in Section 17.
(b) The first two lines in Section 18(b) follow easily from two facts:
(i) There is a decreasing sequence of right continuous supermartingales
equal to z(o) on A and so also on AI, and tending quasi everywhere
to R:(.).
(ii) Each fine neighborhood of a point (to, wo) contains a set of the form
[to, to + e] x {wo} with e > O.
To prove the third line, observe that R A = R~.) quasi everywhere on A;

. +~1
A
so R+z(')
is a version of the unsmoothed reduction.
(c) To prove Section 18(c), observe (see Section 14) that if Tis a finite-
valued optional time and if {x n ( 0), n E £' +} is a decreasing sequence of almost
surely right continuous positive supermartingales with quasi everywhere
limit R:(.), then TSTXn(o) is an almost surely right continuous positive martin-
gale on [S, T], TSTXn(o) majorizes z(o) quasi everywhert: on A, and TSTXn(o) ~
xn(o) qu~si everywhere. Hence lim n.... oo TSTXn(o) = TSTR:(.) is indistinguishable
from R:(.) and is (by Theorem 4) an almost surely right continuous martingale
on [S, T] and so is equal quasi everywhere on [S, T] to its right smoothing.
If T is not finite valued, the same argument is applicable without any change
if we define x n ( + (0) = R~i + (0) = 0 and allow T to be infinite valued in
the definition of TST' The needed properties of the operator 'CST remain valid
under this extension.
(d) The first assertion of Section 18(d), in which R B is indistinguishable
. +~1
from R:(.), follows from the fact that, assuming as we can in this proof that
z(o) is right continuous, if y(o) is a right continuous positive supermartingale
essential order majorant of z(o) on A and if e > 0, then y(o) + e is an essen-
tial order majorant of z(o) on a progressively measurable fine-open neighbor-
hood of A. If every almost surely right continuous supermartingale on the
probability space is almost surely lower semicontinuous "fine open" in the
preceding argument can be replaced by "open t cross sections for fixed w."
The right-hand side of (18.2) is a countable infimum according to Theorem 5.
(e) See the proof of Section 18(e) in the parabolic context [Section
l.XVII.ll(b)].
(f) To prove the equality of reduction and smoothed reduction quasi
everywhere on E = (~+ x Q) - A, observe first that the strict inequality set
is not only semipolar but (see the proof of the Fundamental Convergence
Theorem) is, up to an evanescent set, a countable union U~ [Sn] of optional
time graphs. It is to be shown that, for each value of n, the set A =
{w: [Siw), w] E E} is null. This set, the projection on Q of the set [Sn] n E,
is in ff(Sn) because, for c ~ 0, the set An {Sn ~ c}, the projection
on Q of [Sn]nEn([O,c] x Q), is in ff(c). Define an optional time S:
by setting S: = Sn on A and S: = + 00 elsewhere. If Tn is the time of
(t, w) entry into the nearly progressively measurable set [S:] n A, then
{Tn = S:< + oo} c AI up to a null set; it then follows from (b) that
Tn> S: almost everywhere. on A. Sin.ce the set [S:, Tn[ n A is evanescent
A
it follows from (c) that R+z(') (S:) = R:(.)(S:) 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 iJ are fine open, in which case (18.3sm)
reduces to (18.3), and define z'(o) = R~.) /\ R:(.). Then [see the proof of the
corresponding potential theory equality l.VI(3.4) and I.XVII(II.4)]
AuB
Rz(') + RAuB -
z'(.) -
A
Rz(') + RBz(') q.e. (19.1)
This equality implies inequality (18.3) for fine-open A and D and in view
of (18.2) thereby implies (18.3) for all A and D. Inequality (l8.3sm) follows
trivially from (18.3).
(h) The proof of (18.4) follows the proof of the parabolic potential
theory equation 1XVII (I 1.6). If each set An is fine open, (18.4sm) 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 z(o) on A and so majorizes
the right side on ~+ x n. If the sets involved are not fine open, let T be a
finite valued positive 'Yr?o ~(t) measurable function, and let Xk(o, 0) be the
indicator function of the set {z(o,o) ::; k}. Then
Choose e > 0, IX > I, define
A~ = An n {z(o, 0) < IXZn(o, o)},
and apply (18.2) to find a fine-open superset Dj of Aj satisfying
The sequence A~ is an increasing sequence with union A, and we define

iJ = UO'Dj :=> A. By strong subadditivity of reductions
E{RzE~Bj(T)Xk(T)}::; E{R~VT)Xk(T)} + E{~R~UT)Xk(T)}

-E {~R11)(T)Xk(T)} (19.3)
::; E {R~~)(T)Xk(T)} + 2&.

Since (18.4) is true when the sets involved are fine open, (19.3) yields (when
n -+ 00)
Hence
and the reverse inequality is trivial. Since there is monotone convergence

of integrands in (19.5), we conclude that for every k
The set
has the property that its intersection with the graph of Thas a null projection
on n, whatever the choice of T. It follows (from Theorem 11.8) that Ck is
evanescent and that therefore (18.4) is true. Then (l8.4sm) 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 (l8.5sm) 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
1. 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 (l8.6sm)
has now been shown to be true up to a semipolar set, and since both sides
of (l8.6sm) are almost surely right continuous processes, the two sides must
be indistinguishable.
(k) If A = [0, S] and if E = [S, + 00 [, it is .
trivial that R A
+z(')
°
= quasi
everywhere on E. Hence the martingale GMR+z(') vanishes quasi everywhere
A
if S is bounded. If S is not bounded
lim
t-oo
E{R A (t)} = lim
+z(') /-00
f
{S>t}
z(t) dP, (19.6)
and this
.
limit is
potenttal.
° A is a supermartingale
if z(o) is uniformly integrable; so R+z(·)
(I) Assertion (18.7') is trivial, and (18.7") is included in Section 18(h).

To prove (18.7"'), suppose first that A = 0. Then if T" is the entry time
of An, the sequence T. is increasing, Uo
{T" = + oo} = n almost surely,
and by Section 18(c) the process R:(.) is an almost surely right continuous
process on [0, Tn]' Furthermore, if we define z( + (0) = 0,
quasi everywhere on this set. Hence the submartingale maximal inequality

applied to the martingale on the right, which can be supposed right con-
tinuous, yields
aP{supR~)(t) ~ a} ~ E{z(T,;)}. (19.7)

rsTn
Since Tn = + 00 for sufficiently large n, almost surely, the class D property

of z(·) implies that the expectation in (19.7) has limit 0 as n -+ 00. Hence
lim sup
n-co Is;T
R:t/t) = 0 a.s.,
n
and therefore (18.7"') is true when A = 0. In the general case let iJ be a

progressively measurable superset of A with open cross sections for each
fixed w. Then by subadditivity of the reduction and by (18.7')
An <
R z(') -
Ii
Rz(') + RAn-Ii
z(.) q.e.,
and A. - iJ is a decreasing sequence to wQich the special case just treated

is applicable. We conclude that lim n.... oo R:tl ~ R~(-) quasi everywhere, and
Section 18.(1) follows, in view of Section 18(d).
(m) The class r p is closed under finite unions and intersections, and the
sets in r p have compact cross sections for fixed w. Furthermore (Section 1.14)
the class of analytic sets over r p includes the predictable sets. Suppose first
that z(·) is bounded. It follows from Section 18(1) that the set function
A1-+ R~.) is a Choquet capacity on ~+ x n relative to I:"p in the sense stated.
Hence, if T is an ~ptional time and if we define R~i + (0) = 0, the set
function AI-+E{R~iT)} is a Choquet capacity on ~+ x n relative to r p •
Now choose A analytic over r p and therefore capacitable. Choose an
increasing sequence F. of countable intersections of r p sets satisfying
t,. c A, (19.8)
Define F = Uo F,.. In view of the monotoneity of the integrand sequence

in (19.8) and in view of Section 18(h),
(19.9)
20. Evaluation of Reductions 513
An easy diagonal procedure shows that F. can be chosen to make (19.9)

valid almost surely simultaneously for an arbitrary prescribed countable set
of optional times T, and we choose F. for the following countable set of
optional times:
T is identically a positive rational number, for each such number.

A < R1(o.)} is a
T = Sn, where S • is chosen so that the semipolar set {R+z(·)
subset of U~ [Sn], up to an evanescent set.
With F• so chosen the processes R F and R A are indistinguishable, since

+z(o) +z(·)
they are almost surely right continuous and are equal almost surely at the
rational parameter values. Thus (18.8sm) is true. Moreover quasi everywhere
on IR+ x Q,
and there is equality throughout except possibly on Uo [Snl Since F. was

defined to make R~(o) = R1(o) quasi everywhere on this union of graphs, we
have proved that R~(.) = R1(o) quasi everywhere; that is, (18.8) is true. Without
the boundedness condition on z(') that we have imposed in this proof (18.8)
and (I8.8sm) are true with z(') replaced by z(') /\ n with n E 7z.+, and the
desired equations then follow when n -+ 00, using Section 18(h).
(n) The proof of(18.9) is omitted because this proof is the exact counter-
part of that of the corresponding classical inequality I.VI(3.8).
(0) The proof is obtained by a translation into martingale theory of the
corresponding classical context reduction inequalities in Section l.VI.3(0).
The discrete parameter argument is in Section 111.23.
20. Evaluation of Reductions
EXAMPLE (a). Let A be a fine-open (Section 16) stochastic interval [S, T[

with S < T. Then (Section 18(b» R A = R~.) quasi everywhere. If y(.) is a
positive almost surely right contin~o<.Js supermartingale majorizing z(') on
A, then under the convention that all processes are 0 at the parameter value
+00,
y(t) ~ E{y(S)I~(t)} ~ E{z(S)I~(t)} a.s. on {S > t}. (20.1)
The process zo(') defined by

E{Z(S)I§(t)} if t < S
zo(t) =
jo
z(t) if S :$ t < T
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 y(·). Hence zo(') is a version of R1c.).
EXAMPLE (b). If A is as in Example (a) and b = [S, T], then any positive
right continuous supermartingale y(.) majorizing z(·) on b majorizes R1c.)
quasi everywhere and satisfies (20.1). Moreover for B > 0 the process
y(.) 1[0. T.+d(·) is also a positive right continuous supermartingale majorizing
z(·) on B. It follows that quasi everywhere
. jE{Z(S)I§(t)} if t < S,
R~(.,(t) = z(t) if S :$ t :$ T, t < + 00,
o if + 00 > t > T,
R B = R A quasi everywhere, and R B < R:(.) on [T], a semipolar set.

+z(') +z(') +z(')
EXAMPLE (c). If 0:$ a 0, then [a,b] x A = [S, T] with S = a on A and S = + 00 other-
wise, T = b on A and T = + 00 otherwise; so the reduction evaluation in
Example (b) is applicable.
Tbeorem. Suppose that (n, §, § ('), P) has the property that every almost
surely right continuous supermartingale is almost surely lower semicontinuous,
and suppose that z(·) is an almost surely continuous positive supermartingale.
Let A be predictable, and let T; [1;] be the entry [hitting] time ofA 1\ [t, + 00].
Then for each t ~ 0
R1cp) = E{z(T:>I§(t)} a.s. (20.2)
R A (t) = E{z(1;)I§(t)} a.s. (20.2sm)

+z(')
It is sufficient to prove this theorem for z(·) bounded since (20.2) and
(20.2sm) are true for z(·) if true for z(·) /\ n when nE 7L+. Moreover the truth
of (20.2) implies that• of (20.2sm) by the following argument. Since R+z(·) A is
the smoothing of R~.), there is a countable subset of IR+ such that for t not
A (t) = R1(.)(t) up to a null set which depends on t. Now the
in this set R+z(')
process T. ·is the smoothing of T:, 1; = lim•.!.t T;; so there is a countable
subset of IR+ such that for t not in this set 1; = 1;' up to a null set which
depends on t. Thus, if (20.2) is true, it follows that (20.2sm) is also true for t
21. The Energy of a Supermartingale Potential 515
not in some countable set. Finally if s ;?; 0 and if t decreases sequentially to s,

not hitting the exceptional countable set, (20.2) yields (20.2sm) for s, in view
of the almost sure right continuity of the left side and the dominated con-
vergence theorem for conditional expectations as applied on the right.
We proceed to prove (20.2) for z(') bounded. Let A. be a sequence of sets
for which (20.2) is true. To prove (20.2) for arbitrary predictable A, it is
sufficient to prove the following two assertions.
(i) If A o cAl C . . . , and U~ An = A, then (20.2) is true.
(ii) If A o =:l A 1 =:l .•• ,and n~ An = A, and ifeach set An is progressively
measurable and has compact t cross sections for fixed co, then (20.2)
is true.
In fact, if r p is the class of finite unions of the sets of the type considered in
Example (c), it follows from (ii) that (20.2) is true for countable intersections
of r p sets, and therefore by (i) combined with Section l8(m) it follows that
(20.2) is true for every predictable set A. To prove (i) and (ii), let Snt be the
entry time of An (\ [T, + 00[. In (i) SOt;?; Slt ;?; •.. , and limn .... oo Snt = T;.
On the one hand, limn .... oo R1t) = R:(.) quasi everywhere by Section l8(h).
On the other hand (dominated convergence theorem for conditional
expectations),
limoo E{z(Snt)I3"(t)} = E{z(T;) I3"(t) } a.s.

n ....
(20.3)
so (20.2) for An becomes (20.2) for A when n -+.00. In ,(ii) SOt :s; S1I :s; ... ,
and limn.... oo Snt = T;. On the one hand, limn.... oo R~~) = R:o by (18.7"'). On the
other hand, (20.3) is true; so again (20.2) for An becomes (20.2) for A when
n -+ 00.
Observation. The reduction Rj.) 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.
21. The Energy of a Supermartinga1e Potential
Let {A(·), 3"(.)} be an almost surely right continuous increasing predictable

L 1 bounded process generating the almost surely right continuous super-
martingale potential {x('), 3"(.)}. In view of the classical definition (Section
1'xVII.2) of the energy of a measure it is natural to define the energy of
A(') by J~ x(t) dA(t), but the standard more useful definition is
IIA(')112 =! roo [x(t) + x(t-)]dA(t), (21.1)

and we shall now show that if E{A( + 00)2} < + 00, then according to this
definition,
(21.2)
Suppose first that A(') is bounded. Choose the conditional expectation

y(t) = E{A( + 00 )I§"(t)} in such a way that {y('), §"(.)} is a right continuous
martingale. Then
f' x(t±)dA(t) = I" y(t±)dA(t) - f' A(t±)dA(t). (21.3)
Since A(') is bounded, the processes x(·) and y(.) are also bounded; so
(by Theorem 7)
E{f'y(t±)dA(t)} =E{y(+oo)A(+oo)} =E{A(+00)2}. (21.4)
An application of Fubini's theorem to the product measure dtA(t, w) x

dsA(s, w) yields
and thereby yields (21.2). If A( + 00) is not bounded, let (Section 7) S. be an

increasing sequence of finite optional times for which lim"....'" S" = + 00 and
for which A (S,,) is bounded for each n. Then (21.2) for the increasing process
A(S" 1\ .) yields (21.2) for A(') when n -+ 00.
22. The Subtraction of a Supennartingale Discontinuity

Let {x(t), §"(t), tE IR+} be a right closable almost surely right continuous
supermartingale, suppose that §"(O) contains the null sets, and define
§"( + 00) = YtEIR+ §"(t). According to Section IIU5 the random variable
x( + 00) = limt .... '" x(t) right closes the supermartingale. In the following
discussion §"(.) will always be the reference filtration but will not always
be mentioned explicitly. Almost every x(·) sample function necessarily has
a left limit at every strictly positive parameter value. The left limit process,
defined as x(O) at the parameter value 0 and defined arbitrarily at strictly
positive parameter values when the left limit does not exist, will be denoted
by x(·-). Let Tbe a predictable optional time and define
J={X(T-)-X(T) on{T< +oo},

o on {T = + 00 },
22. The Subtraction of a Supermartingale Discontinuity 517
and for tE IR+ define y(t) = JI{T,;;/} (=0 on the set {T = + oo}). Let T. be a
sequence of optional times predicting T. Then
(a) the process x(') + y(.) is an almost surely right continuous super-
martingale, almost surely continuous at TI{T<+OO}, right closable by x( +(0) + J,
and E{J} ~ E{x(O) - x(+oo)}.
In fact according to Section 3 (extension of Theorem 3), x(T-) is inte-
grable, and the following supermartingale inequalities are true:
E{x( +oo)} ~ E{x(T)} ~ E{x(T-)} ~ E{x(O)}. (22,1)
Hence J is integrable, and E{J} satisfies the stated inequality. To prove that
x(·)+ y(.) is a supermartingale observe that y(.) is adapted to §"(.) and that
x(·)+ y(.) satisfies the supermartingale inequality if and only if 0 ~ s < t
implies that
E{x(t) + JI{s<Ts;/}I§"(s)} ~ x(s) a.s. (22.2)
The sequence (T. v s) A t is an increasing sequence of optional times with

limit (T v s) A t. Define x = lim n_ oo x«T" v s) A t). According to Section 3
(extension of Theorem 3), the ordered triple
[x(s), ~(s)], [ x, y §"( (T" v s) A t) 1

[x«T v s) At), §"«T v s) A t)]
is a supermartingale, and it follows that
x(s) 2: E{xl~(s)} 2: E{x«T v s) A t)I~(s)} 2: E{x(t)I~(s)} a.s. (22.3)
Hence
E{x - x«T v s) A t)I§"(s)} ~ x(s) - E{x(t)I§"(s)} a.s. (22.4)
and this inequality leads to (22.2) because x - x«T v s) A t) = JI{s<T,;;/}

almost surely. Thus x(·) + y(.) is a supermartingale. An elementary calcula-
tion shows that this supermartingale is right closed by the random variable
x( + (0) - IJI and therefore is right closed by the supermartingale limit
x( +(0) + J.
Finally we prove
(b) If x(T) is y~ §"(T,,) measurable, for example (Section //.3), if x(·)
is nearly predictable, it follows that J 2: 0 almost surely and that the process
y(.) is nearly predictable.
The almost sure inequality E{x(T)I§"(T,,)} ~ x(T,,) yields (n -+ (0)
x( T) ~ x( T -) almost surely; that is, J 2: 0 almost surely. We prove that
y(.) is nearly predictable by proving that each of the two processes with
respective tth random variables
518 2.1 V. Basic Properties of Continuous Parameter Supermartingales
x(T-) ItTS/}' x(T)I{TS/} (22.5)
(defined as 0 on {T = + 00 }) is nearly predictable. The processes with

respective tth random variables
E{x(T)I9"(T,,)} I {T,,</} (22.6)
are nearly predictable because they are adapted and left continuous; so their
almost sure limit processes (n -+ (0) 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 y(o) is nearly predictable, as asserted.
23. Supermartingale Decompositions and Discontinuities

All processes in this section have parameter set IR+, and as in Section 22 the
left limit process of an almost surely right continuous supermartingale x(o)
will be denoted by x( Recall that almost sure lower semicontinuity of
0 -).
x(o) means that x(t-) ~ x(t) almost surely, simultaneously for all t.
Theoremo Let 9"(0) be a right continuous filtration ofa probability space, and
suppose that ~(O) contains the null sets.
(a) A nearly predictable almost surely right continuous supermartingale
{x(o), ~(o)} is almost surely lower semicontinuous, almost surely
continuous if the process is a martingale.
(b) Ifx(o) in (a) is right closable it can be written as a sum x"(o) - x/(o)
ofprocesses adapted to g;(o), nearly predictable,for which
(bl) Almost every x/(o) sample function is monotone increasing, constant
exceptfor the -x(o) sample function jumps, and x/(O) = O.
(b2) x"(o) is an almost surely continuous supermartingale and is right
closable.
(c) If every ~(o) optional time is predictable and if §"(o) is predictable,
then every almost surely right continuous supermartingale {x(o), g;( o)}
is nearly predictable and therefore is almost surely lower semicontin-
uous, almost surely continuous if the process is a martingale.
Proof of (a). Since it is sufficient to prove (a) for x(o 1\ n) for all n > 0, we
can assume that x(o) is a right closable supermartingale, or a right closable
martingale if the process is a martingale. The process {x(o_), §"(o)} is
almost surely left continuous and therefore nearly predictable so the process
{x(o) - x(o -), §"(o)} is nearly predictable, and it follows that when c > 0,
the set
fIe = {(t,w): x(t,w) - x(t-,w) ~ c}
23. Supermartingale Decompositions and Discontinuities 519
is a nearly predictable set. Furthermore the graph of the entry time T of He

is in He up to an evanescent set; so (by Theorem 11.9) T is nearly predictable.
Hence x(T - ) ~ x(T) almost everywhere where T < + 00 according to
Section 22(b), and this is impossible unless T = + 00 almost surely. We
conclude that the supermartingale assertion of (a) is true. If x(·) is a (right
closable) martingale, this result applied to x(·) and -x(·) shows that the
martingale assertion of (a) is true.
It will be convenient to prove (c) before (b). 0
Proof of (c). Suppose first that x(·) is right closable as a supermartingale.

If n E7r and k E71., define TOk = 0, and if 1',,-1 k is already defined, define
1'"k = + 00 if 1',,-1 k = + 00 and
1'"k = inf{t > 1',,-1k: 2k < Ix(t) - x(t-)I::s; 2k+l} otherwise.
Then 1'"k is optional, therefore predictable by hypothesis, and therefore by

Section 22(b) x(Tnk -) > x(Tnk ) when n > 0 and Tnk < + 00. Define Jnk =
X(1'"k - ) - X(1'"k) when 1'"k < + 00 and Jnk = 0 otherwise, and define a right
continuous process x nk (·) by
(=0 when Tnk = +oo)fortEIR+.
Since x(·) is right closable it is right closable by lim n_ oo x(t) which we denote
by x( + 00). According to Section 22, Jnk ~ 0 almost surely, the process x nk (·)
is nearly predictable [the reference filtration is ~ (.) here and below], the
process x(·) + x nk (·) is a right closable (by x( + 00) + JnJ almost surely right
continuous supermartingale, and E {Jnk } ::s; E {x(O) - x( + 00) }. If the jump
processes are added successively to x(·) and if we define (summing over all
nand k) J= 'LJnk and x'(t) = 'LXnb then E{J}::S; E{x(O) - x(+oo)}. It
follows that J and x'(t) are almost surely finite. The process x'(·) is nearly
predictable, and its sample functions are almost all right continuous except
for positive jumps J"k at 1'"k. The process x"(·) = x(·) + x'(·) is almost surely
continuous and therefore is nearly predictable, and we conclude that x(·)
(supposed right closable) is nearly predictable. :The supermartingale x"(·)
is right closable by x( + 00) + J. If x(·) is not right closable, this result
implies that xC, 1\ n) is nearly predictable for all strictly positive n; so x(·)
is nearly predictable. 0
Proofof (b). In the proof of (c) a decomposition of x(·) was obtained satisfy-
ing (bl) and (b2), under the hypothesis that x(·) was a right closable almost
surely continuous supermartingale satisfying certain conditions on the
reference filtration ~(.). A glance at the proof shows that wherever these
conditions on ~(.) are used, near predictability of x(·) suffices. 0
Chapter V
Lattices and Related Classes of Stochastic

Processes
1. Conventions; The Essential Order

In this chapter certain stochastic process classes which arise naturally in
martingale theory will be discussed. These classes and their relations with
the identically named classes in Chapter IX of Part I will be studied in later
chapters. See Appendix III for the lattice theory to be used.
All stochastic process concepts in this chapter are relative to a specified
filtered probability space (n, fF, P; fF(t), te I), where I is a linearly ordered
set, arbitrary unless specifically limited. As always the probability measure
is supposed complete; in addition it is supposed that each (1 algebra fF(t)
contains the null sets. The stochastic processes considered are adapted to
fF(') and have state space (~,at(~».
Recall from Section 1.8 that in the essential order stochastic processes
are grouped into equivalence classes by identifying processes which are
standard modifications of each other and a process y(.) is an essential order
majorant of x(·) if
P{y(t) ~ x(t)} = I, tel.
Recall further that the essential order infimum essinfr of a set r of stochas-
tic processes, that is, the essential order infimum of their equivalence classes,
can be obtained as follows. If we write x(')er to mean that the equivalence
class containing x(·) is in r, in other words that x(·) is a version of an equiva-
lence class in r (see the remark on the abuse of notation in Section 1.1),
then ess inf r is the equivalence class consisting of all the versions of
{essinfx(t), teI}.
x(.)er
Recall that the essential infimum of a family of random variables is deter-

mined only up to a null set. The class of processes in the essential order is a
complete lattice for I a singleton and therefore for arbitrary l.
2. LM x(·) when {x(.), ~(.)} Is a Submartingale 521
The Continuous Parameter Context
This is the context in which I = IR+, ~(o) is right continuous, ~(O) contains
the null sets, and the proc«sses to be classified will be almost surely right
continuous. Recall that two almost surely right continuous processes on the
parameter set IR+ which are standard modifications of each other are
indistinguishable, that is, equal quasi everywhere on Q x IR + .
2. LMx(·) when {x(')' ~(.)} Is a Submartingale
(See Section l.IX.2 for the potential theory counterpart of this section.)
Let {x(o), ~(o)} be a submartingale with an arbitrary linearly ordered
parameter set I having a first element. If Sand Tare countably valued
optional times, upper bounded in I, with S ~ T, then x(o) ~ 't"sx(o) ~ 't"TX(o)
in the essential order. According to the dual of the Special case in Section
111.20, either x(o) has no essential order supermartingale majorant and
limst E{x(s)} = + 00, or x(o) has an essential order supermartingale major-
ant, LM x(o) exists, the process {LM x(o), ~(o)} is a martingale,
LMx(o) = esslim't"sx(o) = esslimE{x(s)I~(o)} (2.1)

st st
up to a standard modification, and
E{LMx(t)} = limE{x(s)} = supE{x(s)}. (2.1')

st sel
(As usual we write LM x(t) for [LM x(o)] (t).) In view of one of the forms
of the submartingale sampling theorem (Theorem 111.7) the supremum and
directed limit
sup {E{x(S)}: S optional, countably valued, bounded} (2.2)
is equal to the supremum in (2.1 '). Thus LM x( o):exists if and only if the set
of expectations of the random variable class
{x(S): S optional, countably valued, bounded} (2.3)
is bounded.
If {x(o), ~(o)} is a positive submartingale, the existence of LM x(o) is
equivalent to the L 1 boundedness of the random variable class (2.3) and
in this case a trivial argument shows that Sin (2.3) need not be bounded in
I. 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 (1 algebra (0, Q). In particular, suppose that the positive sub-
522 2. v. Lattices and Related Classes of Stochastic Processes
martingale is uniformly integrable; that is, suppose that there is a uniform

integrability test function for which
supE{[x(s)]} <
sel
+ 00. (2.4)
In this case LMx(o) exists, and, since {[x(o)],F(o)} is a positive submar-

tingale, (2.4) is true if and only if LM <1>[x(o)] exists. We now show that then
LM[LMx(o)] also exists and
LM[LMx(o)] = LM[x(o)] (2.5)
up to a standard modification. To see this observe that up to standard

modifications
E{[LM x(s)]IF(o)} = E{[ess lim E{x(s') IF(s) }]/F(o)}

s·t
~ E{ess lim E{[x(s')]IF(s)} F(o)}
s·t
I
= E{LM[x(s)]IF(o)}.
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.
Continuous Parameter Context
Recall from Section IV.14 that in the continuous parameter context (defined
in Section 1) if {x(o), F(o)} is an almost surely right continuous submartingale
for which LM x(o) exists, this martingale majorant can be chosen to be right
continuous; the notation LM x( 0) will always refer to an almost surely right
continuous version. Moreover, if {x(o), F(o)} is a positive almost surely right
continuous submartingale, not only is the existence of LM x( 0) equivalent to
the finiteness of
sup {E{x(S)}: S optional « + (0) countably valued}, (2.6)
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 < + 00. Then if [T]" is defined as in
Section 11.2, Example (b2), it follows from Fatou's lemma that
E{x(T)} ~ liminfE{x([T]")} ~ c.
"-<Xl
If an integrable random variable x( + (0) can be adjoined to right close the
submartingale, as is possible if the submartingale is uniformly integrable
3. Uniformly Integrable Positive Submartingales 523
[Section III.3(e)], then this argument is valid for an arbitrary optional time
T::;; + 00 ; so in this case S in (2.6) can be an entirely unrestricted optional
time.
3. Uniformly Integrable Positive Submartingales
In Section l.IX.3 a class D(Jl~_) of functions on a Greenian subset of IR N

was defined, and Theorem l.IX.3 treated functions u for which ueD(Jl~_).
The applications in view were to positive h-subharmonic functions and to
h-harmonic functions. The probabilistic counterparts of class D(Jl~_) func-
tions on a specified set are the class D stochastic processes on a probability
space, relative to a given parameter set and filtration, as defined in Section
11.11. The following theorem is the probabilistic counterpart of Theorem
l.IX.3, and the applications in view are to positive submartingales and to
martingales. All the processes in the theorem are defined on the same filtered
probability space.
Theorem. Let {x(·),~(·)} be a stochastic process with state space (iR,.sf(iR))

and an arbitrary linearly ordered parameter set. If {lx(')I, ~(.)} is a submar-
tingale, the following conditions are equivalent:
(a) x(·)eD.
(b) x(·) is uniformly integrable.
(c) There is a uniform integrability test function <f) for which the submar-
tingale {<f)[lx(')!J, ~(.)} has a martingale essential order majorant.
(d) (If {x('), ~(.)} is a martingale) x(·) = Xl (.) - x 2 ('), where {x;(-),
~(.)} is a positive martingale, in D, and therefore uniformly integrable.
(e) The submartingale {lx(')I,~(')} is right closable.
Moreover, ifx(') satisfies (a) and (b), and if<f) satisfies (c), then the martingale
{LM IX(')I, ~(.)} is uniformly integrable,
LM C1l[LM IX(')IJ = LM <f)[lx(')IJ (3.1)
up to a standard modification, and, if {x('), ~(.)} is a martingale, each process

x;(-) in (d) can be chosen so that the submartingale {<f)[x;(-)J,~(')} has a
martingale essential order majorant.
If IX(')I here is identified with x(·) in Section 111.2 and Section 2, the
present theorem follows; if {x('), ~(.)} is a martingale, one representation
of x(·) with the properties stated in (e) and the final assertion of the theorem is
x(·) = LM IX(')I- [LM IX(')I- x(·)J. (3.2)
(See the corresponding discussion in the proof of Theorem l.IX.3.)

524 2. V. Lattices and Related Classes of Stochastic Processes
Theorem 3 versus Theorem l.IX.3. The parallelism between these two

theorems is obvious except that no potential theory counterpart of Theorem
3(e) has been suggested. To find such a counterpart, suppose that lui is a
class D(Jl~_) h-subharmonic function on a connected Greenian subset D
of IR N , as in Theorem l.IX.3, and define v = LM~ lui, a class D(Jl~_) h-
harmonic function according to that theorem. The function v -lui is an
h-potential because
GM~(v -lui) = v - LM~lul = 0;
so (Theorem l.XII.18) the function v -lui has Jl~ almost everywhere

minimal-fine boundary limit 0 on the Martin boundary iJM D. According to
Theorem I.XII.19, a quasi-bounded h-harmonic function on D is the PWBh
solution HJ for some h-resolutive boundary function I on iJM D, and HJ has
I as its Jl~ almost everywhere minimal-fine Martin boundary limit function.
Moreover we shall show (Theorem 3.1.5) that an h-harmonic function on
D is quasi bounded ifand only ifit is in D(Jl~_). Hence there is an h-resolutive
functionlon iJM D which is the Jl~ almost everywhere minimal-fine boundary
limit function of both v and lui, and lui ~ HJ = v. The Jl~ measurable and
integral Martin boundary functions It, that is, the h-resolutive Martin
boundary functions 11' for which 11 ~ I are potential theory counterparts
of the random variables which close the submartingale {lx(o)I,.F(o)} in
Theorem 3(e).
In this context, as already noted in Section 2, when x(o) in Theorem 3 is

supposed almost surely right continuous, all the least majorants in the
theorem can be supposed almost surely right continuous and in view of
(3.2) each process x;(-) in Theorem 3(e) can be chosen to be almost surely
right continuous and to satisfy the last assertion of the theorem.
4. LP Bounded Stochastic Processes (p ~ 1)
The following theorem is in the context of Theorem 3 and when p > I is

merely a specialization of that theorem. Recall that a process {x(t),tEI} is
called U bounded if SUP/eI E{ Ix(t)jP} < + 00.
Theoremo Let {x(o), .F(o)} be a stochastic process with state space (IR, 8iJ(IR»
and an arbitrary linearly ordered parameter set, and suppose that p ~ 1. If
{lx(o)l, .F(o)} is a submartingale, thelollowing conditions are equivalent:
(a) x(o) is U bounded.
(b) The submartingale {lx(o)jP,.F(o)} has a martingale essential order
majorant.
5. The Lattices ('S±, ~), ('S+, ~), (S±, ~), (S+, ~) 525
(c) (If {x(,),g;(·)} is a martingale); x(·) = x.(·) - X2('), where {Xj('),

g;(.)} is a positive U bounded martingale.
(d) (If p > 1); the submartingale {lx(·)I,g;(·)} is right closable by a
random variable in LP.
Moreover, if p ~ 1 and if x(·) satisfies (a) and (b), then the martingale
{LMlx(·)I, g;(.)} is U bounded,
LM[(LMlx(')I)P] = LM(lx(')iP) (4.1)
up to a stochastic modification, and if{x('), §(.)} is a martingale, each process

x;(-) in (c) can be chosen so that the submartingale {xf(·), §(.)} has a martingale
essential order majorant.
The proof is left to the reader because whatever is not already covered
by Theorem 3 with <Il(s) = sP follows easily from the discussion in Section 2.
Observe that assertion (c) of the present theorem with p> I is slightly
stronger than Theorem 3(d) with <Il(s) = sp. In fact in Theorem 3(d) it is
not asserted that if x(·) = x.(·) - x 2 (·) and if <Il[x;(-)] has a martingale
essential order majorant, then <Il[lx(')I] has a martingale essential order
majorant. However, for <Il(s) = sP and p ~ 1 this assertion is true because
then
In this context (see the corresponding remarks in Section 3) if x(·) is almost

surely right continuous, all the other processes involved in Theorem 4 can
also be supposed almost surely right continuous.
Observation (Recall the definition of LP in Section 11.11.). It is trivial that a
process in LP is U bounded. Conversely (context of Theorem 4) if x(·) is
U bounded with p > 1 and if {lx(·)I,g;(·)} is a submartingale, it follows
that x(·) E LP. In fact it is sufficient to prove that if T is an optional time with
finitely many values then E{lx(T)jP} ::;; SUPte I E{lx(t)jP}, and this inequality
is true because if s is the maximum value of T in the parameter set order
then E{!x(T)jP} ::;; E{lx(s)jP}.
5. The Lattices ('S±, S), ('S+, S), (S±, S), (S+, S)

(See the corresponding potential theory lattices in Section UX.5.)
The Lattice ('S± , ::;;)
We assume, as described in Section 1, a specified filtered probability space

with an arbitrary linearly ordered parameter set. Denote by ('S±, s;) the
lattice, in the essential order, of those stochastic process equivalence classes

under standard modification which contain supermartingales having positive
supermartingale essential order majorants. Recall the essential order nota-
tion $, ~, =, v, /\. Let r be a subset of /S±. If the set r o of supermar-
tingales in the r equivalence classes has an essential order minorant in /S± ,
then (from Section 111.5) the equivalence class containing the versions of
ess infro is Ar. It follows that ('S±, $) is a conditionally complete lattice,
but observe that if r is a subset of /S± with an essential order majorant in
/S±, then vr is not necessarily the equivalence class containing the essential
suprema of the class of supermartingales in the equivalence classes of r but
is the essential order infimum of the class of essential order /S± majorants
ofr.
The careful language used above is correct but inconvenient, and we shall
frequently follow the usual incorrect but convenient abuse of language in
which, for example, r o above is identified with rand Ar is described as
the essential infimum of r even though r is not a set of processes but a set
of equivalence classes and ess infro is not an equivalence class but a process.
If r c /S± and if r has an essential order minorant in /S±, then (Section
111.5) Ar = Arl for some countable subset r l of r. If r c /S± and if r
has an essential order majorant in /S±, then vr = vrl for some countable
subset r l of r. In fact, if r is directed upward in the essential order, then
V r = ess sup r, and the assertion was proved in Section ilLS for essential
suprema. If r is not directed upward, apply this result in the directed case
to the set of /S± suprema of finite subsets of r.
In the following, we sometimes prime V and A when referring to /S±.
The Lattice ('S +, $)
The sublattice ('S+, $) of ('S±, $) consists of the /S± equivalence classes

containing positive supermartingales.
The Continuous Parameter Context: (S± , $), (S+ , $)
Observe that if 1= IR+ an equivalence class in /S± contains a right continuous

supermartingale if the class contains an almost surely right continuous
supermartingale and that two almost surely right continuous supermar-
tingales in the same equivalence class are indistinguishable, that is, are equal
quasi everywhere on IR+ x n, or in our other terminology are equal up to
an evanescent subset of this product space. If x(·) E /S±, define
x(t)
+
= limr,J.rinf x(t) (r rational). (5.1)
Then (Section IV.l) the process x(·)

+
is an almost surely right continuous
supermartingale, and
5. The Lattices ('S±, :S), ('S+, :S), (S±' :S), (S+,:S) 527
P{x(t) = i(t)} = 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 S± be the set of equivalence
classes ofalmost surely right continuous supermartingales, under the relation
of indistinguishability. Then S± can be imbedded in 'S± (in the present
continuous parameter context) in an obvious way. If r is a subset of S±
and if we denote by T 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 {xn(o),nEZ+} in r such that the process x(o) =
infn;,oxn(o) determines AT. The process x(o) is almost surely right upper
semicontinuous so i(o) :=:; x(o) in the essential order, and there may be strict
inequality. The process x(o) +
is in the equivalence class of the maximal
essential order S± minorant of r. Thus, if we denote by (S±, :=:;) the set S±
in the essential order, this set becomes a conditionally complete lattice, for
which we shall use the order symbols :=:;, ~, v, /\, but the S± order infima
and suprema are not inherited from the natural imbedding in ('S±, ~). The
argument just given together with the analysis of ('S±, :=:;) shows that if
r c S± then the (S±, :=:;) infimum [supremum] of r, if it exists, is the
infimum [supremum] of a countable subset of r. If r is countable and if r o
is a set of supermartingales consisting of one member from each equivalence
class in r, then the equivalence class Ar has as one member the process
i( 0) for x( 0) the pointwise infimum of r 0' and (Theorem IV.4) if r is directed
upward and is bounded above in (S±, ~), the equivalence class vr has as
one member the pointwise supremum of r o.
The Lattice (S +, :=:;)
In the continuous parameter context the sublattice (S+,~) of (S±, ~)

consists of the S± equivalence classes containing positive right continuous
supermartingales.
The Natural Decomposition in the Continuous Parameter Context
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 x(o), x1(o), x 2 (o) are almost surely
right continuous positive supermartingales and if x(o):=:; x1(o) + x 2 (o) up to
an evanescent set, then according to the natural decomposition theorem of
Section III. 19 there are positive supermartingales x~ (0), x;(o) such that
x(o) = x~ (0) + x;(o)

528 2.V. Lattices and Related Classes of Stochastic Processes
up to a standard modification, and it follows that
X'(·)
+i <
- x.(·)
I ,
6. The Vector Lattices ('S, -<) and (S, -<)
(See the corresponding potential theory vector lattice in Section l.IX.6.)
The Vector Lattice ('S, -<)
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 ~, 2:, Y, A, and
'S+ in the specific order will be denoted by ('S+, -<). Define'S = 'S+ - 'S+,
so that each member of'S can be identified with an equivalence class of
differences x 1(·) - X2(·) between two positive supermartingales. Each
random variable xl(t) - x 2(t) is well defined off the probability null set of
common infinities of Xl (t) and X2(t). If'S is ordered by the specific order with
positive cone 'S+, we obtain a partially ordered vector space ('S, -<).
Theorem. (a) The space ('S, -<) is a conditionally complete vector lattice.
[In (b), (c), (d) let r be a subset of'S with a specific order majorant.]
(b) Yr is the specific order supremum ofa countable subset ofr.
(c) ffr' is the class ofspecific order majorants ofr, then vr ~ r'.
(d) Ifr is directed upward in the specific order, then yr = Yr.
The duals of (b), (c), (d), involving infima, are obtained by replacing r
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 l.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 l.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 l.IX.6. That is,
we now interpret the members u, v, <p, ... of S+, r, r' in that section as
positive supermartingales and interpret R D there as a generalized probabil-
istic reduction, namely, as the equivale;te class of essential infima of the
set of positive supermartingale essential majorants of <p(.). The details of
the translated proof are left to the reader.
Continuous Parameter Context: The Vector Lattice (S,~)
The set S + is a cone and therefore defines a specific order on itself, for
which we use the order symbols -<, >-, Y, A, and S+ in the specific order
7. The Vector Lattices ('Sm, :=0:) and (Sm, :=0:) 529
will be denoted by (S+, :S). If x(·) and y(.) are positive almost surely right
continuous supermartingales, we describe x(·) as a specific rninorant of y(.)
and write x(·):s y(.) if this relation holds between the equivalence classes
determined by the processes. The corresponding significance is given to
x(·) Y y(.) and other abuses of notation involving processes and equivalence
classes.
Define S = S+ - S+, and denote by (S, :S) the vector space S ordered
by the specific order with positive cone S+ . Then S can be identified with a
subset of'S. Moreover the following relations between ('S, -<) and (S+, :S)
are true.
(rl) If x(·) and y(.) are in S+, then x(·) :S y(.) in ('S, :S) implies that
i(') -< r(') in (S, :S). In fact by hypothesis there is a z(') in 'S+ such that
x(·) + z(') is a stochastic modification of y(.), and therefore x(·) +
+ +z(') is a
stochastic modification of and in fact is indistinguishable from y(.); so
+
i(') :S r(') in (S, :S).
(r2) If x(·) and y(.) are in S+, then x(·) -< y(.) in (S, :S) if and only if
x(·) :S y(.) in ('S, :s).In fact "if" is trivial, and "only if" follows from (rl).
(r3) If X(')E 's and if x(·) is almost surely right continuous, then X(')ES
because (up to a standard modification) by hypothesis x(·) = x l (·) - x 2 (·)
with Xk)E'S+; so x(·) = il (.) - i/') with ii(·)ES+.
If r c: S+ we can identify r with a subset T of 'S+. If x(·) is in the equiv-
alence class AT then i('):S Tin ('S,:S) by (rl). Moreover, if x l (·) is in
S+ and if Xl (.) :S r in (S, :S), then Xl (.) :S r in ('S, -<); so Xl (.) -< x(·) in
('S, -<), and therefore Xl (.) :S i(') in (S, :5). So A r exists and is the equiv-
alence class in S+ containing i(·)' Hence (S+, -<) is a conditionally complete
vector lattice. We leave to the reader the verification that Theorem 6(b)-(d)
holds for(S, :S).
Intrinsic Definition of S
It will be shown in Section 13 that the processes in S can be characterized

without involving supermartingales.
7. The Vector Lattices ('Sm' -<) and (Sm' -<)

The Vector Lattice ('Sm, :S)
A supermartingale specific order majorized by a martingale is itself a martin-

gale. If r is a set of positive martingales with yr = x(·) then x(·) is a specific
order majorant of each member of r; so x(·) is a positive supermartingale,
and since GMx(') is also a specific order majorant of r, it follows that
530 2. v. Lattices and Related Classes of Stochastic Processes
x(·) = GMx('), and so this process is a martingale. Hence (Appendix 111.8)

if 'S~ is the cone in'S whose equivalence classes contain the positive martin-
gales, the set 'Sm = 'S~ - 'S~ is a band in ('S, :S). The restrictions to 'S~
of the essential and specific orders coincide. If r c 'Sm, then, with some
abuse of the notation LM and GM,
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 'Sm
equivalence class if and only if the martingale is L 1 bounded.
Continuous Parameter Context: The Vector Lattice (Sm, -<)
In the context of (S, -<) an almost surely right continuous supermartingale

specific order majorized by an almost surely right continuous martingale is
itself a martingale. If r is a set of positive almost surely right continuous
martingales with yr = x('), then as above it follows that x(·) is a martingale.
Thus if S~ is the cone in S whose equivalence classes contain the positive
martingales, the set Sm = S~ - S~ is a band in (S,:S) and as such is a
conditionally complete sublattice of (S, :S).
Observe that in the continuous parameter context if x(·) is an L 1 bounded
almost surely right continuous martingale, then x(')eS m because up to a
standard modification x(·) = x 1 (·) - x 2 (·) with xk)eS~; so up to an
evanescent set x(·) = x+1 (.) - X+(·) with x (')eS+
2 , +i mo
8. The Vector Lattices eSp, -<) and (Sp, -<)

(See the corresponding potential theory vector lattice in Section I.IX.8.)
The Vector Lattice ('Sp, :S)
Recall that in Section III.21 we defined a supermartingale potential as a

positive supermartingale {x('),ff(')} with inf,E1E{x(t)} = 0, equivalently
with GMx(') = 0 up to a standard modification. A positive supermartingale
specific order majorized by a supermartingale potential is itself one and if
r is a set of supermartingale potentials with yr = x(·) then x(·) must be
a positive supermartingale for which x(·) - GMx(') is also a specific order
majorant of r and therefore must also be a version of yr so GMx(') = 0
and x(·) is a potential. It follows that if'S; is the cone in'S whose equivalence
classes contain the supermartingale potentials then the set 'Sp = 'S; - 'S;
is a band in ('S, :S) and as such is a conditionally complete vector sublattice
of ('S, :S).
9. The Vector Lattices CSqb' :S) and (Sqb' :S) 531
Continuous Parameter Context: The Vector Lattice (Sp,::S)
In this context observe that if x(·) is a supennartingale potential, then :}(.)

is also a supermartingale potential and conversely. The reasoning used above
with trivial adaptation to the context of S shows that if S; is the cone in
S whose equivalence classes contain the right continuous supennartingale
potentials, then the set Sp = S; - S; is a band in (S, ::S) and as such is a
conditionally complete vector sublattice of (S, ::S).
Theorem. 'Sp = 'S; and Sp = S;.

The proofof these relations in the potential theory context (Section I.IX.8)
is applicable in the present context.
9. The Vector Lattices ('Sqb' -<) and (Sqb' -<)

The Vector Lattice ('Sqb' ::S)
The class 'S;b is defined as the subset of'S+ whose equivalence classes contain
the quasi-bounded positive supennartingales, that is (Section IV.6), contain
the supennartingales x(·) which satisfy the following equivalent conditions,
in which all processes are adapted to the specified filtration.
(a) The process x(·) is the specific order essential supremum of a set of
bounded positive supennartingales.
(b) The process x(·) is the limit of a specific order increasing sequence
of bounded positive supennartingales; that is, x(·) is the sum of a
series of bounded positive supennartingales.
The class 'S;b is a cone which satisfies the conditions (Appendix 111.8)
implying that the set 'Sqb = 'S;b - 'S;b is a band in ('S, ::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 x(·) in (a) and (b) above is a martingale, then the bounded positive
supennartingales in (a) and (b) must also be martingales because they are
specific order minorants of x(·).
The Bands 'Smqb = 'Sm n 'Sqb and 'Spqb = 'Sp n 'Sqb

In view of Section 8 these two bands are mutually orthogonal, and 'Sqb =
'Smqb + 'Spqb' The band 'Smqb is the band in'S generated by the equivalence
class of the process all of whose random variables are identically I. According
to Theorem IV.I 0, 'Spqb = 'Sp 11 D if the parameter set has a first !,oint but
not a last point.
Continuous Parameter Context: The Vector Lattice (Sqb,:S)
In this context a quasi-bounded positive supermartingale x( 0) which is almost

surely right continuous and which is the sum ~o xn(o) of a series of bounded
positive supermartingales is the sum of a series of bounded positive almost
surely right continuous supermartingales. In fact the sum ~o x+n (0) of bounded
positive almost surely right continuous supermartingales is almost surely
right continuous (Theorem IVA), and except for a countable parameter set,
P{x(t) = ~o xn(t)} = I. Hence by almost sure right continuity i(o) = x(o) =
~o x (0) up to an evanescent set. With the help of this result the reasoning
+n
at the beginning of this section, with trivial adaptation to the context of S,
shows that if S;b is the cone in S whose equivalence classes contain the
supermartingales which satisfy the equivalent conditions (a) and (b) above
with all the positive bounded supermartingales involved supposed almost
surely right continuous, then the set Sqb = S;" - Sq~ is a band in S and as
such is a conditionally complete vector sublattice of S. Define Smqb =
Sm 11 Sqb and Spqb = Sp 11 Sqb to obtain orthogonal bands with vector sum
Sqb' According to Theorem IV. 11 , Spqb = Sp 11 D.
In the following theorem VI denotes the class of uniformly integrable
processes in the given context or, with the usual abuse of language, the set
of equivalence classes in'S or S whose members are uniformly integrable.
Theoremo 'Smqb = 'Sm 11 VI and Smqb = Sm 11 VI.
It is sufficient to prove the first equality, and [by Theorem 3(d)] even
sufficient to prove that 'S~qb = 'S~ 11 VI. In this context if x(o) is a uniformly
integrable positive martingale, it is right closable [Section III.3(e)] by some
random variable x; so x(t) = E{xl~(t)} almost surely. If xn(o) is the bounded
martingale defined by xn(t) = E{x A nl~(t)}, then limn....ooxn(t), t c: ~+,
defines a martingale in the equivalence class of x( 0); so x( 0) is quasi bounded.
Conversely, if x(o) is a quasi-bounded martingale, so that there is a sequence
of bounded martingales, {Yn(o),nE.:r}, such that x(o) = ~o Yn(o), then Yn(o)
is right closable, say by a random variable Yn, and x(o) must be right closable
by ~o Yn; so x(o) is uniformly integrable.
10. The Vector Lattices ('Ss' -<) and (Ss, -<)

(See the corresponding potential theory vector lattice in Section l.IX.lO.)
Define'S. = 'Sib relative to ('S, -<), and define'S: = 'So Il'S+. Define
S. = Sib relative to (S, :S), and define S: = S. 11 S+. The equivalence classes
II. The Orthogonal Decompositions 'Sm = 'Smqb + 'Sms and Sm = Smqb + Sms 533
in the bands 'Ss and Ss 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 x(o) is
an almost surely right continuous supermartingale, then x( 0) e 'S; if and
only if x(o)eS; and that x(o)e'Ss if and only if x(o)eSs. Thus in the con-
tinuous parameter context the equivalence classes in S; [Ss] can be identified
with those in'S; ['S] which contain almost surely right continuous processes.
We shall denote by 'Sms and Sm., respectively, the bands 'Sm (') 'Ss and
Sm (') Ss of singular martingales in their respective vector lattices. The bands
'Sps and Sps 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:
11. The Orthogonal Decompositions ISm = ISmqb + ISms and

Sm = Smqb + Sms
In this section we restrict outselves to the continuous parameter context
except in the last paragraph where we show how the work can be modified
to be applicable to the ('S, -<) context. Suppose then (continuous parameter
context) that x(o) is an almost surely right continuous positive martingale,
that is, x(o)eS~. Then (Section 11I.13) limr.... <xl x(t) = x( + (0) exists almost
surely.
Case (a): x(o)eUI. In thise case, equivalently (Theorem 3) if x(o)eD,
equivalently (Theorem 9) if x(o)eSqb' this martingale is right closable by the
random variable x( + (0) (Section 111.14); that is, x(t) = E{x( + 00 )I§"(t)}
almost surely. Thus x( + (0) determines x(o) up to an evanescent set.
Case (b): We show that x(o)eS ms if and only if x( + (0) = 0 almost
surely. If x( + (0) = 0 almost surely, then every bounded specific order
minorant of x(o) in S+ has almost sure limit 0 at + 00; so according to
Case (a), the minorant is indistinguishable from the zero process. Hence
x(o)eS~s. Conversely, if x(o)eS~s' then for every positive constant c,
E{x(+oo) 1\ cl§"(o)} = limE{x(s) 1\ cl§"(o)} :$x(o) a.s.

s.... <xl
and the martingale on the left is bounded and so is indistinguishable from

the zero process. It follows that E {x( + (0) 1\ c} = 0 for every c; so x( + (0)
= 0 almost surely.
Case (c): General case. In all cases we can write x(o) in the form
x(o) = E{x(+oo)I§"(o)} + [x(o) - E{x(+oo)I§"(o)}] (ll.l)

and choose the conditional expectations in such a way (Section IV.1) that
E{x( + 00 )I$i"(o)} is an almost surely right continuous martingale. This
conditional expectation martingale comes under Case (a). The bracketed
difference in (11.1) is a martingale with almost sure limit 0 at + 00 and so
comes under Case (b). Thus (ll.l) exhibits x(o) as the sum of its quasi-
bounded and singular components.
If x(o)e'S~, then esslim,tx(t) exists (Section 111.13), and Cases (a)-(c)
go through as in the continuous parameter context.
120 Local Martingales and Singular Supermartingale

Potentials in (8, -<)
Local Martingale (Continuous Parameter Context)
A process x(o) in this context is called a local martingale if there is an increas-

ing sequence of finite optional times with almost sure limit + 00 such that
each process
{x(T" A t),$i"(t),telR+} (12.1)
is an almost surely right continuous martingale. For example (take T" == n),
an almost surely right continuous martingale is a local martingale. Observe
that if T" in (12.1) is replaced by T" A n, that is, if the almost surely right
continuous martingale (12.1) is stopped at t = n, then the stopped process
is a martingale (Section IV.3), uniformly integrable because it is right closed
by x(T" A n). Hence it is no restriction on a local martingale if T" in (12.1)
is supposed bounded and if each martingale (12.1) is supposed uniformly
integrable.
It is trivial (calculate expectations or use the fact that Sp .1 Sm) that an
almost surely right continuous supermartingale potential which is a martin-
gale is indistinguishable from the identically zero process. As the following
theorem shows the situation is quite different if "martingale" is replaced
here by "local martingale."
Theoremo A process x(o) in S; is singular if and only ifit is a local martingale.
If x(o)eS;' and ne 71.+, define
T" = n A inf {te IR+: x(t) ~ n}, y(o) = x(o) - "tT.X(o).
Then lim._ co T" = + 00 because almost every almost surely right continuous
supermartingale sample function is bounded on compact intervals. Observe
that "tT x(o)eS+ with "tT x(t) < n for t < T. and that y(o)eS+ with y(t) < n
• •
13. Quasimartingales (Continuous Parameter Context) 535
for t < 1',. and y(t) = 0 for t ~ 1',.. Thus y(.) -<: x(·), and y(.) is bounded;
so y(.) = 0 quasi everywhere, that is,
x(1',. 1\ t) = x(t) = E{x(1',.)I~(t)} (12.2)
almost everywhere on the set {1',. > t}. Since the first and third terms in
(12.2) are trivially equal almost everywhere on the set {1',.:S; t} [because
this set is in ~(t) and the function x(1',. 1\ t) is ~(t) measurableJ, the process
(12.1) is a martingale. Hence x(·) is a local martingale. Conversely, suppose
that X(·)ES; and that x(·) is a local martingale, so that there is an increasing
sequence T. of finite optional times with almost sure limit + 00 such that
each process (12.1) is a martingale. If z(·) is in S+ and is a bounded specific
order minorant of x(·), then z(1',. 1\ .) ::5 x(T,. 1\ .); so z(T,. 1\ .) is a martin-
gale with a bound independent of n. The martingale equality E{z(O)} =
E{z(T,. 1\ t)} yields E{z(O)} = E{z(t)} in the limit, and therefore Z(·)ES~.
Since X(·)ES;, it follows that z(·) = 0 quasi everywhere; so x(·) is singular,
Adaptation to the Parameter Set 71..+
Under the obvious definition of a local martingale with parameter set 71..+
a trivial adaptation of the preceding proof shows that the counterpart of
Theorem 12 for the parameter set 71..+ is true.
13. Quasimartingales (Continuous Parameter Context)
In the continuous parameter context (see Section 1) quasimartingales have

been defined variously. We shall call an almost surely right continuous
adapted process {x(·), ~(.)} a quasimartingale if it is L 1 bounded and if
there is a constant c for which 0 = to < t 1 < ... --+ + 00 implies that
00
IE{IE{x(t k ) - x(tk+l)I~(tk)}I}:s; c. (13.1)

o
Observe that, for a given probability space and filtration, the class of quasi-
martingales is linear and includes L 1 bounded almost surely right continuous
martingales (set c = 0) and positive almost surely right continuous super-
martingales (set c = E{x(O)}). Hence the members ofS are quasimartingales.
According to the following theorem, the converse is also true.
Theorem. An adapted almost surely right continuous L 1 bounded process

{x(·), ~(.)} is a quasimartingale if and only if it is the difference between two
almost surely right continuous positive supermartingales; that is, x(·) E S.
We have already noted that the members of S are quasimartingales.

Conversely, suppose that {x(o),ff(o)} is a quasimartingale satisfying (13.1).
A trivial iterated conditional expectation argument shows that if k ~j, the
kth term of the sum in (13.1) majorizes the same term with ff(t k ) replaced
by ff(t). Hence the definition
y(tj ) = L IE{x(t
k,,j
k) - x(tk+l)lff(tj )} I (13.2)
is meaningful, and E {y(O)} ~ c; the series converges both almost surely

and in L 1 • Furthermore the L 1 convergence of this series implies that
L 1 lim k .... "'E{x(t k )lff(tj )} exists. Since this is true for allj, so that tj can be
any number in ~+ , and since two sequences t. can be combined into a single
one, this L 1 limit property implies that
exists for all s. Moreover xm(s) is ff(s) measurable because ff(O) contains
the null sets, the process xm(o) is L 1 bounded because
E{lxm(s)l} = E{IL 1 IimE{x(t)lff(s)}I} ~ limE{IE{x(t)lff(s)}i}

I .... '" I .... '" (13.3)
~ supE{lx(t)l} < +00,
/;;,0
and {xm(t.), ff(t.)} is a martingale because if SI < S2 and if AE ff(SI)' then
i X m(S2) dP = IL
l
~~ E{x(t)lff(S2)} dP = ~~~ i E{x(t)lff(S2)} dP
= ~~~ i E{x(t)lff(SI)}dP= i Ll~~~E{x(t)lff(SI)}dP

= i x m(sl)dP.
Let Q be the set of positive dyadic rational numbers. According to Section

IV.I, the right limit process {xm+(t),ff(t),tE~+} defined by
x m+(t) = lim xm(s)

Q3SJ,1
[x m + (t) is defined arbitrarily when this right limit does not exist] is an almost
surely right continuous martingale and is obviously L 1 bounded. Moreover
(Section 4) the process xm(o) is the difference between two positive almost
surely right continuous martingales. At the price of replacing x(o) by x(o) -
x m + (0) [which does not change the sum in (13.1) or y(tj ) in (13.2)] we can
therefore suppose from now on that L 1 Iim l .... "'E{x(t)lff(s)} =0. If the
13. Quasimartingales (Continuous Parameter Context) 537
absolute value signs in (13.3) are omitted, the sum is
x(tj) - Lllim E{x(t k) IS;;(t j)} = x(t) a.s.,

k-oo
and therefore
P{y(t) ~ x(t)} = 1, t E 1.. (13.4)
Furthermore, if j > i, manipulation of conditional expectations yields

j-l
y(t i ) - E{y(t)IS;;(t i )} ~ L IE{x(t k) - X(t k + 1 )1S;;(ti )} I
k=i
(13.5)
According to (13.5), the process {y(tJ - x(tJ, S;;(tJ} is a supermartingale.

Thus the positive processes
{y(tJ, S;;(tJ}, {y(t.) - x(t.), S;;(o)}
are supermartingales. We have already noted that E{y(O)} ~ c. The reader

can readily verify that adding points to 1. replaces y(o) by a supermartingale
which majorizes y(o) on the original sequence to. Let {Ynurn), S;;ur n),
jEZ+} be, for nEZ+, the version of y(o) when 1. = {jrn,jEZ+}. For tin Q
and n so large that Yn(t) is defined, Yn(t) increases almost surely as n increases.
'Define z(o) = limn_ooYn(o) to obtain positive supermartingales
{z(t), S;;(t), tE Q}, {z(t) - x(t),S;;(t),tEQ}.
Apply Section IV.l again to find that the positive right limit processes
z(o) and z(o - x(o) are almost surely right continuous supermartingales
+ +
relative to 9'(0) on the parameter set IR+. The desired representation of
x(o) is x(o) = -f(o) - [-f(o) - x(o)}.
Observation. Theorem 13 asserts that the quasimartingale x(o) has a

representation x(o) = Xl (0) - x 2(0), where x;(-) is a positive almost surely
right continuous supermartingale. There is some interest in minimizing Xl (0)
and x 2 (0). An indirect but interesting way is to observe that the class of pairs
(x l (0),X2(0» with the stated properties has the property that if (x;(o),x;(o»
and (x'{ , x;) are in the class, then (X'l (0) /\ x~ (0), x; (0) /\ x; (0» 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
replace the discussion of y(.) as defined by (13.2) by the processes defined

by the two series
L [E{x(t k) - x(tk+l)I~(t)} v 0], - L [E{x(t k ) - x(tk+l)I~(tj)} /\ OJ.

k';!j k';!j
The Parameter Set 71.+
A process {x(n), ~(n), ne 71.+} is called a quasimartingale ifit is L 1 bounded

and if
00
LE{IE{x(k) - x(k + l)1~(k)}I} < +00.

o
An adapted process is a quasimartingale if and only if it is the difference

between two positive supermartingales. The proof follows that in the
continuous parameter case, with obvious simplifications.
Chapter VI
Markov Processes
1. The Markov Property

Let {x(o), ~(o)} be a stochastic process with state space (X,.¥) on a filtered
probability space (Q,~,P;~(t),tel). The process is called a Markov
process if when s < t and A e.¥, then
P{x(t)eAI~(s)} = P{x(t)eAjx(s)} a.s. (l.l)
Define ~(s) = ~{x(r), r ~ s}. It will now be shown that (l.l) implies
E{ZI~(s)} = E{zlx(s)} a.s. (l.l ')
whenever z is a function from Q into ~ which is ~(s) measurable and is

either integrable or positive. If s < t and z = 1(x(lleA} with A in .¥, equation
(l.l') reduces to (l.l). The validity of (l.l) or the equivalent (l.l') will be
referred to as the Markov property. To prove that (IJ') is true under (l.l) it
is sufficient according to the usual approximation procedure to prove (l.l')
for z the indicator function of a set in <§(s). Since this (J algebra is generated
by the algebra of finite disjoint unions of sets of the form {x(t)eAj,j::;; n},
with to = s < ... < tn and A j in fE, it is enough to prove (l.l') for z =
Zo ... Zn' where Zj = 4>j[ x(t)] and 4>j is a bounded measurable function from
(X,fE) into (~,~(~». Equation (l.l') is trivial when n = O. When n = I,
(1.2)
and if Z 1 = IA [x(t 1)], the right side of (1.2) becomes, using (l.l),
so that (l.l') is true for Z = ZoZ 1 when Z has this special form. Equation (l.l')
for Z1 = 4>1 [x(t 1)] then follows using the usual approximation procedure.
We now proceed by induction. If (l.l') is true for Z = Zo Zk with an
arbitrary choice of to = s < t 1 < ... < tkand functions 4>0' , 4>k' for some
k ~ I,
540 2.VI. Markov Processes
E{zo'" Zk+ll~(s)} = zoE{E{Zl zk+ll~(tl)}I~(s)}
= zoE{E{Zl zk+llx(tl)}I~(s)}
= zoE{E{Zl Zk+l!X(ll)}lx(s)} (1.4)
= zoE{E{Zl Zk+ll~(tl) }Ix(s)}
= E{zo'" Zk+llx(s)} a.s.,
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,
(Ll) is true in general if true for l = s + 1.
The Markov property can be reformulated: {x(o), ~(o)} is Markovian if
and only if the past and future are independent, given the present, or, in
precise form, if AE~(S) and ME~(s), then
P{A n Mlx(s)} = p{Alx(s»P{Mlx(s)} a.s., (1.5)
or equivalently, if y is ~(s) measurable and Z is ~(s) measurable and both

are positive or both are bounded,
E{yzlx(s)} = E{ylx(s)}E{zlx(s)} a.s. (1.5')
To derive (1.5') from the Markov property, suppose that y and z are measur-
able, as described, and bounded. Using (Ll'),
E{yzl~(s)} =yE{zl~(s)} =yE{zlx(s)} a.s.; (1.6)
so performing the operation E { -Ix(s)} on the first and third terms yields
(1.5'). Conversely, under (1.5')
E{yzlx(s)} = E{yE{zlx(s)}lx(s)} a.s.; (1.7)
so
E{yz} = E{yE{zlx(s)}}. (1.8)
If now y is the indicator function of a set A in ~(s), equation (1.8) becomes
i iZdP = E{zlx(s)}dP, (1.9)
which is the integrated version of (Ll ').

I. The Markov Property 541
The symmetry of (IS) implies that if {x(o),~(o)} is Markovian, the

process {x(o), ~(o)} is Markovian when the parameter order is reversed.
Roughly, a Markov process under time reversal is a Markov process.
The Markov Property for Processes with Topological State Spaces
According to the discussion in this section, the Markov property can be

stated in the following form: an adapted process {x(o), ~(o)} is Markovian
if and only if
E{f[x(t)]I~(s)} = E{f[x(t)]lx(s)} a.s. (1.l0)
when s < t and f is an arbitrary bounded measurable function from the

state space into IR. We leave it to the reader to verify that if the state space
is a Polish space coupled with its Borel sets, the process is Markovian if and
only if (1.l0) is satisfied whenever f is bounded and continuous, and in
particular, if the state space is locally compact and second countable, it is
sufficient if (1.1 0) is satisfied wheneverfis continuous with compact support.
Initial Distribution and Transition Function of a Markov Process
Let {x(t), ~(t), tEl} be a Markov process with measurable state space
(X, Pl). If I has a first point to, the distribution of x(to) is called the initial
distribution of the process. If there is a stochastic transition function q with
parameter set I (Appendix VI.3) such that for s and t in I with s < t and for
A in Pl,
P{x(t)EAI~(s)} = q(s,x(s);t,A) a.s., (l.ll)
then x(o) is said to have transition function q. This equation implies, when
the operation E{ -Ix(s)} is applied to both sides, that the right side is almost
surely P{x(t)EAlx(s)}. Thus (l.ll) implies that {x(o),~(o)} is Markovian.
Recall that by definition of transition function with parameter set I the
Chapman-Kolmogorov equation
q(s, ~; u, A) = Ix q(t,,.,; u, A)q(s, ~; t, d,.,) (s < t < u) (1.l2)
is satisfied. Observe that in the following equation for iterated conditional

expectations (see Section 1.4),
P{x(u)EAI~(s)} = E{P{X(U)EAI~(t)}I~(s)} a.s. (s < t < u), (1.l3)
conditioning by ~(s) and ~(t) can be replaced, respectively, by conditioning

542 2. VI. Markov Processes
by x(s) and x(t), in view of (1.1'), and that as so modified (1.l3) can be
written in the form
q(s,x(s);u,A) = L q(t,'1;u,A)q(s,x(s);t,dr,) a.s., (1.l4)
which is (1.l2) up to the "a.s." in (U4). Thus the Chapman-Kolmogorov

equation amounts to a property of conditional expectations combined with
the Markov property.
Absolute Probability Function of a Markov Process
If q is a stochastic transition function with parameter set I and state space

(X, f!l), an absolute probability function for q is defined as a function (t, A) t-+
Jl(t, A) from I x X into [0, I] for which Jl(t,·) is a probability measure and
Jl(t, A) = Ix q(s, ~; t, A)Jl(s, d~) (s < t). (US)
If {x(·), ,?(.)} is a Markov process with transition function q and parameter

set I, the function (t, A) t-+ Jl(t, A) defined by
Jl(t,A) = P{x(t)eA} [(t,A)eI x X] (U6)
is an absolute probability function for q and is called the absolute probability

function of the Markov process. This absolute probability function and the
transition function together determine the finite-dimensional distributions
of the process: if t 1 < . . . < tn are parameter values,
P{x(t)eAj ,j5;n} = ( Jl(tl,d~l) ( q(tl'~1;t2,d~2)'"

JA 1 JA 2
(U7)
fAn
q(tn-l ~n-l ; tn, d~n)'
In particular, if Ihas a first point to, and if v is the distribution of x(to),
Jl(t, A) = I q(to, ~; t, A)v(d~) (U8)
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
1. 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 I 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
I has a first point.
Notation Involving the Initial Distribution
When I has a first point and the Markov process context requires the
identification of the initial distribution, two systems of notation will be used.
We shall sometimes identify the initial distribution v by writing p. and E.
for probabilities and expectations, specializing to P~ and E~ when v is
supported by {~}; in the latter case the process will be said to have initial
point ~ or to be a process from ~. Alternatively, we may denote probabilities
and expectations by P and E but identify the initial distribution by a sub-
script in the process notation, writing x.(o) for the process and specializing
to x~(o) if the process has initial point~.
The Stationary Context
If I = 7z.+ and if there is a stochastic kernel (~,A)t--+p(~,A) for which
q(s,~;s+ I,A)=p(~,A)
then the transition function value q(s, ~; s + t, A) does not depend on s for
any value of t = 1,2, ... , and in fact according to the Chapman-Kolmo-
gorov equation, (s, A) t--+ q(s, ~; s + t, A) is the tth kernel iterate of p(o, 0). In
this case {x(o), ff(o)} is said to have stationary probabilities and to have
transition function p. If I = IR+ and if q is stationary (Appendix VI.3), that
is, ifthere is a stationary continuous parameter transition function (t,~, A) t--+
p(t,~, A) for which
q(s, ~; s + t, A) = p(t,~, A)
then {x(o), ff(o)} is said to have stationary transition probabilities and

to have stationary transition function p. In this context recall that the
Chapman-Kolomogorov equation becomes
p(s + t,~, A) = Ix p(t, 1], A)p(s,~, dl]) (0 < s, t) (1.l9)

and equation (1.15) linking absolute probability and transition functions
1 e,
becomes
J1.(s + t, A) = p(t, A)J1.(s, de) (s ~ 0, t > 0); (1.20)
here s = 0 yields the version of (l.l8) in the present context, since J1.(0, 0) is
the initial distribution.
20 Choice of Filtration
Let {x(o), §"(o)} be a Markov process with an arbitrary linearly ordered
parameter set
§"o(t) = §"{x(s),s ~ t},

§"o(t) = (j algebra generated by §"o(t) and the null sets,
§"o = y §"o(o),
§"'(t) = (j algebra generated by §"(t) and the null sets.
The larger the (j algebras of the filtration §"(o) the more significant is the
assertion that {x(o), §"(o)} has the Markov property. The minimal choice of
filtration §"(o) to which x(o) is adapted is §"o(o); operating on both sides of
(l.l) with E{ -I§"o(s)} shows that {x(o), §"o(o)} is Markovian. In the other
direction it is trivial that {x(o), jO'(o)} is Markovian. Thus
§"o(t) c §"(t) c §"'(t), §"o(t) c §"'(t), (2.1)
and the filtrations §"o(o), §"o(o), §"(o), §"'(o), some of which may be identical,
all make x(o) Markovian. The following lemma will be used in Section 7.
Lemmao If §"(t) c §"o for some parameter value t, then §"' (t) c §"o (t).
To prove the lemma, consider the class r of bounded random variables

Y for which
E{yl§"(t)} = E{yl§"o} a.s. (2.2)
If Yl is bounded and §"o(t) measurable, and if Y2 is bounded and is mea-

surable with respect to the (j algebra /P generated by the null sets and
§"{x(s),s ~ t}, thenhY2Er because
3. Integral Parameter Markov Processes with Stationary Transition Probabilities 545
Since r is a linear class which is closed under bounded almost everywhere

convergence, r includes the bounded random variables measurable with
respect to ~~ (t) Y ~l ; that is, r includes the bounded ~~ measurable random
variables. In particular, if y is bounded and ~'(t) measurable, the left side
of (2.2) is equal almost surely to y, and (2.2) therefore implies that y is
~~(t) measurable; that is, ~'(t) c ~~(t), as was to be proved.
3. Integral Parameter Markov Processes with Stationary

Transition Probabilities
Let (X,!!l') be a measurable space, let fJ. be a probability measure on !!l', and
let (~,A)l-+p(~,A) be a stochastic kernel with state space (X,!!l') (Appendix
VI.l). Let {x(n), ~(n), nE Z+} be a Markov process with initial distribution
fJ. and stationary transition probabilities, with transition function p (Section
I) so that
PI'{x(n + I)EAI~(n)} = p(x(n), A) a.s., (3.1)
and in particular,
P~{x(j)EAj,j::; n} = lAo(~) 1P(~,d~1) ·1 P(~n-l,d~n)'

AI
..
An
(3.2')
Abusing language somewhat we shall describe this Markov process from

now on as a Markov process with stationary transition function p. The
evaluation (3.2) determines the finite-dimensional distributions of the process
and thereby determines PI' on ~{x(n),nEZ+}, because the latter u algebra
is generated by the algebra U:'=o~{x(m),m::; n}. Conversely, as noted in
Section I, to a specified measurable state space, initial distribution, and
transition function corresponds a Markov process {x(n), .#(n), n E Z +} with
the specified initial distribution and transition function, under a slight
restriction on the state space. Here the random variables of the process are
defined on the space Q of functions from Z+ into X, x(n) is the function
value at n, and (3.2) is now a definition. Since the parameter space is Z +,
the Tulcea generalization of the Kolmogorov extension theorem shows that
no restriction need be imposed on the measurable state space. We shall
sketch the construction of the process. Each point w of Q is a sequence
(~o, ~1' . . . ) of points of X, x(n, w) = ~n, and .#(n) = ~{x(O), ... , x(n)},
.# = Y: .#(n) = ~{x(n),nEZ+}. The measure PI' is defined on.# as the
extension to.# of the measure on finite-dimensional product sets determined
by setting P{x(j)EAj,j::; n} equal to the right side of (3.2). (The Tulcea
proof that the extension exists is omitted.) This construction has the advan-
tage that the space (0, #) is defined without reference to J.l or p, an advantage
illustrated by the fact that if X contains the singletons, the function 1---+e
p~{A} for A in # is X measurable and for arbitrary J.l
(3.3)
because these assertions are true when Ais a finite-dimensional product set.
If {x(o), §(o)} is an integral parameter Markov process on a probability
space (0, §, P,..) with the above state space and transition function, the map
<jJ: W 1---+ [x(O, w), x(l, w), ... ] is measurable from (0, §) into (0, #), and
PIJ = <jJ-l(PIJ) in the sense that <jJ-l(#(n» = §{x(j),j ~ n} c §(n), <jJ-l(#)
= §{x(j),jeiz:+} c §, and PIJ{<jJ-l(A)} = PIJ{A} for he#. In view of
these facts it is usually correct as well as convenient to prove theorems for
discrete parameter Markov processes by proving them for the special ones
as just defined on (0, F).
Arbitrary Initial Measures
Observe that the preceding discussion remains valid if J.l(X) :1= I, which
implies that prO} :1= l. To avoid pathology, we shall always assume that J.l
is the sum of a sequence of finite measures, but we allow J.l to be infinite
valued. All that is needed is the acceptance of the idea that in probability
theory the measure on the space on which random variables are defined
need not be a probability measure; that is, prO} need not be I! Whenever
P may not be a probability measure, this fact will always be mentioned,
however.
Substochastic Transition Functions
If pis substochastic, the state space (X, X) can be enlarged (Appendix VI.l)
to a state space (XiI,XiI) by adjoining an absorbing state a,
a "trap", to
obtain a stochastic transition function extendingp to (Xo, Xc). The adjoined
point ais absorbing in the sense that if a sample path reaches the point, the
path stays there from then on. The first time Tthat ais reached is an optional
time, the "lifetime" of the process, equal to + 00 for a path that never
reaches a. If convenient, the state a can now be dropped, so that to any
initial distribution corresponds a process x(o) for which
P{x(n) is defined} = P{x(n)eX} ~ l.
In discussing processes with substochastic transition functions it is always

to be understood in writing x(n) when the trap point has been dropped that
4. Application of Martingale Theory to Discrete Parameter Markov Processes 547
there is an unwritten convention limiting the context to the set on which

x(n) is defined, the set on which n is strictly less than the process lifetime.
Theorem (Strong Markov Property in the Discrete Parameter Context). Let

{x(n),ff(n),neZ+} be a Markov process with stationary transition function
p, and let S beafinite-valuedoptional time. Then {xeS + n), ff(S + n),neZ+}
is a Markov process with transition function p and initial distribution the
distribution of xeS).
Since S + n is optional as well as S, all that must be proved is that if

A e f![, then
P{x(S + l)eAlff(S)} = p(x(S),A) a.s. (3.4)
Since {S = n} e ff (S), the left side of (3.4) is equal almost everywhere on

{S = n} to P{x(n + I) eA jx(n)}, which itself is almost surely p(x(n), A), as
was to be proved.
If S is identically constant in (3.4), this equation is equivalent to the
Markov property of {x('), ff(')} as stated in terms of a transition function.
The fact that this relation holds when S is optional is called the strong
Markov property.
Extension of Theorem 3
A slightly more general version of (3.4) is obtained by observing that the

proof of (3.4) also shows more generally that if S is not necessarily finite
valued, then (3.4) is true almost everywhere On the set {S < + oo}. Still more
generally, if pis substochastic, if x(') has lifetime S', if A e f![, and if S $ S'
almost surely, then the proof of (3.4) shows that this relation is true almost
everywhere on the set {S < S'}. A still more general version of Theorem 3
in which S + I is replaced by a random variable measurable relative to ff(S)
is useful in the continuous parameter context and in that context will be
proved in Section 9. The reader is invited to formulate and prove the counter-
part of Theorem 9 in the present context.
4. Application of Martingale Theory to Discrete Parameter

Markov Processes
Let (X,f![) be a measurable state space, and let {x(n),neZ+} be a Markov
process with this state space, from a point of X. It is supposed that the
process has stationary transition probabilities, with a transition function p.
Call a function u from X into iR superharmonic [harmonic] [[subharmonic]]
relative to p if u is f![ measurable, if p(', lui) < +00, and if p(',u)$u
548 2.Y!. Markov Processes
[p(., u) = u] [[p(., u) ~ u]]. A trivial computation shows thatthecomposed

process {u[x(n)] , n ~ k} is a supermartingale [martingale] [[submar-
tingale]] relative to ~(.), with ~(n) = ~{xo, ... ,xn } ifu is superharmonic
[harmonic] [[subharmonic]] and if E{lu[x(n)]/} is finite for n ~ k.
Observe that this expectation is finite when n = 0 if u is finite at the initial
point of the process and that this expectation is finite by hypothesis when
n = I, and therefore if u is superharmonic and positive, this expectation
will be finite when n > I. According to the martingale theory convergence
Theorem III.l3, we conclude that limn-o cc u[x(n)] exists and is finite almost
surely if u is positive and superharmonic.
EXAMPLE (Boundary limit theorems in potential theory). Let D be an open

e
Greenian subset of IR N , and for each point of DIet D(e) be an open rela-
e.
tively compact subset of D containing Define
p(e,A) = JiDw(e,A).
Here JiDW is harmonic measure; so this measure is supported by oD(n It is
e
supposed that D(e) depends on in such a way that p(., A) is Borel measur-
able when A is a Borel subset of D. The classical superharmonic, harmonic,
subharmonic functions are, respectively, superharmonic, harmonic, sub-
harmonic relative to this transition function. The same procedure in the
context of parabolic potential theory makes the superparabolic, parabolic,
subparabolic functions, respectively, superharmonic, harmonic, subharmon-
ic relative to a transition function defined in terms of parabolic measure.
Observe that in this case the sample sequences move in the direction of
decreasing ordinate values.
We return to the classical context, and to simplify the situation we make

the hypothesis that D is bounded. We shall choose D(e) in two ways. First
let D. be an increasing sequence of open relatively compact subsets of D
e)
with union D and with Dn c Dn + l' Define D( = Dk for k = min {n: E Dn }. e
Then p as defined above is a stochastic transition function, and the corres-
ponding Markov process x(·) from a point x(O) of D determines sample
sequences which run through successive boundaries of D. toward oD.
Furthermore each coordinate function u of IR N is harmonic and bounded on
D; so u[x(·)] is a bounded martingale, and it follows that Iim n-o cc u[x(n)]
exists almost surely. Hence Iim n-o cc x(n) exists almost surely; that is, almost
every x(·) sequence path converges to a boundary point of D. Next we apply
this technique to a different choice of D(e). This time let t: be a strictly
positive number, and choose D(e) = B(e, t: 1\ (Ie - oDI/2», so thatp(e,·) =
1lD(~)(e, .), that is, p(~,.) is the uniform probability distribution on oD(e). To
prove that with this choice of function p(., A) is Borel measurable when A
is a Borel subset of D, it is sufficient to prove that p(.,f) is continuous when
jis continuous and bounded on D, and this continuity of p(.,f) follows from
4. Application of Martingale Theory to Discrete Parameter Markov Processes 549
the fact that p(e,f) is the unweighted average of f on aD(e) and that the
e.
radius of D(e) varies continuously with With this choice of D(e) the fact
that limn-+ oo = x( 00) exists almost surely is proved as before, and the limit
must be on aD because
Ix(n) - aDI
jx(n + 1) - x(n)1 = t: /\ 2 a.s.
The distribution of x(oo) is a measure ltD [x(O), 0] on aD. It will be shown

later that for both choices of D(e) this measure is the harmonic measure
ltD [ x(O), 0], and in fact we shall show much more than this, but now we
verify this assertion only for aD regular. Let </J be a continuous function
from aD into R Then Hq, is a bounded harmonic function on D with bound-
ary limit function </J; so Hq,[x(o)] is a bounded martingale closed (Theorem
III. 14) by its almost sure limit Hq,[x(oo)], Hence
ItD[x(O),</J] = E{</J[x(oo)]} = Hq,[x(O)] = ItD[X(O),</J],
and since </J is arbitrary, ltD = ltD' as asserted.

