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On exponentials of additive functionals of Markov processes. (English) Zbl 0996.60090
A celebrated theorem due to R. Khas’minskij [Theory Probab. Appl. 4, 309-318 (1960); translation from Teor. Veroyatn. Primen. 4, 332-341 (1959; Zbl 0089.34501)] states that $$\sup _{x\in D} \mathbf E_{x}\int ^\tau _0 f(X_{s}) ds < 1$$ implies $$\sup _{x\in D}\mathbf E_{x}\exp (\int ^\tau _0 f(X_{s}) ds)<\infty$$, where $$(X,\mathbf P_{x})$$ is a continuous time-homogeneous Markov process on a metric space $$G$$, $$f\geq 0$$ is a nonnegative function on $$G$$, $$D\subseteq G$$ a domain with a regular boundary $$\partial D$$ and $$\tau$$ the hitting time of $$\partial D$$. This useful result has been strengthened several times since; the paper under review offers further generalizations.
Let $$(\Omega , {\mathcal F}, {\mathcal F}^{s}_{t}, X, \mathbf P_{s,x})$$ be a time-inhomogeneous right process on a Radon space $$G$$, let $$L$$ be a (possibly exploding) nonnegative right continuous additive functional of $$X$$, satisfying $$L_{s,s}=0$$. Let $$L_{s,t} = L^{\text{cont}}_{s,t} + L^{\text{dis}}_{s,t}$$ be its decomposition into the continuous and the purely discontinuous part. Let $$(\tau (s))_{s\geq 0}$$ be a family of random times satisfying some mild hypotheses (so that e.g. the family of deterministic times $$\tau (s) = s\lor R$$ for some $$R>0$$ or the family of first hitting times after $$s$$ of an open set $$A$$ are included). Define the Stieltjes exponential $$\text{EXP}$$ by $\text{EXP}(L_{s,t}) = \exp (L^{\text{cont}}_{s,t})\prod _{s<z\leq t} (1 + L_{s,z} - L_{s,z-})$ and set $L^{[n+1]}_{s,t} = (n+1) \int _{[s,t]} L^{[n]}_{s,u-} dL_{s,u},\quad n\geq 1.$ Under the assumption $$\sup _{s,x} \mathbf E_{s,x} L^{\text{dis}}_{s,\tau (s)}<\infty$$ several integrability properties of $$L$$ and $$\text{EXP}(L)$$ are shown to be equivalent: For example, it is proven that there exists $$n\geq 1$$ such that $\sup _{s,x}\mathbf E_{s,x} L^{[n]}_{s,\tau (s)} < n!$ if and only if $$\sup _{s,x}\mathbf E_{s,x}\text{EXP} (L_{s,\tau (s)}) <\infty$$ and if and only if $$\sup _{s,x} \mathbf E_{s,x}\text{EXP}((1+\varepsilon)L_{s,\tau (s)}) <\infty$$ for some $$\varepsilon >0$$; all suprema above are taken over $$(s,x)\in [0,\infty ]\times G$$. In the second part of the paper, related results are obtained also for the ordinary exponential.

##### MSC:
 60J55 Local time and additive functionals
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##### References:
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