For both choices of D(e) if u is a positive superharmonic function on D,
the composed process u[x(o)] is a positive supermartingale except that the
parameter value 0 should be omitted if u[x (0)] = + 00. Thus according to
the martingale theory convergence Theorem I1LI3, a positive superharmonic
function has a finite limit on almost every x(o) path to the boundary; this is
a Fatou-type boundary limit theorem. Observe that for the second choice of
D(e) when t: is small, the x(o) paths are sequences whose successive points
are close together, and this fact suggests that the above results are valid for
suitable continuous paths instead of sequences. This is true: what we have
proved is valid when properly interpreted for Brownian motion continuous
paths from a point of D to the boundary. In fact for both of the above
choices of D(e) an x(o) sequence can be identified with a sequence of points
tending to a boundary point of D along a Brownian motion path to the
point. The probabilistic evaluation of harmonic measure as a Brownian
motion hitting distribution, the boundary limit theorem for positive super-
harmonic functions, and the supermartingale significance of the composition
of a positive supermartingale with Brownian motion are parts of Theorem
IX.7. The identification of harmonic measure with a Brownian motion
hitting distribution is made in Theorem IX. 13(a). The latter identification
carries with it the fact that the hitting distribution on aD(e) is ItD(~)(e, 0)
which implies that for each choice of D(e) above a sequence x(o) with the
assigned distribution can be obtained by choosing x(l) as the first hitting
place on aD(x(O» by a Brownian motion path from x(O), x(2) as the first
hitting place thereafter on aD(x(l» and so on.
In the parabolic context the discussion is changed only in that "harmonic"
is replaced by "parabolic," and "Brownian motion" by "space-time
Brownian motion." If h [h] is a strictly positive harmonic [parabolic] func-

tion, harmonic [parabolic] measure can be replaced by h-harmonic [h-
parabolic] measure throughout the discussion to derive corresponding
results in relative contexts. The continuous path processes for which the
results are valid are the conditional [ space-time] Brownian motion processes
discussed in Chapter X, where the counterparts of the classical context
results are proved.
5. Continuous Parameter Markov Processes with Stationary

Transition Probabilities
Let (X,~) be a measurable space, let Jl. be a probability measure on X, and
let (/,~, A) 1-+ p(/,~, A) be a stochastic continuous parameter transition func-
tion (Appendix VI.3). Let {X(/), ~(/), IE IR+} be a Markov process with
initial distribution Jl. and stationary transition probabilities, specifically with
transition function p (Section I), so that p satisfies the Chapman-Kolmo-
gorov equation: for A E~, S > 0, I > 0,
p(s + I,~,A) = Lp(t''7,A)P(S,~,d'7)' (5.1)
and for s ~ 0, I > 0,
P,,{x(O)EA} = Jl.(A), P,,{x(s + I)EAI~(s)} = p(/,x(s),A) a.s. (5.2)
We shall describe this Markov process from now on as a Markov process

with stationary transition functionp. If 0 = 10 < ... < tn and AjE~,
P,,{x(t)EAj,j ~ n}
= r Jl.(d~o) JAr P(/l,~o,d~l)'" JAnr p(tn -

JA o
tn-l,~n-l,d~n), (5.3)
l
and in particular,
P~{x(t)EAj,j ~ n}
= lAo(O r p(tl,~,d~l)'" r p(tn-tn-l'~n-l,d~n)' (5.3')

JA l JAn
The evaluation (5.3) determines the finite-dimensional distributions of x(·)
and thereby determines P" on ~ {x(t), tE IR+}. Observe that the left side of
(5.3') defines an ~ measurable function of ~ whose integral with respect to
Jl. is the left side of (5.3).
Throughout the rest of this section the measurable state space will be
5. Continuous Parameter Markov Processes with Stationary Transition Probabilities 551
Polish, coupled with its Borel subsets. Given a Polish state space (X, ~), a
probability measure f..L on~, and a stochastic transition functionp on (X, ~),
there is a canonical Markov process with state space (X, ~), initial distribu-
tion f..L, and transition function p. We sketch the definition of this process
(cf. Section 1.10). The space 0 is the space of functions OJ from ~+ into X,
and x(t,OJ) is the value of OJ at t. Define #(t) = ~{x(s),s ~ t}, # =
YI"20#(t). The measure P/l on # is determined by defining P/l{x(t)EA j,
j ~ n} by the right side of (5.3), and this definition is extended to # using
Kolmogorov's theorem. The measure P/l is then completed, thereby enlarging
ff to ff/l' and finally #;.(t) is defined as the (1 algebra generated by #(t) and
the P/l null sets. The process {x(·), #;.(.)} is the desired canonical process on
the probability space (0, ff/l' P). Observe that if {x(·), ~(.)} is a Markov
process with this state space (X,~) and transition functionp, on a probability
space (n/l'.9'", P/l)' and if 4> maps nil into 0 by 4>(w) = OJ = x(·, w), then in
view of our convention that process probability measures are complete,
and in addition 4> -1 (#;.(t» c ~(t) if ~(O)containsthe P/l null sets. Moreover
(5.4)
These relations all follow from the fact that for t. and A. as above, if A =
{x(t)EAj,j ~ n}, then 4>-I(A)E~(t"), and (5.4) is true for this set A.
e
If AE #, the function f-+ P~(A) is ~ measurable, that is, Borel measur-
able, and
(5.5)
because (5.3) is valid for F/l' and therefore the assertion is true for in ~ {x(tj ),
j ~ n}, hence true for A in the algebra U~{x(tj),j ~ n} (where the union
is over all finite parameter sets), and finally the assertion is true for A in
#. From the general theory (Appendix VI.2) we know that if for each the e
measure P~ is restricted to the class 0/1(#) of universally measurable sets
over ff or even to the possibly larger class 0/1;(#) of universally measurable
sets over # relative to the kernel (e, A) f-+ P~(A) on ~ x #, then the function
p. {A} is universally measurable on X, and (5.5) remains true. In expectation
language the function E. {x} is ~[O/I(~)] measurable if x is the indicator
function of a set in # [0/1;.(#)], and therefore by the usual approximation
procedure if x is # [0/1;.(#)] measurable and is positive or absolutely P/l
integrable, then E. {x} is ~[O/I(~)] measurable and
(5.6)
552 2.YI. Markov Processes
Observe that (5.4) can now be interpreted as an integrated version of
(5.7)
and the right side of (l.l') can be expressed in the form Ex(.) {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
EI'{I/>-l(X)} = i E~{I/>-l(X)}JL(d~),
x (5.8)
where Aand x are as above and l/>-l(X) = x(I/». Here P~ is the probability
measure, and E~ is the corresponding expectation operator for an arbitrary
Markov process with state space (X, X), transition function p, initial point
~, on a probability space (Q~,~, P~), and the set Q~ may vary with ~.
6. Specialization to Right Continuous Processes

Suppose in Section 5 that the transition function p has the property that for
each point ~ in the Polish state space X there is a probability space (Q~, ~' P~)
on which there is a right continuous process with initial point ~ and transition
function p. We can then define the associated right continuous process, in
n
which is the class of right continuous functions from IR + into X, x( t), #,
#(t), I/> are defined as in Section 5 (with this change in the definition of n,
and p~{A} for A in # is defined by
(6.1)
The measure P~ is then completed, thereby enlarging # to~. This definition

of P~ implies that P~ satisfies (5.2) (with JL in that equation supported by
{~} ), and it follows as in Section 5 that the function ~ t-+ P~ {A} is X measur-
able when Ae#. The measure PI' defined by (5.4) on # makes {x(·),#(·)}
a right continuous Markov process with initial distribution JL and transition
function p. We have thus proved that there is such a process for every JL.
lt is now clear that everything in Section 5 is true in the present context in
n
which the members of 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
h = {w: x(s,w)eA for some s:::;; t} e#,,(t). (6.2)
It now follows from (5.4) that for any almost surely right continuous
Markov process x(o) on a probability space (0, ff, P) with state space (X, ,q[),
initial distribution J.L, and transition function p the probability of hitting A
at some time:::;; t, that is, the probability that the entry time T of A is at
mostt,isP{T:::;; t} = P,,{4>-1(h)} so thatthis probability does not depend on
the choice of probability space. If J.L is supported by g}, this probability
is JH4> -1 (h)} and is universally measurable as a function of ~. Finally the
probability for general J.L is the integral JxJH4>-1(h)}J.L(d~). 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~{SUPtEIU[X(t)] > c}Jor I an interval and u a Borel measurable
function from X into R
(b) E~{SUPtEIU[X(t)]} if [notation of (a)] u:<:: 0 or if this expectation
with u replaced by lui is finite for all ~.
(c) P~{limSUPttTU[X(t)] > c} for u as in (a) and for Tthe hitting time
of an analytic subset of X by x(o).
(d) E~{lim SUPttTu[x(t)]} if [notation of(c)] u :<:: 0 or if this expectation
with u replaced by lui 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
n
section can also be carried through with the space of continuous functions
from IR + into X.
The Hitting of an F;. Set
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 x~(o) be a right continuous Markov process from ~ with the
given transition functionp, and recall that the sp~ce on which x~(o) is defined
may depend on ~. Consider the function
~I--+P{x~(t)eA for some t in I}. (6.3)
According to the discussion we have given, the function (6.3) is universally

measurable. We shall now show, under further hypotheses imposed on A
and the transition function that the function (6.3) is even Borel measurable
and that the proof of this Borel measurability does not need the theory of
analytic sets. This fact means that some later results in this book can be
obtained without the (unpalatable to some readers) invocation of analytic
sets. Abstention from analytic set theory makes stochastic process theory
554 2.YI. Markov Processes
much less elegant and sadly incomplete, however. Observe that if x~(') is as
above and if r is a countable subset of parameter values, the function
ef-+P{x~(t)eA for some t in r} (6.4)
is Borel measurable. In particular! if A is open and if r is a countable dense

subset of I including both endpoints, the functions in (6.3) and (6.4) are
e
identical. Now suppose that for each the process x~(') can be supposed
continuous. In this context we shall now show that the function (6.3) is
Borel measurable when A is an ~ set. It is sufficient to prove this Borel
measurability when A is closed. Let Bn be for n ~ 1 the open set of points
at distance < lin from A. Then A is hit by x~(') in the parameter interval I
if and only if B n is hit by x~(') in the parameter interval I for every n. Hence
the function (6.3) is the limit as n -+ 00 of (6.3) with A replaced by B n ; so
the function (6.3) is Borel measurable.
Observe that if x~(·) above is supposed merely almost surely right contin-
uous rather than right continuous, or almost surely continuous rather than
continuous, then the conclusions remain valid and the reasoning is un-
changed aside from the acknowledgement of exceptional null sets.
7. Continuous Parameter Markov Processes: Lifetimes and

Trap Points
Recall that a function defined on a subset A of a measurable space is said
to be measurable if A is measurable and if the function is measurable with
respect to the class of measurable subsets of A.
e, e,
Let (t, A) f-+ p(t, A) be a substochastic stationary transition function
with state space (X, .¥). The Chapman-Kolmogorov equation implies that
e,
the function t f-+ p(t, X) is monotone decreasing on ]0, + oo[ for all We e.
assume throughout this discussion that limr_op(t,·, X) = 1, which implies
e, e.
that the function p(., X) is right continuous on ]0, + 00 [ for all Gener-
alizing Section 5 slightly, define a Markov process with state space (X, .¥),
parameter set ~ +, initial probability distribution j.t, and stationary sub-
stochastic transition function p as an adapted process {x( t), ~ (t), t e ~ +}
satisfying (for 0 :::; s < t and A e.¥)
P{x(O)eA} = j.t(A), P{x(t)eAI~(s)} =p(t-s,x(s),A) a.s. (7.1)
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,
e,
and the function tI--+P{X(t)EX}, equal to Ixp(t, X)Jl(de) when t > 0, is
monotone decreasing and right continuous on IR +. If 0 < S < t, the random
variable x(s) is defined almost everywhere where x(t) is defined because
P{X(S)EX,X(t)EX} = fxJl(de) Lp(t - s,Yf,X)p(s,e,drf}

(7.2)
= fxp(t,e,X)Jl(de) = P{X(t)EX}.
If there is a positive random variable S (::s; + (0) such that x(t) is defined if
and only if t < S, the random variable S is called the process lifetime. Integral
parameter process lifetimes were discussed in Section 3. The existence of a
process lifetime is not much of a restriction. In fact without the hypothesis
of the existence of a process lifetime define S by
S(w) = sup {r: r is rational, x(r)EX}
so that S is almost surely strictly positive and
P{X(t)EX} = P{S ~ t} = P{S > t}.
Define y( t) on the set {S > 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
{y(o), ~(o)} is Markovian with transition function p, initial distribution Jl,
lifetime S and is a standard modification of {x(o), ~(o)}.
If {x(o), ~(o)} is a Markov process with substochastic transition function
p and lifetime T, enlarge the state space by adjoining a single point and a
extend p to be stochastic on the enlarged space, making an absorbing a
a
point (Appendix VI.3). If now x(t) is defined as for t > 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 Jl is a probability distribution on the state
space, there is a Markov process with transition function p and initial
distribution Jl according to the following argument. Adjoin a point 0 to X
as an isolated point of X U 0, and extend p by making 0 an absorbing point.
There is then a Markov process {x(o), #(o)} with the extended state space,
the extended transition function, and the given initial distribution (supported
by X). If x(t) is replaced by its restriction x(t) to the set {x(t) E X}, the process
{x(o), #(o)} will have the properties described at the beginning of this section
and, if desired, can be modified to have a lifetime, as discussed above.
A (1 Algebra Equality for Almost Surely Continuous Markov Processes
We shall need the following intuitively obvious fact. Let x(·) be an almost
surely continuous Markov process from a point ~. It is supposed that the
state space is a Polish locally compact but not compact space. Let S be the
process lifetime. A trap point is adjoined as described above. Let' be the
adjoined point of the Alexandrov one-point compactification of the state
space. It is supposed that x(S -) = , almost surely. For t in IR+ let ~(t) be
the (1 algebra generated by the null sets of the x(·) probability space and
~{x(s),s:::;; t},anddefine~ = V,eR+ ~(t). LetB. be an increasing sequence
of open relatively compact subsets of the state space, containing ~, with
oB
union the state space, and let Sn be the hitting time of n by x(·). Then
limn-+C() Sn = S almost surely. Define <§ = YneZ+ ~(Sn)' Then we show that
~ = <§. The inclusion <§ c ~ is known from Section 1.12. To prove the
reverse inclusion, we prove that x(t) is <§ measurable for each t. In doing
this it is no restriction to identify the process trap point with ,. Then we
need only observe that x(t /\ Sn) is ~(t /\ Sn) c ~(Sn) c <§ measurable and
that x(t) = limn-+C() x(t /\ Sn) almost surely.
8. Right Continuity of Markov Process Filtrations;

A Zero-One (0-1) Law
In some contexts the desirable right continuity of Markov process filtrations

is intrinsic, as illustrated by the following theorem.
Theorem. Let {x('), ~(.) } be an 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, 'J) is continuous, or at least the process p(t, x(')J) is almost surely right
continuous. Then
(a) The process {x('), ~+(.)} is Markovian with transition function p.
(b) If for all t ~ 0 the (1 algebra ~(t) is generated by the null sets and
~{x(s),s:::;; t}, then ~+(.) = ~(').
Observation. If the state space is locally compact and second countable,

it will be clear from the proof of the theorem that f in the hypotheses need
only be continuous with compact support.
The theorem and the following proof are valid even when p is substo-
chastic. For fas in the theorem the Markov property in the form
E{f[x(s'+t)]I~(s')}=p(t,x(s')J) a.s. (t>O) (8.1)
implies when s' ! s > 0 sequentially that

9. Strong Markov Property 557
E{f[x(s + t)]I~+(s)} = p(t,x(s),f) a.s. (8.2)
in view of the hypotheses of the theorem and the dominated convergence

theorem for conditional expectations. Thus (a) is true. Under the added
hypothesis of (b), Lemma 2 implies that ~+(t) c ~(t); the reverse inclusion
is trivial; so (b) is true.
A 0-1 Law. Suppose under the hypotheses of (b) in the theorem that the
Markov process is one from an initial point. In this case the (1 algebra
~(O) = ~(O+) consists of the null sets and their complements. In intuitive
phraseology this evaluation of ~(O +) states that every sample function
asymptotic property as the parameter value tends to 0 is either almost surely
true or almost surely false. For example, if T is the hitting time by x(') of
an analytic subset of the state space, then P{T = O} must be either 0 or I.
See Section VII.6 for a discussion of this 0-1 law and its application in the
context of Brownian motion.
9. Strong Markov Property

The following continuous parameter version of the strong Markov property
indicates possible strengthening of the discrete parameter version in Section
3, but we shall not need such a strengthening. Recall (from Sections 11.1 and
11.2) that if T is optional for a filtration ~(.), then ~+(T) = ~(T +) and
that if S is an ~(T) measurable random variable and if S ~ T, then S is
optional. Recall also that if x(') is a process with parameter set ~+ and state
space the extended reals, and if 0 ~ S ~ + 00, then the notation x(S) refers
to the function defined on the set {S < + oo} as x(S) and defined as 0 else-
where. We also adopt the convention that if p is a continuous parameter
transition function, then p(O, " A) = I A for A a measurable state space subset.
Theorem. Let p be a continuous parameter substochastic transition function

with a Polish state space, and suppose that p has the following properties:
(a) e
If is a point of the state space, there is a right continuous Markov
process x~(') with transition function p and initial pointe.
(b) If f is a bounded continuous function on the state space (or merely
continuous with compact support if the state space is locally compact
and second countable) and if t > 0, the function p(t, ',f) is continuous,
or at least the process {p(t,x~(S),f),SE~+} is almost surely right
continuous for each x~(') process in (a).
Then if {x('), ~ (.)} is a right continuous Markov process with transition
function p, if Sand T are optional times with S ~ T, if S is ~(T) measurable,
and if A is a Borel subset of the state space,
P{x(S)EAI~(T+)} =p(S- T,x(T),A) a.e. on {S< +oo}. (9.1)

In particular, when S = T + t with t a positive constant,

P{X(T+t)EAI~(T+)}=p(t,x(T),A) a.e.on{T< +oo}. (9.2)
Observation (1). Condition (a) implies that for fas in (b) the function
p(o, ~,f) is right continuous on IR+ because if x~(o) is chosen as in (a), the
function tl-+p(t, ~,f) = E{f[x~(t)]} is right continuous.
Observation (2). If ~T(t) = ~(T + t), the theorem implies that the process
{x(T + 0), ~;(o)} 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 ~(T + t) measurable, and second note that if to ~ 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,
P{x(T + to + t)EAI~;(to)} = p(t, x(T + to), A) a.e. on {T < + oo}.

(9.3)
Observation (3). If S = t v Twith t a strictly positive constant, (9.1) yields
P{x(t)EAI~(T+)}=p(t-T,x(T)~A) a.e.on{T=:;;t}. (9.4)
Observation (4). Hypothesis (a) is not weakened if x~o) is supposed only

almost surely right continuous because then there is also a right continuous
process with the other stated properties. In the same vein the following is
an alternative conclusion to the theorem: if {x(o),~(o)} is an almost surely
right continuous Markov process with transition function p, if ~(0) contains
the null sets, if Sand T are optional times with S ~ T, if S is ~(T) measur-
able, and if A is a Borel subset of the state space, then (9.1) is true. In fact
under these hypotheses the process {x(o), ~(o)} is indistinguishable from a
right continuous process also adapted to ~(o), and the theorem can be
applied to the latter process.
In proving the theorem it is no restriction (Section 7) to assume that p
is stochastic. We can also assume without loss of generality that ~(O) con-
tains the null sets because (Section 1.8) ~(o) can be extended if necessary to
make this so. Furthermore it can be assumed that ~(o) is right continuous
because (by Theorem 8) the process {x(o), ~+ (o)} is Markovian with transi-
tion function p.
It will be convenient to prove (9.1) in the equivalent form
E{f[x(S)]I~(T)} =p(S- T,x(T),f) a.e. on {S< +oo} (9.5)
whenfis as described in (b).

9. Strong Markov Property 559
The Special Case (9.2)
If S = T + t, equation (9.2) will be proved by proving first that
E{f[x([T]n + t)]I$'([T]n)} = p(t,x([T]n),f) a.e. on {[T]n < +oo}.

(9.6)
That is we prove that for A in $'([T]n)
f"I"\{[Tln < +co}

f[x([T]n+t)]dP= {
J"I"\{[nn< +co}
p(t,x([T]n),f)dP. (9.6')
It is sufficient to prove (9.6') with the integration set replaced by

A ( l {[T]n = j r n}, a set in $'(j2-"), and with this replacement [T]n can
be replaced in the integrands by j2- n so that (9.6') becomes an immediate
consequence of the Markov property of x(·). In particular, (9.6') is valid
when A is in $'(T), and with this choice (9.6') becomes the integrated
version of (9.2) when n -. 00.
The Special Case T = 0
If Zjn is the indicator function of the set {[S]n = j2 -n},

co
E{f[x([S]n)]I$'(O)} = L ZjnE{f[x(jrn)]I$'(O)}
j=O
(9.7)
=.p( [S]n, x(O),f) a.e. on {S < + 00 }.

When n -. 00, the left side of (9.7) becomes E{f[x(S)]I$'(O)} almost surely
because x(·) is right continuous, and the right side has almost sure limit
p(S, x(O),f) in view of Observation (1). Thus (9.5) is true when T = O.
General Case
Apply the first special case to find that the process {x(T + '), $'T(')} is a
right continuous Markov process on {T < + oo} with transition functionp.
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 II.2(h), but the
notation there is different) that S - T is optional for $'T(') = $'(T + .).
Since S - T is $'T(O) measurable, the second special case can be applied to
{x( T + '), $'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 1\ n is
$'(T 1\ n) measurable for all n and apply (9.5), but with the pair (S 1\ n,
T 1\ n) of optional times, to find that for A E ff'(T), so that
An =An {S:S; n} = An {T:s; n} n {S:s; n} Eff'(n) n ff'(T) = ff'(T 1\ n),
iAn
j[x(S)]dP= r p(S- T,x(S),f)dP.
JAn
When n -+ 00 this equation becomes the integrated version of (9.5).
10. Probabilistic Potential Theory; Excessive Functions

Let p be a continuous parameter substochastic transition function with
measurable state space (X, f!l). G. A. Hunt showed how a far-reaching
generalization of classical potential theory can be obtained by defining the
analogs of the classical concepts in terms of p. In this theory the role of
positive superharmonic functions is taken by the a-excessive functions. Here
a is a positive parameter, and an a-excessive function u is by definition a
measurable function from X into jR+ which satisfies
(a) e-alp(t,', u) :s; u,

(10.1)
(b) limp(t,', u) = u.
1-0
An application of the Chapman-Kolmogorov equation shows that (1O.1a)

alone implies that the function t 1-+ e-alp(t, " u) is monotone decreasing, and
it then follows readily that the limit function liml_op(t,', u) is necessarily
a-excessive.
EXAMPLES. The identically vanishing function is a-excessive for all a.

A positive constant function u = c satisfies (lO.la) for all a. Hence, if
a ~ 0 and if 0 < c < + 00, the function u is a-excessive if and only if
liml _ o p( t, " X) = I, and if c = + 00, the function u is a-excessive if and only
if liml-+op(t,', X) > O. If p is the transition function for Brownian motion in
a connected Greenian subset of IR N , it will be shown (Sections IX.6 and IX.8)
that a positive function is O-excessive if and only if it is identically + 00 or
is superharmonic. Corresponding results will be proved in Section IX.16
for a-excessive functions (a > 0).
The Hunt theory has been presented in varying degrees of generality. For
example, the theory includes classical potential theory on Greenian subsets
of IR N with regular boundaries if the following hypotheses are imposed.
HI. 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
sometimes it is necessary for adequate generality to make fE the

class of universally measurable sets over the Borel sets).
H2. The transformationft-+ p(t, .J) takes the Banach space of contin-
uous functions f on X with compact support into itself, and this
transformation has the identity as strong limit when t -+ O.
We shall discuss various aspects of Hunt theory below, as needed. A

O-excessive function is called excessive. An IX-excessive function is also
p-excessive for p > IX. If Pa(t,·,·) = e-atp(t,., .), then Pa is a substochastic
continuous parameter transition function, and a function is p-excessive
relative to Pa if and only if the function is (IX + p)-excessive relative to p. If
P is made stochastic by adjunction of a trap point to the state space, as
described in Section 7 an IX-excessive function before the trap is adjoined
remains so if defined as 0 at the trap point. A simple argument shows that
the limit of an increasing sequence of IX-excessive functions is IX-excessive.
If it is supposed that p(.,', A) is .14(IR+) x fE measurable when A is in fE,
then the role of a Green function is taken by the kernel G~ with state space
(X, fE) and positive parameter IX, defined by
(10.2)
If f is a positive measurable function on X its IX-potential is the measurable

function on X defined by
(10.3)
This IX-potential is IX-excessive because
(10.4)
and there is equality in the limit when t -+ O.

It will be shown in Section IX.17 that if the state space is a Greenian
subset D of IR N coupled with its Borel subsets and if P is the transition
function of the Brownian motion process in D, then
Thus the Hunt potential of a function f becomes the classical potential of

the measure f diN up to a multiplicative constant. A corresponding result
will be proved relating parabolic potential theory will space-time Brownian
motion.
The analysis of a-excessive functions and IX-potentials for the transition
function P is the same as the analysis of excessive functions and O-potentials

for the transition function Pa'
Invariant Excessive Functions
If u is not only (X-excessive but
e-a1p(t,·, u) = u (10.5)
for all t > 0, then u is called invariant (X-excessive. For example, if v is (X-
excessive, the function Iim l -+ CXl e-a1p(t,., v) is invariant (X-excessive. If u is
(X-excessive and if (10.5) is true for some strictly positive t, then u is invariant
(X-excessive. In fact on the one hand (10.5) is true for 2t when true for t
because if true for t, then
Pa(2t,·, u) = Pa(t, "Pa(t,·, u)) = Pa(t,·, u) = u,

and on the other hand by monotoneity of the function pi·,~, u) equation
(l"b.5) is true for t < s if true for s.
The concept of an (X-excessive function links Hunt potential theory with
martingale theory because the condition (lO.la) is precisely the condition
that if {x(·), ff(·)} is a Markov process with transition function P, then the
process {e-a1u[x(t)], ff(t), tE IR+} is a supermartingale on the parameter set
for which the process random variables have finite expectations. The condi-
tion (10.5) for an invariant (X-excessive function u is the condition that this
supermartingale be a martingale on this parameter set.
The following lemma will be useful.
Lemma. If u is (X-excessive and if

r I/n
Un = n Jo e-aSp(s,·, U 1\ n)/l (ds),
then the sequence u. is an increasing sequence ofbounded (X-excessive functions,

with limit u.
At the expense of replacing P by Pa we can assume that (X = O. Obviously

Un =:; U 1\ nand
r 1n
p(t,·, un) = n Jo p(s + t,·, U 1\ n)/l (ds).
/
(10.6)
It is trivial that u 1\ n satisfies (I O.la); so the function p(.,~, U 1\ n) is mono-

tone decreasing and furthermore (10.6) implies that this function is contin-
10. Probabilistic Potential Theory; Excessive Functions 563
uous. Hence the evaluation (10.6) implies that Un is excessive. Moreover the
e,
monotoneity of p(., U /\ m) implies that the sequence
l/n
nl-+n
J 0 p(s,·,u/\ m)/l(ds)
is monotone increasing for fixed m; so the sequence U. is a monotone in-

creasing sequence. Finally,
l/n
U ~ lim Un
n.... co
~ lim n
".... 00 J 0
p(s, ·,U /\ m)/l(ds) =U /\ m
for all m; so U. has limit U as desired.
Excessive Measures
The dual of an iX-excessive function for a transition function p with state

space (X, fE) is an iX-excessive measure, defined as a measure on f!( which
satisfies, for A E fE,
(a) e- at Ix p(t, e, A)Jl.(de) ~ Jl.(A),

(l0.7)
(b) lim
1-0 Jxr p(t, e, A)Jl.(de) = Jl.(A).
Condition (b) is not usually imposed because in most contexts it follows
from (a). Further conditions, such as (if X is topological) finiteness of Jl.
on compact sets, are usually imposed. An application of the Chapman-
Kolmogorov equation shows that (10.7)(a) alone implies that the function
on the left side of (1O.7)(a) defines a decreasing function of t. The limit
measure when t -+ 0 necessarily satisfies both conditions in (l 0.7). A 0-
excessive measure is called excessive. If Jl. is not only iX-excessive but satisfies,
for A EfE,
e- at Ix p(t, e, A)Jl.(de) = Jl.(A) (10.8)
for all t > 0, then Jl. is called invariant iX-excessive.
The Choice of State Space
In the most common Markov process setting the state space for the transition
function p is a topological space coupled with some (J algebra of subsets
including the Borel subsets. For example, the state space of Brownian motion
in an open subset D of ~N can be taken as the u algebra of Borel subsets
of D or perhaps more naturally as the u algebra of I n measurable subsets of
D (the last because the transition distributions are absolutely continuous
relative to IN)' At first glance it may seem that whatever the context, it makes
no difference which of the possible u 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 + 00 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 D of iR N ,
however, the situation is different. It will be seen (Section IX.l8) that
coupling D with its u algebra of Borel subsets is less suitable than coupling
with the much larger u algebra of those subsets of D which meet every
hyperplane orthogonal to the ordinate axis in a Borel set. (Replacing "Borel"
here by "IN measurable" would not change the classes of excessive functions
and measures.)
When the context is not otherwise unambiguous, we shall use the language
"fiE measurable excessive function" and "excessive measure on fiE" to indi-
cate the choice of fiE.
11. Excessive Functions and Supermartingales

In probabilistic potential theory the state space is usually topological, and
enough hypotheses (for example, HI and H2 in Section 10) are imposed on
the given state space and transition function to ensure the following.
(a) For any initial distribution there is a right continuous Markov
process {x(o), §,(o)} on some probability space, with the specified
initial distribution and transition function.
(b) If u is ex-excessive, the process u[x(o)] is almost surely right
continuous.
If u is a bounded ex-excessive function, the process {e-«lu[x(t)],§'(t),
t E ~+} is therefore an almost surely right continuous supermartingale, under
the convention that u[x(t)] is defined as 0 at times at least equal to the x(o)
process lifetime. Since (Lemma 10) every ex-excessive function u is the limit
of an increasing sequence of bounded ex-excessive functions, Theorem IVA
implies that for any ex-excessive u the process u[x(o)] is almost surely right
continuous with left limits. The process {e-«lu[x(t)], §'(t), t E ~+} is a
supermartingale on the parameter set for which the process random variables
have finite expectations, and ifthe expectation is finite at time to, the process
is a supermartingale on the parameter interval [to, + 00[.
12. Excessive Functions and the Hitting Times of Analytic Sets 565
12. Excessive Functions and the Hitting Times of Analytic

Sets (Notation and Hypotheses of Section 11)
Let p be a substochastic transition function, let A be an analytic subset of

the (Polish) state space, and let {x~(·), ~(.)} be an almost surely right
continuous Markov process with transition function p and initial point e.
The probability space on which the process is defined may depend on e.
Let T~ [1;~] be the hitting time of A by x~(·), [x~(t + ·n
Then lim,_ o T,~ = T~
almost surely. Let (XE ~+, let u be an (X-excessive function on the state space,
and define
(12.1)
with the convention that the integrand is 0 where T~ = + 00. According to

Section 6, the function v is universally measurable. If u is bounded, the
process {e-<Zlu[x~(t)], g;~(t), tE ~+} is a supermartingale, and the supermar-
tingale inequality (Theorem IV.3) at times 0, T~, t + T,~ yields
u(e) ~ v(e) ~ E{e-<Z('+T'~)u[x~(t + T,~)]}

= e-<Z'E{E{e-<zT'~u[x~(t + T,~)]Ig;(t)}} = e-<Z'E{v[x~(t)]} (12.2)
= e-<Zlp(t, e, v).
Moreover, when t ~ 0 the first expectation tends to v( e). Thus v is (X-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 (X-excessive functions (Lemma 10);
so v is the limit of an increasing sequence of bounded (X-excessive functions
majorized by u. Hence v is (X-excessive and is majorized by u.
If (X = 0 and u == 1, the value v(e) is the probability that an x~(·) path
e,
hits A at a strictly positive time, and p(t, v) is the probability that an x~(·)
path hits A at some time > t. Thus the condition that v be excessive$ namely
e,
that p(t, v) increase to v(e) as t decreases to 0, has a simple probabilistic
interpretation in this special case.
Suppose that (X > 0, and define the substochastic transition function P<z
by pit,e,A)=e-<Z'p(t,e,A). Suppose that u== I so that v(e)=E{e-<zT~}.
Let S be a positive random variable defined on the same probability space
as x~(·), independent of x~(·), with distribution density (relative to ld
t ~ (Xe-<ZI on ~+. Then the probability that an x~(·) path hits A at a strictly
positive time but before time Sis v(e). Equivalently, v(e) is the probability
e
that a path from of an almost surely right continuous Markov process
with transition function P<z hits A at a strictly positive time.
13. Conditioned Markov Processes

Let (X, ,q() be a measurable space, let p be a stationary substochastic transi-
tion function with state space (X, ,q(), and let h be a strictly positive excessive
function for p. The hypothesis of strict positivity is unnecessary but avoids
some technicalities and is satisfied in the applications to be made. Define
X h = {h < + oo} and
Inequality (lO.la) for excessive functions implies
(13.2)
and also implies that ph is a stationary substochastic transition function

with state space (X, ,q(). Moreover, if v is excessive for p, the function v/h
redefined as 0 on X - X h is excessive for ph. Conversely, if u is excessive
for ph, then u = 0 on X - xh, and the function vo defined as uh on X h and
+ 00 otherwise satisfies the excessive function inequality (1O.la) relative to
p. Ifv is defined as lim1-+op(t,·, vo), then v is excessive forp, and u = v/h on X h •
Let {x~(·), ~(.)} be a Markov process from ~ E X h with transition function
p, lifetime s~, ~(s) = §" {x~(r), r S s}, on a probability space (0, §", P).
Choose t > 0, and define a measure ph on ~(t) by
ph{A} = E{h[x~(t)];A} for AE~(t) (13.3)

h(~) ~ .
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 An
{s~ > t}. In particular,
ph{X~(t)EX} = ph{X~(t)EXh} =P(~(~)h). (13.4)
A Markov process with transition function ph is called an h-path process.

If x~(·)is an h-path process from ~, with lifetime st,
the right hand term in
(13.4) is the probability that st ~ t. More generally, if 0 s t 1 < ... < tn = t,
the ph distribution of x~(t 1)' ... ,x~(tn) is the distribution of x~(t1), ... ,
x~(tn)' In particular, if X is a topological space and if x~(·) is almost surely
[right] continuous under P, this discussion shows that there is a Markov
process on Xfrom~, with transition function ph which is almost surely [right]
continuous strictly before time t (on paths for which t is less than the path
14. Tied Down Markov Processes 567
lifetime), and it follows easily that there is an almost surely [right] continuous
process with initial point eand transition function ph.
In probabilistic potential theory hypotheses are imposed on the state
space and transition functionp ensuring that for any ein the state space there
e
is a right continuous Markov process x~(·) from with transition functionp
and that for such a process the composed process u[x~(·)] 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 u[x~(·)] is almost surely right continuous and therefore almost surely
right continuous for the measure ph suggests that u[x~(·)] is also almost
surely right continuous. Finally the fact that ph{X~(t)EX - X h} = 0 sug-
e
gests that almost no h-path from ever hits X - X h • Proofs of these state-
ments and conjectures will be given in more detail in the contexts ofBr.ownian
motion and space-time Brownian motion.
14. Tied Down Markov Processes

Let p be a substochastic transition function with state space (X, ~). Suppose
that there is a measure / on ~ with respect to which p(s, e,·) for s> 0 is
absolutely continuous with strictly positive density p'(s, e,·) and that p'
satisfies (identically) the Chapman-Kolmogorov equation for densities:
p'(s + t, e, 0 = Lp'(S, e, r;;p'(t, rr, O/(drr) (14.1)
e
for and rr 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 / {h = + oo} = 0 unless h is identically + 00.
Choose t > 0, and let e,rr be any (not necessarily distinct) points of X.
If x~(-) is a Markov process with initial point eand transition function p,
if we consider x~(·) in X, that is, before transition to a trap point, and if
0< SI < ... < Sn < t, the formally calculated joint density of X~(SI) =
'1' ... , 'n
X~(Sn) = given that x~(t) = rr is
This joint density can be interpreted as that ofa Markov process x~,,(·) on the
e
parameter interval [0, t[ with initial value and nonstationary transition
density (from 'I at time SI to 'Z at time Sz with 0 ::s; SI < Sz < t)
(14.3)
The joint density (14.2) is also that of a Markov process reversed in time on
the parameter interval ]0, I] with initial value" at time I and nonstationary
transition density (from (2 at time S2 to (I at time SI with 0 < SI < S2 ~ I)
(14.4)
Probabilities for x~(·) on [0, I] can be obtained from x~,,(·) probabilities by

integrating out" using as measure the distributionp(/,~,·)of x~(t). If h is an
excessive function for p and is strictly positive, replacingp by ph corresponds
to replacingp'(s'(I'(2) by P'(S,(I'(2)h«(2)/h«(I)' but the densities in (14.3)
and (14.4) are unchanged. Thus the probabilities for an h-path process x~(·)
on [0, I] for ~ in X h can be obtained from ~,,(.) probabilities by integrating
out" using as measure the distribution ph(/,~,·) of ~(/).
This discussion suggests that many h-path properties, that is, properties
of an h-path process x~(·), are independent of h. For example, if x~(·) has
continuous sample functions, it is plausible that for I almost every" the x~(·)
process fixed at " at time I can be chosen to have continuous sample functions,
and therefore (as in fact already proved in Section 13) every h-path process
can be so chosen.
15. Killed Markov Processes
Let (/,~, A) ....... p(/,~, A) be a continuous parameter stationary transition func-

tion with Polish state space X, and suppose that for every point ~ of X there
is a right continuous Markov process x~(·) with transition function p and
initial point ~. Let A be an analytic subset of X, and let T~ and L~ be, respec-
tively, the hitting time and last hitting time of A by x~(·). The function h
defined by
h(~) = P{T~ < +oo} = P{L~ > O} (15.1 )
is excessive (Section 12). If A is closed and if ~EX - A, the process x~(·)

killed at time T~, that is, the restriction of x~(·) to {T~ > I}, is Markovian with
state space X - A and transition function PI given by
(15.2)
Next suppose that A is not necessarily closed but that h is strictly positive,
and define ph(/,~, d,,) = p(/,~, dri)h(,,)/h(~). Consider x~(·) killed at L~ except
that the parameter value 0 is dropped; that is, consider X~L~' defined for each
I > 0 as the restriction to {L~ > I} of x~(t). If 0 < 11 < ... < In,
15. Killed Markov Processes 569
P{X~L/t)Edt'fj,j::; n} = P{x~(t)Edt'fj,j::; n;L~ > tn} (15.3)

= p(t 1'~' dt'f1) ... p(t n - tn- 1, t'fn-1' dt'fn)h(t'fn)·
This evaluation has a simple interpretation: X~L/) is Markovian with
(15.4)
and stationary transition function ph. That is, X~L~(·) probabilities can be
computed by computing probabilities for a Markov process from ~, with
transition function ph, and then multiplying the probabilities obtained by the
n
constant h( Thus killing a Markov process at the last hitting time of a set
leads to a conditioned Markov process in the sense of Section 13. The process
killed at L~ in the present context is trivially right continuous, verifying a
property of conditioned Markov processes derived in Section 13. Observe
that ph may be substochastic even if p is stochastic and that the distribution
of X~Lit) may not be a probability measure:
P{X~LP)EX} = p(t,~,h); (15.5)
when t tends to 0, the right-hand side tends (increasing) to the limit h(~).
Chapter VII
Brownian Motion
1. Processes with Independent Increments and State Space IR N

(a) Discrete Parameter Case
Let y(O), y( I), be mutually independent random variables with distribu-

tions qo, ql, , respectively, on IRN , and define x(n) = Loy(j), ~(n) =
~{y(O), ... ,y(n)} = ~{x(O), ... ,x(n)}. If the transition function Pn with
state space IR N is defined by Pn(~, A) = qn+l (A - ~), where A is a Borel subset
of IR N and A - ~ is the translation of A by -~, the process {x(·),~(·)} is
Markovian with initial distribution qo and successive transition functions
Po, PI' .... In fact according to the application in Section 1.7,
P{x(n + I)EAI~(n)} = P{x(n) + y(n + I)EAI~(n)}

(1.1)
= qn+l (A - x(n» = Pn(x(n), A) a.s.
If 0 ::s; n 1 < ... < nk , the increments x(n 2 ) - x(n 1 ), .•• , x(n k ) - x(n k - 1 ) are
independent random variables, and these increments are independent of x(O).
If Yo, Yl, ... is an arbitrary sequence of random variables with values in
IRN and if X n = LoYj, the joint distribution of Yo, Yl, .. , determines that of
X o , XI' .•. , and conversely. Hence two different distributions of Yo, Yl, ...
do not induce the same distribution of X O, XI' . . . . In the context of the
preceding paragraph this one-to-one correspondence between distributions
implies that if, for n ~ 0, qn is a probability measure on IRN and if Pn is defined
by Pn(~, A) = qn+l (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 n = Lo
Yj' for which Yj has
distribution qj'
(b) Continuous Parameter Case
Let {x(t), t E IR+} be a stochastic process with state space IRN and with
independent increments; that is, O::s; t 1 < ... t k implies that the increments
I. Processes with Independent Increments and State Space IR N 571
x(t 2) - x(t 1 ), ••• ,x(t k ) - X(t k - 1 ) are mutually independent. If s < t and if
q(s, t, 0) is the distribution of x(t) - x(s), the fact that the distribution of the
sum of two independent random variables with state space IRN is the convolu-
tion of their distributions implies that for 0 S; Sl < S2 < S3'
q(Sl,S3,A) = r q(S2,S3,A - 1f)q(sl,s2,drf).

JIRIN
(1.2)
Suppose, strengthening slightly the condition of independent increments,

that 0 < t 1 < ... < t k implies that the random variables
(1.3)
are mutually independent, so that x(O) is independent of the set of process

increments. If now .?i'(t) = .?i' {x(s), s S; t}, the argument used in the discrete
parameter case shows that {x(o),.?i'(o)} is a Markov process with initial
distribution that of x(O) and transition function given by
P{x(t)EAI.?i'(s)} = q(s,t,A - e) a.s. (1.4)
Equation (1.2) is the Chapman-Kolmogorov equation for the Markov

process transition function. This process is a very special type of Markov
process in that as is obvious from the discussion, or as follows readily from
(1.4), for SE IR+ the set of increments {x(t) - x(s): t > s} is independent of
the (1 algebra .?i'(s). This independence is equivalent to the mutual indepen-
dence of the random variables (1.3) for all k and choices of t 1 , ••• , t k •
Conversely, if {x( 0), .?i' (o)} is a Markov process with state space IRN and
e, e;
(Section VI.l) stochastic transition function (s, t, A) 1-+ q(s, t, A) and if
e,
this transition function can be written in the form (s, t,A)l-+q(s, t,A - 0,
where (1.2) is true, then the process {x(o), .?i'(o)} has independent increments
in the strengthened sense that for s E IR+ the set of increments {x(t). - x(s):
t > s} is independent of .?i'(s); moreover for 0 S; s < t the increment x(t) -
x(s) has distribution q(s, t, 0). Finally, if v is a probability measure on aJ(IRN),
if q(s, t, 0) is a probability measure on aJ(IR N ), and if (1.2) is satisfied, then
there is (Section VI. 1) a canonical Markov process with initial distribution
e,
v and transition function (s, t, A) 1-+ q(s, t, A - e).
We now summarize the preceding discussion in the special case of contin-
uous parameter processes with stationary independent increments. Let {x(t),
t E IR+} be a stochastic process with state space IRN for which 0 < t 1 < ... t k
implies that the random variables (1.3) are mutually independent. Suppose
also (increment stationarity) that for 0 S; Sl < S2 the distribution q(Sl,S2'o)
of X(S2) - x(s 1) depends only on S2 - S 1. If we denote this distribution by
q(S2 - Sl' 0), the family {q(s, 0), s > O} of probability distributions on IRN
satisfies the convolution equation
572 2.VII. Brownian Motion
q(s + t,A) = r q(t,A -

JiliN
Oq(s,de). (1.5)
If we define §(t) = §{x(s),s:::;; t}, the process {x(o),§(o)} is a Markov

process with a stationary transition function given by
p(t,~, A) = q(t, A - ~), (1.6)
and for SE~+ the set of increments {x(t) - x(s): t > s} is independent of
§(s). Equation (1.5) is the Chapman-Kolmogorov equation for the transi-
tion function p. Conversely, suppose that {x(t), §(t), t E ~+} is a Markov
process with stationary transition function (t,~, A) 1--+ p(t,~, 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,o). Finally to any family {q(s, o),s > O} of probability distributions
on ~N satisfying (1.5) along with a further probability distribution v on ~N
corresponds a Markov process {x(o), §(o)} with initial distribution v and
transition function (s,~, t, A) 1--+ q(t - s, A - ~).
2. Brownian Motion
Define 6(t, rO by I.XV(4.1), but in discussing transition densities it will
sometimes be more intuitive to write 6(t,~,,,,) for 6(t,,,, - ~). The variance
parameter u 2 is fixed throughout. A stochastic process w(o) is called an
N-dimensional Brownian motion or a Brownian motion in ~N if the following
four conditions are satisfied :
BM1. The parameter set is ~+. The state space is ~N.
BM2. The process has stationary independent increments. If 0 :::;; to <
to + t, the distribution of the increment w(t o + t) - w(to) has
density 6(t, 0) relative to IN'
BM3. The random variable w(O) is independent of the set of process
increments.
BM4. The process is almost surely continuous.
A Brownian motion in ~N can also be defined as a Markov process
{w(t), §(t), t E ~+} satisfying the following three conditions:
BMI*. BMI.
BM2*. The (stationary) stochastic transition function has density
6(t,~,,,,) = 6(t,,,, - ~) relative to IN'
BM3*. BM4:
Observe that BMl *-BM2* imply that for fixed s > 0 the set ofincrements
{x(t) - x(s): t > s} is independent of §(s).
The two Brownian motion definitions are equivalent in the following
2. Brownian Motion 573
sense. According to Section I, if {w(o), $'(o)} is a Markov process satisfying

BMI *-BM3*, then conditions BMI-BM4 are also satisfied, and conversely,
ifBMI-BM4are satisfied by a process w(o) and if $'(t) is defined as $'{w(s),
S s; t}, then {w(o),$'(o)} satisfies BMI*-BM3*.
Throughout this book a "Brownian motion" specified as {w(o), $'(o)} and
not otherwise delimited will mean a Markov process satisfying BM 1*- BM3*
with no further unstated hypotheses imposed on the filtration $'(0).
All sample functions of a Brownian motion can be made continuous
without affecting BMI-BM3 or BMI *-BM2* by redefining the discontin-
uous sample functions to make them continuous. Observe that if w(o) is a
Brownian motion from a point, then the N component processes are mutually
independent one-dimensional Brownian motions with the same variance
parameter as w(o).
If w(o) is a Brownian motion with variance parameter q2 and if to > 0,
the process {w( to + t), t E IR+} is a Brownian motion with the same variance
parameter as w(o) and with initial distribution the distribution of w(to). The
process {W(t/q2), tE IR+} is a Brownian motion with variance parameter I;
the processes ([w(t) - w(O)]/q, tE IR+} and {W(t/q2) - w(O), tE IR+} are both
Brownian motions from the origin with variance parameter I.
Brownian Motion with the Parameter Set IR
A Brownian motion with the parameter set IR is defined as a process {w(t),

$'(t),tEIR} which satisfies BMI*-BM3* except that the parameter set is IR
instead of IR+ and that it is no longer supposed that the filtered measure
space on which the process is defined is a probability space or even that the
probability value assigned to the whole space is finite. More precisely it is
supposed that there is for each t in IR a measure p(t, 0) of Borel sets, finite for
compact sets, with 0 < p(t, IR N) S; + 00, which is the distribution of w(t), and
probabilities are then defined as usual for a Markov process, in terms of p
and the transition density assigned in BM2*. Then for S E IR, t > 0, A E .1J(IRN),
(2.1)
Hence p(o, IR N) is identically some strictly positive constant p (S; + 00). If S

is replaced in (2.1) by So - t, we find that Pq-N t- N/2/N(A) ~ p(so, A), and
(t -+ + 00) it follows that P= + 00. Thus the context imposes the condition
that the absolute probability distribution p(so,o) be an infinite-valued
measure for all so' If we define U(11, t) for (11, t) E iRN by
(2.2)
with rx > 0, it follows from (2.1) and the Chapman-Kolmogorov equation

that u does not depend on the choice of rx. The function u(·, t) is a version
of the density dp(t, ·)/dIN of the w(t) distribution and
(2.3)
when t > O. Since the function (", t)t-+t(t, e,,,) = t(t, e-,,)
is parabolic on
e,
iR N - {( 0) }, the function U, which is Borel measurable and is finite valued
on a dense subset of iRN , has the parabolic average property and so is parabol-
ic on iRN . Under our hypotheses when SE ~ the process {w(s + t), tE ~+} is
a Brownian motion with initial distribution of IN density ti(e, s). The distribu-
tion of each increment x(t 2 ) - X(tl) with t l i't 2 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
e
easily calculated: the density of a transition from at time s to '1 at time
t < s is
u(", t)t(s - t,,,, e)
(2.4)
ti(e,s)
(Recall from Section IXVI.8 that a positive p~rabolic function on iRN is

either strictly positive or identically zero.) In terms of ordinary probabilities
a version of the distribution of {w(so + t), t E ~+} conditioned by w(so) = eo
is that of a Brownian motion from eo, and the distribution of {w(so - t),
t E ~+} under the same condition is that of a Markov process from witheo
transition density determined by (2.4). The special case of stationarity is
important: if p(t,.) = IN for all t, that is, if u == I, the process forward and
backward transition densities are the same. In this case the processes
{w(so + t), t E ~+} and {w(so - t), t E ~+} are both Brownian motions with
initial distribution IN'
Existence of Brownian Motions (Parameter Set ~+)
The conditions BM 1*-BM2* are conditions for a Markov process with state
space ~N and with a specified transition function. Hence (Section VI.5) such
a process exists for an arbitrary choice of initial probability distribution J.I.,
for example, as a canonical process on the space of all functions from ~+
into ~N. A useful additional fact is that since the distribution of the process
in question is the integral with respect to J.I.(de) of the distribution of the
e,
process with initial point it follows that there is such a process when J.I. is
an arbitrary measure on ~N, finite on compact sets, and not identically O.
In Section 3 we shall show that any process satisfying BMI *-BM2* has a
standard modification satisfying BM3*. Thus Brownian motions with
parameter set ~+ exist.
2. Brownian Motion 575
Existence of Brownian Motions (Parameter Set IR)
We show that if Ii is an arbitrary not identically vanishing positive parabolic

function on IR N , then there is a Brownian motion with parameter interval IR
having Ii as its absolute probability density function. Observe first that Ii
satisfies (2.3) by direct calculation, using the representation of Ii in terms of
minimal parabolic functions given in Section IXVI.8. Observe secondly that
if we impose the condition w(O) = eo
in addition to the other conditions to
be satisfied, the processes {W(t),tEIR+} and {w(t), -tEIR+} are to be
mutually independent Markov processes whose distributions we have
discussed above. Hence (Section VI.5) under the added condition at the
parameter value 0 a process {w(t), tE IR} exists as a canonical process on the
space of all functions from IR into IR N . The measure so defined on this
function space depends on the choice of eo,
and we integrate this measure
with respect to Ii(e o, O)IN(de o) to get a measure on the function space, and
thereby a stochastic process, which has the desired properties aside from
sample function continuity. According to Section 3, we can obtain sample
function continuity by choosing an appropriate standard modification of the
process obtained in this way.
Extension of Brownian Motion for a Finite Interval
Suppose that b > 0, that 1= [0, b], and that {w(t), t E I} is a process which
satisfies the Brownian motion defining conditions BMI-BM4 and BMI *-
BM3* except that IR+ is replaced by I as parameter set. Then the process
may not be the restriction to I of a Brownian motion process for the para-
meter set IR+, but if 0 < a < b, we now exhibit a Brownian motion {w(t),
t E IR+} such that w' (t) = w(t) for t::; a: choose any function f, strictly
increasing and continuous, mapping [a, + oo[ onto [a, b[, and define
w(t) if 0 ::; t ::; a,

w'(t) = w(a) + (t - a) 1/2 [w[f(t)] - w(a)]
if a < t < + 00.
1 [f(t) - a] 1/2
Space-Time Brownian Motion
Let ~o: (eo,so) be a point of IR N , and let w(·) be a Brownian motion in IR N

from eo'The process
with state space IR N is called a space-time Brownian motion from ~o' This
process has stationary independent increments and is Markovian relative
to the same filtration as w(·). Space-time Brownian motion with an arbitrary
initial distribution is defined in the obvious way and has these same proper-
ties. In this definition space-time Brownian motion moves downward in
iRN , 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 iRN ,
define At = {'': (11, t)EA} and At = At x {t}. The transition probability func-
tion (r, (e, s), A) ...... p(r, (e, s), A) for space-time Brownian motion has the
property that p(r, (e, s), 0) is a measure supported by A.- n and this measure
when considered as a measure on A.- r is absolutely continuous relative to
IN' with density 6(r, e, 0). Define
~=(e,s), ~= (11, t)
so that i(~,~) governs the transition density for time s - t when s > t,
p(r,~, A) = L i(~,
As - r
(11, s - r»IN (d11),
and i(~,~) = 0 when s ~ t. This context suggests that an appropriate state

space for the transition function p is iR N coupled with the u algebra of those
sets meeting every hyperplane orthogonal to the ordinate axis in a Borel
set. (Nothing in the discussion would need any change, however, if "Borel"
here is replaced by "IN measurable.")
3. Continuity of Brownian Paths
In this section it will be shown that a process satisfying conditions BM1-

BM3, equivalently, BM 1* and BM2*, has a standard modification satis-
fying BM4. Thus Brownian motions exist. It is sufficient to treat the one-
dimensional case.
(a) If x is a Gaussian random variable with mean 0 and variance u 2
and if lX > 0, then
U _lX 2
P{x ~ lX} < -exp--2 . (3.1)
lX 2u
In fact the left side of (3.1) is

2 2
(2n)-1/2 roo exp -e de < ~ roo eexp -e de, (3.2)
Jattr 2 lX Jattr 2
and the right side is equal to the right side of (3.1).

Recall that a random variable y is said to have a symmetric distribution
if P{y ~ lX} = P{y ~ -lX} for all lX (equivalently, for all positive lX). A finite
3. Continuity of Brownian Paths 577
sum of symmetrically distributed mutually independent random variables

is itself symmetrically distributed.
(b) If y(l), ... ,y(n) are mutually independent symmetrically distributed
random variables and if x(k) = L~ y(i), then
P {max x(k) ~ IX } ~ 2P{x(n) ~ IX}. (3.3)

k';;n
Let T = min {j: xU) ~ IX}. 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) ~ IX} = LP{T=j} ~ 2LP{T=j,x(n) - xU) ~ O}
k,;;n 1 1 (3.4)
S 2P{x(n) ~ IX}.
(c) If N = I and if x(-) satisfies the defining conditions BMI-BM3 of

a Brownian motion,
P {sup [x(r) - x(O)] ~ IX} ~ 2P{x(t) - x(O) ~ IX} (r rational).

r';;l
(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 ~ t. The
inequality is therefore true as stated except possibly for the countably
many values of IX 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 IX.
By symmetry, if x(r) - x(O) is replaced in (3.5) by its absolute value,
the right side of (3.5) should be doubled.
Theorem_ If x(-) is a process with the finite-dimensional distributions of a

Brownian motion, it has a standard modification with continuous sample
functions.
We can assume in the proof that the variance parameter is I and that
N = I. Applying (c) above, if m > 0, n > 0 and if rand s are rational,
mn-l
P{ sup Ix(s) - x(r)1 ~ 21X } ~ L P { sup Ix(s) - x(jjn)! ~ IX}
O<s-r<ljn j=O O<s-jjn,;;2jn
s,;;m
= mnP {sup Ix(s) - x(O)\ ~ IX} ~ 4mnP{x(2jn) - x(O) ~ IX} (3.6)

s ,;;2jn
578 2.V!!. Brownian Motion
Since the last term has limit 0 when n -. 00, the restriction to the rationals
of almost every sample function is uniformly continuous on [0, m[. In
other words the restriction to the rationals of x(', w) for w not in some null
set coincides with a continuous function Xl (', w) on IR+. Since
limE{[x(t) - X(S)]2}
/-, = 0,
Xl (.) is a standard modification of x(·) and has continuous sample functions

if x l (·) is defined, say, to be identically 0 on the exceptional null w set.
Canonical Brownian Motion in IRN
According to our conventions a Brownian motion in IR N is any stochastic

process satisfying certain distribution and continuity conditions. For some
purposes it is convenient to have a canonical Brownian motion, however,
for a specified initial distribution and variance parameter. Suppose then
that an initial distribution J.l and variance parameter (12 are specified. Let n
be the space of all continuous functions w from IR+ into IR N , define w(t,w)
= w(t) and define #" = ff{W~),tEIR+}. Then (Section 1.10) a probability
measure p can be defined on Y' making w(·) a Brownian motion with initial
distribution J.l and variance parameter (12. The process w(·) will be described
as the canonical Brownian motion for the specified J.l and (12. In the language
of Section 1.10 w(·) is the canonical process associated with every Brownian
motion with the specified initial distribution and variance parameter. In
accordance with our conventions, P is to be completed. The measure P is
a measure on the space of continuous functions and is commonly described
as "Wiener measure" because Wiener was the first to construct this measure
rigorously. It is a matter of taste and convenience whether in discussing a
e
canonical Brownian motion from a point of IRN we further restrict by n
the condition w(O) = e; the choice will be specified when it matters. We
shall not limit ourselves to canonical Brownian motions because noncanon-
ical ones arise in many contexts. The distributions of the interesting functions
defined on a Brownian motion with given initial distribution and variance
parameter do not depend on the choice of Brownian motion. For example,
the probability that a Brownian path from a point ~ hits a specified analytic
set when the parameter varies in a specified interval may depend on the
variance parameter but (Section 1.12) not on the choice of Brownian motion.
4. Brownian Motion Filtrations

According to Section V1.9, a Brownian motion {w('), ff(')} has the strong
Markov property if ff(O) contains the null sets ofthe probability space, and
this condition is unnecessary if w(·) is continuous instead of merely almost
4. Brownian Motion Filtrations 579
surely continuous. If $'1 (t) is the (1 algebra generated by $'(t) and the null
sets, the process {w(·), $'1 (.)} is still a Brownian motion. Since s < s' < t
implies that w(t) - w(s') is independent of $'t(s), the random variable
w(t) - w(s) is independent of $'t(s), and this independence implies that
the process {w(·), $'t(·)} is a Brownian motion. Thus there is no loss of
generality in assuming that for a Brownian motion {w(·, $'(.)} the (1 algebra
$'(0) contains the null sets of the probability space and $'(.) = $'+(.), that
is, $'(.) is right continuous. In particular, if {w(')' $'(.)} is a Brownian motion
with $'(t) = $' {w(s), s :s; t} and if $'1 (t) is the (1 algebra generated by $'(t)
and the null sets, then {w(·), $'1 (.)} is a Brownian motion, and (by Theorem
VI.8) $'1 (.) 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
{w(·), $'(.)} 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.
Theorem. Let {w('), $'(.)} be a Brownian motion in IR N with $'(t) generated

by $' {w(s), s ~ t} and the null sets. Define $'( + (0) = 'YrelJP.+ $'(t).
(a) Every $'(.) optional time is predictable.
(b) $'(.) is predictable; infact, if T. is an increasing sequence ofoptional
times with limit T then $'(T) = y~ $'(Tn ).
(c) Every almost surely right continuous supermartingale {x(·), $'(.)} is
nearly predictable, almost surely lower semicontinuous, almost surely
continuous if the process is a martingale.
Observation (1). In view of the martingale continuity properties proved

in Section IV.I, assertion (c) for martingales is equivalent to the assertion
that every martingale {x(·), $'(.)} with the filtration $'(.) determined by a
Brownian motion as stated in the theorem has an almost surely continuous
standard modification.
Observation (2). In (c) for supermartingales if the supermartingale is
right closable, Theorem IV.23(c) together with assertions (a) and (b) of
the present theorem implies that the x(·) sample function discontinuities
can be separated out to make a jump process.
Proofof(c) in the martingale case. A trivial argument shows that it is sufficient

to prove that (*) if x is an integrable $'( + (0) measurable random variable,
then x(t) = E{xl$'(t)} can be defined for t :s; + 00 to make x(·) a continuous
process. In proving (*) we shall use repeatedly the fact that if x. is a sequence
of random variables with L 1 limit x and if (*) is true for X n and its martingale
{x n (·), $'(.)}, then (*) is true for x and x(·). In fact, going to a subsequence
if necessary, it can be assumed that E{lxn + 1 - xnl} < r n which implies
[submartingale maximal inequality applied to !x.+ 1 (·) - x.(·)I]
(4.1)
so (Borel Cantelli theorem) for almost every w, limn_ oo xit, w) exists

uniformly in t. The limit process is an almost surely continuous version
of x(·) and can then be modified to be continuous. To prove (*), let fo,
f1 be continuous functions on IR N with limit 0 at + 00 and define cjJ by
cjJ(ex, r) = E{f. (z + r)}, for z an N-dimensional Gaussian random variable
whose components are mutually independent with mean 0 and variance ex,
and for r in IR. The function cjJ is continuous. If 0 :s; t. < t 2 and if x =
fo[w(0)]f.[w(t2) - w(t.)], then
fO[W(0)]cjJ[U 2(t 2 - t.), 0] if t :s; t.

E{xlff(t)} = fo[w(0)]cjJ[U 2(t 2 - t), wet) - w(t.)]
jfo[w(O)]cjJ[O, W(t2) - w(t 1)] = x
ift 1 < t:s; t 2
if t > t 2,
(4.2)
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 = for w(O)] D.Ii[ wet) - w(tj _ 1)],
1
where.li is continuous on IRN with limit 0 at 00 and 0 :s; to < ... < t•. It
follows (Stone-Weierstrass theorem) that (*) is true for the random variable
for f continuous on IR N (.+l) with limit 0 at 00 and therefore if x is an

integrable random variable which is a Borel measurable function of w(O),
W(t1) - w(to), ... , w(t.) - w(t._1),equivalently,ifxisanintegrablerandom
variable which is a Borel measurable function of w(O), w(to), ... , w(tn)'
To finish the proof, we need only remark that according to Section III.l4
every ff( + 00) measurable and integrable function x can be approximated
arbitrarily closely in L 1 by random variables of this special type. 0
Proof of (a). To prove that an optional time T is predictable, it suffices to

prove that T /\ b is predictable for every positive constant b, and so it suffices
to prove that every bounded optional time T is predictable. Define
x(t) = E{T - T /\ tlff(t)} = E{Tlff(t)} - T /\ t, O:s; t:s; +00. (4.3)
The process {x('), ff(')} is a supermartingale, and in view of what we have

just proved the conditional expectations in (4.3) can be chosen to make
5. Elementary Properties of the Brownian Transition Density and Brownian Motion 581
this supermartingale almost surely continuous. Moreover (Theorem IV.2)

x(T) = 0 almost surely. For n ~ I define Tn = inf {t: x(t) :S lin} to obtain
an increasing sequence of optional times for which almost surely Tn :S T,
and Tn < Ton {T > O} because x(Tn) = lin almost everywhere on this set.
Furthermore, if T' = limn....'" Tn, then almost everywhere on {T > O}
0= x(T') = E{T- T 1\ T'IF(T')};
so T = T' almost surely. Thus T. announces T if we ignore exceptional null

sets which can be eliminated by trivial modifications of T.. 0
Proof of (b). To prove that each set in F(T) is in V;' F(Tn), let x be the
indicator function of a set in F(T), and recall that we have proved above
that we can define x(t) = E{xIF(t)} for t :S + 00 to make x(') a continuous
process. Apply the conditional expectation continuity theorem and the
martingale optional sampling Theorem IV.2 to obtain
'" F(T )} = lim E{xIF(T )} = lim x(T ) = x

E{xIY a.s.; (4.4)
n n n
o n~oo n-oo
so x is V;' F(Tn ) measurable, as was to be proved. 0
Proof of (c) in the supermartingale case. According to Theorem IV.23.

assertion (c) is implied by (a) and (b). 0
5. Elementary Properties of the Brownian Transition Density

and Brownian Motion
(a) The transition density (t, ~, 11) t-+ tJ(t, ~, 11) = tJ(t, 11 - ~) satisfies the
heat equation
(5.1)
and in fact tJ(s - t, ~, 11) = G«~, s), (11, t». This relation between Brownian
motion transition density and the parabolic Green function of iRN 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 ~ in Section IX.I? 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 ofsolutions of Laplace's equation with appropriate
boundary conditions.
(b) A token of the intimate relation between Brownian motion and

e,
classical potential theory is the fact that [see l.XVII(18.2)] J~ 6(1, r,)/t(dl)
is a constant multiple of the Green function of IRN when N > 2. This relation
between Brownian transition densities and Green functions will be extended
to transition densities for Brownian motions in Green domains in Section
IX.I?
(c) A trivial calculation shows that if w(·) is a Brownian motion, then
lim,_tOP{lw(I)1 > c} = I for every c > 0, that is, lim'_tOlw(I)1 = +00 in
measure.
(d) The part of almost every Brownian path corresponding to a specified
°
parameter interval has infinite length. To prove this, it is sufficient to show
that for one-dimensional Brownian motion w(·) from with variance para-
meter 1 the part of almost every Brownian sample function corresponding to
the parameter interval [0,15] is of unbounded variation, for every 15 > 0. To
see this, define s" = 1:~ Iw(jc5jn) - w«j - l)c5jn)l, and note
Since the distribution of n t / 2 Iw(c5jn)1 is independent of n, limn_tO nlw(c5jn)1 =

+ 00 in measure, so that limn_tO E {exp ( - sn)} = 0, and since Sn increases
with n to the sample function total variation on [0, b] when n ~ 00 along
the integral powers of 2, almost every sample function has infinite total
variation on [0, b], as asserted.
(e) (N = I) Let w(·) be a Brownian motion from the origin, with
variance parameter u 2. Then E {W(S)W(I)} = u 2(s 1\ I) because if 1 > S,
E{w(s)w(I)} = E{[w(l) - w(s)]w(s)} + E{W(S)2} = u 2s. (5.3)
Conversely, if w(·) is a process with Gaussian finite-dimensional distributions

having zero means and if E{ W(S)W(I)} = u 2(s 1\ I) for some strictly positive
constant u 2 , w(·) has the finite-dimensional distributions of a Brownian
motion from the origin with variance parameter u 2 .
(f) If w(·) is a Brownian motion from the origin, define
if I> 0,
if 1 = 0.
An application of (e) to the one-dimensional component processes of y(.)

shows that y(.) has the same finite-dimensional distributions as w(·). More-
over the y(.) process sample functions are almost all continuous on ]0, + 00 [,
° ° °
and lim,_oY(I) = a.s. if 1 ~ along a countable dense set because w(·) has
this property. Hence this limit relation is true when 1 ~ unrestrictedly. Thus
y(.) is Brownian motion, and the relation between w(·) and y(.) shows that
6. The Zero-One Law for Brownian Motion 583
properties of Brownian motion for large parameter values can be translated

into properties for small parameter values and conversely. For example,
continuity of Brownian motion at 0 implies that limt -+ o tw(l/t) = 0 almost
surely, that is,
lim w(t) = 0 a.s. (5.4)

l-+tO t
This result is a version of the strong law of large numbers in the continuous
parameter context, as applied to Brownian motion.
6. The Zero-One Law for Brownian Motion

If the sets of a (J algebra of measurable sets of a measure space are all null
sets or the complements of null sets the (J algebra is called trivial.
Theoremo Ifw(o) is a Brownian motionfrom a point, the (J algebras §"1 and §"2
generated, respectively, by the null sets and
n§"{w(s),s::; t},
1>0
n§"{w(s),s ~ t}
1>0
(6.1)
are trivial.
It can be assumed that the initial point of the Brownian motion is the
origin. If A E §"1 and if t > 0, the set A is independent of the class of dif-
ferences {W(S2) - W(SI)' t::; SI < S2} and therefore is independent of the (J
algebra §" {W(S2) - W(SI), 0 < SI < S2} which, since w(O+) = 0 almost sure-
ly, together with the class of null sets generates a (J algebra including §"l'
Thus A is independent of itself and so has probability either 0 or 1. Apply
this result to the Brownian motion {tw(l/t),tEIR+} [see Section 5(£)] to
derive the triviality of §"2'
Observation. Since a Brownian motion process satisfies the conditions of
Theorem VI.8(b) after the associated filtration §"(o) is enlarged if necessary
to have §"(O) contain the null sets, it follows from Section VI.8 that for a
Brownian motion from a point the (J algebra §"1 is trivial. This proof was
not used above because a direct proof is more elementary and just as short.
The Zero-One Law for Space-Time Brownian Motion
In view of the definition ofspace-time Brownian motion in terms of Brownian

motion the direct translation of Theorem 6 into the space-time Brownian
motion context is true.
Applications. In the following applications w(o) is a Brownian motion in

IR N from the origin, and T A is the hitting time of a set A by w(o).
(a) N = 1. According to Section 5(c), lim,_oo Iw(t)1 = + 00 in measure;
so if c > 0, it follows that P{w(t) > c} > 1/4 for sufficiently large t. Hence
P{w(n) > c for infinitely many values of n in ;r} ~ t.
°
Since the condition in the braces defines an fF2 set, the probability in question
must be or 1, and so is 1, and therefore lim sUP,_oo w(t) = + 00 almost surely
because c is arbitrary. Similarly or by symmetry the inferior limit is almost
large parameter values. In particular, almost every w(o) path hits at ar-
bitrarily large parameter values and therefore also [Section 5(f) J hits at
°°
surely - 00. Thus almost every w(o) path hits each point of IR at arbitrarily
arbitrarily small strictly positive parameter values. We shall see in Section

IX.5 that when N > 1, almost no Brownian path in IR N ever hits a specified
point at a strictly positive parameter value.
°
(b) According to Theorem 6, if A is an analytic subset of IR N , the value
of P{TA = o} must be either or 1. The following examples exploit this fact.
The dichotomy suggests that a topology of IR N [iRNJ can be defined by making
a point a limit point of a set A if the hitting time of every analytic superset Al
of A by a [space-timeJ Brownian motion from the point is almost surely 1.
We shall see in Section IX.15 that this can be done (even with A 1 open in
the Euclidean topology) and that the topology so defined is the [parabolicJ
fine topology already defined in Section I.XI.l [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 IR N with vertex the origin.
°
Then P{w(t)eA} is independent of t > and is proportional to the cone
central angle. Hence, if to is a sequence of strictly positive parameter values
with limit 0,
P{w(tn)eA for infinitely many values ofn} (6.2)
is strictly positive, and it follows from (b) that P{TA = o} = 1. Actually

Theorem 6 implies the stronger result that the probability in (6.2) is 1. We
conclude that if y(t, w) is the point of B(O, 1) hit by the ray from the origin
through w(t, w), then for almost every W the sequence y(t o ' w) is dense in
B(O,I).
Cluster Values along Arcs
Let u be a function from a metric space D into a metric space D' with distance
function d'. Recall that if rjJ is a function from an interval JO, b[ into D, with
C = rjJ(]O, b[), and if the limit rjJ(O +) exists, then the closed possibly empty
6. The Zero-One Law for Brownian Motion 585
set n,>o u(I'jJ(]O, t[»- is the "cluster set," that is, the set of limiting values,
of u at I'jJ(O +) along C. A point r( is in this cluster set if and only if
liminfdl(r(,u[l'jJ(t)]) = O.
' .... 0
In (d)-(f) below, u is a Borel measurable function from ~N into a Polish

space D with metric d
I l
•
(d) If D = iR, we weaken the hypotheses on u by demanding only that

I
the set A c = {u > c} be analytic for all c in ~. Under this hypothesis
{lim sup u[w(t)] > b} = U{TAr = O} eFt (r rational);

' ....0 r>b
so lim sup,.... o u[w(t)] is F t measurable and therefore almost surely constant.

In particular, if A is an analytic subset of D and if u = lA' the set A c is analytic
for all c and we find that P{TA = O} is 0 or 1, as already observed in (b).
This special case illustrates the fact that Borel 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.I5 that the constant values here are, respec-
tively, the fine topology superior and inferior limits of u at the origin.
(e) A point r( of D is a cluster value ofu either along almost no or along
I
almost every w(o) path back to the origin because according to (d) the
probability
P{liminfdl(r(,u[w(t)]) = O}
' .... 0
is either 0 or 1. Let AI be the set of points r( for which this probability is I.

We shall see in Section IX.15 that r( is in A if and only if r( is a fine topology
I
limit value of u at the origin.

(f) The set AI defined in (e) is closed and is the cluster set of u along
almost every w(o) path back to the origin and if D is compact, I
I
P{limdl(A , w(t» = O} = 1. (6.3)
'-0
In fact AI is obviously closed so if,,1 e D I - AI, there is a neighborhood B I of
/ I
,,1 so small that if B = u-t(B ), then P{T B ' = O} = O. The set D - AI is
therefore a countable union UjB;
of open sets B;
with this property. It
follows that neglecting a null set of w( 0) paths, the cluster set of u along each
w(o) path back to the origin is a subset of AI. Furthermore, if A~ is a countable
dense subset of AI, the cluster set of u on almost every w(o) path back to the
origin includes A~ and therefore includes AI and so is AI. The set AI may be
empty, but if D is compact, AI cannot be empty, and (6.3) is true because if
A" is an open neighborhood of AI, a finite subunion of Uj B; covers D - A".
I
(g) According to Theorem 6 the value of P{lim t .... oo u[w(t)] exists} is

either 0 or I. If this probability is I, then the limit is almost surely constant,
that is, a single point of D'. In fact the set A' discussed in (f) is a singleton
in this case; so this assertion follows from (f) if D' is compact. If D' is not
compact, the assertion follows from the fact that the limit random variable
is measurable from a trivial (T algebra into a separable metric space and
therefore is almost surely constant. It will be shown in Section IX.l5 that
lim,.... o u[w(t)] = r( almost surely if and only if flim~.... o u(~) = r(.
7. Tied Down Brownian Motion

Let w~(·) be a Brownian motion on RN from ~ and let '1 be any point of RN
(possibly ~). If 0 < 51 < ... < 5 n < t the joint density of W~(51)' ... , W~(5n)
given that w~(t) = '1 is
This Gaussian joint density is that of a Markov process w~~(·) on the para-
meter interval [0, t], with initial value ~, value '1 at t, and transition density
(from (1 at time 51 to (2 at time 52' with 51 < 52 < t)
(7.2)
The joint density (7.1) is also that of a Markov process reversed in time on
[0, t] with initial value '1 at time t and value ~ at time 0 and transition density
(from (2 at time 52 to (1 at time 51' with 0 < 51 < 52)
(7.3)
Either way the N component processes are mutually independent.

When N = 1, the transition density (7.2) is Gaussian with mean and
variance, respectively,
(1(1 - 52) + '1(52 - 51) (T2[(52 - 5 1 )(t - 52)]

t- 51 t- 51
The random variable ~i5) is (for 0 ~ 5 ~ t) Gaussian, with mean and

variance, respectively,
(T2 5 (t - 5)
t
8. Andre Reflection Principle 587
The joint distribution of ~~(SI)' ~~(S2) is Gaussian with means and var-
iances as just evaluated and covariance 0"2 SI (t - S2)/t.
Suppose that N = 1 and that t is specified, and consider the process
defined by y(s) = wo(s) - swo(t)/t, 0 ~ s ~ t. The y(o) process is almost
surely continuous, and its finite-dimensional joint distributions are Gaussian
with zero means and
(7.4)
If y*(s) = ~is) - [~(t - s) + '1S ]/t, 0 ~ s ~ t, the y(o) and y*(o) processes
have the same finite-dimensional joint distributions, and it follows that there
is a choice of ~~(o), that is, a process with the specified finite-dimensional
distributions, with continuous sample functions having values ~ at time 0
and '1 at time t. In the following the notation w~~(o) will refer to such a
process on IRN except that the continuity condition may be weakened to
almost sure continuity. This process is sometimes called a Brownian bridge.
Denote expectations and probabilities for ~~ by E~~{o}, P~~{o}. If 4J is a
bounded Borel measurable function on (IRN )n and if 0 ~ SI < ... < Sn < t,
define x~ = 4J [w~(s I), ... , w~(sJ] and x~~ = 4J [ w~~(s I), ... , ~isn)]. These
are random variables defined on the probability spaces of w~(o) and ~~(o)
processes respectively. Then
(7.5)
The reader is invited to generalize this equality to a larger class of pairs

(x~, x~~).
By definition the ~~(o) finite-dimensional distributions when time is
reversed become the ~~(o) distributions. In particular, ~~(o) and ~~(o)
probabilities are the same for events that are invariant under time reversal,
for example, the event: a sample path enters a specified set at some time in
[0, t]' That is, P~~ = P;~ on the class of such symmetric events.
8. Andre Reflection Principle
Let {w(o),F(o)} be a Brownian motion in IR from the origin. Let (X be a

strictly positive constant, and let T be the hitting time of (X by w(o). Then
according to the strong Markov property of Brownian motion [see VI(9.4)]
if A is a Borel subset of IR and if A' is the reflection of A in the point (x,
P{w(t)EAIF(T)} = JA 6(t - T,(X,'1)II(d'1) = r 6(t -

JA'
T,(X,'1)II(d'1)
(8.1)
= P{w(t)EA'IF(T)} a.e. on {T~ t}.
In particular, if A = [a, + 00[, the value of each integral is t. Ignore the

last two terms in (8.1) in this case and integrate over {T ~ t} to obtain
P{w(t) > a T < t} = P{T ~ t} = P{suPs:St w(s) ~ a}.

- ,- 2 2
Since P{ w(t) ~ a, T> t} = 0, we find that
P{sup w(s) ~ a} = 2P{ w(t) ~ a}; (8.2)

s:St
that is, there is equality in (3.5). Since the left side of (8.2) is P{T ~ t},
the distribution of T is absolutely continuous relative to IN, with density
given by
(Density of the distribution of T) = (21tU 2 )-1/2 ar 32

/ exp (- 2::t). (8.3)
To derive a refinement of (8.2), suppose that A in (8.1) is a Borel subset of

] - 00, a[ and integrate over {T ~ t} to obtain
P{w(t)EA, T ~ t} = P{w(t)EA', T ~ t}. (8.4)
Since the term on the right is trivially equal to P{w(t)EA'}, we have proved
P{supw(s) ~ a, W(t)Edr,} = t(t,2a - ,,)/1 (drO (" < a), (8.5)

s:St
which implies that
P {sup w(s) < a, w(t) Ed,,} = [t(t,,,) - t(t,2a - ,,)]/1 (d,,) (" < a). (8.6)
s:St
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.
Intuitive Approach: The Andre Reflection Principle
The preceding derivations are formally satisfactory but give less insight than
the following derivation of corresponding results in JRN, results that could
of course also have been derived by the above methods. Let D be a half-
space of jRN whose closure does not contain the origin, and let ,,' [A'] be
the reflection of a point" [subset A] of jRN in the bounding half-plane 1t
of D. Let {w('),jO(·)} be a Brownian motion in jRN from the origin, and let
Tbe the hitting time of 1t by w(·). The strong Markov property of Brownian
motion implies that the process {w(T + '), jO(T + .)} is a Brownian motion
9. Brownian Motion in an Open Set (N ~ I) 589
independent of §(T);equivalently, the process {w(T + 0) - w(T), §(T + o)}

is a Brownian motion from the origin, independent of §(T). The distribution
of the latter Brownian motion is unaffected if the sample paths are reflected
in a translation of 11: containing the origin. (Here we use the fact that the
distribution of Brownian motion from the origin is spherically symmetric
about the origin and that each coordinate process of this Brownian motion is
a Brownian motion in ~ from the origin, independent of the other coordinate
processes.) Hence (8.4) is true with the present interpretation of w(o) and A',
and it follows that
('lED), (8.7)
which implies that
(8.8)
If N = I and 11: = {a}, these results reduce to (8.4)-(8.6). Observe that in

the present context if a is the distance from the origin to 11:, then (8.3) follows
because to verify (8.3) we can assume that 11: is the hyperplane giN) = a},
where ~(N) is the Nth coordinate of ~, and if W(N)(t) is the Nth coordinate
random variable of w(t), then (8.2) follows for W(N)(o) and T is now the
hitting time of {a} by W(N)(o). We shall interpret (8.8) in Section 9 as the
distribution at time t of "Brownian motion in D" from the origin.
9. Brownian Motion in an Open Set (N ~ 1)

Let D be a nonempty open subset of ~N. For each point ~ of ~N denote
by {w~(o),~(o)} a Brownian motion in ~N from~, and let S~ be the hitting
time of aD (Euclidean boundary) by w~(o). Let {w(o),§(o)} be a Brownian
motion in ~N with initial distribution supported by D, and let S be the
hitting time of aD by w(o). Denote by wD(o) the process w(o) killed at S, so
that {wD(o), §(o)} is a Markov process with state space D, initial distribution
that of w(o), and substochastic transition function p given by
p(t,~,A) = P{w~(t)EA,t < Sd. (9.1)
An almost surely continuous Markov process {z( 0), l§ (o)} with state space D
and transition function given by (9.1) will be called a Brownian motion in
D; the process {wD(o),§(o)} is a natural example. If l§(t) is the (1 algebra
generated by the null sets and §{z(s),s $ t}, then l§(o) is right continuous
according to Theorem VI.8. Depending on the context, it mayor may not
be useful to make the transition function stochastic by adjoining a trap point
toD.
Since the right side of (9.1) is at most P{w~(t)EA}, the measurep(t,~,o)
is absolutely continuous relative to IN, aetennined by a density 6D(t,~, 0). A

unique choice of this density will now be made. Let ~, '7 be points of D,
and let f( t, ~, '7) be the probability that a Brownian bridge w~,,( 0) from ~ to
" never hits oD. Define 6D as suggested by the definition of the Brownian
bridge and the definition of 6(t,~, '7) for t ::; 0:
6 ( ~ ) = {6(t,~, '7)f(t,~, '7) if t > 0, (9.2)

D t, ,'7 0 if t ::; O.
In particular, 6D(t,~, '7) = 6(t,~, '7) when D = ~N. By the symmetry remark
closing Section 7 the function 6 D (t, 0, 0) is symmetric. Equation (7.5) yields
6D(t,~, '7) = 6(t,~, '7) - limE{l{s ss}6(t - s, w~(s),,,)} (9.3)

str ~
for t > 0, and the equation is trivially true for t ::; O. The function 6D is Borel
measurable on ~ 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{ E{l{s~ss}6(t - s, w~(s), '7)I~(S~)}}
= E {1{S~ss} IN 6(t - s,(,'7)6(s - s~, W~(S~),OIN(dO} (9.4)
= E{ l{s~ss}6(t - S~, w~(S~), '7)}
so that (9.3) reduces to
6D(t,~,,,) = 6(t,~, '7) - E{6(t - S~, w~(S~), '7)}. (9.5)
This evaluation is valid on ~ x D x D. Since Iw~(S~) - '71 ~ loD - '71 when

S~ < + 00, the integrand in (9.5) is bounded uniformly for all t, ~ in D, and
'7 in a compact subset of D. Hence 6D(t,~, 0) is continuous on D and is
obviously the only continuous density for the transition probability of
Brownian motion in D. The Chapman-Kolmogorov density equation
(s > 0, t > 0) (9.6)
is true for all e, Cin D in view of the following facts:

(a) The left side varies continuously with C.
(b) The right side varies continuously with C, because the integrand does
and the integrand is majorized by the integrable function
e,
6D(s, o)(21tCT 2 t)-N/2.
9. Brownian Motion in an Open Set (N ~ 1) 591
(c) e
The equation is true for IN almost every' when is fixed because
tJD is a transition density for Brownian motion in D.
In view of the inequality tJ D ~ tJ it follows from (9.6) that tJD(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 17 a bounded function of (e, t) on D x ]0, + 00 [.
Potential Theory Significance of tJD
Let D be a nonempty open subset of [RN, define D = D x [R, and let

GD be the parabolic Green function of D. The function «e,s),(17,t»1-+
e,
GD«e, s), (17, t» is a function of S - t, 17, and in Section 1.XVII.18 a func-
tion tJD was defined by
(9.7)
In Section IX.17 we shall identify tJD as defined by (9.7) with the Brownian
transition density function tJD defined in this section. The probabilistic
evaluation of parabolic measure to be made in Section IX.13 makes the
expectation in (9.5) the solution HJ of the parabolic Dirichlet problem on
D withfthe restriction to aD (Euclidean boundary) of tJ(·,·, 17). In this light
(9.5) can be interpreted as the Dirichlet solution construction of GDdescribed
in Section 1.XVIII.I.
EXAMPLE. Let D be a half-space of [RN, define D = D x [R, and if ;'ED,

denote by r,' the reflection on r, in aD. Then [Section 1.XVII(4.3)] GD(~' r,) =
G(~, r,) - G(~, r,'); that is, if tJD satisfies (9.7), if ~ = (e, s) and r, = (17, t), and
if 17' is the reflection in [RN of 17 in aD,
e
Observe that according to (8.8), in which = 0, equation (9.8) is true with
the probability interpretation of tJDas a Brownian transition density function.
Canonical Brownian Motion in an Open Set
Let D be a nonempty open subset of [RN. Adjoin a point to D, defining a

a a
the topology of D u so that D u is the one-point compactification of D.
n w a
Let be the class of all functions from [R+ into D u with the following
properties:
w(S) = aimplies that w(t) = afor t > s.

The function w is continuous on the interval [0, S(w)[, where S(w) =

inf {s > 0: w(s) = a} and there is a left limit (Euclidean topology of IR N ) at
S(w) when S(w) < + 00.
Define w(t,w) = J)(t),.#(t) = ~{w(s),s::; t},.# = ~{W(S),sEIR+}. If P
is the completion of a measure on .# under which {w('), .#(.) } is a Brownian
motion in D, the process {w('), .#(.)} will be said to be a canonical Brownian
motion in D. If D = IR N this definition yields a canonical Brownian motion
in IR N as already defined in Section 3. One way to obtain a canonical
Brownian motion in D is to operate on a canonical Brownian motion in IR N
as follows. If S is the hitting time of the Euclidean boundary of D by the
Brownian motion, change every sample function value to at every para- a
meter value at least equal to S.
10. Space-Time Brownian Motion in an Open Set

If D is an open subset of fRN, a space-[co] time Brownian motion in D
is a space-[co] time Brownian motion with initial distribution supported
by D, killed at the hitting time of aD. The killed process is Markovian with
substochastic transition function jJ given by
jJ(t,e,A) = P{w~(t)EA,t < S~}, ~ = (~,s), (10.1)
e
where w~(') is a space-[co] time Brownian motion from and S~ is the hitting
time of aD. From now on only the space-time Brownian motion is considered
unless the contrary is stated. We shall use the space-time notation introduced
in Section 2. The measure p(t, e,') is supported by D.-to and the set function
e,
A 1-+ jJ(t, A x {s - tn for A a Borel subset of D.- t is majorized by
so the first set function is absolutely continuous relative to IN and is therefore

the integral of a density. A unique choice of this density will now be made.
e:
Following the reasoning in the Brownian motion case, let (~, s) and rj: (11, t)
be points of D, and if s > t let f(e, rj) be the probability that a Brownian
bridge w~;t(.) has the property that the space-time bridge
{[~;t(r),s - r],O::; r::; t}
from eto rj never hits aD. Define

if s > t,
(10.2)
if s ::; t.
10. Space-Time Brownian Motion in an Open Set 593
This definition of the transition density (from eto ~ in time s - t) leads to

the evaluation
(10.3)
(See the corresponding transition density derivation for Brownian motion

in Section 9). The density '1--+ ib(e,~) is continuous, and the Chapman-
Kolmogorov equation takes the form
ib(~1'~3) = f D S2
iD(~1'~2)ib(~2'~3)IN(de2)' ~i = (ej,Si), (10.4)
e3
satisfied identically for ~1 and in b with Sl > S2 > S3'
The condition that an extended real-valued positive universally measur-
able function u on b be excessive for space-time Brownian motion in b is
the validity of the inequality
JDS2
ib(~l' ~2)u(~2)IN(de2) :$ u(e 1) (10.5)
together with equality in the limit when S 2 is 1 • If in addition there is equality

in (10.5) whenever Sl > S2, the function u is invariant for space-time Brown-
ian motion.
The transition density JD of space-cotime Brownian motion is defined
by dualizing the preceding discussion and satisfies the equation
(10.6)
in view of the remarks on time reversal in a Brownian bridge at the end of

Section 7.
The Function 6 D (·,·, '1) and 6b(·,~)
Let D be a nonempty open subset of ~N (N ~ 1), and define b = D x ~.

Equation (9.6) combined with the inequality 6D :$ 6 implies that for fixed
'1 in D the function 6D (·,·, '1) is excessive for space-time Brownian motion
°
in b, invariant excessive for space-time Brownian motion in b - {('1, O)},
continuous and at the points of b - {('1,0)} with ordinate values :$0.
We shall show in Section IX.17 that 6D (s - t,e,'1) = Gb«e,S),('1,t». Even
without this identification the fact that 6D (-,·, '1) is superparabolic on band
parabolic on b - {('1, O)} follows from the fact to be proved in Section IX.8
that a space-time Brownian motion excessive function is superparabolic on
the set of points strictly below any point of finiteness of the function and that
a space-time Brownian motion invariant excessive function is parabolic on
the set of points strictly below any point of finiteness of the function. More
generally, if b is an arbitrary nonempty open subset of [RN and if ~ = (~, s),

~ = (rJ, t) are points of b, equation (10.4) together with the inequality
61)(~,~) :s; ~(s - t, ~ - rJ) implies that the function 6.6(o,~) is excessive for
space-time Brownian motion in b, invariant excessive for space-time
Brownian motion on b - {~}, continuous and 0 at the points of b - {~}
below~. We shall show in Section IX.I? that 6.6 = Of).
11. Brownian Motion in an Interval

Let J be the one-dimensional interval ]a, bL and let ~ be a point of I. Let
w(o) be a one-dimensional Brownian motion from the origin, so that w~(o) =
~ + w(o) is a Brownian motion from~. Fix t > 0, and consider the following
events. Each parameter value tj below depends on the sample function.
Oat': w~(o)first meets iJJ at a and does so before time t.
ObO': w~(o)first meets iJJ at b and does so before time t.
ObO: There exists 11 with 0 < t 1 :s; t and W~(1 1) = b.
OabO: There exist t 1,1 2 with 0 < t 1 < 12 :s; 1 and w~(t 1) = a, W~(t2) = b.
ObabO: There exist t 1 , t 2, t 3 with 0 < t 1 < t 2 < 13 :s; 1 and W~(tl) = b,
W~(t2) = a, W~(13) = b,
and so on. Then

ObO' = ObO - OaO' (\ ObO,
OaO' (\ ObO = OabO - Obt' (\ OabO, (ll.l)
ObO' (\ OabO = ObabO - Oat' (\ ObabO,
so that
Obt' = ObO - OabO u ObabO - OababO u . . . . (11.2)
The probabilities of these events are easily calculated using the reflection
principle. For example, paabO} is the probability that a w~(o) path reaches
b by time 1 after having hit a, or, reflecting the path in a at the hitting time
of a, and setting c = b - a
paabO} = P{min w~(s):s; a - c} = P{min w(s):S; a - c- 0

S$/ S$/ (11.3)
= 2P{w(t) ~ ~ - b + 2c}.
Computing the probabilities of the sets in (11.2) in this way yields

00
probn = 2LIp{w(t) > 2nc + b -~} - P{w(t) > (2n + 2)c - b +~)].
o
(11.4)
12. Probabilistic Evaluation of Parabolic Measure for an Interval 595
Just as (8.2) was strengthened into (8.5), so the condition W~(1) E d" can be
imposed on each term of (11.2) to obtain
00
pabO', w~(t) Ed,,} = L [t(1, 2ne + b - ~ + I" - bl)

o (11.5)
- t(1,(2n + 2)e - b+~ + I" - bl)]II(d,,) (" E IR)
and similarly
L [t(1, 2ne - a + ~ + la - ,,1)

00
P{OaO', w~(t)Ed,,} =
o (11.6)
- t(1,(2n + 2)e + a - ~ + la - ,,1)]11 (d,,) (" E IR)
The probability (density) that a Brownian path from ~ will be at " in I in

time 1 without having left I before that time is t(1,~,,,) less the sums in
(11.5) and (11.6), and trivial manipulation yields
L [t(1,2ne -
00
t/1,~,,,) = ~ + ,,) - t(1, 2ne + 2a - ~ - ,,)] (" E I). (11.7)

-00
The function t/ is the transition density of Brownian motion in I, defined

in Section 9, because t/(1,~,·) is continuous on l.
More generally, if D is the interval II x ... x I" with ~ = ]ajAL it is
trivial that the transition density of Brownian motion on D, that is, the
probability (density) tD(t,~,,,) that a Brownian path from ~: (~(1>, ... , ~(N»
will be at ,,: ('1(1), ... , '1(N» in D at time 1, without having left D before that
time is
(11.8)
If D = D x IR and if G6 is the parabolic Green function of D, a comparison

of (11.8) with I.XV(8.5) verifies for D the relation between the transition
density t D and the Green function G6 announced in Section 9; that is, the
transition density t D satisfies (9.7).
12. Probabilistic Evaluation of Parabolic Measure for an

Interval
Let D be an interval of IRN , and let] 1l' 12 [ be an interval of IR so that D =

D x ] 11 , 12 [ is an interval of ~N. It will now be shown that the distribution
of the first hitting point of aD (Euclidean boundary) by a space-time Brown-
ian motion from ~ = (~, s) in Dis the parabolic measure Ji6(e, .). The discus-
sion will be given for N = 1 to simplify the notation. Suppose then that
D = ]a,b[.
Hitting Distribution on the Lower Boundary of 1J

According to Section 11, the distribution has density (relative to It>
and according to I.XV(9.1), this density is that of parabolic measure on

the lower boundary.
Hitting Distribution on the Lateral Boundary of 1J

Only the hitting distribution on the segment of the lateral boundary with
abscissa value b will be considered. Let 71, be the first time a Brownian path
from ~ reaches b, considering only those paths reaching b before a, so that
in the notation of Section II
P{tbO'} = P{T,,:s; f}.
Differentiating in (11.4) yields the 71, distribution density:

1
ft-+-
f
L (2nc + b -
00
-00
~)6(f,2nc +b - ~). (12.1)
The first hit of the segment of the lateral boundary with absicca value b is
at the point (b,s - 71,); so (12.1) can be interpreted to yield the distribution
density ofthe hitting point, and comparison with equation I.XV(9.1) shows
that this density is the density of parabolic measure, as asserted.
This identification of the parabolic measure Jib(e,') with the distribution
of the first hitting point of f)1J by a space-time Brownian motion from e
will be made for arbitrary open subsets 1J of iRN in Section IX.B. The
identification gives an intuitive interpretation of the fact (Section 1XVIII. I)
that the parabolic measure of a boundary subset relative to a reference
point vanishes if the set is above the reference point.
13. Probabilistic Significance of the Heat Equation and Its Dual

If 1J is an open subset of iR N , we have defined a function db which determines
the space-time Brownian motion transition function, and we have remarked
that the identification db = Gb will be made. In particular, if D = D x ~
for D an open subset of ~N, this identification reduces to 6D (s - f,~,"O
= Gb«~, s), ('1, f». Since (Section I.XVIII.l) Gb(', ('1, f» is equal to G(', ('1, f»
less the parabolic function Dirichlet solution on 1J for the boundary function
13. Probabilistic Significance of the Heat Equation and Its Dual 597
G(o, ('7, t»loD(= 0 at (0), it is sometimes convenient to evaluate t D, in

particular, to evaluate 6», by solving the relevant Dirichlet problem. We
have already (Section 9, Example) verified the correctness of this evaluation
of 6» when D is a half-space and (Section 11) when D is an interval. In these
examples the essential point is that the differential equation method ofimages
which leads to the Green function is the counterpart of the probabilistic
Andre reflection principle which leads to the Brownian motion transition
function.
In the physical context the function ('7, t)~6D«~'S),('7, t» is the temper-
ature at time t at the point '7 due to a heat source at ~ activated at time s.
At every time t the boundary aD/ of the N-dimensional set {'7: ('7,t)eD}
is held at temperature O. Alternatively, the context is that of a substance
diffusing from a point source at ~, starting at time s. At every time t the
boundary aD/ is an absorbing barrier, and tD«~'S),('7,t» is the density of
the diffusing substance at time t at the point '7. In these contexts the derivation
of the heat equation is local, and the various physical boundary conditions
lead to solutions of the heat equation with corresponding mathematical
boundary conditions. For example, suppose that almost every space-time
Brownian path from a point of D hits aD, as will be true if D is bounded.
We would expect from the localization just noted that for a sufficiently
smooth boundary !lnd for a sufficiently smooth boundary function j the
expected value off at the first hitting place of a space-time Brownian path
from ~ = (~,s) would define a parabolic function u of~. Moreover, since
for ~ near aD it is plausible that paths from ~ are likely to hit aD soon,
it seems plausible that u has boundary limit function j Thus it is plausible
that uas just defined probabilistically is the PWB solution of the Dirichlet
problem for parabolic functions whenever j is resolutive. In particular, if
D = D X IR N with D a Greenian subset oflRN and if('7, t) ~J<'7, t) is a function
of the space variable, say J<'7, t) = 1('7), the function u will be a function of
the space variable, say u(~,s) = u(~); so u is harmonic, and it is plausible
that u is the PWB solution of the Dirichlet problem for harmonic fl;lnctions
whenever f is resolutive in this context.
The principal tool we shall use in discussing these matters is martingale
theory, and the evaluations of Dirichlet solutions will turn out to be applica-
tions of the martingale equality. To show how martingale theory arises in
a natural way in this context, consider the following problem. Let w(o) be
a Brownian motion in IR N from a point. What functions u on iR N have the
property that {u[w(t),t],telR+} is a martingale, in some local sense at
least? If b > 0, a formal application of Taylor's theorem leads to
0= E{u[w(t + b),t + b]lw(s),s::; t} - u[w(t),t]
=b[au+(J2 dUJ+0(b 2 ) (13.1)

at 2
= bLiu + 0(b 2),
where the partial derivatives are evaluated at [w(t), t]. Thus it is plausible
that u must be coparabolic and that conversely the process u[ w(o), oJ is a
martingale in some local sense if u is coparabolic. Equivalently, u com-
pounded with space-time [cotime] Brownian motion is a martingale in some
local sense if and only if u is parabolic [coparabolic]. In particular (if u is
a function of the space variable), a function u on IR N 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
The Ito Integral
1. Notation
Let {w(·), g;(.)} be a Brownian motion in ~, defined on some probability
space (Q, g;, P). It is supposed that g;(.) is right continuous and that g;(O)
contains the null sets. The Ito integral J~ </> dw will be defined for stochastic
processes </>(.) in the space r of not necessarily adapted to g;(.) real processes
{l/J(t), t E ~+} with the following property: there is a progressively measurable
process {</>('), g;(.)}, depending on l/J('), for which
P{w: t 1 </>(s, wW ds < + oo} = 1 (1.1)
for all finite t and
P{</>(t) = l/J(t)} = 1 (1.2)
for I} almost every t. In this chapter ds refers to Lebesgue measure I}. For
economy in later references absolute value signs are used in (1.1) and similar
contexts because the present discussion will be extended in Section 7 to cover
vector processes and processes with complex state spaces. Observe that a
process indistinguishable from one in r is itself in r. Let I} x P be the
completed indicated product measure on ~+ x Q, defined on the completion
of gjJ(~+) X g; relative to this product measure. According to Section 1.13,
if {</>('), g;('1} is an extended real-valued adapted process and if the function
</>(.) is I} x P measurable, then this process is in r if (1.1) is satisfied.
We metrize r by identifying two members </>(.) and l/J(') of r whenever
(1.2) is true for I} almost every t, thereby making r into a space ofequivalence
classes, and by defining (abbreviating the notation)
Here </>(.) and l/J(.) are progressively measurable, and we are adopting the
usual convention: the right-hand side of (1.3) is the distance between the
600 2. VIII. The Ito Integral
equivalence classes containing ¢(o) and t/J(o). In the following the reader is
asked to judge from the context whether notation like ¢(o) refers to an
individual process or to an equivalence class. It is also left to the reader to
verify the fact, which we shall not use, that r is complete in its metric.
The subset of r for which (1.1) is true with t = + 00 will be denoted by
f, and the subset of f for which
will be denoted by r z . A metric for f sometimes preferable to that induced

by the r metric is the f metric in which (1.3) is strengthened to
A r z metric sometimes preferable to that induced by the r or f metric is

the L Z metric in which (1.3) and (1.4) are strengthened to
(1.5)
The spaces f and r z are complete in their metrics. There is convergence of

a sequence {¢n<o),nEZ+} to ¢(o) in the r metric if and only if
(1.6)
for all finite t, and there is convergence in the f metric if and only if (1.6)
is true for t = + 00. Here ¢n(o) and ¢(o) are chosen to be progressively
measurable members of their equivalence classes, in r or f as required.
There are sometimes formal advantages in having members of r defined
at the parameter value + 00. This can be effected for our purposes by defining
¢( + (0) arbitrarily, by defining IF( + (0) = IF, and leaving the r, f and r z
metrics unchanged.
Observe that if t/J is a bounded member of r, then t/J(o)¢(o) is in r or f
or r z if ¢(o) is. A useful special case is t/J(o) = 1ST , defined as the indicator
function of the stochastic interval [S, T].
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 r z, is the
class r o each of whose equivalence classes contains a process ¢(o) defined
as follows. There is a finite set 0 < t 1 < ... < tk < + 00 and corresponding
bounded random variables /1' ... ,h such that./j is IF(t) measurable and
that
2. The Size of f o 601
ift::;t 1 ,
if tj - 1 < t ::; tj , 2 ::;j::; k, (1.7)
if t > t k •
A function 4> in r o has many representations (1.7) because additional parti-

tion points can be adjoined without changing 4>(.), adjustingf. as required.
If 4>(.) and 1/1(.) in r o are to be considered simultaneously, partition points
can be adjoined if necessary to obtain representations of 4>(.) and 1/1(.) with
the same partition. Using this fact it is obvious that r o is an algebra.
Observation on predictability of Ito Integral integrands. The process 4>(.)
defined by (1.7) is adapted, left continuous, and therefore predictable. The
following lemma states that r o is dense in the sets r, r, r z , and a trivial
adaptation of the proof shows that each equivalence class of each of these
sets contains a predictable member. We shall not use this fact.
2. The Size of r 0
Lemma. The set r o is dense in r, r, and r z in the metrics of these spaces.

It is sufficient to consider progressively measurable members of these
spaces. Suppose first that 1/1(.) is a progressively measurable member of r,
and define
I/I(t) if II/I(t) I::; nand t ::; n,

l/Jn(t) = { .
o otherWise.
Then limn_ oo I/Ii·) = 1/1(.) in the r metric. Next define
o 1'f t::;-,
I
m
f
U - 1l/ m .- I .
J-
if- < t ::; L, 1 <j::; nm,
m I/Inds
m m
U-2)/m
o if t > n.
The process I/Inm(·) is progressively measurable, II/Inml ::; n, I/Inm(·)Ero, and

limm_ oo I/Inm(·) = I/In(·) in the r metric because there is bounded II 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
r
observation that for 1/1(.) in or r z the convergence assertions in the above
r
proof are also valid in the metric of the space or r 2 as the case may be.
Refinement. A trivial computation involving the Schwarz inequality shows

that
Thus an arbitrary element 4>(0) of r, f, or r 2 is the limit, in the metric of its

space, of a sequence {4>n(0), n ~ O} in r o satisfying almost surely
(2.1)
simultaneously for all I.
3. Properties of the Ito Integral

If 4>(o)er and if 0 ~ 1 < +00 [or 0 ~ 1 ~ +00 if 4>(o)ef], the integral
X(/) = J~ 4> dw will be defi~ed uniquely up to a null set. Moreover it will be
shown that a version of x(t) can be chosen for each 1 in such a way that the
map 4>(o)l-+x(o) is a linear continuous map from r [f] [[r2 ] ] into a metric
space r/ [f/] [[r2]] of processes defined as follows. The space r/ is the
space of almost surely continuous adapted processes {x(o), ,F(o)} metrized
into a complete metric space (in which indistinguishable processes are
identified with each other) by
L2- E{l
00
k
r/dist(x(o),y(o» = /\ sUPlx(/) - y(/)I}. (3.1)
1 t5k
The space f' is the subset ofr' for which almost surely Iim t_ oo x(t) = x( + (0)
exists and is finite. The f' metric is defined by strengthening (3.1) to
f' dist(x(o),y(o» = E{I /\ sup IX(/) - Y(/)I}. (3.2)

t<+oo
The space r~ is the subset of f' for which E {SUPt< + 00 Ix( 1)j2} < + 00. The
r 2metric is defined by strengthening (3.2) to
r 2dist (x(o), y(o» = E 1/ 2 { sup IX(/) - y(t)j2}. (3.3)

t< +00
The spaces r', f/, and r; are complete in their metrics. When 4>(o)er, the
integral J~ 4> dw = x( I) will be defined for 0 ~ 1 < + 00 [or 0 ~ 1 ~ + 00 if
4>(o)e f] and will have the following properties.
(a) x(O) = 0 almost surely, and a version of x(t) can be chosen for each
1 in such a way that x(o) e r'. In the following it will be assumed that x(o)
is so chosen.
3. Properties of the Ito Integral 603
(b) The map 4>(0) HX(o) is linear and continuous from r into r', f into
f', and r 2 into r~ in terms of the metrics of the spaces involved.
(c) If T is a finite optional time, then
100
10T4> dw = x(D a.s. (3.4)
The upper limit 00 is legitimate here because the integrand process is in f.

Moreover, if 4>(o)ef, then (3.4) is true for an arbitrary optional time T.
Observe that if T is an arbitrary optional time the process ITT(o) is in r
and is identified with 0 in the r metric; therefore if Sand T are optional,
with S :::;; T, it follows that los + 1ST = lOT under the r identifications. Hence
if 4>(0) is in r and if Tis finite valued,
1 00
IST4>dw = x(T) - x(S) a.s. (3.5)
If 4>(0) is in f, the optional times need not be finite valued. It will sometimes
be convenient to use the notation S~ 4>dw for the left side of (3.5).
(d) Let Sand T be optional times with S :::;; T < + 00. If1 is a bounded
~(S) measurable random variable and if 4>(0) is in r, then
IT 14> dw = lIT 4> dw a.s. (3.6)
If 4>(0) is in f, the optional times Sand T need not be finite valued.

(e) The process {x(o), ~(o)} is a local martingale when 4>(0) is in r.
(f) Let Sand T be optional times with S:::;; T:::;; + 00. Suppose that
4>(0) is in r and that
(3.7)
Then
(3.8)
and the process {x(T /\ (S + t)), ~(S + t),O :::;; t:::;; + oo} is an almost surely
continuous martingale. If 4>(0) and t/t(o) in r satisfy (3.7), then
(3.9)
[The integral S~ 4> dw is defined in (3.8) and (3.9) eve~ if T is infinite valued
because (3.7) implies that the process lST(o)4>(o) is in r.]
604 2.VIII. The Ito Integral
For 4>(0) in r define
O::s; t < +00 (3.10)
and allow t = + 00 when 4>(0) e r.

The process Yq,(o) is almost surely
continuous.
(g) For 4>(0) in r the process {Yq,(o), ,F(o)} is a positive supermartingale
on the parameter interval [0, + 00], with Yq,(O) = I almost surely.
(h) If b > 0 and J > 0, then for 4>(0) in r,
p{~~~ It 4> dw l ~ J + ;;2 J:14> 12 dS}::S; 2e- 16

/ • (3.11)
(i) If ce ~ and if p > I then for 4>(0) in r
if we choose c > 1 and if p = I + (c - 1)1/2, then
lim cp(cp - I) = l. (3.13)

c!1 p-I
(j) For 4> in r the process {Yq,(o), ,F(o)} is a local martingale.

(k) If 4>er and if for some b::s; + 00,
(3.14)
then the process {Yq,(t), ,F(t), t ::s; b} is a martingale.

(I) If y e ~ and if 4>(0) e r 2 , then
and
yy(t) - I = y f>ydW a.s. (3.16)
[More generallyJor 4>(0) in r
Yq,(t) - I = I4>Yq,dW a.s.,

4. The Stochastic Integral for an Integrand Process in f o 605
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.]
4. The Stochastic Integral for an Integrand Process in r 0

For c/J in r o , specified by (1.7), the stochastic integral is defined in the obvious
way:
i
l k
x(t) = c/J dw = Ifj-l [w(t j 1\ t) - w(tj_l 1\ t)], o =s; t =s; + 00. (4.1)
o 2
Under this definition x(O) = 0, x(t) is .?F(t) measurable, and x(o) is a contin-
uous process, but we allow as other versions of the integral process every
process indistinguishable from that in (4.1). Furthermore, if to = 0, then
almost surely
t
E{ x(t)I.?F(tj_ I)}
= x(O) if} = 1, (4.2)

= x(tj_l ) + fj-l E {w(t j) - W(tj-I)!.?F(t j- I)} = X(tj-l) if} > 1.
Hence {x(t.),.?F(t.)} is a martingale; so if 0 =s; s < t and if s, t are in t., it
follows that E{x(t)I.?F(s)} = x(s) almost surely. Since any pair of parameter
values can be adjoined to the set to' it follows that {x(o), .?F(o)} is a martingale.
This martingale is L 2 bounded, hence has orthogonal increments, and
E{lx( + (0)i2} = /12E {IX) 1c/J(s)i2 dS}. (4.3)
If c/J(o) is defined by (1.7) and Y.p(o) by (3.10)
E{Y.p(0)1.?F(0-1)}
1 = Y.p(O) a.s. if} = 1,
= Y.p(tj_I)E{exp [fj-l (w(t j) (4.4)
- w(tj_I))]!.?F(tj _ I)} exp [ -;\tj - tj-l)jj:'l] a.s. if} > 1.
Now fj-l and w(tj) - w(tj _l ) are mutually independent, and whenever z
is a normally distributed random variable with mean 0 and variance (x,
E{exp(az)} = exp(a 2 (X/2). Hence the right side of (4.4) reduces to Y.p(tj - l ).
Thus {Y.p(t.), .?F(t.)} is a martingale, and it follows repeating an argument
just used that {yq,(o), .?F(o)} is a martingale.
5. The Stochastic Integral for an Integrand Process in r

Suppose that cP(')E roo Then (Section 4) the process {Yq,('), ~(.)} defined
by (3.10) is a positive martingale, and if l> > 0 and b > 0, the submartingale
maximal inequality III(9.1 ') yields
If cP is replaced by -cP and the resulting inequality is combined with (5.1),

we find
(5.2)
or, if cP is replaced by cP/l>2,
P {~~~ II I~
cP dw l> + ;;2 J: cP 2dS} ~ 2e-l/~. (5.3)
We conclude that if {cPn('), n E Z+} is a sequence in r o with limit 0 in the r

metric, then the sequence {J~ cPn dw, n E Z +} has limit 0 in the f' metric.
That is,. the linear map cP 1-+ J~ cP dw from r o in the r metric into the
metric space r ' is uniformly continuous. It follows that there is a unique
uniformly continuous linear extension of this map, from the r metric closure
of r o, that is, from r, into r'o We accept this extension as the definition
of the integral J~ cP dw; this integ!al then satisfies Secti~ 3(h).
Furthermore the map cP 1-+ Jo cP dw takes ro_into r /, and if we applY
the reasoning just used but this time with the r metric on r o and the r '
metric on the image of r o, we find, setting b = + 00 in (5.2), that the map
is uniformly continuous. Hence this map is uniformly continuous from f
into f'.
Finally we consider r o in the r 2 metric. Since IJ~ cP dwl is a submartingale
for cP in r o, the L 2 maximal inequality III(ll.1) for the continuous parameter
context is applicable and yields
(5.4)
and it follows that the map cPl-+ J~ cPdw is uniformly continuous from r 2
into r 2.
Localization of the Stochastic Integral
We have defined J~ cP dw for T optional as J~ 10TcP dw. If cP is defined initially

only on ]0, T}, define cP as 0 on /R+ x 0 - ]0, T[, and if the extension is
in r, define J0 cP dw using the extended integrand.
6. Proofs of the Properties in Section 3 607
6. Proofs of the Properties in Section 3

Section 3(a), (b), (h) have already been proved. We prove the remaining
properties in the order (cdfegikjl).
Proof of Section 3(c). (cl) In order to prove (3.4) either for q,(.) in r with
T < + 00 or for q,(.) in f with T::;; + 00, 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,
too 10TAnq,dw = x(T 1\ n) a.s. (6.1)
Now when either q,(.) is in rand T < + 00 or q,(.) is in f and T::;; + 00, it is
true that limn.. oo x(T 1\ n) = x(T) almost surely and the integrand process
in (6.1) tends to the process 10T(')q,(') in the f metric so that
~~~ILoo 10Tq,dw -1
00
10TAnq,dWI
t
::;; ~~~sup 1f 10Tq,dw -
,,,0 0
it0 10TAnq,dW/ = O. (6.2)
Thus (3.4) is true. From now on in the proof of (3.4) we shall suppose that
Tis bounded and that q,(.) is in r.
(c2) If (3.4) is true for the optional time [T]n, it is true for T because
oo oo
limn.... 10ITln(·)q,(·) = 10T(')q,(') in the f metric and lim n.... x([T]n) = x(T)
almost surely.
(c3) Proof of (3.4) for q,(.) in roo According to (c2), it is sufficient to
prove (3.4) with T replaced by [T]n. At the possible cost of modifying the
representation (1.7) of q,(.) we can suppose that t. includes the values
{j 2 -n ,j E;r} in the interval [0, tkl Finally by linearity of the map q,(.) ~
J~ q, dw it is then sufficient to prove (3.4) for q,(') given by (1.7) with k = 2.
That is, we now suppose for f the indicator function of the :F(t 1) set
{[T]n> td that
(6.3)
This process is in r o, and the definition of the integral for an integrand

process in r o makes (3.4) trivial in this case.
(c4) To prove (3.4) for arbitrary q,(') in r, let {q,n('), nE Z+} be a sequence
in r o with limit q,(') in the r metric, and define xn(t) = J~ q,n dw. According
to (c3),
and (3.4) follows because in view of the boundedness of T,
in the r metric; so
plim IX(T) - xn(T)1
n~a:>
~ Plimsupl Jrr IOT4>-dw - Jr IOT4>ndwl = O.
n-+oo t 2:0 0 0
0 (6.4)
Proof ofSection 3(d). We can suppose, redefining 4>(t) as 0 for t ~ T if

r.
necessary, that T = + 00 and that 4>(.) is in In view of the metric properties
of the map 4>(.)I-+J~4>dw it is sufficient to prove (3.6) with S replaced by
[S]n and with 4>(.) in r o, given by (1.7), and adding points to t. in (1.7) if
necessary, we can suppose that t. includes the values {j2- n ,jEZ+} in the
interval [0, tkJ. Finally in view of the linearity of the above map we can even
r
suppose that k = 2. The processf4>I[Slnoo(·) is now in o and has a represen-
tation of the form (1.7) with k = 2, and the computation verifying (3.6) is
trivial. 0
Proof of Section 3(f). Suppose first that S == 0, T == + 00 and that (3.7) is

true. Then 4>(.) is in r 2 • Let {4>n(·),nEZ+} be a sequence in r o with limit
4>(.) in the r 2 metric, and define xn(t) = J~4>ndw. Then limn.... 00 xi·) = x(·)
in the r 2metric; in particular,
(t~+oo).
Since the process {xn(t), §(t), t S + oo} is a martingale, it follows that the
limit process is a martingale. Moreover
because this equation is valid for xi·) and 4>n(·). In the general case of
Section 3(f) if we apply what we have just proved to IST(·)4>(·), we find
[see (3.5)] that
{x(T /\ t) - xeS /\ t),§(t),t ~ +oo} = {I IST4>dw,§(t),t ~ +oo} (6.5)
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 /\ (S + t» - xeS), §(S + t), t ~ + oo} is a
martingale; equivalently, {x(T /\ (S + t»,§(S + t), t ~ +oo} is a martin-
gale. 0
6. Proofs of the Properties in Section 3 609
ProofofSection 3(e). We prove this property using Section 3(f),just proved.

For 4>(') in r and IX > 0 define
~= inf {t: a; I 2
14>1 ds ~ IX}. (6.6)
Then Ta is optional, and (a 2 /2)gal4>1 2 ds =::; IX. Hence according to Section

3(f), the process {x(Ta 1\ t), .?F(t), t ::; + oo} is a right closed and therefore
uniformly integrable martingale. Since lim a _ oo Ta = + 00 almost surely, it
follows that {x(·), .?F(')} is a local martingale. 0
Proof of Section 3(g). Let 4>(') be in r, and let {4>n(')' ne;r} be a sequence
in r o with limit 4>(') in the r metric. Then
lim
n-oo
r 4>ndw Jor 4> dw
Jo
=
in the r' metric; so plimn_ooY</>n(t) = y(t) for each t. The process {Y</>n('),
.?F(')} is a positive martingale, and an application of Fatou's lemma for
conditional expectations shows that {Y</>('), .?F(')} is a supermartingale. 0
Proof of Section 3(i). If 4>(')e r, ce IR, and if p > 1, then
from which the inequality (3.12) follows by an application of Holder's in-

equa1ity and Section 3(g). The limit relation (3.13) is trivially true for pas
stated. 0
Proof of Section 3(k). If b < + 00, replace 4>(') by 10b (')4>(') to obtain an
equivalent context in which we can suppose that b = + 00 and 4>(·)er2 . We
are to prove that {y</>(t), .?F(t), t =::; + oo} is a martingale; equivalently, since
this process is an (almost surely continuous) supermartingale with
E{y</>(O)} = 1, we are to prove that E{y</>( + oo)} = 1. According to Section
2, there is a sequence {4>n('), n e.:r} in r o with limit 4>(') in the r 2 metric
and satisfying
(6.8)
It follows from Section 3(h) that for every real IX,
p lim sup IYa</>(s) - Ya</> (s)1 = O.

n..... oo s~o n
According to Section 4, the process {y"q,n(t), .?F(t), t ~ + CO} is a martingale,

with E{y"q,n(t)} = I, and by Section 3(i) if 0 < lX < I, the constants c andp
can be chosen so that c > I,p > I, and cp(cp - l)lX 2 /(p - I) < I, and then
in view of(3.12) and (6.8)
sup E{IY"q, (t)IC} =

n,t2:0 n
Pc < + co.
Hence
E{IY"q,(t)IC} ~ lim E{IY"q,n(t)IC} ~ PC'

n-oo
E{y"q,(t)} = lim E{y"q,n(t)} = 1.

n-+co
Thus {y"q,(t), .?F(t), t ~ + co} is an LC bounded uniformly integrable almost

surely continuous martingale. Now define an optional time Sn( ~ + co) by
The martingale sampling theorem implies that E{y"q,(Sn)} = I, that is,
I = r
J(Sn=+OO}
y"q,( + co)dP + r
J(Sn<+OO}
Y"q,(Sn)dP
= r Y"q,( + co) dP + r exp [(lX - lX; )(J2 rs" IcPI 2

ds - lXnJ dP.
J{s,,= +oo) J{Sn< +oo} Jo
(6.9)
In view of the definition of Sn the function lX f-+ e"ny"q,(o) is an increasing

function of lX when Sn = + co; furthermore lX f-+ lX - lX 2 /2 is an increasing
function when 0 < lX < 1. Hence when lX i I in (6.9), we fmd
The sequence So is an increasing sequence with limn _ oo P {Sn = + co} = I

because almost every yq,(o) sample function is bounded. Hence when n -+ co,
the first integral on the right tends to E{yq,( + co)}. The second term on the
right is at most
so when n -+ co, (6.10) yields E{yq,( + co)} = I, as was to be proved. 0

7. Extension to Vector-Valued and Complex-Valued lntegrands 611
Proof of Section 3(j). If T" is defined by (6.6) and if 4>(') is in r, then the
process 4>(') lOT (.) satisfies the hypotheses of Section 3(k) because
"
a; I l
l4>l oT ds ~ lX
for all t. The process {y</>(T" /\ '), §,(.)} is therefore a martingale, so

{y</>('), §,(.)} is a local martingale. 0
ProofofSection 3(1). It is sufficient to prove (3.15) for 4>(') in r o and specified

by (1.7) with k = 2. In this case when t 1 < t ~ t 2' the left side of (3.15) can
be put in the form
2
E{fl exp [YW(t 1)- y ;2] E{[w(t) - w(t 1)] exp [y(w(t) - 1
W(t »]I§'(t 1)}}.
(6.11)
In view of the fact that
when z is a normally distributed random variable with mean 0 and variance

lX,the value of the expectation in (6.11) is ya 2 E{Y y (tl)fd(t - t 1 ), as it should
be according to (3.15). The verification of (3.15) for other values of t is now
trivial. Equation (3.16), an easy consequence of the Ito formula to be proved
in Section 12, can be proved at this stage using (3.15) by computing (and
finding it to be 0) the expectation of the absolute value of the square of the
difference between the two sides of (3.16). 0
7. Extension to Vector-Valued and Complex-Valued

Integrands
Real Vector-valued Integrands
Suppose that {w('),§(·)} is a Brownian motion in ~N, with §,(.) right
continuous and §(O) containing the null sets. If Pis a vector with N com-
ponents p<I), ... ,p<Nl, define !P12 = I:~ pUl2 as usual. Let r be the space of
processes with state space ~N whose N component processes are in the space
r as defined in the one-dimensional case in Section 1, and define the r metric
by (1.3) with the above interpretation of the notation 1·1. The corresponding
definitions of rand r 2 are made. For 4>(') in r define
The spaces r', f', r; defined in Section 2 are used below, with the same
state space ~. It is left to the reader to check that at most minor modifications
of the proofs in Section 6 show that (a)-(l) in Section 3 are valid for N ~ I
under the following conventions. In (3.9) the integrand 4>l/J is to be interpreted
as the inner product ~~ 4>(j)l/JUl. In Section 3(1) 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.
Complex Vector-valued Integrands
If the component processes of the integrand processes above have the

complex plane as state space, the usual conventions are to be made. That
is, IPl2 = ~~ IpUlI2; in (3.9) l/J is to be replaced by Iji, and 4>1ji is then the
Hermitian symmetric inner product ~~ 4>(j)ljiw; 4> is to be replaced by (fi in
(3.15) and (3.16). Observe, however, that y</>(t) is no longer necessarily a
real-valued random variable; so Section 3(g) must be dropped. Furthermore
in (3.11) the first term on the right side of the inequality should be changed
from b to 2b. No other changes are necessary in Section 3(a)-(l). It is easy
to deduce from Section 3(g) and the form of Iy</>(·)I that {jy</>(.) I, ff(·)} is a
supermartingale.
8. Martingales Relative to Brownian Motion Filtrations

If {w(·),ff(·)} is a Brownian motion in ~N and if 4>(·)Er2 , the process
{J~ 4> dw, ff(·)} is an L 2 bounded almost surely continuous martingale (com-
plex state space) whose random variables have zero expectation. It is a
remarkable fact that the converse assertion is true if ff(·) is specified ap-
propriately, as asserted in the following theorem.
Theorem. Suppose that {w(·), ff(·)} is a Brownian motion in ~N, from the
origin, and that for all t in ~+ the (J algebra ff(t) is generated by ff {w(s), s ::; t}
and the null sets.
(a) If z is a (complex-valued) YselR+ ff(s) measurable square integrable
random variable, there is a process 4>(.) in r2 for which
z = E{z} + f' 4>dw a.s.
(b) If {z(·), Y(·)}is an L 2 bounded almost surely continuous martingale,

there is a process 4>(.) in r2 for which
z(t) = z(O) + f 4> dw a.s. (8.1)

8. Martingales Relative to Brownian Motion Filtrations 613
In (b) it would be no more general to suppose that z(o) is almost surely

right continuous rather than almost surely continuous because Theorem
VIlA implies that an almost surely right continuous martingale relative to a
Brownian motion filtration 3"(0) as defined in Theorem 8 is almost surely
continuous.
Observe that if 0 < p < + 00 and if z in (a) is 3"(P) measurable, the
upper limit of integration in (a) can be reduced to p. (Apply the operator
E{ -13"(P)} to both sides of the equation for z.) Part (b) is applicable to an
U bounded almost surely right continuous martingale {z(o), 3"(0)} on a
finite parameter interval [0, P[ or [0, P] because such a martingale can be
extended to one on the parameter interval IR+ to which Theorem 8 is ap-
plicable by setting z(t) = lims_pz(s) for t ;;::: P in the first case, z(t) = z(P)
for t > Pin the second case.
Parts (a) and (b) of the theorem are equivalent. In fact if (a) is true, then
under the hypotheses of (b) right close the martingale z( 0) by setting z( + 00)
= liml _ co z(t) and apply (a) to z( + 00) to obtain, using the fact that 3"(0) is
trivial,
z(t) = E{z(+oo)I3"(t)} = E{z(O)} + E{LCO </>dw l 3"(t)}
= z(O) + I </> dw a.s.
If (b) is true then under the hypotheses of (a) define z(o) as the almost surely
continuous martingale z(o) = E{zl3"(o)}, and then apply (b) and the condi-
tional expectation continuity theorem to find that
z limz(t) = E{z} + lim ll</>dw = E{z} + lco </>dw a.s.

= f-oo 1-00
o 0
To prove (a), suppose to simplify the notation that N = I and that z is a

real random variable. Observe that the class {SO' </>dw: </>Er2} (N = 1, real
context) of random variables is a closed linear subspace of the L 2 space of
real random variables; so it is sufficient to prove that if z is YselR+ 3"(s)
measurable and is square integrable with E{z} = 0, and if z is orthogonal to
this subspace, then z = 0 almost surely.
(al) We prove first that if z(t) = E{zl3"(t)} and if </>Er2, then
{z(o)J~</>dw,3"(o)} is a martingale. By the orthogonality hypothesis if
o ~ s < t, if f is a bounded 3"(s) measurable function, and if </> is in f 2,
then in view of Section 3(d)
so
This is the desired martingale equality. In particular, it now follows from

(3.16) that for every constant y the process {z(')Yy('), §(.)} is a martingale
with E{z(t)Yy(t)} = O. Observe that 4> and therefore also y can be complex
here.
(a2) If Yt and Y2 are complex constants and if 0::5; SI < S2' manipulate
conditional expectations to derive the first following equality and apply (al)
to derive the second:
E{yy,(s I)Yy/S2)Z} = E{YY1 (s I)YY2 (S2)Z(S2)} = E{yy,(sl)yy/sI)z(s I)}

(8.2)
= E{z(sI)Yy,+Y2(S I)} exp «(72 YI Y2 SI)·
According to (al), the last expectation vanishes; so (8.2) yields
(8.3)
It follows that
(8.4)
whenever jj is an exponential polynomial of the form ~:=I cjk exp (iak') with
(Xreal and therefore that (8.4) is true whenever jj is a continuous periodic
function on R Since any continuous bounded function on IR is the point-
wise limit of a bounded sequence of continuous periodic functions (whose
periods may become infinite), (8.4) is true whenever II and/2 are continuous
and bounded on R It then follows that (8.4) is true when II and 12 are
the indicator functions of open subintervals of IR, and we conclude that
E{z!w(sl), W(S2)} = 0 almost surely. Replace the left side of (8.2) by
and proceed as above to find that E{zlw(s.)} = 0 almost surely for every
finite subset s. of IR+ and therefore for a countable dense subset of IR+
(conditional expectation continuity theorem). Hence by the almost sure
continuity of Brownian motion E{zlw(s),SEIR+} = 0 almost surely, equiv-
alently E{zlY:elR+ §(s)} = 0 almost surely, and since z is by hypothesis
YselR+ §(s) measurable, this vanishing conditional expectation is almost
surely z.
9. A Change of Variables
Review of the Inverses of Monotone Functions
Letfbe a function from IR+ into IR+ satisfying the following condition.
M. fis monotone increasing, right continuous, and limt_oof(t) = +00.
Define J(t) = inf {r: f(r) > t} for tE IR+. Then J saJisfies M, and J(t) :::;; r
if and only iff(r + e) > t whenever e > O. MoreoverJ = f Finally ./[f(r)] =
r if r is not a point of a constancy interval off, and f[f(r)] = r if r is not a
point of a constancy interval of j, that is, if r is not a discontinuity point off
Increasing Families of Optional Times and Their Inverses
Let {~(t), t E IR +} be a filtration of a probability space, right continuous

and with ~(O) containing the null sets. Let {St, t E IR +} be a right continuous
process whose random variables are finite-valued optional times for ~(.)
and whose sample functions satisfy condition M. Define an inverse process
S. by the above procedure, so that
St(W) = inf {r: Sr(w) > t},

~
{St :::;; r} = n
00
n=1
{Sr+l/n > t}. (9.1)
The process {S., ~(.)} is an adapted process whose sample functions satisfy
condition M. The filtration §(.) = ~(S,) is right continuous, and ~(O)
contains the null sets. Moreover {St:::;; r} E~(r) in view of (9.1) and the
right continuity of S•. Hence each random variable St is optional for §(.).
Furthermore ~(t) c §(St) for all t; that is, if A E ~(t), then An {St :::;; ex} E
§(ex) for all ex, equivalently,
00
Ann {S"+l/n > t} n {S,,:::;; p} E~(P) (9.2)

1
for all ex and p. In fact (9.2) is trivial if t > P, whereas if t :::;; P, all the sets
in (9.2) are in ~(P).
A Change of Variables in the Ito Integral

Let {w(·),~(·)} be a one-dimensional Brownian motion with variance
parameter (12, let {4>(')'~(')} be a progressively measurable process in the
class r (Section I), and suppose that {St, tE IR+} is a process as above whose
sample functions satisfy
(9.3)
for all t in IR + . Define
w(t) = f:' I/>dw,

and observe that E{W(t)2} = (12 t.
Tbeoremo The process {w(o), ,#(o)} is a one-dimensional Brownian motion with

variance parameter (12.
Define x(o) = J~I/>dw. To prove that {w(o),,#(o)} is a Brownian motion

with variance parameter (12, it is sufficient to show that for IX < Pthe condi-
tional distribution of x(Sp) - X(SIX) given !F(SIX) is Gaussian with mean 0
and variance (12(P - IX). Thus in view of the characteristic function of the
normal distribution it is sufficient to show that for each complex constant y
that is, it is sufficient to show that, in the notation of (3.10),
In other words the problem is to show that the process {Yyq,(S.), !F(S.)} is a
martingale. Now according to Section 3(k), ift/l(o) = yl/>losp' the process
is a martingale, right closable by Yyq,(Sp), and therefore uniformly integrable.

Hence (martingale sampling theorem) the martingale equality at times t = SIX
and t = + CX) is satisfied; that is, the process {Yyq,(S.), !F(o)} is a martingale,
Extension to N > I
If {w(o), !F(o)} is a Brownian motion in IR N with variance parameter (12 and

if I/> is a progressively measurable process with state space IR N , in the (vector)
space r, satisfying (9.3), the theorem remains true with no change in proof:
the process {w(o), ,#(o)} is a one:dimensional Brownian motion with variance
parameter (12.
Observe that the theorem remains true if null exceptional sets are allowed,
that is, if only almost every sample function satisfies condition M and if (9.3)
is only true almost everywhere for each t [which implies that (9.3) is true
almost surely simultaneously for all t.]
Application (a). If N ;;:: I and if 14>1 = 1 in Theorem 9, then S, = t, #(t) =
~(t), and w(t) = S~ 4> dw. We leave it to the reader to show that in this case
tVJdW= I(VJ4»dW a.s. (9.5)
whenever VJEr (state space~) and (VJ4» is the scalar multiple of the vector
4> by VJ. More generally, if M(t) is for each t in ~+ an N x N orthogonal
matrix-valued random variable and if the component processes of M(-) are
in r, thenthe vector process {J~ M dw, ~(-)} is an N-dimensional Brownian
motion with parameter value (12.
I
Application (b). (N;;:: 1) Let 4>0(-) be a real vector process in r, and
define
<1>.(1, w) if l4>o(t,w)1 :F 0,
if l4>o(t,w)1 = 0,
Thus every vector stochastic integral can be represented as a one-dimensional

stochastic integral with a positive integrand.
Application (c). (N;;:: 1) Let 4>(-) be a real vector process in r, define
x(-) = S~ 4> dw, and define T,. by (6.6). Suppose that T,. is almost surely finite
valued for all IX. Then according to Theorem 9, the process {x(T.), ~(T.)}
is a Brownian motion. In other words the integral process x(-) is a Brownian
motion under a change of time. If T,. is not almost surely finite valued for
all IX, that is, if SO' 14>1 2 ds is not almost surely + 00, define
4>k(t) = {4>(t) if t $; k,
(1, ... ,1) ift>k,
According to these definitions and Theorem 9, the process {xk(Td,~(Tk.)}

is a Brownian motion and coincides with x(TJ on the set {Tcz < k} for
parameter values < lx.
10. The Role of Brownian Motion Increments

Let {w(·),~(·)} be a Brownian motion in JRN. Fix t > 0, define
omitting the superscript when N = 1, and for f a complex-valued function

on jRN x jR + define
Jjn = JIw(J2- nt),j2- nt],
f U-l ln if(j - 1)2- n t < S 5,J2- n t,j;::: I?

j,,(s) = { JI w(O), 0] if s = O.
Lemma. When f is continuous and finite valued
i
t
.
2
n
(czl (/ll_
(12 JI W(s), S] ds if lx = p,
~~~j~1 f U-lln !:ijn !:ijn - 0 0 (10.1)
1 if IX # p.
Iff is bounded these limits are also L 2 limits.
To simplify the notation, take (1 = 1. Assume first that IfI 5, c. Then
!~~ E {It JIw(s),s]ds - j~1 f U - l ln

2- n f}
= !~~ E {I t [JIw(s), s] - j,,(s)] ds1
2
} (10.2)
5, !~~ tE {t IJI w(s), s] - j,,(s)j2 dS} = O.
Thus to prove (10.1) for lx = Pin the L 2 limit sense forfbounded it is suffi-
cient to prove
(l0.3)
10. The Role of Brownian Motion Increments 619
When the indicated square is multiplied out, each term has the form
{" I'
JU-l)nJ(k-l)n Ujn
(A (<1)2 -
2 -n t) ( Ukn
A(<1)2 -
2 -n t) , }5. k.
If} < 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} = k yield
so (10.3) is true. If/is not bounded, define gm as any bounded continuous

function on IR N x IR+, equal to/when m. Then 1/15.
lim
m-oo
r gm[ w(s), s] ds = Jor J[w(s), s] ds
t
Jo
t
a.s.
The sum on the left side of (10.1) for ex = P differs from the sum with /
replaced by gm on a set of small probability when m is large. It follows that
(10.1) for ex = Pis true as stated.
To prove (10.1) for ex :F p with the limit in the L 2 sense for bounded 1/1
by c, observe that (for (1 = 1)
(10.5)
(ex :F P).
The proof for unbounded/follows that when ex = p.

Observation. If N = 1 and / = I, the proof of (10.1) for ex = p, dropping
some now unnecessary details, yields
(10.6)
An application of the Borel Cantelli theorem yields Levy's theorem, that is,
(10.7)
II. (N = I) Computation of the Ito Integral by Riemann-

Stie1tjes Sums
Let ¢(-) be a progressively measurable process in r, and choose b > 0 and a

partition 1t: to = 0 < t 1 < ... < tIl = b of [0, b]. Define
and
I
¢(O) if t = 0,
¢ll(t) = ¢(tj - 1 ) if tj - 1 < t :s; tj,j :s; n,
¢(t) if t > b.
Then ¢1l(-) is in r if ¢(-) is almost surely finite valued on 1t, and
(11.1)
Theorem_ (a) If the restriction to [0, b] ofalmost every ¢(-) sample function
is bounded and II almost everywhere continuous, then
(11.2)
(b) If E{I¢(tW} < + 0Ci for t :s; b and if

lim E{I¢(t) - ¢(sW} = 0, (11.3)
I-S-O
Oss,rsb
then (11.2) is true as an L 2 limit.
Proof (a) Under the hypotheses of(a) the usual reasoning in the discussion
of the Riemann integral yields
so limd(ll)_o r dist(¢ll' ¢) = 0, and since the map ¢(-) -+ J~ ¢dw is continuous

in the (r, r) pair of metrics, it follows that (11.2) is true and even that
plim sup
.1(,,)-0 rsb
Irr (¢1l - ¢)dW\
Jo
= o. (11.4)
12. Ito's Lemma 621
(b) Apply Section 3(f) to find
E {II: ~dw I: ~ndWn {J: I~ - ~n12

- = (T2 E dS}
(11.5)
~ (T2b sup E{I~(t) - ~(sW}.
It-sl';.l(n)
O,;s,t,;b
Therefore (b) is true, and in fact (11.4) is true as an L 2 limit because the
map ~(o) ....... J~ ~ dw is continuous in the (r2 , r~) pair of metrics. 0
Integration by Parts
If ~(o) is in r and if the restriction to the interval [0, b] of almost every ~(o)
sample function is right continuous and of bounded variation, then
J: ~ dw = w(b)~(b) - w(a)~(a) - J: wd~ a.s., (11.6)
where for almost every point (J) of the basic measure space the integral on
Jt
the right is the Riemann-Stieltjes integral w(s, (J) ds~(s, (J). In fact the
hypotheses of Theorem II (a) are satisfied, and the sum in (11.1) is equal to
n
w(b)~(b) - w(a)~(a) - L w(tj) [~(tj) -
j=l
~(tj-l)]' (11.7)
which almost surely yields the right side of (11.6) when J(n) -. O.
12. Ito's Lemma

Let {w(o),§(o)} be a Brownian motion in IR N , and let ('1,t) ....... u('1,t) be a
continuous function on IR N x IR+ for which the derivatives
OU 02 U
Uo = ot ' uij = O'1(i)O'1())
exist and are continuous. Before proving Ito's lemma we prove an important
special case: simultaneously for all t E IR + ,
The argument in each integrand is [w(s), S]. This relation is commonly

written in the form
N
du = .iudt + L uadw(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- nt by Sjn, so that
2n
u[w(t), t] - u[w(O), 0] = L {u[w(Sjn), Sjn] - U[W(Sjn), SU-l)n]}
j=1
n (12.2)
2
+ L {u[w(Sjn),SU-l)n] -
j=1
u[w(SU-1)n),SU-l)n]}'
The jth term in the first sum is U o [w(Sjn), Sjn] r n t up to an error which for
each continuous Brownian motion sample function is uniformly 0(2 -n) as j
varies and n -+ 00. Hence the first sum in (12.2) has the first integral in (12.1)
as almost sure limit when n -+ 00. The jth term in the second sum in (12.2)
. 'f A (a) _ (a)() (a)(
IS, 1 LJ.jn - W Sjn - W SU-l)n,
)
up to an error which for each continuous Brownian motion sample function

is uniformly 0(~:=1 !1.}:)2) asjvaries and n -+ 00. According to Lemma 10 and
Theorem 11, when n -+ 00, the sum over j = 1, ... ,2n of the terms in (12.3)
has as limit in measure the sum of the second and third sums in (12.1).
Finally the summed error 0(~:=1 ~J~1 !1.}:)2) is 0(1) for almost every Brownian
motion sample function because the inside sum has almost sure limit (12 t
when n -+ 00 by Levy's result (10.7).
Localization
If, more specially, u is a function of class (;(2) on IR N and we consider u

composed with w('), equation (12.1) reduces to
u[w(t)] - u[w(O)] = -(12 JI !1.uds + L 11 uadw(a)(s)

N
a.s. (12.4)
2 0 a=1 0
More generally, if u is only defined and of class (;(2) on an open subset D

of IR N and if P{w(O)eD} = 1, let S be the hitting time of oD by w(·). Then
12. Ito's Lemma 623
(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 So is the hitting time of aDo by
w(o), then (12.4) is almost surely true on {W(O)E Do} if t is replaced by t 1\ So.
To see this, let U o be a C(2)(IR N ) extension of the restriction of u to Do. Then
an application of (12.4) to U o with t replaced by t 1\ So gives the desired
result.
We now turn to Ito's lemma. Let u and w(o) be defined as at the beginning
of this section. Let M be a strictly positive integer, and for I ~ m ~ M and
I ~ n ~ N let </>mn and tjlm be processes in r except that the integrability
requirement for tjlm is weakened: it is supposed only that almost every tjI(o)
sample function is integrable over finite intervals. Define x(o) = [X(l)(o), ... ,
xM(o)] by
where x(m)(o) is an arbitrary §"(O) measurable random variable.
Ito's Lemmao Under the stated conditions,for u: t 1-+ u[x(t), t],
du = Uo dt + L
M
U mdx(m) +-
(12
L
M
U mn dx(m) dx(n), (12.5)
m=l 2 m,n=l
where dx(m) dx(n) is to be interpreted as the formal product under the convention
(dt)2 = dtdw(n) = 0,
so that
To simplify the notation, we give the proof for M = N = l. That is,

dx(t) = </> dw(t) + tjI dt, u = u[x(t), t], and (12.5) reduces to
It is sufficient to prove the lemma for </> and tjI in r o , given by representations
of the form (1.7) with a common partition:
</>(t) = tjI(t) = 0 ift~tl'
</>(t) = h-l' tjI(t) = gj-l if tj - l <t ~ tj , 2 ~j ~ k,

</>(t) = tjI(t) = 0 if t > t k •
In the interval [0, I I] the evaluation (12.6) is trivial. In the interval] II' 12 ]
A glance at the proof of the special case of Ito's lemma already treated
shows that it is applicable with the help of Section 3(d) to yield
which agrees with (12.6). The verification of (12.6) on the remaining inter-
vals ] Ij_I' I j ] is similar, and the verification on ] l ko + 00 [ is trivial.
The Algebra ofIntegrals (N = 1)
In view of Ito's lemma the integrals of the form
with </> and '" as described above form an algebra. In fact, if dX i = </>i dw +
"'i dl
,
d(x 1x 2 ) = XI dX 2 + X2 dx 1 + (</>I </>2) dl

= (XI </>2 + X2</>I)dw + (XI "'2 + X2"'1 + </>1</>2)dl.
EXAMPLE (a) (N = 1). If n is a strictly positive integer
2
d(w") = nw"-I dw +; n(n - l)w"-2 dl.
EXAMPLE (b) (N = 1). If </> is in r and if Y",(·) is defined by (3.10), then

dy", = </>Y",dw. In particular, as already proved by a different method in
Section 6, dyy = YYydw for constant y. Thus the process YI(·) plays the role
of the exponential function in the stochastic calculus based on the Ito
integral.
EXAMPLE (c) (N ~ I). Recall (Section l.XV.3) that the space-time Hermite
polynomials
•
are coparabolic and satisfy l.XV(3.8). Define Hm 1 "'m N j as
H mj "'mrv with
m.-b..IJ ifmj > 0,

m·=
I •
I {0 ifmj = O.
130 The Composition of the Basic Functions of Potential Theory with Brownian Motion 625
Then
N
dHm• omN[W(I), I] = ~ mjHm... mNjdWj(I).
0 0 o
)=1
Thus in the stochastic calculus based on the Ito integral the process
{Hm• om [W(I), I], IE jR+} plays the role of the product ofpowersm t , ••• ,mN
0 0
of the co~rdinate variables.
13. The Composition of the Basic Functions of Potential

Theory with Brownian Motion
Let u be a (:(2) function from jRN into jR. If {w('), ~(.)} is a Brownian motion
in jRN from a point ~, Ito's lemma yields
U[W(I)] - u(~) = t (gradu,dw) + (1; t !:iuds a.s. (13.1)
Hence the process
{ u[ W(I)] - (1; I !:iuds; ~(t), IE jR+} (13.2)
is a local martingale and is a martingale if
E {I I
grad ul 2 dS} < + 00 (13.3)
for all I > 0. In particular, if u is harmonic, the process {u[ w(·)], ~(.)} is a
martingale if (13.3) is satisfied, for example, if u is a harmonic polynomial.
More generally, if !:iu :::; 0, that is, if u is a (:(2) superharmonic function, and
if (13.3) is satisfied, the process u[w(·)] is the sum of a martingale and an
adapted process with decreasing sample functions and is therefore a super-
martingale if its random variables are integrable. If u is a (:(2) function from
an open subset D of jRN into jR, let Do be an open relatively compact subset
of D, choose ~ in Do, and let So be the hitting time of oDo by w(·). There is
a (:(2) function u' on JRN, with compact support, extending UIDo' and if the
preceding argument is applied to u', we find that the process in (13.2) with
u replaced by u' is a martingale. This process, stopped at time So, is therefore
a martingale, and in particular if u is [super] harmonic on D, the process
{u[ w(So /\ I)]; ~(I), I ::; + oo} is a [super] martingale. In the superharmonic
context the supermartingale inequality at times 0, + 00 yields the inequality
u(~) 2: E{u[ w(So)]}, with equality in the harmonic function context. Hence
the distribution of w(So) is harmonic measure on aDo relative to ~. The

corresponding discussion in the parabolic context is left to the reader.
The point of the preceding discussion is that the composition of a suitably
restricted [ super] parabolic function with space-time Brownian motion is a
[ super] martingale and the composition of a suitably restricted [super] har-
monic function with Brownian motion is a [super]martingale. The condition
(13.3) and the associated regularity conditions are unnecessarily strong,
however. In Chapter IX we shall treat the problems of this section more
directly and in more detail, without the use of the Ito integral, and eliminate
superfluous hypotheses. This elimination can of course also be effected
using the results of this section, but each of the two approaches is too
important to omit.
14. The Composition of an Analytic Function with Brownian

Motion
Suppose that N = 2 and that {w(·), fF(.) } is a Brownian motion from a point
of 1R 2 , and write z(t) = w(l)(t) + iW(2)(t). Let D be an open subset of the
complex plane, and let Do be a relatively compact open subset of D. Suppose
that z(O) is in Do and that f is a complex-valued regular analytic function
on D. Then if So is the hitting time of aDo by z(·), Ito's lemma yields (see
the remarks on localization in Section 12)
df[z(t)] = f[z(t)] dz,
and {j[ z(So 1\ t)]; fF(t), t ;:5; + oo} is a martingale. An adaptation of Appli-
cation (b) in Section 9 shows that if we define
Trz = inf {t: I If'(z(s)] 12 ds = (J.}, P= Jor

so
2
If'(z(s)]1 ds,
then j[z(T. 1\ So)] is a Brownian motion on the complex plane, killed at

time p. That is, f maps Brownian paths into Brownian paths with a new
time scale.
Chapter IX
Brownian Motion and Martingale Theory
The applications of the Ito integral in Sections VIII.l2 to VIII.l4 exhibit

aspects of the intimate relation between Brownian motion and martingale
theory. In the following we shall go from simple examples of this relation
to an analysis by means of martingale theory of the composition of the basic
functions of the potential theory for Laplace's equation [the heat equation]
with Brownian motion [space-time Brownian motion]. This will be effected
by a direct method without the use of the Ito integral, but there will be a
slight repetition of some of the most elementary topics in Chapter VIII.
1. Elementary Martingale Applications
Let {w(o),F(o)} be a Brownian motion on JRN. The following processes are

martingales relative to F(o) if the initial distribution ofthe Brownian motion
is chosen to make the process random variables have finite expectations,
for example, if the initial distribution is supported by a singleton.
MI w(o)
M2 {Iw(t) - '71 2 - Nu 2t,te jR+}, '7 arbitrary
M3 {exp[ <Y, w(t» - u2tr.~ YJ/2],te jR+}, Y = (Yl" .. , YN)
The first process is a vector martingale (in the obvious definition) be-
cause for s < t,
E{w(t) - w(s)IF(s)} = E{w(t) - w(s)} =0 a.s. (1.1)
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 ~ I because s < t implies that
E{[w(t) - '7]2IF(s)}
= E{[w(t) - w(s)]2IF(s)} + 2[w(s) - '7]E{w(t) - w(s)IF(s)} + [w(s) - '7]2
= (12(t - s) + [w(s) - '7]2 a.s. (1.2)
The third process is a martingale (for any complex vector y) because if s < t
628 2.IX. Brownian Motion and Martingale Theory
E{exp<y, w(t) - w(s» I~(s)} = E{exp<y, w(t) - w(s»}

(1.3)
= exp [ (J2(t -
N y2J
s) t ~ a.s.
Conversely, if {w('), ~(.)} is a stochastic process for which M3 is a martin-

gale whenever the components of yare purely imaginary, then the process
{w(·) - w(O), ~(.)} has the Brownian motion finite-dimensional distribu-
tions with variance constant (J2. In fact, if s < t, the martingale equality
(with y = if3 and 13 real)
E {exp [i<f3, w(t» + (J2t~f31}~(S)} = eXP [i<f3, w(s» + (J2s~f31J a.s.
(1.4)
yields
2
N 13 ]
E{expi<f3, w(t) - w(s» I~(s)} = exp [ _(J2(t - s) ~ ~ a.s. (1.5)
The difference w(t) - w(s) is therefore independent of ~(s), and it follows

that w(') has independent increments. Moreover (1.5) implies that w(t) -
w(s) is normally distributed with independent components, each of mean 0
and variance (J2(t - s), as was to be proved.
Application ofM 1. Let {w~('), ~~(.)} be a Brownian motion on ~N from e,
e,
let D be a bounded open subset of ~N containing and let S~ be the hitting
time of oD, almost surely finite because [Section VII.5(c)] lim,_ex> Iw~{t)1 =
+ 00 in measure. The function S~ is optional for ~~(.) (Section 11.4), and
therefore (Section IV.3) the stopped process {w~(S~ A t), ~~(t), t E ~+} is a
martingale. Equating expectations of the random variables of the stopped
e
process at times Oand t yields the equation = E{ w~(S~ A t)}, which becomes
(1.6)
when t -+ 00. In particular, if N = 1 and if D is the interval ]a,b[, (1.6)

becomes
(1.7)
which implies
P{w~(S~)=b} =-b-'
e-a (1.8)
-a
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 band 0 at a. In other words in this elementary case the
distribution of w~(') at the first hitting place on the boundary is harmonic
measure on the boundary relative to the initial point ~. This evaluation of
harmonic measure will be extended to the Borel boundary subsets of an
arbitrary Greenian subset D of IR N in Section 13. That is, if w~(·) is an N-
dimensional Brownian motion from ~ in D and if S~ is the hitting time of
aD by w~(')' it will be shown that S~ is almost surely finite when N = 2 and
that under the convention w~( + (0) = 00 when N > 2 the harmonic measure
evaluation (1.8) generalizes to
(1.8')
From this it follows that if f is a resolutive boundary function, the PWB

solution Hf is given by
(1.9)
Corresponding results will be proved for PWBh solutions. The evaluation

(l.8) can also be derived by solving the appropriate differential equation
problem. The rigorous argument is the following, once it has been shown that
the left side of(I.8) defines a harmonic function of~, that is, a linear function.
Let w(') be a Brownian motion from 0, so that ~ + w(') is a Brownian motion
from ~ and the measure space does not depend on~. A ~o + w(') path (with
a < ~o < b) which hits b before a will do so if the path is translated by
~ - ~o with ~ > ~o; so the function ~HP{W~(S~) = b} is an increasing func-
tion of~. Since almost every w(·) path is strictly positive at some parameter
values arbitrarily near 0, this increasing function has limit I at b, and a
similar argument shows that the limit is 0 at a. Hence the function must be
given by the right side of (l.8). This trivial example illustrates some of the
problems involved in a rigorous justification of the evaluation of Brownian
motion probabilities.
Application of M2. Let D be a bounded open subset of IR N , and define
as above. Equating expectations of the random variables of M2 with
w~( '), S~
" = 0 at times 0 and S~ 1\ t yields
(1.10)
and therefore
(1.11)
In the special case N = I, D = ]a, b[ this equation reduces to

630 2.1X. Brownian Motion and Martingale Theory
(1.12)
in view of the distribution of w~(S~) already evaluated. Thus the function

~ 1-+ E {S~} is the solution of the equation q2 !:iu = - 2 with boundary limit
functionO. For N > I and boundedDthemartingaleequality(I.II) becomes,
if we accept (1.8') (to be proved in Section 13),
q2NE{S~} = r 1'1- ~12JlD(~,dtO JeDr 1'112JlD(~,d'1) _1~12.

Jep
= (1.12')
As in the case N = I, the function ~ 1-+ E {S~} is the solution of the equation
q2 N !:iu = - 2 with the boundary limit function 0 in the sense that
q2 NE {S~} + I ~ 12 is the harmonic function which is the PWB solution of the
harmonic function Dirichlet problem with boundary function '11-+ 1'11 2 .
Application of M3. Let N = I, let w(o) be a Brownian motion from the
origin, choose ex> 0, and let Tbe the hitting time of {ex} by w(o). The density
of the distribution of T is given by VII (8.3) and will now be derived again
using the martingale M3. The optional time Tis almost surely finite because
according to the application of MI above the probability that a Brownian
path from 0 hits ex before -c (with c> 0) is cj(c + ex), which has limit I
when c - + 00. Equating expectations of the random variables of M3 at
times 0 and T /\ t yields
(1.13)
Take y real and strictly positive, so that the integrand is at most exp (yex).
When t - + 00 (1.13) becomes
(1.14)
that is
(1.15)
This equation specifies the distribution of Tby way of its Laplace transform.
2. Coparabolic Polynomials and Martingale Theory

It was shown in Section VIII.13 that the composition of a [co] parabolic
polynomial with space-[co] time Brownian motion from a point is a martin-
gale. We shall establish this result again in this section without using the
2. Coparabolic Polynomials and Martingale Theory 631
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 l.XV.3 by
iT = (~, t)
(2.1)
and to compose these polynomials with space-cotime Brownian motion from

the origin. That is, we consider
with {w(·), ~(.)} a Brownian motion in IR N from the origin, and we shall
prove that the process {Hm, ... mN[w(.)],~(,)} is a martingale.
To prove this fact, define Ylt) = exp [< y, w(t) >-lyI2(T2 t/2] as in VIII
(3.10) so that
(2.2)
and by l.XV(3.9) (if n = m 1 + ... + mN)
ifm. = n.,
(2.3)
otherwise.
For fixed y and t the series in (2.2) is a series of orthogonal random variables
with mean square limit sum Ylt). Thus integration to the limit with respect
to the probability measure is legitimate. Now the process {< y, w(·», ~(.)}
is a Brownian motion with variance parameter lyI2(T2; so (Section 1, Example
M3) the process {Yl'), ~(.)} 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,'''m [w(·)],~(·)}, and each of
these processes is therefore a martingale. The NL 2 martingale maximal in-
equality (Theorem 111.11) together with (2.2) implies that for b > 0
y(N)mN . • 12 }
Jk
00 y(l)m,
E{ ~~r IYlt) - m, +. '~mN=n m1 ! m

mN! H , .. 'mN[ w(t)]
(2.4)
This inequality implies that almost surely the partial sums in (2.2) converge
uniformly for t :s; b, Iyl :s; b l for each pair b, b l ·
Harmonic Polynomials
If u is a polynomial on IR N and is harmonic, u considered as a function on

fi;RN is a coparabolic (and parabolic) polynomial, and therefore the composi-
tion of u with a Brownian motion from a point of IR N is a martingale. This
result is generalized in the next section, as is the preceding result for copara-
bolic polynomials.
3. Superharmonic and Harmonic Functions on IR N and

Supermartingales and Martingales
The following theorem for superharmonic functions on IR N will be extended

in Section 7 to apply to superharmonic functions on Greenian sets but is
proved separately because its proof not only is easy but indicates without
technical complications why the relation between classical potential theory
and martingale theory is so close.
Theorem. Let {w(·),ff(·)} be a Brownian motion in IR N from ~. Let u be a

superharmonic function on IR N , and suppose that either (a) u is bounded below
or (b) u satisfies for all t > 0 the integrability condition
(3.1)
Then if u(~) < +00, the process {u[w(·)],ff(·)} is a supermartingale, a

martingale if u is harmonic. If u(~) = + 00, the assertion remains true for the
parameter interval ]0, + 00[.
If u is a harmonic polynomial, (3.1) is satisfied. Thus this theorem includes

the polynomial case noted in Section 2. If u is harmonic, case (a) is trivial
because a one-sided bounded harmonic function on IR N is identically constant
according to Section 1.11.2.
To t!eat case (a), suppose that u is lower bounded and apply the super-
harmonic function inequality L(u, r,·) :s; u(·) to the equality in (3.1) with
lui replaced by u to obtain
6(t,·, u) :s; u(·), (3.2)
3. Superharmonic and Harmonic Functions on [RN 633
which is precisely the supermartingale inequality, so that {u[w(o)],~(o)} is

a supermartingale over the set of parameter values t making E{u[w(t)]}
finite. Ifu(~) < + 00, the inequality (3.2) at ~ yieldsE{u[w(t)]} = 6(t,~, u) <
+ 00; so u[ w( 0)] is a supermartingale on the parameter interval IR +. If
u(~) = + 00, this argument fails, but the following inequality shows that
E{u[w(t)]} < +00 for t > 0 so that {u[w(t)],~(t),t> O} is a super-
martingale:
E{u[w(t)]} ~ (21t(12 t)-N/21tN f L(u, r, ~)rN-l dr + L(u, 1,~)

(3.3)
= (21t(12t)-N/2A(u, l,~) + L(u, 1,~) < + 00.
Here we have used the monotoneity of the function L(u, 0, ~).
To treat case (b), suppose that u is superharmonic and satisfies (3.1),
which is simply the statement that E{lu[w(t)] I} < + 00. Then (3.2) is again
valid; so u[ w(0)] is a supermartingale as stated, with the parameter value 0
omitted when u(~) = + 00. Finally, if u is harmonic and satisfies (3.1), this
discussion is applicable to both u and - u; so {u[w(o)], ~(o)] is a martingale.
Application to Potentials
If N > 2, a superharmonic potential GJ.I. of a measure J.I. satisfies the lower

boundedness condition (a). If N = 2, a superharmonic potential GJ.I. satisfies
.(3.1). In fact J.I.(1R 2) < + 00 because GJ.I. is superharmonic, and the following
inequalities (3.4) and (3.5) show that (3.1) is satisfied.
~ (21t(12t)-1 r J.I.(dO r 10gl'1- 'l-l/2(d'1) (3.4)
Jlli 2
J(i~-":S11
• = (4(12t)-IJ.1.(1R 2) < +00.
Use this inequality and set IX = (1t(12 t /2) 1/2 to derive
( 6(t,~, '1)/2 (d'1) { log 1'1 - 'IJ.I.(dO

Jlli 2
J(i~-~I>I}
~f J.I.(dO r 6(t,~,'1)logl'1-'1/2(d'1)+(4(12t)-IJ.1.(1R2)
1li 2 Jlli 2
~ L2 J.I.(dO log [L2 6(t,~, '1) 1'1 - 2

"'2(d'1)] + (4(12 t) -1 J.I.(1R )
s; L/(dOIOg [L2 6(t,~,,,)(I,, - ~I + I~ - (1)12(d,,)] + (4 q 2

2t )-lJl(lR )
= r log [ex + I~ - (I]Jl(dO +

J1R1 2
(4 q 2t )-lJl(1R 2)
S; [log (2ex) + (4q 2t)-1]Jl(1R 2) + r log(21~ - (I)Jl(dO; (3.5)

J11 {-<!>l1)
the last line is finite because the potential of the projection of Jl on the
exterior of B(~, ex) is harmonic on that disk and so is finite at ~.
Parabolic Context
Theorem 3 is easily translated into the parabolic context. Let {w(·),§,(·)}

e
be a space-time Brownian motion in IR N from = (~, s). Let Ii be a super-
parabolic function on a half-space {ord~ < c} of IR N containing and e,
suppose that either (a) Ii is bounded below or (b) Ii satisfies (for all t > 0)
(3.6)
Then if u(e) < +00, the process {u[w(·)],§,(·)} is a supermartingale, a

martingale if Ii is parabolic. If u(e) = + 00, the assertion remains true for
the parameter interval ]0, + 00 [. The proof follows that of Theorem 3.
Application to the Hitting of a Point by a Brownian Path
We have seen in Section VII.6 that almost every path of a Brownian motion
in IR hits every point of IR at arbitrarily large parameter values. When N > I
we shall now show that almost no path of a Brownian motion in IR N hits a
specified point" of IR N at a strictly positive parameter value. It is sufficient
to consider Brownian motions from a point of IR N . The function u = G(",·)
is superharmonic on IR N with value + 00 at ". This function is positive when
N> 2 and satisfies the integrability condition (3.1) for every point ~ (" not
excluded) when N = 2. If {w(·),§'(·)} is a Brownian motion from ~, the
process {u[ w(·)], §,(.)} is therefore a supermartingale except that the param-
eter value 0 is to be excluded if ~ = ". This supermartingale is almost surely
continuous, so (Section IV.I) almost every sample function is finite valued.
Hence almost no w(·) path ever hits" except when ~ = " and the parameter
value is O. It follows that if N> 1 and if A is a countable subset of IR N ,
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(1 Set

Let A be a subset of IR N , and let u(~, A) be the probability (if this probability
is defined) that a Brownian motion from ~ hits A at a strictly positive time.
The function u(·, 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.
Lemma. If A is an F" subset of IR N for N ~ 2, the function u(·, A) is super-

harmonic, harmonic on IR N - A.
[If N = 1, the function u(',A) is identically 1 when A is not empty.] If

N> 1, let B be a ball in IR N with center ~, and let T~ be the hitting time of
oB by the Brownian motion w~(·) from ~. Since Brownian motion is rota-
tionally symmetric about its initial point, the distribution of w~(T~) is the
uniform distribution J..LB(~'·) (harmonic measure) on oB. To show that u(·, A)
is harmonic on IR N - A, suppose that jj c IR N - A. Apply the strong Markov
property of Brownian motion to find that the probability that w~(') hits A,
which is the same as the probability that w~(') hits A after time T~, is given by
(4.1)
Thus u(',A) has the harmonic function average property on IR N - A and

hence is harmonic there. To show that u is superharmonic on IR N observe
that if A is an F" set, the set A - B is also an F" set, and u(·, A - B) is harmonic
on B according to what has just been proved. Since u(·, A - B) :::;; u(·, A) and
there is equality in the limit when B shrinks to its center ~ because (Section 3)
u(~, g}) = 0, the function u(·, A) is lower semicontinuous at ~. M.oreover
u(~, A) is at least equal to the probability that a w~(') path hits A after time
T~ ; so in the present context (4.1) is modified to the superharmonic function
inequality
(4.2)
The function u(',A) is therefore superharmonic on IR N , as was to be proved.
Parabolic Context
Let u(e, A) be the probability, if this probability is defined, that a space-time

e
Brownian motion from hits the set A at a strictly positive time. In view of
the fact (Section VII.l2) that parabolic measure on an interval boundary
relative to a point of the interval is the hitting distribution on the boundary

of a space-time Brownian motion from the reference point, the method of
proof of Lemma 4 with the ball B replaced by an interval shows that when
A is an Fa subset of iR N !9r N ~ I, the function u(o,A) is superparabolic on
iR N , parabolic on iR N - A. In particular, if A = A x ~ with A an Fa subset of
~N, the set A is an FO" subset ofiR N , and u«e,s),A) = u(~,A) for all s.
5. The Hitting of a Set by Brownian Motion

Theoremo Let w(o) be a Brownian motion on ~N.
(a) If A is a polar subset of~N, almost no w(o) path meets A at a strictly

positive parameter value.
(b) If N> 2, limt_<x> w(t) = 00 almost surely. Hence almost every
Brownian path from a point of a Greenian subset D of ~N either hits
a finite boundary point of D or lies in D and has the boundary point
00 as a limit.
(c) If N = 2, almost. every w(o) path hits every disk at arbitrarily large
parameter values.
Observation (N = 2). According to (a), almost no Brownian path from a

point of an open subset D of ~2 hits iJD if D is not Greenian. Conversely
(to be proved in Section 10), almost every Brownian path from a point of D
hits iJD in a finite boundary point if D is Greenian.
Proofof (a). If A is a polar subset of ~N and N > 2, there is a positive super-

harmonic function u on ~N, identically + 00 on A (Theorem I.V.2). Choose
fJ > O. According to Theorem 3, if w~(o) is a Brownian motion from ~, the
process {u[ w~(t)], t ~ fJ} is a supermartingale, and according to the sub-
martingale maximal inequality (Section 111.9) applied to the negative ofthis
supermartingale, the restriction to the rationals in [fJ, l/fJ] of almost every
u[w~(o)] sample function is bounded. Hence the same assertion is true if
w~(o) is replaced by a Brownian motion w(o) with an arbitrary initial distribu-
tion. Since u is lower semicontinuous, this function is continuous at each of
its infinities, and it follows that almost no w(o) path can hit A at a strictly
positive parameter value. If N = 2, it will be convenient and sufficient to
assume that A is bounded. According to Theorem l.V.2, there is a measure
Ji. whose potential u = GJi. is identically + 00 on A, and a glance at the proof
shows that Ji. can be chosen with compact support if A is bounded. In view
of the application to potentials in Section 3 the function u satisfies (3.1), and
the proof of (a) now goes through as in the case N > 2. 0
Proof of (b). It is sufficient to consider a Brownian motion w~(o) from a

e.
point If N > 2 and u('1) = 1'1I-N + 2 , the function u satisfies the hypotheses
6. Superharmonic Functions, Excessive for Brownian Motion 637
of Theorem 3 so that u[ w~(-)] is a positive almost surely continuous super-

martingale, omitting the parameter value 0 if ~ = O. Hence (Section 111.15)
limt_cx> u[ w~(t)] exists and is finite almost surely; that is, limt_cx> Iw~(t)1 exists
almost surely, and this limit is + 00 because (Section VII.5(c» the limit is
+ 00 in measure. 0
Proofof(c). Let Bbeadisk, and let u(~, B) be the probability that a Brownian
motion w~(-) from ~ ever hits B. According to Section 4, the positive function
u(-,B) is superharmonic on 1R 2 , and it follows (Section 1.11.13) that u(-,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.
If s > 0, the process {w~(s + t), t E IR +} is a Brownian motion with initial
distribution the distribution of w~(s), and so almost every Brownian path
hits B after time s; that is, almost every Brownian path from a point of 1R 2
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. 0
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 1 is also special, for example, in that only
the empty set of IR 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;::: 1. The parabolic version of Theorem 5(b) is trivial: if w(-) is a space-
time Brownian motion limt_cx> ord w(t) = - 00. See Section 15 for the hitting
of a parabolic-semipolar set by space-time Brownian motion.
6. Superharmonic Functions, Excessive for Brownian Motion
Theorem_ If u is a positive superharmonic function on the open subset D of

IR N , then u is excessive for 6 D , and 6 D(t, -, u) < + 00 for t > O.
See Section 8 for the converse theorem. The condition that u be excessive is
(a) tD(t,·,u):s;u,
(6.1)
(b) limtD(t,·,u)=u,
/.... 0
and we show first that (6.1b) and the finiteness of tD(t,·,u) follow from
(6.1a). For each point ~ of D let {w~(·),~(-)} be a Brownian motion in D
from ~, with lifetime S)., (Section VII.9); for example, this process can be a
Brownian motion in IR killed at the hitting time S~ of fJD. We can assume
that ~(O) contains the null sets and that ~(.) is right continuous. Since u
is lower sernicontinuous and positive and w~(·) is almost surely continuous,
Fatou's lemma yields
liminftD(t,~,u) = liminfE{u[w~(t)];S~ > t} ~ u(e), (6.2)

1-0 t-O
and therefore (6.1a) implies (6.1 b). The finiteness of tD(t,~, u) follows from
(6.la) ifu(O < + 00. Ifu(~) = + 00, let B be a ball with center ~ 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 tD(t,~, 'tBU) < + 00
and therefore
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
B.(,,) be the ball with center" in D and radius € 1\ (I" - fJDI/2), in particular,
of radius € if D = IRN . Choose a point" at which u is finite, and define
To = 0, n >0.
The function T1 is optional for ~(.) because T1 is the hitting time by the
almost surely continuous process {w~(·), ~(.)} of a closed set. The function
Tz - T1 is the hitting time of a closed set by the almost surely continuous
process
with state space D x D. Hence Tz - T1 is optional for ~(T; + .), and

therefore (Section II.2h) Tz is optional for ~(.). Proceeding by induction
we find that Tn is optional for ~(.) for all n. In view of the strong Markov
property the discrete parameter process {w~(Tn), ~(Tn), n E ~r} is a Markov
process with state space D and stationary transition function q, where
6. Superharmonic Functions, Excessive for Brownian Motion 639
q(rr,·) is the uniform probability distribution on iJB.(rr). Since q(rr, u) =

L(u,rr,e 1\ (Irr - aDI/2»,the process {u[w~(TJ],~~(TJ} is a supermar-
tingale. Obviously lim~... cx> Tn = S~ almost surely. Choose t > 0 and define
min {n : Tn ;;:: t} if S~ > t

k= {
+ 00 otherwise.
Then k is optional for ~~(TJ, and lim.... o Tk = t almost everywhere where

S~ > t. If u[ w~(T+oo)] is defined as 0, the supermartingale inequality at times
oand k (optional sampling theorem) yields
(6.4)
When e -+ 0, this inequality yields, in view of the lower semicontinuity of u

and Fatou's lemma,
(6.5)
so (6.la) is true, as was to be proved.
Probabilistic Interpretation of Theorem 6
In probability language Theorem 6 states the following. Let u be a positive

e
superharmonic function on an open subset D of IR N , let be a point of D,
e,
let {w~(·), ~~(.)} be a Brownian motion in IR N from and let S~ be the hitting
time of aD (Euclidean boundary) by w~(·). Then the process
{u[w~(t)]l{s >t};~(t),tEIR+}
~
is a supermartingale except that the parameter value 0 is to be omitted if

u(e) = +00. Equivalently, if {w~(·),~(·)} is a Brownian motion in D from
e, with lifetime S~' in which case w~(t) has domain of definition {S~ > t}
when t > 0, we can rephrase the result by stating that
is a supermartingale if defined as 0 for t ;;:: S~' except that the parameter

value 0 is to be omitted if u(e) = + 00.
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.
EXAMPLE. Let {w(o), jO(o)} be a Brownian motion in 1R 3 from the origin, let
¢o be a point of 1R 3 other than the origin, and define u( ¢) = I~ - ~o 1-1. Then
u is a positive superharmonic function on 1R 3 , and (by Theorem 3 or Theorem
6) the process {u[w(o)],jO(o)} is an almost surely continuous supermartin-
gale, trivially right closable by O. This supermartingale has the following
properties.
(a) u[w(o)] is L 2 bounded (and therefore uniformly integrable because
the function n ...... ,2 is a uniform integrability test function on IR +). In fact,
if B = B(~o, l~oI/2) and if 6(t, 0 = 6(t, 0, ~), then
f {w(t)ED;l3_Bj
u2[w(t)]dP = r
JD;l3_B
6(t, ~)I~ - ~ol-213(d~) ~ 41~ol-2,
(6.6)
f {W(tlEB}
u2[w(t)]dP~ (6(t,~)I~-~ol-213(d~)=231tI~oI6(t,~).
JB
(b) limt_oou[w(t)] = 0 almost surely because [by Theorem 5(b)]
limt _ oo w(t) = 00 almost surely.
(c) Choose fJ < leol, and let TlJ be the hitting time of oB(eo' fJ) by w(o).
Then, under the convention that u[ w( + 00)] = 0, the process
{u[w(TlJ 1\ t)];jO(t),tejij+} (6.7)
is a martingale, trivially bounded and therefore uniformly integrable. In

fact the process (6.7) is a supermartingale because it can be obtained by
stopping at time TlJ the supermartingale u[w(o)] right closed by 0, and the
process (6.7) is a submartingale because 21fJ - u[w(TlJ 1\ 0)] is a supermar-
tingale on the parameter set jij+. The latter process is a supermartingale
because if w'(o) is w(o) killed at TlJ/2 to obtain a Brownian motion in 1R 3 -
ii(eo, fJ12) and if u' is the restriction of u to 1R 3 - ii(eo, fJI2), then the compo-
sition 21fJ - u,[w'(o)] of the positive harmonic function 21fJ - u' with w'(o)
is a supermartingale which stopped at time TlJ yields 21fJ - u[w(TlJ 1\ on
[Assertion (c) is a consequence of Theorem 7(c) below because u' is a
bounded harmonic function on 1R 3 - ii(eo, fJ) and is continuous on the
closure of its domain, but it seemed more natural to prove (c) at this stage.]
(d) u(e) = E{u[w(TlJ)]} because this is the martingale equality for the
process (6.7) at times 0, + 00.
(e) {u[w(t)];jO(t),telR+} is not a martingale because if this uniformly
integrable process were a martingale it would be right closable by its limit
o at t = + 00 (Section 111.14) and would therefore almost surely vanish
identically.
(f) The process in (e) is a supermartingale potential because it is uni-
formly integrable; so there is L 1 convergence to 0 in (b).
(g) The process in (e) is a singular potential because limlJ _ O TlJ = + 00
almost surely since (Section 3 or Theorem 5) almost no w(o) path hits eo,
7. Composition of a Superharmonic Function with Brownian Motion 641
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 (<5 - 0) in (d) to find, since
limP{u[w(T~)] = O} = I,
~ ...o
the false evaluation u(eo) = o.
7. Preliminary Treatment of the Composition of a

Superharmonic Function with Brownian Motion;
A Probabilistic Fatou Boundary Limit Theorem
Theorem 6 makes it possible to analyze by martingale theory the composi-

tion of a superharmonic function with Brownian motion. "Preliminary" in
the section title refers to the fact that although in Theorem 12 below it will
be shown that almost every sample function of such a composition is contin-
uous, only right continuity will be proved in this section. Specifically, the
process x~(·) in (7.1) below is not only almost surely right continuous, as
proved in this section, but is in fact almost surely continuous, and the process
x~(·) in (7.1) is almost surely continuous except for a possible jump discon-
tinuity at the parameter value S~. Theorem 7 is also preliminary in that
(Theorem X.8) it is valid in the more general context of relative superhar-
monic functions and conditional Brownian motion.
In Section l.XII.19 it was proved that if h is a strictly positive harmonic
function on a Greenian subset D of IR N and if v is a positive superharmonic
function on D, then v/h has a minimal-fine limit at M h almost every point of
the Martin boundary of D. We shall see (Theorem 3.111.4) that an equivalent
probabilistic formulation of this theorem is Theorem X.8, which does not
involve a boundary and which states that v/h has a limit along certain condi-
tional Brownian paths. When h == I, this result is part (a) of the following
theorem.
Theorem. Let D be a Greenian subset of IR N , let ~ be a point of D, and let

{w~(·), ~(.)} be a Brownian motion from ~. It is supposed that ~(o) contains
the null sets. Define
s~ = sup {t > 0: w~(s)ED for s < t},
and let u be a positive superharmonic function on D with potential, singular

harmonic, and quasi-bounded harmonic components, respectively, up, Ums' and
Umqb, so that u = up + Ums + umqb . Then
(a) limtts~ u[ w~(t)] exists (finite) almost surely.

Define ~(+ (0) = YteffP.+ ~(t),
x~(t) = x~(t) = u[ w~(t)] if t < S~;

(7.1)
x~(t) = 0, x~(t) = lim u[w~(s)] if S~ ::s; t ::s; + 00.
sts~
(b) The processes {x~(·), ~(.)} and {x~(·), ~(.)} are almost surely right
continuous supermartingales except that the parameter value 0 is to
be omitted if u(e) = + 00. (The second process will be shown in
Section II to be almost surely continuous.)
(c) Ifu = up or u = um.. the limit in (a) vanishes almost surely. Ifu = Umqb,
the process {x~(·), ~(.)} is a uniformly integrable martingale.
(d) u(e) ~ Umqb(e) = E{limtts~u[w~(t)J}.
Observation. When S~ ::s; t ::s; + 00, the random variable x~(t) can be de-
fined arbitrarily on the null set on which the limit in (a) does not exist. Note
that if u(e) = + 00, the function u is necessarily continuous at so x~(·) e;
and x~(·) are almost surely continuous at the parameter value 0 in this case,
even though this parameter value must be excluded in the supermartingale
assertion.
The Optional Time S~
This random variable is the hitting time of the Euclidean boundary by w~(·).
The equivalent definition in the theorem was formulated to stress that the
theorem does not involve any specific boundary of D. When N> 2, the
hypothesis that D is Greenian reduces to the hypothesis that D is nonempty
and open. In this case S~ may be infinite valued with strictly positive proba-
bility and, in fact, is almost surely + 00 if D = IR N . When N = 2, the hypo-
thesis that D is Greenian, that is, (Theorem l.V.6) that 1R 2 - D is not polar
and that D is not empty, is made to avoid trivialities. In fact, if D is not
empty and not Greenian, then a positive superharmonic function on D is
necessarily identically constant; so the theorem is trivially true. Finally
according to Section to below, S~ < + 00 almost surely when N = 2 and D
is Greenian.
Proofof (a) and (b). The conditional expectation supermartingale inequality

for x~(·) is precisely (6.1a) except when the parameter value + 00 is involved,
in which case the inequality becomes trivial because x~( + (0) = 0 almost
surely. Moreover according to Theorem 6,
when t > O. It follows that the process {x~(·), ~(.)} is a supermartingale if

7. Composition of a Superharmonic Function with Brownian Motion 643
the parameter value 0 is omitted when u(e) = + 00. Throughout the follow-
ing proof we assume that u(e) < + 00; the modifications to be made in the
arguments when u( e) = + 00 will be obvious. Let u. be an increasing sequence
of finite-valued positive continuous superharmonic functions on D with
limit u (Theorem l.IV.lO). Denote by x~~(·) the primed process (7.1) with u
replaced by Un' According to what we have just proved, the process
{x~~(·), ~(.)} is a supermartingale, almost surely right continuous because
w~(·) is almost surely continuous. Thus the process {x~(·), ~(.)} is the limit
of an increasing sequence of almost surely right continuous supermartin-
gales, x~(t) = limn...."" x~~(t), and is therefore almost surely right continuous
(Theorem IVA). Since an almost surely right continuous supermartingale
almost surely has finite left limits (Theorem IV.I), it follows that (a) is true.
Thus x~(') can be defined by (7.1) and is almost surely right continuous. Let
D. be an increasing sequence of open relatively compact subsets of D with
e
union D and with in Do, and let Sn~ be the hitting time of aDn by w~(·).
The x~~(') process stopped at Sn~, that is, the process
is an almost surely right continuous supermartingale (Theorem IV.3). Hence
when 0 s; s < t. Furthermore, for each parameter value t, limn..."" x~~(t 1\ Sn~) =
x~(t) almost surely. Apply Fatou's lemma for conditional expectations
in (7.2) when n -+ 00 to find that the almost surely right continuous process
{x~(')' g-~(.)} is a supermartingale. (According to Theorem 11 below, this
process is actually almost surely continuous.) 0
Proof of (c) and (d). Denote the expectation in (d) by u'(~). The supermar-
tingale inequality for x~(') at the pair of times 0, + 00 yields u ~ 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 B(e, (5) c D and if T is the
hitting time of aB(e, (5) by w~(·), 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 aB(e, (5) in view of the
spherical symmetry of a Brownian motion about its initial point. Hence
u'(e) = E{E{limu[w~(t)]Ig-~(T)}} = L(u',~,I5).

tts~
Since u' (s; u) is finite IN almost everywhere on D, this function is harmonic;

that is, u' isa harmonic minorant ofu. Ifu = upisa potential, thenGMDu = 0
(Section l.IV.3); so u = 0, and the limit in (a) vanishes almost surely. If
u = Urns is a singular harmonic function,then for every constant c the function
U 1\ C is a potential (Section I.IX.IO), and therefore again the limit in (a)

vanishes almost surely. If u is bounded, say u ::;; lX, the inequality u ~ u' can
be applied to both u and lX - U to find that u = u'. Similarly the supermar-
tingale inequality can be applied to both x~(·) and lX - x~(·) to find that
{x~(·), ~(.)} is a martingale. If u = Umqb is a quasi-bounded harmonic func-
tion, the limit of an increasing sequence u. of positive bounded harmonic
functions on D, then the fact that the process {x~(·), ~(.)} in (7.1) with u
replaced by Un is a martingale implies that (n -+ (0) the unprimed process
in (7.1) is a martingale, necessarily uniformly integrable because it is right
closed [Section III.3(e)]. The equation in (d) is the martingale equality for
times 0, + 00. 0
The Vanishing of a Superharmonic Potential at the Boundary of Its

Domain
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 l.VIII.11), 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
lim 'CB"u
n-+(()
= n-oo
lim JlB,,(.' u) = O.
That is, u is a potential if and only if u has limit 0 at the boundary in

the L 1 sense relative to harmonic measure. According to Theorem 13
below, if T~n is the hitting time of oBn by a Brownian motion w~(·) from
e in B o, then JlB.(e,u)=E{u[w~(T~n)]}; so u is a potential if and only if
limn....'" E{u[ w~(T~n)]} = O. This condition is again an L 1 convergence condi-
tion. (It is sufficient in the preceding discussion if the L 1 condition is satisfied
e
for a single point in each open connected component of D.) According to
Theorem 7(c), a superharmonic potential u has limit 0 along almost every
w~(·) path to the boundary. This condition on a positive superharmonic
function u, if not reinforced by some kind of L 1 convergence condition, is
not sufficient to make u a potential, however. For example, consider for
D = B(O, I) the Poisson kernel function corresponding to the boundary
point"
The function u is positive and harmonic on D and has limit 0 at every bound-
ary point except' ; 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 b of ~N, then the parabolic context
analog of the process x~(') is almost surely right continuous but not neces-
sarily almost surely continuous, as shown by an example in Section 12.
8. Excessive and Invariant Functions for Brownian Motion

Theorem. If D is an open subset of IR N and if u is an excessive [invariant
excessive] function for t D' then on each open connected component of D the
function u is either superharmonic [harmonic] or identically + 00.
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
e
bounded on D, and let be a point of D. Then if {w~(·), ~(.)} is a Brownian
e
motion in D from and if x~(') is defined by (7.1), the pro~ess {x~('), §~(.) }
is an almost surely right continuous supermartingale. If B(e, (5) c D and if
T(<5) is the hitting time of oB(e, (5) by the Brownian motion, the supermartin-
gale inequality for times 0 and T(<5) yields the superharmonic function
e,
inequality u(e) ~ L(u, (5) because w~(T(<5» is uniformly distributed on
oB(e, (5) (spherical symmetry of Brownian motion about its initial point).
Hence u is superharmonic. In the general case define
(8.1)
According to Section VI.lO the function Un is excessive for t D and u. is an

increasing sequence with limit u. Moreover un::s; n, and in view of the
continuity properties of t D (Section VII.9) the function Un is continuous.
According to the special case of Theorem 8 just treated, the function Un
is superharmonic, and it follows that u, as the limit of an increasing sequence
of superharmonic functions, is either superharmonic or identically + 00.
If u is invariant excessive and not identically + 00, so that u is superharmonic
and positive, we know (by Theorem 6) that tD(t,', u) < + 00 for t > O. Hence
u = t(t,', u) is finite valued, and the process {x~(t), ~(t), tE IR+} is an almost
surely right continuous martingale. Note that the parameter set does not
include the point + 00. The martingale equality for this process at times 0
and t 1\ T((5) is
u(e)=f U[W~(T(<5»]dP+f u[w~(t)]dP. (8.2)

{T(el):5t} {Tlel}>t}
The second integral is at most
J II~-~I <ell
U('1)6D(t,~, '1)IN(d'1) ~ (27U1 2t)-N/2 f
(I~-~I <ell
u('1)IN(d'1)
and therefore tends to 0 when t -+ + 00. The first integral in (8.2) increases
to L(u,~, b) when t -+ + 00, and since u is locally IN integrable, it follows
that u is harmonic, as asserted.
EXAMPLE (a). Let u be a positive superharmonic function on the Greenian

set D. Then u is excessive for 6 D; so the function t 1-+6D(t,~, u) is monotone
decreasing. The function U o = lim r_ oo 6 D(t,', u) is an invariant excessive
function (Section VI.IO) and is therefore a harmonic minorant of u. A
probabilistic interpretation of U o will be given in Section X.I.
Parabolic Context
Theorem 8 in the parabolic context becomes: If D is an open subset of rR N

and if U is an excessive [invariant excessive] function for dD' then uis super-
parabolic [parabolic] on D if each point of D is below (relative to iJ) some
point of finiteness ofu. The proof follows that ofTheorem 8 except that balls
in ~N are replaced by intervals in rR N . For example, (8.1) becomes in the
present context
Un(~,S)=nrs 11(dt)f .dD«~,s),('1,t»[u('1,t)An]IN(d'1), (8.1')

J.-l/n {~:(~.r)eD}
and Un is continuous on D. Observe that even if u is not superparabolic on
D, the function u is lower semicontinuous there and is superparabolic on
every open set strictly under (relative to iJ) a point of finiteness of U. When
u is invariant excessive for di>, the function u is parabolic on every open set
strictly under (relative to iJ) a point of finiteness of U.
EXAMPLE (b). If D = rR N, the function uon D defined as + 00 or 0 according

as the ordinate is strictly positive or not is parabolic excessive but is not
superparabolic.
EXAMPLE (c). Let w(·) be a Brownian motion in ~N with parameter set ~,

and let u(', s) be the distribution density of w(s) relative to IN' as defined in
Section VII.2. Equation VII(2.3) satisfied by u shows that u is invariant
excessive for space-time Brownian motion; so u is parabolic on ~N. Con-
versely, direct calculation shows that a minimal positive parabolic function
on ~N, given by I.XVI(8.1), is invariant excessive for space-time Brownian
9. Application to Hitting Probabilities and to Parabolicity of Transition Densities 647
motion. In view of the integral representation IXVI(8.2) of an arbitrary

positive parabolic function in terms of minimal ones it follows that every
positive parabolic function on IR N is invariant excessive for space-time
Brownian motion.
9. Application to Hitting Probabilities and to Parabolicity of

Transition Densities
(a) Hitting Probabilities. Let D be a Greenian subset of IR N , and let A be

an analytic subset of D. Let w(') be a Brownian motion in D from ~, and
let u(~,A) be the probability that a w(') path hits A at a strictly positive
time; that is, u( ~,A) is the probability that an unkilled Brownian path from
~ hits A before it hits aD. Then the function u(', A) is superharmonic on D
and harmonic on D - A. It was shown in Section 4 how this fact can be
proved when D = IR N and A is an F" set. The method of proof is applicable
in the general case, but we remark that if A is an F" set, the theory of analytic
sets need not be invoked. At the present stage a second proof that u(', A)
is superharmonic can be given by noting that (Section VI. 12) this function
is excessive for Brownian motion and so is superharmonic by Theorem 8.
It will be shown in Section 14 that u(', A) = R+1A • The translation of this
discussion to the parabolic context is trivial: "superharmonic" becomes
"superparabolic" and so on.
(b) Parabolicity of Transition Densities. According to Section VII. 10, if D
is a nonempty open subset of IR N , if D = D x IR, and if '1 is a point of D,
then the function 6D(-, ., '1) is excessive for space-time Brownian motion in
D, invariant excessive for space-time Brownian motion in D - {('1, O)}, and
continuous and 0 at the points of D- {('1,0)} with ordinate values :s;0. It
follows that 6 D (',', '1) is superparabolic on D and parabolic on D - {('1, O)}.
More generally, if D is a nonempty open subset of iRN and if ~ is a point of D,
the fact (Section VII.10) that tD("~) is excessive for space-time Brownian
motion in D, invariant excessive for space-time Brownian motion in D - {~},
and continuous and 0 at the points of D- {~} with ordinate values :s; ord~,
implies that tD(·,iO is superparabolic on D and parabolic on D - {~}.
Now apply the Riesz decomposition to find that
(9.1)
Since [notation of VII(1O.3)] Iw~(t~) - ~I ~ laD - ~I, the last term in

VII(lO.3) defines a bounded function of~. It follows that c = 1 and that the
last term in VII(10.3) defines a parabolic function of ~ in D. In Section 17
we shall show that dD = CD, that is, the last term in (9.1) vanishes identically.
10. (N = 2). The Hitting of Nonpolar Sets by Brownian

Motion
The following theorem strengthens Theorem 5(c).
Theorem. (a) Let w(·) be a Brownian motion in 1R 2 , and let A be a plane set
which is not inner polar (for example, A may be analytic and nonpolar). Then
almost every w(·) 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 Brownian path
from a point of D hits the boundary.
Proofof (a). It can be assumed that w(·) = w~(') is a Brownian motion from
e.
some point It can also be assumed that A is compact and nonpolar. Then
its complement D is Greenian (Theorem I.V.6). Choose any point" in the
e.
same open connected component of D as The function u = GD (",·) /\ I
is a positive nonconstant continuous superharmonic function on D. Accord-
ing to Section 6, if S~ is the hitting time of oD, the process {u[ w~(t)] llse t },
t E IR+} is a supermartingale. The sample functions of this supermartingale
are almost all right continuous, even continuous except for a possible jump
at the parameter value S~ if S~ < + 00. Such a supermartingale has almost
surely a limit as the parameter becomes infinite (Section 111.13). If
P{S~ = + oo} > 0, there is a w~(') path with the following properties:
(i) The path never meets A.

(ii) u has a limit c on the path as the parameter becomes infinite.
(iii) The path meets every disk at arbitrarily large parameter values.
But then D is connected, and in view of the continuity of u this function
must be identically c, a contradiction. Hence S~ is almost surely finite valued;
that is, almost every w~(') path hits A. The proof of (a) is concluded in the
same way as the corresponding part of the proof of Theorem 5(c). 0
Proof of (b). If Dis Greenian, 1R 2

- D is not polar (Theorem I.V.6); so by
(a) of the present theorem almost every Brownian path from a point of
D hits the boundary. Conversely, if D is not Greenian, 1R 2 - D is polar;
so by Theorem 5(a) almost no Brownian path from a point of D hits the
boundary. 0
The Distribution of w~(S~) and Harmonic Measure (N ~ 2)
e
Let D be a Greenian subset oflRN , let be a point of D, let w~(') be a Brownian
e,
motion from and let S~ be the hitting time of oD (Euclidean boundary).
When N = 2, this optional time is almost surely finite according to Theorem
10. When N> 2, lim t .... "" w~(t) = 00 almost surely, and it is convenient to
II. Continuity of the Composition of a Function with Brownian Motion 649
define w~( + 00) = 00. It will be shown in Section 13 that for N "? 2 the
distribution of w~(S~) is the harmonic measure J.tD(e, e).
11. Continuity of the Composition of a Function with

Brownian Motion
In this section all Brownian motions have the same variance parameter.
Theorem_ Let u be a Borel measurable extended real-valued function on an

open subset D of IR N , and suppose that whenever w~(-) is a Brownian motion
e
from in D with S~ the hitting time of aD, the function u[w~(-,w)] isfor
almost every w right continuous on the interval [0, S/w)[. Then whenever
w(-) is a Brownian motion in IR N , thefunction u[w(-,w)] is for almost every
w continuous on the intervals on which it is defined.
According to Section VI.6, if A is a probability distribution on D and if

w;.(-) is a Brownian motion with initial distribution A, then almost every
u[ w;.(-)] process sample function is almost surely right continuous up to the
hitting time of aD because this is true by hypothesis when A is supported
by a singleton. Slightly more generally, if A is a measure on IRN and if AD
is the projection of A on D, then if AD(D) > 0, we can consider a Brownian
motion W;'D(-) with initial distribution AD (perhaps not a probability distri-
bution but the generalization to allow this case is trivial) and deduce that
almost every sample function of this process is right continuous up to the
hitting time of aD. Now if r > 0, the process w;.(r + -) is a Brownian motion
with initial distribution the distribution of w;.(r). It follows from what we
have just shown that almost every u[w;.(r + e)] process sample function for
which w;.(r)ED, and considered only up to the hitting time by u[w;.(r + e)]
of aD, is right continuous. The exceptional p;. null set depends on r, but the
union of these null sets as r ranges through the positive rational numbers is a
p;. null sets, and if w is not in this null set, the sample function tl-+ u[w;.(t, w)],
defined on the set of points t with w;.(t,w) in D, is right continuous. This
argument needs no change if A is not a probability measure and in particular
is valid if A = IN (see Section VII.2), a choice making the Brownian motion
stationary. With this choice suppose that b > 0, and consider the process
w;.(-) defined by
I {w;.(b-t) }ifO~t~b
w;.(t) =
w;.(O) + w;.(t) - w;.(b) if t > b.
This process is a Brownian motion; so almost every u[ W;.(-)] sample function

is right continuous where defined. In particular, almost every u[w;.(b - e)]
sample function is right continuous, where defined, on the parameter interval
[0, bE. Hence (under the present hypothesis that A. = IN) for every b > 0
almost every u[wi')] process sample function is continuous, where defined,
on the parameter interval [0, b[ and therefore on IR+. Referring back to
e
Section VI.6 again, it follows that for IN almost every in IR N this sample
function property holds for u[ w). (.)] when A. is supported by {e} and therefore
holds for u[wi')] when A. is absolutely continuous relative to IN' If now
w(') is a Brownian motion in IR N 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.
12. Continuity of Superharmonic Functions on Brownian

Motion
Theorem. If u is a superharmonic function on an open subset D of IR N and if
w(') is a Brownian motion on IR N , then almost every u[w(·)] sample function
(where defined) is finite valued and continuous except for a possible infinity
at the parameter value O.
It is sufficient to prove the theorem for D a bounded open relatively

compact subset of an open set D 1 , with u superharmonic on a neighborhood
of D. Adding a constant to u if necessary, it can be assumed that u is positive
on D. According to Theorem 7, the hypotheses of Theorem II are satisfied
by u. Hence the u[w(·)] sample functions are almost surely continuous
where defined. These sample functions are almost surely finite valued except
possibly at the parameter value 0 because (Theorem 5) almost no Brownian
path hits the polar set of infinities of u at a strictly positive time.
Parabolic Context
According to Section 7, if x~(') is the parabolic context version of the process
defined in (7.1), the process {xe('), ~(.) is an almost surely right continuou;s
supermartingale except that the parameter value 0 is to be omitted if u(e)
= + 00. It follows that except possibly at the parameter value 0, the xH')
sample functions are almost surely finite valued with finite left limits. It is
u
left to the reader to check that more generally if is any superparabolic
function on an open subset of IR N and if w(·) is a space-time Brownian
motion on IR N , then except possibly at the parameter value 0, almost every
u[w(')] 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.
EXAMPLE. Let f be a monotone increasing left continuous function on IR,

and define u on IR N by u(e,s) = f(s). The function u is superparabolic and
13. Preliminary Probabilistic Solution of the Classical Dirichlet Problem 651
if w(·) is a Brownian motion on ~N the u[w(·)] sample functions will have

jumps if f has discontinuities at values of the argument strictly less than
ord w(O).
13. Preliminary Probabilistic Solution of the Classical

Dirichlet Problem
The following theorem is a special case of the much deeper Theorem 3.11.2
but will be needed before it is possible to prove the latter. Recall that the
Euclidean boundary of a Greenian subset of IRN is PWB resolutive. Although
we have not and shall not define a Brownian motion w(') at the parameter
value + 00, we shall occasionally have formulas containing w(S), where Sis
a possibly infinite valued random variable; if so, w( + (0) is to be interpreted
as 00.
Theorem. Let D be a Greenian subset oflR N , let {w~(·),~(·)} be a Brownian

motion from ~ in D, and let S~ be the hitting time of the Euclidean boundary
iJD by w~(·).
(a) The distribution ofw~(S~) on aD
is the harmonic measure jJ.D(~' .).
(b) Let f be a PWB resolutive boundary function. Then
HJ(~) = EU[w~(S~)]}, (13.1)

lim HJ [ w~(s)] = f[ w~(S~)] a.s., (13.2)
sts~
and if x~(t) is defined by
if 0:::;; t < S~,

if S~ :::;; t :::;; + 00,
then the process {x~(t), ~(t), 0:::;; t:::;; + oo} is an almost surely con-
tinuous uniformly integrable martingale.
Observation. The evaluation (13.1) is the martingale equality for the

process x~(') at times 0, + 00, equivalently, at times 0, S~. The representation
HJ = HJvo - ~-J)vo of H J as the difference between two positive harmonic
functions makes clear by way of Theorem 7 why the limit in (13.2) exists. We
shall not use this argument, however. Equation (13.2) is an elegantjustifica-
tion of the PWB method of solving the Dirichlet problem, in that the solution
H J has the desired boundary limit function on approach along almost every
Brownian path. Equation (13.2) will be extended to an arbitrary PWB h
resolutive boundary function, defined on a not necessarily PWB h resolutive
boundary, in Theorem 3.11.2.
Proof of (a). It is sufficient to prove that (13.1) is true whenf is a bounded

Borel measurable function. say If I ~ c. Let v be a function on D in the upper
PWB class for f Then v + c is a positive superharmonic function on D and
has inferior limit at leastf(,,) + c at each boundary point ". Hence Theorem
7(d) with u = v + c yields the inequality (v + c)(~) ~ E{f[w~(S~)] + c};
that is. v(~) ~ E{f[ w~(S~)]}. By definition of Hf we conclude that Hf(~) ~
E{f[w~(S~)]}. and (13.1) follows on applying this inequality to bothfand
-f 0
Proof of (b). Equation (13.1) for PWB resolutive f follows from (a) since
Hf = J1.D(·,f). To prove the rest of (b) we first prove that for each t ~ 0
(13.3)
This equation is trivial on the set {S~ ~ t}. 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[ w~(S~)lw~(t)}. Since the process
w~(t+·) is a Brownian motion with initial distribution the distribution of
w~(t). this conditional expectation is the expectation offat the first hit of aD
by a Brownian motion from w~(t). In view of (a) this expectation is almost
surely Hf [ w~(t)]. Thus (13.3) is true and shows that {x~(·). ~(.)} 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 asf[w~(S~)]. 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 W~(Sk~) is Yooo ~(Sn~)
measurable for all k; so limk .... oo W~(Sk~) = w~(S~). and therefore also f[ w~(S~)]
are Yooo ~(Sn~) measurable. It now follows from this measurability and the
conditional expectation continuity theorem that
(13.4)
that is. limn.... oo Hf [ w~(Sn~)] = f[ w~(S~)] almost surely. and (b) is now com-
pletely proved. 0
Parabolic Context
Theorem 13 translates directly into the parabolic context with no change in
proof.
14. Probabilistic Evaluation of Reductions 653
EXAMPLE. Let A be an analytic subset of IR N , let S~ be the hitting time of A by

e,
a Brownian motion from and define u(e,s) = P{S~ < s} for s > 0. Then
u(e,s) is the probability that a space-time Brownian motion in D = IR N X
]0, + oo[ from (e, s) hits A = A x ]0, + oo[ during the process lifetime at a
strictly positive tim~ It follows (Section 9) that u is superparabolic on D,
parabolic on D - A. In particular, if A is closed define Do = IR N - A,
Do = Do x ]0, + 00[. The parabolic version of Theorem 13 applied to the
restriction Uo of uto Do shows that Uo = /J.D o(·' Do x ]0, + ooD.
14. Probabilistic Evaluation of Reductions

e
Let D be a Greenian subset oflR N , let be a point of D, let w~(·) be a Brownian
motion process from ~, and denote by T't [Tt] the entry [hitting] time of a
set A by w~(·).
Theorem. If A is an analytic subset of D and if v is a positive superharmonic

function on D, then (reductions relative to D)
R~(e) = E{v[w~(T't)]; T't < TtD} (14.1)
IJ:(e) = E{v[w~(Tt)]; Tt < T!D}, (l4.1sm)
that is,
(14.2)
for every Borel set B.ln particular,
R1(e) = P{T't < TtD } (14.3)

RA(e) = P{T A < T OD }.
+1 ~ ~
(14.3sm)
Observation (a). Equations (14.1) and (14.1 sm) make obvious many of
the reduction properties which are not at all obvious from their potential
theoretic context, for example, the countable additivity of the function
vl-+R~ [Section l.VI.3(f)].
Observation (b). The proof of (14.1) and (14.1sm) for compact A given
below involves neither analytic set theory nor capacity theory, and since
these equations are true for A an Fa set if true for A compact, it follows that
the proof of these equations for A an Fa set involves neither analytic set
theory nor capacity theory.
Observation (c). The right side of (14.3sm) defines a superharmonic func-
e
tion of according to Section 9. More generally the function defined by the
right side of (14.1sm) is excessive for Brownian motion (Section VI.l2) and
is therefore superharmonic or identically + OC! on each open connected com-

ponent of D. Thus Theorem 14 can be considered as the identification of
certain probabilistically defined superharmonic functions as reductions.
It is sufficient to prove (14.1) and (l4.1sm) for bounded v (and the
boundedness assumption is made tacitly throughout the following proof)
because v is the limit ofan increasing sequence n f-+ v 1\ n of bounded positive
superharmonic functions.
Proof of (14.1) for A compact. If ~ ED - A, then R:(~) = RA(~), +v
T:, A =
A
T1,
,
and if A is compact, we have seen (Section I.VIII.IO) that R+v on D - A
is the PWB solution on D- A for the boundary function von A n oeD - A)
and 0 elsewhere. According to Theorem 13 this PWB solution is precisely
the right side of(l4.1) on D - A. On A the two sides of(l4.1) are both v(~).
Proof of (14.1) and (14.1sm) for analytic A. Fix ~, v and write 4>(A) for
the right side of (14.1) when A is analytic. The function 4> is an increasing
set function because if x(-) is the process v[w~(-)] redefined as 0 for parameter
values;:::: Tgv, then x(-) is an almost surely right continuous supermartingale
and 4>(A) = E{x(T~A)}; so the fact that 4>(B);:::: 4>(A) when A c B is the
supermartingale inequality for x(-) at the pair of times T~B, T~A. According
to Section l.VI.5, if 4>0 (A) is defined as the left side of(l4.1), 4>0 is a Choquet
capacity on D, that generated by a topological precapacity, the restriction
of 4>0 to the class r of compact subsets of D. Since 4> is an increasing set
function, equal to 4>0 on r, and since An i A implies that 4>(A n) i 4>(A), it
follows first that when A is open, 4>o(A) = 4>(A), second that when A is
analytic,
4>o(A) = sup {4>o(B): Be A, B compact}
= sup {4>(B): Be A, B compact} ~ 4>(A),
and finally when A is analytic,
4>o(A) = inf {4>o(B): B ::> A, B open} = inf {4>(B): B ::> A, B open} ;:::: 4>(A).
Hence 4> = 4>0 for A analytic, as asserted in (14.1). Equation (l4.1sm) is

true because (14.1) with A replaced by A - B(~, r) becomes (l4.lsm) when
r-+ O.
If (14. Ism) is applied to v = GD (", -), the right side of (14. Ism) becomes
GDA.(,,), where A. is the distribution of W~(T~A) for Tt < T!D, so that (14.lsm)
becomes the equation defining the measure c5;1(", 0). Hence (14.2) is true.
Classical Reductions Composed with Brownian Motion
Let D be a Greenian subset of ~N, and let {w~(o),~(o)} be a Brownian

motion in D from ~, with lifetime S~. It is supposed that ~(O) contains
the null sets. Let v be a positive superharmonic function on D. Then
14. Probabilistic Evaluation of Reductions 655
lim v[ w~(s)]
sts~
exists almost surely, and we define v[ w~(t)] for S~ ~ t < + 00 as this limit,
so that (Section 7) {v[w~(')]'~(')} is an almost surely continuous super-
martingale. LetA be a Borel subset of D, and define A = {(t, w): w~(t, w)EA}.
The set A is nearly predictable because w~(·) is a nearly predictable process.
In the classical context R+vA is a positive superharmonic function on D, and
we define
for S., ~ t < + 00. The supermartingale reduction RA.

+v[w (-)
I (.) is an almost
surely continuous supermartingale, and Theorem 14 cohl'bines with Theo-
rem IV.20 to show that this supermartingale is indistinguishable from
RA[w
+v ~
(.)].
Generalization. Let A and B be analytic subsets of D, and let T{B be
the hitting time by w~(') of B after hitting A but before hitting fJD,
Then using the notation ~ ~ for smoothed reductions,
and in particular,
(14.5)
To prove (14.4), observe that if z(') is the w~(') process killed at Tg D , then
(strong Markov property) z(T/ + .) is a Brownian motion process killed
at Tr - T~A with initial distribution that of Z(T~A), of total value ~ I. The
hitting time of B by this process is T{B - T( Thus the right side of(14.4) is
E{E{v[w~(T{B)]; T{B < Trlw~(T/)}} = EUV~B[Z(T/)]} = ~ ~V~B~A(~).

(14.6)
Parabolic Context. Theorem 14 and the generalization translate directly

into the parabolic context, together with their proofs. In particular, in the
obvious notation bi(~, B) = P{w~(tt)EB; tt < tpj}.
15. Probabilistic Description of the Fine Topology

Let ~ be a point of IR N , let w~(') be a Brownian motion from ~, and for any
subset A of IR N denote by T/' the hitting time of A by w~(')'
Theorem. For ~ to be a fine limit point ofA it is necessary that
P{Tt=O}=1 (15.1)
whenever B is an analytic superset ofA, and it is sufficient that (15.1) be true

whenever B is an open superset of A.
According to this theorem, if A is analytic, the point ~ is a fine limit

point of A if and only if (15.1) is true when B = A; a Borel set A is a fine
neighborhood of ~ if and only if almost every w~(.) path lies in A for some
parameter interval [0, t[ with t = t(w) > O. The value t can be taken as the
hitting time of IR N - A.
In proving Theorem IS we can assume that A is a subset of a Greenian
set D. Since (Theorem l.XI.3) ~ is a fine limit point of an analytic set A
if and only if (jt(~, {~}) = 1 the theorem for A analytic follows from (14.2)
with B = g}. Since (Section l.XI.l) ~ is a fine limit point of a set A if and
only if ~ is a fine limit point of every open superset of A the theorem follows.
Application to Fine Limits and Cluster Values
Let u be a Borel measurable function from an open subset D of IR N into a

complete separable metric space D', let ~ be a point of D, and let w~(') be a
Brownian motion in IR N from ~. An application of Theorem 15 to the analysis
of limit values of u along Brownian paths in Section VII.6(d)-(f) yields the
following results. If D' = iR, then
limsupu[w~(t)] = flimsupu('1) a.s.

1-0 ~-~
along with the corresponding relation for the inferior limit. For general D'
a point '1' of D' is a fine cluster value of u at ~ if and only if '1' is a cluster
value of u along almost every w~(') path back to ~, and u has fine limit '1'
at ~ if and only if liml_ou[w~(t)] = '1' almost surely. Recall that a point
'1' is a cluster value of u along either almost no or almost every w~(') path
back to ~ and that P{limr_ o u[ w~(t)] exists} is either 0 or I, and in the latter
case this limit is almost surely constant, that is, a single point '1'.
Parabolic-Fine Topology
In the context of the parabolic-fine topology the counterpart of Theorem

15 with Brownian motion replaced by space-time Brownian motion is true,
15. Probabilistic Description of the Fine Topology 657
and the proof is an immediate translation of the proof of Theorem 15 into

the parabolic context. The application of Theorem 15 to fine limits and
cluster values goes over into the parabolic context with no change.
Application to the Support of a Swept Measure (Notation of Theorem 14)
According to Theorem 14, the distribution of W~(T~A) for T~A < T!D is
~t(e, 0). Observe that on the one hand for T~A < T$D the process W~(T~A + 0)
is a Brownian motion with initial distribution that of W~(T~A) and on the
other hand for T~A < T£D and w~(Tt) not in A the set of strictly positive
values of t with w~(Tt + t) in A must have limit point O. Hence according
to Theorem 15 and the strong Markov property of Brownian motion, the
distribution ofw~(Tt) for T~A < T$D, that is, the measure ~t(e, 0), is supported
by the trace on D of the fine closure A u AI of A. This reasoning in the
parabolic context yields the corresponding result for the support of a swept
measure in that context. These results have already been derived non-
probabilistically in Sections l.XI.l4 and l.XVIII.B. In the classical context
but not in the parabolic context we can go further. In fact (classical context)
almost no w~(o) path hits the polar set A - AI; so ~t(e, 0) must be supported
by AI, as proved nonprobabilistically in Section l.XI.l4. A simple time
reversal argument shows that W~(T~A) is almost never a fine interior point
e e
of A if E D - AI; so for such a point the distribution ~t(e, 0) is supported
by D n alAI, as was proved nonprobabilistically in Section l.XI.l8.
The Hitting of a Parabolic-Semipolar Set by a Space-Time Brownian

Motion
Let w(o) be a space-time Brownian motion in iR N , and let A be a parabolic-

semipolar subset of iR N . We now show that for almost every w(o) path the set
of parameter values t with w(t) E A is at most countable. In view of the struc-
ture of a parabolic-semipolar set it is sufficient to prove the assertion for A a
Borel set parabolic-thin at every point of iR N • Moreover it is sufficient to
consider only hits of A during the parameter interval ]0, c[ for arbitrary
c > O. Let T~ be the hitting time of A by w(o). Ifw(o) is a space-time Brownian
motion from a point ~, then P {T~ = O} is either 0 or 1 and must be 0 because
A is parabolic-thin at ~. It follows that P{T~ = O} = 0 with no restriction
on the distribution of w(O). Define T1 = T~ /\ c. The process w(T1 + 0) is
a space-time Brownian motion; so if T~ is the hitting time of A by this
process, we conclude that P{T~ = O} = O. Hence w(T1 + T~)EA almost
everywhere where T1 + T~ < + 00. Define T2 = (T1 + T~) /\ c. Continuing
in this way we find an increasing sequence To of optional times such that
almost surely Tn::;; c; Tn < c implies that W(Tn)EA and Tn < Tn+ 1 ; for
t < Tp = lim n _ oo Tn the inclusion w(t) E A is true if and only if t = T1 or
T 2 , •••• Here Pis the first transfinite ordinal. We can continue by transfinite
induction, defining Tp+1 ;S; Tp+2 ;S; .••. Observe that E{Ty} = E{Ty+d if
and only if Ty = c almost surely; so there is a countable ordinal y such that
Ty = c almost surely, and it follows that almost every w(·) path meets A
at most countably often in the parameter interval ]0, c[, as was to be proved.
Since (Section I.XVIII.l2) a parabolic-semipolar set is also coparabolic
semipolar, a parabolic-semipolar set is a countable union of Borel sets
which are both parabolic thin and coparabolic thin at every point of fRN,
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:'=1 {Tn = c}} = I in
the preceding proof; so transfinite induction could have been avoided.
The Iterated Logarithm Law
Let w(·) be a Brownian motion in IR N from the origin. Then
. Iw(t)1
hm sup = I a.s. (15.2)
1-0 (20- 2tlogllogtl)I/2
In fact a slightly stronger assertion is true: when c > I,
Iw(t)j2 < 2c0- 2tlogllogtl (15.3)
almost surely for all sufficiently small strictly positive values of t, depending
on the Brownian path, but when c = I, there are almost surely arbitrarily
small strictly positive values of t for which there is equality in (15.3). This
result is a restatement in probability language of the significance of Section
I.XVIII.6, Examples (d) and (e). To see this, observe that on the one hand
according to Example (d) when c = I, the open set
has the origin as a parabolic-regular boundary point, and therefore (Theorem

I XVIII. 7) iJ is not a deleted parabolic-fine neighborhood of the origin.
Hence almost every space-time Brownian path from the origin hits fRN - iJ
at arbitrarily small strictly positive parameter values; so the limit superior
in (15.2) is almost surely at least I. On the other hand when c > I, according
to Example (e), the set iJ has the origin as a parabolic-irregular boundary
point, and therefore (Theorem IXVIII. 7) iJ is a deleted parabolic-fine
neighborhood of the origin; so almost every space-time Brownian path
from the origin lies in iJ for all sufficiently small strictly positive parameter
values, and thus (15.3) is true almost surely for all sufficiently small strictly
positive values of t, depending on the path. Hence the limit superior in
(15.2) is almost surely at most c and so must be almost surely 1.
16. Composition of a-Excessive Functions with Brownian Motions 659
16. a-Excessive Functions for Brownian Motion and Their

Composition with Brownian Motions
Let D be a connected Greenian subset of !R N . Throughout this section IX

is a fixed positive number, and if u is a function from D into iR, the notation
U refers to the function on D = D x !R defined by u(~, t) = eIXtu(~). Define
an operator /':iIX with domain the C(2) class of functions on D by
(16.1)
The condition that a universally measurable function u from D into iR+

be IX-excessive for Brownian motion in D is
with equality in the limit when t -+ 0, and it follows that u is IX-excessive

if and only if u is excessive for space-time Brownian motion in D. Hence
(parabolic context version of Theorem 8) u is superparabolic if finite on
a dense set, and we can derive the following assertions (1X1) and (1X2).
(1X1) If u is IX-excessive, then u is lower semicontinuous and either
u == + 00 or u < + 00 quasi everywhere on D.
The finiteness assertion follows from the fact (Section l.XVIII.ll) that
a subset A of D is polar if the set A x !R is parabolic polar.
(1X2) If u is a positive function from D into !R of class C(2I, then u is
IX-excessive if and only if /':iIXu ~ 0, and if u is IX-excessive, the Riesz measure
associated with u(Theorem I.XVII.6) has IN+l density
at (~, t).
If u is an arbitrary not identically + 00 IX-excessive function, the decom-
position u = up + Umqb + Ums of the positive superparabolic function U into
its potential, quasi-bounded parabolic, and singular parabolic components
is invariant under a translation (11, t) 1-+ (11, t + c). Hence, if v is anyone of
the above three components,
and we write itp(~, 0) = up(~), itmqb(~' 0) = Umqb(~)' itms(~' 0) = ums(~)' Then

/':iIX Umqb = 0 and /':iIX ums = O. Moreover the function (~, t)l-+eIXtup(~) is a super-
parabolic potential on D, and the above translation argument shows that
the Riesz measure associated with this potential is a product measure of
the form eIX'J.l(drf}lt (dt) with J.l a measure on D. If u is of class C m , we have
already evaluated J.l: J.l(d~) = -/':iIXu(~)IN(d~).
Now let ~ be a point of D, let {w~(')' ~(.)} be a Brownian motion from

~, and let S~ be the hitting time by w~(·) of the Euclidean boundary of D.
The definition of S~ in Section 7 shows that actually no specific boundary
is involved here. In the following U is an arbitrary not identically + 00 IX-
excessive function on D. According to the parabolic version of Theorem 7
applied to U, almost every u[w~(')] sample function, for parameter values
< S~, is right continuous and is finite except when u(~) = + 00 and the
parameter value is O. Apply Theorem 11 to find that "right continuous"
here can be replaced by "continuous" and that for an arbitrary Brownian
motion w(') in IR N almost every u[w(·)] sample function is continuous when
the w(') path is in D and is finite valued except when w(O)ED, u[w(O)] =
+ 00, and the parameter value is O. Theorem 7 applied to U yields the results
(IX3)-(IX6).
(IX3) lim e- lXl u[ w~(t)] exists « + 00) almost surely.

tts~
Define ~( + 00) = Ys E R+ ~(s),
x~(t) = x~(t) = e-atu[ w~(t)] if t < S~;
x~(t) = 0, x~(t) = lim e-a·u[w~(s)] if S~ :::;; t :::;; + 00 .

•ts~
(IX4) The processes {x~(')'~(')} and {x~(')'~(')} are almost surely

continuous supermartingales except that the parameter value 0 is to be
omitted if u(~) = + 00 and that x~(·) will have a jump at t = S~ when S~ <
+ 00 unless x~(S~-) = O.
(IX5) If u = up or u = Urns, the limit in (IX3) vanishes almost surely. If
u = Umqb' the process {x~(')' ~(.)} is a uniformly integrable martingale.
(IX6) u(~) ~ Umqb(~) = E{lim e-atu[ W~(t)]}.
tts~
EXAMPLE. If u is the sum of a convergent series of positive bounded e(2)

solutions on D of the equation !!au = 0, we now show that U = Umqb; so
u(~) = E{lime-atU[w~(t)]}.
tts~
(16.2)
It is sufficient to prove this assertion when u is bounded. (Observe that

boundedness of u does not imply boundedness of u.) Define
The parabolic context version of Theorem 7 applied to the positive super-

parabolic function U /\ non b implies that u" is the quasi-bounded parabolic
17. Brownian Motion Transition Functions as Green Functions 661
component of U /\ n. Since u. is an increasing sequence of bounded parabolic

functions with limit U, the function uis quasi bounded.
It is left to the reader to show that if f is a positive Borel measurable
function on the Euclidean boundary of D and if we define u on D by
with the convention that e- OO = 0, then u is either identically + Cf.) or a

e(2) solution of the equation lia u = 0 and to show that iff is bounded and
is continuous at a regular Euclidean boundary point , of D and if S~ is
almost surely finite, then u has limit f(O at ,. This result, which can be
considerably strengthened, illustrates the possibility of analyzing the
Dirichlet problem for solutions of the equation lia u = 0 by means of the
corresponding analysis of the Dirichlet problem for parabolic functions.
The reader is also invited to generalize the whole discussion of this section
by studying the linear space of differences U l - U 2 of functions on D for
which ul and U2 are positive and superparabolic on D. The above restriction
to positive functions will thereby be dropped.
a-Excessive Functions for Space-Time Brownian Motion
If u is an arbitrary a-excessive function for space-time Brownian motion

in an open subset D of iR N , that is, if the function ua: ~ = (11, t) 1--+ eaIU(~) is
excessive for space-time Brownian motion on D, the properties of excessive
functions in the parabolic context are immediately applicable to ua'
17. Brownian Motion Transition Functions as Green

Functions; The Corresponding Backward and Forward
Parabolic Equations
Let D be an open subset of iR N . Throughout this section ~ = (e, s), ~ = (11, t),
and these points are in D. Recall that iv as defined in Section VII. 10 is a
density determining the transition function of space-time Brownian motion.
In particular (Section VII.9), when D = D x IR with D a Greenian subset
of IRN , space-time Brownian motion on D is governed by a transition density
t5v with t5v(t,~, 11) = iv«~, s), (11, s - t)). Furthermore for this choice of D
the notation t5 v was also introduced in Section l.XVII.18 but was defined
there to satisfy (b) of the following theorem. According to (b), these two
interpretations of t5v are equal.
Theorem. Let D be a nonempty open subset of iRN , and let i v be the transition
density of space-time Brownian motion in D.
(a) 66(e,'1) = G6(e, '1).

(b) In particular, if iJ = D x IR with D a Greenian subset of IR N and if
6D is the transition density ofBrownian motion in D, then 6D(t, 11) =e,
G6«e,S),(11,S - t)).
Proof (a) Assertion (a) is true if iJ = IR N because then both sides of the
e,
equality in (a) reduce to 6(s - t, 11). In the general case 66 is given by
VII(lO.3), and according to the probabilistic evaluation of parabolic measure
in Section 13, equation VII(lO.3) means that for fixed '1, t6(e, '1) is equal
e, e
t06(s - t, '1) less the parabolic Dirichlet solution on iJat for the boundary
function 6(' - t,', '1) (defined as 0 at the point ex:> if iJ is unbounded). Since
G6 can also be expressed in terms of 6 in this way (Section l.XVIII.l), (a)
is true.
Assertion (b) is a specialization of (a) requiring no separate proof. 0
t
Observation (a). The transition density 6 satisfies two differential equa-
tions: t6(', '1) is parabolic on iJ - {'1}, that is, .1~t6(e, '1) = 0 there; t6(e,')
is coparabolic on iJ - e, that is, J.~t6(e, '1) = 0 there. These equations are
called, respectively, the backward and forward equations of the space-time
Brownian motion because they refer, respectively, to initial and later posi-
tions. If iJ = D x IR with D a Greenian subset of IRN the transition density
e,
6D also satisfies two differential equations: 6D(t, 11) defines a parabolic
e
function of (e, t) and one of (11, t) for :F '1. This formulation obscures the
difference between the backward and forward equations, however. The
point is that 6D(S-t,e,'1) is parabolic in (e,s) (backward equation) and
coparabolic in ('1, t) (forward equation) for (e, s) :F ('1, t).
Observation (b). It was proved in Section l.XVII.18 that if iJ =D x IR
with D a Greenian subset of IR N , then
(17.1)
for aN as specified in that section. We shall now sketch how (17.1) can be
derived from the probabilistic definition of 6D in Section VII.9 without
using the potential theory derivation. Observe first that for N ~ 3 equality
(17.1) follows from the evaluation of 6D in VII(9.5). In fact (17.1) is true
if D = IR N , in which case 6D = 6, and on integration VII(9.5) becomes
in view of the fact that w~(S~) has distribution J.l.D(e, .). The bracketed quantity
was identified with GD(e, '1) in Section l.VIII.3. When N = 2, first let D
be a half-plane D+. We have evaluated GD + in l. XVII (I 8.3) 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 l.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
(17.3)
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 = 1 is treated
similarly. Observe that the above argument when N ~ 3 is simpler than the
argument given in Section lXVII.18 because parabolic measure is available
in the present context.
Application to Energy
In Section lXIII.8 it was pointed out that the evaluation of GD given in

Theorem 17 can be used to prove that the energy of a charge is positive.
18. Excessive Measures for Brownian. Motion
The symmetry in classical potential theory, expressed, for example, by the

facts that the Laplace operator Ll is formally self-adjoint and that tD(t,',')
and GD (-,') are symmetric functions, suggests that the excessive measures
for Brownian motion are in some sense the same as their duals, the excessive
functions for Brownian motion. The following theorem shows that this
identification of tD-excessive functions with tD-excessive measures is in
fact correct in the most natural sense.
Theorem. If D is a Greenian subset of IRN , a (totally unrestricted) measure J1.

of Borel subsets of D is a tD-excessive measure if and only if there is a t D-
excessive function u such that for every Borel subset A of D
J1.(A) = L
udlN • (18.1)
Observe that this theorem means that on a connected open component

of D either the measure J1. is the indefinite integral ofa positive superharmonic
function u, or (u == + 00) J1.(A) is either 0 or + 00 according as A is or is not
IN null.
In the following proof of the theorem we assume to avoid trivialities

that D is connected. Recall that by definition a measure p. of Borel subsets
of D, not necessarily finite on compact sets, is called excessive if and only if
(t > 0) (18.2)
whenever A is a Borel subset of D, with equality in the limit when t -+ O.

If p. is a 6D -excessive measure, this limiting equality implies that p.(A) = 0
whenever IN(A) = O. If p. is 6D-excessive and if p.(A) = + 00 whenever
IN(A) > 0, then p. is given by (18.1) with u the identically + 00 excessive
function and conversely (18.1) with this excessive function yields an excessive
measure. On the other hand, if p. is 6D -excessive and if p.(A) < + 00 for some
not IN null Borel subset A of D, the finiteness of the right side of (18.2) along
with the continuity and strict positivity of 6D for t > 0 implies that p. is finite
valued on compact sets. Thus in this case p. is absolutely continuous relative
to IN, given by (18.1) with u a Lebesgue measurable function finite IN almost
everywhere on D. Then for fixed t > 0,
(18.3)
which in view of the Chapman-Kolmogorov equation and the symmetry

of 6D (t,·,·) implies that
for all s > 0, t > 0, YJED. Hence for fixed ~ the left side of (18.3) increases
as t decreases. Define u'(YJ) as the limit of this left side when t -+ O. Then
u' ~ u IN almost everywhere on D, and there must be equality IN almost
everywhere because the left side of (18.2) has limit p.(A) when t -+ O. 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 6D -excessive function
and is not identically + 00, that is, if u is a positive superharmonic function
on D, then u is locally IN integrable, and using again the symmetry of 6D( t, ., .),
we find that
(18.5)
with equality in the (monotone) limit when t -+ O. Integrating fA -IN(dYJ)

yields the fact that the measure p. given by (18.1) is 6D -excessive.
18. Excessive Measures for Brownian Motion 665
Space-Time (Parabolic) Context. Let D be a nonempty open subset of

IR N • We use the notation introduced in Section VII.2: if A is a subset oflRN ,
define A, = {PI: (PI,t)EA} and A, = At x {t}. Furthermore let ~ be the (J
algebra of subsets A of D for which A n Dt is a Borel set for all t. A measure
it on the (J algebra ~ determines a measure J..L(', t) of Borel subsets of D,
by way of J..L(A, t) = it(A x {t}). Conversely, if for each t there is a measure
J..L(', t) of Borel subsets of Dt , a measure it on ~ can be defined by setting
it(A) = L J..L(A" t) (18.6)

'e.1R
with the obvious convention for uncountable sums. In the following "mea-
sure on~" refers to a measure defined in this way, but we make no hypotheses
on the finiteness of it or of J..L(', t) on any class of sets. A measure it on ~
is iv-excessive if and only if whenever A E D,
( J..L(d~, s) ( &v«~, s), (PI, t) )IN(drJ) ~ J..L(A" t) (s > t), (18.7)

JDs 1,
and there is equality in the limit when t 1s. A iv-excessive measure is a
measure on ~ satisfying the obvious dual condition. The counterpart of
Theorem 18 in the parabolic context can now be stated: a measure it on ~
is a &fF [iv-] excessive measure if and only if there is a i Ii- [&Ii-] excessive
function Ii such that for A E ~
(18.8)
In the one direction let Ii be a t'Ii-excessive function, so that 0 ~ Ii ~ + 00,

Ii is ~ measurable, and
r &Ii«~, s), (PI, t»Ii(PI, t)IN(dPl) ~ Ii(~, s)

JD,
(s> t) (18.9)
with equality in the limit when t 1s. Define a measure it on ~ by (18.8)

and (18.6). In view of the duality relation VII(IO.6) between t'~ and iIi
the inequality (18.9) implies that for A E~,
JDt
( J..L(dPl, t) r iIi «PI, t), (~, s»IN(d~) ~ J..L(A
JA s
s' s) (18.10)
with equality in the (monotone) limit when tl s; so it is iIi-excessive. Con-

versely, if it is a iIi-excessive measure, then following the argument for the
classical case as given in the first part of this section it is not difficult to see,
but more so than in the classical case, and we leave the details to the reader,
that there is a iIi-excessive function Ii satisfying (18.8).
The dual assertion for iD-excessive functions and iD-excessive measures

is derived in the same way or reduced to the one just proved by a reflection
of ~N in the abscissa hyperplane.
19. Nearly Borel Sets for Brownian Motion

In a general context a set A in the (topological) state space of.a stochastic
transition function p is called nearly Borel if for every initial distribution
J.l on the state space and an almost surely right continuous Markov process
x,.(-) with transition function p there are Borel subsets A~ and A; of the
state space for which A~ cAe A; and for which almost no x,.(·) path hits
A; - A~ at any strictly positive time. The subtleties of this definition are
needed in more general contexts but are quite unnecessary in the Brownian
motion context according to the following theorem.
Theorem. A set A is nearly Borel for Brownian motion in an open subset of

IR N if and only if A differs from a Borel set by a polar set.
We can suppose that we are dealing with Brownian motions in a connected

Greenian set D. If A is nearly Borel and if J.l is supported by the singleton
{e}, the difference A; - A ~ is a Borel set whose hitting time by a Brownian
e
motion from is almost surely + 00 so that by Theorem 14 the smoothed
reduction of the function I on the difference set is identically O. Hence
(Theorem l.V.4) this difference set is polar; so A differs from A~ by a polar
set. Conversely, if A differs from a Borel set by a polar set, it can be supposed
that A = Ao U AI' where A o is a Borel set and Al is polar, and if so, the sets
A~ and A; can be chosen, respectively, as A o and the union of A o with any
polar G" superset of AI'
Nearly Borel Sets for Space-Time Brownian Motion. The parabolic con-
text counterpart of Theorem 19 is a direct translation.
20. Brownian Motion into a Set from an Irregular Boundary

Point
Let D be a Greenian subset of IR N , and let aD be the Euclidean boundary.

Let' be a finite irregular boundary point of D, let w(') be a Brownian motion
from " and let S be the hitting time of aD by w(·). According to the fine
topology criterion of irregularity of a boundary point (Theorem 1.xVIII.7)
and the corresponding probabilistic criterion by way of Theorem 15, the
random variable S is almost surely strictly positive. Let w'(') be the process
w(·) killed at time S. Then {w'(t), t > O} is a Markov process with state space
D and transition density t D . Now let v be a positive superharmonic function
20. Brownian Motion into a Set from an Irregular Boundary Point 667
on D. A trivial adaptation of Theorem 8 shows that the process {v[w'(t)],

t > O}, if defined as 0 for t 2 S, is almost surely continuous for t < Sand
is a positive supermartingale if the expectations of the process random
variables are finite. If we replace v by v 1\ c if necessary to ensure finiteness
of these expectations and then let c tend to + 00, we find by the backward
supermartingale convergence theorem that v has a finite or infinite limit
along almost every w(·) path back to C that is, v has a fine limit ~ + 00
at ,. We have thereby obtained a probabilistic proof of the limit result in
Section lXI.21; a similar argument yields the corresponding parabolic
context theorem in Section I.XVIII.l7.
For fixed 1] in D the function ~ = (~,s)H6D(S,~,1]) on D x IR is super-
parabolic and positive and is bounded on {~: s > so} for each strictly
positive so; so for t > 0 and 1] E D the limit pflim~_(~.O) 6D (t + s,~, 1]) exists
and is finite. Denote this limit by 6D (t' C 1]). Equivalently, there is a deleted
parabolic-fine neighborhood A of (" 0) such that
lim 6D (t + s,~, 1]) = 6D (t,', 1]). (20.1)

A 3~-(~.0)
Here A depends on ~ = (1], t), but in view of the parabolic version of Lemma
I.XI.8 we can choose A so that (20.1) is true for ~ in a countable dense
subset of D x ]0, + 00 [. The parabolic context Harnack theorem now
implies that (20.1) is true for all ~ in this product set and that the convergence
is locally uniform so the function ~ H 6D (t,', 1]) is parabolic on this product
set. Finally we show that 6D (t, C·) is the distribution density of w'(t). To
see this, observe that ifjis a continuous function on D with compact support,
in view of the fine limit result we have just obtained. The integral on the
left is a version of E{f[w'(t)]lw'(s)}, and in view of the Markov property
of Brownian motion this conditional expectation defines a martingale for
o < 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 6D (t,C') is the
stated density. The corresponding result in the parabolic context is left to
the reader.
Chapter X
Conditional Brownian Motion
1. Definition
Let D be an open subset of IR N , and recall that a Brownian motion in D

was defined in Section VII.9 as an almost surely continuous Markov process
with state space D and transition density ~D' The probability space on which
the process is defined mayor may not be rich enough to extend the process
to be a Brownian motion in IRN •
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 1R 2 - 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.l3, define D h = {h < + oo}, and define
Observe that the fact that h is ~D-excessive implies that ~D(t, e, .)= 0 IN
almost everywhere on D - Ii' when eeli'. An h-Brownian motion in D
is a Markov process with state space D, transition density ~~, and initial
distribution supported by D h • 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 h • Thus a I-Brownian motion in
D is what we have defined as a Brownian motion in D.
The Notation ph and E h
In previous chapters we have used the notation P and E generically: when-

ever a probability space was encountered, P and E referred to probabilities
and expectations, respectively, on the space, and if several probability
spaces were encountered simultaneously, this notation P and E was used
for every space. In the first sections of the present chapter this notation
I. Definition 669
could be confusing because we shall deal with h-Brownian motion and

Brownian motion simultaneously. To avoid confusion, we shall use P and
E for Brownian motion but ph and E h for h-Brownian motion. (If h is
identically constant, h-Brownian motion reduces to Brownian motion, and
so the superscript will be omitted.) After Section 8 of this chapter, however,
and throughout later chapters the special notation ph and E h will be used
only when necessary to avoid ambiguity. Ordinarily the notation for the
processes involved, for example, wh(o) for h-Brownian motion, will warn
the reader that P and E on the wh(o) space refer to h-Brownian motion
probabilities and expectations.
Existence and Lifetime of h-Brownian Motion
According to Markov process theory, if ~ E D h , the transition density tt

determines an h-Brownian motion from ~. The distribution of the process
lifetime st
is determined by
The function ho = limr _<70 tD(t, 0, 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
(1.3)
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 t D ,
so that either c = I, in which case almost every h-Brownian path has an

infinite lifetime, or c = 0, in which case almost every Brownian path has a
finite lifetime.
tt-Excessive Functions
To avoid trivialities, we assume in this paragraph that D is connected. We

use (Sections IX.6 and IX.8) the identification of tD-excessive functions
with the positive superharmonic functions together with the identically
670 2.X. Conditional Brownian Motion
+ 00 function. According to Section VI.13, if v is a positive superharmonic

function on D, the function v/h (defined as 0 on D - D") is 6~-excessive,
and conversely, if u is a 6~-excessive function, then u = 0 on D - D h and
either u == + 00 on D h or there is a positive superharmonic function v on
D such that u = v/h on D h .
Supermartingales Defined by Composing 6~-Excessive Functions with

h-Brownian Motion
Let v and h be strictly positive superharmonic functions on D, and let

w;(·) with lifetime S~h be an h-Brownian motion from a point ~ of D h. Define
u = v/h on D h ; the values of u on D - D h will be irrelevant. In view of the
preceding paragraph the process {u[w;(t)], tE ~+}, under the convention
that u[w;(t)] = 0 for t ~ S~h, is a supermartingale if u(~) < + 00, that is,
if v(~) < + 00, just as in the case h == I. Furthermore, as in the case h == I,
the fact that (Theorem IX.6) 6D(t,~, v) < + 00 when t > 0, even when u(~) =
+ 00, implies that then also 6~(t,~, u) < + 00; so if u(~) = + 00, the process
{u[w;(t)], O < t ~ +oo} is a supermartingale. We shall see in Section 2
that these supermartingales are almost surely continuous aside from a possi-
ble jump discontinuity at the parameter value S~, under the condition that
w~(·) is chosen (as we shall see is possible) to be almost surely continuous.
h-Brownian Motion When h Is Harmonic
In particular, if h is a strictly positive harmonic function on D, the h-Brownian

motions play the same role for h-harmonic and h-superharmonic functions
that Brownian motions play for harmonic and superharmonic functions.
For example, when h is harmonic, a 6~-excessive function is, on each con-
nected open component of D, either identically + 00 or h-superharmonic.
The fact that almost every path of a Brownian motion w~(·) from a point
of D [define w~( + (0) = 00 if N > 2] hits the (Euclidean) boundary implies
that almost every path of a Brownian motion in D tends to a boundary
point at the path lifetime, but the latter property does not hold for h-
Brownian motion in D for general harmonic h. We shall show, however,
in Section 4 that when h is harmonic almost every h-Brownian path from a
point of D tends to aD, although the path cluster set on aD may not be a
singleton.
Canonical Conditional Brownian Motion
Let D and h be as above. In Section VII.9 we defined a canonical Brownian

motion w(·) in D, on a space n.A canonical h-Brownian motion is defined
similarly, but there is one essential difference: when h == I, almost every
2. h-Brownian Motion in Terms of Brownian Motion 671
path of an h-Brownian motion in D tends to a point of the Euclidean

boundary of D at the path lifetime, but this is not true for all choices of h.
Hence we must change the definition of Q in that we drop the condition
in Section VII.9 that the function OJ is to have a left limit in the Euclidean
topology of IRN at the lifetime S(OJ). When canonical h-Brownian motion is
discussed with no restriction on h, we shall mean the present definition even
though the case h == 1 is not excluded. In the next section we shall show that
h-Brownian motions exist for every choice of h and are almost surely con-
tinuous up to their lifetimes. If w(·) is such an h-Brownian motion in D,
on a space n, the existence of a canonical h-Brownian motion in D with the
same initial distribution (supported by D h) follows easily by mapping. In
fact the map OJ 1---+ w(', OJ) = OJ takes a point OJ of n into a point OJ of Q (we
assume that the processes have a common trap point adjoined to D), and
the w(·) measure on n thereby induces a measure on Q under which the
coordinate function process w(·) is the desired canonical h- Brownian motion.
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.
2. h-Brownian Motion in Terms of Brownian Motion

In this section we derive relations between h-Brownian motion and Brownian
motion in order to reduce h-Brownian motion properties to corresponding
Brownian motion properties. Throughout the section D is a Greenian subset
of IR N , h is a strictly positive superharmonic function on D, and ~ is.a point
of D h. The process {w('),§"(·)} is a Brownian motion in D from ~ with
lifetime S defined on a filtered probability space (n, §", §"('), P), and the
process {w h(.), §"h(.)} is an h-Brownian motion in D from ~ with lifetime
Sh defined on a filtered probability space (n h, §"h, §"h(.), ph). Observe that
{w(t)eD} = {S > t},
A trap state is supposed adjoined to D to make the transition functions

stochastic, and h is defined as 0 at the trap state.
We wish to prove the following, in various contexts. Let T be an §"(.)
optional time on n, and suppose that Ae§"(T). Let T h be an §"h(.) optional
time on Qh, and suppose that Ahe§"h(Th). We wish to show that if T and
A are defined in the same way in terms of w(·) sample functions as T h and
N are defined in terms of wh (.) sample functions, then
ph{Ah11 {Sh > T h}} = i A,,{S>T)

h[w(T)] h
dP
(e)
. (2.1)
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== 1 for some strictly positive constant I. Define a
measure Ql on the measurable space (n, g;(/» by
QI(A) = IA,,{S>I}
h[w(/)] h~~) (2.2)
to obtain a measure space on which the process {w(s), s ::;; 1hS>I} is almost
surely continuous. Suppose that 0 < 11 < ... < tn = 1 and that A E f!J(D n ).
Define
M~ = {[W h(/ 1), ... , Wh(tn)]EA},

(2.3)
and observe that M o c {S> I} and M~ c {Sh > I}. In view of the fact
that D - Dh is polar and therefore IN null we can evaluate QI(M o) in terms
of6~:
QI(M o) = f .~. J6~(t, e, eo) ... 6~(tn - I n- 1, en-1, en)/N(de1) ... IN (den)'
(2.4)
Thus
(2.5)
for M = M o and M h = M~; so (2.1) is true when T == I, T h == I, A = M o,

and N = M~. It follows that (2.1) is true when T == 1 and T h == 1 if A [Ah ] is
in g;{w(s),s::;; 1}lIs>l} [g;{wh(s),s::;; t},Sh>I}] and if A and Ah are defined
in the same way in terms of process sample functions. More precisely, let
n be the space of functions 01 from [0, I] into D, and define x(s,01) = o1(s).
If MEg;{X(S),s ::;; I}, define M as the inverse image of M under the map
w~w(·,w)1I0.11 from {S> I} into n, and define M h as the inverse image
of M under the map WhI--+Wh(·,wh)IIO.ll from {Sh> I} into Then (2.1)n.
is true with T == T h == I, A = M, and N = M h • In fact this assertion for the
n
paired sets is true for Min the algebra of subsets of of the form {[w(t1)'
... , w(tn)] EA} with I. and A as in (2.3) and therefore for M o in the (1 algebra
g;{w(s),s::;; I} generated by this algebra. We leave it to the reader to verify
the fact, which we shall not need, that for the class of pairs (M, M h)
obtained in this way the class of sets M is the class of subsets of {S > t} in
the (f algebra ff{w(s),s::;; t} and the class of sets M h is the class of subsets
of {Sh > t} in the (f algebra ff{wh(s),s::;; t}.
A/most Sure Continuity of h-Brownian Motion. Equation (2.5) states
that the almost surely continuous process {w(s), s ::;; t }IIS>I} under (! has the
same finite-dimensional distributions as the process {wh(s), s ::;; t}lIsh>I}' 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 h , and more generally every h-Brownian motion in D with initial
distribution supported by D h , 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 wh(')IISh>l} sample function is uniformly continuous and that for fixed s
ph{lim wh(r) =1= wh(s), s < Sh} = 0 (r rational).

r-s
Hence, if w'(s) is defined on n!' for s < Sh as the limit at s of wh(.) along the
rationals, w'(') is the required almost surely continuous standard modifi-
cation of wh (.) 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 t~ and
with initial distribution supported by D h . In particular we assume from
now on in this section that wh (.) is almost surely continuous up to but not
including the process lifetime.
Killed h-Brownian Motion
Let B be an Fa subset of D, and let T [T h ] be the hitting time of B by

w(') [w h (.)]. Then if (M, M h ) is a pair linked as described above, the pair
(M (\ {T > t}, M h (\ {T h > t}) is a linked pair in the same sense because ofthe
simple expression for the probability of hitting an Fa set (cf. Section VI.6).
Hence Case (a) of(2.l) yields
ph{M h (\ {Sh /\ T h > t}} = fMf"\{SAT>I}

h[w(t)] :(~)'
..
(2.6)
In particular, if Do is an open proper subset of D containing ~, then (2.6)

with B = D - Do shows that wh (.) killed at T h has the same finite-dimensional
distributions as hiDo-Brownian motion from ~, up to process lifetimes, that
is wh (.) killed at T h and then provided with a trap state is an hlDo-Brownian
motion in Do from ~.
Observe that since the almost surely continuous process {w(s), s ::;; t }IIS>I}
674 2X. Conditional Brownian Motion
under QI and the almost surely continuous process {wh(s), s ~ thSh>,} 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 1.12), and more generally the same
argument shows that the same assertion is true if the processes are restricted
to sets M and M h , respectively, linked as described above. That is, if T [T h ]
is the hitting time of B by w(o) [wh(o)], then (2.6) remains true.
Representation ofan Arbitrary h-Brownian Motion in terms ofa Brownian
Motion. For t > 0 define a measure (lh on ,?i'h(t) by
Qlh(M h) = i h(e)
Mhf"\{Sh>l} h[ whet)]
dph
,
(2.7)
and note that Qlh(M h) = 0 ifand only if ph{M h 11 {Sh > t}} = O. The process
{wh(s), s ~ t}IIsh>I} under Qlh has the same finite-dimensional distributions
as the restricted Brownian motion process {w(s),s ~ t}lIs>I}' We can now
complete a full circle in the discussion: the integral
whose value is ph{M h 11 {Sh > t}} when MhE,?i'h(t), expresses wh(o) process
probabilities to time t under the side condition Sh > t in 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, ifu is a function on D, then u[wh(o)] for parameter
values ~ t is not only a function of wh(o) under ph but also under Qlh,
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 h .
(b) A superharmonic function v 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 O.
We have already pointed out in Section I that if v is a positive super-
harmonic function on D and if u = v/h (= 0 where h = + 00), then u[wh(o)]
is a supermartingale if defined as 0 for parameter values ~ Sh and with the
understanding that the parameter value 0 is to be omitted if u(e) = + 00.
We now see from (a) and (b) that this supermartingale is almost surely
continuous except for a possible discontinuity at Sh. For almost every
sample function the supermartingale right limit exists at Sh trivially and
is 0; the left limit at Sh 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 + 00 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 h = D, but the proofs of these
theorems are applicable to the h-Brownian motion context. Hence, if .?l'h(t)
is generated by the null sets and .?l'{wh(s),s ~ t}, it follows that .?l'h(o) is
right continuous. Moreover, even without this special choice of filtration,
the strong Markov property VI(9.l) holds for wh(o). These assertions are
e
of course true not only if wh(O) = but for an arbitrary initial distribution
supported by D h •
(d) The zero-one law for h-Brownian motion. Let .?l't be the (1 algebra
generated by (l1>0.?l' {wh(s, s ~ t} and the null sets. Then [assuming as
e
above that wh(o) is an h-Brownian motion in D from in U] .?l't 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 wh(o), then the probability P{T= O} 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
e
(Theorem IX.15) that this probability is I if and only if is a fine limit
point of A. Roughly, the initial character of h-Brownian motion from a
point does not depend on the choice of h. Because of this fact, assertions
(c)-(f) of Section VII.6 are valid for h-Brownian motion for all h.
h-Brownian Motion at Path Lifetimes [Notation D, e, w(o), wh(o) as

Above]
e
Ifwo(o) is a Brownian motion in IR N from and if So is the hitting time of the
Euclidean boundary aD by wo(o), then almost every wo(o) path killed at
So tends to wo(So) at the parameter value So' It follows that almost every
w(o) path tends to a point of aD at the path lifetime, but it does not follow
from the relation between Brownian motion and h-Brownian motion that
almost every wh(o) path tends to a point of aD at the path lifetime. In fact,
when h is a potential, we shall show in Section 4 that almost every h-Brownian
path in D tends to a point of D at the path lifetime, and we shall find the
distribution of this limit point. When h is harmonic, it will be shown that
almost every h-Brownian path in D tends to aD but not necessarily to a
point of aD, at the path lifetime.
3. Contexts for (2.1)

As already explained in Section 2, the first problem in finding a proper
context for (2.1) is to find appropriate linked pairs (T, T h) of optional
times and linked pairs (A, Ah ) of sets. The point is that T h should depend on
wh(o) in the same way T depends on w(o) and N should be a set depending
in the same way on wh(o) up to time T h as A depends on w(o) up to time T.
In Section 2 the situation was simplified by choosing T h and T to be the
same constant function. In this section T h and Twill be nontrivially optional.
Case (b) of (2.1): w(o) and wh(o) are canonical, T= Th, A = N. Let
{wh(o),#h(o)} be a canonical h-Brownian motion in D from in D", on thee
probability function space (Qh,#h,ph). When h == I, we omit the super-
script. Then Q = Qh, w(o) = wh(o), and the process lifetimes S, Sh are identical.
Define
.#0( + (0) = Y #0(/) = #Oh( + (0).

1>0
The basic filtration in this case is #0+(0). Let tbe an arbitrary #0+(0) optional
time and let A be an #o+(f) set. We make the obvious choices of t h and
N, namely t h = t and Ah = A, and prove (2.1) in this context. Observe
that, with the optional time notation defined in Section II.2, Example (b),
and using the fact that
(2.6) yields
ao
Ph{N (] {Sh > [th]n}} = L Ph{N (] {Sh > j2- n = [th]n}}
j=O
(3.1)
When n -+ 00, the left side of (3.1) tends to Ph{N (] {Sh > t h}}. The right
side is E{h[w([t]n)];N}/h(e). The sequence ... , h[W([tJl)]' h[w([t]o)]
ordered as written is a supermartingale, left closable by h[ w( 1')] and
(Theorem III.17) uniformly integrable; so there is L 1 as well as almost
everywhere convergence to the limit h[w(t)]. Hence we can integrate to
the limit (n -+ (0) in (3.1) to obtain (2.1) in the present context.
Application of Case (b). If {w(o),~(o)} [{Wh(o),~h(o)}] is a Brownian
[h- Brownian] motion in D from e
on the probability space (0., ~, P)
4. Asymptotic Character of h-Brownian Paths at Their Lifetimes 677
[(nh , g;h, Ph)] with lifetime S [Sh], the problem of finding large classes of
pairs (T, T h ), (A, N) 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 WHW(',W) = OJ, WhHWh(·,W h) = OJ take nand
n n
n h into = h , the space of a canonical Brownian motion in D from ~.
n
In the notation of case (b), an optional time ton has as inverse images
under these maps an optional time T on n and an optional time T h on n h
if we suppose, as we can, that g;(.) and g;h(.) are right continuous. A set
Ain .#o+(t) has as inverse images a set A in g;(T) and a set Ah in g;h(Th)
and (2.1) is true as written if T, A, Th, and N 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 w(·) of a closed subset of D, then T [T h ] is equal almost surely to
the hitting time of this set by w(·) [w h (.)].
Generalization of Case (b) for (2.1)
(Not used below.) It is natural to try to extend Case (b) and thereby the
application just noted to allow for the P and Ph null sets. This generalization
is needed, for example, if T is to be the hitting time by w(·) of an arbitrary
analytic or even merely Borel subset of D. More specifically define #(t)
[#h(t)] as the (J algebra generated by #o(t) and the P [ph] null sets. Ac-
cording to Section 2, the filtrations #(.) and #h(.) are right continuous.
If t is an #(.) optional time and if AE#(t), there are [from Section
II.2(j)] an #0(') optional time to and an #o(to) 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 {S > to} is P null if and only if it is Ph null. Hence,
up to a Ph null set, t = t and Ao = A. Thus if we define T = t, T h = to,
A = A, N = Ao ' equation (2.1) is true in the canonical process context,
generalizing case (b). We could equally well have started with an #h(.)
optional time t h and an #h(t h) set N.
4. Asymptotic Character of h-Brownian Paths at Their

Lifetimes
Theorem. Let D be a Greenian subset oflR N , let h be a strictly positive super-

harmonic function on D, and let ~ be a point of D h .
(a) If h is harmonic, almost every h-Brownian path from ~ tends to aD
at the path lifetime.
(b) If h = GDf.l is a superharmonic potential, almost every h-Brownian
path from ~ has a finite lifetime and tends to a point' of D at its
lifetime. The distribution v(~,·) of , is given by v(~, dO =
GD(~' Of.l(dO/h(~). If A is polar, v(~, An D h ) = O.
Observation (1). Part (a) of the theorem does not state that when h is
e
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 e
tends to a point of aD if and only if aD is h-resolutive, and in that case the
distribution of the path limit point on aD is JLt(e, 0). We can already verify
this result in a special case, when h == 1 and aD is the Euclidean boundary,
resolutive according to Theorem l.VIII.4. In fact, if a Brownian motion in
IR N from ~ in D is killed at the hitting time of the Euclidean boundary aD
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 aD 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 JLD(~' 0) according to Theorem IX.B.
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
v(~, 0) and then choosing a GD(o,O-Brownian path from ~ (necessarily
tending to' at the path lifetime). It follows, as stated in (b), that if A is polar,
v(~, A ( l D h) = 0 because (Theorem l.V.ll) h = GDJL = + 00 JL almost every-
where on A; so JL(A ( l D h ) = O.
Proof of (a). Let wh(o) be an h-Brownian motion in D from ~, with lifetime

Sh, let Do be an open relatively compact subset of D containing~, and let
T h be the hitting time of aDo by wh ( 0). The superscript h is omitted throughout
when h == l. It is trivial that P{S > T} = l. According to (2.1) under case
(b) as applied in Section 3, if h is harmonic,
ph{Sh> T h} =f {S>T}
h[w(T)] dP
h(~)
= E{h[w(T)]}
h(~)
(4.1)
= JLDo(e, h) = 1
h(~) .
Thus almost every wh(o) path hits aDo. To prove (a), we prove that if C is a
compact subset of D and if now T h is the first hitting time by wh(o) of C
after hitting aDo, then ph{Sh > T h} is arbitrarily small if Do is sufficiently
large. With this definition of T h (2.1) yields
( SUPh\ P{S > T}

"{" h} C )
P S > T :s; --h-(--e)--
Now the probability on the right is the probability that a Brownian path
in D from ~ hits C after hitting aDo, and this probability is arbitrarily small
4. Asymptotic Character of h-Brownian Paths at Their Lifetimes 679
for sufficiently large Do since almost every Brownian path in D from ~

tends to the boundary at the path lifetime. Hence (a) is true. 0
Proofof (b). We have already seen in Section 1 that when h is a potential

almost every h-Brownian path has a finite lifetime. If Do is an open relatively
compact subset of D containing ~ and if T h is the hitting time of aDo by
wh (.), then (2.1) yields
as in the proof of (a). Since h is now a potential, the right side of this equality
can be made arbitrarily small by choosing Do sufficiently large (Section
1. VIII .11); so almost every h-Brownian path from ~ has closure a compact
subset of D. Now consider a particular case, h = Gv(·,O for some point
, of D other than ~. We show that in this case almost every w h (.) path tends
to , at the path lifetime. To see this, define D' = D - g}, 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 ~; so it follows from (a) that almost every w h(.) path tends to
aD' = {Ou aD at the path lifetime. Since we have just proved that almost
every w h(.) path has closure a compact subset of D, it follows that almost
every h-Brownian path from ~ tends to' at the path lifetime. More generally,
if h = Gv J1,
(4.2)
and if 0 < t 1 < ... < tn' the joint density of wh(t 1)' ... , wh(tn) is
L 6v(t 1'~' ~1)6v(t2 - t l' ~1' ~2) ... 6V(tn - tn- 1, ~n-1' ~n) ~~~~'g v(~, dO·
(4.3)
This expression shows that an h-Brownian path from ~ can be obtained by

first choosing the asymptotic path endpoint, according to the probability
distribution v(~,dO and then choosing a Gv(·,O-Brownian path from ~,
as stated in Observation (2) above. The formal statement of this construction
in the language of conditional probabilities is left to the reader. Part (b)
of the theorem follows from this construction. 0
h-Brownian Motion for General h
Let h be a strictly positive superharmonic function on D, so that (Riesz

decomposition) h is the sum ofa positive harmonic function h 1 and a potential
h 2 . The evaluation
of 6t in terms of 6t' and 6t2 can be interpreted as follows: to obtain an

h-Brownian path from ~ [when h(~) < + 00], choose an hi-Brownian path
from ~ with probability hi(~)/h(~). Thus the probability that an h-Brownian
path in D from ~ tends to a point of D at the path lifetime is h2 R)/hR),
and the distribution of the asymptotic endpoint is determined as described
in (b), whereas the probability that an h-Brownian path in D from ~ tends
to the boundary of D at the path lifetime is hI (~)/h(~). In the latter case the
path mayor may not almost surely tend to a boundary point, depending
on h and the choice of boundary, but the probability that an h-Brownian
path in D from ~ has some asymptotic property at the boundary is the product
of hl(~)/h(~) times the probability that an hI-Brownian path in D from ~
has this property.
5. h-Brownian Motion from an Infinity of h

If D is a Greenian subset of IR N , if h is a strictly positive superharmonic
function on D, and if h(~o) < + 00, an h-Brownian motion in D from ~o
is a process wto(') with the following properties (all densities are relative
to IN).
h-BM(l) wto(') is an almost surely continuous process from ~o with
state space D, except that if the transition density is not stochastic and if a
trap 0 is adjoined to D to obtain a stochastic transition probability, there is
a discontinuity at the time of transition to 0.
h-BM(2) wto(t) has distribution density function 6t(t, ~o,') when t > O.
h-BM(3) wto(·).is Markovian with transition density function 6t on D;
equivalently, under h-BM(2), the reverse transition density (transition from
" at time t to ~ at time s, with s < t) is
6D(s, ~o, ~)6D(t - s,~, ,,)

(5.1)
6D (t, ~o,")
Suppose now that all probabilities are multipled by h(~o). This change does
not affect the conditional densities in h-BM(3) but replaces h-BM(2) by
h-BM(2') wto(t) has distribution density function 6 D (t, ~o, ')h when
t > O. The fact that the measure space on which the process is defined now
has measure h(~o) 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(I)-(3) ~hen h(~o) < + 00, but satisfying h-BM(l), (2'), (3) when
h(~o) = + 00. In the latter case the measure space on which the process is
5. h-Brownian Motion from an Infinity of h 681
defined necessarily has measure + 00, and in fact
when t > 0. We have not yet shown that an h-Brownian motion from an
infinity of h exists, and we now proceed to do so. We shall construct the
desired process on the space n of all functions from IR+ into D U {a} with
value eo at the parameter value 0. Observe first that if a process w~o(o) exists,
e'
satisfying either h-BM(l)-(3) or h-BM(I), (2'), (3), then if e D and if
s' > 0, and whether h(eo) is finite or not, the w~O<°) process conditioned by
w~(s') = f has the following properties: the process on the parameter
set [0, s'] is independent of the process on the parameter set [s', + 00 [;
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 x(o) can be constructed on the function
space n 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~,s' is assigned to n making the family of coordinate func-
tions {x(t), t e IR+} have the specified finite-dimensional distributions for
strictly positive parameter values, with x(O) = ~o' The class of measurable
sets is the smallest class making every coordinate function measurable.
The probability assigned to n itself in this way is I. If now f is given the
distribution on D with density 6D (s', ~o, o)h, the probability measure p~,s'
on n becomes a measure
with p;,(n) = 6D (s', ~o, h); the latter value is finite according to Theorem
IX.6. The sequence {P~/n, n ~ I} of measures on n is an increasing sequence
with the property that if 8 is a measurable subset of n and if 8' = 8 n
{x(ljn)eD}, then P~fn{S'} = p~/m{S'} when n > m. The limit of this in-
creasing sequence of measures is a measure ph on n for which ph {n} =
h(~o) ::s; + 00 and for which the process x(o) is Markovian and satisfies
h-BM(2'), (3). The measure P;' is the restriction of ph to the class of measur-
able subsets of {x(s')eD}. The measure ph can be expressed in terms of
Brownian motion following Section 2 without the measure normalization
used there. That is, if {w~o(o), .?"(o)} is a Brownian motion in D from ~o
with lifetime 8, if s' > 0, and if Ae .?"(s'), then the measure
A~ r h[w~o(s')]dP
JAI"\{S>S'}
assigns a distribution to {w~o(s), s ::s; s'} which has the same finite-dimensional
distributions as {x(t),t::S; s'} on the set {x(s')eD} under ph. It follows,
as in the corresponding discussion in Section 2, that x(') has a stochastic

modification wtn(') which is continuous except at the time of transition
to 8; wt(·) satisfies h-BM(l), (2'), (3) as desired.
EXAMPLE. Let h = Go(eo, .). Then an h-Brownian motion in D from eo
is a process whose paths have finite lifetimes and tend back to eo at these
lifetimes.
6. Brownian Motion under Time Reversal

Let D be a Greenian subset of IR N , and let h be a strictly positive harmonic
e,
function on D. Let wt(·) be an h-Brownian motion in D from with lifetime
S{ It is tempting to conjecture that this process reversed in time, so that
e
the paths tend to at their lifetimes, is a Go(e, ')-Brownian motion. The
folloWing discussion shows that this conjecture is correct if suitably inter-
preted.
Denote by • the Alexandrov point in the one-point compactification
of D, and define
h
w{(t) =
{e
•
ift<O
if t ~ S{
The extended process is a Markov process on the parameter interval IR,

With nonstationary transition function, and the process reversed in time
is therefore also Markovian. This fact is the motivation for the following
discussion. It will be useful to reverse the time from a random origin. Let
z be a positive random variable, independent of the process wt(·), with the
distribution II . More precisely replace the space n on which the given random
variables are defined by the product space n x IR, let z be the second co-
ordinate function of this space, and define the measure Q on this product
space as the completed product measure of the given n measure ph and 11'
The random variable wt(t) becomes a function, also denoted by wt(t), on
the product space. Define x(t) for t E IR as wt(z - t), so that x(t) is a function
defined on a space of infinite measure. An elementary calculation justified
by Fubini's theorem shows that the restriction to D of the distribution of
x(s) is absolutely continuous relative to IN with
Density at , in D of the x(s) distribution = Go(e,Oh(O (6.1)

h(e) .
Furthermore for t > 0 the conditional distribution of x(s + t), given x(s)
in D - {e}, can be chosen to be absolutely continuous on D for each value
of x(s), with
(Density at rin D ofthe x(s

..
+ t)distributionlx(s)) Ix(s)-~
_ = 6o(t,,,,oGo(e, 0
Go(e,,,)'
(6.2)
6. Brownian Motion under Time Reversal 683
More generally the conditional density in (6.2) is unaltered if the condition

= 11 is replaced by the more restrictive condition
x(s)
... , x(s) = 11
for s 1 < . . . < sn < sand 11j ED. Thus for any choice of initial parameter
value to the restriction of the process x(t o + .) to the parameter set IR+ and
to the n x IR set {x(to)ED} = {O ~ z - to < Sn 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 GD(~' ·)-Brownian 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 x(·), then the process
x(T' + .), restricted to the set {T' < + oo} and killed when the paths reach
~, is a GD(~' ·)-Brownian motion process. More precisely, if we define a
filtration §'(.) of n x IR by setting §'(t) for t in IR to be the (1 algebra
generated by the P x /1 null sets and § {x(s), - 00 < s ~ t}, then the process
{x(T' + t),§'(T' + t),tEIR+}, restricted and killed as just described, is a
GD(~' ')-Brownian motion process. Going back to the original space n,
define L~ as the last hitting time of A by w~(·), and let §(.) be the filtration
of n obtained by defining §(t) to be the (1 algebra of subsets of n generated
by the P null sets and §{w~(L~ - s),s ~ t}. Then what we have proved
yields in this context that the process {w~(L~ - t), §(t), t E IR+} killed at
time L~ is a GD(~' ')-Brownian motion, with initial distribution the dis-
tribution ofw~(L~). The distribution ofw~(L~) will be evaluated in Section 10.
EXAMPLE (a). Let D. be an increasing sequence of open relatively compact

subsets of D with union D, let ~ be a point of Do, and let L~n be the last
hitting time of D n by w~(·). Then we have provedthat the process w~(L~n - .),
killed at time L~n, is a GD(~' ')-Brownian motion. Observe that the initial
distribution of this process is supported by oDn and that L~. is an increasing
sequence, with limit st, the lifetime of the w~(·) process. We now show that
ifst is almost surely finite then the process W~(S~h - .), with lifetime S~\
is a GD(~' ')-Brownian motion on the open parameter interval ]0, + 00[.
In fact, iff is a positive continuous function on D, with compact support,
and if 0 < s < t, then
(Markov property). When n ---+ 00, Fatou's lemma yields the inequality
and there is actually almost sure equality because the expectation of each
side is Eh{j[wt(S; - I)]}. It follows that the process wt(S; - .) is a Go(~, .)-
Brownian motion, as asserted. In particular, suppose that D is provided
with a boundary aD by a metric compactification with the property that
limIts'! w~(t) exists almost surely. Define w~(st) as this limit where the
limit €xists, and define wt(S~h) arbitrarily elsewhere. This convergence con-
dition is satisfied if the boundary is the Euclidean boundary and h == 1 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 3.11I.2) that this
convergence condition is satisfied if and only if the boundary is h-resolutive.
If this convergence condition is satisfied, the process {wt(S; - I), Ie IR+},
killed at time S;, 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 Jl~(~, .). Observe
that, whether or not a boundary is introduced, if wf(·) is an h-Brownian
motion in D with initial distribution A. and lifetime st, and if Sf is almost
surely finite valued, then the process {wf(St - I), I> O}, killed at time
st, is a Go A.-Brownian motion, which can be extended to the parameter
set IR+ with initial distribution supported by aD if a boundary is introduced
with the above stated properties. We shall describe the w1(Sf - .) process as
a Go A.-Brownian motion whether or not the parameter set is extended to IR+ .
EXAMPLE (b). Let ~o and ~1 be distinct points of D, and define B = D - {~1}'

If we define h as the restriction to B of GO(~l' .), the preceding example is
applicable to Band h. Observe that (Section 4) almost every h-Brownian
motion path in B from ~o has a finite lifetime L and tends to ~1 at the path
lifetime. According to Example (a), the GO(~l' ·)-Brownian motion from
~o reversed at time L is a Go(~o, ·)-Brownian motion. Thus, for example,
in investigating limits of functions at ~1 along Brownian motion paths from
~1 we have seen (Section 2) that we can replace the Brownian motion by
a Go(~o, ·)-Brownian motion from ~1 to ~o, and we now see that the paths
of this conditional Brownian motion can be identified with the paths of
a GD(~I' ·)-Brownian motion from ~o to ~1'
7. Preliminary Probabilistic Solution of the Dirichlet Problem

for h-Harmonic Functions; h-Brownian Motion Hitting
Probabilities and the Corresponding Generalized
Reductions
In this section w~(·) is an h-Brownian motion in a Greenian subset D of
IR N , from the point ~ of D h ; w~(·) has lifetime S~, and the entry [hitting]
time by w~(·) ofa subset A of Dis T'~A[Tt]. When h == 1, the superscript 1 is
dropped from the notation.
7. Dirichlet Problem, Hitting Probabilities, Generalized Reductions 685
Probabilistic Solution of the Dirichlet Problem for h-Harmonic Functions
Suppose here that D is bounded and that h not only is harmonic but has a
strictly positive harmonic extension to an open neighborhood D 1 of 15.
According to Section 2, an h-Brownian motion in D can be identified with
an (extended h)-Brownian motion in D 1 killed at the hitting time of oD.
Therefore almost every w~(·) path tends to a point w~(S~-) of oD at the
path lifetime. In particular, if h == 1, then according to Theorem IX.13 the
harmonic measure J1D(~") is the distribution on oD of w~(S~ -). We shall
now prove the corresponding fact for J1~(~, '). The representations of h-
Brownian motion probabilities in terms of Brownian motion probabilities
and of h-harmonic measure in terms of harmonic measure (Section 1. VIII.8)
yield for B a Borel subset of oD,
That is, extending trivially the meaning of "hitting," the h-harmonic measure
J1~(~,') is the hitting distribution ofw~(') 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.
Hitting Probabilities for h-Brownian Motion (h Not Necessarily

Harmonic)
Fix A and define
Since u is 6~-excessive (Section VI. 12), u = vjh on D h for some positive super-
harmonic function v on D. Here v ::s; h on D h ; 'so V ::s; 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 == 1 shows that u is h-harmonic on D - A. The
following discussion for general h puts hitting probabilities into the context
of reductions.
h-Brownian Motion and Generalized Reductions
Let D be provided with a boundary oD by a metric compactification, and let

A be a subset of D U oD. Let h be a strictly positive superharmonic function
on D, and if u (t- + 00 on D h ) is a t~-excessive function, define the reduction

h R~ as the infimum of the class of t~-excessive functions which majorize u
both on AnD and near An oD. This reduction has already been defined in
Section l.VIII.l when h is harmonic, and trivially I R~ = R~. According to
Section I, every t~-excessive function u vanishes on D - Dh, and there is a
superharmonic function, which in this section we shall denote by [uh], such
that u = [uh]/h on D h. Obviously hR~ = u = 0 on D - D h, the reduction hR~
is not changed if A is replaced by A n (D h U oD), and
(7.2)
The most natural smoothing of hR~ is the t:~-excessive function equal to 0

on D - D h and to
on D", and in this section we shall abuse notation by denoting this smoothing
A
by "R+u
even though this t~-excessive function is not necessarily the lower
semicontinuous smoothing ofhR~. With this definition, hR A ~ hR~ and there
+u
is equality quasi everywhere on D; in particular [Section l. VI.3(b)], there is
equality on D - A.
Recall from Section IX.l4 the reduction evaluations
R:(~) = E{v[w~(Tt)]}, (7.3)
1J:(~) = E{v[w~(Tt)]} (7.3sm)
for v a positive superharmonic function on D and A an analytic subset of D.

The conditions Tt < Tg D and Tt < Tgo in Section IX.14 are unnecessary
here because we have defined w~(·) as a Brownian motion in D and v is by
convention set equal to 0 at the process trap point. Observe that
when v(~) < + 00. We shall now generalize (7.3) and (7.3sm) to the context
of conditional Brownian motion and shall also provide D with a boundary
and allow A to contain boundary points. A few preliminary remarks will be
needed. In the first place observe that if as above u is a t~-excessive function
on D, then u[w~(·)] (defined as 0 at parameter values ~S~) is an almost
surely right continuous supermartingale (Sections I and 2) and so has almost
sure left limits. In the second place recall that if hI is the (Riesz decomposi-
tion) harmonic component of h, then hI (O/h(~) is the probability that a
7. Dirichlet Problem, Hitting Probabilities, Generalized Reductions 687
w~(·) path tends to aD at the path lifetime St.

Such a path does not necessarily
tend to a single boundary point, however, and for each point w h of the
probability space on which w~(·) is defined we denote by r~(wh) the compact
cluster set on aD of a path W~(·,Wh) which tends to aD at the path lifetime.
To avoid messy typography, we write I~(A) for the indicator function of the
boundary subset r~ n A and write lh for the indicator function of D h •
Theorem. If u is a 6t-excessive fwzction (=1= + 00 on Dh) and if A is an analytic

subset of D u aD, then for ED h,e
hR~(e) = Eh{u[w~(TtA)]l{T~hA<S~1
(7.4)
+ I~(A) l{T,hA~Shllim u[ w~(t)]},
{ { tts~
h1J:(O = Eh{u[»{'(T hA )] l{T~A<S~1

(7.4sm)
+ I~(A)l{ThA~sh) lim u[w~(t)]}.
{ {tt~
Observe that in particular for eD E

h
,
(7.5)
Replacing T~hA here by T~A yields the smoothed reduction.

Since the equalities hR~(e) = h1J:(O and Tt A = T~A hold when eE
D h - A and since (7.4) is trivial when eEA, it follows that (7.4sm) = (7.4).
e
Conversely, (7.4) = (7.4sm) because if E D h n A, an application of (7.4) to
A - g} yields (7.4sm). From now on we shall assume that u is bounded
since the theorem for bounded u can be applied to u /\ (n Ih) to yield the
general result when n -> + 00.
Proof when A cD. When A cD Equations (7.4) and (7.4sm) reduce to
hR~(e) = Eh{U[w~(TtA)]}, (7.6)

eEDh,
(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 aD is a countable union of compact sets. If A n aD is
compact, let B. be a decreasing sequence of open subsets of D u oD with
intersection A n aD, and define An = (A u Bn) n D. By definition of the
reduction operation
lim hR~n = hR~.

n.... oo
Furthermore (7.4) is true when A is replaced by the subset An of D, and
lim Eh{u[»1(T~hAn)]}
n-oo
is equal to the right side of (7.4) by the dominated convergence theorem.

Since (7.4) is true when A I l oD is compact, this equation is true when A Il oD
is a countable union of compact sets. In fact, if A. is an increasing sequence
of analytic subsets of D u oD with union A, if All D = A o Il D, and if each
set AnlloD is compact, then lim"_oohR~n=hR~ by Section I.VI.3(e) for
Riuhl' and if An replaces A on the right side of (7.4), integration to the limit
is permissible because only 1~(An) actually changes when n changes, and
1~(AJ is a monotone increasing sequence with limit 1~(A).
Proof in the General Case
Fix ~EDh, write A = Bu C, where B = A Il D and C = A Il oD, and

consider the function Cl-+hR~(~) for a fixed analytic subset B of D and a
varying compact boundary subset C. This set function is strongly subadditive
according to Section l.VI.3(j) for Riuhl. If C. is a monotone sequence of
compact boundary subsets with limit C, then
on D h . 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 Il D and fixed ~ in D h. 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'u 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.
8. Probabilistic Boundary Limit and Internal Limit Theorems

for Ratios of Strictly Positive Superharmonic Functions
Let h and v be strictly positive superharmonic functions on a connected
Greenian subset D of ~N, and let Vh and Vv be the respective associated Riesz
measures. According to Theorem IXI.4, the function u = v/h has a fine
8. Boundary Limit and Internal Limit Theorems 689
limit at quasi every and Vh + Vv almost every point of D. According to

Theorem l.XII.l9, if h is harmonic, the function u has a minimal-fine limit
at M h almost every Martin boundary point of D. In this section we shall
give probabilistic versions of these results. No boundary of D will be involved.
The basic theorem is the following, the counterpart for conditional Brownian
motion of Theorem IX.7 for Brownian motion. Theorem 8(a) asserts that u
has a limit along almost every h-Brownian path at the path lifetime. This
result will be applied in the present section, for h a potential in which case
the paths tend at their lifetimes to points of D, to derive the internal limit
Theorem l.XII.l9. It will be seen in Section 3.111.4 that when h is harmonic,
in which case the paths tend at their lifetimes to the one-point Alexandrov
boundary, Theorem 8(a) yields the existence of the minimal-fine boundary
limit function derived in Theorem l.XII.l9.
Theorem. Let h and v be strictly positive superharmonicfunctions on a Greenian

subset D oflR N , and let {w~(·),ff~(·)} be an h-Brownian motion in D from a
point ~ of D h = {h < + 00 }, with lifetime S~. It is supposed that ff~(O)
contains the null sets. Then if u = v/h,
(a) limltsl!u[w~(t)] exists (finite) almost surely.
~
Define ff~( + (0) = 'YreR+ ff~(t),
xt(t) = ~(t) = u[ w~(t)] if t < S~;
(8.1)
xt(t) = 0, x~(t) = limhu[w~(s)] if S~ ~ t :::; + 00.
sts ~
(b) The processes {xt(·),ff~(·)} and {~(·),ff~(·)} are almost surely

continuous supermartingales except that the parameter value 0 is to be
omitted ifu(~) = +00 and that xt(·) may have a jump discontinuity
at the parameter value Sr
In (c)-(e) it is supposed that h is harmonic and that the h-potential,
singular h-harmonic, and quasi-bounded h-harmonic components of u
(Section l.IX.ll) are denoted by up, Ums ' and Umqb, respectively.
(c) Ifu = up or u = Um., the limit in (a) vanishes almost surely. Ifu = Umqb,
the process {~(.), ff~(')} is a uniformly integrable martingale.
(d) u(~) ~ Umqb(e) = Eh{limstsl!u[w~(s)]}.
(e) If h is a minimal harmonic )"unction the limit in (a) is almost surely
infDu.
Observation. If h is harmonic, almost every w~(·) path tends to the

Alexandrov one-point boundary of D at the path lifetime; so (a) can be
interpreted as a boundary limit result for every choice of boundary for D.
When S~ :::; t ~ + 00, the random variable x~(t) can be defined arbitrarily on
the null set on which the limit in (a) does not exist. Note that if u(~) = + 00,
the function u is necessarily continuous at e;
so xt(·) and ~(.) are almost
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 == I)and is therefore omitted. To prove (e), observe that U = up + Ums + Uqb;
so in view of (c) it is sufficient to show that Umqb is identically constant, and
this constancy follows trivially from the minimality of h.
Extension to Lower-Bounded h-harmonic Functions
If h is harmonic, in Theorem 8 the hypotheses on v can be weakened: instead

of positivity it need only be supposed that v ~ ch for some constant c; that
is, it need only be supposed that U is lower bounded. This case can be reduced
to that of the theorem by replacing v by v - ch.
composed process is a martingale.
EXAMPLE. Suppose that D is a Greenian subset of IR N , that v is a positive

superharmonic function on D, and that (E D, and define h = GD(C .). Since
GD(C·) is minimal harmonic on D - {O (Section l.VII.to) and since
GD(C ·)-Brownian paths from a point of D - {O almost all tend to ( at the
path lifetimes, the function U = v/GD(C·) has infDu as limit along almost
every GD(C ·)-Brownian path from any point of D - {O to (. According to
the symmetry result in Section 6, the function U has this limit at ( along
almost every conditional Brownian path from ( to a second point of D;
equivalently (Section 2), U has this limit at ( along almost every path of a
Brownian motion with initial point (. That is (Section IX.15), f1im~_, u('1) =
infDu, as already proved nonprobabilistically [see Theorem l.XI.4(c)].
Application of Theorem 8 to Derive an Interior Limit Theorem

As noted at the beginning of this section, it was shown in Section IXI.4
that v/h has a fine limit at Vh almost every infinity of h. To derive a probabil-
istic version of this result, observe first that the harmonic component
of h in its Riesz decomposition does not affect the truth of this assertion;
so we can assume that h is a potential, h = GD Vh • Now according to Section
4, almost every w~(.) path tends to a point ( of D at the path lifetime, the
distribution of ( is GD(e,Ovh(do/h(e), and the conditional distribution of
~(.) given the asymptotic endpoint ( is that of GDG, ·)-Brownian motion
from e. Hence according to the preceding example, at GD(e,Ovh(dO/h(O
almost every point ( of D, equivalently, at Vh almost every point ( of D, there
is a finite number c = C(O such that the function v/h has limit (along almost
every GD «(, ·)-Brownian path from an arbitrary point of D - {O to (, that
is, v/h has fine limit c at (. This limit result is trivial unless v(O = h(O = ,j- 00
because v and h are continuous in the fine topology. Thus we have proved
probabilistically that v/h has a fine limit at Vh almost every point of D, but
further analysis, for example that in Section I.XI.4, is necessary to identify
the limit as dvvldvh at Vh almost every infinity of h.
9. Conditional Brownian Motion in a Ball 691
Comparison of the Nonprobabilistic and Probabilistic Fatou Boundary

Limit Theorems
If 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 LXII. 19 states that u has a minimal-fine limit at M h
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 w~(·) path tends to
a minimal Martin boundary point at the path lifetime and that the distribu-
tion of ~(S~-) is the harmonic measure Jlt(e,,) on the Martin boundary.
In particular, it follows that if (is a minimal Martin boundary point, almost
e
every K«(, ')-Brownian path from has limit ( at the path lifetime. Further-
more it will be shown that for arbitrary strictly positive harmonic h the
distribution of w~(·) can be constructed by choosing a minimal Martin
boundary point ( with the distribution Jlt(e, dO and then choosing K«(,-)-
e.
Brownian paths from More precisely the conditional distribution of w~(·)
given w~(S~-) = (is the distribution of K«(, ·)-Brownian motion from It e.
follows from Theorem 8 that for Jlt(e,,) almost every minimal boundary
point (the positive h-superharmonic function u has a limitf(O along almost
e
every K«(, ')-Brownian path from to (. It will be shown that the valuef(O
e,
does not depend on the path, does not depend on and is in fact the minimal-
fine limit at ( 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 III 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 f3 at
a minimal Martin boundary point ( if and only if the function has limit f3
along almost every K«(, ')-Brownian path from a point of D to (. 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 IXII.19 to I.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.
9. Conditional Brownian Motion in a Ball
Let D = B(O, (5) in IR N , and let K be the ball Poisson kernel,
(9.1)
The function K((, .) is minimal harmonic on D (Section 1.11.16) with value 1

at the origin and limit 0 at every ball boundary point except (. Moreover
692 2.x. Conditional Brownian Motion
(Section 1.11.1) JDK«(, ,,)/N(d,,) < + 00. Fix (and consider a K(C o)-Brownian
motion from a point ~ of D. According to Section I, the lifetime of the
process is almost surely finite because
I(~, (, t) = L6D(t,~, ,,)K«(, ,,)/N(d,,)::;; L6(t,~, ,,)K(C ,,)/N(d,,)

(9.2)
when t ~ + 00. More generally, if h is an arbitrary strictly positive harmonic

function with Riesz-Herglotz representation
(9.3)
the lifetime of an h-Brownian motion from ~ is almost surely finite because

the probability that the lifetime is at least t is JcJDI(~, (, t)Mh(dO/h(~), which
has limit 0 when t ~ + 00. Since the lifetime of an h- Brownian motion when
h is a potential is also almost surely finite (Section I), it follows using the
decomposition of conditional Brownian motion in Section 4 that every
conditional Brownian motion on a ball has an almost surely finite lifetime.
If ( is a ball boundary point, almost every K«(, o)-Brownian path from ~
tends to the boundary at the path lifetime (Theorem 4), and the function
l/K(C 0) has a finite limit along almost every such path (Theorem 8). It
follows that almost every K«(,o)-Brownian path has limit ( at the path
lifetime. Again let h be an arbitrary strictly positive harmonic function on D
with Riesz-Herglotz measure M h , and recall (from Section 1.VIII.9) that
J.l.t(~,dO = K(C~)Mh(dO/h(~). If 0 < t 1 < ... < t n and if wt(o) is an h-
Brownian motion in D from ~ with lifetime st, then the joint density of
w~(t d, ... , »{(t n) in D relative to INn is
(9.4)
This expression shows that h-Brownian motion paths from ~ can be obtained
by first choosing the asymptotic path endpoint ( according to the distribu-
tion J.l.t(~, 0) and then choosing K(C o)-Brownian paths from ~ to (. Thus
w~(st-) exists almost surely and has the distribution J.l.t(~, 0), as already
proved (Theorem IX.13) when D is an arbitrary Greenian set, h == I, and oD
is the Euclidean boundary. In Section 3.11.2 this evaluation of J.l.t 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 = hI + h2 is an arbitrary strictly positive superharmonic function on
the ball with hi positive harmonic and h 2 a potential (Riesz decomposition),
10. Last Hitting Distributions; Capacitary Distributions 693
the structure of an h-Brownian motion w~(·) from ~ with lifetime S~ is now

clear from the decomposition in Section 4. [It is supposed that h(~) is
finite.] In intuitive language a w~(·) path either is an ht-Brownian path
[probability h t (~)Jh(~)] tending to a boundary point w~(S~-) or is an
hrBrownian path [probability h2(OJh(~)] tending to an interior point
w~(S~ -), and the distribution of the asymptotic path endpoint has been
found in both cases, respectively, in this section and in Section 4. The
extension to the case when h(~) = + 00 is left to the reader.
It will be seen in Section 3.111.1 that conditional Brownian motion on an
arbitrary Greenian set has a similar structure if the set is provided with the
Martin boundary. The process lifetime need not be almost surely finite,
however.
The Probabilistic Fatou Theorem for a Ball
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 I.XII.23. According to
Theorem 8, if v and h are strictly positive superharmonic functions on a ball
D and if »{(.) is an h-Brownian motion in D from ~, with lifetime S~, then
(almost surely) the left limit vJh[ w~(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 h almost every ball
boundary point (, that is, at every boundary point up to an h-harmonic
measure null set, the function vJh has a finite limit along almost every
K«(, ')-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 ( will
be proved in Section 3.111.3.
10. Conditional Brownian Motion Last Hitting Distributions;

The Capacitary Distribution of a Set in Terms of a Last
Hitting Distribution
Let D be a Greenian subset of IR N , let h be a strictly positive superharmonic
function on D, let D h = {h < + oo}, and let w~(·) be an h-Brownian motion
in D, with lifetime S~, from ~ in D h • Let A be an analytic subset of D. Recall
(7.5), according to which hR1h(~)' that is, RA(~)Jh(e),
+h
is the probability that
a w~(·) path hits A at a strictly positive time; equivalently, if L~ is the last
hitting time of A by w~(·),
Hence almost no w~(·) path hits A arbitrarily near oD if and only if when B
is an open relatively compact subset of D, the value RA-B(e)
+h
can be made
arbitrarily small by choosing B sufficiently large. According to Section
l.VIII.II, this condition is satisfied if and only if R+hA is a potential, as we
suppose from now on, l}: = GDA~. Under this hypothesis w~(L~) is well
defined aside from the points of the w~(·) probability space for which
L~ = st, in which case we define w~(L~) = ~(st-), almost surely a point
of D. (Recall from Section lour convention on the generic use of P and E.)
Theorem. For l}: = GDA1 as just described the distribution of wt(L~) on

D - {e} is given by
(10.1)
and P{~(L~) = e} = P{L~ = O} = I -l}:(e)/h(e).
According to Section VI.l5, on the parameter set ]0, + oo[ the w~(·)
e
process killed at L~ becomes an l}:-Brownian motion from except that the
RhA-Brownian
+
motion probabilities are to be multiplied by RA(e)/h(e).
+h
According to Section 4, the distribution of l}:-Brownian motion at the path
lifetime is GD(e,Yf)A~(drf)/l}:(e), and (10.1) follows. The second assertion is
now trivial.
Application to Capacitary Distributions
Since R+1A = GDAA is the capacitary potential of A with respect to D, we

find from (10.1) that (h == I) the distribution of w~(L~) on D - {e} is
GD(e, Yf)AA(dYf). Thus the last hitting distribution of A by a Brownian motion
determines the capacitary distribution AA in a very simple way. The first
hitting distribution of A by w~(·) leads (Section IX.14) to the sweeping
kernel c5t and, in particular, leads to harmonic measure; the last hitting
distribution leads to capacitary measure.
11. The Tail (J Algebra of a Conditional Brownian Motion
Let D be a connected Greenian subset of IR N , let h be a strictly positive

harmonic function on ~ and let w~(·) be an h-Brownian motion in D from
e,with lifetime st. Let D be the one-point compactification of D, and make
the adjoined point a trap for w~(·), so that w~(t) is this adjoined point for
st s t < + 00. Let ff~(t) be the (J algebra of subsets of the w~(·) probability
II. The Tail (J Algebra of a Conditional Brownian Motion 695
space generated by the null sets and §' {w~(s), s :s;; t}. In Section VII.6 it was
supposed that h == 1 and the asymptotic properties of w~(·) 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 S~ instead of O.
In Sections VII.6 and in Section 2 of the present chapter the key was the
initial (J algebra, denoted by §'1 in Section VII.6. In this section the corres-
ponding role is taken by the tail (J algebra of sets, determined by w~(·) as the
parameter tends to S~. The natural definition of this (J algebra ~~ is the
following. If BcD, let S~B be the hitting time of aB by w~(.). Define ~~ as
the (J algebra generated by the null sets and the (J algebra
n {§'{ W~(S~B + t), tE IR+}: B3~, B open, relatively compact in D}. (1Ll)
This intersection is unchanged if B is restricted to an increasing sequence of

open relatively compact subsets of D with union D. Observe that ~~ is a (J
algebra of subsets of the w~(,) probability space, a space which may vary
with ~. Nevertheless the (J algebra (ILl) is defined by conditions on w~(,)
sample functions which are meaningful for all ~.
If u is a function from D into iR, define
u~ = lim sup u[ w~(t)]. (11.2)

Its~
Let ~t be the smallest (J algebra of subsets of the w~(·) probability space

containing the null sets and for which u~ is measurable whenever u is Borel
measurable. The (J algebra ~t is generated by the null sets and the algebra
of sets of the form
(11.3)
for n ~ I, A' a Borel subset of iRn , and U i a Borel measurable function from
D into iR. A trivial map shows that iR can be replaced here and in the defini-
tion of ~t by an arbitrary compact subinterval of iR.
The following results (a)-(c) on the tail (J algebra and associated concepts
will be used in later chapters. A characterization of the tail (J 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 iR with the property that the set
{u > c} is analytic for all real c, define u~ by (11.2), and define u'(~) = 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
lim u' [w~(t)] = u~ a.s. (11.4)

lt~
for each ~ in D.
(a4) If u is an arbitrary Borel measurable function from D into iR, then
unless E{lu~l} = + 00 for all ~ in D, the function u' is h-harmonic
and quasi-bounded, and (11.4) is true.
Application. If u is the indicator function of an analytic subset of D and if

L~ is the last hitting time of A by w~(')' then (a) implies that the function
~ 1-+ U' (~) = P {L~ = Sn is h-harmonic and that almost surely limIt ~ u' [wt(t)]
exists and is the indicator function of the set {L~ = Sn. The measurability-
type hypothesis imposed on u in (al)-(a3) was made weaker than Borel
measurability to allow for this application.
Proof of (a1). Let B. be an increasing sequence of open relatively compact

subsets of D containing~, with union D, and define
A(~, m, IX) = {w~(.) hits (D - Bm ) n {u > IX}}.

Then up to a w~(') null set A(~,m,IX)E~{w~(StBm + t),tEIR+} and up to a
w~(.) null set
{u~ > IX} = k~ mOo A ~,m,1X + k

00 00 ( 1) ;
so u~ is ~~ measurable. 0
Proof of (a2). Suppose first that u is bounded. Then the strong Markov
property of conditional Brownian motion yields
Hence (Section 7)
so u' is h-harmonic on Bn for all n and therefore is h-harmonic on D. If u is

lower bounded but not necessarily upper bounded, this result applied to
u 1\ n implies that the function ~ 1-+ E {u~ 1\ n} is h-harmonic; so (Section
1.11.3) the function u', the limit of an increasing sequence of bounded
h-harmonic functions, is either identically + 00 or h-harmonic and quasi
bounded. 0
Proofof(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.
II. The Tail (J Algebra of a Conditional Brownian Motion 697
Note that u~ is ~~ measurable, that ~~ C \(,elR+ ff(t), and that according to

Section VI.7 the (1 algebra on the right here is Y..e71.+ ff~(S~Bn); so when
n -+ 00 in (11.5), the conditional expectation continuity theorem yields
u~ = E{u~1 y ff~(S~Bn)} = lim u' [w~(S~Bn)]

neZ + n-oo
a.s. (II. 7)
Finally limrt~u'[wt(t)] exists almost surely according to Theorem 8, and

this limit is almost surely u~ according to (11.7). Thus (a3) is true. 0
Proofof(a4). If u is Borel measurable, the preceding work is applicable with

minor changes when u~ is defined by (11.2) with the inferior rather than the
superior limit. On applying these results appropriately to u v 0 and ( - u) v 0
it follows that the function ~ 1--+ E {Iu~ I} on D is either identically + 00 or
h-harmonic and quasi bounded, as is then also the function ~ 1--+ E {u~}, and
that in the latter case (11.4) is true. The proof of (a) is now complete. 0
(b) ~~ = ~t Assertion (al) implies that ~t C ~~' Conversely, fix ~ in

D and a set A~E~~. We shall now show that then A~E!!t Define B. as
in the proof of (al) except that now we also suppose that Bn C Bn + t for all n.
According to the Markov property of conditional Brownian motion,
(11.8)
and (Section 1.4) one version of the conditional probability on the right has
the form 4>n[w~(S~Bn)], where 4>n is a Borel measurable function from fJBn
into [0, I]' We apply the conditional expectation continuity theorem, again
using the fact that
~~ C Y ff~(t) = Y ff~(S~Bn),
telJi+ nE~+
and find that
(11.9)
If u is the function on D defined for all n as 4>n on fJBn and defined as 0 else-
where on D, this function is Borel measurable from D into [0, I] and
I A~ = lim sup 4> [ w~(t)] a.s.

rtsh~
Thus A~E~t, as was to be proved.
Observation. According to (a) and (b), it is no restriction on ~~h if u in

(11.2) and the following definition of ~t is bounded and h-harmonic.
(c) If h is minimal harmonic, the following assertions are true.

(cl) The tail (1 algebra l§~ is trivial for every ein D.
(c2) If u is an arbitrary Borel measurable function from D into iR, there
is a (not necessarily finite) constant c such that P{u~ = c} = 1 for
e
every in D.
In (c3)-(c5) v is a Borel measurable function from D into a Polish space D',
and d' is a metric on D' compatible with the D' topology.
(c3) Let,( be a point of D', and define
M~(,,') = {,,' is a cluster value of v[ w~(t)] when t t St}.
Then M~(,,')€l§~, and the function P{M~(,,')} is either identically 0

or identically 1.
(c4) Let A' be the set of points ,,' for which the function P{M~(,,')} is
identically 1. The set A' is closed and is the cluster set of almost
every v[w~(o)] sample function as tt Sr If D' is compact,
P{lim d'(A', v[w~(t)]) = O} = 1

tt~
for every e.
(c5) The function e.. . . .
P{limtts'!v[wt(t)] exists a.s.} is either identically
o or identically 1, and in the latter case there is a point ,( of D'
~
such that limtts'! v[ wt(t)] = ,,' almost surely, for every point ofD.
~
e
Proof of (cl) and (c2). We shall prove (c2) which implies (cl). It can be
supposed, replacing u by arctan u if necessary, that u is bounded. The func-
tion e ........ u'(e) = 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. 0
Proof of (c3). A point r( is a cluster value of v [w~(t, w)] when t t st if and

only if
lim inf d' (,,', v[ w~(t, w)]) = 0;

tt~
so if u(e) = -d'(,(, v(e», assertions (a) and (c2) combine to imply (c3). 0
Proof of (c4). The proof of Section VII.6(e) with obvious changes to the
present context yields (c4). 0
Proof of (c5). Let A~ be the wt(o) probability space subset for which v~ =
limtts'! v[wt(t)] exists. Then A~ € l§~ (Section 11.5); so P{ A~} is either 0 or 1.
~
12. Conditional Space-Time Brownian Motion 699
The function ~ ...... P{A~} is h-harmonic by the same reasoning [see (11.6)]
making u' an h-harmonic function. Hence the function ~ ...... P {A~} is either
identically 0 or identically I. In the second case fix ~ and observe that v~ is
~~ measurable; so v~ is almost surely a point rt' of D', that is,
limsupd'(rt',v[~(t)]) = 0 a.s.
tt~
According to (c2), it follows that this limit relation is true for all ~; so r(
does not depend on ~. The proof of (c5) is complete. 0
The Role of Analytic Set Theory
Although (a)-(c) as treated above involve analytic set theory where, as in

(a) and (c2), functions are discussed under very weak hypotheses, the proofs
of (b) and (c2) do not involve this theory. Analytic set theory can be avoided
in the other parts of (a) and (c) if appropriate restrictions are imposed
on the functions under discussion. For example, in (al) if u is supposed
lower semicontinuous, the set {u > c} is open, and therefore (Section VI.6)
measurability problems for hitting become trivial.
12. Conditional Space-Time Brownian Motion

Let D be an open nonempty subset of iR N , and let it be a positive super-
parabolic function on D. The definition and treatment of it space-time
Brownian motion in D follow their counterparts for conditional Brownian
motion in a Greenian subset of ~N except that it is allowed to have zeros.
We define the transition measure from a zero of it to be identically O. Define
Dh = {O < h < + oo}. We restrict ourselves to the following remarks. An h
e
space-time Brownian motion wg(o) from a point of Dh is a~ almos! surely
continuous process whose sample functions never leave Dh and proceed
downward, that is, in the direction of decreasing ordinate values. If ti is a
positive superparabolic function on D, the process (ti/h)[wg(o)] is an almost
surely right continuous process with left limits at all parameter values and at
the path lifetime and is a supermartingale under the same conventions as in
the conditional Brownian motion context. If it is parabolic, almost every
~g(o) path tends to the <?ne-point boundary of D at the path lifetime, and
h-parabolic measure tli(~, 0) on the Euclidean boundary of an open relatively
compact subset b of D, containing e,
is the hitting distribution on this
boundary. If h = Gb(-,~) for some point ~ of D and if Gb(e,~) > 0, then
almost every wg(o) pat~ has. lifetime ord e-
ord ~ and tends to ~ at the pat~
lifetime. In general if h = Gbtl is a superparabolic potential, almost every h
space-time Brownian path from a point eof Dh has a finite lifetime and tends
at the path lifetime to a point ~ whose distribution is G6(e, ~)tl(d~)/it(e).
700 2X. Conditional Brownian Motion
The h space-cotime Brownian motion processes are defined in the obvious

dual way. When Gb(~, ti) > 0, almost every Gb(" ti) space-time Brownian
path from ~ tends down to ti at the path lifetime and almost every Gb(e,·)
e
space-cotime Brownian path from ti tends up to at the path lifetime.
Moreover a reversal of time in one of these processes yields the other process.
Theorem 8 on the composition with conditional Brownian motion of the
ratio of two positive superharmonic functions translates directly into the
parabolic context, and its statement is left to the reader. Observe, however,
that the sample functions of the composed process, up to the conditional
Brownian motion lifetimes, are almost all right continuous but not necessar-
ily continuous, as already noted in Section IX.12 for the special case of the
composition with Brownian motion of a superparabolic function. The
parabolic counterpart of Theorem 8 can be applied to derive the existence
of a coparabolic-fine limit function for the ratio of two positive super-
parabolic functions (see Theorem LXVIII.l4 for an exact statement, and
see the classical context argument in Section 8).
13. [Space-Time] Brownian Motion in [~N] IR Nwith

Parameter Set IR
All measure densities in this section are relative to IN'
Brownian motion in IR N with parameter set IR
Let {w(t), te IR} be a Brownian motion in IRN with parameter set R Then
(Sections VII.2 and IX.8) there is a positive parabolic function u on IR N
such that for s in IR the random variable w(s) has distribution density u(', s),
with integral + 00 over IR N • The process w(·) has reverse time transition
e
density (transition from at time s to " at time t < s)
u(", t)6(s - t, e, ,,)/u(e, s).

In particular, suppose that uis a minimal parabolic function on IR N , so that
(Section LXVI.8) uhas the form
(13.1)
with y a point of IR N • Then the above reverse transition density becomes

6(s - t,e,,, -
(7"2(S - t)y). This is the transition density of a Brownian
motion with drift: conditioned by fixing w(O) = e,
the process
13. [Space-Time] Brownian Motion in [~N] IR N with Parameter Set IR 701
is a Brownian motion in IR N from ~. According to VII(5.4), it follows that

for the conditional and therefore also for the original process,
(13.2)
Observe that if y :1= 0, then lim t __ oo w(t) = 00 almost surely. If y = 0, then

(Theorem IX.5) this convergence to 00 is true if and only if N > 2. If y =
and N = 2 [N = I], almost every w(·) sample path hits every disk [point]
°
at arbitrarily large negative parameter values. If u is an arbitrary positive
parabolic function on iR N , then (Section XVI.8) there is a measure N;, on IR N
such that
and we conclude that if u is the absolute probability density function for

w( '), then limt __ 00 [w(t)Jt] exists almost surely and has distribution (12 N;,(dy).
Observe that the only condition imposed on N;, is XVI(8.3); so N;,(IR N) need
not be finite. In particular, if N;, is the unit measure supported by the origin,
the function uis given by (13.1) with y = 0, and so u == 1. This is the stationary
case. The choice of uis the choice of the distribution family SH u(~, s)/N(d~);
this family is called the entrance law of the Brownian motion.
Conditional Brownian Motion in IR N with Parameter Set IR
In the study of h-Brownian motion in IR N with parameter set IR the function

h is a strictly positive superharmonic function on IR N , and the transition
density (from ~ at time S to 11 at time t > s) is given by
h(:> h(11) (13.4)

t t - S,,:>,11) = t(t - S,~,11) h(~)'
and it is trivial that the absolute probability density function u must be

replaced by uh. Observe that if h is harmonic we obtain nothing new because
(Section 1.11.2) every positive harmonic function on IR N is identically con-
stant. Moreover (Section 1.11.13 for N = 2; the result is trivial when N = I)
every positive superharmonic function on IR N is identically constant when
N < 3. Hence in the following we suppose that N > 2 and that h is a potential.
The reverse transition density for (13.4) of an h-Brownian motion wh(·) with
parameter set IR is unchanged by the change from uand t to lih and t h aside
from the fact that this density is not defined when either ~ or 11 is in the polar
and therefore IN null set of infinities of h. In particular, suppose that Ii is
given by (13.1) and that h = G«(,') for some point ( oflR N • Then as t increases
from - 00 to the finite process death time, every wh (.) sample path comes in
from the point 00, along a direction determined by y if y :f. 0, and tends to
, at the process death time. For general uand general h the process is made
up of such processes. Thus in generallim/__ co [w(t)/t] is a random variable
with distribution ([2 N;.(dy), and (Theorem 4) if h = Gil and if h(e) < + 00,
e
the conditional distribution for w(s) = of the left limit of wh (.) at the
process death time is G(e, OIl(dO/h(e). Roughly, the choice of udetermines
~(.) at the beginning of the process, and the choice of h determines the
process at the end.
[Conditional] Space-Time Brownian Motion in iR N with Parameter Set IR

A space-time Brownian motion in iRN with parameter set IR is a process of
the form {(w(t), to - t), tE IR}, where to is an arbitrary constant and w(') is
a Brownian motion in IRN with parameter set IR. A positive parabolic func-
tion uis then the absolute probability density function for w('), as explained
above. We now study h space-time Brownian motion in IR N with parameter
set IR, necessarily replacing u by uh. In particular, suppose that u and hare
both minimal parabolic functions on iRN , given by (3.1) with y = Yo, Yl,
respectively. Then the process {(w(t), IX - d', tE IR} becomes a space-time
process with the original time component. The space component is a process
w'(') with state space IRN and is Markovian with stationary transition density
6(t,e,1'/-([2 ty1 ); so the process {w'(t)_([2 ty1 ,tEIR+} conditioned by
w' (0) =eo is a Brownian motion from eo. The reverse transition density
for arbitrary h is the same as that for h == 1. Thus lim/_ -co [w' (t)/t] = Yo
almost surely and lim/_co [w'(t)/t] = Yl almost surely. The character of w,(·)
for general uand general parabolic h can be deduced at once from this special
case, and the case when h is superparabolic is handled similarly.
Part 3
Chapter I
Lattices in Classical Potential Theory and

Martingale Theory
I. Correspondence between Classical Potential Theory and

Martingale Theory
Submartingales martingales and supermartingales are analogs in the context
of martingale theory of subharmonic harmonic and superharmonic func-
tions in the context ofclassical potential theory. The correspondence between
these two contexts has two aspects. In the first place many of the manipula-
tions of supermartingales correspond exactly to manipulations of super-
harmonic functions. This has been exhibited in previous chapters by the
common choice of nomenclature, for example, D, S, Sm' LM, GM, 't., R:.
In the second place under appropriate hypotheses the composition of a
superharmonic function with Brownian motion is a supermartingale; for
example, see Section 2.IX.7. In this chapter lattice aspects of classical
potential theory and martingale theory will be developed simultaneously.
Throughout this chapter in the classical potential theory context D is a
fixed connected Greenian subset of IR N , and h is a fixed strictly positive
harmonic function on D. The notation S+, etc., will always refer to classes
of positive h-superharmonic functions, etc., on D. The martingale theory
context is the continuous parameter context as described in Section 2.IV.l;
that is, processes with parameter set IR+, on a complete probability measure
space (0, Y;, P) provided with a right continuous filtration Y;(.), are treated.
It is supposed that Y;(O) contains the null sets. Thus S+, ... refer to the class
of positive almost surely right continuous supermartingales on
(O,Y;,Y;(·),P), ....
Classes LP, D, S, and so on have been defined in both classical potential

theory and martingale theory contexts, and it will frequently be possible
in the analysis to use the same proof in both contexts, by means of the
obvious translation in which "positive h-superharmonic function" becomes
"positive almost surely right continuous supermartingale" and operations
like 't., GM, ... are interpreted according to the context under consideration.
It will be convenient in both contexts to abbreviate the notation for the
intersection oflattices by writing Smqb for Sm n Sqb' Sps for Sp n S., and so on.
706 3.1. Lattices in Classical Potential Theory and Martingale Theory
It is trivial that if u is a strictly positive h-superharmonic function, then

uh is a strictly positive superharmonic function, and conversely, and that u
is in a class LP, D, S, etc., relative to h if and only if uh is in the corresponding
class for h == 1. Moreover, when u is a positive h-superharmonic function,
R~/h = hR~ and R+uh
A
/h = hR
+u
A
• Thus, although the results in this chapter are
stated for general h to facilitate reference, proofs can be given for h == 1

without loss of generality.
The Parabolic Context. We have defined the classes mentioned above
both in the classical potential theory and the parabolic contexts. In the
latter the Greenian subset D of ~N is replaced by a nonempty open subset
D of IR N , h is replaced by a strictly positive parabolic function h on D, and
h-superharmonic functions are replaced by h-superparabolic functions. In
most but not all of the classical potential theory discussion theorems and
their proofs will be seen to be directly translatable into the parabolic context,
as noted in Section l.XVIII.l9.
The Martingale Theory Lattices'S, etc. We have defined and discussed
these lattices in Chapter V of Part 2 under very general hypotheses. The
most useful case is that with parameter set 71..+, and the reader should have
no difficulty in finding the counterparts in this context of the martingale
theory continuous context results in the present chapter. Some of the results
are not applicable to all linearly ordered parameter sets, however.
2. Relations between Decomposition Components of S in

Potential Theory and Martingale Theory
In both the classical potential theory (Chapter IX of Part 1) and martingale
theory (Chapter V of Part 2) contexts we have proved that Smqb' Sm.. Spqb'
Sps are mutually orthogonal bands in S, with vector sum S. The potential
theory proofs are applicable without change to the parabolic context.
In the martingale theory context we have proved (Theorems 2.V.3, 2.V.9)
that Sm n D = Smqb = Sm n VI. The equality Sm n D = Smqb in the potential
theory contexts will be proved in Section 5.
In the martingale theory context we have proved (Theorem 2.IV.ll)
that S; n D = S;qb' This equality will be proved in the potential theory
contexts in Section 9.
3. The Classes LP and D
See Sections l.IX.3, l.IX.4, 2.11.11, and 2.V.4. In the classical potential
theory context we denote these classes more specifically by LP(tl~_) and
D{tt~_) when there is danger of ambiguity. In classical potential theory, in
parabolic potential theory, and in martingale theory SeLl and for p > 1:
The set 8 II LP is a vector sublattice of (8, :S) but not a band; 8 II LP C D.
4. PWB-Related Conditions on h-Harmonic Functions and on Martingales 707
4. PWB-Related Conditions on h-Harmonic Functions and on

Martingales
Lemma (Classical Potential Theory Context). If the h-harmonic function u
e
on D is in D(Jl~_), then to each e > 0 and in D correspond a lower-bounded
h-harmonic pointwise majorant u;~ in D(JL~_) and an upper-bounded h-harmonic
pointwise minorant u~~ in D(Jl~_) with u;~(e) - u~~(e) ~ e. Conversely, ifu is an
e
h-harmonicfunction and ifto each e > 0 and in D correspond a lower-bounded
h-superharmonic pointwise majorant u;~ and an upper-bounded h-subharmonic
pointwise minorant u~~ with u;~( e) - u~~( e) :::; e, then u is in D(JL~_).
(Martingale Theory Context). If x(·) ED (\ Sm, that is, if {x(·), jO(.)} is an

almost surely right continuous uniformly integrable martingale, then to each
e > 0 correspond a lower-bounded martingale essential majorant x;(·) of x(·)
in D and an upper-bounded martingale essential minorant x~(·) in D with
E{x;(t) - x~(t)} < e. Conversely, if x(·) is an almost surely right continuous
martingale and if to each e > 0 correspond a lower-bounded supermartingale
essential majorant x;(.) and an upper-boundedsubmartingale essential minorant
x~(·) with
sup+ E{x;(t) - x~(t)} ~ e

rEo;l
then x(·) is in D.
Proof in the martingale theory context. If x(·) is in D (\ Sm apply Section

2.V.2 to find
E{LM[x(·) v n](s)} - E{x(s)} = sup+ E{x(t) v n} - E{x(s)}. (4.1)

rEIJ'l
The difference on the right is constant in s and is at most el2 for sufficiently
small (negative) n because x(·) is in D. The process x;(·) is defined as
LM[x(·) v n] for such a choice of n, and the process x~(·) is defined dually.
Conversely, if x;(·) and x~(·) exist as in the converse assertion, with x;(·) ~
-K. and x~(·) :::; K., where K. > 0, and if b > 0 is chosen so that
P{!x(t)1 = b} = 0,
then
E{lx(t)!; Ix(t)1 ~ b} ~ E{x;(t) - x~(t)} - E{x;(t);x(t) < -b}

+ E{x~(t); x(t) > b} (4.2)
~ e + K.p{lx(t)1 > b}.
It follows that sUPr;,oE{lx(t)l} < +00 and if Kis this supremum; the right
side of (4.2) is at most £- + K,K/b < 2e when b is sufficiently large. Hence

x(·)ED. 0
The proof in the potential theory context is a translation of that just given.
Observation. The conditions of this lemma have not received much atten-
tion in martingale theory, but they are fundamental in potential theory. In
fact by their very definition the PWBh solutions ofthe Dirichlet problem are
in D(Jl~_), according to Lemma 4, for any choice of boundary. Conversely,
if the boundary is internally h resolutive (Section I.VIII.2), there corresponds
to every h-harmonic function u in 8mqb [ = 8 m n D(Jl~_) according to the
next section] a PWBh resolutive boundary functionfwith H! = u.
Parabolic Context
Lemma 4 and its proof need no change in the parabolic context.
5. Class D Property versus Quasi-Boundedness
Theorem. In the classical and parabolic potential theory contexts and in the
martingale theory context
(5.1)
Recall that in the martingale theory context we have proved (Theorems

2.V.3 and 2.V.9) that 8 m n D = 8mqb = 8 m n VI; so (5.1) need only be dis-
cussed in the potential theory contexts. Actually Lemma 4 yields (5.1) in both
contexts. We give the proof of (5.1) in the classical potential theory context
in the notation ofLemma 4, with h == I to simplify the typography. The proof
in the martingale theory context, as based on Lemma 4, is essentially the
same. If uE8~ n D, the bounded positive harmonic function LM(u~~ v 0)
is a pointwise majorant of u~~ and minorant of u; so u( e) - LM (u~~ v 0) < e.
Thus u is the supremum of its positive bounded harmonic minorants and
as such is in 8~qb' Conversely, if UE8~qb' it is trivial from Lemma 4 that
uED.
Application to LP for p > I
In the following discussion we compare certain results for 8 m n LP in

martingale and potential theory contexts. Suppose that {x('), ff(')} is a
uniformly integrable martingale (continuous parameter context), that is,
x(')E8 m n D. According to the continuous parameter version of Theorem
2.111.14 there is an almost sure iimit x( + (0) = lim t -+ oo x(t), and x(t) =
E{x( + 00 )Iff(t)} almost surely, for all t. Moreover according to Theorem
6. A Condition for Quasi-Boundedness 709
2.111.14, E{lx( + ooW} < +00 if and only if x(·) is LP bounded, equivalently
(by Section 2.VA) if and only if x(·)eLP. Under the latter condition it
follows easily from Section 2.V.2 that
E {Ix( + 00 Wlff(')} = LM Ix('W a.s.
The fOllowing are the classical potential theory counterparts of these

martingale theory results. Let D be a connected Greenian subset of ~N,
let h be a strictly positive harmonic function on D, and let U = v/h be a
positive h-harmonic function on D. According to Theorem l.XII.lO the
Martin boundary is universally resolutive and universally internally resolu-
tive. Hence in the Martin space context the results in the present and preced-
ing sections imply that the class of PWBh solutions is Sm n D(J.li-) = Smqb'
According to Theorem 1'x1I.19, if U = HJ
thenfis the h-harmonic measure
almost sure boundary limit function on approach to iJM D in the minimal
fine topology, and U = J.li(·,f). Moreover it follows easily from Section
l.IX.2 (the classical potential theory counterpart of Section 2.V.2) that
IfI
J.li<-.
p
P) < + 00 if and only if ueLP(J.li-), and in that event J.li(·,IfI
P) =
LMhlul ·
6. A Co~dition for Quasi-Boundedness

Lemma (Classical Potential Theory Context). If ueS;" and ve S+, then
lim h~U~{V>CI = 0 q.e. (6.1)

C-OO
(Martingale Theory Context).lfz(·)eS;b' y(·)e S+, and Ac = {y(',') > c},

then
lim ~z(·W·n = 0 q.e. (neZ+). (6.2)

n-oo
Observe that (6.1) and (6.2) are identical with the same equations for
unsmoothed reductions because {v :> c} is an open subset of ~N and Ac is a
fine-open subset of~+ x Q. In (6.1) the reduction decreases when cin~reases.
In (6.2) we can only assert that c < d implies that ~z(·) ~Ad S; ~z(·) ~Ac quasi
everywhere, and that is why in (6.2) the limit is sequential. The set Z+ 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 = ~o Uj with Uj in S + and bounded, then
00 00
h~U~{v>C} = Lh~Uj~{v>cl S; LUj' (6.3)
o 0
and (dominated convergence) it is therefore sufficient to show that

lime_a:> h~Uj~(v>cl = 0 for allj at the points of finiteness of v. If Uj is bounded
by aj , this desired limit relation follows from
(6.4)
Observation. The relation (6.1) can also be written in the form
lim ~uh~{v>e} = 0 q.e. (6.1')

C-a:>
Parabolic Context
The lemma and its proof need no change in the parabolic potential theory
context.
7. Singularity of an Element ofS~
Theorem (Classical Potential Theory Context). For afunction u in S~ to be

singular it is sufficient that u 1\ ceS; for some strictly positive constant c and
necessary that u 1\ c es; for every strictly positive constant c.
(Martingale Theory Context). (a) For a process z(·) in S~ to be singular
it is sufficient that z(·) 1\ ceS; for some strictly positive constant c and
necessary that z(·) 1\ ceS; for every strictly positive constant c.
(b) The process z(·) in S~ is singular if and only if lim/_a:> z(t) = 0
almost surely.
The proof of Theorem 7 in the classical potential theory context was

given in Section l.IX.IO, and the martingale proof of (a) is a direct transla-
tion of that proof. The martingale assertion (b) was proved in Section 2. V.ll.
A classical potential theory counterpart of the martingale theory assertion
(b) can be formulated in two ways as follows. (Classical potential theory
context) :
(bl) An h-harmonic function u in S~ is singular if and only if (Theorem
I. XII. 19) its minimal-fine boundary limit function on the Martin
boundary of D vanishes Mh almost everywhere, that is, up to an h-
harmonic measure null set.
(b2) An h-harmonic function u in S~ is singular if and only if (Theorem
2.X.8) when wt(·) is an h-Brownian motion in D from ~, with life-
time st, lim/tsl!u[wt(t)] = 0 almost surely.
~
8. The Singular Component of an Element of S + 711
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.
8. The Singular Component of an Element of S+

Theorem (Classical Potential Theory Context). If UES+ and has singular
component US' then
lim h~U~(u>,} = Us q.e. (8.1)

'-<Xl
In particular, u in S+ is singular if and only if u = h~U~{U>'} for every (equiv-

alently some) strictly positive constant c.
(Martingale Theory Context). If Z(o)ES+ and has singular component
zs(o) and if A, = {z(o,o > c}, then
lim ~z(o)~An = zs(o) q.e. (nEZ+). (8.2)

n-<Xl
In particular, z(o) in S+ is singular ifand only ifz(o) = ~z(o)~A, quasi everywhere

for every (equivalently some) strictly positive constant c.
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 -. 00) in (8.2) rather than the unrestricted approach (c -. 00)
in (8.1).
Proof in the classical potential theory context. (The martingale theory proof
is a direct translation.) Suppose first that UES:. By Section l.VI.3(i) as
adapted to reductions in the h-superharmonic context,
(8.3)
According to the vector lattice decomposition theorem (Theorem 6 of

Appendix III), there are members uland Uz of S+ , specific order minorants,
respectively, of the first and second terms on the right, with sum u. Since Ss
is a band the functions Ul and U z must be singular, and since Uz is bounded
by c, Uz E S: (\ Sqb; so Uz = O. Thus U = Ul, and U is the first term on the
right in (8.3), as was to be proved. For general u in S+ write U = Uqb + US'
the sum of the quasi-bounded and singular components of u. Then [from

Section 1. VI.3(f)]
(8.4)
The first term on the right has limit 0 quasi everywhere when c -+ 00 according
to Lemma 6, and the second term on the right is Us for every c because
u = hn u n{us>c} < hn u n{u>c} < u .

s U sU - U sU - s'
so Theorem 8 is true. 0
Parabolic Context
Theorem 8 and its proof need no change in the parabolic context.
9. The Class Spqb

Theorem (Classical Potential Theory Context). The following conditions on a
function u = GDJ..L/h inS;
are equivalent:
PT(a) UeS;qb'
PT(b) ueD(J..L~_).
PT(c) lim c.... oo h~U~{u>C} = 0 q.e.
PT(d) J..L vanishes on polar sets.
(Martingale Theory Context) The following conditions on a process z(·) in

S; are equivalent:
MT(a) z(')eS~b
MT(b) z(·)eD.
MT(c) If Ac = {z(',·) > c}, then
lim ~Z('HAn
n.... oo
=0 q.e. (neZ+).
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 -+ (0) in MT(c) rather than the unrestricted approach (c -+ (0)
in PT(c).
Proofin the classical potential theory context. In clarification ofPT(d) recall

that (Theorem 1.V.11) a superharmonic potential GDJ..L has the value + 00 at
J..L almost every point of a polar set. Hence J..L vanishes on polar sets if and
only if J..L{GDJ..L = + oo} = O. To simplify the notation in the following proof,
we take h == 1.
9. The Class 8 pqb 713
PT(a) = PT(b) If U = L~ Uj with each summand in S; and bounded, let

~ be a point of D, and let Bo be an open relatively compact subset of D
containing~. To show that uED(JlD-), we show that the family of pairs
{(U, JlB(~")): B => Bo , B open and relatively compact in D} (9.1)
is uniformly integrable. Observe that according to the generalized super-

harmonic function average property in Section l.VIII.lO, the harmonic
average JlB(~' u) increases when B decreases, and therefore attains its max-
imum value when B = Bo . Now define Vn = L~+l uj , choose e > 0, choose n
so large that JlB o(~, Vn) < e/2, and define c = sup DL~ uj . When B is a set in
(9.1), the same superharmonic function average inequality yields JlB(~' Vn) <
e/2, and if A is a Borel subset of oB, so small that JlB(~' A) < e/(2c), then
JlB(~,uIA) ~ JlB(~,Vn) + JlB (~,~UjIA) < e. (9.2)
Hence the family (9.1) is uniformly integrable.

PT(b) = PT(d) Suppose that for some U in S+ condition (b) is true but
condition (d) is false. Replacing Jl by its projection on a suitable compact
set if necessary, it can be supposed in deriving a contradiction that Jl is
supported by a compact polar set A. Let B be an open relatively compact
subset of D containing A, let ~ be a point of B - A, and let A. be a decreasing
sequence of compact neighborhoods of A, subsets of B, with intersection A.
The boundary of B n = B - An consists of oB and a subset Cn of oA n. Since U
is harmonic on a neighborhood of lin,
U(~) = JlBn(~, UlaB) + JlBn(~, ul en). (9.3)
°
To show that the second term on the right has limit when n -+ 00, note
first that (Section l.V.4) there is a function v positive and superharmonic
on B, with v = + 00 on A and v(~) < + 00. Hence v ~ I on Cn for large n;
°
so lim SUPn_ro JlB n (~, Cn) ~ v(e), and since for every () > the function ()V
satisfies the same conditions as v, it follows that lim n_ ro JlBn (~, Cn) = 0. Hence
(class D property) limn_roJlBn (~,ule) n
= 0; so
u(~) = lim JlB (~;UlaB) ~ supu. (9.4)

n-+a) n oB
Thus u is bounded on B - A, and therefore (Section l.V.S) u has a unique

superharmonic extension to B, and this superharmonic extension is har-
monic, contrary to fact. It follows that PT(b) = PT(d).
PT(d) = PT(a) If u = GDJl is a superharmonic potential for which Jl
vanishes on polar sets, define An = {n ~ u < n + I}, and let Jln be the projec-
tion of Jl on An. Then Jl = L~ Jln because Jl {u = + 00 } = 0, and according to
the domination principle, GDJln ~ n + I. Thus the representation u =
L~ GDJln exhibits u as a quasi-bounded potential.
PT(a)<:>PT(c) See Theorem 8.

MT(a) => MT(b) If z(o) = I:O' zk) with each summand in andS;
bounded, we show that the family {z(T): T optional} is uniformly integrable.
[Define z( + ex) = 0.] Define Yn(o) = I:::"+t zi o), choose e > 0, choose n so
o
large that E{Yn(O)} < e/2, and let c be an upper bound of I: zk). Then if T
is optional, the supermartingale inequality yields
E{z(T)} s; E{z(O)},
so if P{A} < e/(2c),
rz(T)dP < E{Yn(T)} + JIZiT)dP < e.

JA A 0
(9.5)
Hence the family {z(T): T optional} is uniformly integrable; that is, z(o)eD.
MT(b) => MT(a) See Theorem 2.IV.1I.
MT(a) <:> MT(c) See Theorem 8.
The proof of the theorem is now complete. 0
Observation (Discrete Parameter Case). In the martingale theory context

Sp = Spqb if the parameter set is 7z.+ according to Theorem 2.IV.8.
Parabolic Context. The proofs in the classical potential theory context

that PT(c)<:>PT(a)=>PT(b)=>PT(d) need no change in the parabolic
context. The above proof that PT(d) => PT(a), however, used the domina-
tion principle which is not valid in the parabolic potential theory context
according to Section I.XVII.5. Now define
PT(d') JJ. vanishes on semipolar sets.
Then PT(d') <:> PT(d) in the classical potential theory context because semi-
polar sets are polar in that context and under PT(d') the domination prin-
ciple is valid in the parabolic potential theory context (Section I XVIII .16);
so PT(d') => PT(a) in the latter context. Thus the parabolic potential theory
version of Theorem 9 is slightly weaker than the stated classical potential
theory version. It is false that PT(a) => PT(d') because if D = iRN and if P-
is supported by the abscissa hyperplane on which P- = IN' then P- is supported
by a semipolar set, but GnP- e S~b'
10. The Class Sps
Theorem (Classical Potential Theory Context). The following conditions on a

S;
function u = GD J1./h in are equivalent:
II. Composition of an h-Superharmonic Function with an h-Brownian Motion 715
PT(a) UES;s'
PT(b) h~U~{u>C} = ufor every (equivalently some) strictly positive constant
c.
PT(c) Jl. is supported by a polar set.
(Martingale Theory Context). The following conditions on a supermar-

tingale z(o) inS;
are equivalent:
MT(a) z(o) ES;s'
MT(b) If A c = {z(o, o) > c}, then ~Z(o)~Ac = z(o) quasi everywhere for
every (equivalently some) strictly positive constant c.
MT(c) z(o) is a local martingale.
PT(a)<:>PT(b) and MT(a)<:>MT(b) according to Theorem 8.

MT(a) <:> MT(c) according to Theorem 2.V.l2.
PT(a) <:> PT(c) (Proof for h == I). We use the notation in Section l.IX.8,
in which M; is the set of measures on D whose potentials are superharmonic.
The vector lattice M p = M; - M; is isomorphic to the vector lattice (Sp, :5)
of classical potential theory under the correspondence A. +-+ GDA.. The class
M;qb of measures in M; vanishing on polar sets corresponds to the class
S;qb according to Theorem 9; so the class M;s
of positive components of the
class orthogonal to M;qb - M~b' that is, the class of measures in M;
supported by polar sets, corresponds to the class S;.. since Ss = Sq~. That is,
PT(a) <:> PT(c), and the proof of the theorem is now complete.
Parabolic Context
We shall need a further condition:

PT(c') Jl. is supported by a semipolar set.
Then PT(c')<:>PT(c) in the classical context because in that context semi-
polar sets are polar. We leave to the reader the easy verification, modifying
the discussion in the classical potential theory context, that in the parabolic
context PT(a) <:> PT(b) = PT(c').
11. Lattice Theoretic Analysis of the Composition of an

h-Superharmonic Function with an h-Brownian Motion
In this section we use the notation of Section 2.x.8 but restrict the context
slightly by assuming that h is harmonic. Thus u is a positive h-superharmonic
function on D to which the lattice theoretic discussion of this section is
applicable. The restriction to the parameter set IR+ of the process ~(o)
defined in 2.x(8.1) will be denoted by o~(o). If u(e) < +00, the latter
process is an almost surely right continuous supermartingale to which the
lattice theoretic discussion is applicable. We use the notation S, Sqb' etc., in

both potential theory and martingale theory contexts.
e
(a) IfuES;qb' then o~(·)ES~bfor every point offiniteness ofu. This
assertion follows trivially from Theorem 2X.8.
(b) If x~(·) is a martingale for some (equivalently every) e,
then UES;qb"
e
In fact the martingale equality at times 0, + 00 yields equality at in Theorem
2X.8(d), and therefore there is equality on D. Observe that according to (d)
below the present assertion (b) becomes false i( ~(.) is replaced in the
hypothesis by o~(·)'
e
(c) IfuES;, then o~(·)ES; for every point offiniteness ofu. To see
this recall that by 2.X(I.2) if we write w~(·) for a Brownian motion in D
e
from and denote the process lifetime by s~, then
Now by hypothesis uh is a superharmonic potential; so (Section 2X.I) the

probability on the right has limit 0 when t ~ 00, and (c) follows. Observe
S;
that oX~(·) E implies that x~( + (0) = 0 almost surely, but that the converse
implication is false, although the latter condition is necessary and sufficient
that ~(.) be in S;. The conclusion of (c) would thus be considerably weak-
ened if o~(·) were replaced by ~(.) in the conclusion. This weakening is
exhibited explicitly in (d) to be proved next.
(d) If UES;s' then o~(·) ES: ,for every e. [Recall that under the hypoth-
esis on u, P{~(+oo) = O} = I for all e.] To prove (d), it is sufficient to
prove that if y(.) is a bounded supermartingale in S+ with parameter set IR+
majorized in the specific order by o~(·), then y(.) is a zero process up to a
standard modification, equivalently, E {y(O)} = O. Now if D. is an increasing
sequence of open relatively compact subsets of D with union D, containing
e, oD
and if stn is the hitting time of nby w~(·), then the process o~(·) stopped
at time S~~ is a martingale, the process y(.) stopped at the same time is a
supermartingale, and in view of the order relation y(.)::s o~(·) there is
another process which added to y(.) yields o~(·) and which when stopped at
S~~ is a positive supermartingale. It follows that y(.) stopped at stn is a
martingale and therefore that
E{y(O)} = E{y(Stn)} ~ E{y{St-)} :;; E{o~(St-)} = E{x~( + oo)} = 0,

(11.2)
12. A Decomposition ofS~ (Potential Theory Context)

As in the previous sections h is a strictly positive harmonic function on the
connected Greenian subset D of IR N • Let S;soo be the cone of functions U in
S;s for which 6~(t,·, u) = U for all t > 0, that is, the cone of 6~-invariant
13. Continuation of Section II 717
excessive positive singular h-harmonic functions on D, and let S;s! be the

cone offunctions u in S;:;s for which lim,....oo t~(t,·, u) = O. It is easily checked
that if u is in one of these classes, its positive specific order minorants are
in the same class and that a countable sum of functions in one of these
classes is also in that class if the sum is in S~. The classes Smsoo = S~soo -
S~soo and Sms! = S~s! - S~s! are therefore orthogonal subbands of Sms. If u
is in S;:;., we have seen in Section 2.IX.8, Example (a) (for h == I and the
general case follows trivially), that lim,....oo t~(t,·, u) = Uo is an h-harmonic
minorant of u, in S;:;'oo. Hence lim,....oo t~(t, ., u - u o) = 0, that is, u - U o e
S~s!' and therefore Sms = Smsoo + Sms!.
The classes Smsoo and Sms! have simple probabilistic characterizations. The
condition that u e S~soo is the condition that u is in S;:;s and that the process
o~(·) in Section II is a martingale for some (equivalently every) ~, equiv-
alently and more intuitively, that the process X~h(.) defined in 2.x(8.1) is a
martingale for some (equivalently every) ~. A second probabilistic inter-
pretation is that (Section 2.x.l) u e S;soo [u e S;s!] if and only if the lifetime
of uh-Brownian motion in D from some (equivalently every) ~ is almost
surely + 00 [almost surely finite]. This characterization inspires the notation.

Section II(d) is made more precise by (e) and (f) below.
(e) IfueS~soo' then ox~(·)eS~s. In fact, as already noted in Section 12,
the process o~(·) is a martingale, and this process is singular according to
Section ll(d).
(f) IfueS;s!, then o~(·)eS;s because the equation
lim6~(t,~,u) = limE{o~(t)} = 0
1-00 1-00
shows that o~(·) e S;,

and this process is singular according to Section II (d).
Section II (c) is made more precise by (g) and (h) below.
(g) IfueS;qb, then o~(·)eS;qb. In view of Section II(c) this assertion
is trivial.
(h) If ueS;., then o~(·)eS;s for every, for which u(~) < + 00. If
u(~) < + 00, then by Section II(c) the process o~(·) is in S;. To prove that
the process is singular, suppose first that the measure associated with the
superharmonic function uh has compact polar support A. (According to
Section 10, this measure is supported by a polar set.) Define Do = D - A,
and let Uo be the restriction of u to Do. Since almost no w~(·) path from
the point ~ meets A, the process for Uo on Do analogous to oX~(·) for u
on D can be taken as this same process oX~(·). The fact that ~ may not be
in Do will not affect the following reasoning. The function Uo on Do is
singular as well as h-harmonic because a bounded positive h-harmonic
minorant U 1 of U o has an h-harmonic extension to D by a trivial generaliza-
718 3.1. Lattices in Cla~sical Potential Theory and Martingale Theory
tion of Theorem l.V.5, and the extension of U 1 is a bounded h-harmonic

minorant of u and therefore vanishes identically. Thus o~(·) E S: by (e); so
o~(')ES;s as stated. If, however, J1. does not have compact support, the
measure is the sum of a sequence of measures with disjoint compact polar
supports; so oX~ (.) E S;', as was to be proved.
EXAMPLE. Let N = 2, let D be the upper half-plane, and let h == I. The

ordinate function u on D is a singular positive harmonic function, singular
because any bounded harmonic minorant of u has limit 0 at every finite
boundary point of D and therefore (Theorem I.V. 7) vanishes identically. (It
is easy to prove that u is minimal, but this fact will not be needed.) The
positive u-harmonic function I/u has a finite limit along almost every
u-Brownian path from a point ~ to aD so almost every such path tends to
00. Direct calculation shows that u is subsumed under (e) so that if w~(·) is
a Brownian motion in D from ~ with lifetime S~, the process o~(') with
h == 1 is a singular martingale. The martingale property amounts to the
statement that a one-dimensional Brownian motion from a point <X > 0
killed when it hits the origin is a martingale, a fact easily verified by direct
computation.
Chapter II
Brownian Motion and the PWB Method
I. Context of the Problem

Let D be an open nonempty subset of IR N , coupled with a boundary oD
provided by a metric compactification. To avoid trivial complications, we
shall assume that D is connected; if D is disconnected, the results are applic-
able to each open connected component of D. Let h be a strictly positive
harmonic function on D. The PWB method of attacking the first boundary
value (Dirichlet) problem for h-harmonic functions on D was detailed in
Chapter VIII of Part 1. Recall that the (J algebra of /it measurable boundary
subsets is the (J algebra of boundary subsets 14 for which the boundary in-
dicator function lA is h-resolutive and that /it(·, A) = Ht. The class of
Borel boundary subsets for which lA is h-resolutive is a (J algebra, and for
each point ~ of D the restriction of /it(~,·) to this (J algebra, on completion,
is the measure /it(e,,) on the (J algebra of /it measurable sets. The class of
/it measurable boundary functions! which are /i~(~,.) integrable does not
depend on ~ and is the class of h-resolutive boundary functions, and H; =
/i~(' ,f). This class of boundary functions will also be described as the class
of /i~ integrable boundary functions.
The PWB method solves the Dirichlet problem when the boundary is
h-regular and the given boundary function is finite valued and continuous,
but no relation other than the h-resolutivity itself was given in Chapter VIII
of Part 1 to connect an h-resolutive boundary function! on a not necessarily
h-resolutive boundary with the solution H;. In Section 2 it will be shown that
in the general case h-harmonic measure has a probabilistic evaluation and
that H; has! as a boundary limit function along h-Brownian paths. The
solution H;, which (by Lemma 1.4) is necessarily in the class D(/i~_), when
composed appropriately with h-Brownian motion defines a uniformly inte-
grable martingale, and the evaluation H} = /i~(',f) becomes the martingale
equality for the parameter values 0, + 00.
Throughout the discussion in Section 2 {w~(·), .~t(·)} is an h-Brownian
motion in D from ~, with lifetime Sr With no loss of generality (Section
2X.2) it can be assumed that ~t(·) is right continuous and that ~~h(O) con-
tains the null sets. Since h is harmonic, almost every w~(·) path tends to oD
at the path lifetime (Section 2X.4). Let r~(w) be the cluster set of w~(" w) at
720 3.11. Brownian Motion and the PWB Method
the parameter value S{ For almost every w this cluster set is a compact
boundary subset. In particular, if h == 1 and if aD is the Euclidean boundary,
the process wt(·) can be identified with a Brownian motion in IR N killed
at the hitting time of aD, and rt(w) is then almost surely a singleton,
{wnst(w)- ]}. Similarly, if D is bounded, if aD is the Euclidean bouEdary,
and if h has a harmonic extension h' to an open neighborhood D' of D, then
wt(·) can be identified with an h'-Brownian motion in D' killed at the hitting
time of aD, and again rt(w) is almost surely a singleton, {wnst(w)- ]}.
According to the following theorem, whatever the choice of aD, the dis-
tribution of rt is the h-harmonic measure Jl~(~, '), an h-resolutive function
fis for almost every w a constant function on the cluster set rNw), and H}
has the prescribed value off as limit along almost every wt(·) path to the
rt
boundary. Furthermore aD is h-resolutive if and only if is almost surely a
singleton, that is, if and only if the left limit wt(st-) 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.
The Parabolic Context
The methods used in this chapter are applicable in the parabolic context, and
the statements of the results in that context are left to the reader.
2. Probabilistic Analysis of the PWB Method

Theorem. (a) For every boundary subset A
(= p{rtnA =1= 0} if A is analytic) (2.1)
and
Hfi~) = p {rt c A} ifaD - A is analytic. (2.2)
(b) If A is Jl~ measurable, then
HU~) = Jl~(~, A) = p{rt c A} = p{rt n A =1= 0}. (2.3)
Iff is a Jl~ measurable boundary function then,for every ~ in D,f is identically

constant on almost every cluster set rt.
Conversely iff is a Borel measurable
boundary function and if, for some ~ in D,fis identically constant on almost
every cluster set rt,
then f is Jl~ measurable.
(c) A boundary function f is h resolutive if and only iff is Jl~ measurable
and integrable, and in that case
2. Probabilistic Analysis of the PWB Method 721
(2.4)
litIl}. HJ[ wt(t)] = f(rt) a.s., (2.5)

I s~
and the process {x~(·),.~t(·)} defined by
(2.6)
is a uniformly integrable almost surely continuous martingale.

(d) The boundary is h-resolutive if and only if, for each point ~ in D
(equivalently,for a single point ~ in D), rt is almost surely a singleton, that is,
ifand only if the left limit wt(st - ) almost surely exists in the D u iJD metric.
The distribution ofwt(st-) is then J.L~(~, .).
Observation. The equality Hj(~) = E{f(rt)} is the martingale equality

for x~(·) at the pair of parameter values 0, + 00.
Proof of (a). The equality H1hA = hR~ = R~/h was pointed out in Section
l.VIII.2. The last equality in (2.1) is a special case of Theorem 2'x.? An
application of (2.1) to iJD - A yields (2.2). 0
Proof of (b). If A is J.L~ measurable, that is, if IA is an h-resolutive boundary

function, then if A is a Borel set, the equality of the terms in (2.1) with those
in (2.2) yields (2.3). Since every J.L~ null set is a subset of a Borel J.L~ null set
and since the (1 algebra of J.L~ measurable sets is the completion of the restric-
tion of this (1 algebra to the class of its Borel sets, it follows first that (2.3) is
trivial when A is a J.L~ null set and next that (2.3) is true when A is J.L~ mea-
surable. Conversely, suppose that for some point ~ and Borel boundary
subset A the last equation in (2.3) is true. Then the positive harmonic function
Hl~ - H~A vanishes at ~ and therefore vanishes identically; that is, the set A
is J.Lt measurable. Thus the assertions in (b) for a boundary function fare
true whenfis the indicator function of a set, and are therefore true without
this restriction.
Proof of (c). The h-resolutivity of a boundary function f implies the J.L~

measurability off and therefore implies that for each point ~ of D the func-
tion f is identically constant on almost every cluster set rt; that is,f(rt) is
almost surely uniquely defined. The first equality in (2.4) was obtained in
Section l.VIII.8, and the last equality follows from the probabilistic evalua-
tion of J.L~ in (2.3). The following more direct proof of (2.4) also proves (2.5).
If U2 [u 1 ] is in the upper [lower] PWBh class for the h-resolutive boundary
function/, the h-superharmonic functions U 2 + c, c - u 1 , U 2 - Hj are posi-
tive if the constant c is sufficiently large. Hence (Theorem 2.10.8) each
function U2, U 1 , H} has a finite limit along almost every w;(·) path to the
boundary, and
Moreover
Since U 1 and U2 can be chosen to make U2(e) - U 1 (e) arbitrarily small,fmust

be constant on almost every cluster set r;, and (2.4) and (2.5) are true.
The martingale assertion in (c) follows from Theorem 2.X.8 and Sec-
tions 1.4 and 1.5 but will be clearer from the following direct proof. Denote
the x~(') process in (2.6) by x~(f; .). All supermartingales and martingales
below are relative to the filtration ~h(.). Iff is an h-resolutive boundary
function, Theorem 2.X.8 implies that the following processes are almost
surely continuous positive supermartingales:
x~(lfl; '), x~(lfl - f; .), x~(lfl/\ n;·), x~(n - (Ifl/\ n); .).
(2.9)
The fact that the last two of these processes are supermartingales implies that
x~(IJI/\ n;·) is a martingale and therefore (n ~ 00) that x~(lfl,') is a mar-
tingale, that is, that (c) is true whenfis positive. Since the first two processes
in (2.9) are now known to be almost surely continuous martingales, the
process x(f;·) is also, as was to be proved. 0
Proof of (d). If the boundary is h-resolutive, that is, if the Borel boundary
subsets are Ili measurable, choose € > 0, and let AI' ... ,A k be compact
boundary subsets of diameter at most € and with union aD. Since (2.3)
implies that r; is almost surely a subset ofany A j it intersects, the diameter of
r; is almost surely at most €. Hence r; is almost surely a singleton; that is,
the left limit w;(st-) almost surely exists. ConverselY,ifr; is almost surely
a singleton for some point e, the set function A 1-+ Hue) is an additive
function of Borel boundary sets by (2.1); so the boundary is h-resolutive
(Section I.VIII.9). 0
Special Case: h Is Minimal. If h is minimal, then for every boundary subset
A the h-harmonic function fi~A = R:/h is either identically I or identically
O. In fact by minimality fit is a constant function, so that R:== ch"and
iterating the reduction operation [Section I. V1.3 (h)] yields ch = cR~ = c 2 h;
so c = 0 or I. For every boundary point ( if R~{) == 0, then (since R~') is the
infimum of the class of reductions on boundary neighborhoods of 0 R:
== 0
3. PWB· Examples 723
for A a sufficiently small boundary neighborhood of'. The set Bofboundary

points , with Rh'l == 0 is therefore open, and R: == O. Thus the set B' =
iJD - B is a compact set with the property that rt
= B' almost surely, for
e.
each The class of J.L~ measurable boundary subsets consists of all boundary
subsets which are either supersets of B' or subsets of B. A boundary function
f is h-resolutive if and only if it is constant (finite) on B' and the PWBh
solutions are the constant functions. In particular, a boundary is h-resolutive
if and only if B' is a singleton {,} which supports every h-harmonic measure
e
J.LMe, '), equivalently, if and only if for all in D almost every ~(.) path
tends to , at the path lifetime. See Section 2X.9 for this situation when D
is a ball.
The Role of Capacity Theory
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 w~(st-) exists almost surely for some (equiva-
lently every) point eof D or, going in the other direction, if the boundary is
h-resolutive. This hypothesis is satisfied if iJD 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. PWBh Examples
EXAMPLE (a). The Alexandrov one-point boundary of a Greenian set D is
trivially universally resolutive. From the point ofview ofTheorem 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 (b). If D is a ball, its Euclidean boundary is universally resolutive

according to Section I.VIII.9; this universal resolutivity corresponds to the
fact deduced in Section 2.X.9 that for strictly positive harmonic h on a ball
D almost every h-Brownian path from a point.of D tends to a point of the
Euclidean 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 , (Section
e e
l.II.l). For in Diet q,(e) be the angle between the rays from' to and to
the disk center, -n/2 < q, < n/2. Then q, is harmonic on D. Define a
distance function d(·, .) on D x D by
d(e, 11) = Ie - 111 + Iq,(e) - q,(11)I· (3.1)

a
If D is provided with a boundary rD by completion under this distance
function, the Euclidean boundary point ( is ramified into a compact set A
of points corresponding to the directions of approach to (. In this example
h is minimal; so the quasi-bounded h-harmonic functions, in particular the
PWB h solutions, are the constant functions, and the Euclidean boundary
singleton {(} has h-harmonic measure identically I. Almost every h-Brownian
path from a point ~ of D has limit (in the Euclidean metric. We now inves-
a
tigate the cluster sets of these paths on r D, that is, the boundary cluster sets
in the d metric defined by (3.1). Recall from Section l.XII.l2 that if ( is
identified with a minimal Martin boundary point of D, no ray from ( into D
is minimal thin at (. We shall show in Section 111.3 that a Borel subset B of a
Greenian subset of IH N is not minimal thin at a minimal Martin boundary
point if and only if almost every conditional Brownian path from a point of
the Greenian set to that boundary point hits B arbitrarily near the boundary
a
point. In the present context, using the notation relative to r D, it follows
that r~ is almost surely the set A. According to Theorem 2, a function Ion
arDis h-resolutive if and only iflis identically constant (=I: ± OCJ) on A, and
if so, the PWB h solution for I is identically the constant I(A). The ramified
a
boundary r D has too many points to be h-resolutive.
EXAMPLE (d). Let B be an open subset ofa Greenian set D, let D be provided
with a boundary aD by a metric compactification, and let aBbe the boundary
of B relative to this compactification. Then aB depends on the choice of
aD unless B is relatively compact in D. According to Theorem 2, aB is h-
resolutive if and only if almost every h-Brownian path in D from a point of B
either hits D n aB or tends to a point of aD n aB at the path lifetime. Thus it
is sufficient for h-resolutivity of aB that aD be h-resolutive. This simple
resolutivity argument should be compared with the nonprobabilistic argu-
ment in Section l.VIII.8, Example (b). The relation l.VIII(8.3) connecting
Jl~ and Jl~ is an immediate consequence of the strong Markov property of
conditional Brownian motion.
EXAMPLE (e). Suppose that the metric compactification D = D u aD of a

Greenian set D has the following properties. There is a family {¢i' i E I} on
D, indexed by some set I, for which
(e 1) Each function ¢i has a continuous extension (also denoted by ¢i)
to D.
(e z) If'1 EaD , a sequence '1. in D has limit '1 ifand only iflimn->oo ¢i('1n) =
¢i('1) for all i; that is, the family ¢. separates aD.
(e 3 ) Under these conditions if also for some strictly positive harmonic
function h on D limttsh¢i[u{'(t)] exists almost surely simultaneously
~
for all i whenever u{'(.) is an h-Brownian motion from ~ with lifetime
st, it follows that the left limit w~(st-) exists almost surely; so aD
is h-resolutive. Since one standard technique of defining a boundary
4. Tail (J Algebras in the PWB h Context 725
for a set D is to choose a compactification of D which makes each

function of a specified family of functions on D have a continuous
extension to the compactification, this example is frequently en-
countered. For example, if D is a Greenian subset of IR N and if ~o is
a point of D, the Martin compactification of D (Chapter XII of
Part 1) can be defined as the space satisfying (e t ) and (e z) for the
family of functions {cf>~,~ED} defined by cf>~ = GD(-,~)/GD(·'~O)'
Moreover, if convenient, we can restrict ~ to a countable dense
subset of D - {~o}. A direct argument in Section III.5 will show
that (e 3 ) is satisfied for every h and therefore that the Martin bound-
ary is universally resolutive, but in fact this universal resolutivity
was derived in Section IXII.I0 from which it follows (fheorem 2)
that almost every h-Brownian path from a point ~ converges to a
Martin boundary point and that the distribution of the limit
w~(s;-) is It;(~, .).
4. Tail (J Algebras in the PWB h Context
Let D be a connected Greenian subset of IRN , coupled with a boundary aD

provided by a metric compactification, let h be a strictly positive harmonic
function on D, and let w~(.) be an h-Brownian motion in D from~, with life-
time S;.
Let ~~ be the w~(·) process tail (J algebra, and let r~(w) be the
w~(·, w) cluster set on aD. Recall that by definition the (J algebra ~~ contains
the w~(·) null sets. Throughout this section ~ and w~(·) are fixed.
Theorem. If aD is internally h-resolutive, ~~ consists [modulo w~(·) null sets]

of the class of sets of the form
{w: r~(w) c A} for Borel It~ measurable boundary subsets A;. (4.1)
In particular, if aD is also h-resolutive, ~~ consists [modulo w~(·) null sets] of

the sets of the form
{w: w~(S;-,w)EA} for Borel boundary subsets A. (4.2)
Observation. Since a It~ measurable boundary subset differs from some

Borel and It; measurable boundary subset by a It; null set, and since the h-
harmonic measure It; is determined by the distribution of r~ through (2.3),
"Borel" can be omitted in (4.1) and replaced by "It; measurable" in (4.2).
Theorem 4 implies that if aD is internally h-resolutive, then a w~(·) process
random variable z is ~~ measurable if and only if there is a It; and Borel
measurable function 9 on aD such that z = g(r~) almost surely, and if aD is
also h-resolutive, r~ can be replaced here by W~(S~h_).
Special Case: h Is Minimal. If h is minimal, every bounded h-harmonic

function is identically constant; so every choice of boundary for D is inter-
nally h-resolutive. The (J algebra ~~ and the (J algebra of Jl; measurable sets
are both trivial in this case; that is, their sets are all of measure 0 or I. If A
is a Borel boundary subset of h-harmonic measure I, the (J algebra of Jl;
measurable boundary subsets is generated by A and the Jl; null sets. If
AE ~h and if A is not wt(·) null, then ~~ is the (J algebra generated by A and
the wk) null sets. In particular, if oD is also h-resolutive, there is a point'
=
of oD such that o~k, {n) l. In this case all subsets of oD are Jl~ mea-
surable.
Proof of Theorem 4. If A is Jl; measurable, that is, if the boundary function

f = lA is h-resolutive, then (by Theorem 2)
lim Hf[wf(/)] = f(rf) a.s.,
tt~
and it follows (Section 2.X.II) that f(rf) is ~~ measurable, that is,

{w: rt(w) c A}E~~. Conversely, if AE~~, it was shown in Section 2.X.lI
that there is a bounded h-harmonic function u such that limttsh u[ "1(/)] = I
almost surely. Since the boundary is internally h-resolutive, u =
~
H; for some
Jl~ and Borel measurable function f, and u has almost sure boundary limit
functionfalong wf(·) paths; that isJ(r~) = I" almost surely. Hence there is
a Jl; and Borel measurable boundary subset A such that f = IA up to a Jl;
null set, and A = {w: rt(w) c A} up to a wt(·) null set. If oD is also h-
resolutive, every Borel measurable boundary subset is Jl; measurable, and
a Jl~ measurable boundary subset is a Borel set up to a Jl~ null set; so the last
assertion of the theorem is trivial.
Chapter III
Brownian Motion on the Martin Space
1. The Structure of Brownian Motion on the Martin Space

Let D be a connected Greenian subset of IRN , let K be a Martin function for
D, let h be a strictly positive superharmonic function on D, and let {w~(')'
:Fe,h(.)} be an h-Brownian motion in D from ~ with lifetime S{ For A a subset
of Diet st A and L~A, respectively, be the hitting and last hitting times of A
by w~(')' According to Theorem l.XII.IO, if h is harmonic, the Martin
boundary is h-resolutive and Jlt(~, dO = K«(, ~)Mh(dO/hG), where M h is the
Martin representing measure of h corresponding to K. According to Theorem
11.2, the left limit W~(S~h_) exists almost surely and has distribution Jlt(~,·)
supported (Section l.XII.7) by the minimal Martin boundary o':D. In
particular, if ( is a minimal Martin boundary point and if h = K(C .), then
JlM·, g}) = I; so w~(st-) = (almost surely. With this choice of h we shall
sometImes. . w~,()
wnte " S,A~, L,A . I y, i'lor w~h()
~, respectIve " ShA
hA
~ , L ~.
The analysis in Section 2.x.9 of h-Brownian motion in a ball compac-
tified by its Euclidean boundary is applicable to an arbitrary connected
Greenian set D compactified by its Martin boundary, with no change except
for allowance for the possible presence of nonminimal Martin boundary
points. That is, if h is harmonic, an h-Brownian path in D from ~ is obtained
by first choosing the minimal asymptotic path endpoint ( on 0':D according
to the distribution Jlt(~,·) and then choosing a K(C ')-Brownian motion
path from ~ to (. More formally, one version of the conditional distribution
ofw~(') for w;(st-) = (is the distribution of K(C ')-Brownian motion from
~. If h = GDJl is a potential and if h(~) < + 00, then (from Section 2.x.4)
almost surely st is finite, and the left limit w~(st-) exists and is in D;
w~(st-) has distribution GD(~' OJl(dO/h(~). With this choice of h an h-
Brownian motion path can be obtained by first choosing the asymptotic path
endpoint ( in D according to the distribution GD(~' OJl(dO/h(~) and then
choosing a GD (', 0- Brownian motion path from ~ to (; that is, one version
of the conditional distribution of w~(·) for wt(st-) = ( is the distribution
of GD(',O-Brownian motion from ~. The case h(~) = +00 is treated in
Section 2X.5. If h = hi + h z is an arbitrary strictly positive superharmonic
function on D, with hi positive harmonic and h z a potential (Riesz decom-
position), h-Brownian motion from ~, when h(~) < + 00, is hi-Brownian
728 3.111. Brownian Motion on the Martin Space
motion from ~ with probability hI (~)/h(~) and is h 2 -Brownian motion from

~ with probability h2(~)/h(~).
Attainable and Unattainable Martin Boundary Points
According to Section 2.X.I, if ( is a minimal Martin boundary point, the

function ~ 1-+ P{Sf = + 00 } is either identically 0 or identically I. The point
( is called attainable in the first case and unattainable in the second. For
example, if D is a ball (Section 2.X.9), its Martin (i.e., Euclidean) boundary
points are all minimal and attainable. If D is a half-space its Martin (i.e.,
Euclidean) boundary points are all minimal, and the finite boundary points
are attainable, but the infinite boundary point is not attainable. If D = IRN
with N > 2, the minimal harmonic functions are the positive constant func-
tions, and the point 00 is the only Martin boundary point, is minimal, and
is unattainable.
2. Brownian Motions from Martin Boundary Points

(Notation of Section 1)
Brownian Motions from Attainable Boundary Sets
Let h be a strictly positive harmonic function on D whose Martin represent-

ing measure is supported by the set of attainable minimal Martin boundary
points. Then for each point ~ of D the h-harmonic measure J.l.t(~,dO =
K(C ~)Mh(dWh(~) is also supported by this set. Let w;(·) be an h-Brownian
motion in D with initial distribution A. and lifetime S;; this lifetime is neces-
sarily almost surely finite. We define wf(S;) as limtts~ w;(t), a limit which
according to Theorem 11.2 exists almost surely and has distribution
JDJ.l.~(~, ·)A.(d~). According to Section 2'x.6, the process {»1(S; - t), tE IR+}
with lifetime S; is a GDA.-Brownian motion, and obviously A. is the distribution
of path endpoints (t -+ S;).
Special Case: Brownian Motion from an Attainable Martin Boundary

Point to a Point of D
Let ( be an attainable minimal Martin boundary point, and let ~ be a point

of D. Then [particular case of the preceding paragraph with h = K(C .) and
with A. supported by g}] on the one hand the process {w~(t), t E IR+} is a
K«(,·) Brownian motion from~, and almost every path tends to (at the path
lifetime Sf, whereas on the other hand the process {wi(Sf - t),tEIR+} is a
GD(~' ·)-Brownian motion from C and almost every path tends to ~ at the
path lifetime Sf, From now on it will be convenient to write w8t) instead of
wf<Sf - t) and denote by t~ the GD(~' ·)-Brownian motion transition density.
2. Brownian Motions from Martin Boundary Points (Notation of Section 1) 729
We now fix ~ and ( and discuss the absolute probability distributions of the
w8') process: (t, A)f-+ P{W8t)EA} = p(t, A) for A ranging through the Borel
subsets of D - g}. Since
0< s < t, (2.1)
it follows that p(t,') is absolutely continuous relative to IN and that one

choice of the Radon-Nikodym derivative dp(t, ')/dIN at '7 is
(2.2)
Observe that the value of the integral on the right does not depend on the
choice of s for 0 < s < t because 6}, satisfies the Chapman-Kolmogorov
equation; so (2.2) defines PD(', C·) on ]0, + oo[ x (D - g}). The function
p},(t, C·) is the IN density of the distribution of w8t) in D, and the function
pM', (,.) is GD(~' ')-parabolic, that is, <P = pM', C ·)GD(~'·) is parabolic, on
]0, + oo[ x (D - {~}) in view of the following properties of <P on this
product set:
<P is Borel measurable.
<P is locally IN + 1 integrable.
<P has the parabolic function average property locally, because 6D
(. - s, '7,.) is parabolic on the domain of <p.
It is natural to conjecture that when '7' -+ (suitably, the transition density
6},(t, '7', '7) tends to pMt, C'7), and we now derive one version of such a limit
relation: for each strictly positive t,
(2.3)
To see this, observe that the function ('7',1') f-+ 61,(1' '7', '7) is GD(~' ')-parabolic
on (D - g}) x ]0, + oo[ and, in fact, is invariant excessive for GD(~")
space-time Brownian motion on this set. Moreover (2.2) implies that
0< s < t. (2.4)
Hence the process {6i>(t - s, w8 s), '7), 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 O. This limit is a random variable
measurable with respect to the K(C ')-Brownian motion tail (1 algebra and
so (from Section 11.4) is almost surely identically constant. Since every mar-
tingale is uniformly integrable on a right closed set of parameter values
[Section 2.III.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
Brownian Motion from an Unattainable Minimal Martin Boundary Point

to a Point of D
If ( is an unattainable minimal Martin boundary point of D, that is (Section

2X.l), if the function K«(,') is an invariant excessive function for Brownian
motion in D, let ~ be a point of D, and let D. be an increasing sequence of
open relatively compact subsets of D, containing~, with union D. Let L~n be
the last hitting time of Dn by wi(·). The function ~K«(,·) ~D" (reduction relative
to D) is the potential of a measure supported by oDn, ~K«(,·) ~Dn = GDJ1.n'
According to Section 2.X.IO, the distribution of w~(L~n) is
and the process {~(L~n - I), IE IR+} with lifetime L~n is a GD(~' ')-Brownian
motion with initial distribution the distribution of ~(L~n)' Observe that
limn _ lXl L~n = + 00 almost surely and that limn _ lXl ~(L~n) = ( almost surely.
EXAMPLE. Denote by d~ the Nth coordinate of the point ~ of IR N , and let D

be the half-space {d~ > O}. The Green function GD was evaluated in Section
l.VIII.9, and in Section l.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 (12 = I,
d~l~ - WGD(~, '1)

{
d 2m 2 if N= 2,
= ~
d~l~ - (IN G
d~(N _ 2)(21t)N/2 I(N+2l/2 D(~' rO if N > 2.
According to the results in this section, this limit is pf>(/, (, 1'(). If now ~ tends
to a second finite boundary point (1' the transition density hi> tends to a
limit transition density, that of K«(1' ')-Brownian motion, and pf>(/, (,.)
tends to a limit density which can be described as the absolute probability
density at time I of a Brownian motion from ( to (1'
3. The Zero-One Law at a Minimal Martin Boundary Point

and the Probabilistic Formulation of the Minimal-Fine
Topology (Notation of Section I)
If ( is a minimal Martin boundary point, almost every wi(') path tends to (
at the path lifetime, and (Section 2X.II) the tail (1 algebra of this process is
trivial. As detailed in Section 2.X.Il for h-Brownian motion with h a minimal
3. Probabilistic Formulation of the Minimal-Fine Topology 731
harmonic function, the asymptotic properties 2.VII.6(b)-(g) relating to set

and function properties in the neighborhood of the initial point ofa Brownian
motion correspond to set and function properties near the lifetime of the
h-Brownian motion, that is, in the present context, near (. For example,
Section 2.VII.6(b) corresponds to (b*): if A is an analytic subset of D, the
e
function ~ P {L~A = Sf} is either identically 0 or identically I.
The probabilistic formulation of the fine topology was given in Section
2.IX.15 [see also Section 2.X.2(d)]. The following theorem describes in
probabilistic language the minimal-fine topology at a minimal Martin
boundary point, defined nonprobabilistically in Section IXII.12.
Theorem. Let' be a minimal Martin boundary point ofD. For' to be a minimal-

e
fine limit point of the subset A of D it is necessary that for every point of D,
P{L~B = Sf} = I (3.1)
whenever B is an analytic superset ofA, and it is sufficient that (3.1) be true for
e
a single point ofD whenever B is an open superset of A.
Thus if A is analytic, the point' is a minimal-fine limit point of A if and

only if (3.1) is true when B = A. A subset A of D for which D - A is analytic,
for example, a Borel subset A of D, is a deleted minimal-fine neighborhood
of' if and only if almost every wi(') path lies in A during some parameter
interval ]t, Sf[ with t = t(w) < Sf; the value of t can be taken as the last
hitting time of D - A. In both these statements it is necessary that the con-
dition be satisfied for each point eof D and sufficient that the condition be
e
satisfied for a single point of D.
Proof of Theorem 3. An equivalent version of(3.1) is
P{lim sup IA[wi(t)] = I} = 1. (3.1')

tts~
According to Section 2X.II, this condition is satisfied when A is analytic

e e
either for every point of D or for no point of D. If B is the trace on D
of a neighborhood of (, then (Section 2X.7) when A is analytic,
(3.2)
Since the left side is I for all B if and only if ( is a minimal-fine limit point
of A and the right side is I for all B if and only if (3.1) is satisfied, the theorem
is true when A is analytic. Since ( is a minimal-fine limit point of a subset A
of D if and only if ( 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.m. Brownian Motion on the Martin Space
Application to Function Limits
According to Theorem 3 and the discussion at the beginning of this section,

a Borel measurable function from D into a Polish space D' has minimal-fine
limit [minimal-fine cluster value] r( at the minimal Martin boundary point
( if and only if limttsw[wW)] = /1,[u[wHo)] has cluster value /1' at ( along
~
w~(o) paths] almost surely, for ~ach point ~ of D, equivalently, for some point
~ of D. In particular, if D' = IR,
lim sup u[ w~(t)] = mflim sup u(/1) a.s.

tt~ ,,-~
for each point ~ of D, and the corresponding equation for inferior limits is
also true.
4. The Probabilistic Fatou Theorem on the Martin Space

Let h be a strictly positive harmonic function on a Greenian subset D of
IR N , let v be a positive superharmonic function on D, and define u = v/h.
According to Theorem 2.X.8,
u~ = limu[wt(t)] (4.1)
tt~
exists almost surely. In view of the structure of h-Brownian motion discussed

in Section I, the existence of this almost sure limit means that for J.L~ almost
every Martin boundary point (which we can suppose minimal) the function
u has a limit along almost every K«(, o)-Brownian path to (from~. According
to Section 2.x.11 (c), this limit is for each (almost surely a numberf(O which
does not depend on ~. In view of Section 3 we have proved that
mflim u( /1) = f(O

,,-~
exists for J.Lt almost every (, a result we have already proved nonprobabil-
istically (see Theorem l.XII.l9). Observe that the boundary limit function
was identified in Theorem l.XII .19 as dMv/dM", where M" [Mv] is the
Martin representing measure corresponding to h [to the harmonic compo-
nent of v in its Riesz decomposition]. The following argument shows how
f can be identified in the present context, without invoking Theorem I.XII .19.
It is sufficient to identify ffor u an h-potential, u a singular h-harmonic func-
tion, and u a quasi-bounded h-harmonic function since (Section l.IX.lI) u
is the sum of its components of these types. According to Theorem 2.x.8(c)
as now interpreted, the limit function f vanishes J.L~ almost surely if u is an
h-potential or is a singular h-harmonic function. According to Theorem
5. Probabilistic Approach to Theorem 1.XI.4(c) and Its Boundary Counterparts 733
2X.8(d), u(e) = E{ud = J.I.~(e,f) when u is quasi bounded and h-harmonic,

in view of the expression we have found in Theorem 11.2 for h-harmonic
measure, andfhere is dMvldMh according to Theorem I.XII.lO. Thus we
have derived Theorem IXII.19 probabilistically.
5. Probabilistic Approach to Theorem l.XI.4(c) and Its

Boundary Counterparts
Throughout this section v is a positive superharmonic function on a con-
nected Greenian subset D of IR N with N> 1. We have already (Sections
I.XII.l3 and I.XII.14) proved the Martin boundary counterparts of
Theorem l.XI.4(c) which states that if( is a point of D, thefunction v/GD(o, 0
has a fine limit at (. The first boundary counterpart (Theorem I.XII.l3) of
Theorem I.XI.4(c) asserts that if K is a Martin function for D and if ( is a
minimal Martin boundary point of D, then the function vjK«(,·) has a
minimal-fine limit at (. In view of the role of a point ( of D as a minimal
Martin boundary point of D - {(} [Section IXII.12, Example (a)] Theorem
I.XII.l3 includes Theorem I.XI.4(c). As noted in Section l.XII.19 the
boundary limit theorem (Theorem IXII.l3) is a special case of the Fatou
boundary limit theorem for the Martin space of D; so in view of the discus-
sion in Section 4 there is no need to discuss this case probabilistically here
except to remark that almost every K«(, ·)-Brownian path from a point of D
to the Martin boundary tends to C and so the probabilistic Fatou boundary
limit theorem becomes localized at ( in this case. The second Martin bound-
ary counterpart (Theorem I.XII.14) of Theorem I.XI.4(c) asserts that if
v ~ 0, the function vjGD(e,·) has a strictly positive perhaps infinite minimal-
fine limit at each minimal Martin boundary point (, and the probabilistic
approach to this result will now be discussed.
It is sufficient to prove the existence and strict positivity of this minimal-
fine limit for vjGD(e,') bounded, at the expense of replacing v if necessary by
v 1\ cGD(e,·) for a positive constant c. In the following we therefore suppose
that 0 < vjGD(e,·) S; c. Let h be a strictly positive harmonic function on D,
and let w;(·) be an h-Brownian motion in D from ewith lifetime St- The
function h will be chosen to be K«(,·) below, but it is instructive and does not
complicate the preliminary work to allow the stated generality of h. If st is
almost surely finite, that is, if the Martin representing measure of h is sup-
ported by the set of attainable minimal Martin boundary points, the process
{w;(st - t), t E IR+} with lifetime st is a GD(e, ')-Brownian motion with
initial distribution J.I.~(e,·) (Section 2). Hence the restriction to D - {e} of
the function v/GD(e,·) is excessive for this process; so the composition of
vjGD(e,·) with this process, on the parameter set ]0, + 00[' defined as 0 for
parameter values 2 st, is a positive bounded almost surely right continuous
supermartingale x(·) and as such has an almost sure limit x(O+), which we
denote by x(O). The process {x(t), tE IR+} is a supermartingale, and E{x(O)}
734 3.lII. Brownian Motion on the Martin Space
> 0 because v =t= O. In particular, if h = K«(,·) for some attainable minimal

Martin boundary point (, the initial distribution of w8·) = wt(S~h - .) is
supported by {O; so V/GD(~'·) has a limit at ( along almost every GD(~' .)-
Brownian path from (to ~; equivalently (Section 3), V/GD(~'·) has a minimal-
fine limit at C equal to E{x(O)} and therefore strictly positive, as was to be
proved. Observe that without the hypothesis that h = K(C·) we obtain only
the weaker result that for J.lt(~,·) almost every minimal Martin boundary
point ( the function V/GD(~'·) has a minimal-fine limit at (. In view of this
fact we shall assume that h = K(C·) in discussing limits at unattainable
minimal Martin boundary points. Suppose then that ( is such a point, and
let D. be an increasing sequence of open relatively compact subsets of D with
union D, suppose that ~ EDo , let L~n be the last hitting time of Dnby wH·), and
define the K(C ·)-potential GDAn/K«(,·) by
GDAn = K(~")RDn = R~(t·)

K«(, .) 1 K(C.)·
Then (Theorem 2.X.7) GDAn/K«(,·) at rf is the probability that a K(C .)-

Brownian path from rf ever hits Dn • According to Section 2.x. 10, the distri-
bution of M{(L~n) is GD(~' ,,)An(d,,)/K«(, ~), and as discussed in Section 2, the
process {w~(L~n - I), IE IR+} is a GD(~' ·)-Brownian motion with lifetime
L~n and with initial distribution the distribution of wi (Lp. The function
V/GD(~'·) is excessive for GD(~' ·)-Brownian motion on D - g}; so the
process
{Xn(I), IE IR +} -_{GD(~'
v[wi(L~n - I)]
wi(L~n _ I)' IE IR
+} (5.1)
(set equal to 0 at times ~ L~n) is a bounded almost surely right continuous

supermartingale. The supermartingale downcrossing inequality is applicable
to x n (·), and we find that the expected number ofdowncrossings ofan interval
[r 1 ,r2 ] by xi·) is at most c/(r 2 - r1 ). That is, the expected number of up-
crossings, defined in the obvious way, of [r 1 , r2 ] by the process
is at most c/(r 2 - r 1 ). Since this is true for all n, the same assertion is true for
o< t < Sf, and we deduce just as in the discussion ofsupermartingale conver-
gence that the function v/GD(~' .) has a limit at ( along almost every wi(·) path;
equivalently (Section 3), the function V/GD(~'·) has a minimal-fine limit at (.
Observe that E {xn(O)} > 0 because v ~ 0, and observe also that L~n+1 - L~n
is the hitting time of Dn by x n + 1 (·); so by the supermartingale inequality at
optional times E{xn+1(0)} ~ E{xn(O)}, and therefore limn-+coE{xn(O)} > O.
6. Martin Representation of Harmonic Functions in the Parabolic Context 735
Since this limit is the almost sure limit of vjGD(e,·) at' along wi(·) paths as
well as the minimal-fine limit of the function at " this minimal-fine limit
must be strictly positive (~ + (0).
Parabolic Context
The parabolic context version ofTheorem lXI.4(c) is Theorem 1XVIII. 14(f)

together with its dual. Theorem l.XIX.13 is, together with its dual, the
Martin boundary limit counterpart of the latter theorem. The probabilistic
approach to these Martin boundary limit theorems is left to the reader.
6. Martin Representation of Harmonic Functions in the

Parabolic Context
Let D be a Greenian subset of ~N (N ~ 1), define jj = D x ~, jj+ = jj x
]0, + 00[, and let h be a positive harmonic function on D. Since h is bD -
excessive, the function 6D (·, e, h) is a finite-valued monotone decreasing
function on ]0, + 00[. The function 6D (·,·, h) is parabolic on jj+ because
6D (·,·,,,) is parabolic there for" in D; so 6D (·,·, h) is obtained by an integral
operation on parabolic functions. The fact that h is 6D-excessive implies that
lim t ,l.o6D (t,e,h) = h(e) and by Dini's theorem this monotone convergence
°
is locally uniform on D. Thus if 6D (t,·,h) is defined on D as 6D(t,·,h) for
t > and as h for t ~ 0, the function 6D (·,·, h) is continuous on jj and in fact
is parabolic there because this function is already known to be parabolic on
jj+ and has the parabolic function average property on jj - jj+ . In the fol-
°
lowing we write 6~(t, e, h) for d6D (t, e, h)jdt. The function 6~ is thereby
defined, negative, and parabolic on jj, identically on jj - jj+. This func-
tion vanishes identically if and only if h is 6D invariant excessive.
(a) The function - t~(·, ., h) is i v invariant excessive on jj + ; that is,
(s> 0, t > 0). (6.1)
In proving this it will be convenient to denote by (6.1)$ the relation (6.1)

with" =" replaced by "~." Inequality (6.1)" is true because -6~(·,·, h) is
positive and parabolic and so is iv-excessive. If both sides of (6.1)" are
integrated with respect to /1 (dt) over a compact subinterval of ]0, + 00[, we
obtain an equality in view of the Chapman-Kolmogorov equation satisfied
by 6D • It follows that for fixed (e,s) equation (6.1) is true for /1 almost every
t. Furthermore the right side of (6.1)" defines a parabolic function of(e, s)
on jj+, as does the left side, which is obtained by applying an integral
operator to parabolic functions. The difference between the right and left
sides thus defines a positive parabolic funCtion on jj+ , necessarily vanishing
736 3.III. Brownian Motion on the Martin Space
at all points below a zero. Hence, if s' > 0, equation (6.1) is true for (e,S)E
D x ]0, s'] if t is not in some II null set. When s' runs through the strictly
positive integers, we find that there is an II null set A such that (6.1) is true
for (e,s)ED+ if and only if t is not in A. However, for t not in A and for
strictly positive sand J,
-tD(J + S + t,e,h) = - I ltD(J,e, e)tD(s, e,p])tD(t,p],h)IN(dp])IN(de)
= - I tD(J, e, e)tD(s + t, e, h)IN(de)

:$ -tD(J + s + t,Ch).
Hence there is equality throughout; so s + t is not in A, and it follows that
A is empty.
(b) Either t D(·, ·,h) == 0 (and this is true if and only if h is an invariant
excessive harmonic function) or t D(·,·, h) < 0 on D+ because the positive
parabolic function - t D(·,·, h) vanishes identically below each zero and (6.1)
implies that this function vanishes identically above each 0 in D+ .
(c) The function t~(·,·, h) determines h uniquely up to an invariant
excessive harmonic function. Since [Section 2.IX.8, Example (a)] the
function
lim tD(t, ·,h) = ho (6.2)

t-oo
is an invariant excessive harmonic function majorized by h, we obtain the

same class of functions t D(·,·, h) if we restrict h by supposing that ho == O.
(d) We have proved that if h is a positive harmonic function on D, the
positive parabolic function u = -t~(·,·, h) on Dhas the following properties:
(d1)u=00nD-D+.
(d2) too u(e, s)/ (ds) < +

1 00.
(d3) I tD(s, e, p])u(p], t)/N(dp]) = u(e, s + t) (s> 0, t > 0).
u
Conversely, we now prove that if is a positive parabolic function on D with
u
these three properties, then can be obtained in this way; that is, there is a
u
positive harmonic function h on D such that = - t~(· , ., h). In fact the.
integral in (d2) defines a positive harmonic function h on D (Section 1XV.IS)
and
6. Martin Representation of Harmonic Functions in the Parabolic Context 737
so -6~(·,·, h) = U. Observe that this procedure yields a function h for which

h o in (6.2) vanishes identically.
(e) Probabilistic significance of -6~(', ·,h). If h is a strictly positive
harmonic function on D and if h o in (6.2) vanishes identically, then according
to Section 2.x.l the restriction of -6~(',~,h)/h(~) to ~+ is the density
relative to 11 of the distribution of the lifetime of h-Brownian motion in D
from ~.
(f) The positive harmonic function h on D is minimal harmonic if and
only if the parabolic function -6~(·,·,h) is minimal parabolic on iJ. (It is
trivial that a positive parabolic function on iJ, vanishing identically off iJ+,
is minimal parabolic on iJ if and only if it is minimal parabolic on iJ+.) In
fact, if h is minimal harmonic on D and if U1 is a positive parabolic minorant
of -6~(',',h) on iJ, then ul satisfies (dl) and (d2). The function ul also
satisfies (d3) because both ul and -6~(', ·,h) - ul are positive parabolic
functions and so satisfy (6.1)" and their sum satisfies (6.1), and so ul must
also satisfy (6.1). Thus according to (d) there is a positive harmonic function
h 1 on D such that
ul = -6~(·,·,hl)' hI = too UI(·,s)/l(ds).
Hence
hl:s; too u(',s)/l(ds) = h;

so h l = ch, and therefore ul = -6~(o, ·,h l ) = -c6~(', ·,h) on iJ+ and
therefore on iJ. Thus -6~(·,·,h) is minimal parabolic on iJ. Conversely, if
-6~(·,·,h) is minimal parabolic on iJ and if h l is a positive harmonic
minorant of h, then
Differentiate to find that -6~(',', h l ) :s; -6~(·,·, h); so there is a constant c

such that 6~(',', h l ) = c6~(',', h). Integration over ~+ yields h l = ch, and it
follows that h is minimal harmonic on D.
(g) If h is a minimal harmonic function on D but is not 6D invariant
excessive, then ho in (6.2) vanishes identically. In this case define the parabolic
function h on iJ by setting h(~,s)=h(~), and if IXE~, define hl/.(~'s)=
-6~(s - IX,~, h) to obtain a set of minimal parabolic functions on iJ. More-
over (from Section l.XV.17), if b E~, the restriction of hI/. to D x ] - 00, b[
is minimal parabolic on this capped cylinder. Aside from normalizations the
representation
738 3.III. Brownian Motion on the Martin Space
is the Martin representation of h on b in terms of minimal parabolic

functions. It is trivial that an ha space-time Brownian motion in b from
a point (eo, so) with So > (X has almost sure lifetime So - (X. As noted in (e)
the lifetime of h-Brownian motion in D from eo has /1 distribution density
-tD(·,eo,h)/h(eo); equivalently, the lifetime of;' space-time Brownian
motion in b from <eo, so) has this distributIon density. This space-time
Brownian motion conditioned by fixing the lifetime to be So - (X becomes ha
space-time Brownian motion.
EXAMPLE. If N = I and if D = ]0, + 00[, there are two minimal harmonic

functions on D up to multiplicative constants: the function h == I and the
function e 1-+ h( e) = e. The first of these leads to the minimal parabolic
functions l.XIX(1O.2); the second is t D invariant excessive.
Appendixes
Appendix I
Analytic Sets
1. Pavings and Algebras of Sets
If X is a space, a paving of X is any class fll' of subsets of X which includes the

empty set. If fll' is a paving, fll'" [fll'~] denotes the class of countable unions
[intersections] of fll' sets. If a paving includes the complements and the
finite [countable] unions of its sets, the paving is called a [0] algebra. The
smallest [(J] algebra containing a paving fll', that is, the intersection of the
collection of all [(J] algebras containing fll', is called the [(J] algebra generated
by fll'. If fll' is an algebra, the (J algebra generated by fll' is the smallest collec-
tion of sets containing fll' and closed with respect to countable monotone
unions and intersections.
If (X, fll') and Y,!J!J) are paved spaces, the product paved space is the
product space X x Y together with the product paving fll' x !J!J consisting of
the class of product sets A x B with A in fll' and B in !J!J. If fll' and !J!J are (J
algebras, fll' X !J!J denotes the product (J algebra, that is, the (J algebra gener-
ated by the product paving.
2. Suslin Schemes
We use the notation N = 7L+ X 7L+ X . . . . Let (Y,!J!J) be a paved space. A
Suslin scheme is a map Y. from the set of finite sequences of points of 7L+
into!J!J, (nt, ... ,nk) 1-+ Yn, ..... nkE!J!J. To each point n. = (n t ,n 2 , .•• ) of N
then corresponds the intersection Y", n Y",n 2 n .. " and the uncountable
union Un eN (Yn , n Y" 1 n2 n···) is called the nucleus of the Suslin scheme
and is said to be a set analytic over !J!J. The class of these nuclei will be denoted
by d(!J!J). If A E!J!J and if Y", ..... nk = A for all k and nt, ... ,nk, the nucleus is
A; so!J!J c d(!J!J). Furthennore d(!J!J)" = d(!J!J) because if AjEd(!J!J), say
Aj = U (l}n, nl}n,n2 n
neN
.. '), (2.1)
let IX be a one-to-one map from 7L+ onto 7L+ x 7L+ and define
742 A.I. Analytic Sets
Then Ug> Aj is the nucleus of Y:. Somewhat less easily d(0JI)6 = d(OJI). To
prove this, suppose that A j is given by (2.1). Then ng> A j is an uncountable
union whose general summand can be obtained by choosing in succession the
first two sets from the union for A I , then the first from the union for A 2' then
the third from the union for AI' then the second from the union for A 2 , then
the first from the union for A 3 , and so on in the usual diagonal procedure, so
that (remembering that the subscripts are dummies)
no A). = U (Yin
<Xl
1
n Yin n
12
n Y2n 3 n Yin n n
124
n Y2n3.5
n n ... ).
n EN
The left side is the nucleus of Y:' defined by
The class d(OJI), although closed under countable unions and intersections,
is not necessarily a (T algebra because it is not necessarily closed under
complementation.
3. Sets Analytic over a Product Paving
Theorem. Let (X,~) and (Y,OJI) be paved spaces. Then d(~) x d(OJI) c
d(fI x dJI). If ~EX and A Ed(fI x OJI), then {,,: (~,")EA}Ed(dJI).
To prove the first assertion, suppose that AEfI. Using the obvious
notation, it is clear that
A x d(dJI) c d(fI x dJI). (3.1)
Similarly, if A E d(CW),
d(fI) x A c d(fI x dJI), (3.2)
and this is the desired inclusion relation. To prove the second assertion,
suppose that A E d(fI x CW), say
A = U (Xn 1
X Y" ) n
I
(Xn 1 n 2 X Y" n )
1 2
n ....
n.EN
The section of A for given ~ is the nucleus of Z.(e) for
Z (e) = Y.n, ... nk ifJ'EX

.. n, . .. nk'
n, .. . nk {0 otherwise.
5. Projection Characterization s/('!Y) 743
4. Analytic Extensions versus (J Algebra Extensions of Pavings

Theorem. If the complement of each set in the paving iJ!I is in d(iJ!I), d(iJ!I)
contains the (T algebra generated by iJ!I.
The algebra do(iJ!I) generated by iJ!I is the class of finite unions of finite
intersections of iJ!I sets and their complements. Hence do(iJ!I) c d(iJ!I). Since
d(iJ!I) = d(iJ!I)" = d(iJ!I)fJ' the class d(iJ!I) is a monotone class. According to
a standard theorem, d(iJ!I) must therefore contain the (T algebra generated
by do(iJ!I), which is the same as that generated by iJ!I.
F or example, if iJ!I is the class of closed [open] subsets of a metric space
Y, d(iJ!I) contains the open [closed] subsets and therefore contains the (T
algebra of Borel subsets.
5. Projection Characterization of d{ClJI)
The following characterization of d(iJ!I) is important for the application of

the Suslin operation to stochastic processes.
Theorem. Let (Y, iJ!I) be a paved space, and let (X,~) be a topological space
paved by its class of compact subsets. Then the projection on Y of a set in
d(~ x iJ!I) is in d(iJ!I). For a suitable choice of (X, ~), and some suitable
choices are compact metric, d(iJ!I) is the class ofprojections on Y ofthe sets in
(~ x iJ!I)"fJ'
Suppose that the paved spaces are as described in the first assertion and
that A E d(~ x iJ!I),
A= U (Xn, x Y".) n (Xn,n x Y",n,) n ...

2
Y. '·"k EiJ!I
X".O··"k E~ ,"."
n.E r\j
= U (Xn 1
n X n 1 nn
2
... ) x (Y" n Y" n n ... ).
1 1 2
n.E r\j
If An, ... nk is defined by
A = Y" , ... nk if Xn, n··· nXn, ... nk # 0,

n, ... nk {0 otherwise,
the projection of A on Y is the nucleus of A. and is therefore in d(iJ!I), as

stated in the first assertion of the theorem. To prove the second assertion,
define X as the space of all sequences n. of extended (that is, ~ + (0) positive
integers, metrized to be compact by defining the distance between m. and n.
to be
L rjlarctanmj -
00
arctannjl·
j=O
If n l ' . . . ,nk are in Z + , let Xn , ... nk be the compact set of points of X with first
k coordinates n 1 , •.• ,nk' The nucleus of the Suslin scheme Y. on Y is then
the projection on Y of
= no U(x
00
n 1 . . . nk x Y.n 1 . . . nk)E(f!C x OJI) al"
where for each k the union in the second expression is over all finite-valued
k-tupll~s n 1 ... ,nk •
6. The Operation .91(.91)

Theorem. d[d(OJI)] = d(1Y).
The proof in Section 2 that d(1Y) = d(1Y)a = d(1Y)~ can be extended to

prove this theorem, but the following proof is less tedious. A set in d[d(1Y)]
is the projection on Y of a set in [f!C x d(1Y)]a~ for a suitable paved space
(X, f!{), as described in Theorem 5. Since (from Sections 2 and 3)
[X X d(1Y)]a~ c [d(f!C x 1Y)]a~ = d(f!C x 1Y)
and since (by Theorem 5) the projection on Y of a set in the class on the right
is in d(1Y), the present theorem is true.
Application. The first assertion in Theorem 3 can now be strengthened.
In fact
d[d(f!C) x d(1Y)] = d(f!C x OJI)
because Theorems 3 and 6 combine to yield
d[d(f!C) x d(1Y)] c d[d(f!C x 1Y)] = d(f!C x 1Y).
7. Projections of Sets in Product Pavings

Theorem. Let (X, f!{) be a locally compact second countable Hausdorff space
paved by the class ofits compact sets. If (Y, 1Y) is a measurable space paved by
its class ofmeasurable sets, the projection on Y ofa set in d[d(f!C) x 1Y] is in
d(1!/).
9. The G6 Sets of a Complete Metric Space 745
In view of Theorem 5 it need only be pointed out that the application in

Section 6 implies that d(.of x <?Y) = d[d(.of) x <?Y].
. Application. In particular, if aJ(X) is the class of Borel subsets of X in
Theorem 7, the projection on Y of a set in d[aJ(X) x <?Y] is in d(<?Y).
8. Extension of a Measurability Concept to the Analytic

Operation Context
Theorem. If (X, .of), (Y, <?Y) are paved spaces and iff is a function from X into
Y withf-l(<?y) c.of, thenf-l(d(<?Y)) c d(.of).
This theorem is a trivial consequence of the fact that the inverse image
underf of an arbitrary intersection [union] of sets is the intersection [union]
of their inverse images.
9. The Go Sets of a Complete Metric Space

The following standard topological theorem is proved for orientation.
Theorem. (a) A GlJ ofa complete metric space is homeomorphic with a com-
plete metric space.
(b) A set which is a subset ofa complete metric space and is homeomorphic
with a complete metric space is a GlJ.
(c) A complete separable metric space is homeomorphic with a GlJ in a
compact metric space.
Note that since a homeomorph of a separable space is separable, (a) and

(b) are trivially specialized to separable spaces. Throughout the following
proof, X is a complete metric space with distance function d.
Proof (a) If Xl = n~ On with On an open subset of X, define a new distance

function d l on Xl by
LT n 1\ Id-l(e,X -
00
dl(e,r,) = On) - d-I(I'/,X - On) 1 + d(e,l'/)

o
to get a complete metric space (Xl' d l ) homeomorphic with (Xl' d).

(b) Let f map X homeomorphically into a complete metric space X'.
e'
Let (X(0 be the oscillation of the inverse function at in the closure of f(X),
and define (X as 0 ofT the closure off(X). Then (X is upper semicontinuous on
X' and4'anishes on f(X). Suppose that f is in the closure of f(X) and that
(X(O = O. Let B~ be the ball of center e'
and radius lin, so thatf-I(B~) is
746 A.1. Analytic Sets
e
open and shrinks (n -+ (0) to a point of X. Necessarily f = f(e)ef(X).
Let A~ be the set of points of X' at distance < lin from f(X). Then
(W [A~ (") {IX < lin}] = f(X) is a G", as was to be proved.
(c) Replacing the distance function d on X by d A I if necessary, it can
e.
be supposed that d ~ I. Let be a sequence dense in X. Then
is a map of X into the space X' of sequences b. of positive reals ~ 1. If the

distance between b. and b: in X' is defined as:E~ rnlbn - b~l, the space X'
is compact, andfis a homeomorphism. According to (b),f(X) is a G". 0
10. Polish Spaces
A Polish space is defined as a Hausdorff space homeomorphic with a com-

plete separable metric space. Applying Theorem 9 and the fact that a
homeomorph of a separable set is separable, the following two assertions
are trivial.
(a) A G" in a Polish space is a Polish space. In particular, every open
subset (or G,,) of IRN is a Polish space.
(b) A Polish space can be defined as any homeomorph of a G" of a
compact metric space or of a G" of a complete separable metric
space.
If X and Y are complete metric spaces, the product space topology can be
metrized to make X x Y complete metric, and this product space is sepa-
rable if X and Yare. If X and Yare Polish, the product space with product
topology is Polish.
If X is a Hausdorff space which is locally compact and second countable,
X is an open subset of its one-point compactification. Since the latter is
metrizable, X is Polish.
11. The Baire Null Space
This space, denoted by BN below, is the metric space of sequences (nj,j ~ I}

of strictly positive integers with
dist(m.,n.) = (firstj with mj::j:. n)-l if m. ::j:. n.
This space is complete and separable. It is zero dimensional because there is

a topological base of clopen sets, the sets obtained by fixing the first k co-
ordinates, k = I, 2, ....
According to Theorem 9, the set of irrationals in [0, I], a G" in the com-
12. Analytic Sets 747
plete metric space [0, I], 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.
I
nl + --=---
n2 + ...
It will be convenient to denote by BN OO the space of sequences {nj,j ~ I} for

nj a strictly positive integer or + 00, with metric
L:2- j larctanm
00
dist(m.,n,) = j - arctannjl.
1
The space BN OO is compact metric, and the subset of this space with finite
coordinates is a G{) homeomorphic with BN.
Theorem. Every Polish space is a continuous image of BN.
Let X be Polish, and assume without loss of generality that X is complete

separable metric. Choose closed nonempty sets Xl' X 2 , ••• of diameters s; I
with union X. If X nt ... nk has been chosen, choose X n , ... nkl' X nt nk 2 ' . . .
closed nonempty sets of diameters s; Ij(k + I) with union X n , nk' The
desired map from BN into X is the one taking n. into the single point in
X n, n X
n1n2
n ....
12. Analytic Sets

A set will be called analytic if it is a subset of a metrizable space and is
analytic over the class of closed subsets of the space. The class of analytic
subsets of a metrizable space includes the class of its Borel sets (Section 4).
This inclusion is strict in all interesting contexts, for example, if the space is
IR N .
Theorem. The following conditions on a subset A of a Polish space are

equivalent.
(a) A is analytic.
(b) A is the continuous image ofa Polish space.
(c) A is the continuous image ofa G{) ofa compact metric space.
(d) A is the continuous image ofBN.
(e) A is the continuous image of the set of irrationals in [0, 1].
In view of Theorems 9 and 11 only (a) <::>(d) needs proof.

Proof (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 l ' . . . ,nk 1-+ Xn, ... nk with each
set Xn, ... nk a closed subset of X. It will be convenient, and irrelevant to the
construction of analytic sets, to restrict n l ' n2' ... to be strictly positive. For
j and k strictly positive integers choose B jk a closed subset of X, of diameter
< Ilk, with U]~l Bjk = X. Then
A = U(Bn I
1 n Xn2 ) n (Bn3 2 n Xn24
n ) n (B n 3 n Xn n n ) n .. "
5 246
(12.1)
where the union is over all sequences n l ' n2' ... of strictly positive integers.
The kth set in parentheses is closed and has diameter < 11k. Let (a, b) 1-+
lX(a, b) be a one-to-one map of the set of pairs of strictly positive integers onto
the set of strictly positive integers, and define
X~(n,.n2) = Bn,l n Xn2
X~(n,.n2)a(n3.n4) = (Bn, n Xn) n (B n32 n Xn2n .)
to get a Suslin scheme X: for which, given n., the set X~, ... nk is closed, has
diameter < 11k, decreases as k increases, and either is empty for sufficiently
large k or shrinks to a singletonf(nJ. The functionfis thereby defined on a
subset of BN, is continuous, and maps its domain onto A. To extendfto
e
BN, choose some point of A, and if X~, ... nk is not empty, choose a point
en, .. .nk in this set. If f(nJ is not defined, either X~, is empty, in which case
e,
definef(nJ = or there is a maximal k ~ I for which X~, ... nk is not empty,
in which case define f(nJ = en, ... nk' Then f is a continuous map from BN
onto A. (Alternatively, it is easy to see that the original domain offis 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), wherefis continuous from BN into
the Polish space containing A. Let Y", ... nk be the set of points of BN with
first k coordinates n 1 , . . . ,nk • This set is closed and has diameter Ij(k + I).
Let XnI ... nk be the closure of f( Y", ... nk)' If n. E BN,
(k ~ 00),
and therefore A is the nucleus of X. and is analytic, as was to be proved. 0
13. Analytic Subsets of Polish Spaces

Theorem. Let X and Y be Polish spaces.
(a) If A [B] is an analytic subset ofX [Y], A x B is an analytic subset of
Xx Y.
13. Analytic Subsets of Polish Spaces 749
(b) If A is an analytic subset of X x Y and if ~ E X, the set {,,: (~,'O EA}

is an analytic subset of Y.
(c) The projection on Y ofan analytic subset of X x Y is analytic.
(d) The image on Y of an analytic subset of X under a Borel measurable
map from X into Y is analytic.
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),
letfbe a Borel measurable function from X into Y. The graph offis 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
f(A), is therefore analytic by part (c), as was to be proved.
Appendix II
Capacity Theory
1. Choquet Capacities
If (X, fl') is a paved space for which fl' is closed under finite unions and inter-
sections, a Choquet capacity on (X, fl'), that is, on X relative to fl', is a func-
tion / from the class of subsets of X into iR with the following properties:
(a) / is increasing; that is, Xl C X 2 implies that /(X I ) ~ /(X2 ).
(b) X n i Xoo implies that /(Xn) -+ /(Xoo )'
(c) XnEfl' and X n ! Xoo implies that /(Xn) -+ /(Xoo )'
A subset A of X is called capacitable [relative to (X, fl', /)] if
/(A) = sup {/(B): Be A,BEfl'.s}' (1.1)
It is trivial that the union of a monotone increasing sequence of capacitable

sets is capacitable.
2. Sierpinski Lemma
Lemma. Let (X, fl') be a paved space, let A be the nucleus ofa Suslin scheme X.
over fl', and let b I ' b 2 , ••. be a sequence in 71.+ . Define
(2.1)
Only the assertion that Be A is not trivial. To prove this relation, suppose
that ~ E B, so that for every k there is a k-tuple (n I' ... , nk) with ni ~ bi for
which ~EXnl n··· nXn""nk' Call such a k-tuple admissible. Then admis-
sibility of (n l , . . . ,nk) implies admissibility of (n l , . . . ,nk- l ). Since the
4. Lusin's Theorem 751
first integer of an admissible k-tuple is at most b l , some integer m l must

be the first integer of an admissible k-tuple for infinitely many values of k.
Similarly, for some m 2 ;S; b 2 the pair (m l ,m 2 ) must be the first two integers
of an admissible k-tuple for infinitely many values of k, and so on, so that
e
there is a seq.uence m. with E X m , n X m ,m 2 n ... c A, and therefore Be A,
Observe that BE f!l' ~ if f!l' is closed under finite unions and intersections.
The set B increases when members of the sequence b. increase, and it is
intuitively reasonable that in some useful sense B can be made close to A
by choosing each bj sufficiently large. The following Choquet Capacity
Theorem offers a precise version of this closeness.
3. Choquet Capacity Theorem

Theorem. Let (X, f!l') be a paved space for which f!l' is closed under finite unions
and intersections. If I is a Choquet capacity on (X, f!l'), the sets of d(f!l') are
capacitable.
If A Ed(f!l') and I(A) = -00, the set A is trivially capacitable because

the empty set is in f!l'. If I(A) > - 00, choose lX < I(A). It will be proved,
in the notation of Sierpinski's lemma, that I(B) ~ lX if b. is chosen suitably,
and in view of property (c) of a Choquet capacity it is sufficient to choose b.
to make I(B k ) ~ lX for all k and therefore sufficient to cI~oose b. to make
I(A k ) > lX for all k. To make such a choice, choose b l so large [property (b)
of capacity] that I(A I ) > lX, and if b l , ••• , bk - l have been chosen so that
I(A k - l ) > lX, choose bk so large that I(A1 > lX, again using property (b).
4. Lusin's Theorem
Theorem. If (X, f!l', Jl) is a complete measure space for which Jl is a countable
sum offinite measures,for example, if Jl is (J finite, then d(f!l') = f!l'.
It is sufficient to prove the theorem for Jl a complete finite measure.

Define the outer measure of an arbitrary subset A of X by
Jl*(A) = inf{Jl(B): A c BEf!l'}.
Then Jl* is a Choquet capacity relative to (X, f!l'). 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 d(f!l') are capacitable, and in the
present context capacitability and measurability are equivalent.
752 A.II. Capacity Theory
5. A Fundamental Example of a Choquet Capacity

Let (o.,.1F, P) be a complete finite measure space, and define an outer
measure p* on the class of subsets of 0. by
P*(A) = inf{P(B): B::> A,BE.1F}.
Let :# be the class of finite unions of subsets of IR+ x 0. of the form C x A,

where C is a compact subset of IR+ and A E.1F. Then :# is a paving of IR+ x 0.,
closed under finite unions and intersections. If A c IR+ x 0., let n(A) be the
projection of A on 0., and define I(A) = P*(n(A». Observe that
d(:#) = d(~(IR+) x .1F) ::> ~(IR+) x .1F,
that n(d(:#» = d(.1F) = .1F, and (by Theorem 1.5) that I(A) = P(n(A» if
A Ed(:#). An important result in capacity theory is that I so defined is a
Choquet capacity on IR + x 0. relative to :#, that is, that I satisfies Section
I (a)-(c). Condition (a) that I is monotone increasing is obviously satisfied.
The left continuity condition (b) is satisfied because every outer measure
defined like P* in terms of a measure satisfies this condition. To prove that
the right continuity condition (c) is satisfied, suppose that S. is a decreasing
sequence in :# with intersection S. Then the point w is in n(Sn) if and only
if the compact set {t: (t,W)ESn} is not empty; so n(S,) is a decreasing
sequence in .1F with intersection n(S). Hence
lim I(Sn)
11-00
= n-oo
lim P(n(Sn» = P(n(S» = I(S);
that is, (c) is satisfied.

Application. It is trivial that since I is a Choquet capacity relative to .#,
this set function is also a Choquet capacity relative to an arbitrary subpaving
of :# closed under finite unions and intersections. The Choquet capacity
theorem applied to I with various choices of such subpavings of :# can be
applied (Section 2.11.8) to show that certain subsets of IR + x 0. contain
significant parts of the graphs ofsuitably defined functions from 0. into IR+.
6. Strongly Subadditive Set Functions

Let (X, f!l) be a paved space for which f!l is closed under finite unions and
intersections. A function I from f!l into either] - 00, + 00] or [ - 00, + oo[
is called strongly subadditive on (X, f!l) if
(a) I is increasing; that is, A c B implies that I(A) ::::;; I(B).
(b) I(A u B) + I(A (\ B) ::::;; I(A) + I(B).
If I is strongly subadditive and IX is a constant, I 1\ IX and I + IX are also
strongly subadditive. Under (a), condition (b) is equivalent to
7. Generation of a Choquet Capacity by a Positive Strongly Subadditive Set Function 753
(c) For an arbitrary strictly positive integer n when At, ... ,An and
B t , ... , B n are in:!£ and A j C B j forj ~ n,
In fact under (a) and under (c) with n = 2 inequality (6.1) yields (b) when
At = A ( l B, A 2 = A, B 1 = B, B 2 = A. Conversely, if (a) and (b) are true,
(c) is proved as follows. If A = B t and B = At U B 2 , conditions (a) and (b)
yield
(6.2)
If A = At U A 2 and B = B 2 , conditions (a) and (b) yield
(6.3)
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 (A j , B) in X with A j C Bj , the set
function I is called countably strongly subadditive.
7. Generation of a Choquet Capacity by a Positive Strongly

Subadditive Set Function
Let I be a positive strongly subadditive set function on (X, :!£), and let!i be
a subclass of :!£C1' closed under finite intersections and countable unions.
Define the function A t-+ I*(A) from the class of all subsets of X to jR+ by
I*(A) = sup {I(B): BcA,Be:!£} ifAe!i, (7.1)
and for an arbitrary subset A of X define
I*(A) = inf{I*(B): B:::> A,Be!i}. (7.2)
In (7.2) it is to be understood as usual that the right side is to be + 00 if !i

contains no superset of A. Equations (7.1) and (7.2) are consistent for A
in !i. Note that 1* need not be equal to Ion:!£. For example, if!i is empty,
I*(A) = + 00 for every A.
Theorem. In the preceding context if

(a) I(A n) --+ I(A) when An and A are in :!£ and An 1A
(b) I(A n) --+ I*(A) when An is in f!( and An! A
then J* is an extension ofJ, does not depend on the choice of:i, and is a Choquet
capacity on X relative to X, countably strongly subadditive on the class of all
subsets of X. If J*(A) < + 00, the set A is (X, X) capacitable if and only if to
each e > 0 correspond sets A~ in X 6 and A; in :i satisfying
(7.3)
It is trivial from (b) with At = A 2 = ... that J* = J on X. The proof

that J* is a countably strongly subadditive Choquet capacity will be carried
through in four steps.
(i) An i A with An in :i implies that J*(A n) --+ J*(A) because if An =
Ur=oA nk with A nk in X, if B n = Um,k,;nAmk, and if B is in X and is a subset
r
of A, then BneX, B n A, B n n Bi B, and
lim J*(A n) 2:: lim J(Bn n B) = J(B). (7.4)

n-OC) n-co
The limit on the left is therefore at least (and trivially at most) J*(A).
(ii) J* 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 X, increasing
sequences of pairs (A, B) yield the same inequality for sets in :i. If A and B
are arbitrary and if either J*(A) or J*(B) is infinite, this strong subadditivity
inequality is trivially true for J*. If both values are finite and A c A' e:i,
Be B' e:i, then
J*(A u B) + J*(A n B) :$ J*(A' u 8) + J*(A' n B') :$ J*(A') + J*(B'), (7.5)
and (ii) is true because the right side can be made arbitrarily close to
J*(A) + J*(B).
(iii) An i A implies that J*(A n) --+ J*(A). This conclusion is trivial if
lim n _ oo J*(A n) = + 00. If this limit is finite and if e > 0, choose A~ in :i in
such a way that A~ => An, J*(A~) < J*(A n) + rne. By strong subadditivity
[see (6.1)]
(7.6)
Hence
J*(A) :$ J* (0
\1
A~) = lim J*
m-oo
(01 A~) :$ lim J*(A m) + e,
m-oo
(7.7)
so that limm _ oo J*(A m) is at least (and trivially at most) J*(A).

(iv) J* is countably strongly subadditive because J* satisfies (6,1) for arbi-
trary sets A j c B j , and this inequality yields countable strong subadditivity
in view of (iii) when n --+ 00.
8. Topological Precapacities 755
The conditions (a), (b), and (i)-(iv) imply that f* is a countably strongly
subadditive Choquet capacity relative to (X, ~). The last assertion of the
theorem is trivial. There remains the proof that f* does not depend on the
choice of :i. Let f:be the Choquet capacity obtained with the choice
fi = ~'" and let f* 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 f,,* ~ f* and that there is equality on ~ and therefore also on ~".
Now if A is an arbitrary subset of X,
f:(A) = inf {f:(B): B:::> A, BE~,,} = inf {f*(B): B:::> A, BE~,,} ~ f*(A),
and therefore f: = f*, as asserted.
8. Topological Precapacities
Let (X,~) be a locally compact second countable space together with its
class of compact subsets. Suppose that f is a function from ~ into jij+ with
the following properties:
(a) f is strongly subadditive on ~.
(b) If A. is a monotone sequence of compact sets with compact limit A,
then limn_co f(A n ) = f(A).
Then f will be called a topological precapacity on X. Theorem 7 can be applied
with :i the class of open subsets of X if f*(A) = f(A) for A compact, and
this is true because if B. is a decreasing sequence of relatively compact
open subsets of X with ngo
Bn = ngo
lin = A, then in view of (b) and the
fact that f(A) ~ f*(B n ) ~ f(lin ),
f(A) ~ lim f*(Bn ) ~ lim f(lin)

n-oo n-oo
= f(A). (8.1)
Thus a topological precapacity f has an extension to a countably strongly

subadditive Choquet capacity f* relative to the class of compact sets and
f*(A) = sup {f(B): B compact, Be A} (A open), (8.2)
f*(A) = inf {f*(B): B open, A c B} (A arbitrary). (8.3)
The class of capacitable sets includes the analytic subsets of X. A set A with
f*(A) finite is capacitable if and only if to each e > 0 correspond a compact
subset A~ of A and an open superset A;
of A such that f*(A;) < f(A~) + e.
Letting e run through a sequence with limit 0, it follows that A with f*(A)
finite is capacitable if and only if there is an F,. subset A' of A and a GlJ
superset A" of A such that f*(A') = 1*(A) = 1*(A"). This condition is
trivially necessary and sufficient for capacitability of A when 1*(A) = + 00.
Note, however, that if A has compact subsets with arbitrarily large values
of I, then I*(A) = + 00, and A is capacitable no matter how complicated
its structure.
EXAMPLE. Let (X,:I") be IR together with its compact subsets, and define
I(A) for A compact as 0 or I according as A is empty or not. Then I is a
topological precapacity. Let :I" be the class of open subsets of IR. The exten-
sion I* is I on every nonempty set, and all sets are 1* capacitable. Observe
that 1* has the property that there is a decreasing sequence A. of capacitable
sets for which
Application to a Uniqueness Result
Let I be a function from the class of all subsets of a locally compact second
countable space into jR+. 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
I(B) = sup {I(A): A c B, A compact}.
It follows that the extension of this restriction to 1* coincides with Ion the
class of capacitable sets, in particular, on the analytic sets.
9. Universally Measurable Sets

Let (X,:I") be a measurable space, and let JI. be a finite measure on :I". The
class :I"/l of JI. measurable sets obtained by completing JI. is the (J algebra of
sets generated by :I" and the subsets of JI. null sets. The intersection qj(:I") =
n/l:I"/l is a (J algebra, the class of universally measurable sets. It is easy to
verify that qj(:I") is unchanged if JI. in this definition is allowed to be (J finite
or more generally if JI. is allowed to be a countable sum of finite measures.
Since qj(:I") c :I"/l for every finite measure JI., it follows that o//(qj(:I"» c O//(:I"),
and the reverse inclusion is trivial.
Apply Lusin's theorem to find that for every finite measure JI. on :I",
so that
O//(:I") c A(qj(:I"» c qj(:I"),
that is, d(qj(:I"» = O//(:I").

9. Universally Measurable Sets 757
IfI is a map from the measurable space (X, :!l") into the measurable space
(Y, qy) and if1-1 (qy) c :!l" that is, iflis measurable, a measure Jl. on X trans-
forms into a measure Jl.f on qy by way of Jl.iA) = Jl.[f-l(A)]' Moreover, if Jl.
is complete, this relation remains valid for A in the domain of the completion
of Jl.f. In particular, this relation is valid for A in OlI(qy) and 1-1 [011 (qy)] c
0lI(:!l"); that is,j is measurable from (X, 0lI(:!l"» into (Y, OlI(qy».
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 Ay. 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 yare in the
subset whenever x and yare.
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 + Y = x + y' => Y = y' (unique subtraction).

4. The Specific Order Generated by a Cone 759
When x + y = z, the element y will be written Z - x. According to this

definition a cone % in a vector space J( is a convex set with the property
that x E % implies that cx E % if and only if c ~ 0 or x = O. The cone is
said to generate J( if J( = % - %, that is, if every element in J( is the
difference between two elements of %. An arbitrary cone % can be immersed
in a vector space J( generated by %, as follows. The elements of J( are the
pairs x: (x I , x 2) of elements of % under the identification (x I , x 2) = (y I' y 2)
when XI + Y2 = x 2 + YI' This identification is a transitive relation because
there is unique subtraction in %. Addition of elements of J( and multiplica-
tion by real constants are defined by
The cone % is identified with the class of elements of J( having representa-

tions of the form (x, 0), and (x I ' x 2 ) is also written x I - x 2 when there is no
danger of confusion.
4. The Specific Order Generated by a Cone
A cone can be ordered by the convention that x -< Y if there is a cone element
z such that x + z = y. This order, called the specific order, is transitive and
reflexive, and x :5 Y implies that cx :5 cy when c ~ 0 and that x + z :5 y + z
for all cone elements z. Moreover if x + z:5 y + z for some cone element z,
then x :5 y. A supremum or infimum of a set of cone elements is necessarily
unique.
If in the specific order every pair of cone elements has a supremum
[infimum], then every pair also has an infimum [supremum] and the cone
is therefore a lattice. To see this, suppose for example that every pair x, y
has a supremum x Y y. Then it will now be shown that x A y exists and
xYy+xAy=x+y. (4.1)
Since x + y C: x and x + y C: y, it follows that x + y C: x Y y. Define

z = x + y - x Y y. Then
z + x Y y = x + Y:5 x Y y + y;
so z :5 y and similarly z :5 x. On the other hand, if z' :5 x and z' :5 y, then
z' + x Y y = (z' + x) Y (z' + y) :5 x + y;

so z' :5 z, and it follows that z = x"A y, as asserted.
760 A.III. Lattice Theory
If .It is a vector space and if .;V is a cone in .It, the space .It can be given
a transitive reflexive order by setting x ::S y if y - x E .;V. The order thereby
assigned to .;V is the specific order, and .;V becomes the set .It + of positive
elements of .It, that is, the set of elements x ~ O. This ordering of .It is
called the specific order relative to .;V. It is trivial that in this order the pair
of relations x::S y and y::s x implies that x = y. Conversely, let .It be a
vector space with a transitive reflexive order in which this implication is
valid and in which x::s y implies both that cx::s cy for c E IR + and that
x + z ::S y + z for z E.It. The set .It + of elements >-0 is then a cone, and the
.It order is the specific order relative to .It + .
5. Vector Lattices
A "vector lattice" .It is defined as a vector space which is a lattice in the

specific order determined by some cone .It+ as described in Section 4. The
cone .It + is a sublattice of.lt and has the property that to each element Xo
of .It corresponds an element x (for example, X o Y 0) of .It+ such that
x ~ xo. Conversely, if .;V is a cone in a vector space .It, if .;V is a lattice
in its specific order, and if to each element Xo of.lt corresponds an element
x in .;V such that x - Xo is in .;V, then .It is a lattice in the specific order
induced by.;V. To see this, observe that if Xl and X 2 are in.lt, there must
be an element x in.;V such that x - Xl and x - X2 are both in .;V, and it is
easy to verify that the desired supremum Xl Y x 2 is given by
and that then the desired infimum is given by - [( - Xl) Y ( - X2)]. A

vector lattice .It is [conditionally] complete if and only if its positive cone
is [conditionally] complete in its specific order. For example, if .It + is
conditionally complete, a subset {XIX' IX E I} of .It with an upper bound X
has a supremum, namely x - AIXEI (x - XIX)'
If .It is a vector lattice,
z + (x Y y) = (z + x) Y (z + y), z + (xAy) = (z + x) A (z + y) (5.1)
and
(-x)A(-y)= -(x Vy). (5.2)
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+ = x V 0, x- = (-x) V 0, Ixl = x V (- x). (5.3)

5. Vector Lattices 761
Applying (5.1) and (5.2),
x +y - (x Y y) = (x + y) + (-X) A. (-y) = y A. 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.
x Yy +x A. y = x + y, Icxl = IcIIXI,
Ix + yl:s IXI + Iyl·
(5.4)
The second relation implies that vi( = vI(+ - vI(+. If x = Xl - X2 with

Xi ~ 0, then Xl ~ x+ and X 2 >- x-.
Associative Law. If {x a , IX E I} is a subset of the vector lattice vI(, if I is

partitioned arbitrarily, [ = UPEJ [p, and if YaElpx a = yp exists for every f3
in J, then YaEl x a exists if and only if ~EJ yp exists, in which case the two
suprema are the same. This fact is trivial, as is the corresponding dual one
for infima.
Distributive Law. Let {x a, IXE I} be a subset of vi( for which 'faElxa exists.
It follows that 'faEl
(x a A. y) exists for y in vi( and that
(5.5)
Dually, the existence of AaEl X a implies that AaEI (x a Y y) exists and that
(5.6)
Only (5.5) will be proved. The right side of (5.5) majorizes x a A. y for every IX,
and conversely, if x ~ X a A. y for every IX, then
x >- Xa A. y = Xa + Y - (xa Y y) ~ Xa + Y - [ (~ Xa) Yy l

so
and therefore (5.5) is true.

762 A.I1I. Lattice Theory
6. Decomposition Property of a Vector Lattice

Theorem. If x, Yb Y2 are in the positive cone of a vector lattice and if
x::S Y 1 + Y2, there are positive elements x1 and x2 satisfying
(6.1)
In fact, if Xl is defined as x AYl and if X2 = x - Xl' then
so that X 2 is positive and is majorized by J2.

This decomposition theorem implies that if Yl' Y2' yare positive elements
of a vector lattice, then
(6.2)
In fact the left side is majorized by Yl + Y2; so according to the decomposi-

tion theorem, there are positive elements Xl' x 2 satisfying
Then Xi -< Y; so Xi ::SYi A Y, and it follows that Xl + X2 ~ Yl A Y + Y2 Ay,

which yields (6.2).
7. Orthogonality in a Vector Lattice

Elements X and Y of a vector lattice .A are said to be orthogonal if Ixl A 1yl
= 0, a relation written x ..L y. Two subsets of .A are said to be orthogonal
if every element of one is orthogonal to every element of the other. The set
of elements of .A orthogonal to a set % is denoted by %1.. According to
(5.4), x ..L Y if and only if Ixl + lyl = Ixl y lyl·
8. Bands in a Vector Lattice

A band in a vector lattice .A is defined as a vector sublattice % satisfying
the following two conditions:
(a) If a subset of % has a supremum in.lt, the supremum is in %.
(b) If Ixl ::S Iyl and if Y E %, then xE %.
Condition (a) implies the validity of the dual condition for infima. If a
cone Cfj of positive elements of .It satisfies conditions (a) and (b), then
Cfj - Cfj is a band in .It. If %0 is a subset of .A, the intersection of all the
bands containing %0 is a band, the band generated by %0'
9. Projections on Bands 763
Theorem. If % is a subset ofa vector lattice the set %1. is a band.
To prove linearity of %oL, observe that if xe %1. and ce IR, then cxe%1.
because when y is in %,
Icxl A Iyl ~ (Icl + IHlxl A Iyl) = 0,
and if Xl and X 2 are in %1., their sum is in %1. because (6.2) implies that
when y is in %,
The band condition (b) is obviously satisfied by %1.; so if X and yare in

%1., the elements lxi, Iyl, Ixl + Iyl, x Y y, x A yare also in %1., which is
thereby seen to be a sublattice of the given lattice .R. To finish the proof, it
will be shown that if {x a , 0( e I} is an arbitrary subset of %1. with a supremum
VaeIX a = x, then xe%1.. Suppose first that x. has a smallest element, say
x p = AaeIXa, Then 'YaeI(X a - x p) = x - x p, and if y is in %, an applica-
tion of the distributive law yields
V (xa -
[aeI xp)l A Iyl = V [(xa - xp) A lylJ = 0;
j aeI
so x - x p, and therefore x are in %1.. In the general case choose any index
value P, and replace Xa by x~ = Xa Y x p for all 0(. The set x: has a smallest
element; so its supremum x is in %1., as was to be proved.
9. Projections on Bands
If % is a band in a conditionally complete vector lattice .R, define the map
1t% from .R onto % by
(9.1)
for x 2: 0, and for arbitrary x define 1t%x = 1t%x+ - 1t%x-. The map 1t%
reduces to the identity on % and 1t%x ~ x for x >- O.
Theorem. If % is a band in the conditionally complete vector lattice .R, then

%.L.L = %, and.R is the direct sum of % and %1. :for all x E.R, x = XI + x 2,
where Xl = 1tx xe% and X2 = 1ty1.E%1.. The map 1t% is linear, idempotent
and order preserving.
The map 1tx is obviously order preserving on .R+. The linearity of 1t%
to be proved below will therefore imply that 1t% is order preserving on .R.
If yE % and if X;> 0, then Iyl A (x - 1r.¥x) + 1r.¥X ::S x, and since the left
side is a positive element of %, it follows that operating with 1r.¥ on both
sides shows that the left side is majorized by 1r.¥X. Thus O::S Iyl A (x - 1r.¥x)
::S O. The indicated infimum is therefore 0; that is, x - 1r.¥XE %1., and x can
be written in the form x = Xl + X2 with Xl = 1r.¥XE% and X2 = x - 1r.¥XE
% 1.. This representation of x as the sum of an element of % and one of
%1. is trivially extendible to not necessarily positive elements x. Since such
a representation must be unique, .A is the direct sum of % and % 1., %1.1. =
%, and the map X 1--+ Xl = 1r.¥X must be linear. Replace % by %1. above to
find that X2 = 1r.¥.LX.
10. The Orthogonal Complement of a Set
Lemma. Let %0 be a subset ola conditionally complete vector lattice, and let
% be the band generated by %0' Then %l = %1..
According to Theorem 9, %1.1. = %. Now %0 c % implies that %1. c

%01. and therefore that %l1. c %1.1. = %. In the other direction, since
%0 1- %l, it follows that %0 c %t1.; so %l.L is a band containing %0 and
must therefore include %, and so there is equality. Finally %t = %tl..L =
%.L, as was to be proved.
11. The Band Generated by a Single Element

Let z be a positive element of the conditionally complete vector lattice .A,
and denote by % the band generated by z. Call an element y of.A bounded
(relative to z) if Iyl ::S cz for some constant c. All bounded elements are in
% so any supremum of a set of bounded elements is in %. If B+ is the class
of suprema of sets of positive bounded elements, B + - B+ is a band, which
must be %; so B+ = %+. Actually every element of %+ is the supremum
of an increasing sequence of positive bounded elements of vii, and in fact
we shall show that
(11.1 )
To prove (11.1), define 1rX as the supremum on the right, so that 1r is a

map from.A+ into %+ and 1rX ::S x. For k ~ 0,
x A kz = 1r(x A kz) ::S 1r 2 X ::S 1rX; (11.2)
so (k --+ (0) 1rX::S 1r 2 X ::S 1rX, and it follows that 1r = 1r 2 • The map 1r is additive
because on'the one hand using (6.2)
12. Order Convergence 765
n(x + y) ::S nx + ny (11.3)
and on the other hand
n(x + y) >- n(x A kz + y) 2: x A kz + y [y A (n - k)z] =xA kz + ny;

neZ+
(11.4)
so n(x + y) 2: nx + ny, and there must be equality. Moreover x - nxe..¥.L

because n(x - nx) = nx - n 2 x = 0, and ny = 0 implies that y .1 z, equiv-
alently (by Lemma 10), ye..¥.L. It follows that n.,.,.{x - nx) = 0; that is,
n.¥x = n.¥nx = nx, as was to be proved.
12. Order Convergence
Let I be a directed set; that is, I is a set ordered by a transitive reflexive

binary relation :::;; with the property that each pair of elements has an order
upper bound. A subset of I is called cofinal if each element of I precedes
some element of the subset. The set I has a cofinal countable set if and only
if I has a cofinal increasing sequence. Suppose that x(·) is a function from I
into a complete lattice L. The inferior and superior limits of x(·) are defined
by
lim inf x(t) = Y A x(s), lim sup X(t) = A Y x(s). (12.1)

It leI s,,1 It reI s"r
Then
lim inf x(t) :::;; lim sup x(t), (12.2)

rt It
and if these two values are equal, x(·) is said to have this common value as
limit. This discussion becomes trivial if I has a last element because then
both sides of (12.2) become the value of x(·) at the last element.
The Monotone Case
Suppose that the function x(·) is monotone increasing [decreasing]. Then

obviously x(·) has limit YreIX(t) [AleIX(t)]. In particular, suppose that
x(·) is monotone increasing and that L has the countability property (Section
2). Define x = limIt x(t). Then we now show that there is an increasing
sequence t. in I such that limn.... co x(tn) = x and that x(t) = x whenever t is an
upper bound of t•. To see this, let ( be a sequence in I for which Y.,,,o x( t~) =
YleIX(t). Define to = t~; if to, ... , t n have been defined, define t n+ 1 in I so
that t n+ 1 ~ t n and t n+ 1 ~ t~. The sequence t. has the stated properties.
Moreover any increasing sequence s. in I with Sn ~ tn for all n has these

same properties. Thus if I has a cofinal increasing sequence, we can increase
tn above if necessary to make t. cofinal in addition to the above stated
properties.
EXAMPLE. (Downward- and upward-directed sets). Let L be a partially

ordered set, and let L o be a subset of L. If L o when given the [reverse of the]
order inherited from L is a directed set, L is said to be [downward] upward
directed. If L is a lattice and if L o has the property that x Y y [x A y] is in
L o when x and yare, then L o is a directed set in the order :::s [~ ] and is
directed upward [downward]. In both cases the identity map from L o onto
itself is a monotone function from L o into L; so the order convergence
concept is applicable.
13. Order Convergence on a Linearly Ordered Set

Theorem. Let x(·) be a function from a linearly ordered set I into a complete
lattice satisfying the countability condition.
(a) If I has no cofinal increasing sequence, there is an element s of I such
that r ~ s implies that
Ax(t) = lim inf x(t), y x(t) = limsupx(t). (13.1)

t~r tt t~r tt
(b) If I has a cofinal increasing sequence, there is a cofinal countable

subset J of I such that if x J(') is the restriction of x(·) to J, then
liminfxJ(t) = liminfx(t), limsupxJ(t) = limsupx(t). (13.2)

tt tt tt tt
In view of the discussion of the monotone case in Section 12 there is an

increasing sequence t. in I, cofinal if I has a cofinal increasing sequence, such
that
lim A x(t) == lim inf x(t), lim y x(t) = lim sup x(t)
n-co t~ln tt n-co t~tn tt
and that if s 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 In = {t: tn :::;; t < tn+ 1 }. Let I: be a countable subset of In, chosen
so that x(·) has the same infimum and supremum on I: as on In. The set
I:
J = U~ satisfies (13.2).
Appendix IV
Lattice Theoretic Concepts in Measure Theory
1. Lattices of Set Algebras

Recall that a [(f] algebra of subsets of a set X is a nonempty class of subsets
containing complements, finite [countable] unions, and finite [countable]
intersections of its members. The intersection of an arbitrary collection of
[(f] algebras is a [(f] algebra. The smallest [(f] algebra containing a class r
of subsets of X, that is, the intersection of the collection of all [(f] algebras
containing r, is the [(f] algebra generated by r. In particular, the generated
[(f] algebra is called countably generated if r is countable. If to each point ex
of some set I corresponds a collection ~ of subsets of X, we denote by
§"{~,exEI} or §"{Uael~} the (f algebra generated by Uael~' It will
frequently be true in this book that each collection ~ is a (f algebra and that
§". is directed upwards in the sense that if ex and f3 are in I, there is a point
y in I such that ~ u §"p c ~. In this case Uael~ is an algebra but need
not be a (f algebra.
The class ff of (f algebras of subsets of X ordered by inclusion ( c) is a
complete lattice in which if {~, ex E I} is a collection of these (f algebras,
Y §"=§"{§"
ael
a «' IY.EI} , A~= n~·
ael ael
Observe that to each set A in Yael ~ corresponds a countable subset J of I,

depending on A, such that A E Yae J~' because the class of sets A with this
property is a (f algebra containing Uael~ but contained in and therefore
equal to Yael~' Observe also that the class of sub (f algebras of a given (f
algebra is a complete sublattice of ff. We omit the corresponding remarks
on the lattice of algebras of subsets of X.
2. Measurable Spaces and Measurable Functions

Recall that a measurable space is a set X coupled with a distinguished (f
algebra ff of its subsets. In this book if X is endowed with a topology, then
unless some other choice is specified the class ff will be the class £:lJ(ff) of
768 A.IV. Lattice Theoretic Concepts in Measure Theory
Borel subsets of X, that is, the (J algebra generated by the class of open
subsets of X. If (X, f![) and (Y, r1JI) are measurable spaces, a function ¢ from
X into Y is defined as measurable if ¢ -1 (r1JI) c f![, and for this it is sufficient
that ¢-l(A)Ef![ for each set A in a subclass of r1JI which generates the (J
algebra r1JI. If ¢1 is a measurable function from (X, f![) into (Y, r1JI) and if ¢2
is a measurable function from (Y, r1JI) into a third measurable space (Z,~),
then the composed function ¢2(¢1) is measurable from (X, f![) into (Z, ~).
If X is a set, if ~ is a (J algebra of subsets of X for each point ex of some
index set I, and if ¢ is a measurable function from (X, Yael ~J into a
measurable space (Y, f![), then if r1JI is countably generated, there is a count-
able subset J of I such that ¢ is measurable from (X, YaeJ~) into (Y, r1JI). In
fact it is sufficient to show that for each set A in a countable generating class
for Y the set ¢ -1 (A) is in the (J algebra generated by a countable subclass of
~., and we have already remarked in Section I that this is true.
Suppose that to each point t of a set I corresponds a measurable space
(X;, f![t)· The product (J algebra x teI f![t is defined as the (J algebra of subsets
of the product space xte/X; generated by the class of product sets xtelA t
with At = X; for every value of t with one possible exception and for that
value At Ef![t. The product measurable space is defined as (x teI X/> X te/f![t).
If (X, f![) is a measurable space and if (X;, f![t) is a replica of (X,!!l) for every
t in a set I, we denote the product measurable space by (XI, f!(1), or by
(xl, f![k) if I has cardinality k.
3. Composition of Functions
If y is a function from a space X into a measurable space (Y, r1JI), the smallest
(J algebra ~ of subsets of X making y measurable from (X, ~) into (Y, r1JI)
will be denoted by ~{y}. That is, ~{y} = y-1(r1JI) is the class of subsets of
X of the form {y E A} with A in r1JI. If ¢ is a measurable function from (Y, r1JI)
into a measurable space (Z, ~), the composed function z = ¢(y) is measur-
able from (X, ~ {y}) into (Z, ~). Conversely, if z is a measurable function
from (X, ~ {y}) into (Z, ~), it is a useful fact that z must have this form
¢(y) under suitable restrictions on the measurable space (Z, ~). The follow-
ing lemma, stated in the preceding context, gives one such restriction.
Lemma. Let (Z, ~) be a Polish space coupled with its class ofBorel sets. Then
if z is a measurablefunction from (X, ~ {y}) into (Z, ~), there is a measurable
function ¢ from (Y, r1JI) into (Z,~) such that z = ¢(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 '- of points of Z. Then Z-l«(;) E~{Y}; so there is a (perhaps
not uniquely determined) set B j in r1JI such that Z-l«(j) = y-1(BJ If we
replaceBo,B 1 , •.. byBo,B1-Bo,B1-(BouB1), ... if necessary, we can
4. The Measure Lattice of a Measurable Space 769
suppose that the sequence B. is disjoint, and we define cP on Y as (; on B;

and cP == const (an arbitrary point of 2) on the remaining set Y - U~OBi'
This function cP has the desired properties. For arbitrary z there is a conver-
gent sequence z. of countably valued measurable functions from (X, ~{y})
into (2,!Z) with limit z. For example, for each positive integer n choose a
partition BnO ' B n l ' . . . of 2 into disjoint nonempty Borel sets of diameter
~rn, choose a point (nj in B nj , and define Zn on X as (nj on z-l(Bnj). Then
by the lemma in the special case just treated there is a measurable function
cPn from (Y, 'W) into (2,!Z) such that Zn = cPn(Y), and it follows that the
sequence cP. is convergent on the range of y. Since the convergence set of
cP. is in 'W, if we redefine cPn == const on the divergence set (the same point of
2 for all n), the sequence cP. is convergent on Y to a function cP with the
required properties.
Application to Product Spaces. (Notation ofthe Beginning ofThis Section.)
If k is a strictly positive integer and if Yk = [y(I), , y(k)] is a function from
X into y k, then ~ {Yk}' usually written ~ {y(I), ,y(k)}, becomes the class
of subsets of X of the form {[y(l), ... ,y(k)] EA k} with AkE'Wk. Observe
that ~ {yd is the smallest (j algebra ~ of subsets of X making every function
y(i) measurable from (X, f.l) into (Y, 'W). More generally, if I is an arbitrary
nonempty set and if {y(t), tEI} is a family of functions from X into Y,
indexed by I, let y(t,~) be the value at ~ in X of the function y(t). The func-
tion YI: ~ ~ y(., ~) is a measurable function from (X, ~ {YI}) into (y I,'WI),
and ~{YI}, usually written ~{y(t), tEI}, can also be described as the
smallest (j algebra ~ of subsets of X making every function y(t) measurable
from (X, ~) into (Y, 'W); that is,
~{y(t),tEI} = Y ~{y(t)}.
leI
According to Section 1, a set A in ~{y(t), tEI} is in ~{y(t), tEJ} for some

countable subset J of I, depending on A. It follows that if Y is countably
generated, a measurable function y from (X,~{y(t),tEI}) into (Y,'W) is
measurable from (X, ~{y(t), tEJ}) into (Y, 'W) for some countable subset J
of I depending on y.
4. The Measure Lattice of a Measurable Space

Let (X, f!l) be a measurable space, and let .It + be the class of measures on f!l,
ordered by setting Jl. -< v if Jl. ~ von f!l, that is, if Jl.(A) ~ v(A) for every A in
f!l. From now on all subsets of X mentioned are in f!l, and this qualification
will no longer be stated. The space .It+ in this order is a lattice with
(Jl. Y v)(A) = sup {Jl.(B) + v(A - B): Be A}

(4.1)
(Jl. A v)(A) = inf{Jl.(B) + v(A - B): Be A}.
The only nontrivial part of this assertion is the countable additivity of the
set functions defined in (4.1). If )'(A) is the right-hand side of the first line
and if A = Uf=o A j (disjoint union),
)'(A) = sup{t [Jl(Bj ) + v(A j - Bj ): B c A,Bj = BnA j }

)=1
(4.2)
= L: sup {Jl(Bj ) + v(A j = L:
00 00
- Bj ): Bj C Aj } )'(A j ).
j=O j=o
Thus). is a measure, and an analogous argument shows that the second line
of (4.1) defines a measure.
The class A+ has the identically vanishing measure as order infimum and
the measure assigning + 00 to each nonempty set as order supremum. More-
over the lattice A+ is a complete lattice. In fact we now prove that an
arbitrary subset {Jl<z, IX E I} of A+ has an order supremum (and therefore
also an order infimum). In proving that the supremum exists it can be
supposed that Jl. contains every supremum of finitely many of its elements
because adjoining these suprema does not change the conditions for an
overall supremum. Define Jl on f£ by Jl(A) = SUP<ZEI Jl<z(A). It is trivial that
Jl = ~EI Jl<Z once it is shown that Jl is a measure. If A = U~ Aj (disjoint
union),
00 00
JliA) = L: Jl<z(A) ~ L: Jl(A

j=O j=O
j) (4.3)
for all IX; so Jl is countably subadditive. Finite additivity is trivial and implies
(4.4)
so (n -+ (0) Jl is countably superadditive as well as subadditive and therefore

is a measure.
Support of a Measure
A support of a measure Jl on (X, f£) is a set with the property that its comple-
ment is Jl null. In some contexts uniqueness can be attained by a further
condition on a support. For example, if Jl is a measure of Borel subsets of
an open subset X of IR N , finite on compact subsets, then Jl has a smallest
support closed relative to X.
Orthogonal Measures
If Jl and v are measures on (X, f£), they are orthogonal if Jl A v = 0, that is,
if (Jl A v)(X) = O. This condition is satisfied if and only if the measures have
5. The (J Finite Measure Lattice of a Measurable Space (Notation of Section 4) 771
disjoint supports. In fact the latter condition is obviously sufficient for

orthogonality. Conversely, if the measures are orthogonal, it follows from
(4.1) with A = X that for each positive integer n there is a set B" such that
J.l(B,,) + v(X - B,,) < r". If A = limsup"_ex>B" (= n:'=l U:=" B m), then
J.l(A) = v(X - A) = 0; so J.l and v have the respective supports X - A and A.
Almost Everywhere-Almost Surely
If AE",I(+, it will sometimes be convenient to follow probability usage and

write" A almost surely" instead of" A almost everywhere."
5. The (J Finite Measure Lattice of a Measurable Space

(Notation of Section 4)
Let"l(; be the class of (j finite measures on (X, q-), in the order inherited
from ",1(+. Then ",1(; is a cone, ordered in its specific order, and is a condi-
tionally complete lattice, a sublattice'of ",1(+ •
Theorem. The lattice ",1(<1+ has the countability property .. that is if {J.l.. , (XE I} is
an upper-bounded subset of ",1(;, there is a countable subset J of I such that
Y..eJJ.l.. = Y..elJ.l...
It can be assumed in the proof that J.l. contains every supremum of finitely
many of its elements since these suprema can be adjoined to J.l. if necessary
to achieve this, without altering the generality of the context. It can also be
assumed that J.l.(X) is bounded because if v is an upper bound of J.l. in ",1(;,
there is a disjoint sequence A. of sets of finite v measure, with union X, so
that J.l.(A) ~ v(A j ) < + 00, and if the theorem is known to be true for the
projections on A j of the measures involved, the theorem follows as stated.
Under these assumptions choose index values (Xl' (X2' ••• in such a way that
J.l.. 1 ~ J.l.. 2 ~ ... and that lim,,_ex> J.l..n (X) = sUP.. el J.l..(X). Define J.l = Y..'2l J.l...
n'
that is, J.l(A) = lim,,_ex> J.l.. (A) for every set A in q-. Then J.l ~ Yael J.l... In the
other direction observe first " that for all (x,
Hence by definition of J.l,
(J.l y J.l..)(X) = n-+oo

lim (J.l.. Y J.l..)(X) = J.l(X).
n
The measure J.l Y J.l.. - J.l has value 0 on X and is therefore the zero measure;
that is, J.l ~ J.l.. , and so J.l ~ Yael J.l... Hence there is equality, and we have
proved that the supremum in question is the supremum of the sequence J.l....
6. The Hahn and Jordan Decompositions

Let A. be a signed measure on a measurable space (X, ~). In the following all
sets mentioned are in ~. A Hahn decomposition of X for A. is a partition of
X into a positivity set A + on whose subsets A. ~ 0 and a negativity set A - =
X - A + on whose subsets A. :s; O. The signed measure A. can be expressed as
the difference between two measures (Jordan decomposition). For example,
A. = J1 - v,
This particular Jordan decomposition is minimal in the sense that J1 :s; J1' and
v:s; v' whenever J1' - v' is a Jordan decomposition of A.. Conversely, if J1 and
v are measures on X, their difference J1 - v need not be a signed measure,
but if both J1 and v are (J finite, there is an increasing sequence B. of sets
with union X such that both J1 and v are finite on every set Bj ; so the restric-
tions of J1 and v to the class of subsets of Bj are finite, and we can therefore
build a set A + from the positivity sets of these restrictions such that J1 ~ v
on the subsets of A+ and J1 :s; von the subsets of A- = X - A+. In this way
we have found what amounts to a Hahn decomposition of X for J1 - v and
thereby found a Jordan decomposition of this difference, although the
difference may not be defined on all ~ sets. In Section 7 such differences will
be rigorously defined and ordered to obtain a vector lattice.
7. The Vector Lattice ..,1(/7

According to Sections I1L3 to III.5, the cone .A/ can be identified with the
positive cone of a conditionally complete vector lattice .A" consisting of
pairs (J11' J.ld of members of .A;, with the convention that (J11' J12) = (VI' V2)
when J11 + V2 = J12 + VI' and with the ordering (J11' J12) >- (VI' V2) when
J11 + V2 ~ J12 + VI' Each member J1 of .A" has a minimal representation
(J1+, J1-) in which the component measures are orthogonal, that is, have
disjoint supports, and are minimal in the sense that if (J11' J12) is a representa-
tion of J1, then J11 ~ J1+ and J12 ~ J1-. If J1+ or J1- is a finite measure, then J1
can be identified with the signed measure J1+ - J1-. A set A is a support for
the element J1 = (J11' J12) of .A" if there is a representation of J1 with both
components supported by A, equivalently, if A is a support for the measure
J11 + J12' It follows that two elements of .A" are orthogonill if and only if
they have disjoint supports.
Charges
Whenever we deal with an extended real-valued countably additive set

function on a measurable space (X, ~), it is to be understood when X has a
8. Absolute Continuity and Singularity 773
topology that Pl' is either the class B8(Pl') of Borel subsets of X or the perhaps
partial completion of B8(Pl') 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 IR N .) 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 I'" of vita for which 11"'1 = 1"'+ + 1"'-
is finite valued on compact sets will be called a charge. If either 1"'+ or 1"'- is
finite valued, the charge can be identified with the signed measure 1"'+ - 1"'-,
in particular with the measure 1"'+ if 1"'- == O. We shall not use the term
"Radon measure" in this book, in which "measure" always implies positivity.
The class ofcharges is a sublattice of vita and is itselfa 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.
8. Absolute Continuity and Singularity

If A. E vlta+, an element I'" of vita will be called absolutely continuous relative to
A. if I'" has a representation (1"'.,1"'2) for which A. null sets are also 1"'. + 1"'2 null
sets; that is, in the usual terminology the measures 1"'. and 1"'2 are absolutely
continuous relative to A.. If so, 1"'. and 1"'2 can be taken as the minimal choices
1"'. = 1"'+,1"'2 = 1"'-. For any acceptable choice (1"'.,1"'2) there are unique up
to A. null sets positive finite-valued measurable functions, which we shall
denote by dl"'tldA., df..L2/dA., for which
Conversely, iff. andf2 are positive A. almost everywhere finite-valued mea-

surable functions and if I"'j is defined by
(8.1)
then (1"'.,1"'2) is a A. absolutely continuous member of vita' We shall write

= /idA. for (8.1). If v = (v., v2) with dVj = gjdA. is a second A. absolutely
dl"'j
continuous member of vita' then
I'" Yv = (1"';,1"") with dl"'; = (f. + g2) V (f2 + g.) dA., dl"" = (f2 + g2)dA.,
I'" A v = (1"';',1"") with dl"';' = (f. + g2) 1\ (f2 + g.) dA..
(8.2)
In particular, if I'" and v are positive, we can choosef2 == g2 == O.

An element 11 of vHa will be called singular relative to 2 if 11 1- 2, that is,

if 11 and 2 have a pair of disjoint supports. The Lebesgue decomposition
theorem implies that each element of vHa has a unique representation as the
sum of a 2 absolutely continuous element and a 2-singular elem~nt of vHa'
According to Section 111.11 the positive elements in the band generated by
2 are the elements of vH: of the form Y't? (v A n2), with v in vH:. The
measure v A n2 is majorized by n2 and is therefore 2 absolutely continuous,
as is the limit measure J-l obtained when n -+ 00. Conversely, if 11 is a 2 abso-
lutely continuous measure, the measure 11 A n2 has the Radon-Nikodym
density (dll/d2) An; so 11 = Y't? (J-l A n2), and 11 is in the band generated by
).. Hence the band generated by 2 is the set of 2 absolutely continuous mem-
bers of vHa and the Lebesgue decomposition is precisely the decomposition
of vHa into the orthogonal bands of 2 absolutely continuous and 2-singular
elements. If (X, f!l) is a locally compact second countable Hausdorff space
coupled with its class of Borel sets, the lattice vHa can be replaced in this
discussion by the lattice of charges.
9. Lattices of Measurable Functions on a Measure Space

Every concept in this section is relative to a specified complete measure 2
in vH:. That is, we are discussing functions on a complete (J finite measure
space (X, f!l, 2). We conform to the usual custom that in discussing a function
from a measurable space into ~ "measurable" means that the range mea-
surable space is (~, ~(~». Let vH* be the class of measurable functions
from (X, f!l) into ~ with the convention that a function need be defined only
2 almost everywhere and that two functions are identified if they are equal
2 almost everywhere. Strictly speaking vH * is a space of equivalence classes
of functions, but we shall adhere to the usual convenient carelessness of
analysts in which "function" and "member of vH*" may be either a function
or an equivalence class, as indicated by the context. The space vH* is a
lattice under the order ~ to be interpreted as follows: iff and 9 are mea-
surable functions and if f and g are the respective equivalence classes con-
taining these functions, the inequality f ~ g means that f ~ 9 up to a 2 null
set. Similarly f v g [f A g] is the equivalence class containingf v 9 [f A g].
As already noted, we shall blur the distinction between function and equiva-
lence class.
The subclass vH: of 2 almost everywhere finite members of vH * is a
vector sublattice of vH *. The set of positive members of vH * is not a cone,
but the set vH:+ of positive members of vH: is a cone and vH: = vH a*+-
~~*+
una .
Theorem. The lattice vH * is complete, and vH: is conditionally complete. Both

lattices have the countabi/ity property that the supremum [i1iflmum] of a set,
if it exists, is the supremum [infimum] of a countable subset.
10. Order Convergence of Families of Measurable Functions 775
Since the transformation f~ arctanf is order preserving from vI(. into

vii:, it is sufficient to prove the assertion of the theorem for vI(: and there-
fore for vI(:+. Each elementf of vii: + determines an element Jl.f of vI(: by
way of dJl.f = fdA., and the map f ~ Jl.f is an order isomorphism between vI(:
and the lattice of A. absolutely continuous elements of vI(:. The theorem now
follows from the conditional completeness of vI(: and Theorem 5.
Essential Order Terminology
The order of vii· is called the essential order. If {h,lXEl} is a subset of

vii·, the elements Vltelh and Altelh are denoted, respectively, by
ess sUPltelh and ess inflte1h. Thus according to Theorem 9, there is a count-
table subset J of I such that sUPPeJfp ~h for every lX neglecting a A. null
set depending on lX. If I is directed, ess lim SUPIt1' fa is defined (Section 111.12)
as
ess inf[ess supflt] ,

pe I It~P
and the essential limit infimum is defined dually. A functionfis called the
essential limit of f. if both the essential limit superior and essential limit
inferior are equal A. almost everywhere to f
10. Order Convergence of Families of Measurable Functions

Theorem_ Let I be a linearly ordered set with no last element and with a cofinal
increasing sequence. Let x(-) be a function from I into the space vI(: based
on a complete (J finite measure space (X,,q[, A.). Then there is a cofinal in-
creasing sequence t_for which
lim inf x(tn) = ess lim inf x(t), lim sup x(tn) = ess lim sup x(t) a.s.
n-oo 11' n-oo 11'
(10.1 )
This theorem with I an open interval of ~ is useful in stochastic process

theory. To prove the theorem, assume [if necessary, replacing the given
measure A. by a finite measure with the same null sets and replacing x(t) by
arctanx(t)] that A. is finite and that Ix(-)I :::;; const( < + (0). Let ( be a
cofinal increasing sequence in I, define I~ = {t: t~ :::;; t :::;; t~+l}, and choose
t~o, ... ,t;"'n in I~ in such a way that the functions minjsQnx(t~) and
maxjSQn x(t~) are, respectively, at L 1 distance at most 2- n from ess inf1e I;' x(t)
and esssuPlel;,X(t). Then
lim [minx(t~) - essinfx(t)] = lim [esstel;'

SliP x(t) - maxx(t~)] =0 a.s.
1I~C() j'SaQ n tel n 11-00 jSon
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 {t nj :n ~ O,j:S; an}
arranged in increasing order.
Generalization
Let S be a compact metric space, let S be the space of measurable functions

from (X, :!E, ..1.)into(S,~(S»,andlety(·) beafunction from Iinto S. Theorem
10 can be applied to x(t) = f[y(t)] for f a real finite-valued continuous
function on S. In fact a slight extension of the proof of the theorem yields
the fact that there is a cofinal increasing sequence t. in I for which
limsupf[y(tn)] = esslim supf[y(t)] a.s.

n-oo It
simultaneously for every function fin a countable dense subset of (;(S), and
therefore simultaneously for every function in (;(S). In particular, if I is
itself countable, "ess" can be omitted in (10.2), and it is then easy to conclude
that, neglecting a A. null set, y(t) has the same cluster values when t increases
through t. as through I. This result is important in discussing stochastic
process separability. If it is known that limn_ oo x(tn) exists A. almost surely
whenever t. is a cofinal increasing sequence in I, it follows that ess limIt x(t)
exists and is A. almost surely this sequential limit, which obviously does not
depend, neglecting null sets, on the choice of t•. If I is countable, it follows
that limIt x(t) exists almost surely.
Fatou's Lemma and the Lebesgue Dominated Convergence Theorem
Let {x(t), tEl} be an upper-directed (in the essential order) family of mea-
surable functions from the (T finite measure space (X,:!E, A.) into ~. The
ordering of the functions defines an ordering of I, and
ess lim x(t) = ess sup x(t) = sup x(t) a.s.,

It leI leJ
where (by Theorem 9) J is some countable subset of I and (from Section

111.12) we can choose J to be an increasing sequence t., cofinal if I has a
countable cofinal set, so that
ess sup x(t) = lim x(tn) a.s.

tel 11-+00
[If I 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 infl e I x(t) ~ 0, then
II. Measures on Polish Spaces 777
Jxr ess sup x(t) dA = lim J

IE I xx(t)dA..
It
Now suppose that P1-+ fp is a function from a directed set I into the space
of measurable functions from (X,'¥, A) into iR. Then if ess infpEdp ~ 0, the
preceding monotone limit result yields Fatou's lemma in the present context:
ix ess lim inf.tP dA = lim

fJt at Jxr ess inf.tP dA ::5; limatinf Jxr fa dA.
p:?a
Drop 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 limptfp = f exists and if ess SUPPE/lfpl is A integrable, then
rfdA = lim fxf dA .

Jx fJt
p
11. Measures on Polish Spaces

Whenever a measure on a Polish space X is discussed in this book, it is to be
understood that the domain of the measure is .¥ = .sf(X) or, if so stated,
the completion of .sf(X) with respect to a specified measure or family of
measures. It is an important property of Polish spaces that a finite measure
A on .¥ (and therefore also a (f finite measure on .¥) is inner regular in the
sense that for A in .¥
A(A) = sup {A.(B): Be A, B compact}. (11.1 )
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 .sf(X). Thus it is
sufficient to verify (11.1) as stated for closed sets A. Let A be a closed set,
and let 6 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 1 = Uj=o Ai' where n is so large that A(B1) > A(Bo) - 6.
Continue by induction: if B k has been defined as a closed subset of B k - 1
with A(Bk ) > A(A) - 6, we can use the preceding argument to find Bk + 1 , a
closed subset of B k , the union of finitely many closed sets of diameter
< 1/(k + 1), with A(Bk+l) > A(A) - 6. The set B = n~o Bk is a closed set
which can be covered by finitely many sets ofdiameter < 11k for every k > 0;
so B is compact. Moreover A(B) ~ A(A) - 6. Hence (11.1) is true.
This theorem implies that for any (f finite Borel measure J1. on a Polish
space the class of continuous functions with compact support on the space
is a dense subset of L 1 (J-l).
12. Derivates of Measures

Let J-l and v be charges on ~N with v ~ 0, and let ( be a point of ~N. If Sis
a closed convex subset of ~N containing" let d' (S) be the distance from (
to as, and let d"(S) be the diameter of S. A number q will be called the
convex derivate at ( of J-l with respect to v if whenever S. is a sequence of
closed convex sets containing ( for which
lim d"(Sn) = 0, (12.1)

n-co
it follows that v(Sn) > °

for large n and that
(12.2)
In particular, if (12.2) is required only when each set Sn is a closed ball with
center" the derivate is called the symmetric derivate. The convex derivate
exists at v almost every point" and the derivate function is v almost surely
the Radon Nikodym derivative dJ-l/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
dlJ-l :v qvl «() = 0,
where the derivate is in the convex [symmetric] sense, then (dJ-l/dv)(O = q

in the same sense, and we shall then say that the derivate is q in the convex
[symmetric] variational sense. We outline the proof, standard when N = 1
and v = /1' that dJ-l/dv exists v almost everywhere on ~N in the convex varia-
tional sense. If the function dJ-l/dv (convex derivate) is denoted by f and if q
is any real number,
dlJ-l- qvl = If _ql (12.3)

dv
v 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 ( is not in the exceptional set
for the last statement, set q = f(O 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 CI> from IR+ to IR+ a uniform
integrability test function if CI> is monotone increasing and convex and if
lims_ex> [CI>(s)/s] = +00.
Let (X, X, A) be a measure space with A(X) < + 00. All functions on X
in the discussion below are measurable from (X, X) into (~, £B(~)) unless
specified otherwise. Recall that a family {Jr, t E I} of such functions is said
to be uniformly integrable (relative to A) if
lim sup r
n-ex> tel Jllftl>n}
IJrldA = O.
The following uniform integrability properties are used in this book. Except
in (d), all functions of the family are in L 1 (A).
(a) The family f. is uniformly integrable if and only if it is L 1 bounded
and if the set function family {A f-+ SA IJr IdA, t E I} is uniformly absolutely
continuous relative to A; more formally f. is uniformly integrable if and
only if
r
sup IJrI dA <
tel Jx
+ 00, and lim sup
.t(A)-O tel
fA
IJrI dA = O.
(b) The family f. is uniformly integrable if and only if there is a uniform

Ix
integrability test function CI> such that SUPtel CI>(!JrI) dA < + 00.
(c) A A almost everywhere convergent sequence of functions on X is L 1
convergent if and only if the sequence is uniformly integrable.
(d) Iff. is a sequence of positive functions on X, then (by Fatou's lemma)
lim inf
n-C() Jrxin dA ~ f
x
lim inffn dA.
n-+oo
In particular, if limn_ex> in = f Aalmost surely, if each in is integrable, and if

780 A.V. Uniform Integrability
then the sequence f. is uniformly integrable.

(e) A uniformly integrable sequence f. on X is weakly sequentially com-
pact; that is, there is a subsequence fa. and a A integrable function f on X
such that
for every bounded function 9 on X.
Generalization
Let (X, fl") be a measurable space, and let I be an arbitrary nonempty set.
Suppose that for each t in I there is a function}; on X and a finite measure
A, on fl". The family is said to be uniformly integrable relative to A. if
sup Jl,(X) <

leI
+ 00, and lim suPf
n-ao leI Oftl>n}
IItl dA, = O.
The obvious translations of (a) and (b) into the present context are valid.
Appendix VI
Kernels and Transition Functions
1. Kernels
Let (X,~) and (Y, qy) be measurable spaces. A kernel from the first space
into the second is defined as a function from X x qy into R+ with the follow-
ing properties:
(K I) p(', A) is ~ measurable when A e qy.
(K2) p(~,.) is a measure on qy when ~eX.
The kernel is called substochastic if p(', qy) ::;; I and stochastic if p(', qy) == I.
If (X, ~) = (Y, qy), the kernel is said to have state space (X, ~).
Kernels Given by Densities
If q is a measurable function from (X x Y, ~ x qy) into (IR+, £i(R+)) and if A.

is a measure on Y, define
(~eX, A eqy)
to obtain a kernel p with density q relative to A..
Notation
If p is a kernel from (X,~) into (Y, qy) and ifjis a measurable function from
(Y, qy) into (1R,£i(R)), we write p(~,f) for hj("jp(~, cbJ) when this integral is
well defined, for example, whenj~ 0 andjis qy measurable. Up has density
q relative to a specified measure, we also write q(',f) for p(',f).
Extension of a Substochastic Kernel to a Stochastic Kernel
Let P be a substochastic kernel with state space (X, ~). This kernel can be
extended to be stochastic as follows. Adjoin a trap point (also called a
cemetery) a to obtain an enlarged space X' = Xu {a}, and define ~' as the
782 A.VI. Kernels and Transition Functions
(J algebra of subsets of X' generated by [I[ and the singleton {a}. A stochastic
kernel p' with state space (X', [1[') is then determined by setting p' = p on
X x [I[ and
p'(~, {a}) = {II - p(~,X) if ~EX,

if ~ = a.
This kernel is the desired extension of p.
2. Universally Measurable Extension of a Kernel
Ifp is a kernel from (X, [I[) into (Y, <??t) and if the functionp(', X) is bounded,
we can extend each measure p(~,.) by partial completion to the (J algebra
C¥I(<??t) of universally measurable sets over <??t. Under this extensionp becomes
a kernel from (X, C¥I([I[)) into (Y, C¥I(<??t)). To see this, let fl. be the completion
of a finite measure on [1[, suppose that A E C¥I (<??t), define a measure v on [I[ by
v(·) = Jxp(~, ·)fl.(d~), and extend v by partial completion to the (J algebra
C¥I(<??t). Since A is v measurable, there are sets At, A 2 in <??t with At cAe A 2
and v(A t ) = v(A 2 ). This equality implies thatp(',A t ) = p(', A) = p(',A 2 ) fl.
almost everywhere on X; that is, p(', A) is fl. measurable for every fl., as was
to be proved. This argument shows that the definition of v(A) for A· in <??t
remains valid for A in C¥I(<??t).
It is important for the application to probability that we have actually
proved more than was asserted. In fact let C¥lp{<??t) be the (J algebra of those
subsets of Y which, for every choice of fl., are in the completion of the measure
v defined above. This (J algebra includes C¥I(<??t), and its sets will be called the
universally measurable sets over <??t relative to p. What we have proved is that
if p( ~, .) is extended by partial completion to this (J algebra, then p(', A) is
universally measurable, and the definition of v remains valid.
3. Transition Functions
Let I be a linearly ordered set, let (X, [i[) be a measurable space, and suppose
that to each pair (r, s) of points of I with r < s corresponds a stochastic
kernelp(r,', s,) with state space (X, [I[) such that for A in [I[ and r t < r2 < r3
in I the Chapman-Kolmogorov equation
is satisfied. Such a functionp is called a Markov transition function , or simply

a transition function. In some contexts it is necessary to allow the kernels to
be substochastic or even infinite valued, but any divergence from the above
3. Transition Functions 783
definition will oe specified explicitly. The parameter set is usually either the
set of strictly positive integers discrete parameter case or the interval ]0, + oo[
(continuous parameter case).
Discrete Parameter Stationary Case
Let (X,q') be a measurable space, let p(l,',') be a kernel with this state
space, and define inductively a sequence of kernels with this state space by
p(n + l,e,A) = i P(l,1],A)p(n,e,dr o, n ~ l. (3.2)
Then
p(r + s, e, A) = Ix p(r, 1], A)p(s, e, d1]). (3.3)
Ifp(l,',') is a stochastic kernel, the function (m, e,n,A)l-+p(n - m, e,A) for

o< m < n is a transition function with parameter set the set of strictly
positive integers, but in this context it should cause no confusion if the
e, e,
function (n, A) 1-+ p(n, A) for n > 0 is called a stationary transition func-
tion or temporally homogeneous transition function and if (3.3) is identified
as the relevant Chapman-Kolmogorov equation.
If the given kernel p(l,',') is substochastic, (3.3) yields a substochastic
transition function p. Let p'(l,',') be the extension of the substochastic
kernel p(l,',') to be stochastic by way of a trap point. Then the inductive
definition (3.2) applied to p'(l,',') leads to a (stochastic) transition function
p', and p' (n, " .) is for each strictly positive integer n the extension of p(n, " .)
to be stochastic by way of the same trap point.
Continuous Parameter Stationary Case
Let (X, q') be a measurable space, and let p be a function from ]0, + oo[ x
X x q' into IR+ with the following properties:
(a) For each t in ]0, + oo[ the function p(t,',') is a kernel with state
space (X, q').
(b) The Chapman-Kolmogorov equation (3.3) (with rand s now in
]0, + ooD is satisfied.
e,
If each kernel p(t,',') is stochastic, the function (r, s, A) 1-+ p(s - r, A) e,
for 0 < r < s is a transition function with parameter set ]0, + 00[, 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 Xto make each kernelp(t,·,·) stochastic
and thereby extend p to be a (stochastic) transition function.
Universally Measurable Extensions
In the discrete parameter stationary case it is trivial that if p(l, ., X) in (3.2)

is bounded and ifPu(l,·,·) is the universally measurable extension ofp(l,·, .),
that is (Section 2), the extension of this kernel to the state space (X, 0lI(~»,
then the nth iterate pin,·,·) of Pu(l,·,·) obtained in (3.2) when p(l,.,.) is
replaced by Pu(l,·,·) is the extension of p(n,·,·) to the extended state space.
The corresponding result in the continuous parameter stationary case will
now be proved. That is, in this case we prove that if p(t,·, X) is bounded
for each t > 0 and if pit,·,·) is the extension of the kernel p(t,·,·) to the
state space (X, 0/1(~», then the Chapman-Kolmogorov equation (3.3) is
satisfied by Pu' To verify (3.3) for Pu with A in 0/1(~), fix r, S, and~, and choose
A l and A 2 in ~ to satisfy
p(r + S,~,Al) = p(r + S, ~,A2)'

Then
pu(r + s,~, A) = pu(r + S,~, Ai) = Ix Pu(S, '1, Ai)pir,~, tJ,,), i = 1,2;
(3.4)
so (3.4) is valid when Ai is replaced in the integrand by A, as was to be proved.

In this context if we strengthen the hypotheses on p by supposing that for A
in ~ the function p(t,·, A) is ~(]O, + oo[) X ~ measurable, then iff is a
Lebesgue measurable function from IR+ into jij+ , the function
is a kernel with state space (X,~) and so (Section 2) when considered on

X x 0lI(~) is a kernel with that state space, and therefore the above integral
defines a 0/1(~) measurable function for fixed A in 0lI(~). Functions defined
by integrals of this form are basic in probabilistic potential theory.
Appendix VII
Integral Limit Theorems
1. An Elementary Limit Theorem

Let X be a metric space, let A be a completed measure of Borel subsets of
X, and let k. be a sequence of A measurable functions from X into ~. In
many contexts there is a point (of X with the property that A({(n = 0 and
that for f a suitably restricted function from X into iR, continuous at (,
(1.1)
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.
Theorem. Suppose that k. andf satisfy the following conditions:

(a) Ix
Each function k n is positive, with k ndA = 1.
(b) The function f is A measurable, and if A is an open neighborhood of"
then lim n_ oo Ix-A
knl f IdA = lim n_ oo Ix-A
k ndA = O.
Under these conditions
limsupJ knfdA ~ limsupf(e). (1.2)

n-oo x ~-~
If in addition to (b) the function f is continuous at " then (1.1) is true.
If the right side of (1.2) is + 00, 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 ~ IX < + 00 on a deleted open neighborhood A of (, then the
left side of (1.2) is at most IX. We can suppose, adding a constant to f if
necessary, that IX ~ O. Then
lim sup J knfdA ~ IX + lim sup J knlfl dA = IX,

n-'OO x "-CO X-A
786 A.VII. Integral Limit Theorems
2. Ratio Integral Limit Theorems

For each positive integer n let k(n,·) be a positive Borel measurable function
on IR N • Let H and V be, respectively, a measure and a charge on IR N • Define
an = r k(n, rr)V(dr{),
JiliN
(2.1)
In many contexts k(n, rr) is defined in such a way that
· an dV(O)
IIm- (2.2)
=dH .
"-00 bn
We shall derive conditions on k(n,·) for (2.2) to be true. The following

remark will be useful. Suppose that H is fixed and that 0 < bn < + 00 for
all n. The charge V will be allowed to vary in some specified linear class r
of charges, including H and including Ivi
with V, for which
r k(n,rr)IVI(drr) <
JiliN
+00.
Suppose it has been proved that (2.2) is true under the following special
conditions: V E r, V ~ 0, and the derivate in (2.2) is the symmetric derivate
and vanishes. It then follows that (2.2) is true for V in r 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,
and by hypothesis IV - qH IE r, and by definition of the symmetric varia-

tional derivate the symmetric derivate dlV - qH//dH exists and vanishes at
the origin.
The preceding remark is of course also valid if the derivate in question is
the convex instead of the symmetric derivate.
In some contexts ratio integral limit theorems of the type described are
easily reduced to rather simple ratio integral limit theorems in one dimen-
sion. Such a one-dimensional ratio integral limit theorem is proved in the
next section.
3. A One-Dimensional Ratio Integral Limit Theorem

The following ratio integral limit theorem will be used to derive the desired
ratio limit theorem for the Poisson integral for harmonic functions on a ball.
Let k. be a sequence of positive Borel measurable functions on IR+, and let
3. A One-Dimensional Ratio Integral Limit Theorem 787
ex, Pbe monotone increasing functions on IR+ , vanishing at 0, strictly positive

on ]0, + 00 [, and right continuous except possibly at O. Define
(3.1)
The following theorem stating conditions which imply that
lim an = 0 (3.2)
bn
ft-oo
is phrased for ease in application rather than generality.
Theorem. Suppose that an' bn as defined by (3.1) are finite for all n and that
thefollowing conditions, in which p is some strictlypositive integer, are satisfied.
(a) k n is positive and monotone decreasing and has a continuous derivative
k~.
(b) Ifa > 0,
(c) There is a strictly positive function f on IR + such that the function knlf
is monotone decreasing for large n and that J(f f dex < + 00.
lim ex(r) = 0 rP
(d)
,-0 p(r) , lim sup P( ) < + 00.
,-0 r
Then (3.2) is true.
To prove the theorem, choose e strictly positive and so small that the
limit superior in (d) is strictly less than lIe. If a is so small that ex ~ ep on
[0, a], then
r kndex
Jo
a
= ex(a)kn(a) - r cxk~d/1 ~ cx(a)kn(a)
Jo
a
_
- e r Pk~dl1
Jo
a
(3.3)
= kn(a) [ex(a) - ep(a)] +e f: kndP ~ ebn·
If a is so small that er P ~ p(r) for r in [0, a], then
bn ~ r kndP
a
= p(a)kn(a) - r Pk~dl1 ~ p(a)kn(a) - e r rPk~(r)11(dr)
a a
Jo Jo Jo (3.4)
= kn(a)[p(a) - eaP] + ep J: k n(r)r P- 111(dr) ~e J: k n(r)r P- 111(dr).
788 A.VII. Integral Limit Theorems
Combining these two inequalities, we find that for sufficiently small a,
The numerator in the fraction on the right is at most
r'X' k nfd < kia) roo fd

Ja f CX - f(a) Jo CX.
[Incidentally this inequality shows that condition (c) implies the finiteness
of an.] In view of condition (b) the limit superior in (3.5) is 0, and therefore
(3.2) is true.
4. A Ratio Integral Limit Theorem Involving Convex

Variational Derivates
In the following theorem, phrased to be applicable to the desired ratio
boundary limit theorem for parabolic functions on a half-space, K(s,') is
for each strictly positive s a positive Borel measurable function on IR+,
U is a charge on IR N , H is a measure on IR N , and u and h are defined on
IR N x ]0, + oo[ by
Theorem. Suppose that the following conditions are satisfied.

(a) For each s > 0 the function u, with V replaced by IVI, and the function
h are locally bounded on IR N .
(b) For each s > 0 the function K(s,') is a positive monotone decreasing
function on IR+ , with a continuous derivative, and K(s, 0) = I.
(c) There is a strictly positive function (j(.) on ]0, + oo[ satisfying
lim (j(s) = 0, lim inf K(s, (j(s» > O.

,"'0 ,"'0
(d) If a > 0, there is a strictly positive number So = so(a) for which,

uniformly for r ~ a,
lim K(s, r) N = O.
,"'0 K(so, r)(j(s)
4. A Ratio Integral Limit Theorem Involving Convex Variational Derivates 789
Then if at a point' offRN the derivate diN/dH exists as afinite convex

derivate and dV/dH exists as afinite convex variational derivate, and
if 0 < c < I, it follows that
lim sup lu(e,S)_dV(OI=o. (4.2)

s-o I~-"';;c<l(s) h(e,s) dH
Observe that (Section IV.12) dV/dH and diN/dH exist and are finite as convex
variational derivates at H almost every point' of fRN.
For fixed H the class of charges V satisfying (a) is linear, contains IVI
with V, and contains H. Hence according to the argument in Section 2, it
is sufficient to prove that (4.2) is true for' when V is positive and both
diN/dH and dV/dH exist as finite convex derivates with (dV/dH)(O = o. To
simplify the notation, we assume that' = O. For r > 0 define ex(e,r) and
f3(e, r), respectively, as the V and H measures of B(e, r), and define ex(e, 0) =
f3(e,O) = O. By definition of the convex derivate
limsup{ex(e,r): lei ~ cr} = 0,

,-0 f3(e, r)
(4.3)
~~suP{f3~r): lei ~ cr} < +00.
To obtain a minorant of h, observe that
h(e, s) ~ r K(s, r) df3(e, r) ~ K(s, b(s»f3(e, b(s» (4.4)

J[O,<I(S))
so that
r
J[O,<I(S))
K(s,r)dex(e,r) < ex(e,b(s»
h(e, s) - K(s, b(s»f3(e, b(s»
. (4.5)
If a > 0 and if s is so small that b(s) < a,
f K(s, r) dex(e, r) = K(s, a)ex( e, a) - K(s, b(s»ex(e, b(s»
-f
j<l(s),a]
(4.6)
K'(s, r)ex(e, r)/ 1 (dr).
j<l(s),a]
If now e > 0 and if a is so small that ex(e, r) ~ ef3(e, r) when lei ~ cr and
r ~ a, then the right side of (4.6) is majorized when K' ex is replaced by eK'f3,
and integration by parts yields
790 A. VII. Integral Limit Theorems
r
J]6(S),a]
K(s,r)da.(e,r)::;; K(s,a)[a.(e,a) - ep(e,a)]
- K(s, <5(s» [a.(e, <5 (s» - ep(e,<5(s»]
(4.7)
+e r
J]6(.),a)
K(s,r)dp(e,r)
::;; ep(e,<5(S» + eh(e,s).

Thus for sufficiently small a and lei::;; c<5(s),
r
J)6(.),a]
K(s,r)da.(e,r) ::;;
h(e, s)
e
K(s, <5(s»
+ e. (4.8)
Finally, if So is chosen as in condition (d) of the theorem, if e' > 0, and then
if s is sufficiently small,
(4.9)
Now u/h 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 lei::;; c<5(s) by (4.3). The second
can be made arbitrarily small in the limit (s - 0) by choosing e small and then
choosing a small. For such a choice of a the right side of (4.9) is arbitrarily
small with e' when lei::;; c<5(s). Hence Theorem 4 is true.
Appendix VIII
Lower Semicontinuous Functions
1. The Lower Semicontinuous Smoothing of a Function

Let H be a Hausdorff space, and if ~ E H, let N(~) be the set of neighborhoods
of ~. Recall that a function u from H into ~ is lower semicontinuous if and
only if the set {u > c} is open for c in R If u is not necessarily lower semi-
continuous, the lower function u+ of u, defined by
u(~) = sup infu('1) = u(~) /\ liminfu('1), (1.1)

+ AeN(~) ~eA ~-~
is lower semicontinuous, is a minorant of u, and majorizes every lower

semicontinuous minorant of u. The function If- will be called the lower
semicontinuous smoothing ofu in this book. Finally recall that the supremum
u of a family {up, f3 E I} of lower semicontinuous functions is lower semi-
continuous because
{u > c} = U{up> c}
pel
(1.2)
and the sets on the right are open.
2. Suprema of Families of Lower Semicontinuous Functions

Theorem. Let {up, f3 E I} be a family of lower semicontinuous functions from a
second countable Hausdorff space into ~, and if J c I, define zI = sUP PeJ up.
Then u l is lower semicontinuous, and there is a countable subset J of I such
that uJ = ul . In particular, if u. is directed upward, there is an increasing
sequence up with limit ul .
We have already noted in Section 1 that ul is lower semicontinuous.

Since the domain of definition of the functions is second countable, (1.2)
implies that there is a countable subset J of I such that
{u l > c} = U {up> c}
pe I
792 A. VIII. Lower Semicontinuous Functions
simultaneously for every rational c and therefore for all c. Then uJ is lower
f f
semicontinuous, u J ~ u , and {u J > c} = {u > c} for all c. Hence {u J ~ c} =
f f f
{u ~ c} also, and subtraction yields {u J = c} = {u = c}; so uJ == u . The
second assertion of the theorem is left to the reader.
3. Choquet Topological Lemma

Lemma. Let {up,peI} be a family of functions from a second countable
Hausdorff space into iR, and if J c I, define uJ = infpeJu p. Then there is a
f
countable subset J of I such that u+ J = u+ . In particular, if I is directed down-
ward, there is a decreasing sequence up. with limit v such that ~ = 'l.
Let H be the given second countable Hausdorff space, and let H. be a
sequence of open subsets of H containing each set of a countable base for
the topology of H infinitely often. After replacing up by arctan up if neces-
sary, we can assume that the family u. is uniformly bounded. For n ~ I
choose en in Hn to satisfy uf(en) - inf~eHnuf(,,) ~ lin. There is a point Pn
in I for which upn(en) ~ uf(en) + lin. Set J = P.' Then
and it follows that u+J .:::; u+f . 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 '.:>etween 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 [I, 1900] and Lichtenstein [I, 1919] for reviews
of nineteenth and early twentieth century potential theory, and see Kellogg
[2, 1929] for potential theory just before its renaissance. See Brelot [11, 1952]
and [17, 1972] for more modern reviews. The books of Tsuji [I, 1959],
Helms [1, 1969], Brelot [15, 1969], Constantinescu and Cornea [I, 1972],
Landkof [1, 1972], and Wermer [I, 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
It would be both futile and difficult to give a detailed historical background

to the work in Chapter I of Part 1, but note that the development in Section 8
culminating in (8.3) follows [Green 1, 1828].
Chapter 1.11
Section 1. What was essentially the Poisson integral for N = 2 was

displayed by Poisson in 1820. In [Poisson 1, 1823], he displayed his integral
for N = 3 in its present form and tried to prove the boundary limit part of
Theorem 1 for continuous boundary functions. Schwarz [1, 1872] gave the
first rigorous proof of Theorem 1 (for continuous boundary functions).
Sections 2 and 3. See Harnack [1, 1887] for his inequality and convergence
theorem, the latter of course only for monotone sequences. The fact that a
one-sided bounded harmonic function on IRN is identically constant is due
to Bocher [1, 1903].
Section 4. F. Riesz [2, 1926; 3, 1930] inaugurated the systematic study of
superharmonic and subharmonic functions; the properties and applications
in this chapter are almost all due to him. See [Rad6 1, 1937] for early
references and further details on these functions.
Section 10. Theorem 10 on the concavity of spherical averages of super-
harmonic functions was proved in [Riesz 2, 1926] in the dual form for
convexity of spherical averages of subharmonic functions.
Section 12. Lord Kelvin (= W. Thomson) introduced his transformation
in [Thomson 1, 1847].
Section 14. The theorem that a positive harmonic function on a ball is
the Poisson integral of a measure has been called the "Herglotz theorem"
with a reference to [Herglotz 1, 1911], but this theorem was proved first
by F. Riesz [1,1911], and in his own paper Herglotz refers to the Riesz
paper for this result.
Section 15. The essential content of Theorem 15 is that u/h has nontan-
gentiallimit function dMu/dMh almost everywhere (Mh measure) on the ball
boundary. Here the derivate dMu/dMh has different possible definitions, and
the exceptional M h null boundary subset depends on the definition chosen.
No distinction is made between these definitions in the following remarks.
Fatou [1, 1906] proved Theorem 15 for the case N = 2, h == 1, and proofs
were given later for N > 2 with h == 1 by other mathematicians. The theorem
was proved by Doob [12, 1959] in the general case.
Section 16. Minimal harmonic functions were introduced into potential
theory by Martin [1, 1941]'
Part 1 795
Chapter I.III
Section 1. F. Riesz [2, 1926] introduced least harmonic majorants of

subharmonic functions.
Section 3. See these notes to Chapter VI for the history of the Fundamental
Convergence Theorem.
Section 4. The reduction concept developed from the dual concept of
"extremization." If D is a Greenian subset of ~N, if u is a negative sub-
harmonic function on D, and if A is a subset of D, the extremization of u
on A was defined as the supremum of the class of negative subharmonic
functions majorized quasi everywhere on D - A by u. See Brelot [8, 1945]
for further details and references to earlier related work by him and A. F.
Monna. Brelot [13, 1956] extended work of Martin [I, 1941] by treating
reductions of positive superharmonic functions on certain subsets of aD.
The treatment of reductions in this book extends the standard treatment by
allowing reductions on an arbitrary subset of the closure of D in an arbitrary
compactification.
Section 7. The natural order decomposition is apparently due to Moko-
bodzki. See Mokobodzki and Sibony [I, 1968] for the relation between the
natural order decomposition theorem and additivity of reductions in a very
general context.
Chapter l.IV
Cartan's paper [2, 1945] on potentials on special sets had an important

influence in the modernization of potential theory. See references below to
key results in this paper.
Sections 7 and 8. F. Riesz [3, 1930] derived the existence of the measure
associated with a superharmonic function and proved what is no~ known
as the Riesz Decomposition Theorem.
Chapter l.V
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 [I, 1942], that the polar sets are the sets of capacity
oin the capacity definition of Chapter IXIII.
Section 2. Choquet [2, 1957] showed, in a trivially different context, that
if A is a polar G6 subset of a Greenian subset D of ~N, then there is a measure
fJ. supported by A such that A is the set of infinities of GDfJ.. G. C. Evans had
proved the existence of such a potential for A polar and compact.
Section 5. Theorem 5 is usually stated for A a set closed in D, but the

formulation in Theorem 5 is sometimes more convenient. The fact that a
bounded harmonic function on an open set D less a compact polar subset
has a harmonic extension to D was proved by Bouligand [1,1926]. Vasilesco
[2,1937] proved Theorem 5 for A compact; Brelot [5,1941], for A closed in
D. The fact that a one sided-bounded harmonic function defined on an open
deleted neighborhood of a point ~ must have the form cG(~,·) + h with h
harmonic on the full neighborhood goes back at least as far as [B6cher
I, 1903]. The less general fact that a bounded harmonic function defined
on an open deleted neighborhood of a point can be extended to be harmonic
on the full neighborhood was proved by Schwarz [I, 1872].
Section 6. Szego [1,1924] proved that in 1R 2 the complement ofacompact
set A has a Green function if and only if the Robin constant of A (see Section
XIII.18 for the Robin constant) is strictly positive. This result is equivalent
to Theorem 6.
Section 8. The Evans-Vasilesco theorem references are Evans [2, 1935]
and Vasilesco [I, 1935].
Section 10. The principle of the maximum is sometimes called the Maria-
Erostman principle of the maximum because Maria [1, 1934] and Frostman
[1,1935] proved this special case of the domination principle (with D = IRN
and N > 2).
Chapter LVI
Section 1. Szpilrajn [1, 1933] proved the Fundamental Convergence

Theorem in the weak version of Theorem IIL3 in the context of a locally L 1
convergent sequence of superharmonic functions. Rado [1,1937] remarked
that Szpilrajn's result implied Theorem 111.3 in the context of a monotone
decreasing locally lower bounded sequence of superharmonic functions.
(Both mathematicians actually phrased their results in the dual context, for
sequences of subharmonic functions.) Brelot [2, 1938] strengthened the
Szpilrajn-Rado result by proving that the exceptional set {'! < u} is inner
polar. Cartan [2, 1945], but he announced the result in [1, 1942], proved
that this exceptional set is polar.
Section 2. In a series of notes in the Paris Comptes Rendus leading up to
his definitive "Theory of capacities" [1, 1955] Choquet analyzed set func-
tions satisfying strong subadditivity and related conditions and obtained
his capacitability theorem (Theorem 3 of Appendix II), which makes easy
the proof that an analytic inner polar set is polar.
Section 3. The reduction properties listed go back to Brelot's early work
except for the properties involving sets meeting aD and for property (0)
which corresponds to certain crossing inequalities in martingale theory
(see Section 2.III.22).
Part I 797
Chapter 1.VII
Writers who describe GD as "the Green's function" should be condemned to

differentiate the Lebesgue's measure using the Radon-Nikodym's theorem.
Section 1. The older mathematical literature contains many attempts to
show that open sets of various types have Green functions. The modern
approach removes the difficulty by generalizing the definition of a Green
function. This trick shifts the problem to that of showing that the Green
function has certain desired properties, but some of the old smoothness
demands have disappeared. For example, it is no longer necessary to define
harmonic measure by means of a Green function, as was done in Section 1.8.
Chapter I. 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.l3) conditioning paths to go where the conditioning
function is large. The analysis of the Dirichlet problem on a Greenian subset
of ~N 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" Ufo The function uf is to be
harmonic, and if the given domain and the given boundary function are
sufficiently smooth, the function uf is to have boundary limit function f;
that is, uf is the solution of the Dirichlet problem in the classical sense.
(ii) If uf exists and if a domain boundary point' is specified, the second
problem is to find conditions on the domain and boundary function ensuring
that uf has limitf<O at ,. 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. Poincare [I, 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
definition of "Dirichlet solution." The PWB method of finding (generalized)

Dirichlet solutions is a development of a method devised by Perron [I, 1923]
(independently and almost simultaneously by Remak [I, 1924]) and per-
fected by Brelot [3, 1939]. Wiener [2, 1924; 3, 1924; 4, 1925] was the first
to assign a generalized Dirichlet solution to an arbitrary finite-valued
continuous Euclidean boundary function. He used two methods of which
one was an elaboration of the Perron method, but he did not obtain Brelot's
later definitive results because a miscalculation in [4, 1925] gave him a
supposed counterexample which prevented him from proceeding to the class
of bounded Borel measurable boundary functions. He showed, however,
that for the Euclidean boundary the finite-valued continuous boundary
functions are resolutive.
Lebesgue was perhaps the first to see clearly the distinction between
problems (i) and (ii) above; so it is not surprising that he coined the term
"regular boundary point." Kellogg [1,1928] for N = 2 and Evans [1,1933]
for N ~ 2 showed that every subset of strictly positive capacity of the
Euclidean boundary contains a regular boundary point; that is, the set of
irregular boundary points is inner polar. This fact implies that the Fa set
of irregular Euclidean boundary points is polar.
Sections 12 to 14. Poincare [1, 1890] used the idea of what is now called
a barrier. Lebesgue [2, 1912] coined the term and used the existence of
barriers for a regular region to prove the convergence to the Dirichlet solution
(for a finite-valued continuous boundary function) of a certain sequence of
approximants. Lebesgue [3, 1924] found that for the existence of a barrier
at a Euclidean boundary point it is necessary and sufficient that the point
be regular. Bouligand [I, 1926] showed that it is sufficient for regularity
that the barrier be a weak one and proved the related result that a Euclidean
boundary point is regular if and only if the Green function GD(~") of
the given domain D has limit 0 at the boundary point for every pole ~
(equivalently, a single pole if D is connected).
Section 15. In the years when potential theory was finally conquering
the Dirichlet problem the cone regularity condition was ascribed to both
Poincare and Zaremba. Only Clio now remembers why Zaremba was later
given the sole credit; the condition will be given both names in this book.
Section 18. The extension of GD in Section 18 was analyzed by Brelot

[6, 1944]. See [Brelot I, 1938], [M. Riesz I, 1938], [Frostman 2, 1938],
and [Vallee Poussin 4, 1938] for earlier discussions of the relation between
GMDv (for v superharmonic on a neighborhood of 15) and J1.D(·, v), of the
kernel £5t, and of related questions.
Section 19. The proof of Theorem 19(b4) follows that in [Murali Rao
3, 1974]. The result was proved by Brelot [6, 1944] in the course of his
treatment of potential theory on IR N extended by a point at infinity.
Part I 799
Chapter l.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 [1, 1951]'
Chapter IX
The concept of sweeping (balayage) goes back at least as far as Gauss

[1, 1840]. There are two approaches to the subject, one by operations
on functions, now treated by Brelot's reduction technique, the other by
orthogonality-minimization techniques originated by Gauss but first made
rigorous by Frostman [1, 1935; 2, 1938] and Cartan [2, 1945; 3, 1946].
The first approach is stressed in this book. The following outline ofPoincare's
method of solving the Dirichlet problem [1, 1890; 2, 1899] shows why his
method is identified with sweeping, but see (below) Vallee Poussin's remark
about Poincare's work. Let D be a bounded open subset of IRN , with a
smooth boundary. For U a e(2) function on a neighborhood of D, with
L\u < 0 (so that u is superharmonic on a neighborhood of D), Poincare
evaluated what we now identify as GMDu by the method of proof ofTheorem
111.1 and proved that under his smoothness hypotheses on D the function
GMDu was the desired Dirichlet solution for the boundary function ul oD '
If L\u is not supposed strictly negative, Poincare reduced the problem to
the case already treated by writing u as the difference between two functions
with the above properties of u. Using this solution and an approximation
procedure Poincare solved the Dirichlet problem for an arbitrary continuous
boundary function. Thus the basis ofPoincare's method was the construction
of GMDu for u superharmonic on D. His construction, in the language of
the proof of Theorem 111.1, was to apply operators of the form tB with B
a ball relatively compact in D. For u superharmonic on D the operation
u 1-+ tBU sweeps the Riesz measure for u out of B (observe that tBU = R~-B
when u is positive on D, so that reduction notation is applicable), but
Poincare did not go on to analyze this aspect of his method. Vallee Poussin
in a series of papers including [1,1932; 2,1937; 3,1938; 4, 1938] developed
sweeping further and in fact in [3, 1938] he asserted that he had coined the
word "balayage" and that (in spite of his own title for [1, 1932]) Poincare's
work had nothing to do with sweeping. Vallee Poussin concentrated on the
swept measures; so it was he who developed and applied the interpretation
of the sweeping kernel as harmonic measure. He applied sweeping to analyze
capacity, the role of sets of inner capacity 0, and many other topics, not
always including full details, obtaining among other results one equivalent
to Theorem XI.13. The full use of the reduction technique on functions had
to wait for the final form of the Fundamental Convergence Theorem, which
was quickly applied to reductions by Brelot [8, 1945]. Most of Chapter X

first appeared in the latter paper.
Chapter IXI
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 XI(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 [I, 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 [II, 1959] by nonprobabilistic methods.
The present proof is new. The identification of these limits could easily
(see the application in Section XII.l9) have been made in these earlier
papers but was not.
Section 5. See [Brelot 6, 1944] for classical potential theory extended
to ~N U roo}.
Section 6. Theorem 6 is due to Brelot [7, 1944].
Section 9. Theorem 9 is due to Cartan [see Deny I, 1950, p. 171] for
fine limits and to Doob [11, 1959] for fine cluster values (in the Martin
boundary context).
Section 11. Theorem II is due to Doob [17, 1966].
Section 12. Theorem 12 is due to Brelot [4,1940].
Sections 14 and 15. Theorems 14 and 15 are due to Brelot [8, 1945].
Section 18. Theorem 18 is due to Brelot [10, 1948], but see also Vallee
Poussin 4, 1938].
Section 19. See [Fuglede I, 1972] for a discussion of classical potential
theory based on fine superharmonic and fine harmonic functions.
Sections 21 and 22. The material in these sections is taken from [Brelot
9, 1946].
Section 23. See the note to Section XVIII.l6 on the parabolic context
domination principle.
Part 1 801
Chapter lxn
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«(, .), which is adjoined to D along with possible other
points to form a topological space and which then gives as a representation
J
of an arbitrary positive harmonic function u an integral K«(, ·)Mu(d() 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 ofa harmonic function was pointed out by Parreau [I, 1951].
Section 10. Theorem 10 is due to Brelot [13,1956]. Heins [I, 1959] defined
a "generalized harmonic measure" on a Riemann surface D as a positive
harmonic function u for which 0:::;; u :::;; 1 and GMD[u 1\ (1 - u)] = O.
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. Nairn [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. Nairn [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 Nairn [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.
Sections 22 and 23. Theorem 23(a) for n = 2, in the disk rather than the
half-plane context, was proved by Littlewood [I, 1928] long before the fine
topology was invented. His result was generalized to the N-dimensional
context by Privalov [I, 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', minimal thinness of A at', and the relations between these two concepts
when A is in a cone with vertex' 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 [I, 1970] surveyed this situation and made the necessary corrections.
Chapter Ixm
Section 1. In a pioneering paper Gauss [I, 1840] considered measures v
supported by a smooth surface A in ~3. For f a given function on A he
J
studied the properties of v chosen to minimize A (Gv - 2f) dv for specified
v(A); the measure v was by hypothesis given by a smooth density relative
to surface area. He took it for granted that a minimizing measure j.l existed
and showed that then Gj.l - f is identically constant on the support of j.l.
In particular (f = const), Gauss thereby obtained an equilibrium distribu-
tion for A and, if f is the restriction to A of the potential of a measure A,
Gauss obtained the sweeping of A onto A. Finally Gauss showed how to
manipulate his result to solve the Dirichlet problem for the domain bounded
by A. His work was ofcourse not rigorous but offered ideas not fully digested
for a century. Careful formulations suggested by some of his ideas are
presented in Section 14. The first rigorous derivation of an equilibrium
distribution for an arbitrary compact subset of ~3 was carried through by
Frostman [I, 1935], whose basic tool was a modernization of Gauss's
technique of minimization of the energy integral. The capacity of an arbi-
trary compact subset A of ~3 was defined by Wiener [2, 1924] by solving
the (generalized) Dirichlet problem for the unbounded open connected
component of ~3 - A with boundary function I on iJA and 0 at the point
00. This solution can be identified with the restriction to D of the potential
Gj.l of a measure on A, and Wiener defined the capacity of A as j.l(A). [Since
A
Gj.l is in fact the smoothed reduction R +1
(relative to ~3), the potential Gj.l
is the capacitary potential of A.] This capacity definition was extended by
Vallee Poussin [I, 1932] who defined the capacity of an arbitrary subset A
of ~3 as the supremum of v(~3) for measures v supported by compact subsets
of A with potentials Gv ;s; I, and he showed that this definition coincided
with Wiener's for compact sets. The Vallee Poussin capacity is the inner
capacity as defined in Section II.
Part 1 803
The problem of finding an equilibrium distribution for a set is sometimes

called the Robin problem in view of [Robin 1, 1886] in which Robin showed
that the problem for a smooth surface in [R3 is equivalent to the problem of
solving a certain integral equation.
Section 6. Cartan [2, 1945] showed that the space (S+ is complete. (He
worked with what we have called "special" domains.) See [Brelot 12,
1953-1954] for a discussion of BLD functions.
Sections 7 and 8. Frostman [1, 1935; 2, 1938] and M. Riesz [1, 1938]
gave the first rigorous proofs of Theorem 7.
Section 10. Choquet was led to his theory of capacities by potential theory
problems. He proved Theorem 10 in [1, 1955].
Section 17. The Wiener thinness criterion was derived in [Wiener 3, 1924]
in the context of boundary point regularity for the Dirichlet problem. Brelot
[4, 1940] put it into the equivalent thinness context.
Section 18. See [Choquet 3, 1958] for an approach to logarithmic capacity
somewhat different from that in Section 18, but observe that he does not
use the standard terminology. H. Jackson kindly showed the author an
example demonstrating that the logarithmic capacity set function is not
subadditive.
Chapter lXIV
The material in this chapter is well known and mostly elementary. It is a

fine example of material that is easy to develop, useful to have available for
reference, and for which it is as difficult as it is pointless to find the original
source.
Chapter lXV
Section 1. Parabolic potential theory has not been treated systematically

in the literature. Petrowsky [2, 1934-1935] is a valuable source for the
Dirichlet problem. Tychonoff [1, 1935] has many useful results. Widder's
book [2, 1975] is useful for the solutions of the heat equation on a slab.
Some work in axiomatic potential theory has included applications to
parabolic potential theory. See, for example, [Constantinescu and Cornea
I, 1972], a book which covers contexts far more general than parabolic
potential theory with explicit applications to parabolic potential theory.
Probabilists have invoked parabolic potential theory as a convenient tool
in studying Brownian motion in a potential theoretic context. See, for
example, [Doob 6, 1955], but the reader should be warned that the statement
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 I, 1935].
Section 11. See [Moser I, 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 IXVI
Sections 1 to 6. The essential result in these sections is the equivalence of

Theorem 6 parts (aI) and (a2), due to Widder [1, 1944]' The preliminary
results leading up to Theorem 6 are mostly taken from Widder's paper and
[Tychonoff 1, 1935].
=
Section 7. Theorem 7 with h 1 is old as a special case of a general
integral limit theorem; see, for example, [Titchmarsh 1, 1937]' Theorem 7
as stated was first proved in [Doob 13, 1960] along with a general ratio
integral limit theorem. See these notes to Appendix VII for references to
such ratio integral limit theorems. See [Hartman and Wintner I, 1950] for
a Fatou boundary limit theorem for parabolic functions on an interval.
Chapter I. XVII
Many results in Chapters XVII and XVIII of Part 1 can be obtained by

translating classical results and their proofs into the parabolic context. Such
results will not be referenced in these notes. Some of the classical reduction
property proofs are no longer valid in the parabolic context, however. Where
essentially different proofs are given, they are due to Boboc, Constantinescu
or Cornea, separately or together, and have been taken from [Constantinescu
and Cornea 1, 1972], which contains proofs valid in a very general context
along with detailed references.
Section 13. The direct half of Theorem 13 (in a general axiomatic context)
is due to Brelot [14, 1962].
Section 18. Theorem 18 is due to Hunt [I, 1956], who proved it in a
probabilistic context.
Chapter I.XVIII
Section 1. Sternberg [I, 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. BabuSka and Vybomy [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 [I, 1968] and are proved in their [2, 1970].
Section 15. See [Doob 13,1960] for a probabilistic version ofTheorem IS,
and see Section XIX.15 for a proof of Theorem 15 by Martin boundary
technique. It is natural to conjecture that when it == 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
[I, 1982] have exhibited a measure v on the upper half-space D of R such
that lim sup._o OJ) v(~, s) = + 00 for 0 < ~ < 1.
According to Theorem 15, a positive parabolic function Ii on a slab
RN x ]0, b[ has coparabolic-fine limit function dN.,jdlN at IN almost every
point of the abscissa hyperplane. Koranyi and Taylor [I, 1983] have shown
that this result can be used to prove Theorem XVI. 7 in the special case
it == 1, but their method fails for general it. 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) it ::s; Ii if
p*flim suP.;_' Ii(~)/it(~) ~ I for Vii almost every '" This result becomes
Theorem 16 with the help of Theorem 14. Blumenthal and Getoor state that
it ::s; Ii under condition (c') in a more general context but with Ii == const as
an exercise in their [I, 1968] and give the proof in their [2, 1970].
Chapter IXIX
Various versions of a parabolic context Martin boundary have appeared in

the literature but that given here, especially that relative to a Martin point
set pair, seems closest to Martin's ideas and the easiest for calculational
purposes. See Janssen [1, 1971], for example, for the Martin boundary
obtained by convex set methods in a context including parabolic potential
theory.
Section 15. In the following discussion of functions on the right half-plane

]0, + 00 [ x R we shall write that a function on this set has a [one-sided]
parabolic limit IX at a boundary point (0, t) if the function has the limit IX as
(~, s) -+ (0, t) with [PI ~2 < S - t < P2~2] It - sl < p~2 for each strictly
positive choice of [PI' P2 with PI < P2] p. According to Section 10, if h is a
strictly positive parabolic function on the right half-plane, it can be written
in the form
where N~ is a uniquely determined measure on Rand Nf is a uniquely deter-

mined measure on - R+ . Let v be a positive superparabolic function on the
right half-plane with parabolic component (Riesz decomposition) deter-
mined by measures N~ and N~'. According to Section 15, the function vi;'
has coparabolic-fine limit dN~/dN~ at N~ almost every point of the ordinate
axis. This result should be compared with the following results. Kemper
[I, 1972] proved that if;' == 1, that is, if N;' = /1 and Nf == 0, and if v is
parabolic, then vi;' has the stated limit at /1 almost every point of the ordinate
axis in the sense of parabolic approach to the point. On the other hand,
Kaufman and Wu [1,1982] have exhibited an example ofapositive parabolic
function;' on the right half-plane specified by a continuous singular relative
to /1 me.asure N~ and by Nf == 0 such t~at Iiminf~_o;'(~,s) = 0 for all ~.
Thus Ilh does not give the limit d/l/dN~ along normal app~oach to the
ordinate boundary, but Kaufman and Wu showed that if vand h are positive
and parabolic on the right half-plane, then vi;' has the limit dN~/dN;' at N;'
almost every point of the ordinate axis in the sense of one-sided parabolic
approach to the point. On the other hand, if vis a superparabolic potential
on the right half-plane, Wu [1, 1979] has shown that lim~_o v(~, s) = 0 for
/1 almost every s. One-sided parabolic approach does not yield this zero
limit, for example, if vis the superparabolic potential of a measure assigning
a strictly positive value to each point of a countable dense subset of the right
half-plane.
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 1, 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 ofK. 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.
Part 2 807
Chapter 2.1
Section 1. The concept of a filtered measure space always underlay

probabilistic analysis involving the Markov property, and the concept was
finally formalized in [Doob 4, 1953] to deal with martingale theory. In the
schools ofDynkin and Meyer the concept has become the base of all analysis
involving Markov process theory, martingale theory, and stochastic integra-
tion. The Dynkin approach to Markov processes in his [2, 1965] leads to a
further refinement of a filtered space which is not needed in this book.
Section 2. Dynkin defined process measurability, in the context of Markov
processes, in his [I, 1960] essentially as what is now called progressive
measurability. Meyer defined and applied progressive measurability in [2,
1962-1963]. This measurability was rediscovered and given its present name
in [Chung and Doob I, 1965], written in ignorance of the earlier work.
Section 5. Let ... , X o, Xl' ... be mutually independent random vari-
ables, each uniformly distributed on the interval [0, I], and define §'(n) =
§'{ ... , XII}' In what amounts to this context Theorem 5 was proved by
Jessen [I, 1934] and for n -+ + 00 by Levy [I, 1935], who supposed X in
Theorem 5 to be the indicator function of a set. It is clear in Levy's discus-
sion, however, that he does not use the special independence context, and
in fact this special context is not presupposed in his treatment of the same
convergence result in his [2, 1937]' Theorem 5 as stated is in [Doob I, 1940].
Section 9. The first rigorous treatment in a general continuous parameter
context of the hitting of a set by a process was given by Hunt [2, 1957].
Meyer [2, 1962-1963] was the first to discuss the hitting of progressively
measurable sets.
Section 10. Kolmogorov [1, 1933] gave the measure theoretic basis for
probability, including the definitions ofexpectation and conditional expecta-
tion and a construction of measures on infinite-dimensional product spaces.
The latter construction is what is needed for canonical processes.
Section 13. For variations of Theorem 13 see [Chung and Doob I, 1965],
[Meyer 6, 1966], and [Dellacherie and Meyer I, 1975].
Section 14. See [Dellacherie 2,1972] for a full discussion of the important
(1algebras of subsets of IR+ x n, first defined by Meyer. See [Meyer 6, 1966;
8, 1968] for earlier discussions.
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 defmitions were finally intro-
duced, along with (1 algebra filtrations, to answer the needs of Markov
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 I, 1975].
Section 10. Dellacherie [1, 1969] proved that, in the notation of this
section, a predictable subset A of IR+ x n is semipolar if for almost every
w the set {t: (t,w)eA} is countable.
Chapter 2.m
Before martingales had been formally christened, Levy [1, 1935; 2, 1937],
Bernstein [I, 1937], and other mathematicians had analyzed some of their
properties in special contexts; usually the martingales in question arose as
partial sums n 1--+ I:~Yj of a sequence Y. of random variables under the condi-
tion E{yAyo, ... , Yj-l} = 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 [Doob 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 Imartingale I case Theorem 9(a) was proved by Levy [2, 1937],
Bernstein [1, 1937], and Ville [1, 1939].
Section 11. Theorem 11 is taken from [Doob 4, 1953].
Section 12. Inequality (12.2) is new, as are (12.3) and (12.4) except when
y(o) == 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 x(o) a martingale and y(o) == 1. Snell in [1, 1952] extended
crossing inequalities to submartingales and supermartingales. Dubins [I,
1966] obtained a variant of (12.4) with y(o) == 1.
Sections 13 to 17. These results are taken from [Doob 4, 1953]. In the
martingale case Theorems 13 and 17 were in [Doob 1, 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 [1, 1952]. See Neveu [1, 1972] for further discussion of
related problems. The infimum of the class of supermarting~lesmajorizing
a given process under appropriate side conditions is called the Snell envelope
of the given process.
Chapter 2.IV
Section 1. The study of the continuity properties of continuous parameter

martingale sample functions was initiated in [Doob 1, 1940], completed in
[Doob 3, 1951], and extended to supermartingales in [Doob 4, 1953].
Perhaps the first sophisticated use of optional times appeared in the first
of these papers to obtain martingale right continuity properties (without
crossing inequalities, unknown at that time).
Sections 2 and 3. Theorems 2 and 3 are adapted from [Doob 4, 1953]
with improvements in formulation from [Meyer 6, 1966].
Section 4. Theorem 4, the counterpart of, but much deeper than, the
classical potential theory rather elementary fact (Section 1.11.4) that the
limit of an increasing sequence of superharmonic functions on a connected
open subset of IR N is either superharmonic or identically + 00, is due to
Meyer [6, 1966]. The elementary right continuity proof is new.
Section 5. This theorem appears to be new, but see related work of

Mertens [I, 1972]. As Mertens' work indicates, the choice of standard
continuous parameter supermartingales need not be the almost surely right
continuous ones. For some purposes the right continuity hypothesis can be
advantageously replaced by a combination of an appropriate type of mea-
surability together with invariance of the supermartingale inequality under
optional sampling.
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
II [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 II with the monotone increasing process
A (.) natural in the sense of Section 7. The equivalence between natural and
nearly predictable [Theorem 7(a3)] was proved by Doleans [I, 1967]'
Rao's [I, 1969] proofofTheorem II is followed in the text. See [Dellacherie
and Meyer 2, 1980] for extensive applications of the Meyer decomposition.
Section 13. The supermartingale domination principle appears to be new.

This example of the potential theory of supermartingales indicates how
closely such a theory parallels classical potential theory. Unfortunately, it
was impractical to include the elegant Airault-Follmer [I, 1974] results or
the Azema [I, 1972] and Azema-Jeulin [I, 1976] results in this direction.
Among many other things these papers contain a counterpart for super-
martingales ofconditional Markov processes. The most glaring probabilistic
potential theory omission from this book, however, is that of additive
functionals of Markov processes (see, for example, [Dynkin 2, 1963] and
[Blumenthal and Getoor 1,1968]). The author has three convincing excuses
for this omission, of increasing cogency: (l) the existence of these books,
(2) lack of space, (3) ignorance of the subject.
Sections 17 to 20. Reduction theory in this form seems to be new, but see
also related work involving Snell envelopes by Mertens [I, 1972], Azema
[I, 1972], and Azema and Jeulin [I, 1976]. Results in the latter paper
together with Theorem 13 suggest that in some contexts R~.) 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
z(·) on A. This definition is also suggested by the awkward extra hypotheses
in Section 18(m).
Section 21. This energy treatment is due to Meyer [3, 1962-1963].

Part 2 811
Chapter 2.V
Sections 2 and 4. Krickeberg [I, 1956] introduced lattice ideas into

martingale theory. In particular, he discussed the LM operator and proved
Theorem 4(c) for p = I, the "Krickeberg decomposition" of a martingale.
See [Dellacherie and Meyer 2, 1980] for further elaboration of this decom-
position.
Section 12. Local martingales were introduced into martingale theory by
Ito and S. Watanabe [1, 1965].
Section 13. Quasimartingales were introduced by Fisk [I, 1965]' Theorem
13 is due to K. M. Rao [2, 1969]. See his paper and that of Dellacherie and
Meyer [2, 1980] for further discussion of the decomposition of a quasimar-
tingale. See also [Follmer I, 1973] for a correspondence, unfortunately
omitted from this book, between quasimartingales relative to a filtered
probability space and measures on the (1 algebra of predictable sets deter-
mined by the filtration.
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 [I, 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 proofhad 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 1R 2
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.
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 I, 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 [I, 1956] proved a version for processes with inde-
pendent increments. The first generally applicable versions were proved
independently by Dynkin and Yushkevich [I, 1956] and Blumenthal [I,
1957].
Sections 10 to 12. Hunt [2, 1957] introduced excessive functions and
measures into Markov process theory as part of his fundamental develop-
ment [I, 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 ofmultiplicative linear functionals.
Section 15. See [Meyer, Smythe, and Walsh I, 1972] for a deep discussion
of Markov processes killed at various kinds of ra.ndom 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 I, 1966], [Freedman
I, 1971], [Ito and McKean I, 1974], [Knight I, 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 [I, 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 glotion process was given by Wiener [I, 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
formulate this property without Wiener's work. It was intuitively clear,

however, that many distributions involving Brownian motion from a point
ofa domain involved a process whose paths were ordinary Brownian motion
paths until they hit the boundary of the domain, where they were absorbed
or reflected in some way so that the transition probabilities involved, like
the transition densities of Brownian motion in ~N, were governed by the
heat equation in the domain. The conduct of the paths at the boundary
then determined corresponding heat equation boundary conditions.
Sections 2 and 3. The definition of a Brownian motion process used here
implies that one example is the canonical example: a measure is assigned to
the space of continuous functions from ~+ into ~N making the coordinate
functions random variables with the properties BMI-BM4. This measure is
known as Wiener measure, and Brownian motion is sometimes defined as this
canonical example. Under this definition a process satisfying BMI-BM4 is
not necessarily a Brownian motion.
Section 4. Theorem 4 is a special case of a theorem of Meyer [7, 1967].
The proof in the text follows that of Chung and Walsh [2, 1974]'
Section 6. The zero-one law for Brownian motion can be considered as a
special case of a general zero-one law of Kolmogorov [1, 1933].
Section 8. The Andre reflection principle goes back to [Andre I, 1887],
where a reflection idea is used in a ballot counting problem. The distributions
in Section 8 were derived by Bachelier (see the above notes to this chapter),
but his work was ignored and rediscovered by many others.
Section 9. Hunt [I, 1956] derived the basic properties of the transition
density for Brownian motion in an open set.
Section 11. The transition density for Brownian motion in an interval
was found by Bachelier (see the above notes to this chapter).
Chapter 2.VIII
The integral III dw with I a function from I into ~ and w(o) a Brownian
motion was first discussed by Wiener [I, 1923]. Ito [I, 1944] allowed the
integrand to depend on the Brownian paths, thereby inaugurating a far-
reaching further development. See McKean [1,1969] for many applications
of Ito's integral, and see [Dellacherie and Meyer 2, 1980] for stochastic
integrals with differentials more general than Brownian motion differentials.
Section 3. The problem of finding conditions that y. as defined by (3.10)
be a martingale is a special case of a problem proposed by Girsanov in 1960
in which w(o) is a local martingale. Various sufficient conditions have been
found; for example, Novikov [1, 1972] found a condition reducing to (k)
in our context.
Section 8. Theorem 8 is a consequence of Ito's [3, 1951] construction of

a complete orthonormal system on a Brownian motion measure space. See
also [Kunita and S. Watanabe 1, 1967] for a systematic study of general
stochastic integrals in L 2 contexts. The proof in Section 8 is taken from
[Parthasarathy 1, 1978]. Dudley [I, 1977] proved that every finite-valued
!F {w( t), S E R+} measurable function can be expressed as an Ito integral with
integrand in r.
Section 10. Levy [3, 1940] proved that if t. is a dense sequence in [O,b]
and if t~n), ... , t~nl are to, ... , tn in increasing order, then
n
lim
II-CO
L [w(tJ"l) -
1
w(tl~\)]2 = q 2b a.s.
See [Doob 10, 1953] for a martingale proof of this limit theorem.
Section 12. Ito's lemma, also called Ito'sformula, was proved in [2,1951].
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
The martingale theory properties of the composition of superharmonic and

harmonic functions with Brownian motion were treated in [Doob 5, 1954],
and the corresponding discussion in the parabolic context was given in
[Doob 6, 1955]. Nonroutine results in Chapter IX, aside from results
specifically attributed otherwise, are taken from these papers, although most
of the proofs are different and some of the results are slightly refined.
Section 5. Levy [3, 1940] proved Theorem 5(c) and stated Theorem 5(a)
for A a singleton. Kakutani [I, 1944] proved Theorem 5(b) and [2, 1944]
sketched a proof of Theorem 5(a) for N = 2.
Section 10. Theorem lO(a) was indicated without proof details in
[Kakutani 2, 1944].
Section 11. Theorem 11 in its classical and parabolic versions [Doob 5,
1954; 6, 1955] was generalized by Hunt [2, 1957], Dynkin [2, 1963], and
Meyer [7, 1967] to yield various continuity properties of the composition
of excessive functions with their corresponding Markov processes.
Section 13. The idea that Theorem 13(a) and its parabolic counterpart
must be true is old, but a rigorous proof had to await the rigorous develop-
ment of harmonic measure and of Brownian motion. Courant, Friedrichs,
and Lewy [1, 1928] obtained harmonic function Dirichlet solutions for
smooth domains by solving a corresponding problem for difference equa-
Part 3 815
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 [I, 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 I, 1969] for a general discussion of

reversing a Markov process.
Section 8. The (l!'plication of martingale theory to derive a probability
version ofTheorem l.XI.4 is taken from [Doob 8,1957]. See [Weill, 1969]
and [Airault 1, 1973] for such work in a more general context. Airault shows
that the specification of the limit in Theorem l.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.
Section 4. Lemma 4, the key to the connection between uniform inte-

grability and the PWB method, is taken from [Doob 7, 1956], where the
potential theory version is proved in an axiomatic potential theory context.
Section 8. See [Arsove and Leutwiler I, 1974] for a general approach to
Theorem 8.
Section 12. Lamb [I, 1971] pointed out the decomposition SIII$ = SIII$<X>
+ Srns/'
Chapter 3.11
Section 2. The delicate parts ofTheorem 2 not treated in previous chapters

are taken from [Doob 7, 1956; 9, 1958].
Chapter 3.I11
Section 1. See [Kunita and T. Watanabe I, 1965; 2, 1966], [Meyer 9,

1968], and [Dynkin 3, 1969; 4, 1971] for probability-potential theory
approaches to the Martin space and process paths on it, carried out in
Markov process contexts at various levels of generality. The reader will
observe that this chapter is rather skimpy and that a parabolic context
counterpart is missing. The point is that the author is a firm believer in
finite-valued stopping times.
Section 4. Observe that, as pointed out in the notes to Section XI.4, the
probabilistic proof of the Fatou boundary limit theorem for the Martin
space preceded the nonprobabilistic proof.
Section 6. The example is taken from [Doob 10, 1958], which contains
several examples of conditional Brownian motions in a half-space, involving
paths to and from boundary points.
Appendixes
Appendixes I and II
The operation constructing a nucleus from a Suslin scheme was devised by

Suslin in [I, 1917]. Apparently Lusin coined the name "analytic sets."
Choquet created his capacity theory in [I, 1955; 4, 1959]. Theorem 11.5,
which makes analytic set theory conveniently applicable in many probabil-
istic contexts, is taken from [Meyer 6, 1966]. See [Dellacherie and Meyer
I, 1975; 2, 1980] for more on analytic sets and capacities and their application
to probabilistic potential theory.
Appendixes 817
Appendixes III to VI
The material in these appendixes, except possibly for Section 12 of Appendix

IV for which see [Besicovitch I, 1946], is traditional and routine and is
assembled for the reader's convenience. [Peressini I, 1967] is a useful source
for a reader who wants enough but not too much vector lattice theory.
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
1R,1R+,iR,iR+ xxiv ilp, !iP, Nt 101

z, "l.+, Z; xxiv J1.~ 114
00 xxiv G; 132
Ie -AI xxiv tPD 136
B(e, c5) xxiv D(J1.~_) 142
IN XXIV LP(J1.~-) 144
A-B xxiv S±,S+ 145
C<kl(D) xxiv S 146
1T. N 3 Sm 148
.1 3 Sp 149
D. 3 Sqb 150
L(u, e, c5) 4 Smqb' Spqb 150
A(u, e, c5) 4 S.. Sm.. Sps 151
YN 4 A
c5 D 156
Aclu(e) 4 flim 166
G 6 AI 167
1T.~ 7 u· 172
J1.D(e,A) 13 uti 180
GB 14 R 188
K('1, e) 14
+1
IJ1.D 191
PI 15 IGD 193
!B 16 K. 196
V (J1.B-) 27 DM,aMD 197
D(J1.B-) 27 M'D 200
LM,GM 35 [J1., v], 11J1.!1 227
u+ 37 8+ 227
R Av 38 $ 229
~V~A 39 ~(u, v), ~(u) 231
!~ 99 BLD 233
GM h, LM h 99 C·, c., C 240
hR~ 99 r(A) 252
h~U~A 99 L1,.1* 262
PWB,PWBh 100 ~N 262
828 Notation Index
Hm1000 mN 264 E{xl~} 391

flm1000 mN 265 [S,T] 414
t 266 [S]n 415
G 266 0:,0:* 421
GiJ 271 Dn[f;g,h] 445
<Ii 274 <ST, <T 456
L(u,~, £5) 275 GM,LM. 458
A(u,~,b) 276 Rzeo) 459
A,j(u, ~) 276 R~(o) 460
PI 285 <ST, LM, GM 500
290 'S± 525
V (Jili-)
D(JiIi-) 290 'S+, S±, S+ 526
GM,LM 295 's 528
'..j
R,;,R,;
*..j
296 S 529
~v~..j, ~v~..j 'Sm' Sm, 'Sp 530
296
'Sqb' 'Smqb, 'Spqb 531
GiJ,CiJ 298 Sqb' 'S., S. 532
pflim 308 Sm. 533
ApI, Ap*1 309 G; 561
p*flim 309 6(1,~, '1) 572
u" 320 6D(t,~,'1) 590
6D 326
tiJ(e, ~), JiJ(e,~) 592
aN 326 r 599
GMir,GM ir 329 r, r 2 , r o
ir '..j j, * 600
'R,;, 'R i , 329 r' ' r' , r'2 602
ir 0 ir *
<Ii, <Ii 329 Y,; 604
flJ, HJ 329 S,:.", 716
717
oir 332 S':'I
JliJ rt(w) 719
G:'D 343
u* 351
wf(t) 728
0 piGD0 359
plJi , PlJi D, 6~ 728
362 6D(t,~,h) 735
~P(Jit)
Do 363 d(CW) 741
3 Cili(X) 756
K 364
j)M,aMj) 366
-1(+ 769
j,S 371
-1(+ 771
m " 772
~(.), ~+(.) 387 -1("
E{x}, E{x;i\} 390

Index
References are to sections, say 1.11.3 or, for the Appendixes, A1.2. The index
covers neither the Historical Notes nor the Bibliography.
Above: a point of ~N, relative to a set, LXV. 1

Abscissa hyperplane: of ~N, IXV.l
Absolute probability function (entrance law): 2.VI.1; of Brownian motion,
2X.13
Adapted: family offunctions, 2.1.1 ; stochastic process, 2.1.8
Analytic function: generalizations of Liouville's theorem, 1.11.2, 1.11.13;
I-Ip is subharmonic, Hadamard three circle theorem, 1.11.11; generaliza-
tion of Cauchy's removable singularity theorem, 1.V.5; generalization of
the maximum theorem, 1.V.7; composition with Brownian motion,
2.VIII.14
Analytic set: over a paving, A.1.2; over a product paving, A.1.3; projection
characterization of d(Y), A1.5, A1.7; d(d), A.1.6; inverse image under
a measurable transformation, A.1.8; in a metric space, A.I .12, A.1.13;
hitting of by a progressively measurable process, 2.11.4
Andre reflection principle: 2.VII.8
Appell transformation: 1.XV.l6
Approximation: of a superharmonic function by infinitely differentiable
superharmonic functions, 1.11.8, l.IV.lO; of a potential by continuous
potentials, 1.V.9; of a continuous function by potential differences,
l.V11.9; of a superparabolic function by infinitely differentiable super-
parabolic functions, 1.XV.14, 1.XVI1.7(e); of a random variable by its
conditional expectations, 2.1.5, 2.III.14
6 D : definition, in particular for a half-space or interval, 2.VII.9, 2.VII.1l;

as a Green function, 2.VII.9, 2.1X.17
i o, to: definition, 2.VII.1O; i o = Go, 2.1X.17
Backward parabolic equation: 2.1X.17
Baire property of the fine topology: classical context, 1.XI.1; parabolic
context, 1.XVII.9
Baire null space: A.l.ll
Balayage: see Sweeping
830 Index
Ball
Classical context: the Green function and the Poisson integral, 1.11.1;
Riesz-Herglotz theorem, 1.11.14; V(JlB-) and D(JlB-) classes of har-
monic functions, 1.11.14, l.IX.12; Fatou boundary limit theorem,
1.11.15; minimal harmonic functions, 1.11.16; reductions, 1.III .4;
potential of a uniform boundary distribution, I.IV.2; PWB solutions,
1.VIII.2; universal and universal internal resolutivity of the boundary,
I.VIII.9; lattices of relative harmonic functions, l.IX.12; Martin
boundary, I.XII.3; classical versus minimal fine boundary limit
theorems for relative harmonic functions, 1.x1l.20; ball capacity,
I.XIII.13; conditional Brownian motion in, 2.x.9
Parabolic context: regularity of the boundary, parabolic ball and the
irregularity of its highest point, 1.XVIII. 6
Band: of a vector lattice, A.III.8; projection on, A. III .9; generated by a
singleton, A.III.II
Barrier
Classical context: definition, local nature, versus weak-, at 00, I.VIII.l2;
relation with boundary point regularity, I.VIII.l3, I.VIII.14, I.VIII.16;
Poincare-Zaremba examples, I.VIII.12, I.VIII.15
Parabolic context: definition, local nature, versus weak-, relation with
boundary point regularity, 1.XVIII. 3
Below: a point of IR N relative to a set, I.XV.1
BLD function: I.XIII.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, LXI. 2I ;
ratio, for superharmonic functions on a Martin space, I.XII.l3,
I.XII.14, I.XII.18, I.XII.19; classical versus fine topology approach
to a ball boundary, I.XII.20; for potentials on a half-space, l.XII.22,
I.XII.23; ratio, for superharmonic functions, along stochastic process
paths, 2.VI.4, 2.IX.7, 2.IX.13, 2.X.8, 3.1II.4, 3.1II.5; for Dirichlet
solutions, 2.IX.l3, 3.11.2
Parabolic context: for the Poisson integral on an interval or slab, semi-
continuous boundary function, I.XV.9, I.XVI.l; ratio, for superpara-
bolic functions on a slab, LXVI. 7, I.XVIII.15; for superparabolic
functions at an irregular boundary point, I.xVIII.I7; ratio, for super-
parabolic functions on a Martin space, with applications to a slab and
to the fourth quadrant of 1R 2 , I.xIX.l3-1.XIX.15; ratio for super-
parabolic functions, along stochastic process paths, 2.IX.7, 2.IX.13,
2.X.12,3.1I.1 .
Brownian motion (see also Conditional Brownian motion and Space-time
Brownian motion): definition, 2. VII.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
2.VII.4, 2.VII.6, 2.VIII.8, 2'x.2(c); in an open set, relation between

transition densities and Green functions, 2.VII.5, 2.VII.Il, 2.1X,9,
2.1X.17; law of large numbers for and path length of, 2.VII.5; zero-one
law for, 2.VII.6; tied down, the Brownian bridge, 2.VII.7; in an interval
and the evaluation of parabolic measure, 2. VII.Il, 2.VII. 12 ; under change
of parameter, 2. VIII.9; composition of a function with, 2. VIII.l3,
2.VIII.l4, 2.1X.Il, and, if the function is superharmonic, 2.1X.2, 2.1X.3,
2.1X.6-2.1X.8, 2.1X.II-2.1X.l3, 2.1X.16, 2'x.2; excessive functions and
measures for, 2.1X.6, 2.1X.8, 2.1x'18; for large parameter values, 2.1X.5;
hitting of sets by, 2.1X.4, 2.1X.5, 2.1X.9, 2.1X.IO; from an irregular
boundary point, 2.1X.20; killed, 2'x.2, 2'x.6; to and from Martin
boundary points, 3.III.l, 3.III.2
Canonical stochastic process: definition and construction, 2.1.10; Markov

case, 2.VI.3, 2.VI.5, 2.VI.6, and Brownian motion case, 2.VII.3, 2.VII.9
Capacitary measure and capacitary potential: see Equilibrium measure and
equilibrium potential
Capacity: Choquet-definition, A.II.1; Choquet capacitability theorem,
AII.3; projection example, A.II.5; generated by a strongly subadditive
set function, in particular by a topological precapacity, AII.7, AII.8;
generated by the reduction operation, l.VI.2(e), l.VI.3(k), l.VI.4(k),
l.VI.5, l.XVII.16(0), I'xVII.17(0); generated by upper PWB solu-
tions, l.VIII.6(h); classical, l.XIII.l, l.XIII.lO-l.XIII.l3, logarithmic,
l.XIII.I8
Chapman-Kolmogorov equation: A.VI.3, 2.VI.l, 2.VI.5, 2.VII.I
Charge: definition, A.lV.7; energy, l.XIII.l, l.XIII.3; energy is positive,
I.XIII.7, I.XIII.8
Choquet capacity: see Capacity
Choquet topological lemma: AVIII.3
Closability: in martingale theory, 2.111.l-2.III.3
Cluster set: of a function along Brownian and space-time Brownian paths,
2.VII.6, 2.1X.5, 2.1X.I5, 2'x.2, 3.11.1-3.11.4
Condenser: definition, I'xIII.l
Conditional Brownian motion (see also Brownian motion): definition, transi-
tion density, lifetime, excessive functions for, 2.X.I ; in terms of Brownian
motion, 2.X.2, 2'x.3; at path lifetimes, 2'x.4; from an infinity of the
conditioning function, 2.X.5; time reversal of, 2'x.6; and the PWB
method, 2.X.7, 3.11.1-3.11.4; last hitting distribution, 2.X.IO; tail (1 alge-
bra, 2.X.Il; parameter set IR, 2'x.l3; application to boundary limit
theorems, see Boundary limit theorems; in a Martin space, see Martin
boundary
Conditional expectation: properties, 2.1.4; continuity theorem for, 2.1.5;
Fatou lemma for, 2.1.6; dominated convergence theorem for, 2.1.7; itera-
tion of at optional times, 2.III.2(a); sample functions of the process of
conditional expectations relative to the (1 algebras of a filtration, 2.1V.I
832 Index
Conditional Markov process: definition, 2. VI.l3; see Conditional Brownian

motion for the application to Brownian motion
Conditional inequalities: in martingale theory, 2.III. I0
Cone: definition, A.III.3; specific order generated by, A.III.4
Continuity properties: of a progressively measurable process sample func-
tion, 2.11.5, 2.11.6; of a supermartingale sample function, 2.1V.l; of a
Brownian motion sample function, 2.VII.3; of the composition ofa func-
tion with a Brownian motion sample function, 2.1X.lI, 2.1X.l2, 2.1X.l6,
2X.2
Convergence (see also Fundamental Convergence Theorem): of a directed set
of harmonic functions, Harnack's convergence theorem, 1.11.3; of an
upward directed set of superharmonic functions, 1.11.4, 1.IV.4; offamilies
of superparabolic functions, 1.XV.12; of families of supermartingales,
2.1II.5, 2.1V.4; forward, of a supermartingale, 2.III.l3-2.III.l5, 2.1V.3;
backward, of a supermartingale, 2.III.l6, 2.1II.1?
Coparabolic function (see also Parabolic function): definition, 1.XV.2;
coparabolic polynomials, 1.XV.3; coparabolic polynomials and martin-
gale theory, 2.1X.2
Copotential (see also Potential): definition in the parabolic context, IXVII.5
Cylinder: superparabolic function on, IXV.15; parabolic Dirichlet problem
on, IXVIII.4
D class
Classical context (D(Jl~_»: of h-harmonic functions on a ball, 1.11.14,
1.IX.12; of functions on an open set, in particular h-harmonic and
positive h-subharmonic functions, I.lX.3
Parabolic context (D(Jit»: of parabolic functions on a slab, LXVI.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, 2.1V.6
Combined context: notation, 3.1.3; the PWB method, 3.1.4; 8 m 11 D =
8 mqb , 3.1.5; 8;qb = D 11 8 +, 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.III.5 for the
abstract version of such a decomposition, and see A.lV 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, 1.IV.8, 1.IX.lI; of a su-
perparabolic function, LXVII.?; of a supermartingale, 2.111.21,
2.V.8
Natural order: for superharmonic functions, 1.1I1.?; for superparabolic
functions, 1.XVII.2; for supermartingales, 2.1II.19, 2.V.5
Index 833
- : of optional times, 2.11.12

- : of a supermartingale into continuous and jump components, 2.IV.22,
2.IV.23
- : of conditional Brownian motion, 2X.4
Meyer: of a supermartingale, 2.IV.ll; of a submartingale, 2.IV.12
* definitions, l.XV.2
A, A:
Derivate: in the convex and symmetric senses, and in the convex and sym-
metric variational senses, A.IV.12
Dirichlet integral: l.XIII.6
Dirichlet problem: see PWB method
Dominated convergence theorem: A.IV.1O; for conditional expectations, 2.1.?
Domination principle: classical context, l.V.10, l.XI.23, l.XIII.2; parabolic
context, l.XVII.5, l.XVIII.16; martingale theory context, 2.IV.13
Downcrossing inequalities: 2.III.12, 2.III.23, 2.IV.18(0), 2.IV.19(0)
Energy: electrical, l.XIII.l; energies and mutual energies of charges,

l.XIII.2, l.XIII.3; dependence of energy on the containing set, l.XIII.5;
the Dirichlet functional f0 and Hilbert space methods, IXIII.6; positivity
of, l.XIII.?, l.XIII.8, 2.IX.1?; Gauss minimum problems, l.XIII.14;
relative to 1R 2 , l.XIII.16; of a supermartingale potential, 2.IV.21
Entrance law: see Absolute probability function
Entry time (see also Hitting time): definition, 2.IIA; of a predictable set,
2.11.9
Equilibrium measure and equilibrium potential: l.XII1.1 , l. XIII. 10, l.XIII.12;
relative to 1R 2 , l.XIII.18
Essential order: of measurable functions, A.IV.9, 2.1.3; convergence,
A.IV.1O; of stochastic processes, 2.1.8, 2.V.1, 2.V.2, 2.V.5; convergence
of supermartingale families, 2.111.5
Euclidean boundary: definition, Notation and Conventions; resolutivity and
set of regular points in the classical context, l. VIII.4; resolutivity and
set of regular points in the parabolic context, I XVIII. I
Evanescent set: definition, 2.1.8
Evans-Vasilesco theorem: l.V.8
Excessive functions and measures (see also Invariant-): definitions, 2.VI.lO;
excessive functions as generators of supermartingales, 2.VI.II ; excessive
functions defined by hitting probabilities, 2.VI.l2; excessive functions
for [space-time] Brownian motion versus positive [superparabolic] super-
harmonic functions, 2.IX.6, 2.IX.8; IX excessive functions for Brownian
and space-time Brownian motion, 2.IX.16; excessive measures for
Brownian and space-time Brownian motion, 2.IX.18
Extension: of a superharmonic function through a polar set, l.V.5; of a
Green function GD to G~, l.VIIA, l.VIII.18, l.VIII.19; of a parabolic
function defined on a truncated cylinder, l.XV.1?; and contraction of
GfJ, IXVIIA; of a superparabolic function through a polar set, IXVII.8;
of a Green function GfJ to G6, l.XVIII.9
834 Index
Fatou boundary limit theorem: see Boundary limit theorems

Fatou's lemma: A.lV.IO; for conditional expectations, 2.1.6
Filtration (~(.»: of a measurable space, 2.1.1; composition !F(T) with an
optional time T, 2.11.1; predictable-and !F(T- ), 2.11.7; choice of for a
supermartingale, 2.III.l, 2.IV.l; choice of for a Markov process, 2.VI.2;
right continuity of, for a Markov process, 2.VI.8; right continuity and
predictability of Brownian motion filtrations, predictability of Brownian
motion optional times, continuity properties of supermartingales relative
to Brownian motion filtrations, 2.VII.4, 2.VII.6, 2.VIII.8, 2.X.2(c); for
conditional Brownian motion, 2.X.2(c), (d)
Fine topology (see also Thinness)
Classical context: definition and basic properties, l.XI.I-l.XI.3, l.XI.5,
and, in probabilistic formulation, 2.1X.15; character of derived set,
boundary, and interior, l.XI.I, l.XI.6;-limits versus Euclidean topol-
ogy limits, l.XI.9; identification of a derived set by a special function
u"', l.XI.IO; quasi Lindelof property, l.XI.II; relation to boundary
point regularity, l.XI.I2;-open sets as domains for superharmonic
functions, l. XU9 ; minimal-fine topology, l.XII.11, l.XII.12, l.XII.l7,
and, in probabilistic formulation, 3.III.3; minimal-fine topology limits
versus Martin topology limits at the Martin boundary, l.XII.l5,
l.XII.l6; normal boundary limit points of a half-space subset versus
minimal-fine boundary limit points of the set, lXII.22
Parabolic context: definition and basic properties, l.XVII.9, l.XVII.l2,
l.XVIII.IO, and, in probabilistic formulation, 2.1X.l5; character of a
derived set and its identification by a special function u"', 1.XVII.l5,
l.XVII.l6(r), 1.XVII.17(r); quasi Lindelof property, 1.XVII.l9;
minimal-fine coparabolic limits versus Martin topology limits at the
Martin boundary, 1.XIX.12
Probability context: in ~+ x n, 2.IV.16
Finite dimensional distributions (see also Stochastic process): of a stochastic
process, 2.1.10
First boundary value problem: see PWB method
Forward parabolic equation: for Brownian motion, 2.IX.17
Fundamental Convergence Theorem: classical context, 1.III.3, l.VI.I, 1.X1.7,
1.XIV.3; parabolic context, 1.XVII.2, 1.XVII.l3-1.XVII.l5; martingale
theory context, 2.IV.5
GlJ sets: homeomorphs of, A.1.9

Gauss Integral Theorem: 1.1.6, 1.1.7
Gauss minimum problems: I XIII.14
GM (see also LM)
Classical context: definition, l.1I1.1, l.III.2, 1.XIV.3; of a potential,
1.III.l, I.IV.3, I.IV.8(a); relation with the reduction operator, 1.11I.4,
1.11I.6; unaffected by deletion of polar sets, l.V.5; relation with
Dirichlet solutions, l.VIII.3, l.VIII.18(c); relation with the r operator,
l.VIII.ll
Index 835
Parabolic context (GM, GM): definition, 1.XVII.1; of a potential,

I.XVII.5; relation with Dirichlet solutions, I.xVIII.I
Martingale theory context: definition and basic properties, 2.III.20,
2.111.21, 2.IV.14; ofapotential, 2.III.21
Graph: of an optional time, 2.11.1 ;-predictability, 2.11.9
Green function
Classical context (Go): preliminary definition, 1.1.5, 1.1.8; of a ball, 1.11.1 ;
definition, 1.VII.1; in terms of a Dirichlet solution, 1.VII.1, I.VIII.3,
1.VIII .18, 1.VIII.19 ; extremal property, 1.VII.2; boundedness property,
LVIII. 18, I.VIII.I9; vanishing of Go (', °

I.VII. 3; symmetry property, I. VII A; extension to G;, I. VII A,
at aD, LVII A, I.XII.14,
I.XII.18; minimality of Go (', 0, 1.VII.lO; (N= 2) with pole 00, the
Robin constant, 1. VIII.20, LXIII. 18 ; the case N = 1, I.XIV.6; in terms
of G,), I.XVII.18; probabilistic expression for, 2.IX.17
Parabolic context (Go, Go): preliminary definition, I.xV A, I.xV.7; of an
interval, I.XV.8; definition, examples, properties, Go = Go, I.XVIIA;
minimality of Go(', (), I.XVII.8; vanishing of Go(', () at aD, I.XVII.14;
in terms of a Dirichlet solution, I.xVIII.l ; extension to G; , I.XVIII.9;
probabilistic expression for, 2.IX.17
Greenian set: definition, trivial in IRN when N > 2, but 1R 2 is not one, 1.11.13;
conditions that an open subset of 1R 2 be Greenian, I.V.6, I.VII.7 in non-
probabilistic terms, and 2.1X.IO in probabilistic terms
Hadamard three circle theorem: 1.II .11

Hahn decomposition: A.lV.6
Half-space
Classical context (-of IRN ): Green function, harmonic measure, Poisson
integral and Riesz-Herglotz representation, 1.VIII.9 ; Martin boundary,
I.XII.3; minimal thinness, minimal-fine versus nontangential limits at
a boundary point, I.XII.I2; ratio boundary limit theorems for harmonic
functions, I.XII.21; normal versus minimal-fine boundary limit func-
tions, I.XII.22; boundary limit function of a potential, 1.XII.23;
Brownian motion, 2.VII.9
Parabolic context (-of iRN , see also Slab): upper and lower half-space of
iRN , LXV. I ; Green function, I.XVI.1, 1.XVIIA; Martin boundary,
I.XIX.8, I.XIX.9
Harmonic function (see also Subharmonic function and Superharmonic func-
tion): definition, average properties, 1.1.3; maximum-minimum theorem,
1.104; Poisson integral, 1.11.1; Harnack inequality, 1.11.2; Harnack con-
vergence theorem, 1.11.3; classes LP, D, and the Riesz-Herglotz theorem,
1.11.14, l.IX.3, l.IXA; ratio boundary limit theorem in a ball, 1.11.15;
minimal, 1.11.16, I.XII.5; removable singularity set, 1.V.5; relative,
1.VIII.1; boundary poles, I.X.7, I.XII.5; Martin representation, I.XII.9,
3.III.6; vector lattice Sm and its band decompositions, l.IX.7, 1.IX.9-
1.IX.I2, 3.1.12; first boundary value (Dirichlet) problem, see PWB
method; composition with Brownian motion, see Superharmonic function
836 Index
Harmonic measure (Jl~): for domains with smooth boundaries, 1.1.8; null
sets, l.VIII.S; of roo}, l.VIII.S; definition, l.VIII.8; for ball and half-
space, l.VIII.9; dependence on D, l.VIII.17; relation with the sweeping
kernel, l.X.2; on a polar set, l.X.8; relative to an irregular boundary
point, I.XI.22; for the Martin space, l.XII.tO; as a conditional Brownian
motion hitting distribution, 2.1X.13, 2.X.7, 3.11.2
Harnack convergence theorem: classical context, l.1I.3, parabolic context,
l.XV.Il
Harnack inequality: classical context, l.1I.2; parabolic context, l.XV.Il,
I.XVIII.17
Hermite polynomials: l.XV.3; composition of space-time-with space-
cotime Brownian motion, 2.1X.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.I2; by Brownian motion, 2.VII.6, 2.VII.8,
2.1X.I, 2.1X.4, 2.1X.9, 2.1X.IS; of a parabolic semipolar set by space-time
Brownian motion, 2.1XIS; 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. VI. I0
Increasing process: definition, support of measure generated by, 2.1V.6;

potential generated by, 2.1V.6, 2.1V.8; natural versus predictable, 2.1V.6,
2.1V.7; as the generator of the Riesz measure for a supermartingale,
2.1V.13
Independent increment process: 2.1II.2(c), 2.VII.I
Indistinguishable processes: 2.1.8
Integral limit theorems: A.VII
Internal potential theory limit theorems: classical context, l.XI.4, l.XII.19;
parabolic context, l.XVIII.14
Interval of ~N: definition, upper, lower, lateral boundaries, l.XV.1; para-
bolic Green function, l.XV.8; parabolic measure, l.XV.9, 2.VII.12;
Dirichlet problem, l.XVIII.1, l.XVIII.6, Brownian motion in, 2.VII.II
Invariant excessive functions and measures: definitions, 2. VI. 10; for Brownian
and space-time Brownian motions, 2.VII.10, 2.1X.8
Inversion in a sphere: the Kelvin transform, l.1I.12, l.VIII.1; image of a
polar set, l.V.l; and the PWB method, l.VIII.2; and h-harmonic measure
null sets, l.VIII.S; and boundary point regularity, l.VIII.14
Irregular boundary point (see also Regularity of a boundary point)
Classical context: limit ofa superharmonic function, ofharmonic measure,
and of a Green function at one, l.XI.21, l.XI.22; Brownian motion
from one, 2.1X.20
Index 837
Parabolic context: limit of a superparabolic function, of parabolic mea-

sure, and ofa Green function at one, l.XVIII.17, l.XVIII.l8
Iterated logarithm: regularity criterion and Brownian motion law, l.XVIII.6,
2.1X.15
Ito integral: integrand classes, 2.VIII.1, 2.VIII.2; properties, 2.VIII.3,
2.VIII.6; definition, 2.VIII.5, 2.VIII.7; integration by parts, 2.VIII.l1
Ito's lemma: 2.VIII.12
Jensen inequality: applied to subharmonic and harmonic functions, l.1I.9;

applied to subparabolic and parabolic functions, l.XV.12; applied to
conditional expectations, 2.1 .4(h) ; applied to submartingales and mar-
tingales, 2.111.3(c)
Jordan decomposition: A.lV.6
Kelvin transform: see Inversion in a sphere

Kernel: definition, extension from substochastic to stochastic, A.VI.l;
universally measurable extension, A.VI.2
Kolmogorov construction of canonical processes: 2.1.10
Krickeberg decomposition: of a martingale, 2.V.4(c)
LP bounded: stochastic process, 2.1.8; submartingale, 2.V.4; Krickeberg

decomposition of an-martingale, 2.V.4(c)
LP class
Classical context (LP(Jl~-»: of h-harmonic functions, 1.11.14, l.IX.4,
3.1.3
Parabolic context (LP(Jit-»: of h-parabolic functions, I.XVI.6,
I.XVIII.19, 3.1.3
Last hitting time: definition, 2.11.4; Markov process killed at a, 2.VI.l5;
Brownian motion killed at a, 2X.6; capacitary distribution and-, 2X.1O
Lattice
Abstract theory: definitions, countability property, A.lII.2; cont:, vector
lattice, specific order, A.III.3-A.III.5; decomposition property of a
vector lattice, A.III.6; orthogonality, bands, projections, AIII.7-
AIII.ll; order convergence, A.III.l2, AliI. 13, A.lV.1O
Application to measure theory: lattice of set algebras, A.lV.I; lattices of
measures, A.lV.4-A.lV.7; absolute continuity and singularity, A.lV.8;
lattices of measurable functions, A.lV.9; essential order and the
corresponding convergence, A.lV.l 0
Application to classical potential theory: S±, S+, l.IX.5; S, l.IX.6; Sm'
l.IX.7; Sp, l.IX.8; Sqb' Spqb' Smqb, the relation between Smqb and the
PWB method, l.IX.9; Ss, Sps> Sms, l.IX.IO; refinement of the Riesz
decomposition of a positive superharmonic function, I.lX.ll, I.lX.12;
Sms<X> , Sms!, 3.1.12
Application to parabolic potential theory: translation from classical to
parabolic context, lXVIII.19
838 Index
Application to martingale theory: 'S±, 'S+, S±, S+, 2.V.5; 'S, S, 2.V.6;
'Sm, Sm, 2.V.7; 'Sp, Sp, 2.V.8; Sp, Spqb' Smqb in the specific order, and
their primed counterparts, 2.V.9; S., Sms' Sps in the specific order,
and their primed counterparts, with orthogonal decompositions of'S
and S, 2.V.1O, 2.V.lI
Combined application to nonprobabilistic potential theory and to martingale
theory: background, 3.1.1; band relations, 3.1.2; LP and D, 3.1.3; D
and the PWB method, 3.1.4, 3.1.5; characterizations of Sqb' S., Sm.'
Spqb' Smqb' Sp., 3.1.6-3.1.10; band identification of the composition
of an h-superharmonic function with h-Brownian motion, 3.1.11,
3.1.13
Law of large numbers: for Brownian motion, 2.VII.5
Lebesgue decomposition: A.lV.8
Lebesgue spine: 1.VIII.15
Uvy Brownian motion square increment theorem: 2.VIII.lO
Lifetime: of a Markov process, 2.VI.3, 2.VI.7; of conditional Brownian
motion, 2.X.I, 2.X.4, 2.X.9, 3.1.12
Liouville's theorem: 1.11.2, 1.11.13, 1.V. 5
LM (see also GM)
Classical potential theory: definition and existence, 1.11I.1, 1.11I.2; for
subharmonic functions in various classes, I.lX.2-I.lX.4
Parabolic potential theory: definition and existence, I.XVII.I
Martingale theory: definition and existence, 2.11I.20, 2.1V.14; for sub-
martingales in various classes, 2.V.2-2.V.4
Logarithmic potential on 1R 2 : defined, I.lV.I; Riesz type decomposition of a
superharmonic function, l.IV.9; domination principle, I.V.lO; infinity
set, I.V.ll
Lower semicontinuous functions: smoothing of a function, A.VIII.I ; supre-
mum of a family of, A.VIII.2; Choquet topological lemma, A.VIII.3
Lusin's measurability theorem: A.II.4
Markov process: defined, Markov property, initial distribution, transition

function, absolute probability function, 2. V1.1 ; choice of filtration,
2. VI.2; strong Markov property, 2. VI.3, 2. VI.9; stationary stochastic and
substochastic transitions, 2.VI.3, 2.VI.5, 2. VI.6; application of martingale
theory, 2.VI.4; lifetimes and trap points, 2.VI.3, 2.VI.7; right continuity
of filtrations, 2.VI.8; conditional-, 2.VI.l3; tied down-, 2.VI.I4;
killed-, 2.VI.l5; Brownian motion as a-, 2.VII.2
Markov time: see Optional time
Martin boundary
Classical context (OM D): Martin space D M, I.XII.l, I.XII.3; Martin
function K, I.XII.2; Martin representation, I.XII.4, I.XII.6, I.XII.9;
minimal harmonic functions and the set ofD of their poles, the minimal
boundary, I.XII.5, IXII.7, I.XII.8; resolutivity, I.XII.lO; minimal
thinness and the minimal-fine topology, I.XII.lI, I.XII.l2, LXII. I 5-
Index 839
LXII .17; attainable-points, Brownian motion to and from-points,

3.111.1, 3.111.2
Parabolic context: Martin point set pairs, flat point set pairs, measure set
pairs, 1.XVIII.17, 1.XVIII.l8, 1.XIX.2; exit and entrance boundaries,
IXIX.I; Martin function K and admissible superparabolic functions,
IXIX.2; Martin space and boundary, IXIX.3; Martin representation,
1.XIX.4, 1.XIX.7, 3.111.6; minimal boundary, 1.XIX.5, 1.XIX.6; slab,
1.XIX.8, 1.XIX.9; right half-slab, 1.XIX.IO; resolutivity, 1.XIX.1I;
minimal thinness and the minimal-fine topology, 1.XIX.12
Probabilistic context: attainable-points, Brownian motion to and from-
points, 3.111.1, 3.111.2; zero-one law at a minimal-point, 3.111.3
Martingale (see also Submartingale and Supermartingale): definition,
examples, elementary properties, closability, 2.111.1-2.111.3; optional
sampling of a uniformly integrable-, 2.1II.2(a), 2.1V.2; subsets of IR as
general parameter sets, 2.111.4; convergence if L 1 bounded, 2.111.13;
convergence if uniformly integrable, 2.111.14; backward convergence,
2.111.16; Krickeberg decomposition if U bounded, 2.V.4(c); 'Sm, Sm and
their decompositions, 2.V.7, 2.V.II, 3.1.2, 3.1.4-3.1.6, 3.1.12, 3.1.13;
local-, 2.V.12, 2.VIII.3(e), 2.VIII.3(j), 2.VIII.6(e), 2.VIII.6(j); relative
to a Brownian motion filtration, 2.VIII.8; generated by composing
functions with Brownian or space-time Brownian motion, 2.1X.I-2.1X.3,
2.1X.7(c),3.1I.2(c)
Maximal inequalities: in martingale theory, 2.111.9-2.111.11
Maximum: -minimum theorem for harmonic functions, 1.1.4, for parabolic
functions, 1.XV.5; theorem for analytic functions, 1.V.7; principle of and
complete principle of, LV. 10
Measurable family of functions: 2.1.2
Measurable space: A.lV.2
Meyer decomposition: of a supermartingale and of a submartingale, 2.1V.II,
2.1V.12
Minimal function
Classical context: harmonic, 1.11.16, relative harmonic, 1.VIII.1; GD (', 0
on D - g}, 1.VII.IO; Martin boundary pole of, 1.XII.5
Parabolic context: parabolic, 1.XV.2; on the upper half-space of iR N ,
extension of, when defined on a cylinder, 1.XV.17; on a slab, 1.XVI.8;
0v(', () on D - {(}, 1.XVII.8
Modification: see Standard modification
Nearly: progressively measurable, predictable, and so on, 2.1.8; Borel sets

for Brownian motion, 2.1X.19
Nontangential: deleted neighborhood filter for a ball boundary point,
1.11 .15; limits versus minimal-fine limits at ball and half-space boundary
points, 1.XII.12, IXII.20, 1.XII.21
Normal: boundary limit points of a half-space subset versus minimal-fine
limit points of the set, 1.XII.22; boundary limit function of a classical
840 Index
context potential, l.XII.23; boundary limit function on a slab boundary

determines a bounded parabolic function, I.XVI.2
Nucleus: of a Suslin scheme, A.I.2
Optional sampling and stopping theorems: 2.1II.6-2.III.8, 2.IV.3

Optional time: definition and properties, 2.11.1, 2.11.2; predictable, 2.11.7,
2.11.9; decomposition, totally inaccessible and accessible-'s, 2.11.12
Ordinate: ofa point of iRN , l.XV.I
Orthogonality: in a vector lattice, A.III.7
Parabolic function (see also Subparabolic function and Superparabolic func-

tion): definition, l.XV.2; maximum-minimum theorem, l.XV.5; average
properties, l.XV.lO; Harnack convergence and inequality theorems,
l.XV.1I; extension of, when defined on a cylinder, l.XV.17; Poisson
integral and the V and D classes,for functions on a slab, l.XVI.1, l.XVI.5,
l.XVI.6; ratio boundary limit theorem on a slab, l.XVI.7, l.XVIII.15;
removable singularity set, l.XVII.8; relative, l.XVIII.l; minimal,
l.XIX.5; Martin representation, l.XIX.7-l.XIX.1O; vector lattice Sm
and its band decompositions, 3.1.1; first boundary value (Dirichlet)
problem, see PWB method; composition with space-time Brownian
motion, see Superparabolic function
Parabolic limit: at a sJab boundary point, l.XVI.7
Parabolic measure (Ji~: for domains with smooth boundaries, l.XV.7; for
an interval, l.XV.9, l. XVIII. 2 ; definition, l.XVIII.2; relation with the
sweeping kernel, l.XVIII.8; relative to an irregular boundary point,
I XVIII. 17 ; for the Martin space, I.XIX.II; as a conditional space-time
Brownian motion hitting distribution, 2.VII. 12, 2.IX.13, 2.X.7, parabolic
version of 3.11.2
Paving: A. I. I
Poincare-Zaremba barrier: l.VIII.12, l.VIII.15
Poisson equation: classical context, 1.1.7; parabolic context, l.XVII.6
Poisson integral: classical context, for ball and half-space, 1.11.1, l.VIII.9;
parabolic context, for a slab, l.XVI.l, l.XVI.5, l.XVI.6, l.XVII.5
Polar set
Classical context (in IR N ): definition and properties, inner-, l.V.1-l.V.4,
l.XIV.2; removable singularity set of a lower bounded superharmonic
function, l.V.5; role in characterization of Greenian subsets of 1R 2 ,
l.V.6; infinities of a potential on a-, l.V.ll; exceptional set in the
Fundamental Convergence Theorem, l.VI.1; analytic inner-is-,
l.VI.2; h-harmonic measure on, l.VIII.5, l.X.8; vanishing of sweeping
kernel on, l.X.6; characterized by absence of fine limit points, l.XI.6;
null for a measure of finite energy, l.XIII.2; not hit by Brownian
motion, 2.IX.5, 2X.2, but analytic non polar sets are surely hit if N = 2,
hit with probability > 0 if N > 2, 2.IX.1O
Parabolic context (in iRN): definition, counterparts of classical context
Index 841
properties, l.XVII.8; criteria for, parabolic- = coparabolic-,

l.XVIII.II; not hit by space-time Brownian motion, 2.1X.S
Probability context (in IR+ x 0): definition, 2.11.10
Pole (see also Martin boundary): boundary pole of a minimal function,
l.X.7, l.XII.S, l.XIX.S
Polish space: definition, A.I.IO; measure on, A.lV.II
Potential
Classical context: kernel G, 1.1.5, I.IV.I, I.IV.9; of a smooth density,
1.1.7; on a special open set, I.IV.I; vanishing of GM(-), I.IV.3,
1.1V.8; smoothing of, by averaging, 1.1V.5; generating measure,
I.IV.6, I.IV.7; condition that a superharmonic function be a potential,
I.lV.8, I. VIII .11, IXII.I7 example; infinities of, on a polar set, I.V.11 ;
boundary limit function, l.VII.S, l.XII.l8, I.XII.23, 2.1X.7; lattice Sp,
I.IX.8; the case N = I, IXIV.7
Parabolic context: kernel Gf>, l.XV.4, l.XVII.S; of a smooth density,
l.XVII.6; boundary limit function, l.XIX.l4, 2.1X.7; lattice, l.XVIII.l9
Martingale theory context: definition, 2.111.21; generation of, by an
increasing process, 2.1V.6-2.1V.II; associated measure, domination
principle, 2.1V.l3; potential theory on IR+ x 0, 2.1V.15; energy,
2.1V.21
Precapacity: topological, and the generated Choquet capacity, A.II.8
Predictable:-a algebra, and-family of functions, 2.1.14; predictability of
a function family at an announced time, 2.11.3 ;-optional times and-
filtrations, 2.1I.7;-process defined by an accessible optional time, 2.11.7,
2.11.12; section theorem for a-set, 2.11.8; graph of a-optional time,
2.11.9;-increasing process = natural-process, 2.1V.7; continuity prop-
erties of-supermartingales and martingales, 2.1V.23
Progressively measurable: definition, right and left continuous processes
are-, 2.1.2; hitting of sets by-processes, 2.1.9, 2.11.4; condition for
existence of a-standard modification, 2.1.13;-process at an optional
time, 2.11.3; continuity properties of-processes, 2.11.5, 2.11.6
PWB method (see also Barrier, Regularity of a boundary point, Resolutivity)
Classical context (PWB h ): upper and lower classes and solutions, I. VIII. 2,
l.VIII.6, l.VIII.7; solutions as reductions, l.VIII.2, I.VIII.lO; solu-
tions are quasi bounded, I.lX.9
Parabolic context (PWBh): upper and lower classes and solutions, relation
with reductions, I XVIII. I ; classical context as a special case of parabol-
ic context, IXVIII.4
Probabilistic solution: 2.1X.I, 2.1X.l3, 2X.7, 3.11.1-3.11.4
Quasi-bounded
Classical context: the classes S;b' S~qb' S~b' I.IX.9; significance for the
PWB method of quasi-boundedness, I.lX.9; significance of quasi-
boundedness of a harmonic function in relation to the class D property
and the Riesz-Herglotz and Martin representations, I.IX.l2, I.XII.9
842 Index
Parabolic context: 1.XVIII.19

Martingale theory context:-positive supermartingales and their genera-
tion by increasing processes, 2.1V.6-2.1V.1I; classes 'S;b' S;b and their
subclasses 'S~qb' 'S~b' S~qb' S~b' 2.V.9
Combined context: see Lattice
Quasi-everywhere: classical context, inner-, l.V.1; probabilistic context,
2.1.8
Quasi-Lindelof property: classical context, I.XI .11; parabolic context,
l.XVII.I9
Quasi-martingaIe: definition, Rao representation as an element of S, 2.V.13
Reciprocity law: I.XIII.2

Reduction (see also Sweeping)
Classical context: definition and properties, LIlIA, 1.111.5, l.VI.2-1.VI.4;
GM(-), l.III.6; relation to capacity, l.VI.5; generalized, l.XI.20;
probabilistic evaluation, 2.1X.14, 2.X.7
Parabolic context: definition and properties, lXVII.3, lXVII.II,
I.XVII.14, I.XVII.16, I.XVII.I7; probabilistic evaluation, 2X.7
Martingale theory context: discrete parameter case, 2.111.22; application
to crossing inequalities, 2.111.23, 2.1V.18(o), 2.1V.19(o); continuous
parameter case, 2.1V.17-2.1V.20
Regularity of a boundary point (see also Barrier)
Classical context: definition, I.VIII.2; Euclidean boundary, I.VIII.4;
Poincare and Poincare-Zaremba criteria, Lebesgue spine, l.VIII.12,
I.VIII.l5; in terms of harmonic measure, I.VIII.8; in terms of the fine
topology, l.XI.l2
Parabolic context: Euclidean boundary, I.XVIII.l, l.XVIII.6; for an
interval, I.XVIII.2; classical context regularity in terms of parabolic
context regularity, I.XVIIIA; for a parabolic ball, I.XVIII.6; iterated
logarithm criterion, I.XVIII.6; in terms of the fine topology, I.XVIII.7
Resolutivity
Classical context: definition, universal and internal, I.VIII.2; Euclidean
boundary, I.VIIIA; condition for-of a boundary function, l.VIII.8,
I.VIII.9, 3.11.2; condition for-of a boundary, I.VIII.9, 3.1I.3(e);
universal and universal internal-of a ball boundary, I. VIII.9, I.IX.12;
of a Martin boundary, I XII. to
Parabolic context: adaptation of the classical context definitions and
results, lXVIII.I-l.XVIII.3, 3.11.1; universal and universal internal-
of a Martin boundary, lXIX.ll
Reversal: of Brownian motion, 2.X.6
Riesz decomposition: of a superharmonic function, 1.1.8, I.IV.8, I.IV.9,
I.IX.l1, l.XIV.9; of a superparabolic function, I.XV.7, l.XVII.7; of a
supermartingale, 2.III.21
Riesz measure: associated with a superharmonic function, I.lV. 7; associated
with a superparabolic function, I.XVII.7; associated with a supermar-
tingale, 2.1V.13
Index 843
Riesz-Herglotz representation: of a harmonic function on a ball, 1.11.14

Robin constant: 1.XIII.l8
Sample function: definition, integrability, 2.1.8; continuity properties, 2.11.5,

2.11.6; for properties of sample functions of specific process types, see
those types
Section theorem: 2.11.8
Semipolar set
Parabolic context, in iR N : definition, 1.XVII.lO; exceptional set of the
Fundamental Convergence Theorem, l.xVII.13; criteria for, parabolic
semipolar = coparabolic semipolar, 1.XVII.l5, 1.XVIII.l2; hitting of
by space time Brownian motion, 2.IX.15
Probabilistic context, in ~+ x 0: definition, 2.11.10; role in supermar-
tingale smoothing, 2.IV.I; exceptional set of the Fundamental Conver-
gence Theorem, 2.IV.5
Sierpinski lemma: on Suslin schemes, A.I1.2
Singular
Classical context: classes S:, s;:;.., S;. of positive singular functions,
respectively superharmonic, harmonic, and potentials of measures,
l.IX.I 0; conditions that a function in S~ be singular, 3.1.7; evaluation
of the singular component of a function in S+, 3.1.8; conditions that a
function in S; be singular, 3.1.10
Parabolic context: 1.XVIII.l9 and the parabolic context part of Sections
3.1.7,3.1.8,3.1.10
Martingale theory context: classes /S:, S: of positive supermartingales
with their subclasses /S;:;.., 'S;', S~.. S;" 2.V.l0; condition that a
process in S; be singular, 2.V.l2; martingale theory part of Sections
3.1.7, 3.1.8, 3.1.10
Slab in iR N : definition, LXV. 13 ; Green function and the Poisson integral,
1.XVI.1, 1.XVI.5, 1.XVI.6, 1.XVII.4; generalized superparabolic average
inequality, 1.XVI.2; V and D classes of parabolic functions, LXVI.6;
ratio parabolic function boundary limit theorem, 1.XVI.7, 1.XVIII.l5,
1.XIX.15; minimal parabolic function, 1.XVI.8; Martin boundary,
1.XIX.8, 1.XIX.9; coparabolic minimal thinness and minimal-fine limits
at a boundary point, 1.XIX.12
Space-time Brownian motion (see also Brownian motion): definition, 2.VII.2;
properties induced by Brownian motion properties, 2.VII.4; transition
function for-in an open set, 2.VII.IO; transition function for-in an
interval, parabolic measure as a-boundary hitting distribution, 2.VII.12,
2.VII.13; composition of a superparabolic function with-, excessive
functions and measures for-, 2.IX.2, 2.IX.3, 2.IX.6-2.IX.8, 2.IX.12,
2.IX.13, 2.IX.l6, 2.IX.l8; probability of hitting sets by-, 2.IX.4, 2.IX.5;
from a parabolic irregular boundary point (parabolic counterpart of)
2.IX.20; conditional, 2.x.12
Special open set: definition, I.IV.I; transition from, to Greenian sets, I.VII.8
Specific order: definition, A.I11.4
844 Index
Standard modification: of a stochastic process, 2.1.8; measurable-, 2.1.13

State space: of a random variable, 2.1.3; of space-time Brownian motion,
2.VII.2
Stocbastic interval: definition, 2.11.1 ; fine open, closed, 2.1V.16
Stocbastic process (see individual types under their own names): definition,
adaptedness, indistinguishability, almost sure properties, 2.1.8; canonical,
2.1.10; dependence of certain probabilities on the choice of probability
space, 2.1.11, 2.1.12, 2.11.4
Stolz domain: definition, 1.11.15
Stopping time: see Optional time
Strongly subadditive set function: definition, A.II.6; generation of a Choquet
capacity by, A.II.7; A ~ R: and A ~ R+vA , 1.VI. 2(b), I.VI.3(j), I.VI.4(j);
classical capacity function, LXIII. 10; negative of the Robin con-
stant, I.XIII.18,• A~Rv,
",4 ",4
and A~R., LXVII. 11(d), I.XVII.l6(k),
",4 ",4 +v. •
I.XVII.17(k); A ~ R%(.) and A ~ R +%(.)
,2.1V.l8(1), 2.1V.l9(1)
Subbarmonic function (see also Harmonic function and Superbarmonic func-
tion): definition, 1.11.4, I.XIV.2; Jensen's inequality applied to, 1.11.9;
LMi operator on, 1.lx'2-I.lX.4
Submartingale (see also Martingale and Supermartingale): definition,
2.111.1; Jensen's inequality applied to, 2.1II.3(c); is right closable if
uniformly integrable and is uniformly integrable if positive and right
closable, 2.111.3(e), 2.111.6, 2.V.3, 2.V.4; LM(-), 2.V.2
Subparabolic function (see also Parabolic function and Superparabolic func-
tion): definition, Jensen's inequality applied to, I.XV.l2; maximum
theorem for a slab domain, I.XVI.3
Superbarmonic function (see also Harmonic function and Subharmonic func-
tion): definition, 1.11.4, I.XIV.2; minimum theorem, 1.11.5, I.V.7; charac-
terization in terms of harmonic functions, 1.11.7; differentiable, 1.11.8;
approximation of by differentiable ones, 1.11.8, 1.IV.5, 1.IV.IO; on an
annulus, 1.11.10; Riesz measure and decomposition, condition that a
positive-be a potential, 1.1.8, 1.IV.7-1.IV.9, I.XIV.9; relative-,
LVIII. I; smoothness properties when N = I, I.XIV.4; is a superparabolic
function of the space coordinate of [RN, LXV.15; composition with
Brownian motion, 2.1X.3, 2.1X.6-2.1X.8, 2.1X.12; composition of ratio
of-'s with conditional Brownian motion, 2. VIII. 13, 2.X.l, 2.X.8, 3.1.11,
3.1.13, 3.11.2
Supermartingale (see also Martingale and Submartingale): definition,
closability, 2.111.1-2.1II. 3; first treatment of limits of monotone sequences
of, 2.1II.5; at optional times, 2.1II.6-2.1II.8, 2.1V.2, 2.1V.3; subset of IR
as general parameter set, 2.1II.4; maximal inequalities, 2.1II.9, 2.111.10;
downcrossing inequalities, 2.1II.12, 2.1II.23; convergence, 2.1II.13-
2.111.17, 2.1V. 3; potential, 2. III. 21, generated by an increasing process,
2.1V.6-2.1V.ll; sample function continuity properties, 2.1V.1, in par-
ticular as influenced by the reference filtration, 2.1V.23, 2. VIlA, 2. VIII.8;
limit of an increasing sequence of-'s, 2.1V.4; Fundamental Convergence
Index 84S
Theorem, 2.1V.5; measure associated with a-, domination principle,

2.1V.l3; decomposition into jump and continuous components, 2.1V.22,
2.1V.23; lattices of-'s, 2.V.S-2.V.11
Superparabolic function (see also Parabolic function and Subparabolic func-
tion): smooth context Riesz decomposition, l.XV.?; definition, l.XV.12;
minimum theorem, lXV.13; approximation of, by differentiable ones,
l.XV.14; on a cylinder, l.XV.lS, l.XV.l?; generalized-inequality on a
slab, l.XVI.2; Riesz measure and decomposition, l.XVII.?; relative-,
IXVIII. I ; admissible-, lXIX.2; composition with space-time Brownian
motion, 2.1X.3, 2.1X.6-2.1X.8, 2.1X.12, 2.1X.13
Suslin scheme: A.I.2
Sweeping of a measure
Classical context: definition, the sweeping kernel, l.X.l, l.X.4-l.X.6;
relation of the sweeping kernel to harmonic measure, lX.2; sweep-
ing symmetry, l.X.3; support of a swept measure, l. XI.l 4, l.XI.l8,
2.1X.lS
Parabolic context: definition, the sweeping kernel and parabolic measure,
dualization of sweeping symmetry, l.XVIII.8; support of a swept mea-
sure, l.XVIII.l3, 2.1X.1S
Tail (1 algebra: of a conditional Brownian motion, 2X.ll, 3.11.4

t operator
Classical context (t;): definition, 1.11.1, l.XIV.3; application to s~per
harmonic functions, l.1I.6; generalized, application to GMh operator,
l.VIII.1I; variant.of, l.VIII.21
Parabolic context (i:): definition, l.XV.9; application to superparabolic
functions, l.XV.14, l.XVIII.2
Martingale theory context (tsT): definition, 2.111.18, 2.1V.14
Thinness (see also Fine topology)
Classical context: definition, l.XI.1; criterion, l.XI.2, l.XI.3; at 00,
lXI.S; minimal, l.XII.ll; a ray from a half-space boundary point is
not minimal thin at the point, l.XII.12; Wiener criterion, l.XIII.1?;
probabilistic criterion, 2.1X.lS, 3.III.3
Parabolic context: definition, criterion, l.XVII.S Example (c), l.XVII.9,
l.XVII.12; minimal thinness at Martin boundary points of a slab and
of the fourth quadrant of ~2, IXIX.12; probabilistic criterion, 2.1X.IS
Probability theory context: at an optional time, 2.1V.16
Transition function: definition and universally measurable extension, A.VI.2,
A.VI. 3
Trap: definition, A.VI.1, 2.VI.3, 2.VI.?
Tulcea construction: of a canonical Markov process, 2.VI. 3
Uniform integrability: definition, test function, implications, A.V; of the

class of conditional expectations of a random variable, 2.I.4(i); of a
process, 2.1.8; of a right closed positive submartingale, and the right
846 Index
closability of a uniformly integrable submartingale, 2.III. 3(e) ; notation

VI, quasi-bounded martingales are the uniformly integrable ones,
2. V.9; example of a uniformly integrable but not class D supermartingale,
2.IX.6
Universal measurability: definition, A.II.9; of hitting probability as a func-
tion of a Markov process initial point, 2. VI.6
Upcrossing inequalities: see Downcrossing inequalities
Version: of an equivalence class of random variables, 2.1.3
Wiener measure: defined, 2.VII.3

Wiener thinness criterion: I.XIII.17
Zaremba barrier: see Poincare-Zaremba barrier

Zer(H)ne law: for the classical and parabolic sweeping kernels, I.X.6(c),
l.XVIII.IO; at the initial point of a Markov process, in particular for
Brownian motion, 2.VI.8, 2.VII.6, 2.X.2(d); at a minimal Martin boun-
dary point, 3.111.3
Zero set of a positive superparabolic function: I XVIII.14, IXVIII.17

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Springer Science+ Business Media, LLC

Born in Cincinnati, Ohio on February 27, 1910,

(For more details see:

Classical Potential Theory

Reprint of the 1984 Edition

Originally published as Vol. 262 of the

Cataloging-in-Publication Deta applicd for

Die DeutJche Bibliothek - CIP-EinheitaauCoahme

Doob. Joseph 1..:

Mathematics Subject Classification (2000): 31-xx, 6OJ45

CI Springer-Verlag Berlin Heidelberg 2001

Printed on acid-free paper SPIN 10786705 4113142ck-543210

Classical Potential Theory

Springer Science+ Business Media, LLC

AMS Subject Classificaticns: 31-XX, 6OJ45

Library of Congress Cataloging in Publication Data

© 1984 by Springer Seienee+Business Media New York

Typeset by Asco Trade Typesetting Ltd., Hong Kong.

ISBN 978-3-540-41206-9 ISBN 978-3-642-56573-1 (eBook)

13. Greenian Sets. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27

21. Limits of Superharmonic Functions at Irregular Boundary Points of Their

9. Sharpening of Lemma 4 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 237

6. Parabolic Regularity of Boundary Points ... . . . . . . . . . . . . . . . . . . . . . . . . . 337

4. Conditional Expectations. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 391

17. Backward Convergence of a Supennartingale. . . . . . . . . . . . . . . . . . . . . . . . . 455

3. Uniformly Integrable Positive Submartingales . . . . . . . . . . . . . . . . . . . . . . . . 523

12. Probabilistic Evaluation of Parabolic Measure for an Interval 595

3. PWBh Examples 723

Historical Notes. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 793

Potential theory and certain aspects of probability theory are intimately

tion to martingale theory, including a smattering of the general theory of

IR N is N dimensional Euclidean space, IR = 1R 1 , and IR+ is the set [0, + oo[ of

Classical and Parabolic Potential

Introduction to the Mathematical Background

1. The Context of Green's Identity

An application of the Lebesgue dominated convergence theorem shows that

is continuous on the set g: Ie - aDI > <5}.

which for v == I reduces to

A(u,~,b) = ~N rudIN, (2.1)

assuming that the necessary measurability and integrability conditions are

u(~) = L(u,~, b) if jj(~, b) c D. (3.1)

The stated continuity condition is stronger than necessary. In fact, if it is

u(~) = A(u,~,<5) (I~ - aDI > (5). (3.2)

Conversely (3.2) implies (3.1) if u is IN measurable and locally integrable

Hence a function u with continuous second partial derivatives is harmonic

4. Maximum-Minimum Theorem for Harmonic Functions

Theorem. Let u be harmonic on the open subset D oflR N.

A typical implication of this theorem is the fact that a harmonic function

5. The Fundamental Kernel for IRN and Its Potentials

the function G(e,') is harmonic on IR N - g}. The function kernel G is the

0= 'TtNS N- 1 1L(u, e, s) - 'TtNr N- 1 ; L(u, e, r) (5.3)

lims=I~I_ + co L(u, e, s)/G(O, 0 = I,

On the other hand since G(",,.,) is harmonic on ~N - {,.,}, the harmonic

L(G(",,.,),~,r) = G(~,,.,) when I~ -,.,1 ~ r. (5.5)

6. Gauss Integral Theorem

If A does not meet D the function Gp. is harmonic on a neighborhood of

Integrating (6.3) with respect to p. yields (6.1).

See Section 7 for an extension of this theorem allowing the support of

7. The Smoothness of Potentials; The Poisson Equation

In the following theorem the coordinates of a point ein ~N are denoted by

Theorem. Let p. be a signed measure on ~N given by an IN measurable density

(b) If in (a) there is an open set D on which f is continuous and satisfies

Round off the integrand in (7.2) when it exceeds k N - 1 in absolute value